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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: April 1, 2020 - March 31, 2021
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.
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Item 1. Reports to Stockholders.
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March 31, 2021
ANNUAL REPORT
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PACIFIC FUNDS
ANNUAL REPORT
AS OF MARCH 31, 2021
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| Financial Statements: |
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Pacific Funds Series Trust, which is a Delaware statutory trust, may be referred to as “Pacific Funds” or the “Trust”.
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PACIFIC FUNDS
We are pleased to share with you the Pacific Funds Series Trust (“Pacific Funds” or the “Trust”) Annual Report for the fiscal year ended March 31, 2021, including performance data, management’s discussion of fund performance, and a complete list of investments as of the close of this reporting period. Pacific Funds is comprised of twenty-nine funds (each individually, a “Fund” and collectively, the “Funds”), fifteen of which are available for direct investment. Pacific Life Fund Advisors LLC (PLFA) is the Adviser to the Trust and supervises the management of all of the Trust’s Funds. PLFA directly manages Pacific FundsSM Portfolio Optimization Conservative, Pacific FundsSM Portfolio Optimization Moderate-Conservative, Pacific FundsSM Portfolio Optimization Moderate, Pacific FundsSM Portfolio Optimization Growth and Pacific FundsSM Portfolio Optimization Aggressive-Growth (together, the “Portfolio Optimization Funds”) as well as the PF Multi-Asset Fund.
Each of the Portfolio Optimization Funds is an asset allocation “Fund of Funds” that invests in Class P shares of certain other Funds of the Trust (the “PF Underlying Funds”). PLFA supervises the management of those PF Underlying Funds which are only available for investment by the Portfolio Optimization Funds. The Portfolio Optimization Funds also invest in Class P shares of Pacific FundsSM Core Income, Pacific FundsSM High Income and Pacific FundsSM Floating Rate Income.
The Adviser has retained other firms to serve as sub-advisers under its supervision. The sub-advisers, the Adviser and the Funds of the Trust that they manage as of March 31, 2021 are listed below:
| Sub-Adviser or Adviser | Funds Available for Direct Investment |
Page Number | ||
| Pacific Life Fund Advisors LLC (PLFA) | Pacific FundsSM Portfolio Optimization Conservative | A-5 | ||
| Pacific FundsSM Portfolio Optimization Moderate-Conservative | A-6 | |||
| Pacific FundsSM Portfolio Optimization Moderate | A-8 | |||
| Pacific FundsSM Portfolio Optimization Growth | A-9 | |||
| Pacific FundsSM Portfolio Optimization Aggressive-Growth | A-10 | |||
| Pacific Asset Management LLC (Pacific Asset Management) | Pacific FundsSM Ultra Short Income | A-11 | ||
| Pacific FundsSM Short Duration Income | A-12 | |||
| Pacific FundsSM Core Income | A-13 | |||
| Pacific FundsSM Strategic Income | A-14 | |||
| Pacific FundsSM Floating Rate Income | A-15 | |||
| Pacific FundsSM High Income | A-16 | |||
| Pacific FundsSM ESG Core Bond | A-17 | |||
| Rothschild & Co Asset Management US Inc. (Rothschild & Co) | Pacific FundsSM Small/Mid-Cap | A-18 | ||
| Pacific FundsSM Small-Cap | A-19 | |||
| Pacific FundsSM Small-Cap Value | A-20 | |||
| Sub-Adviser or Adviser | PF Underlying Funds | Page Number | ||
| Pacific Investment Management Company LLC (PIMCO) | PF Inflation Managed Fund | A-21 | ||
| J.P. Morgan Investment Management Inc. (JPMorgan) / Pacific Investment Management Company LLC (PIMCO) / Western Asset Management Company, LLC (Western Asset) | PF Managed Bond Fund | A-22 | ||
| T. Rowe Price Associates, Inc. (T. Rowe Price) | PF Short Duration Bond Fund | A-24 | ||
| Ashmore Investment Management Limited (Ashmore) | PF Emerging Markets Debt Fund | A-25 | ||
| MFS Investment Management (MFS) | PF Growth Fund | A-26 | ||
| ClearBridge Investments, LLC (ClearBridge) | PF Large-Cap Value Fund | A-27 | ||
| MFS Investment Management (MFS) | PF Small-Cap Growth Fund (formerly named PF Developing Growth Fund) | A-28 | ||
| Alliance Bernstein L.P. (AB) | PF Small-Cap Value Fund | A-30 | ||
| Invesco Advisers Inc. (Invesco) | PF Emerging Markets Fund | A-31 | ||
| MFS Investment Management (MFS) | PF International Large-Cap Fund | A-32 | ||
| QS Investors, LLC (QS Investors) | PF International Small-Cap Fund | A-33 | ||
| Wellington Management Company LLP (Wellington) | PF International Value Fund | A-34 | ||
| Pacific Life Fund Advisors LLC (PLFA) / portion sub-advised by Pacific Asset Management LLC | PF Multi-Asset Fund | A-35 | ||
| Principal Real Estate Investors, LLC (Principal REI) | PF Real Estate Fund | A-36 | ||
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PACIFIC FUNDS
Each of the sub-advisers and the Adviser has prepared a discussion regarding the performance of the Funds of the Trust that they manage, including commentary discussing positive and negative factors affecting performance for the past twelve months.
We appreciate your confidence in Pacific Funds and look forward to serving your financial needs in the years to come.
Sincerely,
|
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| James T. Morris Chairman of the Board |
Adrian S. Griggs Chief Executive Officer | |
| Pacific Funds Series Trust | Pacific Funds Series Trust | |
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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 value of a Fund changes as its asset values 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 share class of each Fund is net of fees and includes reinvestment of all dividends and capital gain distributions, if any, and does not include deductions of any applicable share class sales charges. Past performance is not predictive of future performance. This report shows you the performance of each Fund compared to its benchmark index. 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 supervises the management of the Funds contained in this report, subject to the oversight of the Trust’s Board of Trustees (Board). PLFA directly manages the Portfolio Optimization Funds as well as the PF Multi-Asset Fund. PLFA has written the general market conditions commentary which expresses PLFA’s opinions and views on how the market generally performed for the fiscal year ended March 31, 2021 (the reporting period) as well as separate commentary specific to those Funds that it directly manages that is based on its opinion of how these Funds performed during this reporting period.
For the other Funds, PLFA has retained other firms to serve as sub-advisers under its supervision. Each of these sub-advisers has written a separate commentary specific to the Fund(s) that they manage that is based on their opinions of how their Fund(s) performed during the reporting period. The views expressed in those commentaries reflect those of the respective sub-advisers for the fiscal year ended March 31, 2021.
All views and opinions expressed in the management discussion of fund performance are subject to change at any time based upon market, economic or other conditions, and the Trust, its Adviser and the sub-advisers disclaim any responsibility to update such views. These views and options may not be relied upon as investment advice or recommendations, or as an offer for any particular security. Any references to “we”, “I”, or “ours” are references to the sub-adviser or Adviser, as applicable. Any sectors referenced are provided by the applicable sub-adviser and could be different from the sectors listed in the Schedules of Investments if obtained from another source. The Adviser and 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, words 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 a sub-adviser believes to be reasonable, actual results may differ materially from expectations. Investors must not rely on any forward-looking statements. Statements of facts and performance data are from sources considered reliable, but no representation or warranty is made as to their completeness or accuracy.
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 United States (U.S.) Securities and Exchange Commission (SEC), which may be obtained from the SEC or by contacting the Trust as noted in the Where to Go for More Information section of this Annual Report.
Market Conditions (for the fiscal year ended March 31, 2021)
Executive Summary
Small capitalization stocks, particularly small-capitalization value, rallied towards the end of the reporting period. Both monetary and fiscal stimulus packages helped fuel a rally in cyclical sectors that tend to outperform in the early phase of an economic recovery. This kept the growth-to-value rotation in motion. Over the reporting period, domestic markets outpaced international markets, as manufacturing activity in the U.S. bounced back strongly after the market correction earlier in the reporting period.
The yield on 10-year Treasuries spiked as concerns of loose fiscal policy potentially overheating the economy weighed on bond investors. Rising rates were headwinds for long-term bonds, as exposure to duration (or sensitivity to changes in interest rates) detracted from bond returns over the reporting period. On the other hand, the contraction in high-yield spreads helped buffer the impact from rising interest rates, which benefitted high yield and bank loans. In general, the on-going vaccine efforts around the globe improved sentiments, as economies around the world seek to emerge from COVID-19 restrictions.
Outlook
The positive sentiment will likely continue to drive equity markets higher, as the wellspring of U.S. government stimulus helps absorb most of the remaining pandemic-related economic headwinds. While bipartisanship is a rare sight in Washington, the Democrats’ unified government as a result of the 2020 U.S. elections should allow them to use the budget reconciliation process to pass further stimulus measures, provided they don’t have infighting within the party between progressive and moderate factions. One of those few areas where there seems to be bipartisan agreement is that China has become a formidable competitor as it seeks to become the next global leader
| See benchmark definitions on A-37 – A-39 |
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and influencer. How Congress decides to address this issue remains unclear, but it appears likely that they will continue with the hawkish approach that was started by the Trump administration.
Stimulus
Since the pandemic broke out, the U.S. government injected over $10 trillion in monetary and fiscal support into the United States economy. This amount of money equates to roughly half the annual Gross Domestic Product of the U.S.
The Biden Administration’s next proposed stimulus plan, focusing on infrastructure, targets various industries that range from technology-related sectors to construction. In general, the goal seems to address both supply-chain bottlenecks and areas of growth. This includes everything from improving highways to installing 5G networks. Furthermore, research and development incentives will likely boost semiconductor manufacturers, which will seed the next technological progress.
Supply Chains
The ongoing trade dispute between China and Western nations has forced manufacturers to diversify their supply chains. Countries such as Vietnam and other Southeast Asian nations are likely to benefit from this supply chain shift. Additionally, the U.S. will likely look to boost domestic activity by improving its own domestic-supply chains.
In the U.S., manufacturing activity experienced a strong rebound from its sharp deterioration last year, as indicated by the Purchasing Managers Index (PMI) for March of 2021 coming in at 64.7, the highest level since 1983. (PMI levels above 50 indicates expansionary conditions.). This elevated manufacturing activity also means more manufacturing jobs for those seeking work, which is crucial given that there is still significant slack in the labor market. Manufacturing positions are in higher demand than they have been in decades.
Building out supply-chain capacity is both a domestic and an international initiative that should support global growth and thus be broadly positive for risk assets such as equities and credit.
Infrastructure
The Biden Administration’s massive $2.25 trillion infrastructure push joins a broader global effort to improve supply-chain networks, as competition for international influence has only raised tensions with China. President Biden laid out his “Build Back Better” plan to improve roads and bridges as well as upgrade the digital- and technology-related infrastructure over the next several years. By some estimates, the process to get the plan approved may take up to six months, and its implementation could bump Gross Domestic Product growth in the U.S. by 0.5%.
The major challenge of the infrastructure bill will be determining how to finance the initiatives. The Biden Administration seeks to raise corporate taxes from 21% to 28% and may also need to resort to deficit financing. Any effort to hike taxes will draw opposition from Republicans and even moderate Democrats during the negotiations, which may bring the corporate tax increase closer to 25%. Nonetheless, infrastructure spending, especially because it will help the U.S. compete with China, should receive support from Congress.
Commodities vs. the U.S. Dollar
This global competition for influence will likely support international growth and demand for commodities. Historically, commodity prices have moved inversely with the U.S. dollar. Therefore, rising commodity prices could add downward pressure on the dollar.
Much of this demand for commodities will come from China, as it pushes for more self-reliance. Chinese demand for oil has been positive since the second quarter of 2020 and surged over the first quarter of 2021, while demand in the U.S. and Eurozone may have finally bottomed.
Raw material such as industrial metals could see upward pressure from a rise in demand. This could be positive for emerging market equities, as China’s equity market has generally moved in tandem with industrial metals.
Resurging global competition will likely bring a push for infrastructure spending internationally. This environment could boost global markets, including emerging markets.
Emerging Markets
The Asian region represents approximately 80% of the MSCI Emerging Markets Index. Therefore, the early recovery in China should have positive economic spillover effects throughout the region. We can already see China’s consumer confidence has recovered relatively quickly since the pandemic broke out.
The recovery in China is also consistent with accelerating wage growth in the country. While rising wages in China is consistent with consumer confidence, labor cost pressures in China are further persuading foreign companies to seek alternative supply chains to control costs. However, this should serve to further strengthen the markets of other emerging nations.
Concluding Remarks
The economic recovery and increased competition have the potential to drive global trade higher. Disruptions in supply chains, including the recent incident with the cargo ship blockage in the Suez Canal, will only accelerate a global push for making supply chains more efficient and diverse. This is particularly important in order to meet the pent-up demand that has been built up since the pandemic, which will likewise be released as the world’s population gets inoculated.
In the meantime, the reshuffling of supply chains may improve domestic economic activity as manufacturers scramble to meet demand. The competition between the U.S. and China for global influence will continue intensifying, but this does not necessarily mean that decades of globalization will reverse. Instead, nations will look to broaden alliances and partnerships in order to compete on a global scale. This may encourage Western companies to seek opportunities in emerging countries such as India, which is expected to be one of the largest contributors to global growth over the next several years.
While challenges around the world, including the pandemic, upended the lives of individuals, companies have generally been able to adapt. Unsettled differences between the U.S. and China regarding trade and other geopolitical issues will likely worsen in the
| See benchmark definitions on A-37 – A-39 |
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foreseeable future. Furthermore, trade wars and accidents revealed how easily supply chains can be disrupted. This should continue to drive investments in supply chains as global competition continues to increase, which should favor risk assets.
Performance of the Portfolio Optimization Funds
The performance of the Portfolio Optimization Funds are composites of the performance of each of the Funds in which each invests (which may include domestic and/or international equities and bonds). 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 of the 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. The one-year performance for these broad-based indices for the fiscal year ended March 31, 2021 is shown in the following table:
| Broad-Based Indices |
||||
| S&P 500 Index (representing U.S. Stocks) |
56.35% | |||
| Morgan Stanley Capital International (MSCI) EAFE Index (International Stocks) |
44.57% | |||
| Bloomberg Barclays US Aggregate Bond Index (Fixed Income) |
0.71% | |||
| ICE BofA U.S. 3-Month T-Bill Index (Cash) |
0.12% | |||
Pacific Funds Portfolio Optimization Conservative (managed by Pacific Life Fund Advisors LLC)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, Pacific Funds Portfolio Optimization Conservative’s Class A (without sales charge) returned 19.96%, compared to a return of 0.71% for the Bloomberg Barclays US Aggregate Bond Index, a return of 56.35% for the S&P 500 Index, and a return of 10.82% 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, 2021. For comparison purposes, the performance of all classes for the periods ended March 31, 2021 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
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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-37 – A-39 |
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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 Pacific Funds Portfolio Optimization Conservative Composite Benchmark is comprised of the Bloomberg Barclays US Aggregate Bond, S&P 500, ICE BofA U.S. 3-Month Treasury Bill, and MSCI EAFE Indices in a weighting that is fixed and specific to the Fund. The Fund was primarily invested in various fixed income strategies, with a smaller allocation to equity, during the reporting period. Fixed income investments included allocations to intermediate-term bond, short duration bond, inflation-indexed bond, emerging markets bond, and floating rate strategies. The equity segment consisted mainly of allocations to domestic and foreign large-capitalization strategies.
Among the fixed income lineup, high yield and emerging market bonds contributed to performance over the reporting period as riskier asset classes recovered after an abrupt market correction. Additionally, the PF Managed Bond Fund, which represented the largest weight in the Fund, outperformed the Bloomberg Barclays US Aggregate Bond Index and contributed to performance over the reporting period. On the other hand, Pacific Funds Floating Rate Income underperformed its benchmark, which held back performance.
As for domestic equities, exposures to small-capitalization, particularly value-oriented, stocks contributed to performance over the reporting period as the market rally favored cyclical sectors that tend to outperform in the early phase of an economic recovery. On the other hand, the exposure to real estate detracted from performance as work-from-home arrangements amid the pandemic lowered demand for office space. Additionally, PF Growth and PF Large-Cap Value underperformed their respective benchmarks, which detracted from performance. International equities as a group outperformed the MSCI EAFE Index over the reporting period. An overweight to emerging markets had a positive impact on performance.
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, 2021?
A. For the year ended March 31, 2021, Pacific Funds Portfolio Optimization Moderate-Conservative’s Class A (without sales charge) returned 29.06%, compared to a return of 0.71% for the Bloomberg Barclays US Aggregate Bond Index, a return of 56.35% for the S&P 500 Index, and a return of 19.65% 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, 2021. For comparison purposes, the performance of all classes for the periods ended March 31, 2021 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-37 – A-39 |
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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 Moderate-Conservative Composite Benchmark. The Pacific Funds Portfolio Optimization Moderate-Conservative Composite Benchmark is comprised of the Bloomberg Barclays US Aggregate Bond, S&P 500, MSCI EAFE, and ICE BofA U.S. 3-Month Treasury Bill Indices in a weighting that is fixed and specific to the Fund. The Fund had a diversified allocation mix that was modestly tilted to fixed income during the reporting period. Fixed income investments included intermediate-term bond strategies as well as short duration bond, inflation-indexed bond, high yield bond, emerging markets bond, and floating rate strategies. The Fund’s equity exposure was diversified across style (growth and value), market capitalization and region (including an allocation to foreign small-capitalization and emerging markets strategies).
Among the fixed income lineup, high yield and emerging market bonds contributed to performance over the reporting period as riskier asset classes recovered after an abrupt market correction. Additionally, the PF Managed Bond Fund, which represented the largest weight in the Fund, outperformed the Bloomberg Barclays US Aggregate Bond Index and contributed to performance over the reporting period. On the other hand, Pacific Funds Floating Rate Income underperformed its benchmark, which held back performance.
As for domestic equities, exposures to small-capitalization, particularly value-oriented, stocks contributed to performance over the reporting period as the market rally favored cyclical sectors that tend to outperform in the early phase of an economic recovery. On the other hand, the exposure to real estate detracted from performance as work-from-home arrangements amid the pandemic lowered demand for office space. Additionally, PF Growth and PF Large-Cap Value underperformed their respective benchmarks, which detracted from performance. International equities as a group outperformed the MSCI EAFE Index over the reporting period. An overweight to emerging markets had a positive impact on performance.
| See benchmark definitions on A-37 – A-39 |
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Pacific Funds Portfolio Optimization Moderate (managed by Pacific Life Fund Advisors LLC)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, Pacific Funds Portfolio Optimization Moderate’s Class A (without sales charge) returned 39.61%, compared to a return of 56.35% for the S&P 500 Index, a return of 0.71% for the Bloomberg Barclays US Aggregate Bond Index, and a return of 30.17% 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, 2021. For comparison purposes, the performance of all classes for the periods ended March 31, 2021 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. |
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 Pacific Funds Portfolio Optimization Moderate Composite Benchmark is comprised of the S&P 500, Bloomberg Barclays US Aggregate Bond, MSCI EAFE, and ICE BofA U.S. 3-Month Treasury Bill Indices in a weighting that is fixed and specific to the Fund. The Fund allocated to a mix of equity and fixed income strategies during the reporting period, with a larger allocation toward equity investments. The equity exposure was diversified across style (growth and 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-indexed bond, emerging markets bond, and floating rate loan strategies.
Among domestic equities, exposures to small-capitalization, particularly value-oriented, stocks contributed to performance over the reporting period as the market rally favored cyclical sectors that tend to outperform in the early phase of an economic recovery. On the other hand, the exposure to real estate detracted from performance as work-from-home arrangements amid the pandemic lowered demand for office space. Additionally, PF Growth and PF Large-Cap Value underperformed their respective benchmarks, which detracted from performance.
| See benchmark definitions on A-37 – A-39 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
International equities as a group outperformed the MSCI EAFE Index over the reporting period. An overweight to emerging markets had a positive impact on performance. Exposure to international small-capitalization stocks also contributed to performance.
Among the fixed income lineup, high yield and emerging market bonds contributed to performance over the reporting period as riskier asset classes recovered after an abrupt market correction. Additionally, the PF Managed Bond Fund outperformed the Bloomberg Barclays US Aggregate Bond Index and contributed to performance over the reporting period. On the other hand, Pacific Funds Floating Rate Income underperformed its benchmark, which held back performance.
Pacific Funds Portfolio Optimization Growth (managed by Pacific Life Fund Advisors LLC)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, Pacific Funds Portfolio Optimization Growth’s Class A (without sales charge) returned 50.27%, compared to a return of 56.35% for the S&P 500 Index, a return of 0.71% for the Bloomberg Barclays US Aggregate Bond Index, and a return of 39.72% 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, 2021. For comparison purposes, the performance of all classes for the periods ended March 31, 2021 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. |
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 Pacific Funds Portfolio Optimization Growth Composite Benchmark is comprised of the S&P 500, Bloomberg Barclays US Aggregate Bond, and MSCI EAFE Indices in a weighting that is fixed and specific to the Fund. The Fund had a diversified allocation mix during the reporting period with majority allocated to equity. The equity exposure was diversified across style (growth and value), market capitalization and region (including
| See benchmark definitions on A-37 – A-39 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
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, inflation-indexed bond and emerging markets bond strategies.
Among domestic equities, exposures to small-capitalization, particularly value-oriented, stocks contributed to performance over the reporting period as the market rally favored cyclical sectors that tend to outperform in the early phase of an economic recovery. On the other hand, the exposure to real estate detracted from performance as work-from-home arrangements amid the pandemic lowered demand for office space. Additionally, PF Growth and PF Large-Cap Value underperformed their respective benchmarks, which detracted from performance. International equities as a group outperformed the MSCI EAFE Index over the reporting period. An overweight to emerging markets had a positive impact on performance. Exposure to international small-capitalization stocks also contributed to performance.
Among the fixed income lineup, high yield and emerging market bonds contributed to performance over the reporting period as riskier asset classes recovered after an abrupt market correction. Additionally, the PF Managed Bond Fund outperformed the Bloomberg Barclays US Aggregate Bond Index and contributed to performance over the reporting period.
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, 2021?
A. For the year ended March 31, 2021, Pacific Funds Portfolio Optimization Aggressive-Growth’s Class A (without sales charge) returned 60.05%, compared to a return of 56.35% for the S&P 500 Index, a return of 0.71% for the Bloomberg Barclays US Aggregate Bond Index, and a return of 50.09% 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, 2021. For comparison purposes, the performance of all classes for the periods ended March 31, 2021 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
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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-37 – A-39 |
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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 Pacific Funds Portfolio Optimization Aggressive-Growth Composite Benchmark is comprised of the S&P 500, MSCI EAFE, and Bloomberg Barclays US Aggregate Bond Indices in a weighting that is fixed and specific to the Fund. The Fund primarily allocated to domestic and international equity funds that are diversified across style (growth and value), market capitalization and region (which included allocations to foreign small-capitalization and emerging markets stocks) during the reporting period. 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.
Among domestic equities, exposures to small-capitalization, particularly value-oriented, stocks contributed to performance over the reporting period as the market rally favored cyclical sectors that tend to outperform in the early phase of an economic recovery. On the other hand, the exposure to real estate detracted from performance as work-from-home arrangements amid the pandemic lowered demand for office space. Additionally, PF Growth and PF Large-Cap Value underperformed their respective benchmarks, which detracted from performance. International equities as a group outperformed the MSCI EAFE Index over the reporting period. An overweight to emerging markets had a positive impact on performance. Exposure to international small-capitalization stocks also contributed to performance.
Among the fixed income lineup, high yield and emerging market bonds contributed to performance over the reporting period as riskier asset classes recovered after an abrupt market correction.
Pacific Funds Ultra Short Income (managed by Pacific Asset Management LLC)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, Pacific Funds Ultra-Short Income’s Class I (without sales charge) returned 5.81%, compared to a return of 0.15% for its benchmark, the Bloomberg Barclays Short Treasury Total Return 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, 2021. For comparison purposes, the performance of all classes for the period ended March 31, 2021 are also shown in the table below. Performance data for 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) | Pacific Asset Management LLC began managing the Fund effective December 31, 2019. Prior to that date, Pacific Life Fund Advisors LLC doing business under the name Pacific Asset Management managed the Fund. |
|
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 primarily invests in investment grade short-term fixed and floating rate debt securities. Using a fundamental approach with a top-down overlay, Pacific Asset Management’s team of portfolio managers and research analysts look at the relative value of each security and assess the macro environment and marketplace for tailwinds and catalysts in the process of individual investment selection.
| See benchmark definitions on A-37 – A-39 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
The Fund’s focus on corporate debt versus government securities was the primary contributor to performance. The Fund’s overweight relative to the benchmark to corporate bonds, notably BBB rated corporate bonds, benefited performance. The Fund’s overweight to the non-investment grade bank loans and the high yield bonds benefited performance. The Fund’s exposure to treasuries that have longer maturities than the benchmark detracted from performance. At the sector level, overweights to Banking, AAA Collateralized Loan Obligations / Asset Backed Securities, and Independent Energy benefited performance while an overweight to the Paper sector detracted.
Pacific Funds Short Duration Income (managed by Pacific Asset Management LLC)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, Pacific Funds Short Duration Income’s Class I (without sales charge) returned 7.16%, compared to a return of 1.57% 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, 2021. For comparison purposes, the performance of all classes for the periods ended March 31, 2021 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
| (1) | Pacific Asset Management LLC began managing the Fund effective December 31, 2019. Prior to that date, Pacific Life Fund Advisors LLC doing business under the name Pacific Asset Management managed the Fund. |
|
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 maturity corporate debt focused strategy. Using a fundamental approach with a top-down overlay, Pacific Asset Management’s team of portfolio managers and research analysts look at the relative value of each security and assess the macro environment and marketplace for tailwinds and catalysts in the process of individual investment selection.
The Fund’s asset allocation and focus on corporate debt were the primary contributors to relative performance. The Fund’s reporting period, which began only a few days after the market bottom of late March 2020, saw significant total returns for credit related risk assets including corporate bonds. The Fund’s overweight relative to the benchmark to corporate bonds, notably BBB rated corporate bonds, contributed to performance. The Fund’s overweight to the non-investment grade bank loan sector and the high yield bond sector also contributed to performance. The Fund’s duration was above benchmark, which detracted from performance. The Fund’s overweight to Technology, Banking, and Electric Utilities benefited performance while the Fund’s underweights to Sovereign, Integrated Energy, and Retail REITS detracted. At the issuer level, oil and gas producers Ovintiv, Diamondback Energy and Oneok were the top contributors while Southwest Airlines (Transportation and Logistics), Marubeni (Consumer Staples) and AES (Utilities) were the top detractors.
| See benchmark definitions on A-37 – A-39 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Core Income (managed by Pacific Asset Management LLC)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, Pacific Funds Core Income’s Class I (without sales charge) returned 8.61%, compared to a return of 0.71% for its benchmark, the Bloomberg Barclays US 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 ten-year period ended March 31, 2021. For comparison purposes, the performance of all classes for the periods ended March 31, 2021 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
| (1) | Pacific Asset Management LLC began managing the Fund effective December 31, 2019. Prior to that date, Pacific Life Fund Advisors LLC doing business under the name Pacific Asset Management managed the Fund. |
|
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 an intermediate term corporate debt focused strategy. Using a fundamental approach with a top-down overlay, Pacific Asset Management’s team of portfolio managers and research analysts look at the relative value of each security and assess the macro environment and marketplace for tailwinds and catalysts in the process of individual investment selection.
The Fund benefited from asset allocation and the focus on corporate debt versus government securities as the primary contributors to relative performance. The Fund’s overweight (relative to its benchmark) to corporate bonds, notably BBB rated corporate bonds, benefited performance. The Fund’s overweight to the non-investment grade bank loan sector and the high yield bond sector benefited performance. The Fund’s duration was below that of its benchmark, which benefited performance. At the security level, General Motors (Automotive), Clubcorp (Leisure Facilities and Services), and Beazer Homes (Home Construction) were the top contributors while Liberty Mutual (Insurance), Activision (Entertainment Content), and Charter Communications (Cable and Satellite) were the top detractors. Sector overweights to Technology, Electric Utility, and Midstream Energy contributed to performance while underweights to Airlines, Tobacco, and Sovereigns detracted.
| See benchmark definitions on A-37 – A-39 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Strategic Income (managed by Pacific Asset Management LLC)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, Pacific Funds Strategic Income’s Class I (without sales charge) returned 23.23%, compared to a return of 0.71% for its benchmark, the Bloomberg Barclays US 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, 2021. For comparison purposes, the performance of all classes for the periods ended March 31, 2021 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
| (1) | Pacific Asset Management LLC began managing the Fund effective December 31, 2019. Prior to that date, Pacific Life Fund Advisors LLC doing business under the name Pacific Asset Management managed the Fund. |
|
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 focuses on USD credit focused fixed income asset classes, notably non-investment grade securities. Based on our view of the market conditions during the reporting period, we positioned the Fund towards non-investment grade securities. Using a fundamental approach with a top-down overlay, Pacific Asset Management’s team of portfolio managers and research analysts look at the relative value of each security and assess the macro environment and marketplace for tailwinds and catalysts in the process of individual investment selection.
The Fund outperformed its benchmark for the reporting period due to asset allocation and the focus on credit related fixed income sectors including corporate bonds, bank loans, and high yield securities. The reporting period, which began just a few days after the late March 2020 market bottom, led to significant total returns across risk assets. The Fund’s overweight (relative to its benchmark) in corporate bonds, notably BBB rated corporate bonds, benefited performance. The Fund’s overweight to the non-investment grade bank loan sector and the high yield bond sector contributed to performance. The Fund’s duration was below benchmark, contributing to relative performance. At the sector level, overweights to Midstream, Independent, and Gaming benefited performance while underweights to Sovereign, Chemicals, and Health Insurance detracted. At the issuer level, overweights to Golden Nugget (Leisure Facilities and Services), Energy Transfer (Oil and Gas Producers), and Boeing (Aerospace and Defense) contributed to performance while Sinclair Broadcasting (Publishing and Broadcasting), TNT Crane (Industrials), Liberty Mutual (Insurance) detracted.
| See benchmark definitions on A-37 – A-39 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Floating Rate Income (managed by Pacific Asset Management LLC)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, Pacific Funds Floating Rate Income’s Class I (without sales charge) returned 14.87%, compared to a return of 20.77% 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, 2021. For comparison purposes, the performance of all classes for the periods ended March 31, 2021 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
| (1) | Pacific Asset Management LLC began managing the Fund effective December 31, 2019. Prior to that date, Pacific Life Fund Advisors LLC doing business under the name Pacific Asset Management managed the Fund. |
|
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. Using a fundamental approach with a top down overlay, Pacific Asset Management’s team of portfolio managers and research analysts look for investment opportunities in floating rate loans and floating rate debt securities.
For the reporting period, the Fund underperformed the benchmark primarily due to its focus on performing loans. During the reporting period, lower quality substantially outperformed. The Fund focused on the performing part of the bank loan market. The Fund’s underweights (relative to its benchmark) to issuers in the energy and gaming/leisure sectors detracted from performance. Credit quality allocations were mixed in regard to relative performance. The Fund’s overweight to B vs. BB rated issuers contributed to relative performance, and the Fund’s underweight to CCC-rated issuers detracted. The Fund focused during the reporting period on performing second lien CCC rated issuers. The Fund’s focus on larger and more liquid issuers, generally those with facility sizes greater than $1billion U.S. dollars detracted from performance as smaller issuers outperformed.
| See benchmark definitions on A-37 – A-39 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds High Income (managed by Pacific Asset Management LLC)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, Pacific Funds High Income’s Class I (without sales charge) returned 24.76%, compared to a return of 23.65% for its benchmark, the Bloomberg Barclays US. 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, 2021. For comparison purposes, the performance of all classes for the periods ended March 31, 2021 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
| (1) | Pacific Asset Management LLC began managing the Fund effective December 31, 2019. Prior to that date, Pacific Life Fund Advisors LLC doing business under the name Pacific Asset Management managed the Fund. |
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class I outperformed the benchmark. The Fund seeks a high level of current income by investing in non-investment grade debt instruments or in instruments with characteristics of non-investment grade instruments. Using a fundamental approach with a top-down overlay, Pacific Asset Management’s team of portfolio managers and research analysts look at the relative value of each security and assess the macro environment and marketplace for tailwinds and catalysts.
During the reporting period, the Fund outperformed the benchmark primarily due to sector allocations and an overweight (relative to the benchmark) to lower quality securities. The Fund’s underweight to BB rated securities and overweight to CCC rated securities benefited performance given the rally in lower quality issuers. At the sector level, underweights to Cable & Satellite and Technology benefited performance along with the overweight to Midstream Energy companies. The Fund’s underweight to Independent Energy and Airlines detracted from performance. Top issue level contributors included Golden Nugget (Leisure Facilities and Services), Ahern Rentals (Industrial), and Ford (Automotive) while largest issuer level detractors were Occidental Petroleum (Oil and Gas), Sinclair Broadcasting (Publishing and Broadcasting), and Altice (Cable and Satellite). The Fund’s duration was shorter than the benchmark during the reporting period, benefiting relative performance.
| See benchmark definitions on A-37 – A-39 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds ESG Core Bond (managed by Pacific Asset Management LLC)
Q. How did the Fund perform for the period ended March 31, 2021?
A. Pacific Funds ESG Core Bond commenced operations on December 14, 2020. For the period from inception through March 31, 2021, the Fund’s Class I (without sales charge) returned -2.73% compared to a return of -3.13% for its benchmark, the Bloomberg Barclays US 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, 2021. For comparison purposes, the performance of all classes for the period ended March 31, 2021 are also shown in the table below. Performance data for 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 period, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the period from inception through March 31, 2021, the Fund’s Class I outperformed the benchmark. The Fund uses an intermediate term corporate debt focused strategy. Using a fundamental approach with a top-down overlay, Pacific Asset Management’s team of portfolio managers and research analysts look at the relative value of each security and assess the macro environment and marketplace for tailwinds and catalysts in the process of individual investment selection. The Fund also incorporates sustainable investment goals into the investment process by use of ESG Exclusions and ESG metrics. The sub-adviser created the following ESG Exclusions to seek to screen out investment in issuers with direct involvement in: (i) the production, distribution, sale or use of thermal coal exceeding the sub-adviser’s revenue threshold; (ii) the production of tobacco; (iii) the production or sale of controversial military weapons; and (iv) serious human rights violations or severe environmental damage. Individual investment selection was also based on the sub-adviser’s analysis of ESG metrics provided by independent third-party ESG service providers. That is, the sub-adviser relies on ESG ratings and other information provided by various independent third-party ESG service providers to help construct a portfolio that rates highly on ESG factors.
The Fund benefited from asset allocation, security selection, and the underweight to duration during the period we managed the Fund. The Fund’s duration was below that of the benchmark, contributing to relative performance. The Fund’s overweight (relative to its benchmark) to longer maturity corporate bonds detracted from performance though the underweight to long maturity Treasuries contributed. At the issuer level, Oracle, Verizon, and Delta Airlines contributed to performance while CVS and PNC Bank detracted.
| See benchmark definitions on A-37 – A-39 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Small/Mid-Cap (managed by Rothschild & Co Asset Management US Inc.)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, Pacific Funds Small/Mid-Cap’s Advisor Class (without sales charge) returned 84.04%, compared to a return of 89.40% for its benchmark, the Russell 2500 Index.
The following graph compares the performance of a hypothetical $10,000 investment in Advisor Class shares of the Fund to its benchmark for the period from inception through March 31, 2021. For comparison purposes, the performance of all classes for the periods ended March 31, 2021 are also shown in the table below. Performance data for Class A, C, and R6 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 Advisor Class underperformed the benchmark. We at Rothschild & Co implement the Fund’s strategy by investing in common stocks and other equity securities of small and medium capitalization U.S. companies. 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. Our focus remains on identifying stocks with attractive relative valuations and the ability to exceed investors’ expectations.
Leading sectors contributing to the Fund’s performance included consumer discretionary, industrials, and health care. Conversely, the utilities, communication services, and energy sectors were the least impactful to the Fund’s absolute performance, with the utilities sector partially detracting from overall returns. Sector allocation was positive, with tailwinds from underweights to the real estate and utilities sectors along with an overweight to the information technology sector exceeding the headwinds from the Fund’s small cash position along with an underweight to the energy sector and an overweight to the industrials sector. Stock selection was the primary driver of the Fund’s relative underperformance, with the effects of contributors in the consumer discretionary, financials, and industrials sectors falling short of those of the detractors in information technology, health care, and real estate sectors.
Turning to individual stocks, the most severe detractors from the Fund’s performance included Intercept Pharmaceuticals Inc, a biotech developing therapies to treat chronic liver diseases, which reeled from the complete response letter (CRL) it received from Food and Drug Administration (FDA) regarding its Nonalcoholic Steatohepatitis (NASH) (fatty-liver disease) New Drug Application (NDA) filing. Subsequently, absent FDA guidance, the Fund’s management lacked clarity on a regulatory pathway forward and sold the stock. Another detractor from the Fund’s performance was FTI Consulting Inc, a business consulting firm, which was under modest pressure as the company’s litigation related business was impacted by COVID-19 delays which were partially offset by initial significant demand in its bankruptcy restructuring practice. That being said, the expected bankruptcy upcycle stopped relatively quickly as the market was flush with liquidity, removing near-term bankruptcy risks for a number of industries and companies. Lastly, Portland General Electric Co (POR), modestly underperformed its regulated utility peer group, the benchmark’s worst performing sector during the reporting period. POR underperformed after lowering its 2020 earnings guidance due to concerns over customer non-payment due to COVID-19 related job losses, and then again, after unfounded reports that the company was responsible for igniting the Riverside wildfire in Oregon.
Top individual stock contributors to the Fund’s performance included RH (formerly Restoration Hardware), a furniture retailer, reported better-than-expected results and guidance as consumer demand trends towards home spending continued. The company appears very well positioned at the high-end as there are increases in second and third home ownership and a movement toward suburban living from smaller dwellings in urban locations. Such trends likely create a strong sustainable demand trend for home furnishings. Another contributor to the Fund’s performance, Lithia Motors Inc ‘A’, an auto retailer, reported better-than-expected results driven by a resurgence in demand and much
| See benchmark definitions on A-37 – A-39 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
stronger margins. In addition, the company officially introduced its omni channel offering “Driveway” which is expected to generate sizable earnings contribution over the next 5 years. This initiative along with an aggressive acquisition strategy and improving core growth, the company provided a $50 earnings per share goal within 5 years, which is higher than current profit levels.
Pacific Funds Small-Cap (managed by Rothschild & Co Asset Management US Inc.)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, Pacific Funds Small-Cap’s Advisor Class (without sales charge) returned 87.51%, compared to a return of 94.85% for its benchmark, the Russell 2000 Index.
The following graph compares the performance of a hypothetical $10,000 investment in Advisor Class shares of the Fund to its benchmark for the period from inception through March 31, 2021. For comparison purposes, the performance of all classes for the periods ended March 31, 2021 are also shown in the table below. Performance data for Class A, C, and R6 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 Advisor Class underperformed the benchmark. We at Rothschild & Co implement the Fund’s strategy by investing in common stocks and other equity securities of small capitalization U.S. companies. 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. Our focus remains on identifying stocks with attractive relative valuations and the ability to exceed investors’ expectations.
Leading sectors contributing to the Fund’s performance included consumer discretionary, industrials, and health care. Conversely, the utilities, energy, and communication services sectors were the least impactful to the Fund’s absolute performance, with the utilities sector partially detracting from overall returns. Sector allocation was positive, with tailwinds from an overweight to the consumer discretionary sector and an underweight to the utilities and financials sectors exceeding the headwinds from the Fund’s small cash position along with underweights to the materials and energy sectors. Stock selection was the primary driver of the Fund’s relative under performance, with the effects of contributors in the consumer discretionary, financials, and consumer staples sectors falling short of those of the detractors in the health care, information technology, and real estate sectors.
Turning to individual stocks, the most severe detractors from the Fund’s performance included Intercept Pharmaceuticals Inc, a biotech developing therapies to treat chronic liver diseases, which reeled from the complete response letter (CRL) it received from FDA regarding its NASH (fatty-liver disease) NDA filing. Subsequently, absent FDA guidance, the Fund’s management lacked clarity on a regulatory pathway forward and sold the stock. Another detractor from the Fund’s performance was FTI Consulting Inc, a business consulting firm, which was under modest pressure as the company’s litigation related business was impacted by COVID-19 delays which were partially offset by initial significant demand in its bankruptcy restructuring practice. That being said, the expected bankruptcy upcycle stopped relatively quickly as the market was flush with liquidity, removing near-term bankruptcy risks for a number of industries and companies. Lastly, Novavax, a vaccine drug company, reported best-in-class COVID-19 vaccine safety and efficacy in both the original wild-type virus and variants in its United Kingdom (U.K.) clinical study back in January 2021. Following these positive results the stock was purchased in the Fund however, it weakened after the company disclosed a slight delay to the read-out of its important U.S./Mexico clinical study required for FDA approval from March 2021 to April 2021. The other driving force of the stock’s pullback was that the stock possessed a tremendous amount of momentum, a factor which fell out of favor in the last two weeks of February 2021.
| See benchmark definitions on A-37 – A-39 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Top individual stock contributors to the Fund’s performance included Lithia Motors Inc ‘A’, an auto retailer, which reported better-than-expected results driven by a resurgence in demand and much stronger margins. In addition, the company officially introduced its omni channel offering “Driveway” which is expected to generate sizable earnings contribution over the next 5 years. This initiative along with an aggressive acquisition strategy and improving core growth, the company provided a $50 earnings per share goal within 5 years, which is higher than current profit levels. Another contributor to the Fund’s performance, Horizon Therapeutics PLC, successfully launched Tepezza, an orphan thyroid eye disease drug, that became one of the best all-time orphan drug launches. The company launched the drug in February 2020 and raised sales guidance consecutively in its first four quarters following launch, from an initial expectation of $60 million to finish the fiscal fear 2020 with sales over $800 million.
Pacific Funds Small-Cap Value (managed by Rothschild & Co Asset Management US Inc.)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, Pacific Funds Small-Cap Value’s Advisor Class (without sales charge) returned 89.25%, compared to a return of 97.05% for its benchmark, the Russell 2000 Value Index.
The following graph compares the performance of a hypothetical $10,000 investment in Advisor Class shares of the Fund to its benchmark for the period from inception through March 31, 2021. For comparison purposes, the performance of all classes for the periods ended March 31, 2021 are also shown in the table below. Performance data for Class A, C, and R6 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. |
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 Advisor Class underperformed the benchmark. We at Rothschild & Co implement the Fund’s strategy by investing in common stocks and other equity securities of small capitalization U.S. companies. 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. Our focus remains on identifying stocks with attractive relative valuations and the ability to exceed investors’ expectations.
Leading sectors contributing to the Fund’s performance included consumer discretionary, financials, and industrials. Conversely, the utilities, communication services, and energy sectors were the least impactful to the Fund’s absolute performance, with the utilities sector partially detracting from overall returns. Sector allocation was negative, with tailwinds from an overweight to the consumer discretionary sector and underweights to the utilities and financials sectors being eclipsed by the headwinds from the Fund’s small cash position along with an underweight to the energy sector and an overweight to information technology. Stock selection was the primary driver of the Fund’s relative underperformance, with the effects of contributors in the financials and industrials sectors falling short of those of the detractors in the materials, real estate, and health care sectors.
Turning to individual stocks, the most severe detractors from the Fund’s performance included Southwest Gas Holdings Inc (SWX), a regulated utility, the benchmark’s worst-performing sector for the reporting period. SWX underperformed its peer group due to an adverse rate case ruling, which delayed reimbursement for certain capital expenditures reducing near-term revenue growth. Another detractor from the Fund’s performance was Novavax, a vaccine drug company, reported best-in-class COVID-19 vaccine safety and efficacy in both the original wild-type virus and variants in its U.K. clinical study back in January 2021. Following these positive results the stock was purchased in the Fund however, it weakened after the company disclosed a slight delay to the read-out of its important US/Mexico clinical study required for FDA approval from March 2021 to April 2021. The other driving force of the stock’s pullback was that the stock possessed a tremendous amount of
| See benchmark definitions on A-37 – A-39 |
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momentum, a factor which fell out of favor in the last two weeks of February 2021. Lastly, Black Hills Corporation, also a regulated utility, modestly underperformed its peer group after the company lowered its 2020 earnings guidance due to concerns over customer non-payment due to COVID-19 related job losses.
Top individual stock contributors to the Fund’s performance included Lithia Motors Inc ‘A’, an auto retailer, which reported better-than-expected results driven by a resurgence in demand and much stronger margins. In addition, the company officially introduced its omni channel offering “Driveway” which is expected to generate sizable earnings contribution over the next 5 years. This initiative along with an aggressive acquisition strategy and improving core growth, the company provided a $50 earnings per share goal within 5 years, which is significantly higher than current profit levels. Another contributor to the Fund’s performance, American Eagle Outfitters Inc, an apparel retailer, reported consistently better-than-expected results primarily driven by Aerie (its intimate and lounge brand) and pointed to continued improvement throughout the reporting period. The combination of growth potential of Aerie along with sizable margin expansion and earnings power of its American Eagle brand seems to position the company well for the future.
PF Inflation Managed Fund (sub-advised by Pacific Investment Management Company LLC)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, the PF Inflation Managed Fund’s Class P returned 10.19%, compared to a return of 7.54% for its benchmark, the Bloomberg Barclays US 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, 2021. 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, LLC served as co-sub-adviser of the Fund with PIMCO. Prior to January 15, 2015, PIMCO served as the sole sub-adviser. |
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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. |
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 PIMCO implement the Fund’s investment strategies by investing in bonds and derivative instruments, focusing on inflation-indexed debt securities.
An overweight to U.S. and European breakeven inflation, the difference between nominal and real interest rates, contributed to performance. The Fund’s short position to core U.K. RPI detracted from performance. An overweight to nominal interest rates, particularly in the U.S., detracted from performance as interest rates rose. Tactical exposure to investment grade credit, short exposure to high yield credit, and exposure to Agency mortgage-backed securities generated positive returns over the reporting period, contributing to performance.
During the reporting period the Fund bought and sold credit protection through credit default swaps to increase and decrease exposure to the broader investment grade or high yield market sectors, and to take advantage of the basis between the credit default swap and cash bond market. 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 and purchased options and swaptions on futures, bond indices, 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 the Fund’s securities, and to express certain views on currency markets. The Fund also held inflation floors to hedge duration.
| See benchmark definitions on A-37 – A-39 |
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PF Managed Bond Fund (co-sub-advised by J.P.Morgan Investment Management Inc., Pacific Investment Management Company LLC and Western Asset Management Company, LLC)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, the PF Managed Bond Fund’s Class P returned 4.69%, compared to a return of 0.71% for its benchmark, the Bloomberg Barclays US 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, 2021. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | J.P. Morgan Investment Management Inc. became co-sub-advisor to the Fund on October 23, 2020 and some investment policies changed at that time. Western Asset Management Company, LLC 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. |
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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. |
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 JP Morgan, PIMCO and Western Asset. The following are separate discussions from each co-sub-adviser.
JP Morgan
JP Morgan became a co-manager of the Fund on October 30, 2020. During the approximate five-month period from October 30, 2020 through March 31, 2021 when we at JP Morgan co-managed the Fund, our portion of the Fund outperformed the benchmark. In seeking the Fund’s goal of maximizing total return, we invest our portion of the Fund assets in debt securities that focused on investment grade intermediate-term debt securities (five to ten years to maturity) in order for the Fund to maintain a dollar-weighted average maturity between three and ten years. Taking a long-term approach, we look for individual fixed income investments that we believe will perform well over a market cycle. We are value oriented and make decisions to purchase and sell individual securities and instruments after performing a risk/reward analysis that includes an evaluation of interest rate risk, credit risk, duration, liquidity, legal provisions in offering documents (like term to maturity) of the debt security or instrument and the legal structure (such as priority of payments in a multi-class structure) of the debt security.
During the period we managed the Fund, the Treasury yield curve steepened by 0.86% between two- and ten-year market indicators. Two-year yields ended 0.01% higher to finish the period we managed the Fund at 0.16%, while the ten-year was 0.87% higher to finish at 1.74%.
The Fund’s duration and yield curve positioning were contributors to the performance of our portion of the Fund. When interest rates rise across the maturity spectrum, those issues with a longer time to maturity decline in price more than those with shorter maturities, all else being equal. We had focused on securities with a shorter maturity and emphasized what is called the belly of the curve, which is more specifically securities with maturities in the next five to ten-years. In addition, we had a lower weighting of securities that mature farther out, giving us a performance advantage as those issues fell in price more as an adjustment to the new rate regime. For the portion of the Fund we managed, the portfolio duration, which is an effective measure of how long it will take to have the investments returned either through principal paydowns, interest coupon payments or maturities was lower than that of the benchmark. In a rising rate period, which was the case from October 30, 2020 through March 31, 2021 that contributed to the Fund’s outperformance relative to the Index.
Security selection in agency mortgage-backed securities (MBS) was a positive contributor, as the Fund’s mortgages outperformed benchmark mortgage pass-throughs. In a period of elevated mortgage prepayments, the Fund’s prepayment-protected agency MBS did well. From a sector allocation perspective, the Fund’s overweight to the MBS sector was a detractor.
The Fund’s underweight to corporate bonds was a detractor, but this was more than offset by the positive security selection in the sector.
| See benchmark definitions on A-37 – A-39 |
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Lastly, the Fund’s security selection in commercial mortgage-backed securities (CMBS) detracted from performance relative to the benchmark.
PIMCO
For the reporting period, the PIMCO managed portion of the Fund’s Class P outperformed the benchmark. We at PIMCO implement the Fund’s investment strategies by investing in bonds and derivative instruments with the characteristics of debt instruments.
Tactical U.S. duration positioning and short exposure to U.K. interest rates contributed to performance, while interest rate strategies within the Eurozone, particularly a preference for Italian debt, detracted from performance.
For our portion of the Fund, exposure to and selection within Agency and non-Agency mortgage backed securities (MBS), contributed to performance. Underweight positioning within investment grade credit and exposure to high yield credit also contributed to performance. Additionally, exposure to Treasury Inflation Protected Securities (TIPS) added to performance. Within currencies, exposure to a basket of emerging market currencies detracted from performance.
During the reporting period, our portion of the Fund bought and sold credit protection through credit default swaps to increase and decrease exposure to the credit risk of individual securities and to the broader investment grade, high yield, mortgage, emerging market sectors, and to take advantage of the basis between the credit default swap and cash bond market. Our portion of the Fund entered into interest rate swaps to manage nominal or real interest rate exposure in various global markets and as a substitute for cash bond exposure. Our portion of the Fund entered into futures contracts to manage interest rate exposure, as a substitute for cash bond exposure, and for purposes of liquidity. Our portion of the Fund sold/wrote options and swaptions on futures, bond indices, and swaps and also purchased options on futures, bond indices, and to-be-announced (TBAs) as a means of capitalizing on anticipated changes in market volatility and to generate income. Our portion of the Fund purchased and sold foreign currency contracts in connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some of the Fund’s securities, and to express certain views on currency markets. Our portion of the Fund also held inflation floors that were previously traded in the portfolio to hedge duration, though exposures were not adjusted during the reporting period.
Western Asset
For the reporting period, the portion of the Fund’s Class P managed by Western Asset outperformed the benchmark. For our portion of the Fund, we at Western Asset seek to maximize total return consistent with prudent investment management. We utilize a long-term, fundamental value philosophy in conjunction with 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.
During the reporting period, in our portion of the Fund, spread sectors contributed the most to the Fund’s outperformance, while interest rate exposure (in aggregate) detracted from performance. Our portion of the Fund held a duration overweight (relative to the benchmark) that was concentrated at the back-end of the yield curve and was intended to serve as a valuable diversification strategy and risk-off hedge to potential downside volatility that could arise from any challenges to the global growth outlook. At the start of the reporting period, we believed that central banks would continue to offer extraordinary policy accommodation and that growth would be positive, but muted, while long-term inflation would remain subdued. With regards to the Fund’s yield curve positioning, we believed that the Federal Reserve’s rate cuts and additional accommodative programs in response to the Covid-19 crisis would continue to keep the front to intermediate part of the yield curve anchored. We also believed that the curve would flatten after steepening during the second quarter of the reporting period. Ultimately, the broad swath of the yield curve steepened on the year, and the Fund’s yield curve positioning was a significant detractor to performance. US TIPS exposure, however, contributed positively to performance during the reporting period as breakeven inflation rates recovered strongly to eventually exceed pre-pandemic levels.
Corporate credit exposures, including both investment grade and high-yield/high risk or non-investment grade, were significant positive contributors to performance. Early in the reporting period, our portion of the Fund added to both sectors at wider spread levels and in select subsectors and individual issuers where we saw compelling value opportunities. This benefitted performance as spreads tightened meaningfully, ultimately ending the reporting period at spread levels close to where they had begun.
Other contributors to our portion of the Fund’s performance during the reporting period included its Emerging Markets (EM), structured product and non-US Developed Market (DM) exposures. EM exposure added to the Fund’s performance as U.S. dollar-denominated bond spreads tightened over the reporting period and, although individual currency performance was mixed, most EM currencies strengthened versus the U,S. dollar over the reporting period. Structured product, in aggregate, contributed to performance as the asset class recovered from the Covid-induced sell-off and spreads tightened as the over the period. Finally, non-US DM positions contributed to performance as the spread between Italian BTPs and German bunds compressed meaningfully and most DM currencies strengthened versus the US dollar.
During the reporting period, our portion of the Fund primarily used U.S. Treasury futures and options, Eurodollar futures and options, and interest rate swaps to manage its duration and yield curve exposure. We also used non-U.S. Interest Rate Futures to manage exposure to the international bond markets. Credit default swaps on both investment grade and high yield indices were used as an efficient, low cost way of adjusting exposures to these sectors on the margin. The Fund also used Mortgage TBAs (To Be Announced) to gain exposure to the agency mortgage backed securities (MBS) market and other stripped MBS derivatives to gain exposure to specific characteristics of agency MBS. Finally, the Fund used foreign exchange futures, forwards, and options to take outright positions in a variety of currencies, including the Australian dollar (AUD), Mexican peso (MXN), Japanese yen (JPY), British pound (GBP), and Euro (EUR).
| See benchmark definitions on A-37 – A-39 |
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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, 2021?
A. For the year ended March 31, 2021, the PF Short Duration Bond Fund’s Class P returned 6.47%, compared to a return of 1.57% for its benchmark, the Bloomberg Barclays 1-3 Year US 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, 2021. 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. |
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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. |
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). 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 top contributor to the Fund’s relative performance. Our overweight (relative to the benchmark) to investment-grade corporate bonds and corresponding underweight to U.S. Treasuries aided relative results as investors searched for yield in the low rate environment. Also boosting returns was our inclusion of non-benchmark holdings in asset-backed securities, commercial mortgage-backed securities, and mortgage-backed securities, which benefited from a rebound in risk sentiment.
Security selection also contributed to the Fund’s performance. Corporate bonds in the energy sector performed well in tandem with rising oil prices as lockdown restrictions were eased and demand for the commodity improved. Credits in the consumer cyclical sector also contributed positively alongside coronavirus vaccine approvals and deployments.
Yield curve positioning detracted due to our duration position, which was longer than that of the benchmark for much of the reporting period but was modestly shorter heading into 2021. A slight overweight to the intermediate portion of the curve detracted from relative performance as intermediate U.S. Treasury yields rose.
As of March 31, 2021, the Fund held interest rate futures generating gross notional exposure of 21.72%. The Fund held index credit default swaps at other points during the reporting period. The estimated return impact from employing futures was 0.22% and 0.01% from index credit default swaps for the reporting period.
| See benchmark definitions on A-37 – A-39 |
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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, 2021?
A. For the year ended March 31, 2021, the PF Emerging Markets Debt Fund’s Class P returned 20.47%, compared to a return of 16.00% for the broad-based J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified Index and 13.35% 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, 2021. 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. |
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 sector-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), government agencies and instrumentalities and corporate issuers, and may be denominated in any currency, including the local currency of the issuer. We at Ashmore tactically manage exposure to emerging market sovereign external 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 emerging markets sovereign external debt decreased, starting the reporting period at 59.92% and ending at around 58.65% of the Fund’s net asset value (NAV). Over the reporting period, the Fund’s exposure to corporate debt investments increased, starting the reporting period at 11.22% and ending at around 14.03% of NAV. Finally, the Fund’s exposure to emerging market local bonds and net exchange rate positions shifted throughout the reporting period, starting at 49.83%, reaching a month end low point of 43.3% as the global economy reacted to the pandemic, and ending at around 46.26% of NAV.
The Fund’s overweight position (relative to its benchmark) in hard currency sovereign external debt and off benchmark allocation to corporate debt contributed to the Fund’s relative performance over the reporting period. Overall, the largest contributor over the reporting period was driven by security selection in corporate debt and local currency.
The largest country contributors to Fund performance over the reporting period were Ecuador, Mexico and Angola. Overall, the largest country detractor over the reporting period were positions in Lebanon.
The Fund’s positions in derivatives are mainly in foreign exchange (FX) forwards – notably to hedge the FX exposure of some local currency bond positions, and some swaps for efficient portfolio management purposes
The following are summary developments in the various countries mentioned above in which the Fund invested during the reporting period:
With one of the highest rates of infection from the COVID-19 pandemic and an economy significantly dependent on oil exports, Ecuador faced a major challenge early in the reporting period in balancing domestic needs and maintaining its debt payment schedule. Ecuador undertook a number of challenging steps to remain in compliance with the requirements of the existing $4.2 billion U.S. dollar International Monetary Fund (IMF) financial support package. As the payment date for a March of 2020 bond maturity approached, there was considerable political pressure to suspend the payment, but the government paid the bond maturity and indicated it would commence discussions with bondholders to “consensually reorganize” its debt obligations while utilizing the grace period on interest payments as a bridge to the anticipated receipt of new financing from the IMF and bilateral lenders. In August, the IMF agreed on a new $6.5 billion U.S. dollar Extended Funding Facility program, of which $4 billion U.S. dollars was disbursed in 2020. The new agreement permitted the successful restructuring of Ecuador’s $17 billion U.S. dollar external debt.
| See benchmark definitions on A-37 – A-39 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Economic data releases confirmed the continuation of a partial economic recovery in Mexico, although depressed year on year tourism revenues highlighted the slow recovery in those sectors most exposed to the pandemic. Significantly for PEMEX, the national oil company, President Andres Manuel Lopez Obrador announced $3.6 billion U.S. dollars in tax cuts for the company, which may be followed by further support, including assistance with debt payments. On the macro side, the trade deficit in Mexico came in below the average over the last five years.
Angola had commenced a program of economic reform and fiscal consolidation prior to the pandemic, targeting the country’s debt burden in line with IMF’s multi-year $3.7 billion loan program. While the Angolan economy contracted by 4% in 2020, increased oil prices have contributed to a strong start to 2021; the economy is forecast to expand at a modest annual pace in 2021, with projected growth of 2.4% in 2022. The IMF approved a disbursement of nearly $490 million U.S. dollars in January after the country obtained a three-year debt relief agreement with Chinese lenders, and should benefit from the recently-approved increase in SDR reserves.
Lebanon suspended payments on its external bonds prior to an early-March 2020 maturity and subsequently declared a moratorium on its entire debt stock. Early attempts at negotiation with the IMF reached a quick stalemate as the Lebanese government was unable to reach consensus on the magnitude of the problem or the steps required to address it. The government ultimately collapsed following an explosion in Beirut and, despite the appointment of several Prime Minister designates, the country remains without a government as various sectarian factions refuse to agree on the allocation of ministerial responsibilities. International pledges of support remain suspended as those donors require both a functioning government and the initiation of significant reforms.
The situation in Venezuela remains unchanged, with attention shifting to the potential for a shift in policy from the Biden Administration. While there have been some calls for relaxation of some sanctions for humanitarian purposes, to date there has been no shift in US policy. The domestic political environment remains extremely tense between Nicolas Maduro and Juan Guaido and their supporters. Maduro lost a significant court battle in the United Kingdom (U.K.) over ownership of the country’s gold held in reserve, and with no active oil rigs in the country, oil production has largely ceased. Parliamentary elections were held on December 6, 2020 in Venezuela, with low voter participation; the election was boycotted by the Guaido-led opposition. This resulted in a new National Assembly and a continued worsening of the political crisis, as Guaido’s claim to be the lawful president of the country is questionable as the “old” National Assembly has ceased to exist despite its own vote to extend the body’s life for an additional year. The U.S. government extended the license prohibiting seizure of the collateral supporting the defaulted Petroleos de Venezuela, S.A. (PDVSA) 2020 bond, as the matter continues to be litigated in U.S. courts.
Bond prices in Argentina have languished even as economic fundamentals have shown improvement, evidenced by a rebound in Gross Domestic Product (GDP), an increase in reserves and stabilization of FX levels. Mid-term elections will take place in October 2020, with internal political disagreement on the pace of negotiations with the IMF on the proposed restructuring of the country’s USD 44bn in debt to the multilateral institution. Immediately after Vice President Christina Kirchner stated that Argentina would not be in a position to pay its debt to the IMF, both Minister of Economy Guzman and the IMF highlighted the positive direction of negotiations. Political noise is likely to continue until the midterm elections have been completed.
PF Growth Fund (sub-advised by MFS Investment Management)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, the PF Growth Fund’s Class P returned 50.42%, compared to a return of 62.74% 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, 2021. 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. |
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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. |
| See benchmark definitions on A-37 – A-39 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P underperformed the benchmark. The strategy is 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.
Stock selection in both the autos & housing and special products & services sectors detracted from performance relative to the benchmark. Within the autos & housing sector, not holding shares of electric vehicle manufacturer Tesla weakened relative returns as the stock outperformed the benchmark over the reporting period. Within the special products & services sector, the timing of the Fund’s positions in financial technology services provider Fiserv (security was not held in the Fund at reporting period end) and global provider of banking and payment technologies Fidelity National Information Services (security was not held in the Fund at reporting period end), as well as overweight positions in analytics and risk assessment services provider Verisk Analytics and electronic payment services company Global Payments, detracted from relative returns.
Stock selection and an underweight position relative to the benchmark in the strong-performing technology sector also detracted from relative results. The Fund’s underweight position in computer and personal electronics maker Apple hindered performance as the stock outperformed the benchmark over the reporting period.
Stocks in other sectors that also detracted from relative returns included holding shares of global consumer products company Colgate-Palmolive (security is not a benchmark constituent) and overweight positions in both global biotechnology company Vertex Pharmaceuticals and global payments technology company Visa.
The Fund’s cash and/or cash equivalents position during the reporting period was also a detractor 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 growth equity markets rose, as measured by the Fund’s benchmark, holding cash hurt the Fund’s performance when compared to the benchmark, which has no cash position.
An underweight position and stock selection in both the consumer staples and industrial goods & services sectors contributed to performance. Within the consumer staples sector, not holding beverage manufactures PepsiCo and Coca-Cola aided relative returns as both stocks lagged the benchmark over the reporting period. Within the industrial goods & services sector, not holding defense contractor Lockheed Martin contributed to relative results.
Other top contributors included the Fund’s overweight positions in credit card payment processing solutions services provider Square and digital payment technology developer Paypal. Additionally, the timing of the Fund’s positions in semiconductor company Lam Research and pharmaceutical company Merck & Co. (security was not held in the Fund at reporting period end), holding lithography systems manufacturer ASML (security is not a benchmark constituent) (Netherlands) and cloud-based e-commerce platform operator Shopify (security is not a benchmark constituent)(Canada), as well as not holding biotechnology firm Amgen aided results.
PF Large-Cap Value Fund (sub-advised by ClearBridge Investments, LLC)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, the PF Large-Cap Value Fund’s Class P returned 52.63%, compared to a return of 56.09% 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, 2021. 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. |
| See benchmark definitions on A-37 – A-39 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P underperformed the benchmark. We, the ClearBridge large-capitalization value team, use 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 near- and medium-term cash flows over those with a longer projected time frames when discounting earnings from emerging business models or products. We consider valuations relative to normalized earnings power. There is no change to our disciplined investment approach that focuses on competitively well-positioned companies with strong business franchises capable of generating superior returns across cycles.
Relative to the benchmark, overall stock selection detracted from performance for the reporting period, while sector allocation contributed positively. The Fund’s stock selection in the energy, health care and industrials sectors detracted the most from relative performance for the reporting period. In terms of allocation, the Fund’s underweight position in the consumer discretionary sector detracted the most from relative performance for the reporting period. The Fund’s cash position was also detrimental. On an individual stock basis, the leading detractors from relative performance included positions in integrated energy company Exxon Mobil in the energy sector; Berkshire Hathaway, a holding company in the financials sector engaged in a set of diverse businesses including insurance, freight rail transportation, utility and energy generation and distribution, among others; HVAC company Carrier Global in the industrials sector; health care services company CVS Health and pharmaceutical company Pfizer in the health care sector.
Stock selection in the information technology (IT) and communication services sectors and underweights to the consumer staples and health care sectors benefited relative performance. On an individual stock basis, the leading relative contributors to Fund performance for the reporting period included our holdings in Deere, in the industrials sector, which makes machinery for agriculture, industry and forestry; TE Connectivity, in the IT sector, which makes connectors for automobiles, data centers and medical devices; Apple in the IT sector, which designs manufactures and markets personal computers, smartphones and a variety of related software, services and devices; Lam Research in the IT sector, a supplier of etch and deposition equipment used in making semiconductors; and pay-TV, broadband and telephone services provider Charter Communications in the communication services sector.
During the reporting period, we established several new positions, the largest among them being online travel company Booking Holdings in the consumer discretionary sector; natural gas liquids company ConocoPhillips in the energy sector; Vertiv, a market leader in the design, manufacturing and servicing of critical digital infrastructure including cooling and power systems for data center, telecom and commercial customers, in the industrials sector; consumer-credit-focused diversified financial services company Capital One in the financials sector; and IT networking company Cisco Systems in the IT sector. Positions we exited during the reporting period included pharmaceutical distributor AmerisourceBergen; CVS Health; Pfizer; pharmaceutical company Novartis in the health care sector; and beverage conglomerate Keurig Dr Pepper in the consumer staples sector.
PF Small-Cap Growth Fund (formerly named PF Developing Growth Fund) (sub-advised by MFS Investment Management)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, the PF Small-Cap Growth Fund’s Class P returned 89.21%, compared to a return of 90.20% 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, 2021. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | The Fund changed its name from PF Developing Growth Fund and MFS began managing the Fund on May 1, 2020, and some investment policies changed at that time. Other firms managed the Fund before that date. |
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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. |
| See benchmark definitions on A-37 – A-39 |
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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.
MFS
MFS assumed management of the Fund on May 1, 2020. During the approximate eleven-month period from May 1, 2020 through March 31, 2021 when MFS managed the Fund, the Fund’s Class P underperformed the benchmark. We at MFS focus on investing the Fund’s assets in the stocks of small-capitalization companies it believes to have above average earnings growth potential compared to other companies (growth companies). We use an active bottom-up investment approach to buying and selling investments for the Fund. Investments are selected primarily based on fundamental analysis of individual issuers and their potential in light of their financial condition, and market, economic, political, and regulatory conditions. Factors considered may include analysis of an issuer’s earnings, cash flows, competitive position, and management ability.
Stock selection and, to a lesser extent, an underweight position in the consumer discretionary sector detracted from performance relative to the benchmark. However, there were no individual stocks within this sector, either in the Fund or in the benchmark, that were among the Fund’s largest relative detractors during the period we managed the Fund.
Security selection in the industrials, real estate and financials sectors also detracted from relative returns. Within the industrials sector, holdings of government intelligence and nationality security information solutions and services provider CACI International (security is not a benchmark constituent) and not owning shares of alternative energy technology company Plug Power detracted from relative results. Within the real estate sector, an overweight position in data center infrastructure solutions provider QTS Realty Trust and holdings of data center infrastructure solutions provider CoreSite Realty (security is not a benchmark constituent) weakened relative performance. There were no individual stocks within the financials sector, either in the Fund or in the benchmark, that were among the Fund’s largest relative detractors during the period we managed the Fund.
Stocks in other sectors that weighed on relative results included overweight positions in event management and enterprise safety software developer Everbridge, intelligent identity solutions provider Ping Identity and cloud content management and file sharing service provider Box (security was not held in the Fund at reporting period end). Additionally, holdings of clinical-stage biotechnology company Bluebird Bio (security is not a benchmark constituent and was not held in the Fund at reporting period end)( and football club Manchester United (security is not a benchmark constituent) (United Kingdom) further detracted from relative results.
The Fund’s cash and/or cash equivalents position during the period we managed the Fund was also a detractor 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 small-capitalization growth equity markets rose, as measured by the Fund’s benchmark, holding cash held back the Fund’s performance when compared to the benchmark, which has no cash position.
Stock selection in the health care sector contributed to relative performance. Within this sector, the timing of the Fund’s ownership in shares of consumer digital health company Livongo Health (security was not held in the Fund at reporting period end), biopharmaceutical company Immunomedics (security was not held in the Fund at reporting period end , proprietary semiconductor-based synthetic DNA manufacturing process developer Twist Bioscience (security was not held in the Fund at reporting period end) and diagnostic solutions provider for detection of cardiac arrhythmias iRhythm Technologies (security was not held in the Fund at reporting period end) boosted relative returns.
An underweight allocation to the utilities sector also contributed to relative results. However, there were no individual stocks within this sector, either in the Fund or in the benchmark, that were among the Fund’s largest relative contributors during the period we managed the Fund.
The timing of the Fund’s ownership in shares of power generation equipment manufacturer Generac and personal computers hardware components manufacturer Corsair Gaming (security was not held in the Fund at reporting period end) helped relative returns. Additionally, holdings of digital sports entertainment and gaming company Draftkings (security is not a benchmark constituent and was not held in the Fund at reporting period end), global payments solutions provider Nuvei (security is not a benchmark constituent) and digital operations management platform operator PagerDuty (security is not a benchmark constituent), and an overweight position in enterprise communication solutions provider 8X8, further bolstered relative performance.
Lord Abbett
During the reporting period, Lord Abbett managed the Fund from April 1, 2020 through April 30, 2020. During that approximate one-month period, the Fund’s Class P outperformed the benchmark. The Fund seeks capital appreciation by investing in 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, which we define as 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. These types of companies include companies that we believe can transform markets through innovative products and services.
The leading contributor to the Fund’s absolute and relative performance during the period we managed the Fund was security selection and an underweight within the industrials sector also contributed to the Fund’s performance during the period we managed the Fund. Specifically, the Fund’s holding of XPO Logistics, Inc., a provider of supply chain solutions, contributed. Shares of XPO Logistics were resilient given the dramatic impact COVID-19 had on global markets as the company boasted a strong balance sheet, positive free cash flow and reduced expenses. Another contributor was the Fund’s position in Evoqua Water Technologies Corp., a provider of water treatment solutions. Despite the disruption brought upon by the spread of COVID-19, the company’s management expects to see continued growth in multiple markets.
Security selection within the information technology sector. Within this sector, the Fund’s holdings of Inphi Corp., a provider of analog and mixed signal semiconductor solutions, contributed. Inphi’s acquisition of engineering talent, leading edge silicon expertise, and a next-generation bandwidth roadmap has helped the company execute well, despite facing much larger competitors. Additionally, the significant increase in work-from-home employees, online shopping, and e-learning has increased demand for connectivity within datacenters. The Fund’s
| See benchmark definitions on A-37 – A-39 |
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holdings of Five9, Inc., a provider of cloud software for call and contact centers, contributed. Shares of Five9 benefited from the firm’s ability to capitalize on its vast and growing addressable market and increased demand due to customers’ work-from-home needs.
Security selection within the consumer discretionary sector contributed during the period we managed the Fund. Wingstop, Inc., a franchisor and operator of restaurants, contributed as it reported strong same store sales during the period we managed the Fund. The company benefited from increased brand awareness as it executed well on several marketing initiatives.
The leading detractor from the Fund’s performance relative to the benchmark during the period we managed the Fund was security selection within the financials sector. The Fund’s position in eHealth, Inc., an online health insurance agency, detracted from relative performance during the period we managed the Fund. Despite reporting strong fourth quarter 2019 results, investors’ concerns came to fruition as the company reported higher member turnover and management reduced its cash flow guidance. The Fund’s position in Western Alliance Bankcorp, a regional bank, also detracted from performance as banks went out of favor due to declining interest rates.
The Fund’s underweight within the energy sector also detracted from the Fund’s performance relative to the benchmark during the period we managed the Fund.
PF Small-Cap Value Fund (sub-advised by AllianceBernstein L.P.)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, the PF Small-Cap Value Fund’s Class P returned 110.27%, compared to a return of 97.05% 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 ten-year period ended March 31, 2021. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | AllianceBernstein L.P. began managing the Fund on May 1, 2014 and some investment policies changed at that time. Another firm managed the Fund before that date. |
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. |
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P outperformed the benchmark. We at AllianceBernstein maintain the Fund’s investment goal by seeking long-term growth of capital. The Fund seeks undervalued small-capitalization stocks with attractive long-term earnings prospects. 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 equity securities of small-capitalization U.S. companies.
During the reporting period, overall sector allocation contributed to the Fund’s performance. An overweight relative to the benchmark to the consumer discretionary sector and an underweight to the utilities sector contributed, while an overweight to the technology sector detracted from performance.
Overall security selection contributed to the Fund’s performance, owing mainly to the Fund’s industrials, financials and communication-services sector holdings. Stock selection in consumer discretionary sector detracted from performance during the reporting period.
Criteo, an internet marketing company, contributed to the Fund’s performance as fourth quarter of 2020 earnings beat consensus with strong same-client sales growth and a robust increase in total clients served. The company also provided 2021 revenue and earnings guidance that exceeded consensus expectations. Shares of REV Group also contributed after the ambulance, fire truck and specialty vehicle manufacturer reported stronger-than-expected fiscal first quarter of 2021 earnings. The upside was driven by a recent acquisition, stronger pricing in the fire business and better mix in the ambulance business. The company also gave fiscal 2021 guidance that was better than expected.
The Fund does not hold any shares in GameStop, and this lack of exposure was a detractor during the reporting period. Shares of GameStop, a video game, consumer electronics and gaming merchandise retailer, and those of several other highly volatile lower-quality names, rose sharply, benefiting from abnormal retail trading activity. We continue to believe the valuations of these names are not supported by
| See benchmark definitions on A-37 – A-39 |
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their fundamentals so we do not hold positions in them. Shares of Dril-Quip also detracted from performance as the offshore oil equipment company lagged other energy names. The company reported fourth quarter of 2020 earnings that missed expectations as customer demand recovered more slowly than expected.
PF Emerging Markets Fund (sub-advised by Invesco Advisers, Inc.)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, the PF Emerging Markets Fund’s Class P returned 56.13%, compared to a return of 58.39% for its benchmark, the MSCI Emerging Markets 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, 2021. 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 Invesco Emerging Markets Equity 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. We have exposure to sectors and industries that should benefit from the growth of emerging markets, where we see dynamic change and real value being extracted, including e-commerce, cloud computing, internet services, health care, travel, and education.
From a sector perspective, relative performance was negatively impacted by stock selection in the Consumer Discretionary, Industrials, and Consumer Staples sectors. Stock selection in the Communication Services and Energy sectors were the largest contributors to relative performance. Stock selection and an overweight allocation relative to the benchmark in the Health Care sector also contributed to performance.
From a country perspective, an underweight allocation to South Korea was the largest detractor to relative performance. Performance was also negatively impacted by overweight allocations to France and Hong Kong. The Fund’s average cash position was also a drag given the strong market performance for the reporting period. Stock selection in Chinese, Russian and Taiwanese companies also contributed to performance.
The largest detractors during the reporting period were Atacadao, Kuaishou Technology, and Akbank.
Atacadao is a Brazilian retailer that distributes consumer products. We decided to exit our position as Atacadao’s long term growth drivers, such as expansion into lower tier cities, has been greatly compromised by the current economic landscape in Brazil.
Kuaishou Technology is a short-form video platform, based out of Beijing, that utilizes innovative algorithms that expose users to a wider scope of content. These efforts are also driven by artificial intelligence technologies, and thus far have led to increased monthly average users (MAU). The company had an initial public offering (IPO) on Hong Kong exchanges in February 2021, with strong backing by Tencent’s stake in the company. Kuaishou differentiates its platform through diverse mobile app options, including a commission-based e-commerce component, that fosters user engagement while generating high gross margins. Kuaishou should be able to further monetize user interactions through the expansion of ad sales and further scalability.
Akbank is among the largest banks in Turkey. The Turkish banking sector was roiled by a sudden and dramatic change in policy direction when the Governor of the Turkish Central Bank was removed from his position. This presidential decree sent the Turkish equity market tumbling as investors began to speculate about future monetary policy. While we do not speculate on political events or short-term macro changes we continue to believe that Akbank is a high quality, well capitalized bank and we will continue to monitor this situation closely.
Top performing stocks for the Fund this reporting period included Taiwan Semiconductor Manufacturing Co. (TSMC), Tencent, and Novatek.
| See benchmark definitions on A-37 – A-39 |
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Taiwan Semiconductor Manufacturing Co. (TSMC) is the world’s preeminent semiconductor foundry. For the past 30 years, TSMC has made inhouse design and innovation a priority while placing a large emphasis on client service and trust, allowing them to capture a large majority of the overall market share. COVID-19 imposed a tremendous amount of uncertainty in the marketplace, spurring key customers to accumulate large inventories of chips in an effort to hedge against the unknown. As this phenomenon was unfolding so was a new trend- the stay-at-home era, which spurred consumer spending on modern household appliances and comforts that relied on customized smart chips. Chip demand should continue to increase as new product launches in the CPU (central processing units) segment are launched, and the consumer becomes further entrenched in the IoT (internet of things) lifestyle, all supporting TSMC’s future trajectory.
Tencent is a Chinese internet company with roots spread throughout China’s technology infrastructure. Tencent has sustainable sales in several established titles and has developed a robust gaming pipeline with success in MMORPG (massive multiplayer online role-playing game) titles. Outside of games, Tencent’s long-term structural growth profile should benefit from enterprises migrating to integrated online platforms and other digitalization initiatives. Tencent’s robust suite of offerings- WeChat, WeChat Work, Tencent Meeting, payment solutions, advertising tools and cloud, among others, will allow them to capitalize on this trend that COVID-19 has propelled. WeChat mini-programs, or sub-applications housed within the application, have seen tremendous success in GMV (gross merchandise value) sales over the reporting period adding to Tencent’s ability to capitalize on diversified revenue streams.
Novatek is a Russian energy company that has always stood at the forefront of technological and business innovation, finding creative ways to add value to its constantly expanding natural gas and condensate resource base. Novatek has evolved from a local independent gas player to a global liquified natural gas (LNG) major. Despite energy demand and prices deteriorating last year, and a derating of the Russian Oil and Gas sector, natural gas prices proved resilient and so did Novatek. Novatek’s anticipated production growth over the next decade, including LNG production from the Arctic LNG 2 project with full utilization projected by 2026 and development of Obskiy LNG project by 2025, should serve to offset production declines at legacy fields. Novatek’s long-term structural growth profile will continue to be supported by the global transition to cleaner energy sources.
PF International Large-Cap Fund (sub-advised by MFS Investment Management)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, the PF International Large-Cap Fund’s Class P returned 40.85%, compared to a return of 44.57% for its benchmark, the MSCI EAFE 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, 2021. 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, which involves 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.
An overweight allocation to the consumer, non-cyclical sector detracted from performance relative to the benchmark. Notably, the Fund’s overweight positions in pharmaceutical and diagnostic company Roche Holding (Switzerland), cosmetic products manufacturer Beiersdorf (Germany), medical products and equipment manufacturer Terumo (Japan), global food company Nestle (Switzerland) and food processing company Danone (France) detracted from relative returns as these stocks underperformed the benchmark over the reporting period.
| See benchmark definitions on A-37 – A-39 |
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Security selection in both the basic materials and industrial sectors also weakened relative results. Although stock selection in the basic materials sector negatively impacted relative returns, there were no individual securities within this sector that were among the Fund’s top relative detractors during the reporting period. Within the industrial sector, not holding shares of strong-performing lithography systems manufacturer ASML (Netherlands) and the Fund’s overweight position in shares of electronic equipment manufacturer Kyocera (Japan) both hindered relative performance.
Other top relative detractors during the reporting period included the Fund’s overweight positions in enterprise applications company SAP (Germany) and security software provider Check Point Software Technologies (Israel), and not holding shares of management and investment firm Softbank Group (Japan).
During the reporting period, the Fund’s relative currency exposure, resulting primarily from differences between the Fund’s and the benchmark’s exposures to holdings of securities denominated in foreign currencies, was another detractor 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.
An overweight position in the technology sector was a primary factor that benefited relative performance over the reporting period. Holding shares of both semiconductor manufacturer Taiwan Semiconductor Manufacturing (security is not a benchmark constituent) (Taiwan) and information technology services firm Tata Consultancy Services (security is not a benchmark constituent) (India), as well as the Fund’s overweight position in consulting services provider Capgemini (France), contributed to relative returns.
Underweight positions in both the utilities and energy sectors further supported relative returns as both sectors underperformed the benchmark over the reporting period. However, there were no individual stocks, within either sector, that were among the Fund’s top relative contributors during the reporting period.
The Fund’s overweight positions in electrical distribution equipment manufacturer Schneider Electric (France), financial services firm ING Groep (Netherlands), machinery and industrial products manufacturer Kubota (Japan) and human resources and employment services provider Randstad (Netherlands) aided relative performance. Additionally, holding shares of low-fare airline Ryanair (security is not a benchmark constituent) (Ireland), and not holding shares of both banking and financial services company HSBC (United Kingdom) and pharmaceutical firm GlaxoSmithKline (United Kingdom), further supported relative results.
PF International Small-Cap Fund (sub-advised by QS Investors, LLC)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, the PF International Small-Cap Fund’s Class P returned 69.98%, compared to a return of 66.92% 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, 2021. 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. |
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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. | ||||||
| See benchmark definitions on A-37 – A-39 |
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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 bottom up stock selection based on fundamentals and implemented with quantitative tools, risk controls and cost-efficient trading. Our focus is in securities of companies with small market capitalizations that are located in developed foreign countries. We continue to invest the Fund in excess of 200 companies and generally expects to invest in about the same number of non-U.S. countries as the benchmark (which is comprised of developed countries outside the U.S).
For the reporting period, stock selection contributed to return relative to the benchmark, especially in continental Europe and developed Asia ex Japan. The most significant contributors in continental Europe were in the information technology, consumer discretionary and industrials sectors. Stock selection was also strong in U.K. utilities, but detracted in the U.K. overall, most notably in the U.K. consumer discretionary sector. Stock selection also detracted in Japan, especially in the consumer discretionary and information technology sectors.
Region and sector allocation decisions contributed to relative return overall. The underweights to Japanese banks, consumer staples and real estate were strong contributors, and offset the negative impact of an overweight to the Japanese consumer discretionary sector. An underweight to continental Europe also contributed.
At the security level, the largest contributor for the reporting period was Evolution Gaming Group AB, an online casino solutions provider based in Sweden which enjoyed strong returns due to rapid earnings growth from the expansion of its online casino platform in new countries. Evolution significantly grew both revenue and earnings before interest, taxes, depreciation, and amortization ..Another strong contributor not in the benchmark was South Korea’s Kumho Petrochemical Co., Ltd. (chemicals)The company saw a large increase in profits as synthetic resin sales rose, and it is reinvesting profits to further grow its business. Canadian Solar, which manufactures solar PV modules and runs large scale solar projects, was another strong contributor over the reporting period.
The leading detractor from relative return for the period at the security level was Kaken Pharmaceutical Co. (pharmaceuticals), Ltd which was impacted by COVID-19 related declines in medical clinic and hospital visits and the resulting declines in drug sales to treat spinal injuries and infections. Endeavour Mining Corporation, a multi-national mining company that owns and operates the gold mines in Côte d’Ivoire and Burkina Faso, was also a leading detractor. The company reported disappointing third quarter earnings in November of 2020 and was hurt by falling gold prices. Okinawa Electric Power Co., Inc. was also detractor with a return in the portfolio of -17.25% over the reporting period; the Okinawa economy is fairly reliant on tourism which was hurt by continued lockdowns.
PF International Value Fund (sub-advised by Wellington Management Company LLP)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, the PF International Value Fund’s Class P returned 60.38%, compared to a return of 44.57% for its benchmark, the MSCI EAFE 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, 2021. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | Wellington Management Company LLP began managing the Fund on May 1, 2017 and some investment policies changed at that time. Other firms managed the Fund before that date. |
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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. | ||||||
| See benchmark definitions on A-37 – A-39 |
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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 invests primarily in a diversified portfolio of equity securities of large non-U.S. companies that we at Wellington believe to be undervalued. We use a “contrarian value” approach to selecting securities, applying fundamental analysis to identify securities that we believe are undervalued by the market.
Strong security selection within the industrials, financials, and materials sectors drove relative outperformance but was partially offset by weaker selection in the information technology sector. Sector allocation, which is a residual of our fundamental stock selection process, also contributed to relative performance. The Fund’s underweight positions relative to the benchmark in health care and consumer staples and an overweight position in financials contributed most to relative performance, but was partially offset by an overweight allocation to the energy sector.
On a country-by-country basis, strong security selection in issuers based in France, Switzerland, and Germany contributed most to relative performance.
Top contributors to benchmark-relative returns included Cie de Saint-Gobain (industrials) and Daimler AG (consumer discretionary). Shares of French construction material maker Saint-Gobain rose over the reporting period, benefiting from the adoption of a Green Deal environmental standard by the European Union that is expected to spur building upgrades which would benefit the company. Daimler is a Germany-based automobile manufacturer. Shares traded higher throughout the reporting period after the company announced a strategic partnership with Luminar to enable automated trucks. We continued to hold positions in both companies as of the end of the reporting period.
Among the top detractors from relative performance were China Mobile Ltd (communication services – China) and not holding ASML Holding NV (information technology). China Mobile is a Chinese telecommunication company. Shares fell during the reporting period, suffering a reduction in the wireless user base as China’s COVID-19 shutdown weighed on subscribers. We eliminated our position before the end of the reporting period. Shares of ASML, a Netherlands-based semiconductor manufacturer, rose during the reporting period. Not holding a position detracted from relative performance.
PF Multi-Asset Fund (managed by Pacific Life Fund Advisors LLC (portion sub-advised by Pacific Asset Management LLC))
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, the PF Multi-Asset Fund’s Class P returned 64.91%, compared to a return of 54.03% for its benchmark, the MSCI World 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 period from inception through March 31, 2021. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | Pacific Asset Management LLC began sub-advising a portion of the Fund with Pacific Life Fund Advisors LLC effective December 31, 2019. Prior to that date, Pacific Life Fund Advisors LLC doing business under the name Pacific Asset Management sub-advised a portion of the Fund with Pacific Life Fund Advisors LLC. |
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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. | ||||||
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 buys and sells total return swap agreements to gain exposure to the large-capitalization and mid-capitalization asset classes of the U.S. and developed non-U.S. equity markets, including growth and value styles, that may be denominated in foreign currencies. We at PLFA actively manage the Fund’s exposures in these asset classes in seeking to contribute to overall returns for the Fund.
| See benchmark definitions on A-37 – A-39 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
The primary driver of the Fund’s outperformance versus the benchmark during the reporting period was the Fund’s overweight (relative to its benchmark) exposure to the US mid-capitalization equities asset class, as they recovered stronger than their larger counterparts over the reporting period. In addition, the Fund’s fixed income holdings (which are available as collateral for the derivatives holdings) contributed to performance as it returned more than the Fund’s derivatives financing expenses over the reporting period. Holdings in investment grade corporate bonds contributed to performance. In addition to total return swap agreements, the Fund used futures contracts to gain and reduce exposures to certain asset classes during the reporting period. In turn, financing costs related to gaining and reducing exposures detracted from performance.
PF Real Estate Fund (sub-advised by Principal Real Estate Investors, LLC)
Q. How did the Fund perform for the year ended March 31, 2021?
A. For the year ended March 31, 2021, the PF Real Estate Fund’s Class P returned 34.16%, compared to a return of 56.35% for the broad-based S&P 500 Index, and 36.13% return for the sector-specific benchmark the MSCI U.S. REIT 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, 2021. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | Principal Real Estate Investors LLC began managing the Fund on May 1, 2018, 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 both the broad-based S&P 500 Index and the sector-specific MSCI U.S. REIT Index. We, the real estate securities team at Principal Real Estate Investors, utilize a fundamental style of investing. We rely on skilled portfolio managers and analysts to provide deep forward-looking perspectives and carry out rigorous, fundamental research on all investment opportunities. Security selection focuses on identifying relative stock mispricing amongst groups of comparable stocks. Excess return generation is bottom-up as we believe security selection is the most reliable and repeatable source of consistent outperformance. We construct portfolios to diversify risk and sources of excess return so excess return generation is consistent over the long term. Top-down and quantitative elements are incorporated but represent a minor role in our investment process.
Though the real estate sector rallied over the last few months on vaccine optimism and fiscal support, the sector continues to underperform the domestic equity market (as measured by the broad-based benchmark) during the reporting period. Performance was heavily influenced from the global spread of COVID-19 in 2020, as REITs failed to display their typical defensive characteristics in an environment of government-mandated social distancing, work-from-home trends, and travel restrictions.
Relative to the sector-specific benchmark, the Fund underperformed due to allocation effects during the reporting period. Investors had a positive shift in risk appetite and preference for cyclical stocks over defensive sectors, which was a main reason for the Fund’s relative underperformance. Consequently, our underweights to cyclical retail and senior housing was a significant detractor as these reopening plays were top performers as they have rallied. Our overweight to tower stocks also detracted, as the defensive sector continues to be viewed as funding sources for more cyclical stocks. Positions where we were overweight to COVID-reopening plays and underweight to more defensive stocks were the main contributors during the reporting period. Stock selection in net lease was additive, as we were overweight to STORE Capital, which rebounded on risk-on sentiment. An underweight to defensive data centers also contributed, as these stocks lagged in performance during the period.
| See benchmark definitions on A-37 – A-39 |
A-36
Table of Contents
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Benchmark Definitions
Bloomberg Barclays US 1-3 Year Government/Credit Bond Index measures the performance of a subset of the Bloomberg Barclays US Aggregate Bond Index and includes investment grade U.S. dollar-denominated, fixed-rate Treasuries, government-related and corporate securities with maturities of one to three years. Results include the reinvestment of all distributions.
Bloomberg Barclays Short Treasury Total Return Index measures the performance of the US Treasury bills, notes, and bonds under 1 year to maturity. STRIPS are excluded from the index because their inclusion would result in double-counting. Results include the reinvestment of all distributions.
Bloomberg Barclays US Aggregate Bond Index measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, which includes Treasuries, government-related and corporate securities, mortgage-backed securities, asset-backed securities and commercial mortgage-backed securities. Results include the reinvestment of all distributions.
Bloomberg Barclays US High-Yield 2% Issuer Capped Bond Index is an issuer-constrained version of the Bloomberg Barclays US Corporate High-Yield Bond Index that covers the U.S. dollar-denominated, high yield, fixed-rate 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. Results include the reinvestment of all distributions.
Bloomberg Barclays US Treasury Inflation-Protected Securities (TIPS) Index (also known as Bloomberg Barclays US Treasury Inflation-Linked Bond Index) is an index of all outstanding treasury inflation protected securities issued by the U.S. government. 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 tenure of at least one year and are made by issuers domiciled in developed countries. Results include the reinvestment of all distributions.
Emerging Markets Debt Composite Benchmark This composite benchmark combines three emerging markets indices as follows: 50% J.P. Morgan EMBI Global Diversified, 25% J.P. Morgan ELMI+ and 25% J.P. Morgan GBI-EM Global Diversified. Results include the reinvestment of all distributions.
ICE BofA U.S. 3-Month Treasury Bill (T-Bill) Index (formerly named ICE BofAML U.S. 3-Month Treasury Bill (T-Bill) Index) is an index comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. 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 index 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 a maximum weight of 10% per country. 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 markets sovereign and quasi-sovereign entities: Brady bonds, loans, and Eurobonds. This diversified index limits the exposure of some of the larger countries. Results include the reinvestment of all distributions.
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 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 a maximum weight of 10% per country. Results include the reinvestment of all distributions.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance of large- and mid-capitalization securities in emerging markets. As of March 31, 2021, the MSCI Emerging Markets Index consists of the following emerging market country indices: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Kuwait, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey, and United Arab Emirates. Results include 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 EAFE (Europe, Australasia and Far East) Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. As of March 31, 2021, the MSCI EAFE Index consists of the following 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. Results include 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 U.S. Real Estate Investment Trust (“REIT”) Index is a free float-adjusted market capitalization index that is comprised of equity REITs and represents approximately 99% of the U.S. REIT universe and securities that are classified in the Equity REITs Industry (under the Real Estate sector) according to the Global Industry Classification Standard (GICS). Results include the reinvestment of all distributions.
MSCI World Index 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, 2021, the MSCI World Index consists of the following developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States. Results include 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.
Table of Contents
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
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 US Aggregate Bond; 17% S&P 500; 7% ICE BofA U.S. 3-Month Treasury Bill; and 5% MSCI EAFE Indices. Results include the reinvestment of all distributions.
Pacific Funds Portfolio Optimization Moderate-Conservative Composite Benchmark is 55% Bloomberg Barclays US Aggregate Bond; 30% S&P 500; 10% MSCI EAFE; and 5% ICE BofA U.S. 3-Month Treasury Bill Indices. Results include the reinvestment of all distributions.
Pacific Funds Portfolio Optimization Moderate Composite Benchmark is 45% S&P 500; 38% Bloomberg Barclays US Aggregate Bond; 15% MSCI EAFE; and 2% ICE BofA 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 US Aggregate Bond; and 19% MSCI EAFE 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; and 5% Bloomberg Barclays US Aggregate Bond Indices. Results include the reinvestment of all distributions.
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 growth earning potential as defined by the index provider. The Russell 1000 Growth Index is constructed to provide a comprehensive and unbiased barometer for the large-cap growth segment and 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 Index measures the performance of the large-capitalization segment of the U.S. equity universe. It is a subset of the Russell 3000 Index and includes approximately 1,000 of the largest securities based on a combination of their market capitalization and current index membership. The Russell 1000 Index represents approximately 92% of the investable U.S. equity market. It is constructed to provide a comprehensive and unbiased barometer for the large-capitalization and is completely reconstituted annually to ensure new and growing equities are reflected. Results include the reinvestment of all distributions.
Russell 1000 Value Index measures the performance of the large-capitalization segment of the U.S. equity universe. It is a subset of the Russell 3000 Index and includes approximately 1,000 of the largest securities based on a combination of their market capitalization and current index membership. The Russell 1000 Index represents approximately 92% of the investable U.S. equity market. The Russell 1000 Index is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected. 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 growth earning potential as defined by the index provider. The Russell 2000 Growth Index is constructed to provide a comprehensive and unbiased barometer for the small-cap growth segment and 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 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 Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000 Index companies that are considered more value oriented relative to the overall market as defined by the index provider. 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. The Russell 3000 Index is constructed to provide a comprehensive, unbiased, and stable barometer of the broad market and is completely reconstituted annually to ensure new and growing equities are reflected. 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 and 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.
A-38
Table of Contents
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
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 that are considered more value oriented relative to the overall market as defined by the index provider. The Russell Midcap Value Index is constructed to provide a comprehensive and unbiased barometer of the mid-cap value market. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true mid-cap value market. Results include the reinvestment of all distributions.
S&P 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. Results include the reinvestment of all distributions.
S&P Developed Ex-U.S. SmallCap Index is an index which is comprised of the stocks representing the lowest 15% of float-adjusted market cap in each developed country, excluding the United States. Results include the reinvestment of all distributions.
Table of Contents
PACIFIC FUNDSSM PORTFOLIO OPTIMIZATION CONSERVATIVE
Schedule of Investments
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Affiliated Mutual Funds |
$249,908,009 | $249,908,009 | $— | $— | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-1
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDSSM PORTFOLIO OPTIMIZATION MODERATE-CONSERVATIVE
Schedule of Investments
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Affiliated Mutual Funds |
$335,864,478 | $335,864,478 | $— | $— | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-2
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDSSM PORTFOLIO OPTIMIZATION MODERATE
Schedule of Investments
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Affiliated Mutual Funds |
$1,077,558,871 | $1,077,558,871 | $— | $— | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-3
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDSSM PORTFOLIO OPTIMIZATION GROWTH
Schedule of Investments
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Affiliated Mutual Funds |
$880,500,420 | $880,500,420 | $— | $— | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-4
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDSSM PORTFOLIO OPTIMIZATION AGGRESSIVE-GROWTH
Schedule of Investments
March 31, 2021
| (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 as of
March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Affiliated Mutual Funds |
$334,902,095 | $334,902,095 | $— | $— | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-5
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDSSM ULTRA SHORT INCOME
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-6
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS ULTRA SHORT INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-7
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS ULTRA SHORT INCOME
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$19,907,938 | $— | $19,907,938 | $— | |||||||||||||
| Senior Loan Notes |
2,672,117 | — | 2,672,117 | — | ||||||||||||||
| Asset-Backed Securities |
7,534,488 | — | 7,534,488 | — | ||||||||||||||
| Short-Term Investment |
1,387,040 | 1,387,040 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$31,501,583 | $1,387,040 | $30,114,543 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-8
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDSSM SHORT DURATION INCOME
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-9
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS SHORT DURATION INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-10
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS SHORT DURATION INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-11
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS SHORT DURATION INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-12
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS SHORT DURATION INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-13
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS SHORT DURATION INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-14
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS SHORT DURATION INCOME
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$668,559,630 | $— | $668,559,630 | $— | |||||||||||||
| Senior Loan Notes |
163,162,820 | — | 163,162,820 | — | ||||||||||||||
| Asset-Backed Securities |
261,668,063 | — | 261,668,063 | — | ||||||||||||||
| U.S. Treasury Obligations |
52,975,843 | — | 52,975,843 | — | ||||||||||||||
| Short-Term Investment |
54,908,281 | 54,908,281 | — | — | ||||||||||||||
| Unfunded Loan Commitment |
176,161 | — | 176,161 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$1,201,450,798 | $54,908,281 | $1,146,542,517 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-15
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDSSM CORE INCOME
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-16
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS CORE INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-17
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS CORE INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-18
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS CORE INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-19
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS CORE INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-20
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS CORE INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-21
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS CORE INCOME
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$560,334,097 | $— | $560,334,097 | $— | |||||||||||||
| Senior Loan Notes |
176,407,294 | — | 176,407,294 | — | ||||||||||||||
| Mortgage-Backed Securities |
24,832,691 | — | 24,832,691 | — | ||||||||||||||
| Asset-Backed Securities |
232,816,520 | — | 232,816,520 | — | ||||||||||||||
| U.S. Treasury Obligations |
168,903,948 | — | 168,903,948 | — | ||||||||||||||
| Foreign Government Bonds & Notes |
2,836,740 | — | 2,836,740 | — | ||||||||||||||
| Short-Term Investment |
46,420,777 | 46,420,777 | — | — | ||||||||||||||
| Unfunded Loan Commitment |
176,161 | — | 176,161 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$1,212,728,228 | $46,420,777 | $1,166,307,451 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-22
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDSSM STRATEGIC INCOME
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-23
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS STRATEGIC INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-24
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS STRATEGIC INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-25
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS STRATEGIC INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-26
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS STRATEGIC INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-27
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS STRATEGIC INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-28
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS STRATEGIC INCOME
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Warrants |
$15,023 | $— | $— | $15,023 | |||||||||||||
| Common Stocks |
||||||||||||||||||
| Basic Materials |
1,774,849 | 1,774,849 | — | — | ||||||||||||||
| Consumer, Cyclical |
6,590,378 | 6,590,378 | — | — | ||||||||||||||
| Consumer, Non-Cyclical |
2,116,565 | 2,116,565 | — | — | ||||||||||||||
| Financial |
8,402,693 | 8,402,693 | — | — | ||||||||||||||
| Industrial |
5,145,733 | 5,090,329 | 55,404 | — | ||||||||||||||
| Utilities |
2,055,345 | 2,055,345 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
26,085,563 | 26,030,159 | 55,404 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Exchange-Traded Funds |
15,844,078 | 15,844,078 | — | — | ||||||||||||||
| Corporate Bonds & Notes |
667,880,647 | — | 667,880,647 | — | ||||||||||||||
| Senior Loan Notes |
223,687,404 | — | 222,684,904 | 1,002,500 | ||||||||||||||
| Asset-Backed Securities |
25,692,364 | — | 25,692,364 | — | ||||||||||||||
| Short-Term Investment |
59,257,909 | 59,257,909 | — | — | ||||||||||||||
| Unfunded Loan Commitment |
880,803 | — | 880,803 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$1,019,343,791 | $101,132,146 | $917,194,122 | $1,017,523 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
The following is a reconciliation of investments for significant unobservable inputs (Level 3) used in valuing the Fund’s assets and liabilities for the year ended March 31, 2021:
| Warrants | Senior and Unfunded |
Total | ||||||||||
| Value, Beginning of Year |
$— | $27,304,580 | $27,304,580 | |||||||||
| Purchases |
374,715 | 3,290,663 | 3,665,378 | |||||||||
| Sales (Includes Paydowns) |
— | (18,046,509 | ) | (18,046,509 | ) | |||||||
| Accrued Discounts (Premiums) |
— | 83,566 | 83,566 | |||||||||
| Net Realized Gains (Losses) |
— | (928,665 | ) | (928,665 | ) | |||||||
| Change in Net Unrealized Appreciation (Depreciation) |
(359,692 | ) | 6,004,624 | 5,644,932 | ||||||||
| Transfers In |
— | — | — | |||||||||
| Transfers Out |
— | (16,705,759 | ) | (16,705,759 | ) | |||||||
|
|
|
|
|
|
|
|||||||
| Value, End of Year |
$15,023 | $1,002,500 | $1,017,523 | |||||||||
|
|
|
|
|
|
|
|||||||
| Change in Net Unrealized Appreciation (Depreciation) on |
($359,692 | ) | ($1,120 | ) | ($360,812 | ) | ||||||
|
|
|
|
|
|
|
|||||||
The table below shows transfers to/from Level 3:
| Amount Transferred |
Level Transfer | Change in Fair Valuation Measurement Inputs | ||||||||||||||||||||||||
| From | To | From | To | |||||||||||||||||||||||
| $ | 16,705,759 | 3 | 2 | Unobservable Single Broker Quote |
Vendor Price (Observable inputs) |
|||||||||||||||||||||
All significant unobservable inputs were provided by a single broker quote, or priced at cost.
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-29
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDSSM FLOATING RATE INCOME
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-30
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS FLOATING RATE INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-31
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS FLOATING RATE INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-32
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS FLOATING RATE INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-33
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS FLOATING RATE INCOME
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Exchange-Traded Funds |
$45,856,913 | $45,856,913 | $— | $— | |||||||||||||
| Corporate Bonds & Notes |
53,976,387 | — | 53,976,387 | — | ||||||||||||||
| Senior Loan Notes |
1,851,289,388 | — | 1,685,323,209 | 165,966,179 | ||||||||||||||
| Short-Term Investment |
264,224,184 | 264,224,184 | — | — | ||||||||||||||
| Unfunded Loan Commitments |
4,614,288 | — | 4,614,288 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$2,219,961,160 | $310,081,097 | $1,743,913,884 | $165,966,179 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
The following is a reconciliation of investments for significant unobservable inputs (Level 3) used in valuing the Fund’s assets and liabilities for the year ended March 31, 2021:
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-34
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS FLOATING RATE INCOME
Schedule of Investments (Continued)
March 31, 2021
The table below shows transfers to/from Level 3:
| Amount Transferred |
Level Transfer | Change in Fair Valuation Measurement Inputs | ||||||||||||
| From | To | From | To | |||||||||||
| $4,118,497 | 2 | 3 | Vendor Price (Observable inputs) |
Unobservable Single Broker Quote | ||||||||||
| 62,046,207 | 3 | 2 | Unobservable Single Broker Quote |
Vendor Price (Observable inputs) | ||||||||||
All significant unobservable inputs were provided by a single broker quote.
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-35
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDSSM HIGH INCOME
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-36
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS HIGH INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-37
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS HIGH INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-38
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS HIGH INCOME
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-39
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS HIGH INCOME
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Warrants |
$2,629 | $— | $— | $2,629 | |||||||||||||
| Common Stocks |
||||||||||||||||||
| Basic Materials |
452,343 | 452,343 | — | — | ||||||||||||||
| Consumer, Cyclical |
500,358 | 500,358 | — | — | ||||||||||||||
| Consumer, Non-Cyclical |
279,685 | 279,685 | — | — | ||||||||||||||
| Financial |
782,739 | 782,739 | — | — | ||||||||||||||
| Industrial |
857,223 | 847,534 | 9,689 | — | ||||||||||||||
| Utilities |
374,328 | 374,328 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
3,246,676 | 3,236,987 | 9,689 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Corporate Bonds & Notes |
140,701,689 | — | 140,701,689 | — | ||||||||||||||
| Senior Loan Notes |
5,815,671 | — | 5,562,546 | 253,125 | ||||||||||||||
| Asset-Backed Securities |
6,401,787 | — | 6,401,787 | — | ||||||||||||||
| Short-Term Investment |
2,418,358 | 2,418,358 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$158,586,810 | $5,655,345 | $152,675,711 | $255,754 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-40
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS HIGH INCOME
Schedule of Investments (Continued)
March 31, 2021
The following is a reconciliation of investments for significant unobservable inputs (Level 3) used in valuing the Fund’s assets and liabilities for the year ended March 31, 2021:
| Warrants | Senior Loan Notes and Unfunded Loan Commitment |
Total | ||||||||||
| Value, Beginning of Year |
$— | $2,825,470 | $2,825,470 | |||||||||
| Purchases |
65,291 | 750,000 | 815,291 | |||||||||
| Sales (Includes Paydowns) |
— | (3,091,753 | ) | (3,091,753 | ) | |||||||
| Accrued Discounts (Premiums) |
— | 24,502 | 24,502 | |||||||||
| Net Realized Gains (Loses) |
— | (118,173 | ) | (118,173 | ) | |||||||
| Change in Net Unrealized Appreciation (Depreciation) |
(62,662 | ) | 795,996 | 733,334 | ||||||||
| Transfers In |
— | — | — | |||||||||
| Transfers Out |
— | (932,917 | ) | (932,917 | ) | |||||||
|
|
|
|
|
|
|
|||||||
| Value, End of Year |
$2,629 | $253,125 | $255,754 | |||||||||
|
|
|
|
|
|
|
|||||||
| Change in Net Unrealized Appreciation (Depreciation) on Level 3 Investments Held at the End of Year, if Applicable |
($62,662 | ) | $41,197 | ($21,465 | ) | |||||||
|
|
|
|
|
|
|
|||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-41
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDSSM ESG CORE BOND
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-42
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS ESG CORE BOND
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$13,795,939 | $— | $13,795,939 | $— | |||||||||||||
| Mortgage-Backed Securities |
1,220,838 | — | 1,220,838 | — | ||||||||||||||
| Asset-Backed Securities |
4,790,359 | — | 4,790,359 | — | ||||||||||||||
| U.S. Treasury Obligations |
4,294,150 | — | 4,294,150 | — | ||||||||||||||
| Short-Term Investment |
304,768 | 304,768 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$24,406,054 | $304,768 | $24,101,286 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-43
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDSSM SMALL/MID-CAP
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-44
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS SMALL/MID-CAP
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$345,672,385 | $345,672,385 | $— | $— | |||||||||||||
| Short-Term Investment |
2,905,598 | 2,905,598 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$348,577,983 | $348,577,983 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-45
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDSSM SMALL-CAP
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-46
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS SMALL-CAP
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$16,357,893 | $16,357,893 | $— | $— | |||||||||||||
| Short-Term Investment |
261,723 | 261,723 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$16,619,616 | $16,619,616 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-47
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDSSM SMALL-CAP VALUE
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-48
Table of Contents
PACIFIC FUNDS
PACIFIC FUNDS SMALL-CAP VALUE
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$17,540,198 | $17,540,198 | $— | $— | |||||||||||||
| Exchange-Traded Fund |
185,623 | 185,623 | — | — | ||||||||||||||
| Short-Term Investment |
197,982 | 197,982 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$17,923,803 | $17,923,803 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-49
Table of Contents
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-50
Table of Contents
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments (Continued)
March 31, 2021
| (c) | Open futures contracts outstanding as of March 31, 2021 were as follows: |
| Long Futures Outstanding | Expiration Month |
Number of Contracts |
Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Euro-Bobl |
06/21 | 6 | $950,409 | $950,450 | $41 | |||||||||||||||
| Euro-Bund |
06/21 | 7 | 1,407,822 | 1,406,020 | (1,802 | ) | ||||||||||||||
| U.S. Treasury 5-Year Notes |
06/21 | 60 | 7,467,736 | 7,403,906 | (63,830 | ) | ||||||||||||||
| U.S. Treasury Long Bonds |
06/21 | 6 | 960,167 | 927,563 | (32,604 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (98,195 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Short Futures Outstanding |
||||||||||||||||||||
| Australia 3-Year Bonds |
06/21 | 2 | 177,767 | 177,801 | (34 | ) | ||||||||||||||
| Euro-BTP |
06/21 | 3 | 525,860 | 525,288 | 572 | |||||||||||||||
| Euro-Buxl |
06/21 | 3 | 724,162 | 724,869 | (707 | ) | ||||||||||||||
| Euro-Schatz |
06/21 | 39 | 5,127,008 | 5,126,927 | 81 | |||||||||||||||
| U.S. Treasury 2-Year Notes |
06/21 | 13 | 2,870,536 | 2,869,445 | 1,091 | |||||||||||||||
| U.S. Treasury 10-Year Notes |
06/21 | 11 | 1,471,255 | 1,440,313 | 30,942 | |||||||||||||||
| U.S. Treasury Ultra 10-Year Notes |
06/21 | 8 | 1,194,758 | 1,149,500 | 45,258 | |||||||||||||||
| U.S. Ultra Long Bonds |
06/21 | 6 | 1,146,852 | 1,087,312 | 59,540 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 136,743 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Total Futures Contracts |
$38,548 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-51
Table of Contents
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments (Continued)
March 31, 2021
| (d) | Forward foreign currency contracts outstanding as of March 31, 2021 were as follows: |
| Currency Purchased |
Currency Sold |
Settlement Month |
Counterparty | Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||||||||
| AUD | 1,152,771 | USD | 883,783 | 04/21 | GSC | $— | ($8,161 | ) | ||||||||||||||||||||||||
| EUR | 1,102,000 | USD | 1,295,180 | 04/21 | SCB | — | (2,704 | ) | ||||||||||||||||||||||||
| GBP | 398,000 | USD | 547,552 | 04/21 | SCB | 1,144 | — | |||||||||||||||||||||||||
| NZD | 380,000 | USD | 272,248 | 04/21 | SCB | — | (6,860 | ) | ||||||||||||||||||||||||
| USD | 524,064 | AUD | 655,832 | 04/21 | GSC | 25,906 | — | |||||||||||||||||||||||||
| USD | 385,382 | AUD | 482,939 | 04/21 | SCB | 18,551 | — | |||||||||||||||||||||||||
| USD | 10,847 | AUD | 14,000 | 04/21 | UBS | 213 | — | |||||||||||||||||||||||||
| USD | 603,255 | AUD | 790,771 | 05/21 | GSC | 2,514 | — | |||||||||||||||||||||||||
| USD | 23,505 | EUR | 20,000 | 04/21 | CSF | 48 | — | |||||||||||||||||||||||||
| USD | 132,305 | EUR | 112,000 | 04/21 | JPM | 944 | — | |||||||||||||||||||||||||
| USD | 1,338,700 | EUR | 1,102,000 | 04/21 | SCB | 46,224 | — | |||||||||||||||||||||||||
| USD | 134,895 | EUR | 114,000 | 04/21 | UBS | 1,188 | — | |||||||||||||||||||||||||
| USD | 1,295,922 | EUR | 1,102,000 | 05/21 | SCB | 2,690 | — | |||||||||||||||||||||||||
| USD | 561,820 | GBP | 398,000 | 04/21 | UBS | 13,124 | — | |||||||||||||||||||||||||
| USD | 547,605 | GBP | 398,000 | 05/21 | SCB | — | (1,140 | ) | ||||||||||||||||||||||||
| USD | 370,250 | NZD | 510,000 | 04/21 | JPM | 14,070 | — | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total Forward Foreign Currency Contracts |
$126,616 | ($18,865 | ) | |||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| (e) | Purchased options outstanding as of March 31, 2021 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 - 5-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 0.700% | 08/24/21 | MSC | $1,000,000 | $3,600 | $1,104 | ||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
| Put - 30-Year Interest Rate Swap |
Receive | 6-Month EUR-LIBOR | 0.190% | 11/02/22 | MSC | EUR 60,000 | 4,375 | 9,947 | ||||||||||||||||||||||||
| Put - 30-Year Interest Rate Swap |
Receive | 6-Month EUR-LIBOR | 0.197% | 11/04/22 | BRC | 200,000 | 14,957 | 32,880 | ||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
| 19,332 | 42,827 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
| Total Interest Rate Swaptions |
$22,932 | $43,931 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
Options on Futures
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Notional Amount |
Cost | Value | |||||||||||||||||||||
| Call - Euro-Schatz (05/21) |
EUR 114.20 | 05/21/21 | EUX | 53 | EUR 6,052,600 | $342 | $310 | |||||||||||||||||||||
| Call - Euro-BTP (05/21) |
161.50 | 05/21/21 | EUX | 4 | 646,000 | 49 | 47 | |||||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (06/21) |
$162.00 | 05/21/21 | CME | 19 | $3,078,000 | 158 | — | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| 549 | 357 | |||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| Put - Euro-Bobl (05/21) |
EUR 130.50 | 05/21/21 | EUX | 2 | EUR 261,000 | 14 | 12 | |||||||||||||||||||||
| Put - Euro-Bund (05/21) |
151.00 | 05/21/21 | EUX | 7 | 1,057,000 | 86 | 82 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| 100 | 94 | |||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| Total Options on Futures |
$649 | $451 | ||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| Total Purchased Options |
|
$23,581 | $44,382 | |||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| (f) | Premiums received and value of written options outstanding as of March 31, 2021 were as follows: |
Credit Default Swaptions on Credit Indices – Buy Protection
| Description | Exercise Rate |
Expiration Date |
Counter- party |
Notional Amount |
Premium | Value | ||||||||||||||||||
| Call - iTraxx Main 34 5Y |
0.375% | 04/21/21 | BRC | EUR 400,000 | $160 | ($4 | ) | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Credit Default Swaptions on Credit Indices – Sell Protection |
||||||||||||||||||||||||
| Put - iTraxx Main 34 5Y |
0.750% | 04/21/21 | BRC | 400,000 | 761 | (32 | ) | |||||||||||||||||
| Put - CDX IG 35 5Y |
0.750% | 05/19/21 | DUB | $100,000 | 97 | (22 | ) | |||||||||||||||||
| Put - CDX IG 36 5Y |
0.850% | 06/16/21 | GSC | 300,000 | 279 | (154 | ) | |||||||||||||||||
| Put - CDX IG 35 5Y |
0.900% | 06/16/21 | DUB | 500,000 | 525 | (132 | ) | |||||||||||||||||
| Put - CDX IG 36 5Y |
0.900% | 07/21/21 | GSC | 100,000 | 129 | (79 | ) | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| 1,791 | (419 | ) | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Total Credit Default Swaptions on Credit Indices |
$1,951 | ($423 | ) | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-52
Table of Contents
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments (Continued)
March 31, 2021
Inflation Floor/Cap Options
| Description | Initial Index |
Floating Rate | Expiration Date |
Counter- party |
Notional Amount |
Premium | Value | |||||||||||||||||||
| Cap - U.S. CPI Urban Consumers |
233.92 | Maximum of [0, Final Index/ Initial Index - (1 + 4.000%)10] |
04/22/24 | JPM | $1,900,000 | $13,823 | ($28 | ) | ||||||||||||||||||
| Cap - U.S. CPI Urban Consumers |
234.78 | Maximum of [0, Final Index/ Initial Index - (1 + 4.000%)10] |
05/16/24 | JPM | 200,000 | 1,390 | — | |||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| $15,213 | ($28 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
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 | 0.550% | 08/24/21 | MSC | $2,000,000 | $3,150 | ($980) | ||||||||||||||||||||||||
| Call - 1-Year Interest Rate Swap |
Receive | 3-Month EUR-LIBOR | (0.526% | ) | 11/17/22 | GSC | EUR 1,600,000 | 2,489 | (1,775) | |||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
| 5,639 | (2,755) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
| Put - 10-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.300% | 09/29/21 | DUB | $300,000 | 2,048 | (3,050) | ||||||||||||||||||||||||
| Put - 10-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.300% | 09/29/21 | MSC | 400,000 | 2,836 | (4,066) | ||||||||||||||||||||||||
| Put - 10-Year Interest Rate Swap |
Pay | 6-Month EUR-LIBOR | 0.000% | 11/02/22 | MSC | EUR 200,000 | 4,851 | (9,982) | ||||||||||||||||||||||||
| Put - 10-Year Interest Rate Swap |
Pay | 6-Month EUR-LIBOR | 0.000% | 11/04/22 | BRC | 600,000 | 14,726 | (30,065) | ||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
| 24,461 | (47,163) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
| Total Interest Rate Swaptions |
|
$30,100 | ($49,918) | |||||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
| Total Written Options |
|
$47,264 | ($50,369) | |||||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
| (g) | Swap agreements outstanding as of March 31, 2021 were as follows: |
Interest Rate Swaps – Long
| Receive | Pay | Payment Frequency Receive Rate/ Pay Rate |
Exchange | Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
| 1.030% | U.S. CPI Urban Consumers | Z / Z | LCH | 06/18/21 | $200,000 | ($4,736 | ) | $10 | ($4,746 | ) | ||||||||||||||||||||
| 1.690% | U.S. CPI Urban Consumers | Z / Z | LCH | 08/07/21 | 200,000 | (4,381 | ) | (10 | ) | (4,371 | ) | |||||||||||||||||||
| 1.825% | U.S. CPI Urban Consumers | Z / Z | LCH | 08/14/21 | 200,000 | (3,933 | ) | — | (3,933 | ) | ||||||||||||||||||||
| 1.840% | U.S. CPI Urban Consumers | Z / Z | LCH | 08/14/21 | 100,000 | (1,952 | ) | (5 | ) | (1,947 | ) | |||||||||||||||||||
| 1.863% | U.S. CPI Urban Consumers | Z / Z | LCH | 08/26/21 | 200,000 | (3,553 | ) | (20 | ) | (3,533 | ) | |||||||||||||||||||
| 2.180% | U.S. CPI Urban Consumers | Z / Z | LCH | 01/19/22 | 200,000 | (1,273 | ) | (3 | ) | (1,270 | ) | |||||||||||||||||||
| 2.200% | U.S. CPI Urban Consumers | Z / Z | LCH | 01/21/22 | 200,000 | (1,238 | ) | — | (1,238 | ) | ||||||||||||||||||||
| 2.170% | U.S. CPI Urban Consumers | Z / Z | LCH | 02/01/22 | 100,000 | (663 | ) | — | (663 | ) | ||||||||||||||||||||
| 2.155% | U.S. CPI Urban Consumers | Z / Z | LCH | 02/04/22 | 200,000 | (1,330 | ) | — | (1,330 | ) | ||||||||||||||||||||
| 2.200% | U.S. CPI Urban Consumers | Z / Z | LCH | 02/05/22 | 100,000 | (571 | ) | — | (571 | ) | ||||||||||||||||||||
| 3.220% | GBP Retail Price | Z / Z | LCH | 03/15/22 | GBP 100,000 | (105 | ) | (1 | ) | (104 | ) | |||||||||||||||||||
| (0.526%) | 3-Month EUR-LIBOR | A / Q | LCH | 11/21/23 | EUR 800,000 | (504 | ) | — | (504 | ) | ||||||||||||||||||||
| 3.850% | GBP Retail Price | Z / Z | LCH | 09/15/24 | GBP 200,000 | 13,936 | — | 13,936 | ||||||||||||||||||||||
| 3.330% | GBP Retail Price | Z / Z | LCH | 01/15/25 | 400,000 | 7,344 | 11,261 | (3,917 | ) | |||||||||||||||||||||
| 2.335% | U.S. CPI Urban Consumers | Z / Z | LCH | 02/05/28 | $190,000 | 413 | 338 | 75 | ||||||||||||||||||||||
| 2.364% | U.S. CPI Urban Consumers | Z / Z | LCH | 05/10/28 | 50,000 | 364 | — | 364 | ||||||||||||||||||||||
| 2.379% | U.S. CPI Urban Consumers | Z / Z | LCH | 07/09/28 | 500,000 | 3,933 | (288 | ) | 4,221 | |||||||||||||||||||||
| 3.593% | GBP Retail Price | Z / Z | LCH | 11/15/28 | GBP 45,000 | 2,370 | — | 2,370 | ||||||||||||||||||||||
| 2.165% | U.S. CPI Urban Consumers | Z / Z | LCH | 04/16/29 | $100,000 | (2,442 | ) | — | (2,442 | ) | ||||||||||||||||||||
| 1.998% | U.S. CPI Urban Consumers | Z / Z | LCH | 07/25/29 | 100,000 | (3,953 | ) | — | (3,953 | ) | ||||||||||||||||||||
| 1.760% | U.S. CPI Urban Consumers | Z / Z | LCH | 11/04/29 | 400,000 | (27,145 | ) | (708 | ) | (26,437 | ) | |||||||||||||||||||
| 3.400% | GBP Retail Price | Z / Z | LCH | 06/15/30 | GBP 200,000 | 8,737 | 2,555 | 6,182 | ||||||||||||||||||||||
| 3.475% | GBP Retail Price | Z / Z | LCH | 08/15/30 | 200,000 | (7,049 | ) | 2,476 | (9,525 | ) | ||||||||||||||||||||
| 1.380% | Eurostat Eurozone HICP | Z / Z | LCH | 03/15/31 | EUR 200,000 | (3,143 | ) | (1,361 | ) | (1,782 | ) | |||||||||||||||||||
| 3.566% | GBP Retail Price | Z / Z | LCH | 03/15/36 | GBP 190,000 | (4,521 | ) | (907 | ) | (3,614 | ) | |||||||||||||||||||
| 3.580% | GBP Retail Price | Z / Z | LCH | 03/15/36 | 40,000 | (788 | ) | (413 | ) | (375 | ) | |||||||||||||||||||
| 1.387% | Eurostat Eurozone HICP | Z / Z | LCH | 08/15/49 | EUR 20,000 | (2,535 | ) | — | (2,535 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| ($38,718 | ) | $12,924 | ($51,642 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-53
Table of Contents
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments (Continued)
March 31, 2021
Interest Rate Swaps – Short
| Pay | Receive | Payment Frequency Pay Rate/ Receive Rate |
Exchange | Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
| 0.090% | Eurostat Eurozone HICP | Z / Z | LCH | 05/15/22 | EUR 200,000 | $3,990 | $— | $3,990 | ||||||||||||||||||||||
| 2.210% | U.S. CPI Urban Consumers | Z / Z | LCH | 02/05/23 | $120,000 | (392 | ) | — | (392 | ) | ||||||||||||||||||||
| 2.263% | U.S. CPI Urban Consumers | Z / Z | LCH | 04/27/23 | 60,000 | (506 | ) | — | (506 | ) | ||||||||||||||||||||
| 2.263% | U.S. CPI Urban Consumers | Z / Z | LCH | 05/09/23 | 120,000 | (936 | ) | — | (936 | ) | ||||||||||||||||||||
| 2.281% | U.S. CPI Urban Consumers | Z / Z | LCH | 05/10/23 | 180,000 | (1,895 | ) | — | (1,895 | ) | ||||||||||||||||||||
| 1.030% | France CPI Ex Tobacco | Z / Z | LCH | 03/15/24 | EUR 140,000 | (1,913 | ) | (53 | ) | (1,860 | ) | |||||||||||||||||||
| 2.314% | U.S. CPI Urban Consumers | Z / Z | LCH | 02/26/26 | $200,000 | 2,399 | — | 2,399 | ||||||||||||||||||||||
| 2.419% | U.S. CPI Urban Consumers | Z / Z | LCH | 03/05/26 | 100,000 | 600 | — | 600 | ||||||||||||||||||||||
| 1.798% | U.S. CPI Urban Consumers | Z / Z | LCH | 08/25/27 | 500,000 | 30,768 | — | 30,768 | ||||||||||||||||||||||
| 1.890% | U.S. CPI Urban Consumers | Z / Z | LCH | 08/27/27 | 500,000 | 27,277 | — | 27,277 | ||||||||||||||||||||||
| 3.250% | 3-Month NZD-Bank Bills | S / Q | CME | 03/21/28 | NZD 100,000 | (8,202 | ) | 290 | (8,492 | ) | ||||||||||||||||||||
| 3.470% | GBP Retail Price | Z / Z | LCH | 01/15/31 | GBP 120,000 | 6,141 | — | 6,141 | ||||||||||||||||||||||
| 2.311% | U.S. CPI Urban Consumers | Z / Z | LCH | 02/24/31 | $200,000 | 4,040 | 94 | 3,946 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $61,371 | $331 | $61,040 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Total Interest Rate Swaps |
$22,653 | $13,255 | $9,398 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Total Swap Agreements |
$22,653 | $13,255 | $9,398 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Balances reported in the Statement of Assets and Liabilities for Centrally Cleared Swaps
| Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||
| Centrally Cleared Swap Agreements (1) |
||||||||
| Assets |
$17,024 | $102,269 | ||||||
| Liabilities |
(3,769 | ) | (92,871 | ) | ||||
|
|
|
|
|
|||||
| $13,255 | $9,398 | |||||||
|
|
|
|
|
|||||
| (1) | Includes cumulative value on centrally cleared swaps, as reported in the Schedule of Investments. Only variation margin is reported within the Statement of Assets and Liabilities. |
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-54
Table of Contents
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments (Continued)
March 31, 2021
| (h) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$825,994 | $— | $825,994 | $— | |||||||||||||
| Mortgage-Backed Securities |
1,417,630 | — | 1,417,630 | — | ||||||||||||||
| Asset-Backed Securities |
915,209 | — | 915,209 | — | ||||||||||||||
| U.S. Treasury Obligations |
33,821,975 | — | 33,821,975 | — | ||||||||||||||
| Foreign Government Bonds & Notes |
2,268,269 | — | 2,268,269 | — | ||||||||||||||
| Short-Term Investment |
447,421 | 447,421 | — | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Foreign Currency Contracts |
|
|||||||||||||||||
| Forward Foreign Currency Contracts |
126,616 | — | 126,616 | — | ||||||||||||||
| Interest Rate Contracts |
|
|||||||||||||||||
| Futures |
137,525 | 137,525 | — | — | ||||||||||||||
| Purchased Options |
44,382 | — | 44,382 | — | ||||||||||||||
| Swaps |
102,269 | — | 102,269 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Interest Rate Contracts |
284,176 | 137,525 | 146,651 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets - Derivatives |
410,792 | 137,525 | 273,267 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
40,107,290 | 584,946 | 39,522,344 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Sale-buyback Financing Transactions |
(6,639,894 | ) | — | (6,639,894 | ) | — | |||||||||||
| Derivatives: |
||||||||||||||||||
| Credit Contracts |
||||||||||||||||||
| Written Options |
(423 | ) | — | (423 | ) | — | ||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
(18,865 | ) | — | (18,865 | ) | — | ||||||||||||
| Interest Rate Contracts |
|
|||||||||||||||||
| Futures |
(98,977 | ) | (98,977 | ) | — | — | ||||||||||||
| Written Options |
(49,946 | ) | — | (49,946 | ) | — | ||||||||||||
| Swaps |
(92,871 | ) | — | (92,871 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Interest Rate Contracts |
(241,794 | ) | (98,977 | ) | (142,817 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities - Derivatives |
(261,082 | ) | (98,977 | ) | (162,105 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(6,900,976 | ) | (98,977 | ) | (6,801,999 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$33,206,314 | $485,969 | $32,720,345 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-55
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-56
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-57
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-58
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-59
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-60
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-61
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-62
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-63
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-64
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-65
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-66
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-67
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-68
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-69
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-70
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-71
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-72
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| (g) | Open futures contracts outstanding as of March 31, 2021 were as follows: |
| Long Futures Outstanding | Expiration Month |
Number of Contracts |
Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| AUD FX |
06/21 | 46 | $3,551,190 | $3,496,690 | ($54,500 | ) | ||||||||||||||
| Australia 10-Year Bonds |
06/21 | 36 | 3,784,627 | 3,776,571 | (8,056 | ) | ||||||||||||||
| CAD FX |
06/21 | 27 | 2,137,822 | 2,148,390 | 10,568 | |||||||||||||||
| EUR FX |
06/21 | 21 | 3,129,171 | 3,082,275 | (46,896 | ) | ||||||||||||||
| Euro-Bobl |
06/21 | 7 | 1,107,554 | 1,108,858 | 1,304 | |||||||||||||||
| Eurodollar |
03/22 | 142 | 35,407,998 | 35,416,575 | 8,577 | |||||||||||||||
| Eurodollar |
09/23 | 5 | 1,238,548 | 1,237,125 | (1,423 | ) | ||||||||||||||
| Eurodollar |
12/23 | 488 | 120,721,712 | 120,529,900 | (191,812 | ) | ||||||||||||||
| Euro-OAT |
06/21 | 12 | 2,278,104 | 2,279,025 | 921 | |||||||||||||||
| GBP FX |
06/21 | 2 | 174,231 | 172,263 | (1,968 | ) | ||||||||||||||
| JPY FX |
06/21 | 13 | 1,498,520 | 1,468,269 | (30,251 | ) | ||||||||||||||
| Long Gilt |
06/21 | 1 | 177,759 | 175,896 | (1,863 | ) | ||||||||||||||
| MXN FX |
06/21 | 36 | 847,239 | 873,720 | 26,481 | |||||||||||||||
| RUB FX |
06/21 | 5 | 167,763 | 163,688 | (4,075 | ) | ||||||||||||||
| U.S. Treasury 5-Year Notes |
06/21 | 565 | 70,249,943 | 69,720,119 | (529,824 | ) | ||||||||||||||
| U.S. Treasury 10-Year Notes |
06/21 | 99 | 13,132,326 | 12,962,813 | (169,513 | ) | ||||||||||||||
| U.S. Treasury Long Bonds |
06/21 | 469 | 74,583,064 | 72,504,469 | (2,078,595 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (3,070,925 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Short Futures Outstanding |
||||||||||||||||||||
| Euro-Bund |
06/21 | 97 | 19,441,411 | 19,483,425 | (42,014 | ) | ||||||||||||||
| Euro-Buxl |
06/21 | 6 | 1,470,745 | 1,449,739 | 21,006 | |||||||||||||||
| Eurodollar |
06/21 | 248 | 61,881,104 | 61,891,500 | (10,396 | ) | ||||||||||||||
| Eurodollar |
12/21 | 371 | 92,464,259 | 92,504,213 | (39,954 | ) | ||||||||||||||
| Japan 10-Year Bonds |
06/21 | 3 | 4,087,854 | 4,095,552 | (7,698 | ) | ||||||||||||||
| Long Gilt |
06/21 | 2 | 357,538 | 351,791 | 5,747 | |||||||||||||||
| U.S. Treasury 2-Year Notes |
06/21 | 63 | 13,920,430 | 13,905,773 | 14,657 | |||||||||||||||
| U.S. Treasury 10-Year Notes |
06/21 | 284 | 38,026,254 | 37,186,250 | 840,004 | |||||||||||||||
| U.S. Treasury Long Bonds |
06/21 | 1 | 162,960 | 154,594 | 8,366 | |||||||||||||||
| U.S. Ultra Long Bonds |
06/21 | 17 | 3,113,221 | 3,080,719 | 32,502 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 822,220 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Total Futures Contracts |
($2,248,705 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-73
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| (h) | Forward foreign currency contracts outstanding as of March 31, 2021 were as follows: |
| Currency Purchased |
Currency Sold |
Settlement Month |
Counterparty | Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||||||||||||||||
| AUD | 1,200,000 | USD | 928,247 | 04/21 | BNP | $— | ($16,688 | ) | ||||||||||||||||||||||||||||||||
| AUD | 2,538,283 | USD | 1,966,338 | 04/21 | CIT | — | (38,176 | ) | ||||||||||||||||||||||||||||||||
| AUD | 1,008,000 | USD | 786,926 | 04/21 | RBS | — | (21,270 | ) | ||||||||||||||||||||||||||||||||
| BRL | 3,111,707 | USD | 575,112 | 04/21 | CIT | — | (22,903 | ) | ||||||||||||||||||||||||||||||||
| BRL | 4,465,032 | USD | 783,710 | 04/21 | DUB | 9,323 | — | |||||||||||||||||||||||||||||||||
| BRL | 500,000 | USD | 92,295 | 04/21 | GSC | — | (3,564 | ) | ||||||||||||||||||||||||||||||||
| BRL | 1,398,513 | USD | 245,469 | 04/21 | JPM | 2,920 | — | |||||||||||||||||||||||||||||||||
| BRL | 5,863,545 | USD | 1,087,251 | 04/21 | SCB | — | (45,829 | ) | ||||||||||||||||||||||||||||||||
| BRL | 4,465,032 | USD | 805,377 | 05/21 | DUB | — | (13,758 | ) | ||||||||||||||||||||||||||||||||
| CAD | 939,000 | USD | 753,203 | 04/21 | BRC | — | (5,997 | ) | ||||||||||||||||||||||||||||||||
| CAD | 7,947,914 | USD | 6,356,428 | 04/21 | CIT | — | (31,740 | ) | ||||||||||||||||||||||||||||||||
| CAD | 3,280,905 | USD | 2,589,803 | 04/21 | CIT | 21,033 | — | |||||||||||||||||||||||||||||||||
| CLP | 430,442,550 | USD | 596,222 | 05/21 | BRC | 1,433 | — | |||||||||||||||||||||||||||||||||
| EUR | 748,000 | USD | 909,027 | 04/21 | CIT | — | (31,501 | ) | ||||||||||||||||||||||||||||||||
| EUR | 1,687,000 | USD | 2,013,673 | 04/21 | HSB | — | (35,041 | ) | ||||||||||||||||||||||||||||||||
| EUR | 7,123,000 | USD | 8,371,662 | 04/21 | SCB | — | (17,480 | ) | ||||||||||||||||||||||||||||||||
| EUR | 2,659,000 | USD | 3,167,957 | 04/21 | UBS | — | (49,295 | ) | ||||||||||||||||||||||||||||||||
| EUR | 3,838,000 | USD | 4,505,991 | 05/21 | JPM | — | (1,976 | ) | ||||||||||||||||||||||||||||||||
| GBP | 876,466 | USD | 1,215,981 | 04/21 | CIT | — | (7,607 | ) | ||||||||||||||||||||||||||||||||
| GBP | 1,747,005 | USD | 2,371,514 | 04/21 | CIT | 37,062 | — | |||||||||||||||||||||||||||||||||
| GBP | 147,000 | USD | 208,042 | 05/21 | BRC | — | (5,358 | ) | ||||||||||||||||||||||||||||||||
| GBP | 1,585,000 | USD | 2,207,582 | 05/21 | HSB | — | (22,183 | ) | ||||||||||||||||||||||||||||||||
| GBP | 130,000 | USD | 180,666 | 05/21 | RBS | — | (1,422 | ) | ||||||||||||||||||||||||||||||||
| IDR | 36,838,359,174 | USD | 2,627,651 | 04/21 | JPM | — | (103,006 | ) | ||||||||||||||||||||||||||||||||
| INR | 32,903,342 | USD | 444,190 | 04/21 | JPM | 4,107 | — | |||||||||||||||||||||||||||||||||
| JPY | 321,971,207 | USD | 2,965,058 | 04/21 | CIT | — | (56,614 | ) | ||||||||||||||||||||||||||||||||
| MXN | 7,000,000 | USD | 333,681 | 04/21 | BNP | 8,088 | — | |||||||||||||||||||||||||||||||||
| MXN | 15,638,000 | USD | 743,626 | 09/21 | HSB | 8,173 | — | |||||||||||||||||||||||||||||||||
| PEN | 1,934,811 | USD | 526,121 | 04/21 | HSB | — | (9,276 | ) | ||||||||||||||||||||||||||||||||
| RUB | 140,250,000 | USD | 1,865,265 | 04/21 | CIT | — | (14,151 | ) | ||||||||||||||||||||||||||||||||
| RUB | 171,307,313 | USD | 2,296,821 | 04/21 | GSC | — | (35,792 | ) | ||||||||||||||||||||||||||||||||
| USD | 129,136 | AUD | 170,000 | 04/21 | CIT | — | (1 | ) | ||||||||||||||||||||||||||||||||
| USD | 1,843,066 | AUD | 2,361,358 | 04/21 | CIT | 49,302 | — | |||||||||||||||||||||||||||||||||
| USD | 1,393,083 | AUD | 1,798,000 | 04/21 | UBS | 27,358 | — | |||||||||||||||||||||||||||||||||
| USD | 806,399 | BRL | 4,465,032 | 04/21 | DUB | 13,366 | — | |||||||||||||||||||||||||||||||||
| USD | 256,000 | BRL | 1,398,513 | 04/21 | JPM | 7,611 | — | |||||||||||||||||||||||||||||||||
| USD | 1,029,180 | BRL | 5,863,545 | 04/21 | SCB | — | (12,243 | ) | ||||||||||||||||||||||||||||||||
| USD | 744,647 | CAD | 943,000 | 04/21 | HSB | — | (5,742 | ) | ||||||||||||||||||||||||||||||||
| USD | 159,000 | CLP | 113,818,401 | 06/21 | HSB | 937 | — | |||||||||||||||||||||||||||||||||
| USD | 1,171,911 | CNH | 7,582,497 | 04/21 | JPM | 18,592 | — | |||||||||||||||||||||||||||||||||
| USD | 3,163,234 | EUR | 2,590,000 | 04/21 | BNP | 124,744 | — | |||||||||||||||||||||||||||||||||
| USD | 3,290,045 | EUR | 2,762,410 | 04/21 | CIT | 49,290 | — | |||||||||||||||||||||||||||||||||
| USD | 3,946,458 | EUR | 3,228,870 | 04/21 | GSC | 158,469 | — | |||||||||||||||||||||||||||||||||
| USD | 4,503,448 | EUR | 3,838,000 | 04/21 | JPM | 1,972 | — | |||||||||||||||||||||||||||||||||
| USD | 8,652,960 | EUR | 7,123,000 | 04/21 | SCB | 298,778 | — | |||||||||||||||||||||||||||||||||
| USD | 605,275 | EUR | 508,000 | 04/21 | UBS | 9,457 | — | |||||||||||||||||||||||||||||||||
| USD | 8,376,456 | EUR | 7,123,000 | 05/21 | SCB | 17,389 | — | |||||||||||||||||||||||||||||||||
| USD | 159,456 | GBP | 115,000 | 05/21 | HSB | 894 | — | |||||||||||||||||||||||||||||||||
| USD | 13,025,139 | GBP | 9,326,000 | 05/21 | UBS | 166,447 | — | |||||||||||||||||||||||||||||||||
| USD | 1,616,503 | JPY | 166,612,924 | 04/21 | CIT | 111,447 | — | |||||||||||||||||||||||||||||||||
| USD | 83,022 | JPY | 8,800,000 | 05/21 | UBS | 3,509 | — | |||||||||||||||||||||||||||||||||
| USD | 830,922 | MXN | 17,229,000 | 04/21 | CIT | — | (10,269 | ) | ||||||||||||||||||||||||||||||||
| USD | 2,755,265 | MXN | 55,570,000 | 04/21 | CIT | 42,108 | — | |||||||||||||||||||||||||||||||||
| USD | 271,174 | MXN | 5,424,055 | 04/21 | GSC | 6,350 | — | |||||||||||||||||||||||||||||||||
| USD | 197,574 | MXN | 4,101,000 | 04/21 | UBS | — | (2,762 | ) | ||||||||||||||||||||||||||||||||
| USD | 531,790 | PEN | 1,934,811 | 04/21 | JPM | 14,944 | — | |||||||||||||||||||||||||||||||||
| USD | 901,489 | PEN | 3,311,802 | 05/21 | HSB | 16,892 | — | |||||||||||||||||||||||||||||||||
| USD | 690,409 | PEN | 2,532,325 | 06/21 | HSB | 14,198 | — | |||||||||||||||||||||||||||||||||
| USD | 88,000 | PEN | 325,102 | 06/21 | SCB | 1,186 | — | |||||||||||||||||||||||||||||||||
| USD | 525,550 | PEN | 1,934,811 | 12/21 | HSB | 9,521 | — | |||||||||||||||||||||||||||||||||
| ZAR | 4,736,125 | USD | 317,878 | 04/21 | CIT | 2,166 | — | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||||||||||
| Total Forward Foreign Currency Contracts |
|
$1,259,066 | ($621,644 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-74
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| (i) | Purchased options outstanding as of March 31, 2021 were as follows: |
Foreign Currency Options
| Description | Exercise Price |
Expiration Date |
Counter- party |
Notional Amount |
Cost | Value | ||||||||||||||||
| Put - COP versus USD |
COP 3,500.00 | 06/11/21 | GSC | $580,000 | $9,637 | $4,405 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
Options on Futures
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Notional Amount |
Cost | Value | |||||||||||||||||||||
| Call - AUD-FX (04/21) |
$77.00 | 04/09/21 | CME | 1 | $77,000 | $913 | $110 | |||||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/21) |
131.25 | 04/23/21 | CME | 1 | 131,250 | 642 | 547 | |||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/21) |
155.00 | 04/23/21 | CME | 8 | 1,240,000 | 12,029 | 11,125 | |||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/21) |
156.00 | 04/23/21 | CME | 5 | 780,000 | 6,790 | 4,766 | |||||||||||||||||||||
| Call - EUR-FX (05/21) |
1.18 | 05/07/21 | CME | 4 | 590,000 | 3,410 | 3,000 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| 23,784 | 19,548 | |||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| Put - EUR-FX (04/21) |
1.21 | 04/09/21 | CME | 5 | 756,250 | 4,488 | 22,375 | |||||||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (05/21) |
131.00 | 04/23/21 | CME | 2 | 262,000 | 1,347 | 1,469 | |||||||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (05/21) |
132.50 | 04/23/21 | CME | 1 | 132,500 | 830 | 1,734 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| 6,665 | 25,578 | |||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| Total Options on Futures |
$30,449 | $45,126 | ||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| Total Purchased Options |
|
$40,086 | $49,531 | |||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| (j) | Premiums received and value of written options outstanding as of March 31, 2021 were as follows: |
Foreign Currency Options
| Description | Exercise Price |
Expiration Date |
Counter- party |
Notional Amount |
Premium | Value | ||||||||||||||||
| Put - BRL versus USD |
BRL 5.40 | 06/14/21 | MSC | $580,000 | $12,129 | ($8,143 | ) | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
Interest Rate Swaptions
| Description | Pay/Receive Floating Rate |
Floating Rate Index | Exercise Rate |
Expiration Date |
Counter- party |
Notional Amount |
Premium | Value | ||||||||||||||||||||||||
| Call - 30-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 1.750% | 06/01/21 | CIT | $57,000 | $713 | ($208 | ) | |||||||||||||||||||||||
| Call - 30-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 1.750% | 06/01/21 | GSC | 338,000 | 4,237 | (1,232 | ) | |||||||||||||||||||||||
| Call - 30-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 1.800% | 06/03/21 | MSC | 236,000 | 3,694 | (1,162 | ) | |||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
| 8,644 | (2,602 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
| Put - 30-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.250% | 06/01/21 | CIT | 57,000 | 713 | (1,508 | ) | |||||||||||||||||||||||
| Put - 30-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.250% | 06/01/21 | GSC | 338,000 | 4,237 | (8,940 | ) | |||||||||||||||||||||||
| Put - 30-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.300% | 06/03/21 | MSC | 236,000 | 3,103 | (5,250 | ) | |||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
| 8,053 | (15,698 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
| Total Interest Rate Swaptions |
|
$16,697 | ($18,300 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
Options on Futures
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Notional Amount |
Premium | Value | |||||||||||||||||||
| Call - U.S. Treasury 5-Year Notes (04/21) |
$123.75 | 04/02/21 | CME | 3 | $371,250 | $370 | ($117 | ) | ||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (04/21) |
131.25 | 04/02/21 | CME | 2 | 262,500 | 606 | (344 | ) | ||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (04/21) |
131.75 | 04/02/21 | CME | 10 | 1,317,500 | 1,998 | (625 | ) | ||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (04/21) |
155.50 | 04/02/21 | CME | 2 | 311,000 | 981 | (625 | ) | ||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (04/21) |
156.00 | 04/02/21 | CME | 1 | 156,000 | 342 | (187 | ) | ||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (04/21) |
157.00 | 04/02/21 | CME | 1 | 157,000 | 155 | (62 | ) | ||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (04/21) |
157.50 | 04/02/21 | CME | 2 | 315,000 | 606 | (94 | ) | ||||||||||||||||||
| Call - CAD-FX (04/21) |
79.50 | 04/09/21 | CME | 1 | 79,500 | 497 | (360 | ) | ||||||||||||||||||
| Call - CAD-FX (04/21) |
80.00 | 04/09/21 | CME | 1 | 80,000 | 378 | (140 | ) | ||||||||||||||||||
| Call - U.S. Treasury 5-Year Notes (05/21) |
124.00 | 04/23/21 | CME | 37 | 4,588,000 | 10,061 | (4,336 | ) | ||||||||||||||||||
| Call - U.S. Treasury 5-Year Notes (05/21) |
124.50 | 04/23/21 | CME | 8 | 996,000 | 1,447 | (250 | ) | ||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/21) |
132.00 | 04/23/21 | CME | 3 | 396,000 | 1,464 | (797 | ) | ||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/21) |
132.25 | 04/23/21 | CME | 3 | 396,750 | 1,354 | (656 | ) | ||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/21) |
132.50 | 04/23/21 | CME | 10 | 1,325,000 | 3,951 | (1,719 | ) | ||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/21) |
133.00 | 04/23/21 | CME | 15 | 1,995,000 | 5,630 | (1,641 | ) | ||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/21) |
134.00 | 04/23/21 | CME | 27 | 3,618,000 | 17,703 | (1,266 | ) | ||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/21) |
135.00 | 04/23/21 | CME | 1 | 135,000 | 655 | (31 | ) | ||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-75
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Notional Amount |
Premium | Value | |||||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/21) |
$135.50 | 04/23/21 | CME | 2 | $271,000 | $965 | ($31 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/21) |
136.50 | 04/23/21 | CME | 5 | 682,500 | 2,179 | (78 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/21) |
157.00 | 04/23/21 | CME | 25 | 3,925,000 | 18,051 | (15,625 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/21) |
158.00 | 04/23/21 | CME | 1 | 158,000 | 592 | (391 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/21) |
159.00 | 04/23/21 | CME | 14 | 2,226,000 | 16,866 | (3,500 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/21) |
160.00 | 04/23/21 | CME | 3 | 480,000 | 885 | (469 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/21) |
161.00 | 04/23/21 | CME | 2 | 322,000 | 778 | (219 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/21) |
162.00 | 04/23/21 | CME | 3 | 486,000 | 3,370 | (234 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/21) |
164.00 | 04/23/21 | CME | 11 | 1,804,000 | 6,731 | (516 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/21) |
165.00 | 04/23/21 | CME | 4 | 660,000 | 2,462 | (125 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/21) |
166.00 | 04/23/21 | CME | 2 | 332,000 | 2,153 | (62 | ) | ||||||||||||||||||||
| Call - Euro-Bund (05/21) |
EUR 172.00 | 04/23/21 | EUX | 2 | EUR 344,000 | 783 | (1,055 | ) | ||||||||||||||||||||
| Call - AUD-FX (05/21) |
$77.50 | 05/07/21 | CME | 2 | $155,000 | 1,035 | (720 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 5-Year Notes (06/21) |
124.00 | 05/21/21 | CME | 4 | 496,000 | 1,110 | (1,000 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (06/21) |
131.50 | 05/21/21 | CME | 7 | 920,500 | 5,613 | (5,359 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (06/21) |
132.00 | 05/21/21 | CME | 21 | 2,772,000 | 17,042 | (11,484 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (06/21) |
134.00 | 05/21/21 | CME | 27 | 3,618,000 | 12,000 | (3,797 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (06/21) |
157.00 | 05/21/21 | CME | 14 | 2,198,000 | 16,445 | (16,844 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (06/21) |
158.00 | 05/21/21 | CME | 11 | 1,738,000 | 12,590 | (9,797 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (06/21) |
159.00 | 05/21/21 | CME | 14 | 2,226,000 | 18,351 | (9,187 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (06/21) |
160.00 | 05/21/21 | CME | 8 | 1,280,000 | 5,127 | (3,750 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (06/21) |
163.00 | 05/21/21 | CME | 2 | 326,000 | 2,262 | (344 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (06/21) |
165.00 | 05/21/21 | CME | 2 | 330,000 | 1,715 | (219 | ) | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (06/21) |
166.00 | 05/21/21 | CME | 2 | 332,000 | 1,731 | (187 | ) | ||||||||||||||||||||
| Call - Eurodollar (12/21) |
99.13 | 12/10/21 | CME | 6 | 1,486,875 | 2,087 | (1,613 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| 201,121 | (99,856 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (05/21) |
123.50 | 04/23/21 | CME | 23 | 2,840,500 | 6,226 | (9,523 | ) | ||||||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (05/21) |
123.75 | 04/23/21 | CME | 7 | 866,250 | 2,011 | (3,828 | ) | ||||||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (05/21) |
131.50 | 04/23/21 | CME | 5 | 657,500 | 2,804 | (5,000 | ) | ||||||||||||||||||||
| Put - U.S. Treasury 30-Year Bonds (05/21) |
154.00 | 04/23/21 | CME | 2 | 308,000 | 1,778 | (2,719 | ) | ||||||||||||||||||||
| Put - EUR-FX (05/21) |
1.17 | 05/07/21 | CME | 3 | 438,750 | 2,042 | (2,513 | ) | ||||||||||||||||||||
| Put - Eurodollar (12/21) |
98.75 | 12/10/21 | CME | 5 | 1,234,375 | 2,490 | (3,031 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| 17,351 | (26,614 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| Total Options on Futures |
$218,472 | ($126,470 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
Options on Securities
| Description | Exercise Price |
Expiration Date |
Counter- party |
Notional Amount |
Premium | Value | ||||||||||||||||||
| Call - Fannie Mae 2.000% due 05/13/51 |
$101.43 | 05/06/21 | JPM | $1,000,000 | $3,125 | ($914 | ) | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Put - Fannie Mae 2.000% due 05/13/51 |
100.75 | 05/06/21 | JPM | 1,000,000 | 7,031 | (13,677 | ) | |||||||||||||||||
| Put - Fannie Mae 2.500% due 05/13/51 |
101.79 | 05/06/21 | JPM | 500,000 | 2,149 | (2,168 | ) | |||||||||||||||||
| Put - Fannie Mae 3.000% due 06/14/51 |
103.88 | 06/07/21 | JPM | 400,000 | 1,484 | (1,464 | ) | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| 10,664 | (17,309 | ) | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Total Options on Securities |
$13,789 | ($18,223 | ) | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Total Written Options |
$261,087 | ($171,136 | ) | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| (k) | Swap agreements outstanding as of March 31, 2021 were as follows: |
Credit Default Swaps on Corporate and Sovereign Issues – Sell Protection (1)
| Referenced Obligation | Payment Frequency |
Fixed Deal Receive Rate |
Expiration Date |
Counterparty | Implied Credit Spread at 03/31/21 (2) |
Notional Amount (3) |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||||
| Barclays Bank PLC |
Q | 1.000% | 12/20/21 | MSC | 0.167% | EUR 400,000 | $3,000 | $2,801 | $199 | |||||||||||||||||||||||||||
| Russian Federation |
Q | 1.000% | 12/20/24 | JPM | 0.847% | $400,000 | 2,362 | 1,972 | 390 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| 5,362 | 4,773 | 589 | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||||||||||||
| Rolls-Royce PLC |
Q | 1.000% | 12/20/24 | ICE | 2.407% | EUR 800,000 | (46,973 | ) | (4,034 | ) | (42,939 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| Total Credit Default Swaps on Corporate and Sovereign Issues – Sell Protection |
|
($41,611 | ) | $739 | ($42,350 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-76
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
Credit Default Swaps on Credit Indices – Sell Protection (1)
| Referenced Obligation | Payment Frequency |
Fixed Deal Receive Rate |
Expiration Date |
Exchange | Notional Amount (3) |
Value (4) | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| CDX IG 34 5Y |
Q | 1.000% | 06/20/25 | ICE | $4,477,000 | $81,850 | $20,739 | $61,111 | ||||||||||||||||||||||||
| CDX iTraxx Main 34 5Y |
Q | 5.000% | 12/20/25 | ICE | EUR 1,183,992 | 171,713 | 160,287 | 11,426 | ||||||||||||||||||||||||
| CDX IG 36 5Y |
Q | 1.000% | 06/20/26 | ICE | $34,467,000 | 819,143 | 750,500 | 68,643 | ||||||||||||||||||||||||
| CDX HY 36 5Y |
Q | 5.000% | 06/20/26 | ICE | 5,540,000 | 503,614 | 470,084 | 33,530 | ||||||||||||||||||||||||
| CDX iTraxx Main 35 5Y |
Q | 5.000% | 06/20/26 | ICE | EUR 1,500,000 | 211,146 | 196,140 | 15,006 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $1,787,466 | $1,597,750 | $189,716 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Total Credit Default Swaps |
|
$1,745,855 | $1,598,489 | $147,366 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (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. |
| (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 expected amount paid or received 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 – Long
| Receive | Pay | Payment Frequency Receive Rate/ Pay Rate |
Counterparty | Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| 7.024% |
Brazil CETIP Interbank | Z / Z | CIT | 01/04/27 | BRL 5,712,000 | ($12,917 | ) | $2,295 | ($15,212 | ) | ||||||||||||||||||||||
| 7.044% |
Brazil CETIP Interbank | Z / Z | JPM | 01/04/27 | 1,400,000 | (2,940 | ) | — | (2,940 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (15,857 | ) | 2,295 | (18,152 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||||||||
| 3.350% |
Brazil CETIP Interbank | Z /Z | CME | 01/03/22 | 50,000,000 | (60,751 | ) | 2,683 | (63,434 | ) | ||||||||||||||||||||||
| 3.700% |
Brazil CETIP Interbank | Z /Z | CME | 01/03/22 | 32,000,000 | (30,137 | ) | (1,092 | ) | (29,045 | ) | |||||||||||||||||||||
| 0.190% |
3-Month USD-LIBOR | S /Q | CME | 06/15/22 | $5,492,000 | 879 | (25 | ) | 904 | |||||||||||||||||||||||
| 2.800% |
3-Month USD-LIBOR | S /Q | CME | 08/22/23 | 500,000 | 30,588 | — | 30,588 | ||||||||||||||||||||||||
| 0.100% |
6-Month JPY-LIBOR | S /S | LCH | 03/20/24 | JPY 1,395,000,000 | 46,897 | 52,017 | (5,120 | ) | |||||||||||||||||||||||
| 1.100% |
3-Month USD-LIBOR | S /Q | CME | 12/18/25 | $10,186,000 | (88,538 | ) | — | (88,538 | ) | ||||||||||||||||||||||
| (0.095%) |
6-Month JPY-LIBOR | S /S | LCH | 09/13/26 | JPY 140,000,000 | (8,090 | ) | — | (8,090 | ) | ||||||||||||||||||||||
| (0.092%) |
6-Month JPY-LIBOR | S /S | LCH | 09/13/26 | 70,000,000 | (3,940 | ) | — | (3,940 | ) | ||||||||||||||||||||||
| (0.068%) |
6-Month JPY-LIBOR | S /S | LCH | 09/18/26 | 120,000,000 | (5,360 | ) | — | (5,360 | ) | ||||||||||||||||||||||
| (0.062%) |
6-Month JPY-LIBOR | S /S | LCH | 09/18/26 | 190,000,000 | (7,923 | ) | (84 | ) | (7,839 | ) | |||||||||||||||||||||
| (0.064%) |
6-Month JPY-LIBOR | S /S | LCH | 09/19/26 | 67,000,000 | (2,867 | ) | — | (2,867 | ) | ||||||||||||||||||||||
| (0.063%) |
6-Month JPY-LIBOR | S /S | LCH | 09/19/26 | 67,000,000 | (2,834 | ) | — | (2,834 | ) | ||||||||||||||||||||||
| (0.087%) |
6-Month JPY-LIBOR | S /S | LCH | 09/20/26 | 34,000,000 | (1,836 | ) | — | (1,836 | ) | ||||||||||||||||||||||
| (0.097%) |
6-Month JPY-LIBOR | S /S | LCH | 09/24/26 | 82,000,000 | (4,879 | ) | 111 | (4,990 | ) | ||||||||||||||||||||||
| 0.300% |
6-Month JPY-LIBOR | S /S | LCH | 03/20/28 | 170,000,000 | 27,159 | 26,374 | 785 | ||||||||||||||||||||||||
| 7.450% |
28-Day MXN TIIE | L /L | CME | 07/18/29 | MXN 63,630,000 | 177,225 | 26,769 | 150,456 | ||||||||||||||||||||||||
| 0.036% |
6-Month JPY-LIBOR | S /S | LCH | 03/10/38 | JPY 19,000,000 | (9,326 | ) | — | (9,326 | ) | ||||||||||||||||||||||
| 0.040% |
6-Month JPY-LIBOR | S / S | LCH | 03/10/38 | 19,000,000 | (9,209 | ) | — | (9,209 | ) | ||||||||||||||||||||||
| 0.103% |
6-Month JPY-LIBOR | S / S | LCH | 08/28/39 | 90,000,000 | (43,054 | ) | — | (43,054 | ) | ||||||||||||||||||||||
| 0.430% |
6-Month JPY-LIBOR | S / S | LCH | 03/19/41 | 16,000,000 | 73 | — | 73 | ||||||||||||||||||||||||
| 0.410% |
6-Month JPY-LIBOR | S / S | LCH | 03/25/41 | 2,000,000 | (65 | ) | — | (65 | ) | ||||||||||||||||||||||
| 1.000% |
6-Month JPY-LIBOR | S / S | LCH | 03/21/48 | 20,000,000 | 21,697 | 48,803 | (27,106 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 25,709 | 155,556 | (129,847 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Total Interest Rate Swaps – Long |
|
$9,852 | $157,851 | ($147,999 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-77
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
Interest Rate Swaps – Short
| Pay | Receive | Payment Frequency Pay Rate/ Receive Rate |
Exchange | Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| 0.300% |
6-Month JPY-LIBOR | S / S | CME | 03/18/26 | JPY 225,000,000 | ($29,498 | ) | ($33,078 | ) | $3,580 | ||||||||||||||||||||||
| 0.300% |
6-Month JPY-LIBOR | S / S | LCH | 03/18/26 | 410,000,000 | (53,751 | ) | (23,718 | ) | (30,033 | ) | |||||||||||||||||||||
| 0.260% |
1-Day U.S. Fed Funds | A / A | CME | 05/15/27 | $5,461,000 | 275,281 | (18,331 | ) | 293,612 | |||||||||||||||||||||||
| 0.450% |
3-Month USD-LIBOR | S / Q | CME | 05/15/27 | 6,272,000 | 306,599 | (15,869 | ) | 322,468 | |||||||||||||||||||||||
| 1.350% |
3-Month USD-LIBOR | S / Q | CME | 02/15/28 | 11,000,000 | 83,012 | 59,863 | 23,149 | ||||||||||||||||||||||||
| 0.450% |
6-Month JPY-LIBOR | S / S | LCH | 03/20/29 | JPY 260,000,000 | (67,794 | ) | (95,871 | ) | 28,077 | ||||||||||||||||||||||
| 0.750% |
6-Month JPY-LIBOR | S / S | LCH | 03/20/38 | 102,500,000 | (60,448 | ) | 10,514 | (70,962 | ) | ||||||||||||||||||||||
| 0.800% |
6-Month JPY-LIBOR | S / S | LCH | 10/22/38 | 10,000,000 | (6,965 | ) | — | (6,965 | ) | ||||||||||||||||||||||
| 0.705% |
6-Month JPY-LIBOR | S / S | LCH | 10/31/38 | 50,000,000 | (27,147 | ) | 3,203 | (30,350 | ) | ||||||||||||||||||||||
| 0.785% |
6-Month JPY-LIBOR | S / S | LCH | 11/12/38 | 20,000,000 | (13,364 | ) | 68 | (13,432 | ) | ||||||||||||||||||||||
| 0.560% |
1-Day-USD-SOFR | A / A | CME | 07/20/45 | $1,380,000 | 366,486 | 12,421 | 354,065 | ||||||||||||||||||||||||
| 0.740% |
1-Day USD-SOFR | A / A | CME | 08/19/45 | 640,000 | 146,932 | — | 146,932 | ||||||||||||||||||||||||
| 0.641% |
6-Month JPY-LIBOR | S / S | CME | 05/09/46 | JPY 187,300,000 | (57,018 | ) | — | (57,018 | ) | ||||||||||||||||||||||
| 1.000% |
3-Month USD-LIBOR | S / Q | CME | 02/15/47 | $683,000 | 167,808 | 6,648 | 161,160 | ||||||||||||||||||||||||
| 1.200% |
3-Month USD-LIBOR | S / Q | CME | 02/15/47 | 901,000 | 183,844 | 4,963 | 178,881 | ||||||||||||||||||||||||
| 1.225% |
3-Month USD-LIBOR | S / Q | CME | 02/15/47 | 362,000 | 71,976 | 416 | 71,560 | ||||||||||||||||||||||||
| 1.600% |
3-Month USD-LIBOR | S / Q | CME | 02/15/47 | 458,000 | 55,924 | 2,697 | 53,227 | ||||||||||||||||||||||||
| 0.900% |
3-Month USD-LIBOR | S / Q | CME | 03/17/50 | 8,335,000 | 2,433,505 | 2,304,860 | 128,645 | ||||||||||||||||||||||||
| 1.200% |
3-Month USD-LIBOR | S / Q | CME | 10/07/50 | 751,000 | 167,228 | 3,830 | 163,398 | ||||||||||||||||||||||||
| 0.538% |
6-Month JPY-LIBOR | S / S | LCH | 03/15/51 | JPY 41,000,000 | 2,957 | (238 | ) | 3,195 | |||||||||||||||||||||||
| 0.520% |
6-Month JPY-LIBOR | S / S | LCH | 03/16/51 | 12,000,000 | 1,409 | — | 1,409 | ||||||||||||||||||||||||
| 0.350% |
6-Month JPY-LIBOR | S / S | LCH | 03/17/51 | 10,000,000 | 5,551 | 5,520 | 31 | ||||||||||||||||||||||||
| 0.557% |
6-Month JPY-LIBOR | S / S | LCH | 03/17/51 | 147,000,000 | 3,380 | — | 3,380 | ||||||||||||||||||||||||
| 0.565% |
6-Month JPY-LIBOR | S / S | LCH | 03/19/51 | 48,000,000 | 106 | — | 106 | ||||||||||||||||||||||||
| 0.570% |
6-Month JPY-LIBOR | S / S | LCH | 03/19/51 | 10,000,000 | (116 | ) | — | (116 | ) | ||||||||||||||||||||||
| 2.000% |
3-Month USD-LIBOR | S / Q | CME | 06/03/51 | $79,000 | 3,867 | 822 | 3,045 | ||||||||||||||||||||||||
| 2.050% |
3-Month USD-LIBOR | S / Q | CME | 06/07/51 | 236,000 | 8,881 | (29 | ) | 8,910 | |||||||||||||||||||||||
| 0.500% |
1-Day GBP-SONIA | A / A | LCH | 06/16/51 | GBP 1,800,000 | 311,650 | (93,536 | ) | 405,186 | |||||||||||||||||||||||
| 0.750% |
1-Day GBP-SONIA | A / A | LCH | 09/15/51 | 200,000 | 17,192 | 12,429 | 4,763 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $4,297,487 | $2,147,584 | $2,149,903 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Total Interest Rate Swaps |
|
$4,307,339 | $2,305,435 | $2,001,904 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Total Swap Agreements |
|
$6,053,194 | $3,903,924 | $2,149,270 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Balances reported in the Statement of Assets and Liabilities for Over the Counter (OTC) Swaps and Centrally Cleared Swaps
| (1) | Includes cumulative value on centrally cleared swaps, as reported in the Schedule of Investments. Only variation margin is reported within the Statement of Assets and Liabilities. |
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-78
Table of Contents
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$185,410,304 | $— | $185,410,304 | $— | |||||||||||||
| Senior Loan Notes |
16,438,018 | — | 16,308,696 | 129,322 | ||||||||||||||
| Mortgage-Backed Securities |
||||||||||||||||||
| Collateralized Mortgage Obligations - Commercial |
20,403,010 | — | 20,403,010 | — | ||||||||||||||
| Collateralized Mortgage Obligations - Residential |
42,294,088 | — | 41,050,541 | 1,243,547 | ||||||||||||||
| Fannie Mae |
95,021,140 | — | 95,021,140 | — | ||||||||||||||
| Freddie Mac |
9,450,121 | — | 9,450,121 | — | ||||||||||||||
| Government National Mortgage Association |
19,940,939 | — | 19,940,939 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Mortgage-Backed Securities |
187,109,298 | — | 185,865,751 | 1,243,547 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Asset-Backed Securities |
37,259,119 | — | 37,259,119 | — | ||||||||||||||
| U.S. Treasury Obligations |
84,313,382 | — | 84,313,382 | — | ||||||||||||||
| Foreign Government Bonds & Notes |
26,395,608 | — | 26,395,608 | — | ||||||||||||||
| Municipal Bonds |
1,199,767 | — | 1,199,767 | — | ||||||||||||||
| Short-Term Investments |
88,653,552 | 72,958,059 | 15,695,493 | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Credit Contracts |
||||||||||||||||||
| Swaps |
190,305 | — | 190,305 | — | ||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Futures |
37,049 | 37,049 | — | — | ||||||||||||||
| Forward Foreign Currency Contracts |
1,259,066 | — | 1,259,066 | — | ||||||||||||||
| Purchased Options |
29,890 | — | 29,890 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Foreign Currency Contracts |
1,326,005 | 37,049 | 1,288,956 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
933,084 | 933,084 | — | — | ||||||||||||||
| Purchased Options |
19,641 | — | 19,641 | — | ||||||||||||||
| Swaps |
2,541,585 | — | 2,541,585 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Interest Rate Contracts |
3,494,310 | 933,084 | 2,561,226 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets - Derivatives |
5,010,620 | 970,133 | 4,040,487 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
631,789,668 | 73,928,192 | 556,488,607 | 1,372,869 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Securities Sold Short |
|||||||||||||||||
| Mortgaged-Backed Securities |
(2,744,859 | ) | — | (2,744,859 | ) | — | ||||||||||||
| Derivatives: |
||||||||||||||||||
| Credit Contracts |
||||||||||||||||||
| Swaps |
(42,939 | ) | — | (42,939 | ) | — | ||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Futures |
(137,690 | ) | (137,690 | ) | — | — | ||||||||||||
| Forward Foreign Currency Contracts |
(621,644 | ) | — | (621,644 | ) | — | ||||||||||||
| Written Options |
(11,876 | ) | — | (11,876 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Foreign Currency Contracts |
(771,210 | ) | (137,690 | ) | (633,520 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
(3,081,148 | ) | (3,081,148 | ) | — | — | ||||||||||||
| Written Options |
(159,260 | ) | — | (159,260 | ) | — | ||||||||||||
| Swaps |
(539,681 | ) | — | (539,681 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Interest Rate Contracts |
(3,780,089 | ) | (3,081,148 | ) | (698,941 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities - Derivatives |
(4,594,238 | ) | (3,218,838 | ) | (1,375,400 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(7,339,097 | ) | (3,218,838 | ) | (4,120,259 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$624,450,571 | $70,709,354 | $552,368,348 | $1,372,869 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-79
Table of Contents
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-80
Table of Contents
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-81
Table of Contents
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-82
Table of Contents
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-83
Table of Contents
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-84
Table of Contents
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-85
Table of Contents
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| (b) | Open futures contracts outstanding as of March 31, 2021 were as follows: |
| Long Futures Outstanding | Expiration Month |
Number of Contracts |
Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| U.S. Treasury 2-Year Notes |
06/21 | 61 | $13,478,227 | $13,464,320 | ($13,907 | ) | ||||||||||||||
| U.S. Treasury Ultra 10-Year Notes |
06/21 | 1 | 148,846 | 143,688 | (5,158 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (19,065 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Short Futures Outstanding |
||||||||||||||||||||
| U.S. Treasury 5-Year Notes |
06/21 | 37 | 4,612,697 | 4,565,742 | 46,955 | |||||||||||||||
| U.S. Treasury 10-Year Notes |
06/21 | 23 | 3,090,080 | 3,011,563 | 78,517 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 125,472 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Total Futures Contracts |
$106,407 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-86
Table of Contents
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$50,958,020 | $— | $50,958,020 | $— | |||||||||||||
| Mortgage-Backed Securities |
17,814,261 | — | 17,814,261 | — | ||||||||||||||
| Asset-Backed Securities |
14,614,269 | — | 14,614,269 | — | ||||||||||||||
| U.S. Treasury Obligations |
11,105,754 | — | 11,105,754 | — | ||||||||||||||
| Municipal Bonds |
1,050,070 | — | 1,050,070 | — | ||||||||||||||
| Short-Term Investments |
3,179,531 | 1,764,923 | 1,414,608 | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
125,472 | 125,472 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
98,847,377 | 1,890,395 | 96,956,982 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
(19,065 | ) | (19,065 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(19,065 | ) | (19,065 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$98,828,312 | $1,871,330 | $96,956,982 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-87
Table of Contents
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-88
Table of Contents
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-89
Table of Contents
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-90
Table of Contents
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-91
Table of Contents
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-92
Table of Contents
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2021
| (d) | Forward foreign currency contracts outstanding as of March 31, 2021 were as follows: |
| Currency Purchased |
Currency Sold |
Settlement Month |
Counterparty | Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||||||||||||||
| BRL | 6,963,847 | USD | 1,226,029 | 04/21 | BRC | $10,817 | $— | |||||||||||||||||||||||||||||||
| BRL | 4,473,788 | USD | 807,390 | 04/21 | CSF | — | (12,802 | ) | ||||||||||||||||||||||||||||||
| CLP | 93,157,480 | USD | 130,000 | 04/21 | BNP | — | (666 | ) | ||||||||||||||||||||||||||||||
| CLP | 336,261,210 | USD | 464,674 | 04/21 | BSC | 2,171 | — | |||||||||||||||||||||||||||||||
| CLP | 156,627,500 | USD | 215,000 | 04/21 | MSC | 2,452 | — | |||||||||||||||||||||||||||||||
| CNH | 11,956,245 | USD | 1,838,807 | 05/21 | HSB | — | (23,367 | ) | ||||||||||||||||||||||||||||||
| CNH | 5,502,071 | USD | 840,000 | 06/21 | CIT | — | (6,757 | ) | ||||||||||||||||||||||||||||||
| CNH | 7,079,805 | USD | 1,084,346 | 06/21 | HSB | — | (12,169 | ) | ||||||||||||||||||||||||||||||
| COP | 696,062,250 | USD | 195,000 | 04/21 | CSF | — | (4,985 | ) | ||||||||||||||||||||||||||||||
| CZK | 4,344,148 | USD | 202,607 | 04/21 | BNP | — | (7,413 | ) | ||||||||||||||||||||||||||||||
| CZK | 7,646,940 | USD | 350,000 | 04/21 | SCB | — | (6,401 | ) | ||||||||||||||||||||||||||||||
| CZK | 19,113,725 | USD | 895,823 | 05/21 | JPM | — | (36,954 | ) | ||||||||||||||||||||||||||||||
| CZK | 511,849 | USD | 23,073 | 06/21 | BNP | — | (72 | ) | ||||||||||||||||||||||||||||||
| HUF | 61,515,900 | USD | 200,000 | 04/21 | HSB | — | (883 | ) | ||||||||||||||||||||||||||||||
| HUF | 194,035,237 | USD | 656,443 | 05/21 | BRC | — | (28,641 | ) | ||||||||||||||||||||||||||||||
| IDR | 1,134,700,000 | USD | 77,756 | 04/21 | HSB | 64 | — | |||||||||||||||||||||||||||||||
| ILS | 498,046 | USD | 152,361 | 04/21 | MER | — | (3,348 | ) | ||||||||||||||||||||||||||||||
| ILS | 230,954 | USD | 70,000 | 04/21 | MSC | — | (900 | ) | ||||||||||||||||||||||||||||||
| INR | 14,649,200 | USD | 200,000 | 05/21 | BRC | — | (1,718 | ) | ||||||||||||||||||||||||||||||
| INR | 63,843,168 | USD | 867,487 | 05/21 | SCB | — | (3,348 | ) | ||||||||||||||||||||||||||||||
| KRW | 350,287,600 | USD | 310,000 | 04/21 | BNP | 621 | — | |||||||||||||||||||||||||||||||
| KRW | 135,060,000 | USD | 120,577 | 04/21 | BRC | — | (1,069 | ) | ||||||||||||||||||||||||||||||
| KRW | 155,618,741 | USD | 138,469 | 04/21 | HSB | — | (472 | ) | ||||||||||||||||||||||||||||||
| KRW | 85,446,764 | USD | 75,245 | 04/21 | HSB | 416 | — | |||||||||||||||||||||||||||||||
| KRW | 1,299,795,875 | USD | 1,164,055 | 05/21 | DUB | — | (11,459 | ) | ||||||||||||||||||||||||||||||
| KRW | 149,404,971 | USD | 133,167 | 06/21 | DUB | — | (676 | ) | ||||||||||||||||||||||||||||||
| KRW | 1,108,195,235 | USD | 976,168 | 06/21 | HSB | 6,570 | — | |||||||||||||||||||||||||||||||
| MXN | 38,725,150 | USD | 1,920,309 | 04/21 | CIT | — | (31,840 | ) | ||||||||||||||||||||||||||||||
| MXN | 3,892,418 | USD | 189,460 | 04/21 | DUB | 358 | — | |||||||||||||||||||||||||||||||
| MXN | 3,699,612 | USD | 182,281 | 04/21 | HSB | — | (1,866 | ) | ||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-93
Table of Contents
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2021
| Currency Purchased |
Currency Sold |
Settlement Month |
Counterparty | Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||||||||||||||
| MXN | 728,166 | USD | 35,540 | 04/21 | MER | $— | ($30 | ) | ||||||||||||||||||||||||||||||
| MYR | 248,784 | USD | 61,359 | 05/21 | DUB | — | (1,335 | ) | ||||||||||||||||||||||||||||||
| MYR | 109,716 | USD | 26,737 | 05/21 | SCB | — | (267 | ) | ||||||||||||||||||||||||||||||
| PEN | 851,280 | USD | 234,415 | 04/21 | HSB | — | (7,013 | ) | ||||||||||||||||||||||||||||||
| PEN | 469,688 | USD | 125,000 | 04/21 | MSC | 467 | — | |||||||||||||||||||||||||||||||
| PHP | 10,108,222 | USD | 207,529 | 05/21 | JPM | — | (461 | ) | ||||||||||||||||||||||||||||||
| PHP | 3,909,520 | USD | 80,000 | 05/21 | MER | 87 | — | |||||||||||||||||||||||||||||||
| PLN | 1,969,538 | USD | 510,000 | 04/21 | CIT | — | (11,557 | ) | ||||||||||||||||||||||||||||||
| PLN | 4,700,349 | USD | 1,261,060 | 04/21 | HSB | — | (71,514 | ) | ||||||||||||||||||||||||||||||
| PLN | 2,216,089 | USD | 598,838 | 05/21 | BNP | — | (37,929 | ) | ||||||||||||||||||||||||||||||
| RON | 410,173 | USD | 100,000 | 04/21 | CIT | — | (2,372 | ) | ||||||||||||||||||||||||||||||
| RON | 233,283 | USD | 58,023 | 04/21 | ING | — | (2,498 | ) | ||||||||||||||||||||||||||||||
| RON | 885,884 | USD | 219,692 | 05/21 | BNP | — | (9,161 | ) | ||||||||||||||||||||||||||||||
| RUB | 45,614,401 | USD | 611,416 | 04/21 | BRC | — | (10,079 | ) | ||||||||||||||||||||||||||||||
| RUB | 2,322,225 | USD | 30,950 | 04/21 | CSF | — | (336 | ) | ||||||||||||||||||||||||||||||
| RUB | 668,944 | USD | 8,917 | 04/21 | MER | — | (98 | ) | ||||||||||||||||||||||||||||||
| RUB | 45,628,869 | USD | 598,341 | 04/21 | MSC | 3,187 | — | |||||||||||||||||||||||||||||||
| RUB | 49,733,805 | USD | 667,280 | 05/21 | DUB | — | (13,737 | ) | ||||||||||||||||||||||||||||||
| SGD | 295,538 | USD | 220,000 | 05/21 | HSB | — | (367 | ) | ||||||||||||||||||||||||||||||
| SGD | 1,088,752 | USD | 819,318 | 05/21 | SCB | — | (10,197 | ) | ||||||||||||||||||||||||||||||
| THB | 7,420,560 | USD | 240,000 | 04/21 | BNP | — | (2,573 | ) | ||||||||||||||||||||||||||||||
| THB | 29,057,834 | USD | 968,033 | 04/21 | DUB | — | (38,301 | ) | ||||||||||||||||||||||||||||||
| THB | 1,590,000 | USD | 52,916 | 05/21 | DUB | — | (2,048 | ) | ||||||||||||||||||||||||||||||
| THB | 575,224 | USD | 18,483 | 06/21 | HSB | — | (82 | ) | ||||||||||||||||||||||||||||||
| THB | 575,223 | USD | 18,544 | 06/21 | SCB | — | (142 | ) | ||||||||||||||||||||||||||||||
| TRY | 4,154,745 | USD | 570,323 | 04/21 | BRC | — | (78,630 | ) | ||||||||||||||||||||||||||||||
| TRY | 1,513,080 | USD | 180,000 | 04/21 | CIT | — | (935 | ) | ||||||||||||||||||||||||||||||
| TWD | 5,360,280 | USD | 190,000 | 06/21 | BRC | — | (166 | ) | ||||||||||||||||||||||||||||||
| TWD | 17,837,915 | USD | 649,478 | 06/21 | JPM | — | (17,749 | ) | ||||||||||||||||||||||||||||||
| USD | 771,979 | BRL | 4,264,643 | 04/21 | BSC | 14,537 | — | |||||||||||||||||||||||||||||||
| USD | 530,000 | BRL | 3,044,829 | 04/21 | DUB | — | (10,791 | ) | ||||||||||||||||||||||||||||||
| USD | 759,426 | BRL | 4,128,163 | 04/21 | HSB | 26,224 | — | |||||||||||||||||||||||||||||||
| USD | 1,224,370 | BRL | 6,963,847 | 05/21 | BRC | — | (10,272 | ) | ||||||||||||||||||||||||||||||
| USD | 280,000 | CLP | 197,632,400 | 04/21 | CSF | 5,619 | — | |||||||||||||||||||||||||||||||
| USD | 97,653 | CNH | 642,899 | 06/21 | HSB | 291 | — | |||||||||||||||||||||||||||||||
| USD | 281,527 | COP | 994,072,204 | 04/21 | CSF | 10,160 | — | |||||||||||||||||||||||||||||||
| USD | 319,000 | CZK | 7,047,217 | 04/21 | BNP | 2,349 | — | |||||||||||||||||||||||||||||||
| USD | 133,710 | CZK | 2,970,702 | 05/21 | MER | 222 | — | |||||||||||||||||||||||||||||||
| USD | 36,000 | EGP | 588,600 | 06/21 | BRC | — | (439 | ) | ||||||||||||||||||||||||||||||
| USD | 140,000 | EGP | 2,280,270 | 06/21 | HSB | — | (1,117 | ) | ||||||||||||||||||||||||||||||
| USD | 38,000 | EGP | 618,070 | 06/21 | MER | — | (237 | ) | ||||||||||||||||||||||||||||||
| USD | 684,276 | EUR | 573,812 | 04/21 | DUB | 11,171 | — | |||||||||||||||||||||||||||||||
| USD | 211,366 | EUR | 177,835 | 04/21 | MER | 2,759 | — | |||||||||||||||||||||||||||||||
| USD | 46,666 | HUF | 14,418,578 | 04/21 | BNP | — | (5 | ) | ||||||||||||||||||||||||||||||
| USD | 86,340 | HUF | 26,630,623 | 04/21 | SCB | 141 | — | |||||||||||||||||||||||||||||||
| USD | 80,021 | IDR | 1,134,700,000 | 04/21 | CIT | 2,201 | — | |||||||||||||||||||||||||||||||
| USD | 203,569 | IDR | 2,948,269,072 | 04/21 | DUB | 2,047 | — | |||||||||||||||||||||||||||||||
| USD | 496,073 | IDR | 7,140,896,711 | 04/21 | JPM | 7,972 | — | |||||||||||||||||||||||||||||||
| USD | 10,237 | IDR | 145,700,000 | 05/21 | SCB | 294 | — | |||||||||||||||||||||||||||||||
| USD | 9,573 | IDR | 138,800,000 | 06/21 | HSB | 147 | — | |||||||||||||||||||||||||||||||
| USD | 76,819 | IDR | 1,134,700,000 | 07/21 | HSB | 19 | — | |||||||||||||||||||||||||||||||
| USD | 330,000 | KRW | 376,125,505 | 04/21 | SCB | — | (3,166 | ) | ||||||||||||||||||||||||||||||
| USD | 975,988 | KRW | 1,108,195,235 | 05/21 | HSB | — | (6,706 | ) | ||||||||||||||||||||||||||||||
| USD | 168,000 | KRW | 191,600,640 | 05/21 | SCB | — | (1,902 | ) | ||||||||||||||||||||||||||||||
| USD | 75,267 | KRW | 85,446,764 | 06/21 | HSB | — | (506 | ) | ||||||||||||||||||||||||||||||
| USD | 390,000 | MXN | 8,162,232 | 04/21 | DUB | — | (8,039 | ) | ||||||||||||||||||||||||||||||
| USD | 717,909 | MXN | 14,836,151 | 04/21 | JPM | — | (5,591 | ) | ||||||||||||||||||||||||||||||
| USD | 807,083 | MXN | 16,860,016 | 04/21 | MER | — | (15,111 | ) | ||||||||||||||||||||||||||||||
| USD | 275,000 | PEN | 1,003,805 | 04/21 | DUB | 6,854 | — | |||||||||||||||||||||||||||||||
| USD | 133,060 | PLN | 516,205 | 04/21 | BNP | 2,421 | — | |||||||||||||||||||||||||||||||
| USD | 166,868 | PLN | 652,318 | 04/21 | HSB | 1,782 | — | |||||||||||||||||||||||||||||||
| USD | 70,073 | RON | 288,312 | 04/21 | CIT | 1,450 | — | |||||||||||||||||||||||||||||||
| USD | 12,553 | TRY | 92,520 | 04/21 | CSF | 1,603 | — | |||||||||||||||||||||||||||||||
| USD | 23,948 | TRY | 176,666 | 04/21 | HSB | 3,040 | — | |||||||||||||||||||||||||||||||
| USD | 387,336 | ZAR | 5,788,042 | 04/21 | BNP | — | (3,204 | ) | ||||||||||||||||||||||||||||||
| USD | 51,639 | ZAR | 765,552 | 04/21 | DUB | — | (16 | ) | ||||||||||||||||||||||||||||||
| USD | 352,513 | ZAR | 5,383,831 | 04/21 | JPM | — | (10,754 | ) | ||||||||||||||||||||||||||||||
| USD | 126,082 | ZAR | 1,883,041 | 05/21 | MER | — | (495 | ) | ||||||||||||||||||||||||||||||
| ZAR | 3,837,716 | USD | 260,000 | 04/21 | CIT | — | (1,055 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| Total Forward Foreign Currency Contracts |
|
$130,513 | ($596,789 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-94
Table of Contents
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2021
| (e) | Swap agreements outstanding as of March 31, 2021 were as follows: |
Interest Rate Swaps – Long
| Receive | Pay | Payment Frequency Receive Rate/ Pay Rate |
Exchange | Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| 6.680% |
Brazil CETIP Interbank | Z / Z | CME | 01/02/25 | BRL 3,301,298 | ($18,002 | ) | $— | ($18,002 | ) | ||||||||||||||||||||||
| 2.325% |
7-Day CNY-RRR | Q / Q | LCH | 09/16/25 | CNY 7,000,000 | (19,280 | ) | — | (19,280 | ) | ||||||||||||||||||||||
| 2.833% |
7-Day CNY-RRR | Q / Q | LCH | 06/16/26 | 2,400,000 | 568 | — | 568 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| ($36,714 | ) | $— | ($36,714 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Balances reported in the Statement of Assets and Liabilities for Centrally Cleared Swaps
| (1) | Includes cumulative value on centrally cleared swaps, as reported in the Schedule of Investments. Only variation margin is reported within the Statement of Assets and Liabilities. |
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$16,157,483 | $— | $16,157,483 | $— | |||||||||||||
| Foreign Government Bonds & Notes |
41,544,309 | — | 41,544,309 | — | ||||||||||||||
| Short-Term Investments |
3,134,513 | 2,524,035 | 610,478 | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
130,513 | — | 130,513 | — | ||||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Swaps |
568 | — | 568 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets - Derivatives |
131,081 | — | 131,081 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
60,967,386 | 2,524,035 | 58,443,351 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
(596,789 | ) | — | (596,789 | ) | — | ||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Swaps |
(37,282 | ) | — | (37,282 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities - Derivatives |
(634,071 | ) | — | (634,071 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(634,071 | ) | — | (634,071 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$60,333,315 | $2,524,035 | $57,809,280 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-95
Table of Contents
PACIFIC FUNDS
PF GROWTH FUND
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-96
Table of Contents
PACIFIC FUNDS
PF GROWTH FUND
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$177,893,199 | $177,893,199 | $— | $— | |||||||||||||
| Short-Term Investment |
1,527,793 | 1,527,793 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$179,420,992 | $179,420,992 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-97
Table of Contents
PACIFIC FUNDS
PF LARGE-CAP VALUE FUND
Schedule of Investments
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$169,945,125 | $169,945,125 | $— | $— | |||||||||||||
| Short-Term Investment |
1,553,000 | 1,553,000 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$171,498,125 | $171,498,125 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-98
Table of Contents
PACIFIC FUNDS
PF SMALL-CAP GROWTH FUND (Formerly named PF Developing Growth Fund)
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-99
Table of Contents
PACIFIC FUNDS
PF SMALL-CAP GROWTH FUND
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Basic Materials |
$2,220,900 | $2,220,900 | $— | $— | ||||||||||||||
| Communications |
5,130,341 | 5,130,341 | — | — | ||||||||||||||
| Consumer, Cyclical |
5,904,042 | 5,535,778 | 368,264 | — | ||||||||||||||
| Consumer, Non-Cyclical |
17,129,152 | 17,129,152 | — | — | ||||||||||||||
| Diversified |
2,461,576 | 2,461,576 | — | — | ||||||||||||||
| Energy |
1,542,617 | 1,542,617 | — | — | ||||||||||||||
| Financial |
8,216,659 | 7,753,264 | 463,395 | — | ||||||||||||||
| Industrial |
8,532,189 | 7,778,668 | 753,521 | — | ||||||||||||||
| Technology |
11,167,827 | 11,167,827 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
62,305,303 | 60,720,123 | 1,585,180 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
1,156,093 | 1,156,093 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$63,461,396 | $61,876,216 | $1,585,180 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-100
Table of Contents
PACIFIC FUNDS
PF SMALL-CAP VALUE FUND
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-101
Table of Contents
PACIFIC FUNDS
PF SMALL-CAP VALUE FUND
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$115,169,878 | $115,169,878 | $— | $— | |||||||||||||
| Short-Term Investment |
1,824,103 | 1,824,103 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$116,993,981 | $116,993,981 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-102
Table of Contents
PACIFIC FUNDS
PF EMERGING MARKETS FUND
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-103
Table of Contents
PACIFIC FUNDS
PF EMERGING MARKETS FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-104
Table of Contents
PACIFIC FUNDS
PF EMERGING MARKETS FUND
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Warrants |
$17,551 | $17,551 | $— | $— | |||||||||||||
| Preferred Stocks |
2,469,738 | 2,469,738 | — | — | ||||||||||||||
| Common Stocks |
||||||||||||||||||
| Brazil |
5,774,161 | 5,774,161 | — | — | ||||||||||||||
| Chile |
1,306,721 | — | 1,306,721 | — | ||||||||||||||
| China |
48,851,561 | 26,133,644 | 21,510,330 | 1,207,587 | ||||||||||||||
| Colombia |
520,048 | 520,048 | — | — | ||||||||||||||
| Egypt |
902,260 | — | 902,260 | — | ||||||||||||||
| France |
7,078,395 | — | 7,078,395 | — | ||||||||||||||
| Hong Kong |
6,258,035 | — | 6,258,035 | — | ||||||||||||||
| India |
19,816,477 | — | 19,816,477 | — | ||||||||||||||
| Indonesia |
1,513,495 | — | 1,513,495 | — | ||||||||||||||
| Italy |
2,131,292 | — | 2,131,292 | — | ||||||||||||||
| Mexico |
8,645,077 | 8,645,077 | — | — | ||||||||||||||
| Peru |
835,672 | 835,672 | — | — | ||||||||||||||
| Philippines |
3,230,940 | — | 3,230,940 | — | ||||||||||||||
| Poland |
276,214 | 276,214 | — | — | ||||||||||||||
| Russia |
11,088,365 | 4,316,363 | 6,772,002 | — | ||||||||||||||
| South Africa |
881,527 | — | 881,527 | — | ||||||||||||||
| South Korea |
3,031,403 | — | 3,031,403 | — | ||||||||||||||
| Switzerland |
2,630,943 | — | 2,630,943 | — | ||||||||||||||
| Taiwan |
11,645,639 | — | 11,645,639 | — | ||||||||||||||
| Turkey |
408,900 | — | 408,900 | — | ||||||||||||||
| United Kingdom |
579,728 | — | 579,728 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
137,406,853 | 46,501,179 | 89,698,087 | 1,207,587 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
2,363,893 | 2,363,893 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$142,258,035 | $51,352,361 | $89,698,087 | $1,207,587 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-105
Table of Contents
PACIFIC FUNDS
PF INTERNATIONAL LARGE-CAP FUND
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-106
Table of Contents
PACIFIC FUNDS
PF INTERNATIONAL LARGE-CAP FUND
Schedule of Investments (Continued)
March 31, 2021
| (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 as of
March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Australia |
$523,261 | $— | $523,261 | $— | ||||||||||||||
| Belgium |
442,244 | — | 442,244 | — | ||||||||||||||
| Brazil |
137,696 | 137,696 | — | — | ||||||||||||||
| Canada |
1,711,722 | 1,711,722 | — | — | ||||||||||||||
| China |
1,084,329 | 413,759 | 670,570 | — | ||||||||||||||
| Denmark |
1,220,400 | — | 1,220,400 | — | ||||||||||||||
| France |
8,631,689 | — | 8,631,689 | — | ||||||||||||||
| Germany |
4,187,232 | — | 4,187,232 | — | ||||||||||||||
| Hong Kong |
1,341,468 | — | 1,341,468 | — | ||||||||||||||
| India |
1,331,777 | — | 1,331,777 | — | ||||||||||||||
| Ireland |
579,370 | 579,370 | — | — | ||||||||||||||
| Israel |
523,908 | 523,908 | — | — | ||||||||||||||
| Italy |
785,677 | — | 785,677 | — | ||||||||||||||
| Japan |
8,172,420 | — | 8,172,420 | — | ||||||||||||||
| Netherlands |
2,805,180 | — | 2,805,180 | — | ||||||||||||||
| Portugal |
320,224 | — | 320,224 | — | ||||||||||||||
| Singapore |
533,891 | — | 533,891 | — | ||||||||||||||
| Spain |
546,676 | — | 546,676 | — | ||||||||||||||
| Sweden |
364,281 | — | 364,281 | — | ||||||||||||||
| Switzerland |
6,706,330 | — | 6,706,330 | — | ||||||||||||||
| Taiwan |
892,186 | 892,186 | — | — | ||||||||||||||
| United Kingdom |
4,856,998 | — | 4,856,998 | — | ||||||||||||||
| United States |
417,393 | — | 417,393 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
48,116,352 | 4,258,641 | 43,857,711 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
396,256 | 396,256 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$48,512,608 | $4,654,897 | $43,857,711 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-107
Table of Contents
PACIFIC FUNDS
PF INTERNATIONAL SMALL-CAP FUND
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-108
Table of Contents
PACIFIC FUNDS
PF INTERNATIONAL SMALL-CAP FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-109
Table of Contents
PACIFIC FUNDS
PF INTERNATIONAL SMALL-CAP FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-110
Table of Contents
PACIFIC FUNDS
PF INTERNATIONAL SMALL-CAP FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-111
Table of Contents
PACIFIC FUNDS
PF INTERNATIONAL SMALL-CAP FUND
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Preferred Stocks |
$80,447 | $80,447 | $— | $— | |||||||||||||
| Common Stocks |
||||||||||||||||||
| Australia |
1,031,291 | 110,116 | 921,175 | — | ||||||||||||||
| Austria |
125,806 | — | 125,806 | — | ||||||||||||||
| Belgium |
387,579 | — | 387,579 | — | ||||||||||||||
| Canada |
4,065,474 | 4,065,474 | — | — | ||||||||||||||
| China |
206,770 | — | 206,770 | — | ||||||||||||||
| Denmark |
991,801 | 74,442 | 917,359 | — | ||||||||||||||
| Finland |
553,622 | — | 553,622 | — | ||||||||||||||
| France |
1,503,929 | 171,192 | 1,332,737 | — | ||||||||||||||
| Georgia |
82,736 | — | 82,736 | — | ||||||||||||||
| Germany |
2,612,364 | 171,912 | 2,440,452 | — | ||||||||||||||
| Hong Kong |
769,364 | — | 769,364 | — | ||||||||||||||
| India |
134,800 | 134,800 | — | — | ||||||||||||||
| Indonesia |
93,987 | — | 93,987 | — | ||||||||||||||
| Ireland |
110,770 | 110,770 | — | — | ||||||||||||||
| Israel |
216,045 | — | 216,045 | — | ||||||||||||||
| Italy |
1,060,311 | — | 1,060,311 | — | ||||||||||||||
| Ivory Coast |
126,459 | 126,459 | — | — | ||||||||||||||
| Japan |
7,482,593 | 64,508 | 7,418,085 | — | ||||||||||||||
| Jordan |
154,810 | — | 154,810 | — | ||||||||||||||
| Kyrgyzstan |
119,403 | 119,403 | — | — | ||||||||||||||
| Luxembourg |
192,063 | — | 192,063 | — | ||||||||||||||
| Malta |
263,580 | — | 263,580 | — | ||||||||||||||
| Netherlands |
1,281,698 | — | 1,281,698 | — | ||||||||||||||
| Norway |
310,671 | — | 310,671 | — | ||||||||||||||
| Portugal |
100,269 | — | 100,269 | — | ||||||||||||||
| Singapore |
540,563 | — | 540,563 | — | ||||||||||||||
| South Korea |
2,438,104 | — | 2,438,104 | — | ||||||||||||||
| Spain |
946,668 | 158,966 | 787,702 | — | ||||||||||||||
| Sweden |
1,751,885 | 92,449 | 1,659,436 | — | ||||||||||||||
| Switzerland |
2,201,623 | 111,146 | 2,090,477 | — | ||||||||||||||
| United Kingdom |
3,967,584 | 572,195 | 3,395,389 | — | ||||||||||||||
| United States |
490,945 | 364,236 | 126,709 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
36,315,567 | 6,448,068 | 29,867,499 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
279,104 | 279,104 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$36,675,118 | $6,807,619 | $29,867,499 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-112
Table of Contents
PACIFIC FUNDS
PF INTERNATIONAL VALUE FUND
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-113
Table of Contents
PACIFIC FUNDS
PF INTERNATIONAL VALUE FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-114
Table of Contents
PACIFIC FUNDS
PF INTERNATIONAL VALUE FUND
Schedule of Investments (Continued)
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Argentina |
$51,239 | $51,239 | $— | $— | ||||||||||||||
| Austria |
198,663 | — | 198,663 | — | ||||||||||||||
| Belgium |
352,474 | — | 352,474 | — | ||||||||||||||
| Brazil |
112,065 | 112,065 | — | — | ||||||||||||||
| Canada |
745,095 | 745,095 | — | — | ||||||||||||||
| China |
307,745 | — | 307,745 | — | ||||||||||||||
| Denmark |
336,642 | — | 336,642 | — | ||||||||||||||
| Finland |
343,588 | — | 343,588 | — | ||||||||||||||
| France |
4,559,091 | — | 4,559,091 | — | ||||||||||||||
| Germany |
1,152,066 | — | 1,152,066 | — | ||||||||||||||
| Hong Kong |
293,774 | — | 293,774 | — | ||||||||||||||
| India |
427,790 | — | 427,790 | — | ||||||||||||||
| Indonesia |
83,112 | — | 83,112 | — | ||||||||||||||
| Ireland |
489,002 | — | 489,002 | — | ||||||||||||||
| Italy |
1,579,413 | — | 1,579,413 | — | ||||||||||||||
| Ivory Coast |
81,410 | 81,410 | — | — | ||||||||||||||
| Japan |
8,589,700 | — | 8,589,700 | — | ||||||||||||||
| Luxembourg |
206,247 | — | 206,247 | — | ||||||||||||||
| Malaysia |
129,754 | — | 129,754 | — | ||||||||||||||
| Mexico |
244,250 | 244,250 | — | — | ||||||||||||||
| Netherlands |
1,961,534 | — | 1,961,534 | — | ||||||||||||||
| Norway |
524,743 | — | 524,743 | — | ||||||||||||||
| Russia |
592,762 | 592,762 | — | — | ||||||||||||||
| South Africa |
969,158 | 152,988 | 816,170 | — | ||||||||||||||
| South Korea |
1,447,604 | 363,696 | 1,083,908 | — | ||||||||||||||
| Spain |
435,192 | — | 435,192 | — | ||||||||||||||
| Switzerland |
2,062,754 | — | 2,062,754 | — | ||||||||||||||
| Taiwan |
666,763 | — | 666,763 | — | ||||||||||||||
| Thailand |
378,891 | — | 378,891 | — | ||||||||||||||
| Turkey |
211,974 | — | 211,974 | — | ||||||||||||||
| United Kingdom |
3,778,214 | — | 3,778,214 | — | ||||||||||||||
| United States |
180,459 | 180,459 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
33,493,168 | 2,523,964 | 30,969,204 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Exchange-Traded Fund |
240,935 | 240,935 | — | — | ||||||||||||||
| Short-Term Investment |
308,178 | 308,178 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$34,042,281 | $3,073,077 | $30,969,204 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-115
Table of Contents
PACIFIC FUNDS
PF MULTI-ASSET FUND
Schedule of Investments
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-116
Table of Contents
PACIFIC FUNDS
PF MULTI-ASSET FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-117
Table of Contents
PACIFIC FUNDS
PF MULTI-ASSET FUND
Schedule of Investments (Continued)
March 31, 2021
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-118
Table of Contents
PACIFIC FUNDS
PF MULTI-ASSET FUND
Schedule of Investments (Continued)
March 31, 2021
| (b) | Swap agreements outstanding as of March 31, 2021 were as follows: |
Total Return Swaps - Long
| Receive | Pay | Payment Frequency |
Counter- party |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
| Russell 1000 Value Index |
3-Month USD-LIBOR + 0.110% | Z | BRC | 06/17/21 | $115,674,346 | $29,993,277 | $— | $29,993,277 | ||||||||||||||||||||
| Russell Mid-Cap Growth Index |
3-Month USD-LIBOR + 0.070% | Z | BRC | 06/17/21 | 12,690,782 | 3,500,456 | — | 3,500,456 | ||||||||||||||||||||
| Russell Mid-Cap Value Index |
3-Month USD-LIBOR + 0.080% | Z | BRC | 06/17/21 | 98,673,875 | 32,977,755 | — | 32,977,755 | ||||||||||||||||||||
| MSCI EAFE Index |
3-Month USD-LIBOR - 0.100% | Z | CIT | 06/17/21 | 22,007,505 | 4,623,918 | — | 4,623,918 | ||||||||||||||||||||
| Russell 1000 Growth Index |
3-Month USD-LIBOR + 0.110% | Z | SGN | 06/17/21 | 98,736,949 | 26,942,028 | — | 26,942,028 | ||||||||||||||||||||
| Russell 1000 Growth Index |
3-Month USD-LIBOR + 0.150% | Z | BOA | 10/15/21 | 45,253,545 | 5,514,070 | — | 5,514,070 | ||||||||||||||||||||
| Russell 1000 Value Index |
3-Month USD-LIBOR + 0.150% | Z | BOA | 10/15/21 | 91,418,907 | 24,412,307 | — | 24,412,307 | ||||||||||||||||||||
| Russell Mid-Cap Growth Index |
3-Month USD-LIBOR + 0.130% | Z | BOA | 10/15/21 | 46,023,210 | 9,411,515 | — | 9,411,515 | ||||||||||||||||||||
| MSCI EAFE Index |
3-Month USD-LIBOR - 0.120% | Z | BRC | 10/15/21 | 45,296,715 | 7,486,054 | — | 7,486,054 | ||||||||||||||||||||
| Russell 1000 Growth Index |
1-Day U.S. Fed Funds + 0.390% | Z | BOA | 03/22/22 | 49,850,380 | 499,765 | — | 499,765 | ||||||||||||||||||||
| MSCI EAFE Index |
1-Day U.S. Fed Funds + 0.060% | Z | CIT | 03/22/22 | 30,637,780 | 399,947 | — | 399,947 | ||||||||||||||||||||
| Russell 1000 Value Index |
1-Day U.S. Fed Funds + 0.380% | Z | CIT | 03/22/22 | 30,870,869 | 2,263,768 | — | 2,263,768 | ||||||||||||||||||||
| Russell Mid-Cap Growth Index |
1-Day U.S. Fed Funds + 0.330% | Z | CIT | 03/22/22 | 8,842,487 | (363,106 | ) | — | (363,106 | ) | ||||||||||||||||||
| Russell Mid-Cap Value Index |
1-Day U.S. Fed Funds + 0.350% | Z | CIT | 03/22/22 | 12,912,184 | 1,071,904 | — | 1,071,904 | ||||||||||||||||||||
| MSCI EAFE Index |
1-Day U.S. Fed Funds - 0.040% | Z | BOA | 06/16/22 | 19,591,861 | (153,289 | ) | — | (153,289 | ) | ||||||||||||||||||
| Russell 1000 Growth Index |
1-Day U.S. Fed Funds + 0.430% | Z | BOA | 06/16/22 | 72,045,217 | 1,364,433 | — | 1,364,433 | ||||||||||||||||||||
| Russell 1000 Value Index |
1-Day U.S. Fed Funds + 0.440% | Z | GSC | 06/16/22 | 61,020,763 | 409,806 | — | 409,806 | ||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-119
Table of Contents
PACIFIC FUNDS
PF MULTI-ASSET FUND
Schedule of Investments (Continued)
March 31, 2021
| Receive | Pay | Payment Frequency |
Counter- party |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| Russell Mid-Cap Growth Index |
1-Day U.S. Fed Funds + 0.380% | Z | GSC | 06/16/22 | $ | 73,661,207 | $ | 449,199 | $ | — | $ | 449,199 | ||||||||||||||||||||
| Russell Mid-Cap Value Index |
1-Day U.S. Fed Funds + 0.380% | Z | GSC | 06/16/22 | 24,894,918 | (109,628 | ) | — | (109,628 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $150,694,179 | $— | 150,694,179 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Total Return Swaps - Short |
|
|||||||||||||||||||||||||||||||
| Pay | Receive | Payment Frequency |
Counter- party |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| Russell Mid-Cap Value Index |
3-Month USD-LIBOR + 0.040% | Z | BRC | 10/15/21 | $8,670,370 | ($2,848,517 | ) | $— | ($2,848,517 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Total Swap Agreements |
|
$147,845,662 | $— | $147,845,662 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Balances reported in the Statement of Assets and Liabilities for Over the Counter (OTC) Swaps
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$508,359,465 | $— | $508,359,465 | $— | |||||||||||||
| Asset-Backed Securities |
58,770,572 | — | 58,770,572 | — | ||||||||||||||
| U.S. Treasury Obligations |
286,444,738 | — | 286,444,738 | — | ||||||||||||||
| Short-Term Investments |
106,498,778 | 41,499,947 | 64,998,831 | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Equity Contracts |
||||||||||||||||||
| Swaps |
151,320,202 | — | 151,320,202 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets - Derivatives |
151,320,202 | — | 151,320,202 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
1,111,393,755 | 41,499,947 | 1,069,893,808 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Equity Contracts |
||||||||||||||||||
| Swaps |
(3,474,540 | ) | — | (3,474,540 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(3,474,540 | ) | — | (3,474,540 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$1,107,919,215 | $41,499,947 | $1,066,419,268 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-120
Table of Contents
PACIFIC FUNDS
PF REAL ESTATE FUND
Schedule of Investments
March 31, 2021
| (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 as of March 31, 2021:
| Total Value at March 31, 2021 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$25,492,460 | $25,492,460 | $— | $— | |||||||||||||
| Short-Term Investment |
196,760 | 196,760 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$25,689,220 | $25,689,220 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on page B-122 |
B-121
Table of Contents
PACIFIC FUNDS
Schedule of Investments (Continued)
Explanation of Symbols and Terms
March 31, 2021
| See Notes to Financial Statements |
B-122
Table of Contents
PACIFIC FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2021
| Pacific Funds Portfolio Optimization | ||||||||||||||||||||||||||
| Conservative | Moderate- Conservative |
Moderate | Growth | Aggressive- Growth |
||||||||||||||||||||||
| ASSETS |
||||||||||||||||||||||||||
| Investments in affiliated mutual funds, at value |
$249,908,009 | $335,864,478 | $1,077,558,871 | $880,500,420 | $334,902,095 | |||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||
| Fund shares sold |
85,560 | 70,821 | 584,368 | 315,488 | 180,123 | |||||||||||||||||||||
| Securities sold |
— | 94,344 | 185,135 | 279,560 | 32,724 | |||||||||||||||||||||
| Due from adviser |
7,907 | 14,751 | 29,955 | 24,976 | 11,829 | |||||||||||||||||||||
| Prepaid expenses and other assets |
17,743 | 12,912 | 20,984 | 19,303 | 13,186 | |||||||||||||||||||||
| Total Assets |
250,019,219 | 336,057,306 | 1,078,379,313 | 881,139,747 | 335,139,957 | |||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||
| Fund shares redeemed |
280,039 | 929,218 | 1,367,510 | 861,178 | 588,665 | |||||||||||||||||||||
| Securities purchased |
27,136 | — | — | — | — | |||||||||||||||||||||
| Accrued advisory fees |
42,912 | 56,978 | 182,628 | 149,014 | 56,552 | |||||||||||||||||||||
| Accrued administration fees |
32,184 | 42,734 | 136,971 | 111,761 | 42,414 | |||||||||||||||||||||
| Accrued custodian and portfolio accounting fees |
10,400 | 10,676 | 12,896 | 12,261 | 10,640 | |||||||||||||||||||||
| Accrued legal, audit and tax service fees |
21,571 | 29,552 | 93,715 | 75,168 | 28,377 | |||||||||||||||||||||
| Accrued trustees’ fees and deferred compensation |
7,673 | 9,735 | 27,903 | 20,423 | 6,708 | |||||||||||||||||||||
| Accrued distribution and service fees |
15,499 | 19,043 | 60,133 | 49,426 | 18,383 | |||||||||||||||||||||
| Accrued other |
7,940 | 10,889 | 35,375 | 28,481 | 10,501 | |||||||||||||||||||||
| Total Liabilities |
445,354 | 1,108,825 | 1,917,131 | 1,307,712 | 762,240 | |||||||||||||||||||||
| NET ASSETS |
$249,573,865 | $334,948,481 | $1,076,462,182 | $879,832,035 | $334,377,717 | |||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||
| Paid-in capital |
$221,778,573 | $279,508,267 | $809,174,237 | $628,397,421 | $227,709,908 | |||||||||||||||||||||
| Undistributed/accumulated earnings (deficit) |
27,795,292 | 55,440,214 | 267,287,945 | 251,434,614 | 106,667,809 | |||||||||||||||||||||
| NET ASSETS |
$249,573,865 | $334,948,481 | $1,076,462,182 | $879,832,035 | $334,377,717 | |||||||||||||||||||||
| Class A Shares: |
||||||||||||||||||||||||||
| Net Assets |
$191,406,022 | $283,474,123 | $897,486,316 | $743,212,707 | $275,817,524 | |||||||||||||||||||||
| Shares of beneficial interest outstanding |
16,705,297 | 22,640,090 | 62,564,249 | 47,942,848 | 15,655,832 | |||||||||||||||||||||
| Net Asset Value per share* |
$11.46 | $12.52 | $14.35 | $15.50 | $17.62 | |||||||||||||||||||||
| Sales Charge |
0.67 | 0.73 | 0.84 | 0.90 | 1.03 | |||||||||||||||||||||
| Maximum offering price per share |
$12.13 | $13.25 | $15.19 | $16.40 | $18.65 | |||||||||||||||||||||
| Class C Shares: |
||||||||||||||||||||||||||
| Net Assets |
$46,869,167 | $45,348,696 | $143,243,517 | $116,482,000 | $43,704,987 | |||||||||||||||||||||
| Shares of beneficial interest outstanding |
4,206,449 | 3,715,925 | 10,211,635 | 7,732,160 | 2,583,065 | |||||||||||||||||||||
| Net Asset Value per share* |
$11.14 | $12.20 | $14.03 | $15.06 | $16.92 | |||||||||||||||||||||
| Advisor Class: |
||||||||||||||||||||||||||
| Net Assets |
$11,298,676 | $6,125,662 | $35,732,349 | $20,137,328 | $14,855,206 | |||||||||||||||||||||
| Shares of beneficial interest outstanding |
981,074 | 486,221 | 2,477,677 | 1,290,843 | 838,403 | |||||||||||||||||||||
| Net Asset Value per share |
$11.52 | $12.60 | $14.42 | $15.60 | $17.72 | |||||||||||||||||||||
| Investments in affiliated mutual funds, at cost |
$221,835,874 | $287,245,809 | $851,409,153 | $677,031,704 | $245,605,083 | |||||||||||||||||||||
| * | 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
Table of Contents
PACIFIC FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
MARCH 31, 2021
| Pacific Funds Ultra Short Income |
Pacific Funds Short Duration Income |
Pacific Funds Core Income |
Pacific Funds Strategic Income |
Pacific Funds Floating Rate Income |
Pacific Funds High Income |
|||||||||||||||||||||||||
| ASSETS |
||||||||||||||||||||||||||||||
| Investments, at value (excluding derivatives) |
$31,501,583 | $1,201,274,637 | $1,212,552,067 | $1,018,462,988 | $2,215,346,872 | $158,586,810 | ||||||||||||||||||||||||
| Cash |
959 | 1,028,611 | 1,464,484 | 484,307 | 1,199,113 | 724 | ||||||||||||||||||||||||
| Foreign currency held, at value |
— | — | — | 5,301 | — | 663 | ||||||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||||||
| Dividend and interest |
61,957 | 4,228,930 | 5,746,901 | 8,221,868 | 4,749,158 | 1,992,343 | ||||||||||||||||||||||||
| Fund shares sold |
400,000 | 7,352,763 | 4,726,495 | 10,770,882 | 23,030,354 | 63,957 | ||||||||||||||||||||||||
| Securities sold |
— | 2,500,000 | 3,939,668 | 21,389,005 | 100,740,762 | 2,723,247 | ||||||||||||||||||||||||
| Due from adviser |
— | 109,560 | 155,774 | 102,495 | 243,885 | 22,979 | ||||||||||||||||||||||||
| Unfunded loan commitment appreciation |
— | — | — | — | 1,620 | — | ||||||||||||||||||||||||
| Prepaid expenses and other assets |
5,480 | 41,609 | 32,140 | 31,047 | 119,243 | 13,531 | ||||||||||||||||||||||||
| Total Assets |
31,969,979 | 1,216,536,110 | 1,228,617,529 | 1,059,467,893 | 2,345,431,007 | 163,404,254 | ||||||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||||||
| Fund shares redeemed |
3,340 | 4,316,529 | 2,665,195 | 5,126,036 | 3,232,015 | 114,286 | ||||||||||||||||||||||||
| Securities purchased |
500,000 | 34,975,371 | 54,848,190 | 30,339,996 | 336,480,208 | 3,362,369 | ||||||||||||||||||||||||
| Income distributions |
16 | 67,136 | 374,983 | 459,773 | 880,307 | 970 | ||||||||||||||||||||||||
| Accrued advisory fees |
8,341 | 393,831 | 498,171 | 508,991 | 1,042,482 | 84,272 | ||||||||||||||||||||||||
| Accrued administration fees |
3,951 | 149,039 | 150,612 | 127,275 | 245,100 | 21,068 | ||||||||||||||||||||||||
| Accrued custodian and portfolio accounting fees |
9,005 | 85,445 | 91,639 | 67,199 | 127,031 | 22,201 | ||||||||||||||||||||||||
| Accrued legal, audit and tax service fees |
2,734 | 101,660 | 107,505 | 74,404 | 140,313 | 15,729 | ||||||||||||||||||||||||
| Accrued trustees’ fees and deferred compensation |
1 | 28 | 30 | 20 | 39 | 4 | ||||||||||||||||||||||||
| Accrued distribution and service fees |
— | 16,872 | 15,488 | 16,092 | 21,399 | 627 | ||||||||||||||||||||||||
| Accrued other |
1,006 | 38,061 | 40,233 | 27,974 | 88,079 | 5,814 | ||||||||||||||||||||||||
| Unfunded loan commitment depreciation |
— | 1,345 | 1,345 | 7,610 | 26,700 | — | ||||||||||||||||||||||||
| Total Liabilities |
528,394 | 40,145,317 | 58,793,391 | 36,755,370 | 342,283,673 | 3,627,340 | ||||||||||||||||||||||||
| NET ASSETS |
$31,441,585 | $1,176,390,793 | $1,169,824,138 | $1,022,712,523 | $2,003,147,334 | $159,776,914 | ||||||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||||||
| Paid-in capital |
$31,217,852 | $1,156,144,783 | $1,144,902,091 | $994,176,423 | $2,118,023,798 | $160,759,679 | ||||||||||||||||||||||||
| Undistributed/accumulated earnings (deficit) |
223,733 | 20,246,010 | 24,922,047 | 28,536,100 | (114,876,464 | ) | (982,765 | ) | ||||||||||||||||||||||
| NET ASSETS |
$31,441,585 | $1,176,390,793 | $1,169,824,138 | $1,022,712,523 | $2,003,147,334 | $159,776,914 | ||||||||||||||||||||||||
| Class A Shares: |
||||||||||||||||||||||||||||||
| Net Assets |
$204,761,103 | $160,701,014 | $104,658,788 | $170,352,920 | $7,495,659 | |||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
19,367,776 | 14,375,022 | 9,087,158 | 17,524,229 | 724,579 | |||||||||||||||||||||||||
| Net Asset Value per share* |
$10.57 | $11.18 | $11.52 | $9.72 | $10.34 | |||||||||||||||||||||||||
| Sales Charge |
0.33 | 0.50 | 0.51 | 0.30 | 0.46 | |||||||||||||||||||||||||
| Maximum offering price per share |
$10.90 | $11.68 | $12.03 | $10.02 | $10.80 | |||||||||||||||||||||||||
| Class C Shares: |
||||||||||||||||||||||||||||||
| Net Assets |
$51,384,540 | $53,990,357 | $72,157,428 | $87,940,149 | $1,936,947 | |||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
4,869,674 | 4,827,808 | 6,280,514 | 9,059,366 | 187,494 | |||||||||||||||||||||||||
| Net Asset Value per share* |
$10.55 | $11.18 | $11.49 | $9.71 | $10.33 | |||||||||||||||||||||||||
| Class I Shares: |
||||||||||||||||||||||||||||||
| Net Assets |
$12,993,032 | $141,973,953 | $107,857,076 | $13,842,309 | $1,019,061,615 | $61,785 | ||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
1,289,781 | 13,445,378 | 9,638,945 | 1,209,305 | 104,685,465 | 6,034 | ||||||||||||||||||||||||
| Net Asset Value per share |
$10.07 | $10.56 | $11.19 | $11.45 | $9.73 | $10.24 | ||||||||||||||||||||||||
| Class P Shares: |
||||||||||||||||||||||||||||||
| Net Assets |
$46,122,066 | $9,560,003 | $146,345,299 | |||||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
4,108,306 | 982,341 | 14,292,789 | |||||||||||||||||||||||||||
| Net Asset Value per share |
$11.23 | $9.73 | $10.24 | |||||||||||||||||||||||||||
| Advisor Class: |
||||||||||||||||||||||||||||||
| Net Assets |
$18,448,553 | $778,271,197 | $801,153,625 | $832,053,998 | $716,232,647 | $3,937,224 | ||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
1,831,281 | 73,578,500 | 71,491,427 | 72,228,102 | 73,425,748 | 379,993 | ||||||||||||||||||||||||
| Net Asset Value per share |
$10.07 | $10.58 | $11.21 | $11.52 | $9.75 | $10.36 | ||||||||||||||||||||||||
| Investments, at cost (excluding derivatives) |
$31,405,682 | $1,186,467,248 | $1,200,486,442 | $988,143,164 | $2,196,589,766 | $150,777,181 | ||||||||||||||||||||||||
| Foreign currency held, at cost |
— | — | — | 6,640 | — | 789 | ||||||||||||||||||||||||
| * | 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-2
Table of Contents
PACIFIC FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
MARCH 31, 2021
| Pacific Funds ESG Core Bond |
|
Pacific Funds Small/Mid-Cap |
Pacific Funds Small-Cap |
Pacific Funds Small-Cap Value |
|
PF Inflation Managed Fund |
PF Managed Bond Fund |
|||||||||||||||||||||||||||||||
| ASSETS |
||||||||||||||||||||||||||||||||||||||
| Investments, at value (excluding derivatives) |
$24,406,054 | $348,577,983 | $16,619,616 | $17,923,803 | $39,696,498 | $626,779,048 | ||||||||||||||||||||||||||||||||
| Cash |
— | — | — | — | — | 1,155,624 | ||||||||||||||||||||||||||||||||
| Cash (segregated for derivative instruments) |
— | — | — | — | 138,000 | 5,606,058 | ||||||||||||||||||||||||||||||||
| Foreign currency held, at value |
— | — | — | — | 46,198 | 3,685,213 | ||||||||||||||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||||||||||||||
| Dividend and interest |
136,822 | 193,032 | 6,979 | 16,345 | 49,342 | 2,859,083 | ||||||||||||||||||||||||||||||||
| Fund shares sold |
— | 460,865 | 13,275 | 13,814 | 1,492 | 10,786 | ||||||||||||||||||||||||||||||||
| Securities sold |
— | — | — | 27,862 | 3,903,107 | 104,399,519 | ||||||||||||||||||||||||||||||||
| Variation margin on futures contracts |
— | — | — | — | 26,385 | 116,640 | ||||||||||||||||||||||||||||||||
| Variation margin on swap agreements |
— | — | — | — | 10,622 | 36,332 | ||||||||||||||||||||||||||||||||
| Swap agreements |
— | — | — | — | 2,041 | 85,728 | ||||||||||||||||||||||||||||||||
| Due from adviser |
— | 8,555 | 3,587 | 3,494 | 748 | 61,797 | ||||||||||||||||||||||||||||||||
| Forward foreign currency contracts appreciation |
— | — | — | — | 126,616 | 1,259,066 | ||||||||||||||||||||||||||||||||
| Outstanding purchased options, at value |
— | — | — | — | 44,382 | 49,531 | ||||||||||||||||||||||||||||||||
| Swap premiums paid |
— | — | — | — | — | 7,068 | ||||||||||||||||||||||||||||||||
| Swap agreements appreciation |
— | — | — | — | |
— |
|
589 | ||||||||||||||||||||||||||||||
| Prepaid expenses and other assets |
12,353 |
|
|
15,729 | 12,347 | 12,349 |
|
|
199 | 4,610 | ||||||||||||||||||||||||||||
| Total Assets |
24,555,229 |
|
|
349,256,164 | 16,655,804 | 17,997,667 |
|
|
44,045,630 | 746,116,692 | ||||||||||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||||||||||||||
| Fund shares redeemed |
— | 408,396 | 32,882 | 23,685 | 4,210 | 106,459 | ||||||||||||||||||||||||||||||||
| Securities purchased |
200,000 | — | — | 35,671 | 4,319,027 | 179,249,279 | ||||||||||||||||||||||||||||||||
| Sale-buyback financing transactions |
— | — | — | — | 6,639,894 | — | ||||||||||||||||||||||||||||||||
| Securities sold short, at value |
— | — | — | — | — | 2,744,859 | ||||||||||||||||||||||||||||||||
| Due to brokers |
— | — | — | — | — | 450,000 | ||||||||||||||||||||||||||||||||
| Accrued advisory fees |
21,117 | 221,128 | 10,458 | 11,387 | 9,235 | 179,564 | ||||||||||||||||||||||||||||||||
| Accrued administration fees |
3,108 | 44,226 | 2,092 | 2,277 | 3,463 | 68,623 | ||||||||||||||||||||||||||||||||
| Accrued custodian and portfolio accounting fees |
15,118 | 24,816 | 6,296 | 6,263 | 12,258 | 99,367 | ||||||||||||||||||||||||||||||||
| Accrued legal, audit and tax service fees |
2,119 | 26,657 | 1,322 | 1,347 | 2,729 | 48,997 | ||||||||||||||||||||||||||||||||
| Accrued trustees’ fees and deferred compensation |
— | 7 | — | — | 3,119 | 21,027 | ||||||||||||||||||||||||||||||||
| Accrued distribution and service fees |
— | 2,730 | 235 | 220 | — | — | ||||||||||||||||||||||||||||||||
| Accrued other |
799 | 10,927 | 542 | 552 | 783 | 18,398 | ||||||||||||||||||||||||||||||||
| Forward foreign currency contracts depreciation |
— | — | — | — | 18,865 | 621,644 | ||||||||||||||||||||||||||||||||
| Outstanding options written, at value |
— | — | — | — | 50,369 | 171,136 | ||||||||||||||||||||||||||||||||
| Swap agreements depreciation |
— |
|
|
— | — | — |
|
|
— | 18,152 | ||||||||||||||||||||||||||||
| Total Liabilities |
242,261 |
|
|
738,887 | 53,827 | 81,402 |
|
|
11,063,952 | 183,797,505 | ||||||||||||||||||||||||||||
| NET ASSETS |
$24,312,968 |
|
|
$348,517,277 | $16,601,977 | $17,916,265 |
|
|
$32,981,678 | $562,319,187 | ||||||||||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||||||||||||||
| Paid-in capital |
$25,064,691 | $240,442,099 | $11,950,210 | $14,537,028 | $39,785,456 | $567,967,883 | ||||||||||||||||||||||||||||||||
| Undistributed/accumulated earnings (deficit) |
(751,723 | ) |
|
|
108,075,178 | 4,651,767 | 3,379,237 |
|
|
(6,803,778 | ) | (5,648,696 | ) | |||||||||||||||||||||||||
| NET ASSETS |
$24,312,968 |
|
|
$348,517,277 | $16,601,977 | $17,916,265 |
|
|
$32,981,678 | $562,319,187 | ||||||||||||||||||||||||||||
| Class A Shares: |
||||||||||||||||||||||||||||||||||||||
| Net Assets |
$22,988,150 | $2,659,209 | $2,206,063 | |||||||||||||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
1,315,951 | 166,037 | 191,296 | |||||||||||||||||||||||||||||||||||
| Net Asset Value per share* |
$17.47 | $16.02 | $11.53 | |||||||||||||||||||||||||||||||||||
| Sales Charge |
0.78 | 0.71 | 0.51 | |||||||||||||||||||||||||||||||||||
| Maximum offering price per share |
$18.25 | $16.73 | $12.04 | |||||||||||||||||||||||||||||||||||
| Class C Shares: |
||||||||||||||||||||||||||||||||||||||
| Net Assets |
$10,989,983 | $789,062 | $800,607 | |||||||||||||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
653,074 | 50,702 | 70,828 | |||||||||||||||||||||||||||||||||||
| Net Asset Value per share* |
$16.83 | $15.56 | $11.30 | |||||||||||||||||||||||||||||||||||
| Class I Shares: |
||||||||||||||||||||||||||||||||||||||
| Net Assets |
$12,156,484 | |||||||||||||||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
1,253,452 | |||||||||||||||||||||||||||||||||||||
| Net Asset Value per share |
$9.70 | |||||||||||||||||||||||||||||||||||||
| Class P Shares: |
||||||||||||||||||||||||||||||||||||||
| Net Assets |
$32,981,678 | $562,319,187 | ||||||||||||||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
3,336,907 | 51,545,117 | ||||||||||||||||||||||||||||||||||||
| Net Asset Value per share |
$9.88 | $10.91 | ||||||||||||||||||||||||||||||||||||
| Advisor Class: |
||||||||||||||||||||||||||||||||||||||
| Net Assets |
$12,156,484 | $312,980,793 | $11,401,723 | $13,750,077 | ||||||||||||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
1,253,452 | 17,809,772 | 698,432 | 1,182,596 | ||||||||||||||||||||||||||||||||||
| Net Asset Value per share |
$9.70 | $17.57 | $16.32 | $11.63 | ||||||||||||||||||||||||||||||||||
| Class R6 Shares: |
||||||||||||||||||||||||||||||||||||||
| Net Assets |
$1,558,351 | $1,751,983 | $1,159,518 | |||||||||||||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
88,482 | 116,988 | 100,413 | |||||||||||||||||||||||||||||||||||
| Net Asset Value per share |
$17.61 | $14.98 | $11.55 | |||||||||||||||||||||||||||||||||||
| Investments, at cost (excluding derivatives) |
$25,118,795 | $236,965,488 | $11,685,176 | $13,030,243 | $38,325,394 | $631,703,753 | ||||||||||||||||||||||||||||||||
| Outstanding purchased options, at cost |
— | — | — | — | 23,581 | 40,086 | ||||||||||||||||||||||||||||||||
| Foreign currency held, at cost |
— | — | — | — | 55,735 | 3,685,303 | ||||||||||||||||||||||||||||||||
| Proceeds from securities sold short |
— | — | — | — | — | 2,754,320 | ||||||||||||||||||||||||||||||||
| Premiums received from outstanding options written |
— | — | — | — | 47,264 | 261,087 | ||||||||||||||||||||||||||||||||
| * | 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
Table of Contents
PACIFIC FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
MARCH 31, 2021
| PF Short Duration Bond Fund |
PF Emerging Markets Debt Fund |
PF Growth Fund |
PF Large-Cap Value Fund |
PF Small-Cap Growth Fund |
PF Small-Cap Value Fund |
|||||||||||||||||||||||||
| ASSETS |
||||||||||||||||||||||||||||||
| Investments, at value (excluding derivatives) |
$98,721,905 | $60,836,305 | $179,420,992 | $171,498,125 | $63,461,396 | $116,993,981 | ||||||||||||||||||||||||
| Cash |
— | 407,193 | — | — | — | — | ||||||||||||||||||||||||
| Cash (segregated for derivative instruments) |
52,775 | 394,439 | — | — | — | — | ||||||||||||||||||||||||
| Foreign currency held, at value |
3,712 | 508,496 | — | — | — | — | ||||||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||||||
| Dividend and interest |
432,516 | 736,933 | 16,910 | 229,460 | 27,698 | 74,393 | ||||||||||||||||||||||||
| Fund shares sold |
3,121 | 1,357 | 136 | 597 | 271 | 543 | ||||||||||||||||||||||||
| Securities sold |
745,374 | 246,244 | — | — | 207,377 | 191,601 | ||||||||||||||||||||||||
| Variation margin on futures contracts |
8,617 | — | — | — | — | — | ||||||||||||||||||||||||
| Due from adviser |
1,227 | 2,753 | 4,424 | 2,498 | 3,290 | 8,024 | ||||||||||||||||||||||||
| Forward foreign currency contracts appreciation |
— | 130,513 | — | — | — | — | ||||||||||||||||||||||||
| Prepaid expenses and other assets |
958 | 427 | 1,464 | 1,258 | 296 | 711 | ||||||||||||||||||||||||
| Total Assets |
99,970,205 | 63,264,660 | 179,443,926 | 171,731,938 | 63,700,328 | 117,269,253 | ||||||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||||||
| Fund shares redeemed |
16,352 | 11,833 | 39,591 | 39,151 | 13,416 | 25,271 | ||||||||||||||||||||||||
| Securities purchased |
2,337,160 | 1,060,651 | 74,213 | — | 74,281 | 210,725 | ||||||||||||||||||||||||
| Swap agreements |
— | 17,628 | — | — | — | — | ||||||||||||||||||||||||
| Variation margin on swap agreements |
— | 5,051 | — | — | — | — | ||||||||||||||||||||||||
| Due to brokers |
— | 10,000 | — | — | — | — | ||||||||||||||||||||||||
| Accrued advisory fees |
33,219 | 33,845 | 79,203 | 90,440 | 30,742 | 83,083 | ||||||||||||||||||||||||
| Accrued administration fees |
12,457 | 6,636 | 21,601 | 20,871 | 7,685 | 16,617 | ||||||||||||||||||||||||
| Accrued custodian and portfolio accounting fees |
24,055 | 35,217 | 17,051 | 15,017 | 11,889 | 12,562 | ||||||||||||||||||||||||
| Accrued legal, audit and tax service fees |
10,219 | 5,613 | 15,565 | 13,405 | 3,128 | 7,524 | ||||||||||||||||||||||||
| Accrued trustees’ fees and deferred compensation |
4,280 | 2 | 6,604 | 10,683 | 2,606 | 1,607 | ||||||||||||||||||||||||
| Accrued foreign capital gains tax |
— | 1,524 | — | — | — | — | ||||||||||||||||||||||||
| Accrued other |
3,732 | 1,658 | 7,062 | 5,454 | 1,292 | 3,124 | ||||||||||||||||||||||||
| Forward foreign currency contracts depreciation |
— | 596,789 | — | — | — | — | ||||||||||||||||||||||||
| Total Liabilities |
2,441,474 | 1,786,447 | 260,890 | 195,021 | 145,039 | 360,513 | ||||||||||||||||||||||||
| NET ASSETS |
$97,528,731 | $61,478,213 | $179,183,036 | $171,536,917 | $63,555,289 | $116,908,740 | ||||||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||||||
| Paid-in capital |
$96,248,568 | $70,040,283 | $62,268,701 | $81,302,036 | $53,076,193 | $76,923,124 | ||||||||||||||||||||||||
| Undistributed/accumulated earnings (deficit) |
1,280,163 | (8,562,070 | ) | 116,914,335 | 90,234,881 | 10,479,096 | 39,985,616 | |||||||||||||||||||||||
| NET ASSETS |
$97,528,731 | $61,478,213 | $179,183,036 | $171,536,917 | $63,555,289 | $116,908,740 | ||||||||||||||||||||||||
| Class P Shares: |
||||||||||||||||||||||||||||||
|
|
Shares of beneficial interest outstanding |
9,617,341 | 7,447,478 | 5,866,401 | 13,934,603 | 2,930,760 | 10,790,288 | |||||||||||||||||||||||
|
|
Net Asset Value per share |
$10.14 | $8.25 | $30.54 | $12.31 | $21.69 | $10.83 | |||||||||||||||||||||||
|
|
Investments, at cost (excluding derivatives) |
$97,374,545 | $62,545,259 | $73,685,166 | $92,790,637 | $56,031,256 | $77,626,722 | |||||||||||||||||||||||
|
|
Foreign currency held, at cost |
3,529 | 508,678 | — | — | — | — | |||||||||||||||||||||||
See Notes to Financial Statements
C-4
Table of Contents
PACIFIC FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
MARCH 31, 2021
| PF Emerging Markets Fund |
PF International Large-Cap Fund |
PF International Small-Cap Fund |
PF International Value Fund |
PF Multi-Asset Fund |
PF Real Estate Fund |
|||||||||||||||||||||||||
| ASSETS |
||||||||||||||||||||||||||||||
| Investments, at value (excluding derivatives) |
$142,258,035 | $48,512,608 | $36,675,118 | $34,042,281 | $960,073,553 | $25,689,220 | ||||||||||||||||||||||||
| Cash |
— | 3,277 | — | — | — | 3,787 | ||||||||||||||||||||||||
| Foreign currency held, at value |
296,334 | 889 | 40,964 | 37,383 | — | — | ||||||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||||||
| Dividend and interest |
86,690 | 496,168 | 322,923 | 385,628 | 2,271,791 | 93,109 | ||||||||||||||||||||||||
| Fund shares sold |
678 | — | 136 | — | 4,016 | — | ||||||||||||||||||||||||
| Securities sold |
453,050 | — | 219,329 | 34,199 | — | 17,044 | ||||||||||||||||||||||||
| Due from adviser |
10,060 | 9,506 | — | 9,651 | 64,959 | — | ||||||||||||||||||||||||
| Swap agreements appreciation |
— | — | — | — | 151,320,202 | — | ||||||||||||||||||||||||
| Prepaid expenses and other assets |
1,095 | 372 | 282 | 469 | 9,300 | 329 | ||||||||||||||||||||||||
| Total Assets |
143,105,942 | 49,022,820 | 37,258,752 | 34,509,611 | 1,113,743,821 | 25,803,489 | ||||||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||||||
| Fund shares redeemed |
31,169 | 11,328 | 7,806 | 9,184 | 231,756 | 6,082 | ||||||||||||||||||||||||
| Securities purchased |
239,389 | — | 282,362 | — | 5,699,686 | 23,175 | ||||||||||||||||||||||||
| Due to custodian |
200,339 | — | — | — | — | — | ||||||||||||||||||||||||
| Accrued advisory fees |
94,450 | 32,087 | 27,204 | 20,452 | 338,042 | 24,531 | ||||||||||||||||||||||||
| Accrued administration fees |
17,710 | 5,870 | 4,577 | 4,720 | 144,875 | 4,603 | ||||||||||||||||||||||||
| Accrued custodian and portfolio accounting fees |
51,215 | 26,968 | 24,281 | 27,403 | 109,100 | 7,631 | ||||||||||||||||||||||||
| Accrued legal, audit and tax service fees |
11,636 | 3,962 | 3,006 | 3,091 | 98,812 | 3,514 | ||||||||||||||||||||||||
| Accrued trustees’ fees and deferred compensation |
3,186 | 4,776 | 1 | 5,759 | 27 | 1,215 | ||||||||||||||||||||||||
| Accrued foreign capital gains tax |
656,591 | 41,628 | — | — | — | — | ||||||||||||||||||||||||
| Accrued other |
17,379 | 4,921 | 1,452 | 9,291 | 37,341 | 1,434 | ||||||||||||||||||||||||
| Swap agreements depreciation |
— | — | — | — | 3,474,540 | — | ||||||||||||||||||||||||
| Total Liabilities |
1,323,064 | 131,540 | 350,689 | 79,900 | 10,134,179 | 72,185 | ||||||||||||||||||||||||
| NET ASSETS |
$141,782,878 | $48,891,280 | $36,908,063 | $34,429,711 | $1,103,609,642 | $25,731,304 | ||||||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||||||
| Paid-in capital |
$75,327,370 | $24,376,334 | $28,457,782 | $35,016,560 | $773,637,778 | $20,976,035 | ||||||||||||||||||||||||
| Undistributed/accumulated earnings (deficit) |
66,455,508 | 24,514,946 | 8,450,281 | (586,849 | ) | 329,971,864 | 4,755,269 | |||||||||||||||||||||||
| NET ASSETS |
$141,782,878 | $48,891,280 | $36,908,063 | $34,429,711 | $1,103,609,642 | $25,731,304 | ||||||||||||||||||||||||
| Class P Shares: |
||||||||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
9,530,502 | 4,240,566 | 3,171,697 | 4,274,956 | 85,341,355 | 1,892,308 | ||||||||||||||||||||||||
| Net Asset Value per share |
$14.88 | $11.53 | $11.64 | $8.05 | $12.93 | $13.60 | ||||||||||||||||||||||||
| Investments, at cost (excluding derivatives) |
$82,556,008 | $25,608,398 | $25,473,074 | $27,816,069 | $950,127,289 | $16,738,399 | ||||||||||||||||||||||||
| Foreign currency held, at cost |
301,490 | 885 | 41,137 | 37,482 | — | — | ||||||||||||||||||||||||
See Notes to Financial Statements
C-5
Table of Contents
PACIFIC FUNDS
FOR THE YEAR ENDED MARCH 31, 2021
| Pacific Funds Portfolio Optimization | ||||||||||||||||||||||||||
| Conservative | Moderate- Conservative |
Moderate | Growth | Aggressive- Growth |
||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||
| Dividends from affiliated mutual fund investments |
$4,921,762 | $6,010,316 | $15,894,689 | $11,292,567 | $3,486,562 | |||||||||||||||||||||
| Total Investment Income |
4,921,762 | 6,010,316 | 15,894,689 | 11,292,567 | 3,486,562 | |||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||
| Advisory fees |
476,224 | 648,198 | 2,050,270 | 1,613,709 | 599,816 | |||||||||||||||||||||
| Administration fees |
357,168 | 486,148 | 1,537,702 | 1,210,281 | 449,862 | |||||||||||||||||||||
| Portfolio accounting fees |
55,117 | 55,274 | 56,767 | 56,283 | 55,209 | |||||||||||||||||||||
| Shareholder report expenses |
20,009 | 26,387 | 80,966 | 61,410 | 22,325 | |||||||||||||||||||||
| Distribution fees |
||||||||||||||||||||||||||
| Class C |
359,463 | 365,748 | 1,118,588 | 851,301 | 312,221 | |||||||||||||||||||||
| Service fees |
||||||||||||||||||||||||||
| Class A |
453,031 | 672,048 | 2,116,012 | 1,687,755 | 613,601 | |||||||||||||||||||||
| Class C |
119,821 | 121,916 | 372,863 | 283,767 | 104,074 | |||||||||||||||||||||
| Registration fees |
48,715 | 52,051 | 58,551 | 53,551 | 50,533 | |||||||||||||||||||||
| Legal, audit and tax service fees |
26,563 | 44,968 | 129,137 | 101,279 | 35,013 | |||||||||||||||||||||
| Trustees’ fees |
15,340 | 20,727 | 64,484 | 49,662 | 18,146 | |||||||||||||||||||||
| Other |
7,630 | 9,782 | 27,038 | 21,838 | 9,125 | |||||||||||||||||||||
| Total Expenses |
1,939,081 | 2,503,247 | 7,612,378 | 5,990,836 | 2,269,925 | |||||||||||||||||||||
| Adviser Expense Reimbursement |
(173,374 | ) | (209,189 | ) | (416,943 | ) | (344,023 | ) | (190,351 | ) | ||||||||||||||||
| Net Expenses |
1,765,707 | 2,294,058 | 7,195,435 | 5,646,813 | 2,079,574 | |||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
3,156,055 | 3,716,258 | 8,699,254 | 5,645,754 | 1,406,988 | |||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||
| Investment security transactions in affiliated mutual funds |
1,032,991 | 2,192,267 | 17,821,908 | 23,607,954 | 14,879,503 | |||||||||||||||||||||
| Capital gain distributions from affiliated mutual fund investments |
6,802,695 | 14,116,217 | 57,074,978 | 47,272,767 | 19,667,281 | |||||||||||||||||||||
| Net Realized Gain (Loss) |
7,835,686 | 16,308,484 | 74,896,886 | 70,880,721 | 34,546,784 | |||||||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||
| Investment securities in affiliated mutual fund investments |
30,372,610 | 60,176,240 | 247,418,487 | 238,760,453 | 99,089,943 | |||||||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
30,372,610 | 60,176,240 | 247,418,487 | 238,760,453 | 99,089,943 | |||||||||||||||||||||
| NET GAIN (LOSS) |
38,208,296 | 76,484,724 | 322,315,373 | 309,641,174 | 133,636,727 | |||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET
ASSETS |
$41,364,351 | $80,200,982 | $331,014,627 | $315,286,928 | $135,043,715 | |||||||||||||||||||||
See Notes to Financial Statements
C-6
Table of Contents
PACIFIC FUNDS
STATEMENTS OF OPERATIONS (Continued)
FOR THE YEAR ENDED MARCH 31, 2021
| Pacific Funds Ultra Short Income |
Pacific Funds Short Duration Income |
Pacific Funds Core Income |
Pacific Funds Strategic Income |
Pacific Funds Floating Rate Income |
Pacific Funds High Income |
|||||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||||||
| Dividends, net of foreign taxes withheld |
$925 | $16,930 | $30,576 | $944,906 | $1,778,381 | $108,536 | ||||||||||||||||||||||||
| Interest, net of foreign taxes withheld |
443,706 | 25,069,088 | 31,837,946 | 34,549,625 | 68,287,890 | 9,401,225 | ||||||||||||||||||||||||
| Total Investment Income |
444,631 | 25,086,018 | 31,868,522 | 35,494,531 | 70,066,271 | 9,509,761 | ||||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||||
| Advisory fees |
75,111 | 4,456,166 | 5,703,768 | 4,708,386 | 9,785,686 | 938,401 | ||||||||||||||||||||||||
| Administration fees |
45,067 | 1,671,063 | 1,711,131 | 1,177,097 | 2,258,235 | 234,600 | ||||||||||||||||||||||||
| Custodian fees and expenses |
1,258 | 33,105 | 33,082 | 21,900 | 81,610 | 4,884 | ||||||||||||||||||||||||
| Portfolio accounting fees |
41,490 | 405,303 | 415,757 | 291,749 | 509,050 | 100,111 | ||||||||||||||||||||||||
| Shareholder report expenses |
2,550 | 97,834 | 101,573 | 62,084 | 113,337 | 13,188 | ||||||||||||||||||||||||
| Distribution fees |
||||||||||||||||||||||||||||||
| Class C |
— | 379,824 | 445,884 | 509,947 | 697,096 | 13,778 | ||||||||||||||||||||||||
| Service fees |
||||||||||||||||||||||||||||||
| Class A |
— | 434,887 | 396,330 | 213,076 | 417,907 | 20,428 | ||||||||||||||||||||||||
| Class C |
— | 126,608 | 148,628 | 169,982 | 232,365 | 4,593 | ||||||||||||||||||||||||
| Registration fees |
34,326 | 122,844 | 122,422 | 117,700 | 108,518 | 58,288 | ||||||||||||||||||||||||
| Legal, audit and tax service fees |
— | 141,345 | 145,344 | 99,222 | 205,129 | 16,901 | ||||||||||||||||||||||||
| Trustees’ fees |
1,477 | 57,068 | 57,506 | 37,827 | 72,313 | 7,595 | ||||||||||||||||||||||||
| Offering costs |
5,365 | — | — | — | — | — | ||||||||||||||||||||||||
| Interest expense |
14 | 183 | 257 | 268 | 582,504 | — | ||||||||||||||||||||||||
| Other |
1,736 | 29,588 | 28,259 | 21,233 | 39,446 | 6,205 | ||||||||||||||||||||||||
| Total Expenses |
208,394 | 7,955,818 | 9,309,941 | 7,430,471 | 15,103,196 | 1,418,972 | ||||||||||||||||||||||||
| Advisory Fee Waiver |
— | (28,510 | ) | (35,477 | ) | (111 | ) | (126,372 | ) | — | ||||||||||||||||||||
| Adviser Expense Reimbursement |
(112,238 | ) | (1,444,108 | ) | (1,935,705 | ) | (1,086,189 | ) | (2,383,395 | ) | (286,291 | ) | ||||||||||||||||||
| Net Expenses |
96,156 | 6,483,200 | 7,338,759 | 6,344,171 | 12,593,429 | 1,132,681 | ||||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
348,475 | 18,602,818 | 24,529,763 | 29,150,360 | 57,472,842 | 8,377,080 | ||||||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||||
| Investment security transactions |
206,296 | 11,962,482 | 42,289,625 | 6,015,250 | (22,355,305 | ) | 2,034,893 | |||||||||||||||||||||||
|
|
Net Realized Gain (Loss) |
206,296 | 11,962,482 | 42,289,625 | 6,015,250 | (22,355,305 | ) | 2,034,893 | ||||||||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||||
|
|
Investment securities |
977,117 | 41,909,279 | 16,710,789 | 112,335,461 | 155,162,212 | 22,792,068 | |||||||||||||||||||||||
|
|
Foreign currencies |
— | — | — | 568 | — | 70 | |||||||||||||||||||||||
|
|
Unfunded loan commitments |
— | (1,345 | ) | (1,345 | ) | 19,842 | (25,080 | ) | 4,902 | ||||||||||||||||||||
|
|
Change in Net Unrealized Appreciation (Depreciation) |
977,117 | 41,907,934 | 16,709,444 | 112,355,871 | 155,137,132 | 22,797,040 | |||||||||||||||||||||||
| NET GAIN (LOSS) |
1,183,413 | 53,870,416 | 58,999,069 | 118,371,121 | 132,781,827 | 24,831,933 | ||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS
|
$1,531,888 | $72,473,234 | $83,528,832 | $147,521,481 | $190,254,669 | $33,209,013 | ||||||||||||||||||||||||
| Foreign taxes withheld on dividends and interest |
$74 | $— | $— | $1,526 | $— | $852 | ||||||||||||||||||||||||
See Notes to Financial Statements
C-7
Table of Contents
PACIFIC FUNDS
STATEMENTS OF OPERATIONS (Continued)
FOR THE YEAR OR PERIOD ENDED MARCH 31, 2021
| Pacific Funds ESG Core Bond (1) |
Pacific Funds Small/Mid-Cap |
Pacific Funds Small-Cap |
Pacific Funds Small-Cap Value |
PF Inflation Managed Fund |
PF Managed Bond Fund |
|||||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||||||
| Dividends, net of foreign taxes withheld |
$83 | $2,507,379 | $108,661 | $204,478 | $159 | $6,795 | ||||||||||||||||||||||||
| Interest, net of foreign taxes withheld |
99,242 | — | — | — | 470,074 | 11,416,492 | ||||||||||||||||||||||||
| Total Investment Income |
99,325 | 2,507,379 | 108,661 | 204,478 | 470,233 | 11,423,287 | ||||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||||
| Advisory fees |
27,849 | 2,163,524 | 102,165 | 106,922 | 93,287 | 1,979,083 | ||||||||||||||||||||||||
| Administration fees |
10,993 | 432,705 | 20,433 | 21,385 | 34,983 | 742,156 | ||||||||||||||||||||||||
| Custodian fees and expenses |
8,333 | 6,575 | 303 | 311 | 5,450 | 51,380 | ||||||||||||||||||||||||
| Portfolio accounting fees |
10,243 | 114,078 | 32,139 | 32,082 | 48,891 | 351,563 | ||||||||||||||||||||||||
| Shareholder report expenses |
719 | 19,906 | 933 | 864 | 1,612 | 38,581 | ||||||||||||||||||||||||
| Distribution fees |
||||||||||||||||||||||||||||||
| Class C |
— | 74,395 | 4,342 | 5,797 | — | — | ||||||||||||||||||||||||
| Service fees |
||||||||||||||||||||||||||||||
| Class A |
— | 45,235 | 4,363 | 4,049 | — | — | ||||||||||||||||||||||||
| Class C |
— | 24,798 | 1,447 | 1,932 | — | — | ||||||||||||||||||||||||
| Registration fees |
266 | 74,648 | 67,278 | 66,269 | 52 | 1,204 | ||||||||||||||||||||||||
| Legal, audit and tax service fees |
2,138 | 33,445 | — | 415 | — | 62,826 | ||||||||||||||||||||||||
| Trustees’ fees |
283 | 13,574 | 651 | 696 | 1,490 | 30,029 | ||||||||||||||||||||||||
| Offering costs |
8,877 | — | — | — | — | — | ||||||||||||||||||||||||
| Interest expense |
— | 673 | 17 | 363 | 13,306 | 12,160 | ||||||||||||||||||||||||
| Other |
1,626 | 20,080 | 1,100 | 812 | 4 | 11,548 | ||||||||||||||||||||||||
| Total Expenses |
71,327 | 3,023,636 | 235,171 | 241,897 | 199,075 | 3,280,530 | ||||||||||||||||||||||||
| Advisory Fee Waiver |
— | — | — | — | — | (26,560 | ) | |||||||||||||||||||||||
| Adviser Expense Reimbursement |
(36,149 | ) | (139,311 | ) | (96,729 | ) | (95,048 | ) | (57,500 | ) | (547,131 | ) | ||||||||||||||||||
| Net Expenses |
35,178 | 2,884,325 | 138,442 | 146,849 | 141,575 | 2,706,839 | ||||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
64,147 | (376,946 | ) | (29,781 | ) | 57,629 | 328,658 | 8,716,448 | ||||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||||
| Investment security transactions, net of foreign capital gains tax withheld |
(38,438 | ) | 16,372,248 | 1,090,765 | (57,773 | ) | 1,321,606 | 20,159,555 | ||||||||||||||||||||||
| Closed short positions |
— | — | — | — | — | (205,232 | ) | |||||||||||||||||||||||
| Foreign currency transactions |
— | — | — | — | (2,180 | ) | (138,108 | ) | ||||||||||||||||||||||
| Forward foreign currency contract transactions |
— | — | — | — | (390,159 | ) | (2,241,164 | ) | ||||||||||||||||||||||
| Futures contract transactions |
— | — | — | — | (86,181 | ) | 4,854 | |||||||||||||||||||||||
| Purchased option transactions |
— | — | — | — | 52,529 | (611,581 | ) | |||||||||||||||||||||||
| Swap transactions |
— | — | — | — | (79,062 | ) | (2,994,568 | ) | ||||||||||||||||||||||
| Written option transactions |
— | — | — | — | (12,671 | ) | 1,256,955 | |||||||||||||||||||||||
| Net Realized Gain (Loss) |
(38,438 | ) | 16,372,248 | 1,090,765 | (57,773 | ) | 803,882 | 15,230,711 | ||||||||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||||
| Investment securities, net of deferred foreign capital gains tax |
(712,741 | ) | 157,277,128 | 7,519,982 | 9,124,048 | 885,286 | (8,292,229 | ) | ||||||||||||||||||||||
| Short positions |
— | — | — | — | — | 89,413 | ||||||||||||||||||||||||
| Foreign currencies |
— | — | — | — | (5,460 | ) | (102,427 | ) | ||||||||||||||||||||||
| Forward foreign currency contracts |
— | — | — | — | 64,624 | (299,500 | ) | |||||||||||||||||||||||
| Futures contracts |
— | — | — | — | 153,375 | (5,103,240 | ) | |||||||||||||||||||||||
| Purchased options |
— | — | — | — | (33,574 | ) | (5,454 | ) | ||||||||||||||||||||||
| Swaps |
— | — | — | — | (59,907 | ) | 6,800,501 | |||||||||||||||||||||||
| Written options |
— | — | — | — | 24,239 | 184,778 | ||||||||||||||||||||||||
| Unfunded loan commitments |
— | — | — | — | — | 1,302 | ||||||||||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
(712,741 | ) | 157,277,128 | 7,519,982 | 9,124,048 | 1,028,583 | (6,726,856 | ) | ||||||||||||||||||||||
| NET GAIN (LOSS) |
(751,179 | ) | 173,649,376 | 8,610,747 | 9,066,275 | 1,832,465 | 8,503,855 | |||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS
|
($687,032 | ) | $173,272,430 | $8,580,966 | $9,123,904 | $2,161,123 | $17,220,303 | |||||||||||||||||||||||
| Foreign taxes withheld on dividends and interest |
$480 | $— | $— | $— | $— | $1,882 | ||||||||||||||||||||||||
| (1) | Pacific Funds ESG Core Bond commenced operations on December 14, 2020. |
See Notes to Financial Statements
C-8
Table of Contents
PACIFIC FUNDS
STATEMENTS OF OPERATIONS (Continued)
FOR THE YEAR ENDED MARCH 31, 2021
| PF Short Duration Bond Fund |
PF Emerging Markets Debt Fund |
PF Growth Fund |
PF Large-Cap Value Fund |
PF Small-Cap Growth Fund |
PF Small-Cap Value Fund |
|||||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||||||
| Dividends, net of foreign taxes withheld |
$1,074 | $1,684 | $851,152 | $3,424,749 | $158,941 | $971,331 | ||||||||||||||||||||||||
| Interest, net of foreign taxes withheld |
2,840,752 | 3,489,558 | 61 | — | 47 | — | ||||||||||||||||||||||||
| Total Investment Income |
2,841,826 | 3,491,242 | 851,213 | 3,424,749 | 158,988 | 971,331 | ||||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||||
| Advisory fees |
527,036 | 546,355 | 1,018,314 | 1,085,915 | 197,642 | 486,018 | ||||||||||||||||||||||||
| Administration fees |
197,639 | 104,399 | 277,722 | 250,596 | 49,411 | 97,204 | ||||||||||||||||||||||||
| Custodian fees and expenses |
8,758 | 60,354 | 5,086 | 4,384 | 4,286 | 1,157 | ||||||||||||||||||||||||
| Portfolio accounting fees |
107,510 | 72,972 | 85,335 | 77,001 | 42,736 | 48,840 | ||||||||||||||||||||||||
| Shareholder report expenses |
10,607 | 7,398 | 15,150 | 13,842 | 2,440 | 3,278 | ||||||||||||||||||||||||
| Registration fees |
247 | 109 | 380 | 326 | 78 | 188 | ||||||||||||||||||||||||
| Legal, audit and tax service fees |
11,895 | 20,011 | 18,671 | 15,971 | — | 4,721 | ||||||||||||||||||||||||
| Trustees’ fees |
9,320 | 4,098 | 12,263 | 11,180 | 1,580 | 2,652 | ||||||||||||||||||||||||
| Interest expense |
— | — | 33 | 208 | — | — | ||||||||||||||||||||||||
| Other |
3,581 | 3,681 | 11,599 | 9,667 | 1,305 | 3,653 | ||||||||||||||||||||||||
| Total Expenses |
876,593 | 819,377 | 1,444,553 | 1,469,090 | 299,478 | 647,711 | ||||||||||||||||||||||||
| Advisory Fee Waiver |
— | (13,920 | ) | — | — | — | — | |||||||||||||||||||||||
| Adviser Expense Reimbursement |
(151,919 | ) | (168,623 | ) | (148,484 | ) | (132,370 | ) | (52,425 | ) | (64,489 | ) | ||||||||||||||||||
| Net Expenses |
724,674 | 636,834 | 1,296,069 | 1,336,720 | 247,053 | 583,222 | ||||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
2,117,152 | 2,854,408 | (444,856 | ) | 2,088,029 | (88,065 | ) | 388,109 | ||||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||||
| Investment security transactions, net of foreign capital gains tax withheld |
1,297,858 | 89,795 | 49,292,712 | 30,475,555 | 9,711,590 | 9,177,707 | ||||||||||||||||||||||||
| Foreign currency transactions |
— | (202,869 | ) | — | — | (982 | ) | — | ||||||||||||||||||||||
| Forward foreign currency contract transactions |
— | 1,188,603 | — | — | — | — | ||||||||||||||||||||||||
| Futures contract transactions |
485,541 | — | — | — | — | — | ||||||||||||||||||||||||
| Swap transactions |
11,906 | 63,850 | — | — | — | — | ||||||||||||||||||||||||
| Net Realized Gain (Loss) |
1,795,305 | 1,139,379 | 49,292,712 | 30,475,555 | 9,710,608 | 9,177,707 | ||||||||||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||||
| Investment securities, net of deferred foreign capital gains tax |
4,925,060 | 10,445,322 | 27,592,531 | 36,460,708 | 5,623,233 | 47,156,760 | ||||||||||||||||||||||||
| Foreign currencies |
221 | 28,572 | — | — | 22 | — | ||||||||||||||||||||||||
| Forward foreign currency contracts |
— | 260,216 | — | — | — | — | ||||||||||||||||||||||||
| Futures contracts |
(292,491 | ) | — | — | — | — | — | |||||||||||||||||||||||
| Swaps |
(3,540 | ) | (58,924 | ) | — | — | — | — | ||||||||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
4,629,250 | 10,675,186 | 27,592,531 | 36,460,708 | 5,623,255 | 47,156,760 | ||||||||||||||||||||||||
| NET GAIN (LOSS) |
6,424,555 | 11,814,565 | 76,885,243 | 66,936,263 | 15,333,863 | 56,334,467 | ||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS
|
$8,541,707 | $14,668,973 | $76,440,387 | $69,024,292 | $15,245,798 | $56,722,576 | ||||||||||||||||||||||||
| Foreign taxes withheld on dividends and interest |
$— | $20,626 | $2,119 | $8,709 | $4,406 | $3,690 | ||||||||||||||||||||||||
| Foreign capital gains tax withheld |
— | 39,103 | — | — | — | — | ||||||||||||||||||||||||
See Notes to Financial Statements
C-9
Table of Contents
PACIFIC FUNDS
STATEMENTS OF OPERATIONS (Continued)
FOR THE YEAR ENDED MARCH 31, 2021
| PF Emerging Markets Fund |
PF International Large-Cap Fund |
PF International Small-Cap Fund |
PF International Value Fund |
PF Multi-Asset Fund |
PF Real Estate Fund |
|||||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||||||
| Dividends, net of foreign taxes withheld |
$1,639,256 | $917,171 | $796,727 | $871,145 | $11,753 | $951,747 | ||||||||||||||||||||||||
| Interest, net of foreign taxes withheld |
— | 12 | — | — | 16,220,798 | — | ||||||||||||||||||||||||
| Total Investment Income |
1,639,256 | 917,183 | 796,727 | 871,145 | 16,232,551 | 951,747 | ||||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||||
| Advisory fees |
992,899 | 380,368 | 279,433 | 222,751 | 3,720,366 | 366,195 | ||||||||||||||||||||||||
| Administration fees |
186,169 | 67,124 | 49,312 | 51,404 | 1,594,443 | 61,032 | ||||||||||||||||||||||||
| Custodian fees and expenses |
91,667 | 38,536 | 30,482 | 43,729 | 26,161 | 789 | ||||||||||||||||||||||||
| Portfolio accounting fees |
73,495 | 53,507 | 68,078 | 57,737 | 450,346 | 37,265 | ||||||||||||||||||||||||
| Shareholder report expenses |
10,670 | 3,858 | 2,966 | 2,730 | 82,601 | 2,261 | ||||||||||||||||||||||||
| Registration fees |
286 | 97 | 74 | 76 | 2,428 | 86 | ||||||||||||||||||||||||
| Legal, audit and tax service fees |
11,503 | 1,350 | — | 241 | 134,571 | 1,204 | ||||||||||||||||||||||||
| Trustees’ fees |
7,635 | 2,956 | 1,588 | 2,280 | 51,243 | 2,707 | ||||||||||||||||||||||||
| Interest expense |
522 | — | 10 | — | 108 | 68 | ||||||||||||||||||||||||
| Other |
66,191 | 33,767 | 8,366 | 35,304 | 25,764 | 2,756 | ||||||||||||||||||||||||
| Total Expenses |
1,441,037 | 581,563 | 440,309 | 416,252 | 6,088,031 | 474,363 | ||||||||||||||||||||||||
| Advisory Fee Waiver |
— | (3,375 | ) | — | — | — | (61,032 | ) | ||||||||||||||||||||||
| Adviser Expense Reimbursement |
(261,447 | ) | (134,071 | ) | (78,680 | ) | (142,097 | ) | (666,818 | ) | (47,068 | ) | ||||||||||||||||||
| Net Expenses |
1,179,590 | 444,117 | 361,629 | 274,155 | 5,421,213 | 366,263 | ||||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
459,666 | 473,066 | 435,098 | 596,990 | 10,811,338 | 585,484 | ||||||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||||
| Investment security transactions, net of foreign capital gains tax withheld |
10,518,292 | 5,399,387 | 4,152,300 | (3,637,265 | ) | 5,296,724 | 5,755,961 | |||||||||||||||||||||||
| Foreign currency transactions |
15,233 | (4,669 | ) | (371 | ) | (4,405 | ) | — | — | |||||||||||||||||||||
| Futures contract transactions |
— | — | — | — | (7,198,676 | ) | — | |||||||||||||||||||||||
| Swap transactions |
— | — | — | — | 236,592,269 | — | ||||||||||||||||||||||||
| Net Realized Gain (Loss) |
10,533,525 | 5,394,718 | 4,151,929 | (3,641,670 | ) | 234,690,317 | 5,755,961 | |||||||||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||||
| Investment securities, net of deferred foreign capital gains tax |
41,617,427 | 9,294,536 | 12,341,095 | 19,883,137 | 15,438,757 | 5,643,101 | ||||||||||||||||||||||||
| Foreign currencies |
(25,919 | ) | 19,835 | 5,417 | 14,105 | — | — | |||||||||||||||||||||||
| Futures contracts |
— | — | — | — | (1,364,090 | ) | — | |||||||||||||||||||||||
| Swaps |
— | — | — | — | 255,462,071 | — | ||||||||||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
41,591,508 | 9,314,371 | 12,346,512 | 19,897,242 | 269,536,738 | 5,643,101 | ||||||||||||||||||||||||
| NET GAIN (LOSS) |
52,125,033 | 14,709,089 | 16,498,441 | 16,255,572 | 504,227,055 | 11,399,062 | ||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS
|
$52,584,699 | $15,182,155 | $16,933,539 | $16,852,562 | $515,038,393 | $11,984,546 | ||||||||||||||||||||||||
| Foreign taxes withheld on dividends and interest |
$182,407 | $105,246 | $106,993 | $113,212 | $— | $— | ||||||||||||||||||||||||
| Foreign capital gains tax withheld |
135,481 | 3,362 | — | — | — | — | ||||||||||||||||||||||||
| Change in deferred foreign capital gains tax |
647,515 | 42,380 | — | (86 | ) | — | — | |||||||||||||||||||||||
See Notes to Financial Statements
C-10
Table of Contents
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 March 31, 2021 |
Year Ended March 31, 2020 |
Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
|||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$3,156,055 | $3,307,145 | $3,716,258 | $4,681,832 | $8,699,254 | $13,036,394 | ||||||||||||||||||||||||||||||||
| Net realized gain (loss) |
7,835,686 | (768,227 | ) | 16,308,484 | 830,925 | 74,896,886 | 5,390,180 | |||||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
30,372,610 | (6,207,112 | ) | 60,176,240 | (18,767,202 | ) | 247,418,487 | (82,605,083 | ) | |||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
41,364,351 | (3,668,194 | ) | 80,200,982 | (13,254,445 | ) | 331,014,627 | (64,178,509 | ) | |||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
|
|||||||||||||||||||||||||||||||||||||
| Total distributable earnings |
||||||||||||||||||||||||||||||||||||||
| Class A |
(5,283,185 | ) | (3,496,340 | ) | (7,064,752 | ) | (6,237,238 | ) | (27,114,953 | ) | (42,583,183 | ) | ||||||||||||||||||||||||||
| Class B |
— | — | — | — | — | — | ||||||||||||||||||||||||||||||||
| Class C |
(1,152,697 | ) | (595,692 | ) | (965,251 | ) | (835,495 | ) | (3,868,659 | ) | (7,563,008 | ) | ||||||||||||||||||||||||||
| Advisor Class |
(288,298 | ) | (191,513 | ) | (188,295 | ) | (153,960 | ) | (1,062,829 | ) | (1,376,454 | ) | ||||||||||||||||||||||||||
| Net Decrease from Dividends and |
(6,724,180 | ) | (4,283,545 | ) | (8,218,298 | ) | (7,226,693 | ) | (32,046,441 | ) | (51,522,645 | ) | ||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||||||||
| Class A |
35,011,759 | 68,282,930 | 29,435,827 | 85,904,282 | 62,789,068 | 230,940,135 | ||||||||||||||||||||||||||||||||
| Class B |
— | 60,979 | — | — | — | 204,522 | ||||||||||||||||||||||||||||||||
| Class C |
11,261,328 | 12,063,848 | 4,465,886 | 6,566,839 | 11,191,706 | 15,051,904 | ||||||||||||||||||||||||||||||||
| Advisor Class |
5,386,176 | 4,070,418 | 1,355,410 | 2,698,255 | 16,708,416 | 7,307,742 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||||||||
| Class A |
5,203,279 | 3,458,903 | 6,952,731 | 6,146,004 | 26,791,910 | 42,116,423 | ||||||||||||||||||||||||||||||||
| Class B |
— | — | — | — | — | — | ||||||||||||||||||||||||||||||||
| Class C |
1,147,373 | 589,829 | 946,789 | 821,265 | 3,854,860 | 7,515,405 | ||||||||||||||||||||||||||||||||
| Advisor Class |
280,904 | 187,112 | 183,146 | 152,205 | 1,039,635 | 1,353,146 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||||||||
| Class A |
(34,279,957 | ) | (40,015,894 | ) | (44,038,970 | ) | (62,597,607 | ) | (152,990,337 | ) | (183,271,940 | ) | ||||||||||||||||||||||||||
| Class B |
— | (2,780,740 | ) | — | (6,205,936 | ) | — | (17,119,821 | ) | |||||||||||||||||||||||||||||
| Class C |
(19,620,458 | ) | (76,824,409 | ) | (20,174,925 | ) | (94,049,380 | ) | (59,225,680 | ) | (249,201,774 | ) | ||||||||||||||||||||||||||
| Advisor Class |
(2,545,688 | ) | (3,762,031 | ) | (2,497,668 | ) | (4,549,650 | ) | (11,687,545 | ) | (10,907,094 | ) | ||||||||||||||||||||||||||
| Share class conversions |
||||||||||||||||||||||||||||||||||||||
| Class A (1) |
— | 14,289,154 | — | 22,496,950 | — | 76,126,118 | ||||||||||||||||||||||||||||||||
| Class B (1) |
— | (14,289,154 | ) | — | (22,496,950 | ) | — | (76,126,118 | ) | |||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
1,844,716 | (34,669,055 | ) | (23,371,774 | ) | (65,113,723 | ) | (101,527,967 | ) | (156,011,352 | ) | |||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
36,484,887 | (42,620,794 | ) | 48,610,910 | (85,594,861 | ) | 197,440,219 | (271,712,506 | ) | |||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year |
213,088,978 | 255,709,772 | 286,337,571 | 371,932,432 | 879,021,963 | 1,150,734,469 | ||||||||||||||||||||||||||||||||
| End of Year |
$249,573,865 | $213,088,978 | $334,948,481 | $286,337,571 | $1,076,462,182 | $879,021,963 | ||||||||||||||||||||||||||||||||
| (1) | Class B shares were converted to Class A shares on July 31, 2019. |
See Notes to Financial Statements
C-11
Table of Contents
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Pacific Funds Portfolio Optimization Growth |
Pacific Funds Portfolio Optimization Aggressive-Growth |
Pacific Funds Ultra Short Income |
||||||||||||||||||||||||||||||||||||
| Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
Year Ended March 31, 2021 |
Period Ended March 31, 2020 (1) |
|||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$5,645,754 | $10,785,481 | $1,406,988 | $3,544,916 | $348,475 | $436,059 | ||||||||||||||||||||||||||||||||
| Net realized gain (loss) |
70,880,721 | 9,651,388 | 34,546,784 | (291,481 | ) | 206,296 | (15,835 | ) | ||||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
238,760,453 | (99,881,388 | ) | 99,089,943 | (39,414,626 | ) | 977,117 | (881,216 | ) | |||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
315,286,928 | (79,444,519 | ) | 135,043,715 | (36,161,191 | ) | 1,531,888 | (460,992 | ) | |||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||||
| Total distributable earnings |
||||||||||||||||||||||||||||||||||||||
| Class A |
(18,889,570 | ) | (46,228,345 | ) | (8,743,019 | ) | (19,254,539 | ) | ||||||||||||||||||||||||||||||
| Class B |
— | — | — | — | ||||||||||||||||||||||||||||||||||
| Class C |
(2,555,278 | ) | (8,222,160 | ) | (1,275,658 | ) | (3,359,406 | ) | ||||||||||||||||||||||||||||||
| Class I |
(177,955 | ) | (218,323 | ) | ||||||||||||||||||||||||||||||||||
| Advisor Class |
(551,099 | ) | (1,357,710 | ) | (482,568 | ) | (973,719 | ) | (234,884 | ) | (219,954 | ) | ||||||||||||||||||||||||||
| Net Decrease from Dividends and |
(21,995,947 | ) | (55,808,215 | ) | (10,501,245 | ) | (23,587,664 | ) | (412,839 | ) | (438,277 | ) | ||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||||||||
| Class A |
45,822,124 | 162,348,601 | 18,163,912 | 52,506,286 | ||||||||||||||||||||||||||||||||||
| Class B |
— | 154,946 | — | 42,567 | ||||||||||||||||||||||||||||||||||
| Class C |
12,418,062 | 12,285,335 | 4,721,802 | 5,606,823 | ||||||||||||||||||||||||||||||||||
| Class I |
46,711 | 12,501,930 | ||||||||||||||||||||||||||||||||||||
| Advisor Class |
6,115,334 | 6,183,135 | 4,722,792 | 4,313,407 | 7,858,842 | 13,037,214 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||||||||
| Class A |
18,734,417 | 45,869,026 | 8,683,958 | 19,088,348 | ||||||||||||||||||||||||||||||||||
| Class B |
— | — | — | — | ||||||||||||||||||||||||||||||||||
| Class C |
2,541,506 | 8,177,203 | 1,274,479 | 3,341,601 | ||||||||||||||||||||||||||||||||||
| Class I |
177,929 | 218,323 | ||||||||||||||||||||||||||||||||||||
| Advisor Class |
521,522 | 1,286,917 | 475,303 | 962,601 | 234,824 | 219,662 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||||||||
| Class A |
(111,063,153 | ) | (131,550,373 | ) | (44,467,790 | ) | (41,610,675 | ) | ||||||||||||||||||||||||||||||
| Class B |
— | (11,696,472 | ) | — | (3,188,133 | ) | ||||||||||||||||||||||||||||||||
| Class C |
(40,855,794 | ) | (174,938,925 | ) | (15,032,121 | ) | (51,775,006 | ) | ||||||||||||||||||||||||||||||
| Class I |
(46,711 | ) | — | |||||||||||||||||||||||||||||||||||
| Advisor Class |
(7,551,044 | ) | (9,275,777 | ) | (5,156,479 | ) | (3,896,732 | ) | (2,622,797 | ) | (404,122 | ) | ||||||||||||||||||||||||||
| Share class conversions |
||||||||||||||||||||||||||||||||||||||
| Class A (2) |
— | 57,500,119 | — | 18,773,764 | ||||||||||||||||||||||||||||||||||
| Class B (2) |
— | (57,500,119 | ) | — | (18,773,764 | ) |
|
|
|
|
||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(73,317,026 | ) | (91,156,384 | ) | (26,614,144 | ) | (14,608,913 | ) | 5,648,798 | 25,573,007 | ||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
219,973,955 | (226,409,118 | ) | 97,928,326 | (74,357,768 | ) | 6,767,847 | 24,673,738 | ||||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year or Period |
659,858,080 | 886,267,198 | 236,449,391 | 310,807,159 | 24,673,738 | — | ||||||||||||||||||||||||||||||||
| End of Year or Period |
$879,832,035 | $659,858,080 | $334,377,717 | $236,449,391 | $31,441,585 | $24,673,738 | ||||||||||||||||||||||||||||||||
| (1) | Pacific Funds Ultra Short Income commenced operations on June 28, 2019. |
| (2) | Class B shares were converted to Class A shares on July 31, 2019. |
See Notes to Financial Statements
C-12
Table of Contents
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Pacific Funds Short Duration Income |
Pacific Funds Core Income |
Pacific Funds Strategic Income |
||||||||||||||||||||||||||||||||||||
| Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
|||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$18,602,818 | $24,198,216 | $24,529,763 | $23,858,171 | $29,150,360 | $29,044,741 | ||||||||||||||||||||||||||||||||
| Net realized gain (loss) |
11,962,482 | (4,127,105 | ) | 42,289,625 | 1,462,888 | 6,015,250 | 2,330,691 | |||||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
41,907,934 | (30,429,991 | ) | 16,709,444 | (10,034,877 | ) | 112,355,871 | (76,859,329 | ) | |||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
72,473,234 | (10,358,880 | ) | 83,528,832 | 15,286,182 | 147,521,481 | (45,483,897 | ) | ||||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||||
| Total distributable earnings |
||||||||||||||||||||||||||||||||||||||
| Class A |
(2,672,415 | ) | (3,444,872 | ) | (4,215,998 | ) | (3,203,265 | ) | (3,037,971 | ) | (2,963,544 | ) | ||||||||||||||||||||||||||
| Class C |
(389,391 | ) | (754,049 | ) | (1,120,964 | ) | (1,321,140 | ) | (1,957,417 | ) | (2,205,219 | ) | ||||||||||||||||||||||||||
| Class I |
(2,124,479 | ) | (2,616,147 | ) | (2,398,465 | ) | (1,322,424 | ) | (615,819 | ) | (531,090 | ) | ||||||||||||||||||||||||||
| Class P |
(1,179,750 | ) | (1,136,355 | ) | ||||||||||||||||||||||||||||||||||
| Advisor Class |
(13,533,968 | ) | (17,396,815 | ) | (23,920,380 | ) | (16,948,777 | ) | (23,608,205 | ) | (23,455,154 | ) | ||||||||||||||||||||||||||
| Net Decrease from Dividends and |
(18,720,253 | ) | (24,211,883 | ) | (32,835,557 | ) | (23,931,961 | ) | (29,219,412 | ) | (29,155,007 | ) | ||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||||||||
| Class A |
131,631,746 | 93,279,607 | 58,396,192 | 94,149,630 | 53,203,403 | 53,489,986 | ||||||||||||||||||||||||||||||||
| Class C |
16,277,069 | 23,745,351 | 15,063,353 | 20,678,627 | 17,802,296 | 32,011,033 | ||||||||||||||||||||||||||||||||
| Class I |
68,045,239 | 61,788,420 | 63,125,136 | 44,429,026 | 15,727,432 | 14,860,399 | ||||||||||||||||||||||||||||||||
| Class P |
18,370,178 | 901,272 | ||||||||||||||||||||||||||||||||||||
| Advisor Class |
552,115,864 | 770,064,807 | 458,472,517 | 526,492,900 | 454,105,230 | 375,159,036 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||||||||
| Class A |
2,199,177 | 2,873,615 | 3,919,496 | 3,000,000 | 2,489,807 | 2,472,512 | ||||||||||||||||||||||||||||||||
| Class C |
382,559 | 742,931 | 1,028,819 | 1,220,132 | 1,702,089 | 1,967,242 | ||||||||||||||||||||||||||||||||
| Class I |
2,124,479 | 2,615,434 | 2,397,604 | 1,321,741 | 611,995 | 526,364 | ||||||||||||||||||||||||||||||||
| Class P |
1,179,750 | 1,136,355 | ||||||||||||||||||||||||||||||||||||
| Advisor Class |
13,341,072 | 17,048,396 | 18,227,646 | 12,532,117 | 19,421,643 | 18,596,983 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||||||||
| Class A |
(91,635,549 | ) | (56,297,110 | ) | (49,765,313 | ) | (37,597,768 | ) | (35,588,879 | ) | (37,453,350 | ) | ||||||||||||||||||||||||||
| Class C |
(16,612,491 | ) | (20,526,432 | ) | (23,781,150 | ) | (45,754,653 | ) | (21,674,042 | ) | (23,169,082 | ) | ||||||||||||||||||||||||||
| Class I |
(40,086,476 | ) | (38,349,962 | ) | (20,568,210 | ) | (11,005,797 | ) | (22,052,887 | ) | (2,858,725 | ) | ||||||||||||||||||||||||||
| Class P |
(6,811,159 | ) | (11,016,166 | ) | ||||||||||||||||||||||||||||||||||
| Advisor Class |
(542,475,424 | ) | (527,097,707 | ) | (390,643,307 | ) | (245,376,101 | ) | (223,825,391 | ) | (300,790,959 | ) | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
95,307,265 | 329,887,350 | 148,611,552 | 355,111,315 | 261,922,696 | 134,811,439 | ||||||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
149,060,246 | 295,316,587 | 199,304,827 | 346,465,536 | 380,224,765 | 60,172,535 | ||||||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year |
1,027,330,547 | 732,013,960 | 970,519,311 | 624,053,775 | 642,487,758 | 582,315,223 | ||||||||||||||||||||||||||||||||
| End of Year |
$1,176,390,793 | $1,027,330,547 | $1,169,824,138 | $970,519,311 | $1,022,712,523 | $642,487,758 | ||||||||||||||||||||||||||||||||
See Notes to Financial Statements
C-13
Table of Contents
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Pacific Funds Floating Rate Income |
Pacific Funds High Income |
Pacific Funds ESG Core Bond |
||||||||||||||||||||||||||||||||
| Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
Period Ended March 31, 2021 (1) |
||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$57,472,842 | $77,118,985 | $8,377,080 | $6,827,027 | $64,147 | |||||||||||||||||||||||||||||
| Net realized gain (loss) |
(22,355,305 | ) | (56,634,350 | ) | 2,034,893 | (1,118,815 | ) | (38,438 | ) | |||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
155,137,132 | (111,807,242 | ) | 22,797,040 | (14,697,924 | ) | (712,741 | ) | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
190,254,669 | (91,322,607 | ) | 33,209,013 | (8,989,712 | ) | (687,032 | ) | ||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||
| Total distributable earnings |
||||||||||||||||||||||||||||||||||
| Class A |
(6,062,500 | ) | (9,176,534 | ) | (421,042 | ) | (357,231 | ) | ||||||||||||||||||||||||||
| Class C |
(2,722,677 | ) | (6,124,796 | ) | (82,759 | ) | (120,572 | ) | ||||||||||||||||||||||||||
| Class I |
(26,315,901 | ) | (25,266,290 | ) | (3,408 | ) | (6,775 | ) | (34,030 | ) | ||||||||||||||||||||||||
| Class P |
(277,595 | ) | (1,088,004 | ) | (7,655,914 | ) | (6,078,920 | ) | ||||||||||||||||||||||||||
| Advisor Class |
(22,031,816 | ) | (35,649,718 | ) | (231,425 | ) | (266,141 | ) | (34,031 | ) | ||||||||||||||||||||||||
| Net Decrease from Dividends and |
(57,410,489 | ) | (77,305,342 | ) | (8,394,548 | ) | (6,829,639 | ) | (68,061 | ) | ||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||||
| Class A |
53,983,323 | 83,933,804 | 1,471,829 | 6,114,560 | ||||||||||||||||||||||||||||||
| Class C |
13,092,165 | 21,490,990 | 488,744 | 473,564 | ||||||||||||||||||||||||||||||
| Class I |
661,384,542 | 232,174,855 | 1,976 | 600 | 12,500,000 | |||||||||||||||||||||||||||||
| Class P |
5,230,068 | 268,116 | 33,970,101 | 34,604,054 | ||||||||||||||||||||||||||||||
| Advisor Class |
441,881,455 | 326,320,702 | 5,990,443 | 3,050,714 | 12,500,000 | |||||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||||
| Class A |
5,794,294 | 8,731,691 | 413,768 | 349,879 | ||||||||||||||||||||||||||||||
| Class C |
2,626,202 | 5,899,596 | 78,671 | 115,509 | ||||||||||||||||||||||||||||||
| Class I |
19,007,629 | 18,384,219 | 3,346 | 6,511 | 34,030 | |||||||||||||||||||||||||||||
| Class P |
277,595 | 1,073,942 | 7,655,914 | 6,078,920 | ||||||||||||||||||||||||||||||
| Advisor Class |
20,806,366 | 33,989,428 | 229,776 | 265,285 | 34,031 | |||||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||||
| Class A |
(68,611,639 | ) | (110,817,563 | ) | (2,967,320 | ) | (3,214,509 | ) | ||||||||||||||||||||||||||
| Class C |
(40,299,876 | ) | (108,359,450 | ) | (959,919 | ) | (2,032,207 | ) | ||||||||||||||||||||||||||
| Class I |
(129,151,941 | ) | (275,070,407 | ) | (7,538 | ) | (120,177 | ) | — | |||||||||||||||||||||||||
| Class P |
(4,494,891 | ) | (24,107,910 | ) | (38,525,463 | ) | (19,463,586 | ) | ||||||||||||||||||||||||||
| Advisor Class |
(305,995,976 | ) | (610,484,330 | ) | (6,305,673 | ) | (3,047,072 | ) | — | |||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
675,529,316 | (396,572,317 | ) | 1,538,655 | 23,182,045 | 25,068,061 | ||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
808,373,496 | (565,200,266 | ) | 26,353,120 | 7,362,694 | 24,312,968 | ||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||
| Beginning of Year or Period |
1,194,773,838 | 1,759,974,104 | 133,423,794 | 126,061,100 | — | |||||||||||||||||||||||||||||
| End of Year or Period |
$2,003,147,334 | $1,194,773,838 | $159,776,914 | $133,423,794 | $24,312,968 | |||||||||||||||||||||||||||||
| (1) | Pacific Funds ESG Core Bond commenced operations on December 14, 2020. |
See Notes to Financial Statements
C-14
Table of Contents
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Pacific Funds Small/Mid-Cap | Pacific Funds Small-Cap | Pacific Funds Small-Cap Value | ||||||||||||||||||||||||||||||||||||
| Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
|||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
($376,946 | ) | $592,726 | ($29,781 | ) | ($13,304 | ) | $57,629 | $108,723 | |||||||||||||||||||||||||||||
| Net realized gain (loss) |
16,372,248 | (10,052,546 | ) | 1,090,765 | (532,292 | ) | (57,773 | ) | (837,156 | ) | ||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
157,277,128 | (80,601,333 | ) | 7,519,982 | (4,618,018 | ) | 9,124,048 | (5,723,381 | ) | |||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
173,272,430 | (90,061,153 | ) | 8,580,966 | (5,163,614 | ) | 9,123,904 | (6,451,814 | ) | |||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||||
| Total distributable earnings |
||||||||||||||||||||||||||||||||||||||
| Class A |
— | (49,996 | ) | — | (6,669 | ) | (8,513 | ) | (11,981 | ) | ||||||||||||||||||||||||||||
| Class C |
— | — | — | — | — | — | ||||||||||||||||||||||||||||||||
| Advisor Class |
(935,874 | ) | (1,391,644 | ) | (8,412 | ) | (41,249 | ) | (85,233 | ) | (138,648 | ) | ||||||||||||||||||||||||||
| Class R6 |
(6,175 | ) | (30,651 | ) | — | (2,361 | ) | (8,676 | ) | (33,117 | ) | |||||||||||||||||||||||||||
| Net Decrease from Dividends and |
(942,049 | ) | (1,472,291 | ) | (8,412 | ) | (50,279 | ) | (102,422 | ) | (183,746 | ) | ||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||||||||
| Class A |
8,174,835 | 5,501,413 | 1,291,333 | 1,045,701 | 2,387,429 | 505,054 | ||||||||||||||||||||||||||||||||
| Class C |
901,183 | 1,210,533 | 222,144 | 184,876 | 239,720 | 79,420 | ||||||||||||||||||||||||||||||||
| Advisor Class |
29,138,212 | 57,620,873 | 1,088,209 | 1,830,255 | 2,589,744 | 4,788,635 | ||||||||||||||||||||||||||||||||
| Class R6 |
514,030 | 372,360 | 541,712 | 365,125 | 242,627 | 297,375 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||||||||
| Class A |
— | 49,767 | — | 6,597 | 8,513 | 11,981 | ||||||||||||||||||||||||||||||||
| Class C |
— | — | — | — | — | — | ||||||||||||||||||||||||||||||||
| Advisor Class |
921,473 | 1,366,875 | 8,388 | 39,840 | 85,233 | 138,592 | ||||||||||||||||||||||||||||||||
| Class R6 |
6,175 | 30,651 | — | 2,361 | 8,676 | 33,117 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||||||||
| Class A |
(10,618,843 | ) | (8,030,487 | ) | (3,181,124 | ) | (1,307,623 | ) | (2,321,123 | ) | (285,006 | ) | ||||||||||||||||||||||||||
| Class C |
(5,111,786 | ) | (5,177,528 | ) | (320,215 | ) | (290,914 | ) | (555,791 | ) | (392,165 | ) | ||||||||||||||||||||||||||
| Advisor Class |
(86,156,344 | ) | (91,630,898 | ) | (3,833,040 | ) | (3,820,265 | ) | (5,967,233 | ) | (1,802,038 | ) | ||||||||||||||||||||||||||
| Class R6 |
(4,384,109 | ) | (317,492 | ) | (297,341 | ) | (99,670 | ) | (1,822,036 | ) | (123,707 | ) | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(66,615,174 | ) | (39,003,933 | ) | (4,479,934 | ) | (2,043,717 | ) | (5,104,241 | ) | 3,251,258 | |||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
105,715,207 | (130,537,377 | ) | 4,092,620 | (7,257,610 | ) | 3,917,241 | (3,384,302 | ) | |||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year |
242,802,070 | 373,339,447 | 12,509,357 | 19,766,967 | 13,999,024 | 17,383,326 | ||||||||||||||||||||||||||||||||
| End of Year |
$348,517,277 | $242,802,070 | $16,601,977 | $12,509,357 | $17,916,265 | $13,999,024 | ||||||||||||||||||||||||||||||||
See Notes to Financial Statements
C-15
Table of Contents
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| PF Inflation Managed Fund |
PF Managed Bond Fund |
PF Short Duration Bond Fund |
||||||||||||||||||||||||||||||||||||
| Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
|||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$328,658 | $1,029,520 | $8,716,448 | $14,460,812 | $2,117,152 | $3,880,420 | ||||||||||||||||||||||||||||||||
| Net realized gain (loss) |
803,882 | 477,228 | 15,230,711 | 17,256,679 | 1,795,305 | 888,906 | ||||||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
1,028,583 | 37,853 | (6,726,856 | ) | (1,633,261 | ) | 4,629,250 | (3,881,958 | ) | |||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
2,161,123 | 1,544,601 | 17,220,303 | 30,084,230 | 8,541,707 | 887,368 | ||||||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
|
|||||||||||||||||||||||||||||||||||||
| Total distributable earnings - Class P |
(411,237 | ) | (448,792 | ) | (31,347,044 | ) | (11,614,415 | ) | (2,909,983 | ) | (4,409,514 | ) | ||||||||||||||||||||||||||
| Net Decrease from Dividends and |
(411,237 | ) | (448,792 | ) | (31,347,044 | ) | (11,614,415 | ) | (2,909,983 | ) | (4,409,514 | ) | ||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
12,546,594 | 462,054 | 230,581,304 | 39,353,926 | 48,630,313 | 35,087,913 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
411,237 | 448,792 | 31,347,044 | 11,614,415 | 2,909,983 | 4,409,514 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(2,676,177 | ) | (22,005,907 | ) | (72,315,418 | ) | (179,963,820 | ) | (81,923,397 | ) | (69,052,801 | ) | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
10,281,654 | (21,095,061 | ) | 189,612,930 | (128,995,479 | ) | (30,383,101 | ) | (29,555,374 | ) | ||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
12,031,540 | (19,999,252 | ) | 175,486,189 | (110,525,664 | ) | (24,751,377 | ) | (33,077,520 | ) | ||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year |
20,950,138 | 40,949,390 | 386,832,998 | 497,358,662 | 122,280,108 | 155,357,628 | ||||||||||||||||||||||||||||||||
| End of Year |
$32,981,678 | $20,950,138 | $562,319,187 | $386,832,998 | $97,528,731 | $122,280,108 | ||||||||||||||||||||||||||||||||
| PF Emerging Markets Debt Fund |
PF Growth Fund |
PF Large-Cap Value Fund |
||||||||||||||||||||||||||||||||||||
| Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
|||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$2,854,408 | $3,642,711 | ($444,856 | ) | ($111,054 | ) | $2,088,029 | $2,707,200 | ||||||||||||||||||||||||||||||
| Net realized gain (loss) |
1,139,379 | (589,664 | ) | 49,292,712 | 10,518,171 | 30,475,555 | 10,208,535 | |||||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
10,675,186 | (11,877,664 | ) | 27,592,531 | (2,937,286 | ) | 36,460,708 | (29,003,736 | ) | |||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
14,668,973 | (8,824,617 | ) | 76,440,387 | 7,469,831 | 69,024,292 | (16,088,001 | ) | ||||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
|
|||||||||||||||||||||||||||||||||||||
| Total distributable earnings - Class P |
(2,362,664 | ) | (3,084,637 | ) | (43,891,662 | ) | (6,248,695 | ) | (25,782,094 | ) | (11,717,437 | ) | ||||||||||||||||||||||||||
| Net Decrease from Dividends and |
(2,362,664 | ) | (3,084,637 | ) | (43,891,662 | ) | (6,248,695 | ) | (25,782,094 | ) | (11,717,437 | ) | ||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
16,917,991 | 40,890,590 | 23,644,175 | 20,563,082 | 25,785,476 | 38,491,501 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
2,362,664 | 3,084,637 | 43,891,662 | 6,248,695 | 25,782,094 | 11,717,437 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(57,731,418 | ) | (16,042,032 | ) | (84,476,445 | ) | (50,788,891 | ) | (83,637,866 | ) | (33,084,403 | ) | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(38,450,763 | ) | 27,933,195 | (16,940,608 | ) | (23,977,114 | ) | (32,070,296 | ) | 17,124,535 | ||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(26,144,454 | ) | 16,023,941 | 15,608,117 | (22,755,978 | ) | 11,171,902 | (10,680,903 | ) | |||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year |
87,622,667 | 71,598,726 | 163,574,919 | 186,330,897 | 160,365,015 | 171,045,918 | ||||||||||||||||||||||||||||||||
| End of Year |
$61,478,213 | $87,622,667 | $179,183,036 | $163,574,919 | $171,536,917 | $160,365,015 | ||||||||||||||||||||||||||||||||
See Notes to Financial Statements
C-16
Table of Contents
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| PF Small-Cap |
PF Small-Cap |
PF Emerging Markets Fund |
||||||||||||||||||||||||||||||||||||
| Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
|||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
($88,065 | ) | ($85,935 | ) | $388,109 | $332,356 | $459,666 | $825,103 | ||||||||||||||||||||||||||||||
| Net realized gain (loss) |
9,710,608 | 1,474,942 | 9,177,707 | (4,231,585 | ) | 10,533,525 | 18,458,804 | |||||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
5,623,255 | (2,141,858 | ) | 47,156,760 | (14,927,697 | ) |
|
|
41,591,508 | (27,961,796 | ) | |||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
15,245,798 | (752,851 | ) | 56,722,576 | (18,826,926 | ) |
|
|
52,584,699 | (8,677,889 | ) | |||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||||
| Total distributable earnings - Class P |
(6,499,780 | ) | (1,213,285 | ) | (325,166 | ) | (4,860,855 | ) |
|
|
(3,697,886 | ) | (18,657,302 | ) | ||||||||||||||||||||||||
| Net Decrease from Dividends and |
(6,499,780 | ) | (1,213,285 | ) | (325,166 | ) | (4,860,855 | ) |
|
|
(3,697,886 | ) | (18,657,302 | ) | ||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
39,194,635 | 6,730,507 | 61,337,832 | 851,192 | 12,084,306 | 33,691,167 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
6,499,780 | 1,213,285 | 325,166 | 4,860,855 | 3,697,886 | 18,657,302 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(8,575,950 | ) | (3,973,844 | ) | (29,167,413 | ) | (24,626,067 | ) |
|
|
(20,503,939 | ) | (61,282,250 | ) | ||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
37,118,465 | 3,969,948 | 32,495,585 | (18,914,020 | ) |
|
|
(4,721,747 | ) | (8,933,781 | ) | |||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
45,864,483 | 2,003,812 | 88,892,995 | (42,601,801 | ) |
|
|
44,165,066 | (36,268,972 | ) | ||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year |
17,690,806 | 15,686,994 | 28,015,745 | 70,617,546 |
|
|
97,617,812 | 133,886,784 | ||||||||||||||||||||||||||||||
| End of Year |
$63,555,289 | $17,690,806 | $116,908,740 | $28,015,745 |
|
|
$141,782,878 | $97,617,812 | ||||||||||||||||||||||||||||||
| PF International |
PF International |
PF International Value Fund |
||||||||||||||||||||||||||||||||||||
| Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
Year Ended March 31, 2021 |
Year Ended March 31, 2020 |
|||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$473,066 | $741,181 | $435,098 | $522,618 | $596,990 | $1,816,360 | ||||||||||||||||||||||||||||||||
| Net realized gain (loss) |
5,394,718 | 2,077,545 | 4,151,929 | (53,682 | ) | (3,641,670 | ) | (964,441 | ) | |||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
9,314,371 | (4,327,414 | ) | 12,346,512 | (2,496,959 | ) |
|
|
19,897,242 | (13,413,182 | ) | |||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
15,182,155 | (1,508,688 | ) | 16,933,539 | (2,028,023 | ) |
|
|
16,852,562 | (12,561,263 | ) | |||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||||
| Total distributable earnings - Class P |
(4,258,496 | ) | (6,575,782 | ) | (658,806 | ) | (1,056,704 | ) |
|
|
(829,970 | ) | (1,866,805 | ) | ||||||||||||||||||||||||
| Net Decrease from Dividends and |
(4,258,496 | ) | (6,575,782 | ) | (658,806 | ) | (1,056,704 | ) |
|
|
(829,970 | ) | (1,866,805 | ) | ||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
6,770,295 | 10,166,745 | 3,199,912 | 12,615,119 | 6,096,658 | 7,631,533 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
4,258,496 | 6,575,782 | 658,806 | 1,056,704 | 829,970 | 1,866,805 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(14,879,283 | ) | (24,992,104 | ) | (10,207,000 | ) | (15,539,152 | ) |
|
|
(23,490,082 | ) | (25,056,026 | ) | ||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(3,850,492 | ) | (8,249,577 | ) | (6,348,282 | ) | (1,867,329 | ) |
|
|
(16,563,454 | ) | (15,557,688 | ) | ||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
7,073,167 | (16,334,047 | ) | 9,926,451 | (4,952,056 | ) |
|
|
(540,862 | ) | (29,985,756 | ) | ||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year |
41,818,113 | 58,152,160 | 26,981,612 | 31,933,668 |
|
|
34,970,573 | 64,956,329 | ||||||||||||||||||||||||||||||
| End of Year |
$48,891,280 | $41,818,113 | $36,908,063 | $26,981,612 |
|
|
$34,429,711 | $34,970,573 | ||||||||||||||||||||||||||||||
See Notes to Financial Statements
C-17
Table of Contents
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| PF Multi-Asset Fund |
PF Real Estate Fund |
|||||||||||||||||||||||||
|
Year Ended |
Year Ended March 31, 2020 |
Year Ended |
Year Ended March 31, 2020 |
|||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||
| Net investment income (loss) |
$10,811,338 | $23,573,573 | $585,484 | $1,216,302 | ||||||||||||||||||||||
| Net realized gain (loss) |
234,690,317 | (21,579,029 | ) | 5,755,961 | (8,571,709 | ) | ||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
269,536,738 | (112,346,411 | ) | 5,643,101 | (8,199,240 | ) | ||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
515,038,393 | (110,351,867 | ) | 11,984,546 | (15,554,647 | ) | ||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
|
|||||||||||||||||||||||||
| Total distributable earnings - Class P |
(53,822,193 | ) | (26,336,391 | ) | (339,852 | ) | (2,727,199 | ) | ||||||||||||||||||
| Return of capital - Class P |
— | — | |
(288,733 |
) |
— | ||||||||||||||||||||
| Net Decrease from Dividends and |
(53,822,193 | ) | (26,336,391 | ) | (628,585 | ) | (2,727,199 | ) | ||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
37,933,437 | 93,982,467 | 1,861,695 | 19,042,495 | ||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
53,822,193 | 26,336,391 | 628,585 | 2,727,199 | ||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(334,278,393 | ) | (235,128,587 | ) | (31,646,889 | ) | (41,668,519 | ) | ||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(242,522,763 | ) | (114,809,729 | ) | (29,156,609 | ) | (19,898,825 | ) | ||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
218,693,437 | (251,497,987 | ) | (17,800,648 | ) | (38,180,671 | ) | |||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||
| Beginning of Year |
884,916,205 | 1,136,414,192 | 43,531,952 | 81,712,623 | ||||||||||||||||||||||
| End of Year |
$1,103,609,642 | $884,916,205 | $25,731,304 | $43,531,952 | ||||||||||||||||||||||
See Notes to Financial Statements
C-18
Table of Contents
PACIFIC FUNDS
FOR THE YEAR ENDED MARCH 31, 2021
| PF Inflation Managed Fund |
||||||||||
| CASH FLOWS FROM OPERATING ACTIVITIES (2): |
||||||||||
| Net increase (decrease) in net assets from operations |
$2,161,123 | |||||||||
| 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 |
(73,300,537 | ) | ||||||||
| Proceeds from disposition of long-term securities |
65,732,111 | |||||||||
| Proceeds (purchases) of short-term securities, net |
62,130 | |||||||||
| Proceeds (purchases) from foreign currency transactions |
(5,460 | ) | ||||||||
| (Increase) decrease in dividends and interest receivable |
15,459 | |||||||||
| (Increase) decrease in receivable for securities sold |
21,730,532 | |||||||||
| (Increase) decrease in receivable for swap agreements |
(185 | ) | ||||||||
| (Increase) decrease in receivable due from adviser |
10,170 | |||||||||
| (Increase) decrease in prepaid expenses and other assets |
94 | |||||||||
| (Increase) decrease in variation margin on futures contracts |
(32,036 | ) | ||||||||
| (Increase) decrease in variation margin on swap agreements |
44,760 | |||||||||
| Increase (decrease) in payable for securities purchased |
(19,415,465 | ) | ||||||||
| Increase (decrease) in accrued advisory fees |
(1,335 | ) | ||||||||
| Increase (decrease) in accrued administration fees |
(501 | ) | ||||||||
| Increase (decrease) in accrued custodian and portfolio accounting fees |
9,515 | |||||||||
| Increase (decrease) in accrued legal, audit and tax service fees |
(2,768 | ) | ||||||||
| Increase (decrease) in accrued trustees’ fees and deferred compensation |
344 | |||||||||
| Increase (decrease) in accrued other |
(18,040 | ) | ||||||||
| Change in net unrealized (appreciation) depreciation on investment securities |
(885,286 | ) | ||||||||
| Change in net unrealized (appreciation) depreciation on foreign currencies |
5,460 | |||||||||
| Change in net unrealized (appreciation) depreciation on forward foreign currency contracts |
(64,624 | ) | ||||||||
| Change in net unrealized (appreciation) depreciation on purchased options |
33,574 | |||||||||
| Change in net unrealized (appreciation) depreciation on written options |
(24,239 | ) | ||||||||
| Net realized (gain) loss on investment security transactions |
(1,321,606 | ) | ||||||||
| Net realized (gain) loss on purchased options transactions |
(52,529 | ) | ||||||||
| Net realized (gain) loss on written option transactions |
12,671 | |||||||||
| Net amortization on investments |
138,699 | |||||||||
| Net cash provided by (used in) operating activities |
(5,167,969 | ) | ||||||||
| CASH FLOWS FROM FINANCING ACTIVITIES: |
||||||||||
| Proceeds from shares sold |
12,546,344 | |||||||||
| Payment of shares redeemed |
(2,675,748 | ) | ||||||||
| Proceeds from sale-buyback financing activities |
326,115,499 | |||||||||
| Payment on sale-buyback financing transactions |
(330,996,992 | ) | ||||||||
| Net cash provided by (used in) financing activities |
4,989,103 | |||||||||
| NET INCREASE (DECREASE) IN CASH AND FOREIGN CURRENCY |
(178,866 | ) | ||||||||
| CASH AND FOREIGN CURRENCY: |
||||||||||
| Beginning of Year |
363,064 | |||||||||
| End of Year (3) |
$184,198 | |||||||||
| (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, but does 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 $13,306. |
| (3) | Includes cash (segregated for derivative instruments) of $138,000. |
See Notes to Financial Statements
C-19
Table of Contents
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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.83 | $0.16 | $1.80 | $1.96 | ($0.33 | ) | $— | ($0.33 | ) | $11.46 | 0.67 | % | 0.60 | % | 1.47 | % | 19.96 | % | $191,406 | 37 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.23 | 0.17 | (0.35 | ) | (0.18 | ) | (0.20 | ) | (0.02 | ) | (0.22 | ) | 9.83 | 0.68 | % | 0.60 | % | 1.60 | % | (1.95 | %) | 159,186 | 22 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 11.24 | 0.20 | (0.04 | ) | 0.16 | (0.21 | ) | (0.96 | ) | (1.17 | ) | 10.23 | 0.68 | % | 0.60 | % | 1.83 | % | 1.88 | % | 121,012 | 30 | % | |||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.98 | 0.25 | 0.26 | 0.51 | (0.25 | ) | — | (0.25 | ) | 11.24 | 0.68 | % | 0.60 | % | 2.18 | % | 4.60 | % | 131,023 | 30 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.59 | $0.08 | $1.74 | $1.82 | ($0.27 | ) | $— | ($0.27 | ) | $11.14 | 1.42 | % | 1.35 | % | 0.72 | % | 18.96 | % | $46,869 | 37 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 9.97 | 0.09 | (0.35 | ) | (0.26 | ) | (0.10 | ) | (0.02 | ) | (0.12 | ) | 9.59 | 1.43 | % | 1.35 | % | 0.86 | % | (2.72 | %) | 46,909 | 22 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 11.00 | 0.11 | (0.03 | ) | 0.08 | (0.15 | ) | (0.96 | ) | (1.11 | ) | 9.97 | 1.43 | % | 1.35 | % | 1.08 | % | 1.13 | % | 111,233 | 30 | % | |||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.76 | 0.16 | 0.26 | 0.42 | (0.18 | ) | — | (0.18 | ) | 11.00 | 1.43 | % | 1.35 | % | 1.43 | % | 3.89 | % | 137,036 | 30 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.88 | $0.19 | $1.80 | $1.99 | ($0.35 | ) | $— | ($0.35 | ) | $11.52 | 0.42 | % | 0.35 | % | 1.72 | % | 20.17 | % | $11,299 | 37 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.26 | 0.20 | (0.35 | ) | (0.15 | ) | (0.21 | ) | (0.02 | ) | (0.23 | ) | 9.88 | 0.43 | % | 0.35 | % | 1.85 | % | (1.68 | %) | 6,994 | 22 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 11.26 | 0.22 | (0.03 | ) | 0.19 | (0.23 | ) | (0.96 | ) | (1.19 | ) | 10.26 | 0.43 | % | 0.35 | % | 2.08 | % | 2.26 | % | 6,893 | 30 | % | |||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 11.00 | 0.28 | 0.25 | 0.53 | (0.27 | ) | — | (0.27 | ) | 11.26 | 0.43 | % | 0.35 | % | 2.43 | % | 4.79 | % | 8,135 | 30 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.95 | $0.15 | $2.74 | $2.89 | ($0.32 | ) | $— | ($0.32 | ) | $12.52 | 0.66 | % | 0.60 | % | 1.25 | % | 29.06 | % | $283,474 | 28 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.70 | 0.17 | (0.66 | ) | (0.49 | ) | (0.22 | ) | (0.04 | ) | (0.26 | ) | 9.95 | 0.67 | % | 0.60 | % | 1.55 | % | (4.94 | %) | 231,749 | 20 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 12.58 | 0.18 | (0.06 | ) | 0.12 | (0.20 | ) | (1.80 | ) | (2.00 | ) | 10.70 | 0.68 | % | 0.60 | % | 1.55 | % | 1.91 | % | 199,827 | 45 | % | |||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 12.21 | 0.25 | 0.53 | 0.78 | (0.27 | ) | (0.14 | ) | (0.41 | ) | 12.58 | 0.67 | % | 0.60 | % | 1.95 | % | 6.36 | % | 227,420 | 30 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.72 | $0.06 | $2.66 | $2.72 | ($0.24 | ) | $— | ($0.24 | ) | $12.20 | 1.41 | % | 1.35 | % | 0.50 | % | 28.06 | % | $45,349 | 28 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.44 | 0.09 | (0.66 | ) | (0.57 | ) | (0.11 | ) | (0.04 | ) | (0.15 | ) | 9.72 | 1.42 | % | 1.35 | % | 0.80 | % | (5.63 | %) | 48,929 | 20 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 12.34 | 0.09 | (0.06 | ) | 0.03 | (0.13 | ) | (1.80 | ) | (1.93 | ) | 10.44 | 1.43 | % | 1.35 | % | 0.80 | % | 1.11 | % | 136,522 | 45 | % | |||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 12.00 | 0.15 | 0.52 | 0.67 | (0.19 | ) | (0.14 | ) | (0.33 | ) | 12.34 | 1.42 | % | 1.35 | % | 1.20 | % | 5.60 | % | 174,766 | 30 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.00 | $0.18 | $2.76 | $2.94 | ($0.34 | ) | $— | ($0.34 | ) | $12.60 | 0.41 | % | 0.35 | % | 1.50 | % | 29.44 | % | $6,126 | 28 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.75 | 0.20 | (0.67 | ) | (0.47 | ) | (0.24 | ) | (0.04 | ) | (0.28 | ) | 10.00 | 0.42 | % | 0.35 | % | 1.80 | % | (4.67 | %) | 5,659 | 20 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 12.62 | 0.21 | (0.06 | ) | 0.15 | (0.22 | ) | (1.80 | ) | (2.02 | ) | 10.75 | 0.42 | % | 0.35 | % | 1.80 | % | 2.10 | % | 7,701 | 45 | % | |||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 12.24 | 0.28 | 0.53 | 0.81 | (0.29 | ) | (0.14 | ) | (0.43 | ) | 12.62 | 0.42 | % | 0.35 | % | 2.20 | % | 6.62 | % | 5,196 | 30 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.60 | $0.12 | $4.06 | $4.18 | ($0.32 | ) | ($0.11 | ) | ($0.43 | ) | $14.35 | 0.64 | % | 0.60 | % | 0.95 | % | 39.61 | % | $897,486 | 27 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 12.01 | 0.17 | (0.95 | ) | (0.78 | ) | (0.19 | ) | (0.44 | ) | (0.63 | ) | 10.60 | 0.66 | % | 0.60 | % | 1.38 | % | (7.24 | %) | 714,447 | 19 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 14.26 | 0.16 | 0.04 | 0.20 | (0.23 | ) | (2.22 | ) | (2.45 | ) | 12.01 | 0.66 | % | 0.60 | % | 1.17 | % | 2.49 | % | 652,731 | 41 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 13.67 | 0.20 | 0.94 | 1.14 | (0.24 | ) | (0.31 | ) | (0.55 | ) | 14.26 | 0.66 | % | 0.60 | % | 1.40 | % | 8.36 | % | 690,689 | 36 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.39 | $0.03 | $3.96 | $3.99 | ($0.24 | ) | ($0.11 | ) | ($0.35 | ) | $14.03 | 1.39 | % | 1.35 | % | 0.20 | % | 38.56 | % | $143,244 | 27 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 11.77 | 0.08 | (0.94 | ) | (0.86 | ) | (0.08 | ) | (0.44 | ) | (0.52 | ) | 10.39 | 1.41 | % | 1.35 | % | 0.63 | % | (7.97 | %) | 142,846 | 19 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 14.04 | 0.05 | 0.06 | 0.11 | (0.16 | ) | (2.22 | ) | (2.38 | ) | 11.77 | 1.41 | % | 1.35 | % | 0.42 | % | 1.78 | % | 381,170 | 41 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 13.50 | 0.09 | 0.92 | 1.01 | (0.16 | ) | (0.31 | ) | (0.47 | ) | 14.04 | 1.41 | % | 1.35 | % | 0.65 | % | 7.47 | % | 465,913 | 36 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-28 |
C-20
Table of Contents
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 (Continued) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.64 | $0.16 | $4.07 | $4.23 | ($0.34 | ) | ($0.11 | ) | ($0.45 | ) | $14.42 | 0.39 | % | 0.35 | % | 1.20 | % | 39.99 | % | $35,732 | 27 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 12.05 | 0.20 | (0.96 | ) | (0.76 | ) | (0.21 | ) | (0.44 | ) | (0.65 | ) | 10.64 | 0.41 | % | 0.35 | % | 1.63 | % | (7.07 | %) | 21,729 | 19 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 14.29 | 0.19 | 0.04 | 0.23 | (0.25 | ) | (2.22 | ) | (2.47 | ) | 12.05 | 0.41 | % | 0.35 | % | 1.42 | % | 2.75 | % | 26,959 | 41 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 13.69 | 0.24 | 0.94 | 1.18 | (0.27 | ) | (0.31 | ) | (0.58 | ) | 14.29 | 0.41 | % | 0.35 | % | 1.65 | % | 8.54 | % | 23,088 | 36 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Growth |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.59 | $0.11 | $5.19 | $5.30 | ($0.23 | ) | ($0.16 | ) | ($0.39 | ) | $15.50 | 0.64 | % | 0.60 | % | 0.80 | % | 50.27 | % | $743,213 | 28 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 12.77 | 0.19 | (1.45 | ) | (1.26 | ) | (0.22 | ) | (0.70 | ) | (0.92 | ) | 10.59 | 0.66 | % | 0.60 | % | 1.45 | % | (11.24 | %) | 544,605 | 18 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 15.46 | 0.12 | 0.13 | 0.25 | (0.21 | ) | (2.73 | ) | (2.94 | ) | 12.77 | 0.66 | % | 0.60 | % | 0.84 | % | 2.92 | % | 529,247 | 53 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 14.61 | 0.18 | 1.30 | 1.48 | (0.23 | ) | (0.40 | ) | (0.63 | ) | 15.46 | 0.66 | % | 0.60 | % | 1.14 | % | 10.10 | % | 555,328 | 39 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.33 | $0.01 | $5.03 | $5.04 | ($0.15 | ) | ($0.16 | ) | ($0.31 | ) | $15.06 | 1.39 | % | 1.35 | % | 0.05 | % | 48.99 | % | $116,482 | 28 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 12.45 | 0.09 | (1.41 | ) | (1.32 | ) | (0.10 | ) | (0.70 | ) | (0.80 | ) | 10.33 | 1.41 | % | 1.35 | % | 0.70 | % | (11.81 | %) | 100,768 | 18 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 15.18 | 0.01 | 0.13 | 0.14 | (0.14 | ) | (2.73 | ) | (2.87 | ) | 12.45 | 1.42 | % | 1.35 | % | 0.08 | % | 2.12 | % | 271,000 | 53 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 14.38 | 0.06 | 1.28 | 1.34 | (0.14 | ) | (0.40 | ) | (0.54 | ) | 15.18 | 1.41 | % | 1.35 | % | 0.39 | % | 9.29 | % | 317,342 | 39 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.65 | $0.14 | $5.23 | $5.37 | ($0.26 | ) | ($0.16 | ) | ($0.42 | ) | $15.60 | 0.39 | % | 0.35 | % | 1.05 | % | 50.62 | % | $20,137 | 28 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 12.82 | 0.22 | (1.45 | ) | (1.23 | ) | (0.24 | ) | (0.70 | ) | (0.94 | ) | 10.65 | 0.41 | % | 0.35 | % | 1.70 | % | (10.98 | %) | 14,485 | 18 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 15.51 | 0.16 | 0.12 | 0.28 | (0.24 | ) | (2.73 | ) | (2.97 | ) | 12.82 | 0.41 | % | 0.35 | % | 1.09 | % | 3.12 | % | 19,458 | 53 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 14.64 | 0.22 | 1.31 | 1.53 | (0.26 | ) | (0.40 | ) | (0.66 | ) | 15.51 | 0.41 | % | 0.35 | % | 1.39 | % | 10.42 | % | 16,280 | 39 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $11.38 | $0.09 | $6.70 | $6.79 | ($0.21 | ) | ($0.34 | ) | ($0.55 | ) | $17.62 | 0.66 | % | 0.60 | % | 0.56 | % | 60.05 | % | $275,818 | 31 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 14.25 | 0.19 | (1.89 | ) | (1.70 | ) | (0.23 | ) | (0.94 | ) | (1.17 | ) | 11.38 | 0.67 | % | 0.60 | % | 1.31 | % | (13.66 | %) | 191,505 | 19 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 17.03 | 0.10 | 0.25 | 0.35 | (0.25 | ) | (2.88 | ) | (3.13 | ) | 14.25 | 0.68 | % | 0.60 | % | 0.61 | % | 3.39 | % | 193,470 | 55 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 15.79 | 0.12 | 1.81 | 1.93 | (0.20 | ) | (0.49 | ) | (0.69 | ) | 17.03 | 0.68 | % | 0.60 | % | 0.74 | % | 12.17 | % | 189,903 | 41 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.97 | ($0.03 | ) | $6.45 | $6.42 | ($0.13 | ) | ($0.34 | ) | ($0.47 | ) | $16.92 | 1.41 | % | 1.35 | % | (0.19 | %) | 58.83 | % | $43,705 | 31 | % | |||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 13.76 | 0.08 | (1.82 | ) | (1.74 | ) | (0.11 | ) | (0.94 | ) | (1.05 | ) | 10.97 | 1.42 | % | 1.35 | % | 0.56 | % | (14.25 | %) | 35,339 | 19 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 16.59 | (0.02 | ) | 0.24 | 0.22 | (0.17 | ) | (2.88 | ) | (3.05 | ) | 13.76 | 1.43 | % | 1.35 | % | (0.14 | %) | 2.57 | % | 85,434 | 55 | % | |||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 15.43 | (0.00 | )(6) | 1.75 | 1.75 | (0.10 | ) | (0.49 | ) | (0.59 | ) | 16.59 | 1.43 | % | 1.35 | % | (0.01 | %) | 11.39 | % | 97,877 | 41 | % | |||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Advisor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $11.44 | $0.12 | $6.74 | $6.86 | ($0.24 | ) | ($0.34 | ) | ($0.58 | ) | $17.72 | 0.41 | % | 0.35 | % | 0.81 | % | 60.35 | % | $14,855 | 31 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 14.29 | 0.23 | (1.89 | ) | (1.66 | ) | (0.25 | ) | (0.94 | ) | (1.19 | ) | 11.44 | 0.42 | % | 0.35 | % | 1.56 | % | (13.34 | %) | 9,606 | 19 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 17.07 | 0.14 | 0.23 | 0.37 | (0.27 | ) | (2.88 | ) | (3.15 | ) | 14.29 | 0.43 | % | 0.35 | % | 0.86 | % | 3.57 | % | 10,860 | 55 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 15.82 | 0.17 | 1.80 | 1.97 | (0.23 | ) | (0.49 | ) | (0.72 | ) | 17.07 | 0.43 | % | 0.35 | % | 0.99 | % | 12.48 | % | 10,067 | 41 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Pacific Funds Ultra Short Income |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.65 | $0.12 | $0.44 | $0.56 | ($0.12 | ) | ($0.02 | ) | ($0.14 | ) | $10.07 | 0.70 | % | 0.32 | % | 1.16 | % | 5.81 | % | $12,993 | 96 | % | ||||||||||||||||||||||||||||||||||
| 6/28/2019 - 3/31/2020 | 10.00 | 0.17 | (0.35 | ) | (0.18 | ) | (0.17 | ) | (0.00 | )(6) | (0.17 | ) | 9.65 | 0.87 | % | 0.32 | % | 2.27 | % | (1.81 | %) | 12,273 | 81 | % | ||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-28 |
C-21
Table of Contents
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 Ultra Short Income (Continued) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.65 | $0.12 | $0.44 | $0.56 | ($0.12 | ) | ($0.02 | ) | ($0.14 | ) | $10.07 | 0.69 | % | 0.32 | % | 1.16 | % | 5.81 | % | $18,449 | 96 | % | ||||||||||||||||||||||||||||||||||
| 6/28/2019 - 3/31/2020 | 10.00 | 0.17 | (0.35 | ) | (0.18 | ) | (0.17 | ) | (0.00 | )(6) | (0.17 | ) | 9.65 | 0.97 | % | 0.32 | % | 2.27 | % | (1.81 | %) | 12,401 | 81 | % | ||||||||||||||||||||||||||||||||
| Pacific Funds Short Duration Income |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.05 | $0.16 | $0.52 | $0.68 | ($0.16 | ) | $— | ($0.16 | ) | $10.57 | 0.88 | % | 0.75 | % | 1.50 | % | 6.78 | % | $204,761 | 76 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.30 | 0.24 | (0.25 | ) | (0.01 | ) | (0.24 | ) | — | (0.24 | ) | 10.05 | 0.99 | % | 0.75 | % | 2.33 | % | (0.13 | %) | 154,309 | 56 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.24 | 0.26 | 0.05 | 0.31 | (0.25 | ) | — | (0.25 | ) | 10.30 | 1.03 | % | 0.75 | % | 2.57 | % | 3.11 | % | 118,935 | 50 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.32 | 0.21 | (0.09 | ) | 0.12 | (0.20 | ) | — | (0.20 | ) | 10.24 | 1.04 | % | 0.75 | % | 2.03 | % | 1.18 | % | 94,197 | 76 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.03 | $0.08 | $0.52 | $0.60 | ($0.08 | ) | $— | ($0.08 | ) | $10.55 | 1.63 | % | 1.50 | % | 0.75 | % | 6.00 | % | $51,385 | 76 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.28 | 0.16 | (0.25 | ) | (0.09 | ) | (0.16 | ) | — | (0.16 | ) | 10.03 | 1.74 | % | 1.50 | % | 1.58 | % | (0.87 | %) | 48,816 | 56 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.22 | 0.19 | 0.05 | 0.24 | (0.18 | ) | — | (0.18 | ) | 10.28 | 1.78 | % | 1.50 | % | 1.82 | % | 2.35 | % | 46,167 | 50 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.30 | 0.13 | (0.09 | ) | 0.04 | (0.12 | ) | — | (0.12 | ) | 10.22 | 1.79 | % | 1.50 | % | 1.28 | % | 0.43 | % | 44,337 | 76 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.03 | $0.18 | $0.54 | $0.72 | ($0.19 | ) | $— | ($0.19 | ) | $10.56 | 0.63 | % | 0.50 | % | 1.75 | % | 7.16 | % | $141,974 | 76 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.29 | 0.27 | (0.26 | ) | 0.01 | (0.27 | ) | — | (0.27 | ) | 10.03 | 0.63 | % | 0.50 | % | 2.58 | % | 0.03 | % | 106,402 | 56 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.22 | 0.29 | 0.06 | 0.35 | (0.28 | ) | — | (0.28 | ) | 10.29 | 0.63 | % | 0.50 | % | 2.82 | % | 3.47 | % | 83,436 | 50 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.30 | 0.24 | (0.09 | ) | 0.15 | (0.23 | ) | — | (0.23 | ) | 10.22 | 0.64 | % | 0.50 | % | 2.28 | % | 1.43 | % | 4,329 | 76 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.05 | $0.18 | $0.54 | $0.72 | ($0.19 | ) | $— | ($0.19 | ) | $10.58 | 0.63 | % | 0.50 | % | 1.75 | % | 7.14 | % | $778,271 | 76 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.31 | 0.27 | (0.26 | ) | 0.01 | (0.27 | ) | — | (0.27 | ) | 10.05 | 0.73 | % | 0.50 | % | 2.58 | % | 0.02 | % | 717,804 | 56 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.24 | 0.29 | 0.06 | 0.35 | (0.28 | ) | — | (0.28 | ) | 10.31 | 0.78 | % | 0.50 | % | 2.82 | % | 3.46 | % | 483,476 | 50 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.32 | 0.24 | (0.09 | ) | 0.15 | (0.23 | ) | — | (0.23 | ) | 10.24 | 0.79 | % | 0.50 | % | 2.28 | % | 1.43 | % | 272,268 | 76 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Pacific Funds Core Income |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.60 | $0.22 | $0.66 | $0.88 | ($0.22 | ) | ($0.08 | ) | ($0.30 | ) | $11.18 | 0.98 | % | 0.85 | % | 1.95 | % | 8.29 | % | $160,701 | 102 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.52 | 0.29 | 0.08 | 0.37 | (0.29 | ) | — | (0.29 | ) | 10.60 | 1.09 | % | 0.85 | % | 2.70 | % | 3.51 | % | 140,650 | 70 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.45 | 0.33 | 0.07 | 0.40 | (0.33 | ) | — | (0.33 | ) | 10.52 | 1.13 | % | 0.85 | % | 3.22 | % | 3.99 | % | 82,136 | 93 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.51 | 0.28 | (0.06 | ) | 0.22 | (0.28 | ) | — | (0.28 | ) | 10.45 | 1.12 | % | 0.85 | % | 2.62 | % | 2.05 | % | 132,006 | 91 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.60 | $0.14 | $0.66 | $0.80 | ($0.14 | ) | ($0.08 | ) | ($0.22 | ) | $11.18 | 1.73 | % | 1.60 | % | 1.20 | % | 7.48 | % | $53,990 | 102 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.52 | 0.21 | 0.08 | 0.29 | (0.21 | ) | — | (0.21 | ) | 10.60 | 1.84 | % | 1.60 | % | 1.95 | % | 2.73 | % | 58,397 | 70 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.46 | 0.26 | 0.06 | 0.32 | (0.26 | ) | — | (0.26 | ) | 10.52 | 1.88 | % | 1.60 | % | 2.47 | % | 3.11 | % | 81,309 | 93 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.51 | 0.20 | (0.05 | ) | 0.15 | (0.20 | ) | — | (0.20 | ) | 10.46 | 1.87 | % | 1.60 | % | 1.87 | % | 1.38 | % | 101,156 | 91 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.61 | $0.25 | $0.67 | $0.92 | ($0.26 | ) | ($0.08 | ) | ($0.34 | ) | $11.19 | 0.73 | % | 0.55 | % | 2.25 | % | 8.61 | % | $107,857 | 102 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.53 | 0.33 | 0.07 | 0.40 | (0.32 | ) | — | (0.32 | ) | 10.61 | 0.73 | % | 0.55 | % | 3.00 | % | 3.81 | % | 60,355 | 70 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.46 | 0.36 | 0.08 | 0.44 | (0.37 | ) | — | (0.37 | ) | 10.53 | 0.73 | % | 0.55 | % | 3.52 | % | 4.30 | % | 26,394 | 93 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.52 | 0.31 | (0.06 | ) | 0.25 | (0.31 | ) | — | (0.31 | ) | 10.46 | 0.72 | % | 0.55 | % | 2.92 | % | 2.35 | % | 4,339 | 91 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-28 |
C-22
Table of Contents
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 (Continued) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.64 | $0.26 | $0.67 | $0.93 | ($0.26 | ) | ($0.08 | ) | ($0.34 | ) | $11.23 | 0.73 | % | 0.55 | % | 2.25 | % | 8.68 | % | $46,122 | 102 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.56 | 0.33 | 0.08 | 0.41 | (0.33 | ) | — | (0.33 | ) | 10.64 | 0.73 | % | 0.55 | % | 3.00 | % | 3.80 | % | 31,831 | 70 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.49 | 0.37 | 0.07 | 0.44 | (0.37 | ) | — | (0.37 | ) | 10.56 | 0.73 | % | 0.55 | % | 3.52 | % | 4.29 | % | 40,570 | 93 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.55 | 0.31 | (0.07 | ) | 0.24 | (0.30 | ) | — | (0.30 | ) | 10.49 | 0.72 | % | 0.60 | % | 2.87 | % | 2.29 | % | 66,750 | 91 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.62 | $0.26 | $0.67 | $0.93 | ($0.26 | ) | ($0.08 | ) | ($0.34 | ) | $11.21 | 0.73 | % | 0.55 | % | 2.25 | % | 8.70 | % | $801,154 | 102 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.54 | 0.33 | 0.08 | 0.41 | (0.33 | ) | — | (0.33 | ) | 10.62 | 0.84 | % | 0.55 | % | 3.00 | % | 3.81 | % | 679,287 | 70 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.48 | 0.36 | 0.07 | 0.43 | (0.37 | ) | — | (0.37 | ) | 10.54 | 0.88 | % | 0.55 | % | 3.52 | % | 4.19 | % | 393,645 | 93 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.53 | 0.31 | (0.05 | ) | 0.26 | (0.31 | ) | — | (0.31 | ) | 10.48 | 0.87 | % | 0.55 | % | 2.92 | % | 2.45 | % | 388,730 | 91 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Pacific Funds Strategic Income |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.72 | $0.40 | $1.79 | $2.19 | ($0.39 | ) | $— | ($0.39 | ) | $11.52 | 1.08 | % | 0.95 | % | 3.57 | % | 22.82 | % | $104,659 | 86 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.60 | 0.43 | (0.88 | ) | (0.45 | ) | (0.43 | ) | — | (0.43 | ) | 9.72 | 1.19 | % | 0.95 | % | 3.94 | % | (4.58 | %) | 71,510 | 98 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.71 | 0.47 | (0.11 | ) | 0.36 | (0.47 | ) | — | (0.47 | ) | 10.60 | 1.23 | % | 0.95 | % | 4.43 | % | 3.43 | % | 61,503 | 99 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.68 | 0.40 | 0.02 | 0.42 | (0.39 | ) | — | (0.39 | ) | 10.71 | 1.23 | % | 0.95 | % | 3.70 | % | 3.95 | % | 71,948 | 94 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.69 | $0.32 | $1.80 | $2.12 | ($0.32 | ) | $— | ($0.32 | ) | $11.49 | 1.83 | % | 1.65 | % | 2.87 | % | 22.04 | % | $72,157 | 86 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.58 | 0.35 | (0.89 | ) | (0.54 | ) | (0.35 | ) | — | (0.35 | ) | 9.69 | 1.94 | % | 1.65 | % | 3.24 | % | (5.35 | %) | 63,134 | 98 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.69 | 0.39 | (0.11 | ) | 0.28 | (0.39 | ) | — | (0.39 | ) | 10.58 | 1.98 | % | 1.65 | % | 3.73 | % | 2.73 | % | 58,634 | 99 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.66 | 0.32 | 0.02 | 0.34 | (0.31 | ) | — | (0.31 | ) | 10.69 | 1.98 | % | 1.65 | % | 3.00 | % | 3.25 | % | 57,389 | 94 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.66 | $0.42 | $1.80 | $2.22 | ($0.43 | ) | $— | ($0.43 | ) | $11.45 | 0.84 | % | 0.65 | % | 3.87 | % | 23.23 | % | $13,842 | 86 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.54 | 0.46 | (0.88 | ) | (0.42 | ) | (0.46 | ) | — | (0.46 | ) | 9.66 | 0.83 | % | 0.65 | % | 4.24 | % | (4.32 | %) | 16,622 | 98 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.65 | 0.50 | (0.11 | ) | 0.39 | (0.50 | ) | — | (0.50 | ) | 10.54 | 0.83 | % | 0.65 | % | 4.73 | % | 3.77 | % | 5,750 | 99 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.62 | 0.43 | 0.02 | 0.45 | (0.42 | ) | — | (0.42 | ) | 10.65 | 0.83 | % | 0.65 | % | 4.00 | % | 4.28 | % | 3,882 | 94 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.72 | $0.43 | $1.79 | $2.22 | ($0.42 | ) | $— | ($0.42 | ) | $11.52 | 0.83 | % | 0.70 | % | 3.82 | % | 23.12 | % | $832,054 | 86 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.60 | 0.45 | (0.87 | ) | (0.42 | ) | (0.46 | ) | — | (0.46 | ) | 9.72 | 0.94 | % | 0.70 | % | 4.19 | % | (4.34 | %) | 491,221 | 98 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.71 | 0.49 | (0.11 | ) | 0.38 | (0.49 | ) | — | (0.49 | ) | 10.60 | 0.98 | % | 0.70 | % | 4.68 | % | 3.70 | % | 456,428 | 99 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.68 | 0.43 | 0.02 | 0.45 | (0.42 | ) | — | (0.42 | ) | 10.71 | 0.98 | % | 0.70 | % | 3.95 | % | 4.21 | % | 405,200 | 94 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $8.80 | $0.34 | $0.92 | $1.26 | ($0.34 | ) | $— | ($0.34 | ) | $9.72 | 1.17 | % | 1.02 | %(7) | 3.63 | % | 14.52 | % | $170,353 | 116 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 9.88 | 0.46 | (1.08 | ) | (0.62 | ) | (0.46 | ) | — | (0.46 | ) | 8.80 | 1.27 | % | 1.02 | % | 4.64 | % | (6.69 | %) | 162,511 | 116 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.12 | 0.49 | (0.24 | ) | 0.25 | (0.49 | ) | — | (0.49 | ) | 9.88 | 1.29 | % | 1.01 | % | 4.92 | % | 2.57 | % | 202,929 | 122 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.15 | 0.42 | (0.04 | ) | 0.38 | (0.41 | ) | — | (0.41 | ) | 10.12 | 1.28 | % | 1.01 | % | 4.11 | % | 3.85 | % | 209,034 | 158 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $8.79 | $0.28 | $0.92 | $1.20 | ($0.28 | ) | $— | ($0.28 | ) | $9.71 | 1.92 | % | 1.72 | %(7) | 2.93 | % | 13.74 | % | $87,940 | 116 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 9.86 | 0.39 | (1.08 | ) | (0.69 | ) | (0.38 | ) | — | (0.38 | ) | 8.79 | 2.03 | % | 1.72 | % | 3.94 | % | (7.31 | %) | 102,846 | 116 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.10 | 0.42 | (0.24 | ) | 0.18 | (0.42 | ) | — | (0.42 | ) | 9.86 | 2.04 | % | 1.71 | % | 4.22 | % | 1.86 | % | 197,081 | 122 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.13 | 0.34 | (0.03 | ) | 0.31 | (0.34 | ) | — | (0.34 | ) | 10.10 | 2.03 | % | 1.71 | % | 3.41 | % | 3.14 | % | 191,239 | 158 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-28 |
C-23
Table of Contents
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 Floating Rate Income (Continued) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $8.81 | $0.38 | $0.91 | $1.29 | ($0.37 | ) | $— | ($0.37 | ) | $9.73 | 0.91 | % | 0.72 | %(7) | 3.93 | % | 14.87 | % | $1,019,062 | 116 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 9.90 | 0.49 | (1.09 | ) | (0.60 | ) | (0.49 | ) | — | (0.49 | ) | 8.81 | 0.91 | % | 0.72 | % | 4.94 | % | (6.49 | %) | 415,170 | 116 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.14 | 0.52 | (0.23 | ) | 0.29 | (0.53 | ) | — | (0.53 | ) | 9.90 | 0.90 | % | 0.71 | % | 5.22 | % | 2.88 | % | 497,335 | 122 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.16 | 0.45 | (0.03 | ) | 0.42 | (0.44 | ) | — | (0.44 | ) | 10.14 | 0.88 | % | 0.71 | % | 4.41 | % | 4.25 | % | 294,352 | 158 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $8.81 | $0.37 | $0.92 | $1.29 | ($0.37 | ) | $— | ($0.37 | ) | $9.73 | 0.91 | % | 0.72 | %(7) | 3.93 | % | 14.85 | % | $9,560 | 116 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 9.90 | 0.49 | (1.09 | ) | (0.60 | ) | (0.49 | ) | — | (0.49 | ) | 8.81 | 0.91 | % | 0.72 | % | 4.95 | % | (6.49 | %) | 7,900 | 116 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.14 | 0.53 | (0.25 | ) | 0.28 | (0.52 | ) | — | (0.52 | ) | 9.90 | 0.89 | % | 0.71 | % | 5.22 | % | 2.87 | % | 32,176 | 122 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.16 | 0.44 | (0.02 | ) | 0.42 | (0.44 | ) | — | (0.44 | ) | 10.14 | 0.88 | % | 0.76 | % | 4.36 | % | 4.20 | % | 64,557 | 158 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $8.83 | $0.37 | $0.92 | $1.29 | ($0.37 | ) | $— | ($0.37 | ) | $9.75 | 0.91 | % | 0.77 | %(7) | 3.88 | % | 14.78 | % | $716,233 | 116 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 9.92 | 0.48 | (1.09 | ) | (0.61 | ) | (0.48 | ) | — | (0.48 | ) | 8.83 | 1.03 | % | 0.77 | % | 4.89 | % | (6.52 | %) | 506,347 | 116 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.16 | 0.52 | (0.24 | ) | 0.28 | (0.52 | ) | — | (0.52 | ) | 9.92 | 1.04 | % | 0.76 | % | 5.17 | % | 2.83 | % | 830,452 | 122 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.18 | 0.44 | (0.02 | ) | 0.42 | (0.44 | ) | — | (0.44 | ) | 10.16 | 1.03 | % | 0.76 | % | 4.36 | % | 4.20 | % | 715,700 | 158 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Pacific Funds High Income |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $8.75 | $0.51 | $1.59 | $2.10 | ($0.51 | ) | $— | ($0.51 | ) | $10.34 | 1.13 | % | 0.95 | % | 5.13 | % | 24.45 | % | $7,496 | 66 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.07 | 0.52 | (1.33 | ) | (0.81 | ) | (0.51 | ) | — | (0.51 | ) | 8.75 | 1.24 | % | 0.95 | % | 5.11 | % | (8.61 | %) | 7,227 | 63 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.23 | 0.55 | (0.16 | ) | 0.39 | (0.55 | ) | — | (0.55 | ) | 10.07 | 1.31 | % | 0.95 | % | 5.48 | % | 3.97 | % | 5,174 | 64 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.29 | 0.50 | (0.03 | ) | 0.47 | (0.53 | ) | — | (0.53 | ) | 10.23 | 1.46 | % | 0.95 | % | 4.82 | % | 4.66 | % | 5,463 | 72 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $8.74 | $0.44 | $1.59 | $2.03 | ($0.44 | ) | $— | ($0.44 | ) | $10.33 | 1.88 | % | 1.65 | % | 4.43 | % | 23.61 | % | $1,937 | 66 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.06 | 0.45 | (1.33 | ) | (0.88 | ) | (0.44 | ) | — | (0.44 | ) | 8.74 | 2.00 | % | 1.65 | % | 4.41 | % | (9.28 | %) | 2,007 | 63 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.21 | 0.48 | (0.15 | ) | 0.33 | (0.48 | ) | — | (0.48 | ) | 10.06 | 2.06 | % | 1.65 | % | 4.78 | % | 3.35 | % | 3,726 | 64 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.28 | 0.43 | (0.04 | ) | 0.39 | (0.46 | ) | — | (0.46 | ) | 10.21 | 2.21 | % | 1.65 | % | 4.12 | % | 3.84 | % | 4,418 | 72 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $8.66 | $0.53 | $1.59 | $2.12 | ($0.54 | ) | $— | ($0.54 | ) | $10.24 | 0.88 | % | 0.70 | % | 5.38 | % | 24.76 | % | $62 | 66 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 9.98 | 0.54 | (1.33 | ) | (0.79 | ) | (0.53 | ) | — | (0.53 | ) | 8.66 | 0.88 | % | 0.70 | % | 5.36 | % | (8.36 | %) | 54 | 63 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.14 | 0.57 | (0.16 | ) | 0.41 | (0.57 | ) | — | (0.57 | ) | 9.98 | 0.91 | % | 0.70 | % | 5.73 | % | 4.27 | % | 175 | 64 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.21 | 0.52 | (0.02 | ) | 0.50 | (0.57 | ) | — | (0.57 | ) | 10.14 | 1.07 | % | 0.70 | % | 5.07 | % | 4.95 | % | 211 | 72 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $8.66 | $0.53 | $1.59 | $2.12 | ($0.54 | ) | $— | ($0.54 | ) | $10.24 | 0.88 | % | 0.70 | % | 5.38 | % | 24.91 | % | $146,345 | 66 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 9.98 | 0.54 | (1.33 | ) | (0.79 | ) | (0.53 | ) | — | (0.53 | ) | 8.66 | 0.88 | % | 0.70 | % | 5.36 | % | (8.46 | %) | 120,807 | 63 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.14 | 0.57 | (0.16 | ) | 0.41 | (0.57 | ) | — | (0.57 | ) | 9.98 | 0.91 | % | 0.70 | % | 5.73 | % | 4.27 | % | 113,317 | 64 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.20 | 0.52 | (0.02 | ) | 0.50 | (0.56 | ) | — | (0.56 | ) | 10.14 | 1.06 | % | 0.73 | % | 5.04 | % | 4.92 | % | 68,844 | 72 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $8.76 | $0.54 | $1.60 | $2.14 | ($0.54 | ) | $— | ($0.54 | ) | $10.36 | 0.88 | % | 0.70 | % | 5.38 | % | 24.86 | % | $3,937 | 66 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.08 | 0.54 | (1.33 | ) | (0.79 | ) | (0.53 | ) | — | (0.53 | ) | 8.76 | 1.00 | % | 0.70 | % | 5.36 | % | (8.38 | %) | 3,329 | 63 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.24 | 0.58 | (0.17 | ) | 0.41 | (0.57 | ) | — | (0.57 | ) | 10.08 | 1.06 | % | 0.70 | % | 5.73 | % | 4.23 | % | 3,669 | 64 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.30 | 0.53 | (0.03 | ) | 0.50 | (0.56 | ) | — | (0.56 | ) | 10.24 | 1.21 | % | 0.70 | % | 5.07 | % | 4.91 | % | 2,503 | 72 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-28 |
C-24
Table of Contents
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 ESG Core Bond |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/14/2020 - 3/31/2021 | $10.00 | $0.03 | ($0.30 | ) | ($0.27 | ) | ($0.03 | ) | $— | ($0.03 | ) | $9.70 | 0.97 | % | 0.48 | % | 0.88 | % | (2.73 | %) | $12,156 | 26 | % | |||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/14/2020 - 3/31/2021 | $10.00 | $0.03 | ($0.30 | ) | ($0.27 | ) | ($0.03 | ) | $— | ($0.03 | ) | $9.70 | 0.97 | % | 0.48 | % | 0.88 | % | (2.73 | %) | $12,156 | 26 | % | |||||||||||||||||||||||||||||||||
| Pacific Funds Small/Mid-Cap |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.52 | ($0.04 | ) | $7.99 | $7.95 | $— | $— | $— | $17.47 | 1.24 | % | 1.20 | % | (0.33 | %) | 83.51 | % | $22,988 | 64 | % | ||||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 13.02 | (0.00 | )(6) | (3.47 | ) | (3.47 | ) | (0.03 | ) | — | (0.03 | ) | 9.52 | 1.37 | % | 1.23 | % | (0.03 | %) | (26.71 | %) | 14,379 | 36 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 13.23 | (0.02 | ) | 0.16 | 0.14 | — | (0.35 | ) | (0.35 | ) | 13.02 | 1.48 | % | 1.30 | % | (0.11 | %) | 1.19 | % | 21,872 | 33 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 11.93 | (0.04 | ) | 1.35 | 1.31 | — | (0.01 | ) | (0.01 | ) | 13.23 | 1.51 | % | 1.30 | % | (0.28 | %) | 11.02 | % | 21,131 | 23 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.24 | ($0.14 | ) | $7.73 | $7.59 | $— | $— | $— | $16.83 | 1.99 | % | 1.95 | % | (1.08 | %) | 82.14 | % | $10,990 | 64 | % | ||||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 12.70 | (0.10 | ) | (3.36 | ) | (3.46 | ) | — | — | — | 9.24 | 2.13 | % | 1.98 | % | (0.78 | %) | (27.24 | %) | 9,277 | 36 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 13.01 | (0.11 | ) | 0.15 | 0.04 | — | (0.35 | ) | (0.35 | ) | 12.70 | 2.23 | % | 2.05 | % | (0.87 | %) | 0.43 | % | 16,875 | 33 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 11.81 | (0.13 | ) | 1.34 | 1.21 | — | (0.01 | ) | (0.01 | ) | 13.01 | 2.26 | % | 2.05 | % | (1.03 | %) | 10.28 | % | 15,458 | 23 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Advisor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020- 3/31/2021 | $9.58 | ($0.01) | $8.05 | $8.04 | ($0.05 | ) | $— | ($0.05 | ) | $17.57 | 1.00 | % | 0.95 | % | (0.08 | %) | 84.04 | % | $312,981 | 64 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 13.11 | 0.03 | (3.50 | ) | (3.47 | ) | (0.06 | ) | — | (0.06 | ) | 9.58 | 1.12 | % | 0.98 | % | 0.22 | % | (26.61 | %) | 214,344 | 36 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 13.28 | 0.02 | 0.16 | 0.18 | (0.00 | )(6) | (0.35 | ) | (0.35 | ) | 13.11 | 1.23 | % | 1.05 | % | 0.13 | % | 1.50 | % | 328,171 | 33 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 11.94 | 0.00 | (6) | 1.35 | 1.35 | — | (0.01 | ) | (0.01 | ) | 13.28 | 1.26 | % | 1.05 | % | (0.03 | %) | 11.34 | % | 176,897 | 23 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class R6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.59 | $0.00 | (6) | $8.08 | $8.08 | ($0.06 | ) | $— | ($0.06 | ) | $17.61 | 0.99 | % | 0.86 | % | 0.01 | % | 84.32 | % | $1,558 | 64 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 13.12 | 0.04 | (3.50 | ) | (3.46 | ) | (0.07 | ) | — | (0.07 | ) | 9.59 | 1.01 | % | 0.93 | % | 0.27 | % | (26.57 | %) | 4,802 | 36 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 13.29 | 0.02 | 0.16 | 0.18 | (0.00 | )(6) | (0.35 | ) | (0.35 | ) | 13.12 | 1.08 | % | 1.00 | % | 0.19 | % | 1.52 | % | 6,422 | 33 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 11.94 | 0.00 | (6) | 1.36 | 1.36 | — | (0.01 | ) | (0.01 | ) | 13.29 | 1.11 | % | 1.00 | % | 0.02 | % | 11.43 | % | 9,977 | 23 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Pacific Funds Small-Cap |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $8.56 | ($0.05 | ) | $7.51 | $7.46 | $— | $— | $— | $16.02 | 1.88 | % | 1.20 | % | (0.40 | %) | 87.15 | % | $2,659 | 75 | % | ||||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 12.12 | (0.03 | ) | (3.51 | ) | (3.54 | ) | (0.02 | ) | — | (0.02 | ) | 8.56 | 1.73 | % | 1.23 | % | (0.21 | %) | (29.27 | %) | 3,343 | 42 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 12.86 | (0.03 | ) | (0.06 | ) | (0.09 | ) | — | (0.65 | ) | (0.65 | ) | 12.12 | 1.72 | % | 1.30 | % | (0.21 | %) | (0.53 | %) | 4,986 | 56 | % | ||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 11.77 | (0.02 | ) | 1.33 | 1.31 | (0.01 | ) | (0.21 | ) | (0.22 | ) | 12.86 | 1.89 | % | 1.30 | % | (0.16 | %) | 11.17 | % | 2,367 | 62 | % | |||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $8.38 | ($0.13 | ) | $7.31 | $7.18 | $— | $— | $— | $15.56 | 2.65 | % | 1.95 | % | (1.15 | %) | 85.68 | % | $789 | 75 | % | ||||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 11.94 | (0.11 | ) | (3.45 | ) | (3.56 | ) | — | — | — | 8.38 | 2.48 | % | 1.98 | % | (0.96 | %) | (29.82 | %) | 538 | 42 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 12.76 | (0.12 | ) | (0.05 | ) | (0.17 | ) | — | (0.65 | ) | (0.65 | ) | 11.94 | 2.47 | % | 2.05 | % | (0.96 | %) | (1.17 | %) | 902 | 56 | % | ||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 11.76 | (0.11 | ) | 1.32 | 1.21 | — | (0.21 | ) | (0.21 | ) | 12.76 | 2.64 | % | 2.05 | % | (0.91 | %) | 10.32 | % | 797 | 62 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||||
| Advisor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $8.71 | ($0.02 | ) | $7.64 | $7.62 | ($0.01 | ) | $— | ($0.01 | ) | $16.32 | 1.65 | % | 0.95 | % | (0.15 | %) | 87.51 | % | $11,402 | 75 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 12.32 | 0.00 | (6) | (3.57 | ) | (3.57 | ) | (0.04 | ) | — | (0.04 | ) | 8.71 | 1.48 | % | 0.98 | % | 0.04 | % | (29.07 | %) | 7,897 | 42 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 13.04 | 0.01 | (0.07 | ) | (0.06 | ) | (0.01 | ) | (0.65 | ) | (0.66 | ) | 12.32 | 1.47 | % | 1.05 | % | 0.04 | % | (0.26 | %) | 13,220 | 56 | % | ||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 11.90 | 0.01 | 1.35 | 1.36 | (0.01 | ) | (0.21 | ) | (0.22 | ) | 13.04 | 1.64 | % | 1.05 | % | 0.09 | % | 11.45 | % | 14,767 | 62 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-28 |
C-25
Table of Contents
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) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class R6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $7.97 | ($0.01 | ) | $7.02 | $7.01 | $— | $— | $— | $14.98 | 1.64 | % | 0.86 | % | (0.06 | %) | 87.72 | % | $1,752 | 75 | % | ||||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 11.29 | 0.01 | (3.28 | ) | (3.27 | ) | (0.05 | ) | — | (0.05 | ) | 7.97 | 1.37 | % | 0.93 | % | 0.09 | % | (29.05 | %) | 731 | 42 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 12.00 | 0.01 | (0.06 | ) | (0.05 | ) | (0.01 | ) | (0.65 | ) | (0.66 | ) | 11.29 | 1.32 | % | 1.00 | % | 0.09 | % | (0.18 | %) | 658 | 56 | % | ||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.95 | 0.02 | 1.24 | 1.26 | — | (0.21 | ) | (0.21 | ) | 12.00 | 1.49 | % | 1.00 | % | 0.14 | % | 11.54 | % | 457 | 62 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Pacific Funds Small-Cap Value |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $6.15 | $0.02 | $5.41 | $5.43 | ($0.05 | ) | $— | ($0.05 | ) | $11.53 | 1.85 | % | 1.20 | % | 0.23 | % | 88.38 | % | $2,206 | 87 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 9.10 | 0.04 | (2.92 | ) | (2.88 | ) | (0.07 | ) | — | (0.07 | ) | 6.15 | 1.72 | % | 1.22 | % | 0.41 | % | (31.93 | %) | 1,023 | 45 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 11.17 | 0.03 | (0.49 | ) | (0.46 | ) | (0.03 | ) | (1.58 | ) | (1.61 | ) | 9.10 | 1.67 | % | 1.30 | % | 0.30 | % | (3.68 | %) | 1,298 | 51 | % | ||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 11.52 | 0.02 | 0.62 | 0.64 | (0.03 | ) | (0.96 | ) | (0.99 | ) | 11.17 | 1.65 | % | 1.30 | % | 0.14 | % | 5.41 | % | 1,105 | 47 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $6.04 | ($0.04 | ) | $5.30 | $5.26 | $— | $— | $— | $11.30 | 2.62 | % | 1.95 | % | (0.52 | %) | 87.09 | % | $801 | 87 | % | ||||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 8.94 | (0.03 | ) | (2.87 | ) | (2.90 | ) | — | — | — | 6.04 | 2.47 | % | 1.97 | % | (0.35 | %) | (32.44 | %) | 644 | 45 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 11.06 | (0.05 | ) | (0.49 | ) | (0.54 | ) | — | (1.58 | ) | (1.58 | ) | 8.94 | 2.42 | % | 2.05 | % | (0.45 | %) | (4.47 | %) | 1,287 | 51 | % | ||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 11.46 | (0.07 | ) | 0.63 | 0.56 | — | (0.96 | ) | (0.96 | ) | 11.06 | 2.40 | % | 2.05 | % | (0.61 | %) | 4.72 | % | 1,568 | 47 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||
| Advisor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $6.19 | $0.04 | $5.47 | $5.51 | ($0.07 | ) | $— | ($0.07 | ) | $11.63 | 1.61 | % | 0.95 | % | 0.48 | % | 89.25 | % | $13,750 | 87 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 9.16 | 0.06 | (2.94 | ) | (2.88 | ) | (0.09 | ) | — | (0.09 | ) | 6.19 | 1.47 | % | 0.97 | % | 0.66 | % | (31.79 | %) | 10,018 | 45 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 11.24 | 0.06 | (0.51 | ) | (0.45 | ) | (0.05 | ) | (1.58 | ) | (1.63 | ) | 9.16 | 1.42 | % | 1.05 | % | 0.55 | % | (3.51 | %) | 11,664 | 51 | % | ||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 11.59 | 0.05 | 0.63 | 0.68 | (0.07 | ) | (0.96 | ) | (1.03 | ) | 11.24 | 1.40 | % | 1.05 | % | 0.39 | % | 5.70 | % | 15,511 | 47 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class R6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $6.17 | $0.05 | $5.42 | $5.47 | ($0.09 | ) | $— | ($0.09 | ) | $11.55 | 1.61 | % | 0.86 | % | 0.57 | % | 88.95 | % | $1,160 | 87 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 9.12 | 0.07 | (2.92 | ) | (2.85 | ) | (0.10 | ) | — | (0.10 | ) | 6.17 | 1.36 | % | 0.92 | % | 0.70 | % | (31.67 | %) | 2,314 | 45 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 11.21 | 0.07 | (0.52 | ) | (0.45 | ) | (0.06 | ) | (1.58 | ) | (1.64 | ) | 9.12 | 1.27 | % | 1.00 | % | 0.60 | % | (3.52 | %) | 3,134 | 51 | % | ||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 11.55 | 0.05 | 0.64 | 0.69 | (0.07 | ) | (0.96 | ) | (1.03 | ) | 11.21 | 1.25 | % | 1.00 | % | 0.44 | % | 5.78 | % | 9,657 | 47 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| PF Inflation Managed Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.12 | $0.14 | $0.79 | $0.93 | ($0.17 | ) | $— | ($0.17 | ) | $9.88 | 0.85 | % | 0.61 | %(7) | 1.41 | % | 10.19 | % | $32,982 | 199 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 8.81 | 0.25 | 0.18 | 0.43 | (0.12 | ) | — | (0.12 | ) | 9.12 | 1.25 | % | 1.08 | % | 2.76 | % | 4.94 | % | 20,950 | 249 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 8.88 | 0.16 | 0.05 | 0.21 | (0.28 | ) | — | (0.28 | ) | 8.81 | 1.15 | % | 1.07 | % | 1.86 | % | 2.50 | % | 40,949 | 126 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 8.92 | 0.27 | (0.19 | ) | 0.08 | (0.12 | ) | — | (0.12 | ) | 8.88 | 1.06 | % | 0.94 | % | 3.08 | % | 0.87 | % | 75,772 | 108 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||||
| PF Managed Bond Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $11.03 | $0.20 | $0.34 | $0.54 | ($0.16 | ) | ($0.50 | ) | ($0.66 | ) | $10.91 | 0.66 | % | 0.55 | % | 1.76 | % | 4.69 | % | $562,319 | 492 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 10.56 | 0.32 | 0.41 | 0.73 | (0.14 | ) | (0.12 | ) | (0.26 | ) | 11.03 | 0.82 | % | 0.73 | % | 2.93 | % | 6.89 | % | 386,833 | 512 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.58 | 0.31 | 0.03 | 0.34 | (0.36 | ) | — | (0.36 | ) | 10.56 | 0.72 | % | 0.63 | % | 3.02 | % | 3.43 | % | 497,359 | 520 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.67 | 0.29 | 0.05 | 0.34 | (0.42 | ) | (0.01 | ) | (0.43 | ) | 10.58 | 0.64 | % | 0.57 | % | 2.63 | % | 3.29 | % | 598,676 | 364 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-28 |
C-26
Table of Contents
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 | ||||||||||||||||||||||||||||||||||||||||||
| PF Short Duration Bond Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.77 | $0.16 | $0.47 | $0.63 | ($0.26 | ) | $— | ($0.26 | ) | $10.14 | 0.66 | % | 0.55 | % | 1.61 | % | 6.47 | % | $97,529 | 98 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 9.93 | 0.24 | (0.14 | ) | 0.10 | (0.26 | ) | — | (0.26 | ) | 9.77 | 0.65 | % | 0.55 | % | 2.38 | % | 0.97 | % | 122,280 | 109 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 9.79 | 0.23 | 0.07 | 0.30 | (0.16 | ) | — | (0.16 | ) | 9.93 | 0.64 | % | 0.55 | % | 2.34 | % | 3.05 | % | 155,358 | 164 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 9.88 | 0.15 | (0.09 | ) | 0.06 | (0.15 | ) | — | (0.15 | ) | 9.79 | 0.63 | % | 0.55 | % | 1.56 | % | 0.65 | % | 112,269 | 67 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| PF Emerging Markets Debt Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $7.18 | $0.34 | $1.16 | $1.50 | ($0.43 | ) | $— | ($0.43 | ) | $8.25 | 1.18 | % | 0.92 | % | 4.09 | % | 20.47 | % | $61,478 | 89 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 9.17 | 0.51 | (2.02 | ) | (1.51 | ) | (0.48 | ) | — | (0.48 | ) | 7.18 | 1.14 | % | 0.92 | % | 5.64 | % | (17.58 | %) | 87,623 | 73 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 9.37 | 0.47 | (0.54 | ) | (0.07 | ) | (0.13 | ) | — | (0.13 | ) | 9.17 | 1.09 | % | 0.93 | % | 5.37 | % | (0.61 | %) | 71,599 | 60 | % | |||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 9.39 | 0.51 | 0.30 | 0.81 | (0.83 | ) | — | (0.83 | ) | 9.37 | 1.11 | % | 0.94 | % | 5.28 | % | 8.76 | % | 85,758 | 68 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| PF Growth Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $27.10 | ($0.08 | ) | $13.51 | $13.43 | $— | ($9.99 | ) | ($9.99 | ) | $30.54 | 0.78 | % | 0.70 | % | (0.24 | %) | 50.42 | % | $179,183 | 32 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 27.18 | (0.02 | ) | 0.93 | 0.91 | (0.00 | )(6) | (0.99 | ) | (0.99 | ) | 27.10 | 0.77 | % | 0.70 | % | (0.06 | %) | 3.04 | % | 163,575 | 20 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 25.38 | 0.00 | (6) | 3.62 | 3.62 | (0.01 | ) | (1.81 | ) | (1.82 | ) | 27.18 | 0.77 | % | 0.70 | % | 0.01 | % | 14.99 | % | 186,331 | 28 | % | |||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 20.94 | 0.04 | 5.33 | 5.37 | (0.04 | ) | (0.89 | ) | (0.93 | ) | 25.38 | 0.76 | % | 0.70 | % | 0.16 | % | 25.93 | % | 206,732 | 34 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| PF Large-Cap Value Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.66 | $0.14 | $4.72 | $4.86 | ($0.17 | ) | ($2.04 | ) | ($2.21 | ) | $12.31 | 0.88 | % | 0.80 | % | 1.25 | % | 52.63 | % | $171,537 | 29 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 11.95 | 0.20 | (1.62 | ) | (1.42 | ) | (0.17 | ) | (0.70 | ) | (0.87 | ) | 9.66 | 0.87 | % | 0.80 | % | 1.59 | % | (13.51 | %) | 160,365 | 28 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 17.14 | 0.24 | 0.46 | 0.70 | (0.17 | ) | (5.72 | ) | (5.89 | ) | 11.95 | 0.86 | % | 0.80 | % | 1.55 | % | 5.49 | % | 171,046 | 43 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 16.60 | 0.22 | 0.79 | 1.01 | (0.23 | ) | (0.24 | ) | (0.47 | ) | 17.14 | 0.86 | % | 0.80 | % | 1.27 | % | 6.01 | % | 154,943 | 7 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| PF Small-Cap Growth Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $14.19 | ($0.06 | ) | $12.31 | $12.25 | ($0.01 | ) | ($4.74 | ) | ($4.75 | ) | $21.69 | 0.91 | % | 0.75 | % | (0.27 | %) | 89.21 | % | $63,555 | 139 | % | |||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 18.43 | (0.11 | ) | (2.31 | ) | (2.42 | ) | — | (1.82 | ) | (1.82 | ) | 14.19 | 0.97 | % | 0.75 | % | (0.60 | %) | (14.67 | %) | 17,691 | 126 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 14.84 | (0.09 | ) | 3.80 | 3.71 | — | (0.12 | ) | (0.12 | ) | 18.43 | 0.87 | % | 0.75 | % | (0.55 | %) | 25.05 | % | 15,687 | 127 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 11.50 | (0.06 | ) | 3.40 | 3.34 | — | — | — | 14.84 | 0.90 | % | 0.75 | % | (0.45 | %) | 29.04 | % | 9,463 | 86 | % | ||||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||||
| PF Small-Cap Value Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $5.17 | $0.05 | $5.64 | $5.69 | ($0.03 | ) | $— | ($0.03 | ) | $10.83 | 1.00 | % | 0.90 | % | 0.60 | % | 110.27 | % | $116,909 | 99 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 8.21 | 0.04 | (2.39 | ) | (2.35 | ) | (0.05 | ) | (0.64 | ) | (0.69 | ) | 5.17 | 1.00 | % | 0.90 | % | 0.53 | % | (31.62 | %) | 28,016 | 36 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 11.22 | 0.04 | (0.56 | ) | (0.52 | ) | (0.03 | ) | (2.46 | ) | (2.49 | ) | 8.21 | 0.97 | % | 0.90 | % | 0.35 | % | (4.23 | %) | 70,618 | 56 | % | ||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 12.09 | 0.02 | 0.79 | 0.81 | (0.02 | ) | (1.66 | ) | (1.68 | ) | 11.22 | 0.97 | % | 0.90 | % | 0.17 | % | 6.54 | % | 81,515 | 30 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| PF Emerging Markets Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.80 | $0.05 | $5.43 | $5.48 | ($0.01 | ) | ($0.39 | ) | ($0.40 | ) | $14.88 | 1.16 | % | 0.95 | % | 0.37 | % | 56.13 | % | $141,783 | 40 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 14.71 | 0.13 | (1.50 | ) | (1.37 | ) | (0.19 | ) | (3.35 | ) | (3.54 | ) | 9.80 | 1.29 | % | 0.95 | % | 0.90 | % | (14.07 | %) | 97,618 | 65 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 17.30 | 0.13 | (0.95 | ) | (0.82 | ) | (0.09 | ) | (1.68 | ) | (1.77 | ) | 14.71 | 1.16 | % | 0.95 | % | 0.84 | % | (3.61 | %) | 133,887 | 46 | % | ||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 13.81 | 0.10 | 3.49 | 3.59 | (0.10 | ) | — | (0.10 | ) | 17.30 | 1.20 | % | 0.95 | % | 0.63 | % | 25.93 | % | 178,391 | 34 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-28 |
C-27
Table of Contents
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 | ||||||||||||||||||||||||||||||||||||||||||
| PF International Large-Cap Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $9.05 | $0.12 | $3.54 | $3.66 | ($0.07 | ) | ($1.11) | ($1.18 | ) | $11.53 | 1.30 | % | 0.99 | % | 1.06 | % | 40.85 | % | $48,891 | 20 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 11.63 | 0.17 | (0.87 | ) | (0.70 | ) | (0.15 | ) | (1.73 | ) | (1.88 | ) | 9.05 | 1.32 | % | 1.00 | % | 1.46 | % | (8.84 | %) | 41,818 | 22 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 20.85 | 0.41 | (1.09 | ) | (0.68 | ) | (0.24 | ) | (8.30 | ) | (8.54 | ) | 11.63 | 1.19 | % | 1.00 | % | 2.32 | % | 0.62 | % | 58,152 | 41 | % | ||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 18.19 | 0.26 | 2.74 | 3.00 | (0.34 | ) | — | (0.34 | ) | 20.85 | 1.14 | % | 1.00 | % | 1.28 | % | 16.54 | % | 125,384 | 10 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| PF International Small-Cap Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $6.98 | $0.13 | $4.74 | $4.87 | ($0.21 | ) | $— | ($0.21 | ) | $11.64 | 1.34 | % | 1.10 | % | 1.32 | % | 69.98 | % | $36,908 | 39 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 9.59 | 0.20 | (2.23 | ) | (2.03 | ) | (0.58 | ) | — | (0.58 | ) | 6.98 | 1.43 | % | 1.10 | % | 2.16 | % | (22.94 | %) | 26,982 | 90 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 11.24 | 0.17 | (1.58 | ) | (1.41 | ) | (0.05 | ) | (0.19 | ) | (0.24 | ) | 9.59 | 1.18 | % | 1.10 | % | 1.61 | % | (12.54 | %) | 31,934 | 50 | % | ||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 10.50 | 0.19 | 1.79 | 1.98 | (0.29 | ) | (0.95 | ) | (1.24 | ) | 11.24 | 1.16 | % | 1.10 | % | 1.63 | % | 19.24 | % | 89,816 | 52 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| PF International Value Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $5.14 | $0.11 | $2.97 | $3.08 | ($0.17 | ) | $— | ($0.17 | ) | $8.05 | 1.21 | % | 0.80 | % | 1.74 | % | 60.38 | % | $34,430 | 35 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 7.51 | 0.25 | (2.32 | ) | (2.07 | ) | (0.23 | ) | (0.07 | ) | (0.30 | ) | 5.14 | 1.11 | % | 0.80 | % | 3.32 | % | (28.94 | %) | 34,971 | 33 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 10.17 | 0.28 | (1.20 | ) | (0.92 | ) | (0.34 | ) | (1.40 | ) | (1.74 | ) | 7.51 | 0.98 | % | 0.80 | % | 2.99 | % | (8.51 | %) | 64,956 | 54 | % | ||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 9.31 | 0.30 | 0.99 | 1.29 | (0.43 | ) | — | (0.43 | ) | 10.17 | 0.92 | % | 0.80 | % | 2.95 | % | 14.01 | % | 143,626 | 111 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| PF Multi-Asset Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $8.23 | $0.11 | $5.18 | $5.29 | ($0.15 | ) | ($0.44) | ($0.59 | ) | $12.93 | 0.57 | % | 0.51 | % | 1.02 | % | 64.91 | % | $1,103,610 | 53 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 9.81 | 0.22 | (1.54 | ) | (1.32 | ) | (0.26 | ) | — | (0.26 | ) | 8.23 | 0.56 | % | 0.51 | % | 2.17 | % | (14.09 | %) | 884,916 | 57 | % | |||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 9.42 | 0.21 | 0.31 | 0.52 | (0.13 | ) | — | (0.13 | ) | 9.81 | 0.56 | % | 0.51 | % | 2.21 | % | 5.72 | % | 1,136,414 | 75 | % | |||||||||||||||||||||||||||||||||||
| 1/31/2018 - 3/31/2018 | 10.00 | 0.03 | (0.61 | ) | (0.58 | ) | — | — | — | 9.42 | 0.59 | % | 0.51 | % | 1.68 | % | (5.80 | %) | 733,300 | 37 | % | |||||||||||||||||||||||||||||||||||
| PF Real Estate Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2020 - 3/31/2021 | $10.30 | $0.17 | $3.33 | $3.50 | ($0.20 | )(8) | $— | ($0.20 | ) | $13.60 | 1.16 | % | 0.90 | % | 1.44 | % | 34.16 | % | $25,731 | 38 | % | |||||||||||||||||||||||||||||||||||
| 4/1/2019 - 3/31/2020 | 12.26 | 0.19 | (1.74 | ) | (1.55 | ) | (0.25 | ) | (0.16 | ) | (0.41 | ) | 10.30 | 1.13 | % | 0.90 | % | 1.46 | % | (13.44 | %) | 43,532 | 48 | % | ||||||||||||||||||||||||||||||||
| 4/1/2018 - 3/31/2019 | 11.86 | 0.28 | 1.75 | 2.03 | (0.21 | ) | (1.42 | ) | (1.63 | ) | 12.26 | 1.12 | % | 0.98 | % | 2.31 | % | 18.20 | % | 81,713 | 104 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2017 - 3/31/2018 | 14.94 | 0.30 | (0.75 | ) | (0.45 | ) | (0.22 | ) | (2.41 | ) | (2.63 | ) | 11.86 | 1.13 | % | 1.05 | % | 2.12 | % | (4.15 | %) | 41,519 | 47 | % | ||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||
| (1) | For share classes that commenced operations after April 1, 2016, 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. The expense ratios for all the Portfolio Optimization Funds do not include fees and expenses of the underlying funds in which the Portfolio Optimization Funds 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) | The annualized ratios of expenses, excluding interest expense, after expense reductions to average net assets for the year ended March 31, 2021 are as follows: |
| Fund | Class A | Class C | Class I | Class P | Advisor Class | |||||||
| Pacific Funds Floating Rate Income |
0.98% |
1.68% |
0.68% |
0.68% |
0.73% | |||||||
| PF Inflation Managed Fund |
0.55% |
| (8) | Includes $0.09 per share return of capital distribution. |
| See Notes to Financial Statements |
C-28
Table of Contents
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 a diversified, open-end, investment management 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, 2021, the Trust was comprised of the following twenty-nine separate funds (each individually a “Fund”, and collectively the “Funds”):
| Pacific FundsSM Portfolio Optimization Conservative (1) | Pacific FundsSM High Income (2) | PF Large-Cap Value Fund (4) | ||
| Pacific FundsSM Portfolio Optimization Moderate-Conservative (1) | Pacific FundsSM ESG Core Bond (2) | PF Small-Cap Growth Fund (formerly named PF Developing Growth Fund) (4) | ||
| Pacific FundsSM Portfolio Optimization Moderate (1) | Pacific FundsSM Small/Mid-Cap (3) | PF Small-Cap Value Fund (4) | ||
| Pacific FundsSM Portfolio Optimization Growth (1) | Pacific FundsSM Small-Cap (3) | PF Emerging Markets Fund (4) | ||
| Pacific FundsSM Portfolio Optimization Aggressive-Growth (1) | Pacific FundsSM Small-Cap Value (3) | PF International Large-Cap Fund (4) | ||
| Pacific FundsSM Ultra Short Income (2) | PF Inflation Managed Fund (4) | PF International Small-Cap Fund (4) | ||
| Pacific FundsSM Short Duration Income (2) | PF Managed Bond Fund (4) | PF International Value Fund (4) | ||
| Pacific FundsSM Core Income (2) | PF Short Duration Bond Fund (4) | PF Multi-Asset Fund (4) | ||
| Pacific FundsSM Strategic Income (2) | PF Emerging Markets Debt Fund (4) | PF Real Estate Fund (4) | ||
| Pacific FundsSM Floating Rate Income (2) | PF Growth Fund (4) | |||
| (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” |
| (4) | These Funds are collectively known as the “PF Underlying Funds” |
The Portfolio Optimization Funds offer 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 and in general: (i) Class A shares are subject to a maximum 5.50% front-end sales charge (ii) Class C shares are subject to a maximum 1.00% contingent deferred sales charge (“CDSC”); and (iii) 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. Class C shares automatically convert to Class A shares approximately six years after the original purchase date.
The PF Fixed Income Funds offer Class A, Class C, Class I, and Advisor Class shares, except Pacific Funds Ultra Short Income and Pacific Funds ESG Core Bond which offer Class I and Advisor Class shares only. 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 and in general: (i) Class A shares of Pacific Funds Short Duration Income and Pacific Funds Floating Rate 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. Class C shares automatically convert to Class A shares approximately six years after the original purchase date.
The PF U.S. Equity Funds offer Class A, Class C, Advisor Class, and Class R6 shares. Each class is distinguished by its applicable sales charges and level of distribution and/or service fees and in general: (i) Class A shares are subject to a maximum 4.25% front-end sales charge; (ii) Class C shares are subject to a maximum 1.00% CDSC; and (iii) Advisor Class and Class R6 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. Class C shares automatically convert to Class A shares approximately six years after the original purchase date.
The PF Underlying Funds offer Class P shares only, which are sold at net asset value. Presently, only the Portfolio Optimization Funds, the Investment Adviser, and certain of its affiliates can invest in Class P shares.
The Trust’s distributor receives all net commissions (front-end sales charges and CDSCs) from the sales of all applicable share classes.
The Portfolio Optimization Funds invest their assets in Class P shares of the PF Underlying Funds as well as Class P shares of Pacific Funds Core Income, Pacific Funds Floating Rate Income and Pacific Funds High Income.
On July 31, 2020, Pacific Funds Large-Cap, Pacific Funds Small-Cap Growth, and PF Mid-Cap Equity Fund were liquidated pursuant to plans of liquidation approved by the Board of Trustees. On September 29, 2020, Pacific Funds Diversified Income was liquidated. On March 1, 2021, Pacific Funds Large-Cap Value was liquidated pursuant to a plan of liquidation approved by the Board of Trustees. Because these Funds were liquidated prior to March 31, 2021, no financial information is presented in this report.
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PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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 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
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.
For the Portfolio Optimization Funds 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 (except Pacific Funds Floating Rate Income and Pacific Funds Ultra Short Income), dividends on net investment income, if any, are generally declared and paid monthly. For Pacific Funds Floating Rate Income and Pacific Funds Ultra Short Income, dividends, if any, are generally declared daily and paid monthly. Dividends may be declared more or less frequently if advantageous to the specific Fund and its shareholders.
Each PF Underlying Fund distributes all of its net investment income, if any, to shareholders at least annually, although distributions could occur more often if advantageous to the applicable Fund and its shareholders. Each PF Underlying Fund may utilize the consent dividend provision of Section 565 of the Internal Revenue Code to effectively distribute income and capital gains for tax purposes even though they are not actually paid by the Fund.
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 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 and printing. All such costs are amortized as an expense of the new Fund on a straight-line basis over twelve months from commencement of operations.
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PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
F. NEW ACCOUNTING PRONOUNCEMENTS
In March 2020, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) for the one week and two month U.S. dollar (“USD”) tenors as well as all non USD LIBOR tenors after December 31, 2021; and the planned discontinuation of the overnight and one, three, six and twelve month LIBOR tenors after June 30, 2023. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying this ASU.
In October 2020, FASB issued ASU 2020-08, Receivables – Nonrefundable Fees and Other Costs (Codification Improvements Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities. ASU 2020-08 is an update of ASU No. 2017-08, which amends the amortization period of certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. ASU 2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. ASU 2020-08 updates the amortization period for callable debt securities to be amortized to the next call date. For purposes of this update, the next call date is the first date when a call option at a specified price becomes exercisable. Once that date has passed, the next call date is when the next call option at a specified price becomes exercisable, if applicable. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2020. The adoption of this guidance did not have a material impact on the financial statements.
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. The methodologies used to value the Funds’ investments are described in greater detail in the Investment Valuation subsection below.
B. DETERMINATION OF NET ASSET VALUE (“NAV”)
Each Fund of the Trust is divided into shares and one or more share classes. The price per share of each class of a Fund’s shares is called its NAV, which is determined by taking the total value of its investments and other assets, subtracting any liabilities, and dividing by the total number of shares outstanding.
The NAVs are calculated once per day on each day that the New York Stock Exchange (“NYSE”) is open, including days when foreign markets and/or bond markets are closed. Each NAV is generally determined as of 4:00 p.m. Eastern Time on days that the NYSE is open. Information that becomes known to the Trust or its agents after the determination of an NAV on a particular day will not normally be used to retroactively adjust the price of a Fund’s investment or the NAV determined earlier that 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. The NAVs 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 NYSE scheduled holiday or weekend, (ii) trading on the NYSE is restricted, (iii) an emergency exists (as determined by the U.S. Securities and Exchange Commission “SEC”), making the sale of investments or determinations of NAV not practicable, or (iv) the SEC permits a delay for the protection of shareholders. Based on information obtained from the NYSE, it is anticipated that the NYSE will be closed when the following annual holidays are observed: New Year’s Day; Martin Luther King, Jr. Day; Washington’s Birthday; Good Friday; Memorial Day; Independence Day; Labor Day; Thanksgiving Day; and Christmas Day. The NYSE is normally closed on the preceding Friday or subsequent Monday when one of these holidays falls on a Saturday or Sunday, respectively. In addition, the NYSE typically closes early (usually 1:00 p.m. Eastern Time) on the day after Thanksgiving and the day before Christmas Day. Although the Trust expects the same holidays to be observed in the future, the NYSE may modify its holiday schedule or hours of operation at any time.
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.
In the event the NYSE closes prior to 4:00 p.m. Eastern Time, whether due to a scheduled or unscheduled early close, certain other markets or exchanges may remain open. Generally, the valuation of the securities in those markets or exchanges will follow the valuation procedures described below, which may be after the official closing time of the NYSE.
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 and does not normally take into account trading, clearances or settlements that take place after the 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.
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PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
Foreign Equity Investments
For foreign equity investments, the Trust generally uses the official closing price or the last reported sale price from the principal foreign exchanges. The Trust may adjust for market events occurring between the close of certain foreign exchanges and the 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 at the mean between the most recent bid and ask prices obtained from approved pricing services, established market makers, or from broker-dealers. Exchange traded futures contracts, option contracts, and swap agreements for which no approved pricing services are available, are generally valued using the settlement price determined by the relevant exchange.
Over-the-Counter (“OTC”) Investments
OTC investments (including forward commitments, swap agreements and option contracts) are generally valued by approved pricing services that use evaluated prices from various observable market and other factors. Forward foreign currency contracts are generally valued using the mean between broker-dealer bid and ask quotations, and foreign currency exchange rates are gathered from approved pricing services
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. Generally, the prices are obtained from approved pricing sources or services as of 4:00 p.m. Eastern Time.
Investments in Mutual Funds
Fund investments in affiliated or unaffiliated mutual funds 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, if there is a trading halt for individual holdings, or if there is an unscheduled market closure (e.g., in the event of a natural disaster, strikes, news of significant governmental actions, regulatory trading halts, system failures, terrorist threats or activities, or armed conflict, etc.). 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, proxy, 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, 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 policy changes, as determined by the Trust’s CCO, requiring approval by the Board.
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PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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. A summary of each Fund’s investments as of March 31, 2021, as categorized under the three-tier hierarchy of inputs, can be found in 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.
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.
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PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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 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 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 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 are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of total return swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Senior Loan Notes
Floating rate senior loan notes (“Senior Loans”) are fair valued based on a quoted price received from a single broker-dealer or an average of quoted prices received from multiple broker-dealers or valued relative to other benchmark securities when broker-dealer quotes are unavailable. To the extent that these inputs are observable, the fair values of Senior Loans would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
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 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. Details of any unfunded loan commitments are disclosed in the Notes to Schedules of Investments.
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. Such adverse effects on performance could include a decline in the value and liquidity of securities held by a Fund, unusually high and unanticipated levels of redemptions, an increase in portfolio turnover, a decrease in NAV, and an increase in Fund expenses. It may also be unusually difficult to identify investment risks and opportunities, in which case investment goals may not be met. 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.
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PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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 a Fund invests. It is impossible to predict whether or for how long such market events will continue, particularly if they are unprecedented, unforeseen or widespread events or conditions. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply and for extended periods, and you could lose money. 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.
Natural Disasters Risk
Natural disasters occur throughout the world and include events such as blizzards and ice storms, earthquakes, floods, hurricanes, pandemics, tidal waves, tornadoes, tsunamis, typhoons, volcanic eruptions, and wildfires. Although specific types of natural disasters may occur more frequently in certain geographic locations, such events are by their nature unpredictable and may cause sudden, severe and widespread damage that negatively impacts issuers, regions and economies in which a Fund invests. Should a Fund hold significant investments in, or have significant exposure to, an issuer, region or economy affected by a natural disaster, the Fund may lose money. Due to the interconnectedness of the global economy, natural disasters in one location may negatively impact issuers in other locations.
An outbreak of infectious respiratory illness caused by the novel coronavirus known as COVID-19 was declared a global pandemic by the World Health Organization in March 2020. COVID-19 has resulted in travel restrictions, closed international borders, enhanced health screenings, disruption and delays in healthcare services, prolonged quarantines, cancellations, temporary store closures, social distancing, government ordered curfews and business closures, disruptions to supply chains and consumer activity, shortages, highly volatile financial markets, and general concern and uncertainty. The impact of COVID-19 could adversely affect the economies and capital markets of many nations or the entire global economy, as well as individual companies, entire sectors, and securities and commodities markets (including liquidity), in ways that may not necessarily be foreseen at the present time, which could result in losses to a Fund.
LIBOR Transition Risk
Certain investments in which a Fund invests rely in some manner on the London Interbank Offered Rate (“LIBOR”). LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market as determined by the ICE Benchmark Administration (“IBA”). Previously, the Financial Conduct Authority (“FCA”), which regulates financial markets and financial services firms in the United Kingdom, announced that it will no longer compel the banks to continue to submit the daily rates for the calculation of LIBOR after 2021 and warned that LIBOR may cease to be available or appropriate for use beyond 2021. More recently, the IBA announced it will cease publication of USD LIBOR for the most common tenors (overnight and one, three, six and twelve months) as of June 30, 2023, and it will cease publication of USD LIBOR for the less commonly used tenors of one week and two months as well as all tenors of non-USD LIBOR as of December 31, 2021.
There remains uncertainty regarding the transition to, and nature of, any selected replacement rates. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of the Fund’s investments and result in costs incurred in connection with closing out positions that reference LIBOR and entering into new trades referencing alternative rates. The transition process away from LIBOR may result in increased volatility or illiquidity in markets for the Fund’s investments that currently rely on LIBOR as well as a reduction in the value of these investments. The potential risk of reduction in value of these investments may be heightened for those investments that do not include fallback provisions that address the cessation of LIBOR.
Fund of Funds Investments
The Portfolio Optimization Funds are exposed to the same risks as the applicable Funds in which a Portfolio Optimization Funds invests (PF Underlying Funds, Pacific Funds Core Income, Pacific Funds Floating Rate Income, and Pacific Funds High Income), in direct proportion to the allocation of assets among those Funds.
Allocations by the Portfolio Optimization Funds among the PF Underlying Funds, Pacific Funds Core Income, Pacific Funds Floating Rate Income, and Pacific Funds High Income are determined using an asset allocation process, which seeks to optimize returns by allocating among different asset classes given various levels of risk tolerance. The allocations of the Portfolio Optimization Funds may not effectively decrease risk or increase returns for investors, and the selection and weighting of allocations to asset classes and/or PF Underlying Funds, Pacific Funds Core Income, Pacific Funds Floating Rate Income, and Pacific Funds High Income may cause them to underperform other mutual funds with a similar investment objective. Although the Portfolio Optimization Funds seek to provide diversification across major asset classes, they may invest a significant portion of their assets in any one or several PF Underlying Funds, Pacific Funds Core Income, Pacific Funds Floating Rate Income, and Pacific Funds High Income.
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.
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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. Many debt securities give the issuer the right to redeem (“call”) the security prior to maturity. If an issuer calls a security in which a Fund has invested, the Fund may not recoup the full amount of its initial investment in the security and may be forced to reinvest prepayment proceeds at a time when yields on securities available in the market are lower than the yield on the called security. There is a risk that an issuer or guarantor of a debt investment might be unable or unwilling to meet its financial obligations and might not make interest or principal payments on an instrument when those payments are due (“default”). Defaults may potentially reduce a Fund’s income or ability to recover amounts due and may reduce the value of the debt investment, sometimes dramatically. High yield/high risk or “junk” securities may be more volatile than higher rated securities. High yield/high risk securities (including loans) are typically issued by companies that are highly leveraged, less creditworthy, or financially distressed and are considered to be mostly speculative in nature (high risk), subject to greater liquidity risk, and subject to a greater risk of default than higher rated securities, especially during periods of economic uncertainty or during economic downturns. Debt investments, including bonds, fixed rate loans, and short-term instruments may be affected by changes in interest rates. Debt investments with longer durations tend to be more sensitive to changes in interest rates, making them more volatile than debt investments with shorter durations or floating or adjustable interest rates. The value of debt investments may fall when interest rates rise. Certain debt investments may be difficult to value, purchase, and sell, particularly during adverse market conditions, because there is a limited market for the investment or there are restrictions on resale.
Given the historically low interest rate environment in the U.S., risks associated with rising interest rates are heightened. The negative impact on debt investments from potential interest rate increases could be swift and significant, including falling market values, increased redemptions and reduced liquidity. Substantial redemptions from bond and other income funds may worsen that impact. Additionally, regulations applicable to and changing business practices of broker-dealers that make markets in debt investments may result in those broker-dealers restricting their market making activities for certain debt investments, which may reduce the liquidity and increase the volatility of such debt investments.
Certain asset-backed instruments, such as collateralized debt obligations, collateralized mortgage obligations, and other mortgage-related securities, structured investment vehicles, and other debt investments may have exposure to subprime loans or subprime mortgages, which are loans to persons with lower credit ratings. These instruments may present credit risk that is not transparent and that is greater than indicated by their ratings. The value of these instruments may be more acutely affected by downturns in the credit markets or the real estate market than certain other investments, and it may be difficult to value these instruments because of a thin secondary market.
Foreign and Emerging Markets Investments
Exposure to foreign markets can involve additional risks relating to market, economic, political, regulatory, geopolitical, or other conditions.
These factors can make foreign investments more volatile and less liquid than U.S. investments. In addition, foreign markets can react differently to these conditions than the U.S. market. Markets and economies throughout the world are becoming increasingly interconnected, and conditions or events in one market, country or region may adversely impact investments or issuers in another market, country or region. Investments in or exposure to investments in emerging market countries may be riskier than investments in or exposure to investments in U.S. and certain developed markets. Risk may be more enhanced for investments in or exposure to investments in frontier market countries.
The governments of emerging market countries, some with histories of instability and upheaval, may act in an adverse or hostile manner toward private enterprise or foreign investment. Specific actions and effects have included limiting the ability to conduct due diligence on issuers located in emerging market countries; a lack of access by the Public Company Accounting Oversight Board (“PCAOB”) to inspect audit work papers for PCAOB-registered accounting firms located in certain emerging market countries (including China); restricting the ability of U.S. authorities (such as the SEC) to bring and enforce actions against companies and persons located in emerging market countries; and the difficulty or inability of shareholders to seek legal remedies (such as class action lawsuits) against issuers in emerging market countries.
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”, whose transition formally began on January 31, 2020 and was finalized on December 31, 2020. Following the transition period, there is likely to be considerable uncertainty as to the United Kingdom’s post-transition framework, and in particular as to the arrangements which will apply to the United Kingdom’s relationships with the EU and with other countries. There are considerable uncertainties about the repercussions resulting from Brexit, including the impact on trade agreements, regulations, and treaties. Brexit may also increase the likelihood that other EU members may decide to leave or be expulsed from 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 and other socio-political or geo-political issues are not known but could 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, frontier 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
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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, LIBOR, Secured Overnight Financing Rate, 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.
A significant portion of the floating rate loans held by a Fund may be “covenant lite” loans that contain fewer or less restrictive constraints on the borrower or other borrower-friendly characteristics and offer less protections for investors than covenant loans. As compared to a loan instrument that contains numerous covenants that allow lenders the option to force the borrowers to negotiate terms if risks became elevated, the majority of new floating rate loans that are issued are “covenant lite” loans which tend to have fewer or no financial maintenance covenants and restrictions. A covenant lite loan typically contains fewer clauses which allow an investor to proactively enforce financial covenants or prevent undesired actions by the borrower/issuer, including the ability to make an acquisition, pay dividends or issue additional debt if they have met certain loan terms. Covenant lite loans also generally provide fewer investor protections if certain criteria are breached, such as permitting an investor to declare a default (and therefore receive collateral), or to force restructurings and other capital changes on struggling borrowers/ issuers. A Fund may experience losses or delays in enforcing its rights on its holdings of covenant lite loans.
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, 2021, no participation interest in Senior Loans was held by any of the Funds.
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 could 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
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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, including To Be Announced (“TBA”) securities. 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 Risk
Certain Funds may purchase or sell securities on a delayed-delivery basis, including TBA securities. Payment and delivery may take place after the customary settlement period for that security. The price or yield of the underlying securities is fixed at the time the transaction is negotiated. When delayed-delivery purchases are outstanding, a Fund will set aside, and maintain until the settlement date in a segregated account, liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed-delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its NAV. A Fund may dispose of or renegotiate a delayed-delivery transaction after it is entered into, and may sell delayed-delivery securities before they are delivered, which may result in a capital gain or loss. When a Fund has sold a security on a delayed- delivery basis, the Fund does not participate in future gains and losses with respect to the security.
Repurchase Agreements
Certain Funds may enter into repurchase agreements with institutions that the 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.
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Securities sold under reverse repurchase agreements are recorded as a liability. Interest payments made are recorded as a component of interest expense. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A reverse repurchase agreement involves the risk that the market value of the security sold by a Fund may decline below the repurchase price of the security. A Fund will segregate assets determined to be liquid by the manager or otherwise cover its obligations under reverse repurchase agreements.
Sale-Buybacks Financing Transactions – Certain Funds may enter into transactions referred to as sale-buybacks. A sale-buyback transaction consists of a sale of a security by a Fund to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed-upon price and date. Such transactions are recorded as secured borrowings. A Fund is not entitled to receive principal and interest payments, if any, made on the security sold to the counterparty during the term of the agreement. The agreed- upon proceeds for securities to be repurchased by a Fund are recorded as a liability. A Fund will recognize net income represented by the price differential between the price received for the transferred security and the agreed-upon repurchase price. This is commonly referred to as the price drop. A price drop consists of (i) the foregone interest and inflationary income adjustments, if any, a Fund would have otherwise received had the security not been sold and (ii) the negotiated financing terms between a Fund and counterparty. Foregone interest and inflationary income adjustments, if any, are recorded as components of interest income. Interest payments based upon negotiated financing terms made by the Fund to counterparties are recorded as a component of interest expense. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to a Fund. A Fund will segregate assets determined to be liquid or otherwise cover its obligations under sale-buyback transactions.
Short Sales – Certain Funds may enter into short sales. A short sale is a transaction in which a Fund sells securities it does not own. A Fund’s use of short sales involves the risk that the price of the security in the open market may be higher when purchased to close out the Fund’s short position, resulting in a loss to the Fund. Such a loss is theoretically unlimited because there is no limit on the potential increase in the price of a security or guarantee as to the price at which the manager would be able to purchase the security in the open market.
When a Fund sells securities short, it must borrow those securities to make delivery to the buyer. The Fund incurs an expense for such borrowing. The Fund may be required to pledge a portion of its assets to the broker as collateral for the borrowed securities. The Fund may not be able to purchase a security that it needs to deliver to close out a short position at an acceptable price. This may result in losses and/or require the Fund to sell long positions before the manager had intended. A Fund may not be able to successfully implement its short sale strategy, which may limit its ability to achieve its investment goal, due to limited availability of desired or eligible securities, the cost of borrowing securities, regulatory changes limiting or barring short sales, or for other reasons. Securities sold in short sale transactions and the interest and dividends payable on such securities, if any, are recorded as a liability.
The use of proceeds received from selling short to purchase additional securities (long positions) results in leverage, which may increase a Fund’s exposure to long positions. Leverage could magnify gains and losses and, therefore, increase a Fund’s volatility.
Segregation and Collateral Risk
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
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affected by the value of the U.S. dollar. With respect to securities denominated in foreign currencies, in general, as the value of the U.S. dollar rises, the U.S. dollar price of a foreign security will fall. As the value of the U.S. dollar falls, the U.S. dollar value of the foreign security will rise. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons. Foreign investments may be riskier than U.S. investments for many reasons, including changes in currency exchange rates, unstable political and economic conditions, a lack of adequate and timely company information, differences in the way securities markets operate, relatively lower market liquidity, less stringent financial reporting and accounting guidance and controls, less secure foreign banks or securities depositories than those in the U.S., foreign taxation issues, and foreign controls on investments. As a result, a Fund’s investments in foreign currency-denominated securities and other foreign investments may reduce the returns of the Fund. To manage these risks, certain Funds may invest in derivative instruments tied to foreign investments and/or currencies.
Price Volatility Risk – Derivatives tied to equity and debt securities are exposed to potential price volatility. Debt securities are affected by many factors, including prevailing interest rates, market conditions, and market liquidity. Volatility of below investment grade debt securities (including loans) may be relatively greater than for investment grade debt securities. Equity securities tend to go up or down in value, sometimes rapidly and unpredictably. The prices of equity securities change in response to many factors, including a company’s historical and prospective earnings, the value of its assets, general economic conditions, interest rates, investor perceptions, and market liquidity. Due to the complexities of markets, events in one market or sector may adversely impact other markets or sectors. To manage these risks, certain Funds may invest in various derivative instruments. Derivative instruments may be used to manage a Fund’s exposure to price volatility risk but may also be subject to greater price volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs, and international economic, political, and regulatory developments.
Credit and Counterparty Risk – Credit risk is the risk that a debt security’s issuer (or borrower or counterparty) will be unable or unwilling to meet its financial obligations (e.g., may not be able to make principal and/or interest payments when they are due or otherwise default on other financial terms) and/or may go bankrupt. This is also sometimes described as counterparty risk. A Fund may lose money if the issuer or guarantor of debt security, or counterparty of a derivative contract, repurchase or reverse repurchase agreement, or a loan of Fund securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. A Fund may attempt to minimize concentrations of credit risk by undertaking transactions with a large number of borrowers or counterparties on recognized and reputable exchanges. A Fund’s investments in debt investments may range in quality from those rated in the lowest category in which it is permitted to invest to those rated in the highest category by a rating agency, or if unrated, determined by the manager to be of comparable quality.
Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which a Fund has unsettled or open transactions will default. Financial assets of counterparties, which potentially expose a Fund to counterparty risk, consist mainly of cash due from counterparties and investments. Certain managers may attempt to minimize credit risks to the Funds by performing extensive reviews of each counterparty, entering into transactions with counterparties that the manager believes to be creditworthy at the time of the transaction and requiring the posting of collateral in applicable transactions. To manage these risks, certain Funds may invest in derivative instruments tied to a security issuers’ financial strength.
B. DERIVATIVE INVESTMENTS
In addition to managing the market risks described above, certain Funds, if permitted by their investment objectives, may also invest in derivatives for purposes of hedging, duration management, to gain exposure to specific investment opportunities, as a substitute for securities, to enhance returns, or to otherwise help achieve a Fund’s investment goal. Each derivative instrument and the reasons a Fund invested in derivatives during the reporting period are discussed in further detail below. The Portfolio Optimization Funds are exposed to the same derivative risks as the applicable Funds in which a Portfolio Optimization Fund invests (PF Underlying Funds, Pacific Funds Core Income, Pacific Funds Floating Rate Income, and Pacific Funds High Income) in direct proportion to the allocation of assets among those Funds.
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 following reasons: the PF Inflation Managed and PF Managed Bond Funds 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 Multi-Asset Fund entered into futures contracts to gain or reduce exposure to various markets, for purposes of hedging, and as 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 reference 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 reference asset at a specific price on or before a specified future date.
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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 following reasons: the PF Inflation Managed Fund purchased and wrote options on futures, currencies, bond indices, and swaps as a means of capitalizing on anticipated changes in market volatility, to hedge downside risk, and to generate income. The PF Managed Bond Fund purchased and wrote options and swaptions on futures, bond indices, currencies, and swaps and also purchased options on TBAs as a means of capitalizing on anticipated changes in market volatility, to hedge downside risk, and to generate income. The PF Managed Bond Fund used inflation floors, and the PF Inflation Managed Fund used inflation floors and caps, to manage inflation exposure.
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 following reasons: the PF Inflation Managed and PF Managed Bond Funds purchased and sold forward contracts to hedge currency exposure. The PF Emerging Markets Debt Fund entered into Forward Contracts to gain exposure to various markets, for purposes of hedging, and as part of the Fund’s investment strategy.
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
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NOTES TO FINANCIAL STATEMENTS (Continued)
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 following reasons: 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, and as a substitute for cash bond exposure. 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.
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 the Fund because, in addition to the 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
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NOTES TO FINANCIAL STATEMENTS (Continued)
the Notes to Schedules of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on asset- backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/ performance risk.
A Fund may use pair trades of credit default swaps. Pair trades attempt to match a long position with a short position of two securities in the same market sector for hedging purposes. Pair trades of credit default swaps attempt to gain exposure to credit risk while hedging or offsetting the effects of overall market movements. For example, a Fund may purchase protection through a credit default swap referenced to the debt of an issuer, and simultaneously selling protection through a credit default swap referenced to the debt of a different issuer with the intent to realize gains from the pricing differences of the two issuers who are expected to have similar market risks.
A Fund may use spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same issuer but with different maturities. Spread curves attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads.
A Fund’s maximum risk of loss from counterparty credit risk related to credit default swaps, either as the buyer or seller of protection, is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between a Fund and the counterparty is in place and to the extent a Fund obtains collateral to cover the Fund’s exposure to the counterparty.
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 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, 2021 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 following reasons: the PF Inflation Managed Fund purchased and sold credit protection through credit default swaps to manage credit exposure to individual issuers, broad credit risk, and to benefit from price differences between the credit default swap and cash bonds markets. The PF Managed Bond Fund purchased and sold credit protection through credit default swaps to manage credit exposure, allow portfolio managers to enter or exit credit positions in periods of low liquidity, or to gain exposure that may not be available in cash markets. The PF Short Duration Bond Fund held index credit default swaps to add exposure to corporate credit risk.
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 following reasons: the PF Multi-Asset Fund entered into total return swaps to gain or reduce exposure to various markets, for purposes of hedging, and as part of the Fund’s investment strategy.
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. An exchange traded investment’s value reflects the cumulative value. Only the current day’s variation margin is reported on the 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 | Outstanding purchased options, at value | Outstanding options written, at value | ||
| Equity contracts | Receivable: Variation margin on futures contracts | Payable: Variation margin on futures contracts | ||
| Interest rate contracts | Receivable: Variation margin on swap agreements | Payable: Variation margin on swap agreements | ||
| Swap premiums paid | Swap premiums received | |||
| Swap agreements appreciation | Swap agreements depreciation | |||
| Foreign currency contracts | Outstanding purchased options, at value | Outstanding options written, at value | ||
| Receivable: Variation margin on futures contracts | Payable: Variation margin on futures contracts | |||
| Receivable: Variation margin on swap agreements | Payable: Variation margin on swap agreements | |||
| Swap premiums paid | Swap premiums received | |||
| Swap agreements appreciation | Swap agreements depreciation | |||
| Forward foreign currency contracts appreciation | Forward foreign currency contracts depreciation | |||
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NOTES TO FINANCIAL STATEMENTS (Continued)
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, 2021:
| Asset Derivative Investments Value | ||||||||||||||||||||
| Fund | Total Value at March 31, 2021 |
Credit Contracts |
Equity Contracts |
Foreign Currency Contracts |
Interest Rate Contracts |
|||||||||||||||
| PF Inflation Managed | $410,792 | $— | $— | $126,616 | $284,176 | |||||||||||||||
| PF Managed Bond | 5,010,620 | 190,305 | — | 1,326,005 | 3,494,310 | |||||||||||||||
| PF Short Duration Bond | 125,472 | — | — | — | 125,472 | |||||||||||||||
| PF Emerging Markets Debt | 131,081 | — | — | 130,513 | 568 | |||||||||||||||
| PF Multi-Asset | 151,320,202 | — | 151,320,202 | — | — | |||||||||||||||
| Liability Derivative Investments Value | ||||||||||||||||||||
| Fund | Total Value at March 31, 2021 |
Credit Contracts |
Equity Contracts |
Foreign Currency Contracts |
Interest Rate Contracts |
|||||||||||||||
| PF Inflation Managed | ($261,082 | ) | ($423 | ) | $— | ($18,865 | ) | ($241,794 | ) | |||||||||||
| PF Managed Bond | (4,594,238 | ) | (42,939 | ) | — | (771,210 | ) | (3,780,089 | ) | |||||||||||
| PF Short Duration Bond | (19,065 | ) | — | — | — | (19,065 | ) | |||||||||||||
| PF Emerging Markets Debt | (634,071 | ) | — | — | (596,789 | ) | (37,282 | ) | ||||||||||||
| PF Multi-Asset | (3,474,540 | ) | — | (3,474,540 | ) | — | — | |||||||||||||
The following is a summary of the location of realized gains and losses and changes in net unrealized appreciation and depreciation on 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 futures contract transactions | |
| Equity contracts | Net realized gain (loss) on purchased option 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 futures contracts | ||
| Change in net unrealized appreciation (depreciation) on purchased options | ||
| 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 forward foreign currency contract transactions | |
| Net realized gain (loss) on futures contract transactions | ||
| Net realized gain (loss) on purchased option transactions | ||
| Net realized gain (loss) on swap transactions | ||
| Net realized gain (loss) on written option transactions | ||
| Change in net unrealized appreciation (depreciation) on forward foreign currency contracts | ||
| Change in net unrealized appreciation (depreciation) on futures contracts | ||
| Change in net unrealized appreciation (depreciation) on purchased options | ||
| Change in net unrealized appreciation (depreciation) on swaps | ||
| Change in net unrealized appreciation (depreciation) on written options |
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 period ended March 31, 2021:
| 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 | ($515,544 | ) | $14,061 | $— | ($390,159 | ) | ($139,446 | ) | ||||||||||||
| PF Managed Bond | (4,585,504 | ) | 769,457 | — | (2,312,810 | ) | (3,042,151 | ) | ||||||||||||
| PF Short Duration Bond | 497,447 | 11,906 | — | — | 485,541 | |||||||||||||||
| PF Emerging Markets Debt | 1,252,453 | — | — | 1,188,603 | 63,850 | |||||||||||||||
| PF Multi-Asset | 229,393,593 | — | 229,393,593 | — | — | |||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) on Derivative Investments Recognized in the Statements of Operations |
||||||||||||||||||||
| Fund | Total | Credit Contracts |
Equity Contracts |
Foreign Currency Contracts |
Interest Rate Contracts |
|||||||||||||||
| PF Inflation Managed | $148,757 | ($64,270 | ) | $— | $64,624 | $148,403 | ||||||||||||||
| PF Managed Bond | 1,577,085 | 498,085 | — | 203,918 | 875,082 | |||||||||||||||
| PF Short Duration Bond | (296,031 | ) | (3,540 | ) | — | — | (292,491 | ) | ||||||||||||
| PF Emerging Markets Debt | 201,292 | — | — | 260,216 | (58,924 | ) | ||||||||||||||
| PF Multi-Asset | 254,097,981 | — | 254,097,981 | — | — | |||||||||||||||
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NOTES TO FINANCIAL STATEMENTS (Continued)
For financial reporting purposes, the Trust does not offset fair value amounts recognized for derivative instruments and fair value amounts recognized for the right to reclaim cash collateral (receivables) or the obligation to return cash collateral (payables) arising from derivative instruments recognized at fair value executed with the same counterparty under a master netting arrangement.
The following is a summary of the average number of positions and values of derivative investments by derivative type for the fiscal year ended March 31, 2021:
| 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 |
10 | ($23,736 | ) | 18 | $9,401 | 20 | ($5,138 | ) | 35 | $52,579 | ||||||||||||||||||||||||||||||||||
| PF Managed Bond |
28 | (149,342 | ) | 49 | (50,273 | ) | 56 | (105,311 | ) | 57 | (931,216 | ) | ||||||||||||||||||||||||||||||||
| PF Short Duration Bond |
4 | 97,974 | — | — | — | — | 1 | 708 | ||||||||||||||||||||||||||||||||||||
| PF Emerging Markets Debt |
— | — | 101 | (101,529 | ) | — | — | 5 | 14,550 | |||||||||||||||||||||||||||||||||||
| PF Multi-Asset |
2 | (24,205 | ) | — | — | — | — | 23 | 85,135,331 | |||||||||||||||||||||||||||||||||||
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 fiscal year ended March 31, 2021.
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 (“netting arrangements”). 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. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in the event of a bankruptcy or insolvency. 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. If permitted under the Master Agreement, certain funds may rehypothecate cash collateral received from a counterparty. The value of all derivative transactions outstanding under a Master Agreement is calculated daily to determine the amount of collateral to be received or pledged by the counterparty. Posting of collateral for OTC derivative transactions are covered under tri-party collateral agreements between the Trust, the Trust’s custodian, and each counterparty. Collateral for centrally cleared derivatives transactions are posted with the applicable derivatives clearing organization.
The following is a summary of financial and derivative instruments that are subject to enforceable master agreements with netting arrangements (or similar arrangements) and collateral received and pledged in connection with the master agreements with netting arrangements (or similar arrangements) as of March 31, 2021:
| |
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 |
|||||||||||||||||||||||||||||||||||||||||||||||||
| Forward foreign currency contracts |
$126,616 | ($18,865 | ) | $— | $107,751 | ($18,865 | ) | $18,865 | $— | $— | |||||||||||||||||||||||||||||||||||||||
| Option contracts |
43,931 | (41,152 | ) | — | 2,779 | (50,369 | ) | 41,152 | — | (9,217 | ) | ||||||||||||||||||||||||||||||||||||||
| Sale-buyback financing transactions |
— | — | — | — | (6,639,894 | ) | 6,624,832 | — | (15,062 | ) | |||||||||||||||||||||||||||||||||||||||
| PF Managed Bond |
|||||||||||||||||||||||||||||||||||||||||||||||||
| Forward foreign currency contracts |
1,259,066 | (512,567 | ) | (163,645 | ) | 582,854 | (621,644 | ) | 512,567 | — | (109,077 | ) | |||||||||||||||||||||||||||||||||||||
| Option contracts |
4,405 | (4,405 | ) | — | — | (44,666 | ) | 4,405 | — | (40,261 | ) | ||||||||||||||||||||||||||||||||||||||
| Swap agreements |
589 | (390 | ) | — | 199 | (18,152 | ) | 390 | — | (17,762 | ) | ||||||||||||||||||||||||||||||||||||||
| PF Emerging Markets Debt |
|||||||||||||||||||||||||||||||||||||||||||||||||
| Forward foreign currency contracts |
130,513 | (108,599 | ) | — | 21,914 | (596,789 | ) | 108,599 | 151,046 | (337,144 | ) | ||||||||||||||||||||||||||||||||||||||
| PF Multi-Asset |
|||||||||||||||||||||||||||||||||||||||||||||||||
| Swap agreements |
151,320,202 | (3,474,540 | ) | (146,949,527 | ) | 896,135 | (3,474,540 | ) | 3,474,540 | — | — | ||||||||||||||||||||||||||||||||||||||
D-17
Table of Contents
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
During the reporting period, certain Funds may have had investments in repurchase agreements. The gross value and related collateral received for these investments, if any, 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, if any, held by each applicable Fund, exceeded the value of the repurchase agreements as of March 31, 2021.
6. INVESTMENT ADVISORY, ADMINISTRATION AND SHAREHOLDER 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 receives investment advisory fees from each Fund which are based on annual percentages of the average daily net assets of each Fund. Pursuant to Sub-Advisory Agreements, the Trust and PLFA engage various investment management firms under PLFA’s supervision to sub-advise certain Funds presented in these financial statements. PLFA manages the Portfolio Optimization Funds and a portion of the PF Multi-Asset Fund directly. 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, 2021, the investment advisory fees that PLFA receives from each Fund based upon an annual percentage of the average daily net assets of each Fund, the advisory fee waiver and the sub-adviser of each Fund (if applicable), are as follows:
| Fund |
Advisory Fee Rate |
Advisory Fee Waiver through July 31, 2021 |
Sub-Adviser(s) | |||
| Pacific Funds Portfolio Optimization Conservative Pacific Funds Portfolio Optimization Moderate-Conservative Pacific Funds Portfolio Optimization Moderate Pacific Funds Portfolio Optimization Growth Pacific Funds Portfolio Optimization Aggressive-Growth |
0.20% | 0.025% for assets above $2 billion to $3 billion 0.050% on next $2 billion 0.075% on next $2.5 billion 0.100% on excess |
||||
| Pacific Funds Ultra Short Income | 0.25% | Pacific Asset Management LLC | ||||
| Pacific Funds Short Duration Income | 0.40% | 0.025% above $1 billion to $2 billion 0.050% on next $1 billion 0.075% on excess |
Pacific Asset Management LLC | |||
| Pacific Funds Core Income | 0.50% | 0.025% above $1 billion to $2 billion 0.050% on next $1 billion 0.075% on excess |
Pacific Asset Management LLC | |||
| Pacific Funds Strategic Income Pacific Funds High Income |
0.60% | 0.025% above $1 billion to $2 billion 0.050% on next $1 billion 0.075% on excess |
Pacific Asset Management LLC | |||
| Pacific Funds Floating Rate Income | 0.65% | 0.025% above $1 billion to $2 billion 0.050% on next $1 billion 0.075% on excess |
Pacific Asset Management LLC | |||
| Pacific Funds ESG Core Bond | 0.38% | Pacific Asset Management LLC | ||||
| Pacific Funds Small/Mid-Cap Pacific Funds Small-Cap Pacific Funds Small-Cap Value |
0.75% | Rothschild & Co Asset Management US Inc. | ||||
| PF Inflation Managed Fund | 0.40% | Pacific Investment Management Company LLC | ||||
| PF Managed Bond Fund | 0.40% | 0.0075% (effective August 1, 2020) | J.P. Morgan Investment Management Inc., Pacific Investment Management Company LLC, and Western Asset Management Company, LLC (co-sub-advisers) | |||
| PF Short Duration Bond Fund | 0.40% | T. Rowe Price Associates, Inc. | ||||
| PF Emerging Markets Debt Fund | 0.785% | 0.02% | Ashmore Investment Management Limited | |||
| PF Growth Fund | 0.55% | MFS Investment Management | ||||
| PF Large-Cap Value Fund | 0.65% | ClearBridge Investments, LLC | ||||
| PF Small-Cap Growth Fund | 0.60% | MFS Investment Management (Lord, Abbett & Co. LLC prior to May 1, 2020) | ||||
| PF Small-Cap Value Fund | 0.75% | AllianceBernstein L.P. | ||||
| PF Emerging Markets Fund | 0.80% | Invesco Advisers, Inc. | ||||
| PF International Large-Cap Fund | 0.85% | 0.03% (effective January 1, 2021 through April 30, 2022) | MFS Investment Management | |||
| PF International Small-Cap Fund | 0.85% | QS Investors, LLC | ||||
| PF International Value Fund | 0.65% | Wellington Management Company LLP | ||||
| PF Multi-Asset Fund | 0.35% | Pacific Asset Management LLC (collateral portion only) | ||||
| PF Real Estate Fund | 0.90% | 0.15% | Principal Real Estate Investors, LLC |
Pursuant to the PF Administration Agreement with the Trust, the Administrator and PLFA perform, procure and/or oversee administrative services for each of the Funds. These services include, but are not limited to, procuring and overseeing transfer agency, dividend disbursement and sub-transfer agency services for the Trust, and any and all legal, compliance, and accounting support provided by Pacific Life and PLFA for the operations of the Trust and to permit the Trust to conduct business as described in its registration statement; and other services necessary for the administration of the Funds’ affairs.
Pacific Life receives an administration fee from each Fund based on an annual rate of 0.15% of average daily net assets of each Fund.
D-18
Table of Contents
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
Pursuant to the 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 for Class C shares pursuant to a distribution and service plan as adopted in accordance with Rule 12b-1 (“12b-1”) under the 1940 Act (the “Class C 12b-1 Plans”). The Distributor also receives service fees pursuant to a non-12b-1 service plan for Class A shares (the “Class A Service Plan”). The Distributor receives distribution and/or service fees from each applicable Fund and share class, which are based on the following annual percentages of average daily net assets:
| Plan | Distribution Fee Rate |
Service Fee Rate | ||
| Class C 12b-1 Plan | 0.75% | 0.25% | ||
| Class A Service Plan | 0.25% |
There are no distribution and/or service fees for Class I, Class P, Advisor Class and Class R6 shares. The distribution and service fees are accrued daily. For the fiscal year ended March 31, 2021, the Distributor, acting as underwriter, received net commissions (front-end sales charges) of $4,938,198 from the sale of Class A shares and received $68,537 in CDSC from redemptions of Class A and C shares.
7. TRANSACTIONS WITH AFFILIATES
A. ADVISORY FEES, ADMINISTRATION FEES, DISTRIBUTION AND/OR SERVICE FEES
The Investment Adviser, the Distributor, and Pacific Life are related parties. For the fiscal year ended March 31, 2021, the advisory fees earned by the Investment Adviser (including any advisory fee waiver), the administration fees earned by Pacific Life, and the distribution and/or service fees earned by the Distributor are presented in the Statements of Operations. The amounts of each of these fees that remained payable as of March 31, 2021 are presented in the Statements of Assets and Liabilities.
B. EXPENSE LIMITATION AGREEMENTS
To help limit the Trust’s expenses, PLFA has contractually agreed to reimburse each Fund for certain operating expenses that exceed an annual rate based on a percentage of a Fund’s average daily net assets (“expense cap”). These operating expenses include, but are not limited to: the administration fee and expenses; organizational expenses; custody expenses; expenses for external audit, tax, legal and accounting and sub-administration services; the preparation, printing, filing and mailing costs of prospectuses, shareholder reports, and other regulatory documents to existing shareholders, as applicable; and independent trustees’ fees and expenses.
These operating expenses do not include: 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 expenses for extraordinary matters such as litigation expenses, liquidation expenses, reorganization expenses, and other expenses not incurred in the ordinary course of a Fund’s business. The expense cap for the Class P shares of the PF Underlying Funds (except the PF Multi-Asset and PF International Small-Cap Funds) is 0.15% through July 31, 2021 and 0.30% thereafter through July 31, 2023. The expense cap for the PF Multi-Asset Fund is 0.16% through July 31, 2021. The expense cap for the PF International Small-Cap Fund is 0.25% through July 31, 2021. The expense caps for each Portfolio Optimization Fund, PF Fixed Income Fund and PF US Equity Fund per share class are as follows:
| Fund | Share Class | Expense Caps | ||
| Portfolio Optimization Funds | A, C, and Advisor | 0.15% through 7/31/2021 and 0.30% thereafter through 7/31/2023 | ||
| Pacific Funds Ultra Short Income | I and Advisor | 0.07% through 7/31/2022 | ||
| Pacific Funds Short Duration Income | A, C, I, and Advisor | 0.10% through 7/31/2021 | ||
| Pacific Funds Core Income | A and C | 0.10% through 7/31/2021 | ||
| I, Advisor, and P | 0.05% through 7/31/2021 | |||
| Pacific Funds Strategic Income | A and Advisor | 0.10% through 7/31/2021 | ||
| C and I | 0.05% through 7/31/2021 | |||
| Pacific Funds Floating Rate Income | A and Advisor | 0.10% through 7/31/2021 | ||
| C, I, and P | 0.05% through 7/31/2021 | |||
| Pacific Funds High Income | A, I, Advisor, and P | 0.10% through 7/31/2021 | ||
| C | 0.05% through 7/31/2021 | |||
| Pacific Funds ESG Core Bond | I and Advisor | 0.10% through 7/31/2022 | ||
| Pacific Funds Small/Mid-Cap |
A, C and Advisor | 0.20% through 7/31/2021 | ||
| Pacific Funds Small-Cap
Pacific Funds Small-Cap Value |
R6 | 0.10% through 7/31/2021 (0.15% prior to 8/1/2020) |
There is no guarantee that PLFA will continue to cap 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 in future periods, not to exceed three years from the date on which the reimbursement took place, provided that the recoupment, along with the other expenses subject to the expense cap, 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 the applicable Fund, but not above the expense cap. The amounts of adviser reimbursement to each applicable Fund for the fiscal year ended March 31, 2021 are presented in the Statements of Operations. Any amounts that remained due from the Investment Adviser as of March 31, 2021 are presented in the Statements of Assets and Liabilities.
D-19
Table of Contents
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
The cumulative expense reimbursement amounts, if any, as of March 31, 2021 that are subject to recoupment by PLFA from the Funds are as follows:
| Expiration Date | ||||||||||||
| Fund | 3/31/2022 | 3/31/2023 | 3/31/2024 | |||||||||
| Pacific Funds Portfolio Optimization Conservative |
$230,770 | $197,838 | $173,374 | |||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
305,325 | 249,902 | 209,189 | |||||||||
| Pacific Funds Portfolio Optimization Moderate |
774,354 | 612,516 | 416,943 | |||||||||
| Pacific Funds Portfolio Optimization Growth |
602,203 | 493,143 | 344,023 | |||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
253,140 | 226,029 | 190,351 | |||||||||
| Pacific Funds Ultra Short Income |
115,776 | 112,238 | ||||||||||
| Pacific Funds Short Duration Income |
1,385,844 | 2,174,161 | 1,444,108 | |||||||||
| Pacific Funds Core Income |
1,843,904 | 2,204,086 | 1,935,705 | |||||||||
| Pacific Funds Strategic Income |
1,612,421 | 1,718,677 | 1,086,189 | |||||||||
| Pacific Funds Floating Rate Income |
4,391,138 | 3,637,709 | 2,383,395 | |||||||||
| Pacific Funds High Income |
169,374 | 253,239 | 286,291 | |||||||||
| Pacific Funds ESG Core Bond |
36,149 | |||||||||||
| Pacific Funds Small/Mid-Cap |
493,273 | 516,716 | 139,311 | |||||||||
| Pacific Funds Small-Cap |
94,696 | 91,474 | 96,729 | |||||||||
| Pacific Funds Small-Cap Value |
90,131 | 89,955 | 95,048 | |||||||||
| PF Inflation Managed |
58,726 | 61,646 | 57,500 | |||||||||
| PF Managed Bond |
443,715 | 472,703 | 547,131 | |||||||||
| PF Short Duration Bond |
119,957 | 156,485 | 151,919 | |||||||||
| PF Emerging Markets Debt |
124,856 | 133,378 | 168,623 | |||||||||
| PF Growth |
112,913 | 136,249 | 148,484 | |||||||||
| PF Large-Cap Value |
118,375 | 125,113 | 132,370 | |||||||||
| PF Small-Cap Growth |
14,826 | 31,688 | 52,425 | |||||||||
| PF Small-Cap Value |
53,658 | 60,545 | 64,489 | |||||||||
| PF Emerging Markets |
310,434 | 309,200 | 261,447 | |||||||||
| PF International Large-Cap |
124,692 | 163,188 | 134,071 | |||||||||
| PF International Small-Cap |
60,110 | 79,456 | 78,680 | |||||||||
| PF International Value |
154,717 | 170,154 | 142,097 | |||||||||
| PF Multi-Asset |
609,033 | 588,849 | 666,818 | |||||||||
| PF Real Estate |
30,395 | 69,513 | 47,068 | |||||||||
|
|
|
|
|
|
|
|||||||
| Total |
$14,582,980 | $15,139,388 | $11,602,165 | |||||||||
|
|
|
|
|
|
|
|||||||
There was no recoupment of expense reimbursement by PLFA from any Funds for the fiscal year ended March 31, 2021.
C. INVESTMENTS IN AFFILIATED FUNDS
As of March 31, 2021, each of the Portfolio Optimization Funds (aggregate of all share classes) owned Class P shares in each of the applicable affiliated PF Underlying Funds, Pacific Funds Core Income, Pacific Funds Floating Rate Income and/or Pacific Funds High Income. A summary of holdings and transactions with affiliated mutual fund investments as of and for the fiscal year ended March 31, 2021 is as follows:
| Fund/Underlying Fund | Beginning Value as of |
Purchase Cost (1) |
Distributions Received and Reinvested (2) |
Sales Proceeds |
Net Realized |
Change in Appreciation |
As of March 31, 2021 | |||||||||||||||||||||||||
| Ending Value |
Shares Balance |
|||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Conservative |
|
|||||||||||||||||||||||||||||||
| Pacific Funds Core Income |
$5,870,120 | $3,175,427 | $150,103 | $1,374,196 | $63,817 | $250,685 | $8,135,956 | 724,484 | ||||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
2,168,559 | 2,551,023 | 55,236 | 2,391,297 | (239,637 | ) | 355,227 | 2,499,111 | 256,846 | |||||||||||||||||||||||
| Pacific Funds High Income |
22,844,778 | 8,511,337 | 1,303,131 | 10,045,793 | (673,235 | ) | 4,467,566 | 26,407,784 | 2,578,885 | |||||||||||||||||||||||
| PF Inflation Managed |
11,392,707 | 2,714,034 | 220,641 | 1,473,284 | 14,717 | 919,793 | 13,788,608 | 1,394,197 | ||||||||||||||||||||||||
| PF Managed Bond |
72,247,239 | 34,128,590 | 1,309,718 | 10,154,857 | 3,729,835 | (1,844,266 | ) | 99,416,259 | 9,112,398 | |||||||||||||||||||||||
| PF Short Duration Bond |
33,763,657 | 18,017,725 | 754,949 | 25,578,517 | 731,370 | 990,936 | 28,680,120 | 2,828,414 | ||||||||||||||||||||||||
| PF Emerging Markets Debt |
14,576,809 | 4,024,356 | 469,474 | 8,030,366 | (1,516,197 | ) | 2,795,086 | 12,319,162 | 1,493,232 | |||||||||||||||||||||||
| PF Growth |
2,371,306 | 254,975 | — | 2,342,037 | 902,468 | 85,200 | 1,271,912 | 41,647 | ||||||||||||||||||||||||
| PF Large-Cap Value |
4,476,046 | 1,026,516 | 65,687 | 1,905,925 | 697,052 | 1,193,953 | 5,553,329 | 451,123 | ||||||||||||||||||||||||
| PF Small-Cap Growth |
1,158,367 | 1,058,933 | 628 | 626,462 | 329,730 | 542,749 | 2,463,945 | 113,598 | ||||||||||||||||||||||||
| PF Small-Cap Value |
1,154,281 | 2,412,157 | 11,838 | 845,900 | (16,144 | ) | 2,140,585 | 4,856,817 | 448,460 | |||||||||||||||||||||||
| PF Emerging Markets |
4,289,848 | 857,122 | 4,204 | 1,221,940 | 150,327 | 2,056,487 | 6,136,048 | 412,369 | ||||||||||||||||||||||||
| PF International Small-Cap |
1,162,964 | 48,619 | 26,198 | 667,015 | 232,582 | 445,435 | 1,248,783 | 107,284 | ||||||||||||||||||||||||
| PF Multi-Asset |
35,670,422 | 1,586,100 | 529,734 | 19,731,236 | 3,273,324 | 15,801,831 | 37,130,175 | 2,871,630 | ||||||||||||||||||||||||
| PF Real Estate |
1,194,420 | 47,273 | 20,221 | 1,588,769 | 155,512 | 171,343 | — | — | ||||||||||||||||||||||||
| $214,341,523 | $80,414,187 | $4,921,762 | $87,977,594 | $7,835,521 | $30,372,610 | $249,908,009 | ||||||||||||||||||||||||||
D-20
Table of Contents
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| Fund/Underlying Fund | Beginning Value as of |
Purchase Cost (1) |
Distributions Received and Reinvested (2) |
Sales Proceeds |
Net Realized |
Change in Appreciation |
As of March 31, 2021 | |||||||||||||||||||||||||
| Ending Value |
Shares Balance |
|||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
|
|||||||||||||||||||||||||||||||
| Pacific Funds Core Income |
$6,747,736 | $2,386,783 | $173,599 | $808,279 | $68,925 | $341,982 | $8,910,746 | 793,477 | ||||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
1,430,744 | 1,688,713 | 36,903 | 1,555,073 | (152,377 | ) | 229,510 | 1,678,420 | 172,499 | |||||||||||||||||||||||
| Pacific Funds High Income |
25,790,324 | 5,542,389 | 1,558,792 | 12,269,107 | (169,656 | ) | 4,884,114 | 25,336,856 | 2,474,302 | |||||||||||||||||||||||
| PF Inflation Managed |
5,456,837 | 3,041,480 | 107,482 | 646,288 | 19,345 | 439,191 | 8,418,047 | 851,168 | ||||||||||||||||||||||||
| PF Managed Bond |
82,241,385 | 32,721,961 | 1,446,671 | 10,060,632 | 4,242,948 | (1,915,748 | ) | 108,676,585 | 9,961,190 | |||||||||||||||||||||||
| PF Short Duration Bond |
25,602,075 | 10,446,087 | 622,440 | 14,459,972 | 426,471 | 813,827 | 23,450,928 | 2,312,715 | ||||||||||||||||||||||||
| PF Emerging Markets Debt |
16,455,295 | 2,882,257 | 545,377 | 8,556,481 | (1,205,580 | ) | 3,119,105 | 13,239,973 | 1,604,845 | |||||||||||||||||||||||
| PF Growth |
9,963,335 | 167,298 | — | 4,884,650 | 3,668,835 | 995,488 | 9,910,306 | 324,502 | ||||||||||||||||||||||||
| PF Large-Cap Value |
19,155,992 | 310,254 | 268,749 | 10,051,094 | 2,460,561 | 5,321,502 | 17,465,964 | 1,418,844 | ||||||||||||||||||||||||
| PF Small-Cap Growth |
1,525,730 | 3,146,213 | 839 | 793,299 | 649,673 | 438,581 | 4,967,737 | 229,034 | ||||||||||||||||||||||||
| PF Small-Cap Value |
1,520,135 | 4,857,477 | 23,581 | 2,176,199 | 383,817 | 3,554,707 | 8,163,518 | 753,787 | ||||||||||||||||||||||||
| PF Emerging Markets |
11,298,209 | 224,596 | 11,206 | 4,277,178 | 756,770 | 5,182,364 | 13,195,967 | 886,826 | ||||||||||||||||||||||||
| PF International Large-Cap |
2,671,974 | 385,089 | 22,029 | 659,195 | 304,087 | 766,338 | 3,490,322 | 302,717 | ||||||||||||||||||||||||
| PF International Small-Cap |
1,531,666 | 1,461,318 | 35,021 | 573,816 | (36,417 | ) | 938,105 | 3,355,877 | 288,306 | |||||||||||||||||||||||
| PF International Value |
2,247,495 | 37,472 | 49,086 | 1,501,217 | (190,422 | ) | 1,168,597 | 1,811,011 | 224,970 | |||||||||||||||||||||||
| PF Multi-Asset |
69,933,180 | 1,162,519 | 1,054,203 | 28,140,503 | 4,877,681 | 33,196,094 | 82,083,174 | 6,348,273 | ||||||||||||||||||||||||
| PF Real Estate |
3,146,593 | 53,809 | 54,338 | 2,451,770 | 203,594 | 702,483 | 1,709,047 | 125,665 | ||||||||||||||||||||||||
| $286,718,705 | $70,515,715 | $6,010,316 | $103,864,753 | $16,308,255 | $60,176,240 | $335,864,478 | ||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate |
|
|||||||||||||||||||||||||||||||
| Pacific Funds Core Income |
$13,987,743 | $7,835,379 | $386,473 | $3,106,213 | $178,700 | $661,591 | $19,943,673 | 1,775,928 | ||||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
4,300,918 | 987,938 | 187,298 | 547,972 | (38,609 | ) | 491,076 | 5,380,649 | 552,996 | |||||||||||||||||||||||
| Pacific Funds High Income |
47,520,915 | 3,293,803 | 2,935,649 | 8,301,199 | (193,624 | ) | 8,898,125 | 54,153,669 | 5,288,444 | |||||||||||||||||||||||
| PF Inflation Managed |
4,113,245 | 6,791,080 | 83,114 | 556,606 | 23,016 | 341,503 | 10,795,352 | 1,091,542 | ||||||||||||||||||||||||
| PF Managed Bond |
170,479,927 | 100,757,970 | 3,528,219 | 34,772,586 | 10,049,652 | (6,096,652 | ) | 243,946,530 | 22,359,902 | |||||||||||||||||||||||
| PF Short Duration Bond |
48,760,064 | 13,352,883 | 1,079,234 | 33,123,444 | 879,456 | 1,273,481 | 32,221,674 | 3,177,680 | ||||||||||||||||||||||||
| PF Emerging Markets Debt |
33,076,367 | 7,592,912 | 714,186 | 25,289,339 | (279,320 | ) | 5,408,616 | 21,223,422 | 2,572,536 | |||||||||||||||||||||||
| PF Growth |
62,315,604 | 479,557 | — | 35,577,947 | 25,583,162 | 3,075,351 | 55,875,727 | 1,829,592 | ||||||||||||||||||||||||
| PF Large-Cap Value |
67,523,333 | 512,103 | 1,044,334 | 37,856,958 | 11,051,282 | 18,071,800 | 60,345,894 | 4,902,185 | ||||||||||||||||||||||||
| PF Small-Cap Growth |
4,599,050 | 14,856,889 | 5,071 | 2,646,829 | 2,266,799 | 2,153,953 | 21,234,933 | 979,020 | ||||||||||||||||||||||||
| PF Small-Cap Value |
9,164,716 | 20,966,470 | 97,754 | 11,311,306 | 1,896,389 | 15,826,504 | 36,640,527 | 3,383,243 | ||||||||||||||||||||||||
| PF Emerging Markets |
34,060,098 | 2,825,924 | 34,824 | 7,411,952 | 1,582,830 | 16,502,241 | 47,593,965 | 3,198,519 | ||||||||||||||||||||||||
| PF International Large-Cap |
12,081,879 | 94,969 | 81,100 | 4,445,819 | 1,046,822 | 3,396,749 | 12,255,700 | 1,062,940 | ||||||||||||||||||||||||
| PF International Small-Cap |
9,234,086 | 72,777 | 216,571 | 4,231,758 | (26,353 | ) | 5,493,637 | 10,758,960 | 924,309 | |||||||||||||||||||||||
| PF International Value |
9,935,840 | 1,454,892 | 206,974 | 9,510,972 | (967,893 | ) | 5,215,057 | 6,333,898 | 786,820 | |||||||||||||||||||||||
| PF Multi-Asset |
334,558,667 | 17,239,272 | 5,124,834 | 108,760,901 | 19,673,799 | 165,539,305 | 433,374,976 | 33,517,013 | ||||||||||||||||||||||||
| PF Real Estate |
14,227,870 | 247,230 | 169,054 | 12,501,035 | 2,170,053 | 1,166,150 | 5,479,322 | 402,891 | ||||||||||||||||||||||||
| $879,940,322 | $199,362,048 | $15,894,689 | $339,952,836 | $74,896,161 | $247,418,487 | $1,077,558,871 | ||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Growth |
|
|||||||||||||||||||||||||||||||
| Pacific Funds Core Income |
$5,009,609 | $4,488,850 | $150,430 | $1,130,002 | $69,427 | $222,317 | $8,810,631 | 784,562 | ||||||||||||||||||||||||
| Pacific Funds High Income |
22,338,375 | 14,087,473 | 1,671,580 | 7,473,475 | (13,896 | ) | 4,797,263 | 35,407,320 | 3,457,746 | |||||||||||||||||||||||
| PF Managed Bond |
60,023,008 | 55,613,899 | 1,427,536 | 12,567,593 | 3,999,438 | (2,867,808 | ) | 105,628,480 | 9,681,804 | |||||||||||||||||||||||
| PF Short Duration Bond |
12,005,569 | 6,091,193 | 382,987 | 5,760,902 | 59,420 | 388,853 | 13,167,120 | 1,298,533 | ||||||||||||||||||||||||
| PF Emerging Markets Debt |
21,378,257 | 2,039,987 | 564,713 | 14,538,735 | 40,613 | 3,524,176 | 13,009,011 | 1,576,850 | ||||||||||||||||||||||||
| PF Growth |
53,976,306 | 14,886,477 | — | 18,062,021 | 21,070,796 | 5,134,967 | 77,006,525 | 2,521,497 | ||||||||||||||||||||||||
| PF Large-Cap Value |
48,236,075 | 21,064,712 | 692,879 | 19,382,913 | 8,240,716 | 12,241,510 | 71,092,979 | 5,775,222 | ||||||||||||||||||||||||
| PF Small-Cap Growth |
6,793,941 | 12,945,743 | 4,032 | 3,033,024 | 2,587,868 | 2,394,663 | 21,693,223 | 1,000,149 | ||||||||||||||||||||||||
| PF Small-Cap Value |
10,154,356 | 20,784,852 | 114,879 | 8,138,852 | 1,077,459 | 18,786,501 | 42,779,195 | 3,950,064 | ||||||||||||||||||||||||
| PF Emerging Markets |
34,593,100 | 3,483,526 | 37,657 | 5,137,344 | 1,597,603 | 17,288,196 | 51,862,738 | 3,485,399 | ||||||||||||||||||||||||
| PF International Large-Cap |
18,179,153 | 4,404,030 | 106,761 | 6,680,403 | 1,480,467 | 4,720,224 | 22,210,232 | 1,926,299 | ||||||||||||||||||||||||
| PF International Small-Cap |
10,231,331 | 26,210 | 255,118 | 3,541,758 | (66,072 | ) | 6,284,947 | 13,189,776 | 1,133,142 | |||||||||||||||||||||||
| PF International Value |
15,011,342 | 4,478,099 | 454,568 | 5,906,513 | (1,142,924 | ) | 9,105,871 | 22,000,443 | 2,732,974 | |||||||||||||||||||||||
| PF Multi-Asset |
324,987,393 | 813,270 | 5,165,562 | 145,655,961 | 31,693,790 | 152,203,848 | 369,207,902 | 28,554,362 | ||||||||||||||||||||||||
| PF Real Estate |
17,516,654 | 832,192 | 263,865 | 9,898,244 | 185,453 | 4,534,925 | 13,434,845 | 987,856 | ||||||||||||||||||||||||
| $660,434,469 | $166,040,513 | $11,292,567 | $266,907,740 | $70,880,158 | $238,760,453 | $880,500,420 | ||||||||||||||||||||||||||
D-21
Table of Contents
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| Fund/Underlying Fund | Beginning Value as of |
Purchase Cost (1) |
Distributions Received and Reinvested (2) |
Sales Proceeds |
Net Realized |
Change in Appreciation |
As of March 31, 2021 | |||||||||||||||||||||||||
| Ending Value |
Shares Balance |
|||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
|
|||||||||||||||||||||||||||||||
| Pacific Funds Core Income |
$221,964 | $484,568 | $8,429 | $392,467 | $2,913 | $9,862 | $335,269 | 29,855 | ||||||||||||||||||||||||
| Pacific Funds High Income |
2,262,187 | 2,535,098 | 186,761 | 435,889 | (1,200 | ) | 505,570 | 5,052,527 | 493,411 | |||||||||||||||||||||||
| PF Managed Bond |
1,974,074 | 7,358,882 | 127,238 | 4,759,751 | 193,717 | (204,789 | ) | 4,689,371 | 429,823 | |||||||||||||||||||||||
| PF Short Duration Bond |
2,127,923 | 722,426 | 70,373 | 3,000,562 | 58,574 | 21,266 | — | — | ||||||||||||||||||||||||
| PF Emerging Markets Debt |
2,165,122 | 378,478 | 68,915 | 1,316,495 | (100,602 | ) | 454,705 | 1,650,123 | 200,015 | |||||||||||||||||||||||
| PF Growth |
34,972,470 | 7,855,868 | — | 23,609,792 | 16,180,316 | (303,458 | ) | 35,095,404 | 1,149,162 | |||||||||||||||||||||||
| PF Large-Cap Value |
20,932,217 | 2,871,890 | 205,677 | 14,440,976 | 4,984,118 | 2,523,871 | 17,076,797 | 1,387,230 | ||||||||||||||||||||||||
| PF Small-Cap Growth |
3,611,496 | 7,186,855 | 4,361 | 1,476,337 | 1,920,796 | 1,961,174 | 13,208,345 | 608,960 | ||||||||||||||||||||||||
| PF Small-Cap Value |
5,997,574 | 12,316,877 | 77,113 | 6,695,158 | 1,178,127 | 11,544,233 | 24,418,766 | 2,254,734 | ||||||||||||||||||||||||
| PF Emerging Markets |
13,375,343 | 4,693,136 | 15,023 | 2,455,527 | 674,498 | 6,722,681 | 23,025,154 | 1,547,389 | ||||||||||||||||||||||||
| PF International Large-Cap |
8,902,532 | 1,886,209 | 56,074 | 3,093,867 | 876,740 | 2,309,782 | 10,937,470 | 948,610 | ||||||||||||||||||||||||
| PF International Small-Cap |
4,834,320 | 1,590,988 | 125,898 | 1,192,651 | (60,618 | ) | 3,067,216 | 8,365,153 | 718,656 | |||||||||||||||||||||||
| PF International Value |
7,802,250 | 126,196 | 119,342 | 6,571,381 | (132,307 | ) | 2,923,946 | 4,268,046 | 530,192 | |||||||||||||||||||||||
| PF Multi-Asset |
119,967,717 | 17,132,280 | 2,300,251 | 31,989,794 | 8,554,343 | 65,702,695 | 181,667,492 | 14,050,077 | ||||||||||||||||||||||||
| PF Real Estate |
7,448,597 | 681,191 | 121,107 | 5,207,070 | 217,164 | 1,851,189 | 5,112,178 | 375,895 | ||||||||||||||||||||||||
| $236,595,786 | $67,820,942 | $3,486,562 | $106,637,717 | $34,546,579 | $99,089,943 | $334,902,095 | ||||||||||||||||||||||||||
| (1) | Purchase cost excludes distributions received and reinvested, if any. |
| (2) | Distributions received include distributions from net investment income, if any. |
| (3) | Net realized gain (loss) includes capital gains distributions received, if any. |
As of March 31, 2021, Pacific Life owned the following percentages of the total shares outstanding (aggregate of all share classes) of each of the following Funds:
| Fund | Ownership Percentage |
|||
| Pacific Funds Ultra Short Income |
82.70% | |||
| Pacific Funds ESG Core Bond |
100.00% | |||
| Pacific Funds Small-Cap Value |
46.61% | |||
D. INDEPENDENT TRUSTEES
The Trust pays each independent trustee of the Board retainer fees and specified amounts as compensation 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 certain Funds of the Trust at the time of such deferral and are payable in accordance with the Plan. A Trustee who defers compensation has the ability to select credit rate options that track the performance, at NAV of Class A and Class P shares of certain series of the Trust without a sales load or at NAV of Class I shares of the Pacific Select Fund. Pacific Select Fund is a Delaware statutory trust and is registered under the 1940 Act as an open-end management investment company. PLFA is the Investment Adviser to Pacific Select Fund. The obligation of certain Funds of the Trust 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 fiscal year ended March 31, 2021, such expenses increased by $48,782 for all applicable Funds as a result of the market value appreciation on such accounts. As of March 31, 2021, the total amount in the DCP Liability accounts for all applicable Funds was $139,515.
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.
G. 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
D-22
Table of Contents
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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 receives a written representation from the Trust’s Chief Compliance Officer that the transactions were conducted in compliance with applicable Trust policies and procedures.
For the fiscal year ended March 31, 2021, there were no purchase and sale transactions with an affiliated Fund conducted in compliance with Rule 17a-7 under the 1940 Act.
8. COMMITTED LINE OF CREDIT
The Trust has an unsecured $200,000,000 committed revolving line of credit agreement with a syndicate of banks, 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 overnight rate (the higher of the Federal Funds Effective Rate or the daily One-Month Eurodollar Rate) plus applicable margin of 1.25%. Prior to October 21, 2020, the interest rate on borrowing under the line of credit agreement was the Federal Funds effective rate, plus 1.20%. Pacific Funds Floating Rate Income paid an upfront fee of 0.05% and pays a commitment fee equal to 0.20% per annum on the daily unused portion of the committed line. As of March 31, 2021, the actual interest rate on borrowing by the Trust was 1.36%. The commitment fees and interest incurred by Pacific Funds Floating Rate Income are recorded as an expense. During the reporting period, the weighted average interest rate and the average dollar amount of borrowings on the days that Pacific Funds Floating Rate Income had a loan outstanding were 2.19% and $39,000,000, respectively. As of March 31, 2021, Pacific Funds Floating Rate Income had no loans outstanding in connection with this revolving line of credit.
9. PURCHASES AND SALES OF INVESTMENTS
The cost of purchases and proceeds from sales of investments (excluding short-term investments) for the fiscal year ended March 31, 2021, are summarized in the following table:
| U.S. Government Securities | Other Securities | |||||||||||||||
| Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
| Pacific Funds Portfolio Optimization Conservative | $— | $— | $92,138,644 | $87,977,594 | ||||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative | — | — | 90,642,248 | 103,864,753 | ||||||||||||
| Pacific Funds Portfolio Optimization Moderate | — | — | 272,331,715 | 339,952,836 | ||||||||||||
| Pacific Funds Portfolio Optimization Growth | — | — | 224,605,847 | 266,907,740 | ||||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth | — | — | 90,974,785 | 106,637,717 | ||||||||||||
| Pacific Funds Ultra Short Income | — | 1,723,996 | 32,735,702 | 24,520,383 | ||||||||||||
| Pacific Funds Short Duration Income | 4,191,876 | 107,165,432 | 922,284,976 | 722,735,976 | ||||||||||||
| Pacific Funds Core Income | 377,396,875 | 380,478,588 | 894,938,845 | 739,681,078 | ||||||||||||
| Pacific Funds Strategic Income | — | — | 856,161,603 | 635,570,755 | ||||||||||||
| Pacific Funds Floating Rate Income | — | — | 2,415,706,820 | 1,723,380,727 | ||||||||||||
| Pacific Funds High Income | — | — | 104,938,872 | 98,147,047 | ||||||||||||
| Pacific Funds ESG Core Bond | 8,286,780 | 2,540,817 | 22,979,458 | 3,818,940 | ||||||||||||
| Pacific Funds Small/Mid-Cap | — | — | 182,444,936 | 251,132,174 | ||||||||||||
| Pacific Funds Small-Cap | — | — | 10,016,317 | 14,611,696 | ||||||||||||
| Pacific Funds Small-Cap Value | — | — | 12,280,446 | 17,064,429 | ||||||||||||
| PF Inflation Managed | 71,930,940 | 62,033,829 | 1,369,597 | 3,698,282 | ||||||||||||
| PF Managed Bond | 2,334,919,315 | 2,403,564,702 | 313,400,872 | 293,599,696 | ||||||||||||
| PF Short Duration Bond | 74,049,231 | 64,661,466 | 49,868,321 | 87,827,879 | ||||||||||||
| PF Emerging Markets Debt | — | — | 55,750,949 | 90,679,024 | ||||||||||||
| PF Growth | — | — | 58,178,380 | 119,626,245 | ||||||||||||
| PF Large-Cap Value | — | — | 47,466,430 | 100,515,695 | ||||||||||||
| PF Small-Cap Growth | — | — | 76,373,377 | 46,407,075 | ||||||||||||
| PF Small-Cap Value | — | — | 96,201,963 | 64,353,837 | ||||||||||||
| PF Emerging Markets | — | — | 47,921,676 | 57,585,601 | ||||||||||||
| PF International Large-Cap | — | — | 8,880,865 | 16,066,456 | ||||||||||||
| PF International Small-Cap | — | — | 12,526,057 | 19,237,183 | ||||||||||||
| PF International Value | — | — | 11,701,039 | 28,168,835 | ||||||||||||
| PF Multi-Asset | 98,041,367 | 158,103,877 | 367,654,369 | 396,714,058 | ||||||||||||
| PF Real Estate | — | — | 15,190,206 | 42,551,354 | ||||||||||||
10. SECURED BORROWINGS
The contractual maturity of secured borrowings and type of collateral pledged as of March 31, 2021, 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 |
$— | $6,639,894 | $— | $— | $6,639,894 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total borrowings |
$— | $6,639,894 | $— | $— | $6,639,894 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
D-23
Table of Contents
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
11. FEDERAL INCOME TAX INFORMATION
Each Fund intends to qualify each year as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code (the “Code”). A Fund that qualifies as a RIC does not have to pay income tax as long as it distributes sufficient taxable income and net capital gains. Each Fund declared and paid sufficient dividends on net investment income and capital gains distributions during the fiscal year ended March 31, 2021, 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, 2021:
| 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 |
$— | $585,040 | $2,465,905 | $— | $— | $— | $— | |||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
— | — | 11,102,798 | — | — | — | — | |||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate |
— | — | 50,913,751 | — | — | — | — | |||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Growth |
— | 109,524 | 56,085,797 | — | — | — | — | |||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
— | — | 21,359,451 | — | — | — | — | |||||||||||||||||||||||||
| Pacific Funds Ultra Short Income |
— | 80,339 | 48,035 | — | — | — | — | |||||||||||||||||||||||||
| Pacific Funds Short Duration Income |
— | 2,690,654 | 2,821,205 | — | — | — | — | |||||||||||||||||||||||||
| Pacific Funds Core Income |
— | 6,220,399 | 7,211,097 | — | — | — | — | |||||||||||||||||||||||||
| Pacific Funds Strategic Income |
(1,500,711 | ) | 621,949 | — | — | — | — | — | ||||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
(129,696,352 | ) | 1,144,484 | — | — | — | — | — | ||||||||||||||||||||||||
| Pacific Funds High Income |
(8,783,771 | ) | 73,452 | — | — | — | — | — | ||||||||||||||||||||||||
| Pacific Funds ESG Core Bond |
(41,744 | ) | 2,762 | — | — | — | — | — | ||||||||||||||||||||||||
| Pacific Funds Small/Mid-Cap |
— | — | 674,320 | 376,946 | — | — | 376,946 | |||||||||||||||||||||||||
| Pacific Funds Small-Cap |
(108,798 | ) | — | — | 25,887 | — | — | 25,887 | ||||||||||||||||||||||||
| Pacific Funds Small-Cap Value |
(1,115,440 | ) | — | — | 19,494 | — | — | 19,494 | ||||||||||||||||||||||||
| PF Inflation Managed |
(7,035,049 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||
| PF Managed Bond |
— | 4,008,863 | — | — | 2,300,272 | — | 2,300,272 | |||||||||||||||||||||||||
| PF Short Duration Bond |
(308,442 | ) | 245,320 | — | — | — | — | — | ||||||||||||||||||||||||
| PF Emerging Markets Debt |
(5,063,753 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||
| PF Growth |
— | 247,682 | 11,278,341 | — | — | — | — | |||||||||||||||||||||||||
| PF Large-Cap Value |
— | 1,905,524 | 10,375,806 | — | — | — | — | |||||||||||||||||||||||||
| PF Small-Cap Growth |
— | 2,916,002 | 406,457 | — | — | — | — | |||||||||||||||||||||||||
| PF Small-Cap Value |
— | 1,930,523 | — | — | — | — | — | |||||||||||||||||||||||||
| PF Emerging Markets |
— | 4,708,902 | 5,178,429 | — | — | — | — | |||||||||||||||||||||||||
| PF International Large-Cap |
— | 450,955 | 1,812,943 | — | — | — | — | |||||||||||||||||||||||||
| PF International Small-Cap |
(3,509,900 | ) | 1,195,027 | — | — | — | — | — | ||||||||||||||||||||||||
| PF International Value |
(4,022,726 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||
| PF Multi-Asset |
— | 31,688,420 | 140,491,518 | — | — | — | — | |||||||||||||||||||||||||
| PF Real Estate |
(2,901,132 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||
Accumulated capital losses represent net capital loss carryovers as of March 31, 2021 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, 2021 and capital loss carryover from prior years utilized during the fiscal year or period ended March 31, 2021:
|
Unlimited Period of Net |
Accumulated |
Capital Loss |
||||||||||||||
| Fund | Short Term | Long Term | ||||||||||||||
| Pacific Funds Portfolio Optimization Conservative |
$— | $— | $— | $2,102,994 | ||||||||||||
| Pacific Funds Short Duration Income |
— | — | — | 6,444,892 | ||||||||||||
| Pacific Funds Core Income |
— | — | — | 21,043,536 | ||||||||||||
| Pacific Funds Strategic Income |
— | (1,500,711 | ) | (1,500,711 | ) | 5,806,918 | ||||||||||
| Pacific Funds Floating Rate Income |
(32,630,094 | ) | (97,066,258 | ) | (129,696,352 | ) | — | |||||||||
| Pacific Funds High Income |
(2,706,898 | ) | (6,076,873 | ) | (8,783,771 | ) | 2,026,651 | |||||||||
| Pacific Funds ESG Core Bond |
(41,744 | ) | — | (41,744 | ) | — | ||||||||||
| Pacific Funds Small/Mid-Cap |
— | — | — | 15,852,377 | ||||||||||||
| Pacific Funds Small-Cap |
(108,798 | ) | — | (108,798 | ) | 1,112,127 | ||||||||||
| Pacific Funds Small-Cap Value |
(1,115,440 | ) | — | (1,115,440 | ) | 250,730 | ||||||||||
| PF Inflation Managed |
— | (7,035,049 | ) | (7,035,049 | ) | 1,056,587 | ||||||||||
| PF Short Duration Bond |
— | (308,442 | ) | (308,442 | ) | 1,454,271 | ||||||||||
| PF Emerging Markets Debt |
— | (5,063,753 | ) | (5,063,753 | ) | 2,883,489 | ||||||||||
| PF International Small-Cap |
(3,509,900 | ) | — | (3,509,900 | ) | 3,699,062 | ||||||||||
| PF International Value |
(589,224 | ) | (3,433,502 | ) | (4,022,726 | ) | — | |||||||||
| PF Multi-Asset |
— | — | — | 22,988,577 | ||||||||||||
| PF Real Estate |
(2,901,132 | ) | — | (2,901,132 | ) | — | ||||||||||
D-24
Table of Contents
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
The aggregate cost of investments and the composition of unrealized appreciation and depreciation on investments and net unrealized appreciation and/or depreciation on derivatives for Federal income tax purposes as of March 31, 2021, 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 |
Net Unrealized Appreciation (Depreciation) on Other (2) |
Net Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| Pacific Funds Portfolio Optimization Conservative |
$225,156,035 | $28,072,135 | ($3,320,161 | ) | $24,751,974 | $— | $24,751,974 | |||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
291,517,390 | 44,347,088 | — | 44,347,088 | — | 44,347,088 | ||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate |
861,156,977 | 226,305,582 | (9,903,688 | ) | 216,401,894 | — | 216,401,894 | |||||||||||||||||
| Pacific Funds Portfolio Optimization Growth |
685,240,867 | 195,259,553 | — | 195,259,553 | — | 195,259,553 | ||||||||||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
249,587,090 | 89,253,275 | (3,938,270 | ) | 85,315,005 | — | 85,315,005 | |||||||||||||||||
| Pacific Funds Ultra Short Income |
31,406,208 | 122,294 | (26,919 | ) | 95,375 | — | 95,375 | |||||||||||||||||
| Pacific Funds Short Duration Income |
1,186,472,006 | 17,262,471 | (2,459,840 | ) | 14,802,631 | (1,345 | ) | 14,801,286 | ||||||||||||||||
| Pacific Funds Core Income |
1,200,685,188 | 26,005,941 | (14,139,062 | ) | 11,866,879 | (1,345 | ) | 11,865,534 | ||||||||||||||||
| Pacific Funds Strategic Income |
988,579,404 | 39,348,211 | (9,464,627 | ) | 29,883,584 | (8,949 | ) | 29,874,635 | ||||||||||||||||
| Pacific Funds Floating Rate Income |
2,200,766,081 | 22,533,310 | (7,952,519 | ) | 14,580,791 | (25,080 | ) | 14,555,711 | ||||||||||||||||
| Pacific Funds High Income |
150,858,160 | 8,711,018 | (982,368 | ) | 7,728,650 | (126 | ) | 7,728,524 | ||||||||||||||||
| Pacific Funds ESG Core Bond |
25,118,795 | 18,233 | (730,974 | ) | (712,741 | ) | — | (712,741 | ) | |||||||||||||||
| Pacific Funds Small/Mid-Cap |
240,800,179 | 115,254,633 | (7,476,829 | ) | 107,777,804 | — | 107,777,804 | |||||||||||||||||
| Pacific Funds Small-Cap |
11,833,164 | 5,112,501 | (326,049 | ) | 4,786,452 | — | 4,786,452 | |||||||||||||||||
| Pacific Funds Small-Cap Value |
13,409,632 | 5,088,314 | (574,143 | ) | 4,514,171 | — | 4,514,171 | |||||||||||||||||
| PF Inflation Managed |
39,289,516 | 1,465,613 | (1,058,631 | ) | 406,982 | 9,232 | 416,214 | |||||||||||||||||
| PF Managed Bond |
634,040,142 | 10,181,457 | (17,442,551 | ) | (7,261,094 | ) | (75,710 | ) | (7,336,804 | ) | ||||||||||||||
| PF Short Duration Bond |
97,374,545 | 1,442,971 | (95,611 | ) | 1,347,360 | 183 | 1,347,543 | |||||||||||||||||
| PF Emerging Markets Debt |
63,824,102 | 2,998,652 | (5,986,449 | ) | (2,987,797 | ) | (83,997 | ) | (3,071,794 | ) | ||||||||||||||
| PF Growth |
74,026,110 | 106,005,709 | (610,827 | ) | 105,394,882 | — | 105,394,882 | |||||||||||||||||
| PF Large-Cap Value |
93,533,921 | 79,045,674 | (1,081,470 | ) | 77,964,204 | — | 77,964,204 | |||||||||||||||||
| PF Small-Cap Growth |
56,302,183 | 9,231,192 | (2,071,979 | ) | 7,159,213 | 22 | 7,159,235 | |||||||||||||||||
| PF Small-Cap Value |
78,937,296 | 39,450,360 | (1,393,675 | ) | 38,056,685 | — | 38,056,685 | |||||||||||||||||
| PF Emerging Markets |
85,017,084 | 61,335,239 | (4,094,288 | ) | 57,240,951 | (669,613 | ) | 56,571,338 | ||||||||||||||||
| PF International Large-Cap |
26,230,056 | 23,809,043 | (1,526,491 | ) | 22,282,552 | (26,736 | ) | 22,255,816 | ||||||||||||||||
| PF International Small-Cap |
25,909,600 | 12,112,647 | (1,347,129 | ) | 10,765,518 | (364 | ) | 10,765,154 | ||||||||||||||||
| PF International Value |
30,603,196 | 7,776,557 | (4,337,472 | ) | 3,439,085 | 2,544 | 3,441,629 | |||||||||||||||||
| PF Multi-Asset |
950,127,289 | 10,253,101 | (306,837 | ) | 9,946,264 | 147,845,662 | 157,791,926 | |||||||||||||||||
| PF Real Estate |
18,031,611 | 8,950,821 | (1,293,212 | ) | 7,657,609 | — | 7,657,609 | |||||||||||||||||
| (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, unfunded loan commitments, partnerships, defaulted securities, and differing treatments for sale-buyback financing transactions and U.S. Treasury Inflation Protected Securities. |
| (2) | Other includes net appreciation or depreciation on derivatives, short sales, unfunded loan commitments, and foreign currencies, if any. |
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, 2017.
12. TAX CHARACTER OF DISTRIBUTIONS
The tax character of income and capital gains distributions to shareholders during the fiscal year or period ended March 31, 2021 and the fiscal year ended March 31, 2020, were as follows:
| For the Year or Period Ended March 31, 2021 |
For the Year Ended March 31, 2020 | |||||||||||||||||||||||||||||||
| Fund | Ordinary Income |
Long-Term Capital Gains |
Return of Capital |
Total Distributions |
Ordinary Income |
Long-Term Capital Gains |
Total Distributions |
|||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Conservative |
$6,724,180 | $— | $— | $6,724,180 | $3,809,492 | $474,053 | $4,283,545 | |||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
8,082,625 | 135,673 | — | 8,218,298 | 6,035,647 | 1,191,046 | 7,226,693 | |||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate |
23,696,758 | 8,349,683 | — | 32,046,441 | 14,938,594 | 36,584,051 | 51,522,645 | |||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Growth |
13,724,548 | 8,271,399 | — | 21,995,947 | 12,750,292 | 43,057,923 | 55,808,215 | |||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
3,437,004 | 7,064,241 | — | 10,501,245 | 4,686,703 | 18,900,961 | 23,587,664 | |||||||||||||||||||||||||
| Pacific Funds Ultra Short Income |
403,166 | 9,673 | — | 412,839 | 438,277 | — | 438,277 | |||||||||||||||||||||||||
| Pacific Funds Short Duration Income |
18,720,253 | — | — | 18,720,253 | 24,211,883 | — | 24,211,883 | |||||||||||||||||||||||||
| Pacific Funds Core Income |
31,092,260 | 1,743,297 | — | 32,835,557 | 23,931,961 | — | 23,931,961 | |||||||||||||||||||||||||
| Pacific Funds Strategic Income |
29,219,412 | — | — | 29,219,412 | 29,155,007 | — | 29,155,007 | |||||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
57,410,489 | — | — | 57,410,489 | 77,305,342 | — | 77,305,342 | |||||||||||||||||||||||||
| Pacific Funds High Income |
8,394,548 | — | — | 8,394,548 | 6,829,639 | — | 6,829,639 | |||||||||||||||||||||||||
| Pacific Funds ESG Core Bond |
68,061 | — | — | 68,061 | ||||||||||||||||||||||||||||
| Pacific Funds Small/Mid-Cap |
725,132 | 216,917 | — | 942,049 | 1,472,291 | — | 1,472,291 | |||||||||||||||||||||||||
| Pacific Funds Small-Cap |
8,412 | — | — | 8,412 | 50,279 | — | 50,279 | |||||||||||||||||||||||||
| Pacific Funds Small-Cap Value |
102,422 | — | — | 102,422 | 183,746 | — | 183,746 | |||||||||||||||||||||||||
| PF Inflation Managed |
411,237 | — | — | 411,237 | 448,792 | — | 448,792 | |||||||||||||||||||||||||
| PF Managed Bond |
27,188,022 | 4,159,022 | — | 31,347,044 | 11,614,415 | — | 11,614,415 | |||||||||||||||||||||||||
| PF Short Duration Bond |
2,909,983 | — | — | 2,909,983 | 4,409,514 | — | 4,409,514 | |||||||||||||||||||||||||
D-25
Table of Contents
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| For the Year or Period Ended March 31, 2021 |
For the Year Ended March 31, 2020 | |||||||||||||||||||||||||||||||
| Fund | Ordinary Income |
Long-Term Capital Gains |
Return of Capital |
Total Distributions |
Ordinary Income |
Long-Term Capital Gains |
Total Distributions |
|||||||||||||||||||||||||
| PF Emerging Markets Debt |
$2,362,664 | $— | $— | $2,362,664 | $3,084,637 | $— | $3,084,637 | |||||||||||||||||||||||||
| PF Growth |
2,143,783 | 41,747,879 | — | 43,891,662 | 710,327 | 5,538,368 | 6,248,695 | |||||||||||||||||||||||||
| PF Large-Cap Value |
5,040,387 | 20,741,707 | — | 25,782,094 | 2,395,784 | 9,321,653 | 11,717,437 | |||||||||||||||||||||||||
| PF Small-Cap Growth |
4,020,897 | 2,478,883 | — | 6,499,780 | — | 1,213,285 | 1,213,285 | |||||||||||||||||||||||||
| PF Small-Cap Value |
325,166 | — | — | 325,166 | 841,075 | 4,019,780 | 4,860,855 | |||||||||||||||||||||||||
| PF Emerging Markets |
1,260,582 | 2,437,304 | — | 3,697,886 | 3,103,562 | 15,553,740 | 18,657,302 | |||||||||||||||||||||||||
| PF International Large-Cap |
1,265,942 | 2,992,554 | — | 4,258,496 | 1,035,846 | 5,539,936 | 6,575,782 | |||||||||||||||||||||||||
| PF International Small-Cap |
658,806 | — | — | 658,806 | 1,056,704 | — | 1,056,704 | |||||||||||||||||||||||||
| PF International Value |
829,970 | — | — | 829,970 | 1,866,805 | — | 1,866,805 | |||||||||||||||||||||||||
| PF Multi-Asset |
14,603,227 | 39,218,966 | — | 53,822,193 | 26,336,391 | — | 26,336,391 | |||||||||||||||||||||||||
| PF Real Estate |
339,852 | — | 288,733 | 628,585 | 1,986,246 | 740,953 | 2,727,199 | |||||||||||||||||||||||||
13. RECLASSIFICATION OF ACCOUNTS
During the fiscal year or period ended March 31, 2021, 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, 2021. 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, foreign currency transactions, non-deductible expenses, swap income, futures gain/loss, investments in passive foreign investment companies, foreign capital gain tax, redesignation of dividends paid, partnerships, defaulted bonds, short-term capital gains, treatment of net operating losses and capital gains under Federal tax rules versus U.S. GAAP. The calculation of net investment income per share in the financial highlights excludes these adjustments.
| Fund | Paid-In Capital | Undistributed/ Accumulated Net Investment Income (Loss) |
Undistributed/ Accumulated Net Realized Gain (Loss) |
|||||||||
| Pacific Funds Portfolio Optimization Conservative |
$— | $3,594,176 | ($3,594,176 | ) | ||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
— | 4,703,710 | (4,703,710 | ) | ||||||||
| Pacific Funds Portfolio Optimization Moderate |
— | 14,130,374 | (14,130,374 | ) | ||||||||
| Pacific Funds Portfolio Optimization Growth |
— | 8,341,384 | (8,341,384 | ) | ||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
— | 3,036,902 | (3,036,902 | ) | ||||||||
| Pacific Funds Ultra Short Income |
(847 | ) | 9,588 | (8,741 | ) | |||||||
| Pacific Funds Short Duration Income |
— | (14,189 | ) | 14,189 | ||||||||
| Pacific Funds Core Income |
— | 50,528 | (50,528 | ) | ||||||||
| Pacific Funds Strategic Income |
(651 | ) | 651 | — | ||||||||
| Pacific Funds High Income |
(134 | ) | 9 | 125 | ||||||||
| Pacific Funds ESG Core Bond |
(3,370 | ) | 6,676 | (3,306 | ) | |||||||
| Pacific Funds Small/Mid-Cap |
— | 216,917 | (216,917 | ) | ||||||||
| Pacific Funds Small-Cap |
(4,004 | ) | 4,004 | — | ||||||||
| Pacific Funds Small-Cap Value |
(899 | ) | 899 | — | ||||||||
| PF Inflation Managed |
(128,201 | ) | (496,676 | ) | 624,877 | |||||||
| PF Managed Bond |
— | (5,105,481 | ) | 5,105,481 | ||||||||
| PF Short Duration Bond |
— | 31,757 | (31,757 | ) | ||||||||
| PF Emerging Markets Debt |
(135,186 | ) | (78,967 | ) | 214,153 | |||||||
| PF Growth |
— | 443,207 | (443,207 | ) | ||||||||
| PF Large-Cap Value |
(335 | ) | 140,270 | (139,935 | ) | |||||||
| PF Small-Cap Growth |
— | 121,198 | (121,198 | ) | ||||||||
| PF Emerging Markets |
— | (120,248 | ) | 120,248 | ||||||||
| PF International Large-Cap |
— | 7,042 | (7,042 | ) | ||||||||
| PF International Small-Cap |
— | 446,188 | (446,188 | ) | ||||||||
| PF International Value |
(7,722 | ) | 76,327 | (68,605 | ) | |||||||
| PF Multi-Asset |
— | (41,786 | ) | 41,786 | ||||||||
| PF Real Estate |
(288,733 | ) | 288,733 | — | ||||||||
D-26
Table of Contents
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
14. SHARES OF BENEFICIAL INTEREST
Each Fund is authorized to issue an unlimited number of shares of beneficial interest with no par value unless otherwise determined by the trustees of the Board. Changes in shares of beneficial interest of each Fund for the fiscal year or period ended March 31, 2021 and March 31, 2020, were as follows:
| 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) |
|||||||||||||||||||||||||||||||||||||||||
| Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
|||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
3,133,583 | 6,495,722 | 2,541,820 | 7,767,556 | 4,863,983 | 18,537,632 | 3,410,074 | 12,271,667 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
453,642 | 324,224 | 563,430 | 544,560 | 1,922,442 | 3,374,243 | 1,265,839 | 3,493,220 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(3,070,586 | ) | (3,817,604 | ) | (3,753,906 | ) | (5,723,129 | ) | (11,649,669 | ) | (14,928,645 | ) | (8,138,362 | ) | (10,132,943 | ) | ||||||||||||||||||||||||||||
| Converted from Class B shares |
— | 1,355,707 | — | 2,032,245 | — | 6,090,089 | — | 4,316,826 | ||||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
516,639 | 4,358,049 | (648,656 | ) | 4,621,232 | (4,863,244 | ) | 13,073,319 | (3,462,449 | ) | 9,948,770 | |||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
16,188,658 | 11,830,609 | 23,288,746 | 18,667,514 | 67,427,493 | 54,354,174 | 51,405,297 | 41,456,527 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
16,705,297 | 16,188,658 | 22,640,090 | 23,288,746 | 62,564,249 | 67,427,493 | 47,942,848 | 51,405,297 | ||||||||||||||||||||||||||||||||||||
| Class B |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
6,011 | — | 17,102 | 12,085 | ||||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
235 | — | — | — | ||||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(274,318 | ) | (581,852 | ) | (1,418,786 | ) | (915,455 | ) | ||||||||||||||||||||||||||||||||||||
| Converted to Class A shares |
(1,392,882 | ) | (2,086,509 | ) | (6,218,286 | ) | (4,419,822 | ) | ||||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
(1,660,954 | ) | (2,668,361 | ) | (7,619,970 | ) | (5,323,192 | ) | ||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
1,660,954 | 2,668,361 | 7,619,970 | 5,323,192 | ||||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
— | — | — | — | ||||||||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,037,772 | 1,179,580 | 388,735 | 621,381 | 877,176 | 1,255,885 | 935,078 | 973,016 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
102,719 | 56,670 | 78,572 | 74,501 | 282,566 | 618,266 | 176,810 | 642,952 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(1,824,418 | ) | (7,507,366 | ) | (1,784,656 | ) | (8,742,296 | ) | (4,699,621 | ) | (20,517,810 | ) | (3,139,181 | ) | (13,625,537 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
(683,927 | ) | (6,271,116 | ) | (1,317,349 | ) | (8,046,414 | ) | (3,539,879 | ) | (18,643,659 | ) | (2,027,293 | ) | (12,009,569 | ) | ||||||||||||||||||||||||||||
| Beginning shares outstanding |
4,890,376 | 11,161,492 | 5,033,274 | 13,079,688 | 13,751,514 | 32,395,173 | 9,759,453 | 21,769,022 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
4,206,449 | 4,890,376 | 3,715,925 | 5,033,274 | 10,211,635 | 13,751,514 | 7,732,160 | 9,759,453 | ||||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
471,834 | 381,144 | 113,706 | 242,251 | 1,239,561 | 585,368 | 437,631 | 469,064 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
24,384 | 17,475 | 14,758 | 13,425 | 74,211 | 107,909 | 35,031 | 97,427 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(223,359 | ) | (362,084 | ) | (207,949 | ) | (406,495 | ) | (877,646 | ) | (888,951 | ) | (541,814 | ) | (724,434 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
272,859 | 36,535 | (79,485 | ) | (150,819 | ) | 436,126 | (195,674 | ) | (69,152 | ) | (157,943 | ) | |||||||||||||||||||||||||||||||
| Beginning shares outstanding |
708,215 | 671,680 | 565,706 | 716,525 | 2,041,551 | 2,237,225 | 1,359,995 | 1,517,938 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
981,074 | 708,215 | 486,221 | 565,706 | 2,477,677 | 2,041,551 | 1,290,843 | 1,359,995 | ||||||||||||||||||||||||||||||||||||
D-27
Table of Contents
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| Pacific Funds Portfolio Optimization Aggressive-Growth (1) |
Pacific Funds Ultra Short Income (2) |
Pacific Funds Short Duration Income |
Pacific Funds Core Income |
|||||||||||||||||||||||||||||||||||||||||
| Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Period Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
|||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,220,158 | 3,562,121 | 12,538,919 | 8,970,742 | 5,144,767 | 8,665,893 | ||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
526,227 | 1,308,345 | 208,932 | 276,592 | 344,789 | 275,501 | ||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(2,913,938 | ) | (2,887,321 | ) | (8,740,026 | ) | (5,431,153 | ) | (4,389,220 | ) | (3,473,506 | ) | ||||||||||||||||||||||||||||||||
| Converted from Class B shares |
— | 1,259,139 | — | — | — | — | ||||||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
(1,167,553 | ) | 3,242,284 | 4,007,825 | 3,816,181 | 1,100,336 | 5,467,888 | |||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
16,823,385 | 13,581,101 | 15,359,951 | 11,543,770 | 13,274,686 | 7,806,798 | ||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
15,655,832 | 16,823,385 | 19,367,776 | 15,359,951 | 14,375,022 | 13,274,686 | ||||||||||||||||||||||||||||||||||||||
| Class B |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
2,950 | |||||||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
— | |||||||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(225,144 | ) | ||||||||||||||||||||||||||||||||||||||||||
| Converted to Class A shares |
(1,302,603 | ) | ||||||||||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
(1,524,797 | ) | ||||||||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
1,524,797 | |||||||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
— | |||||||||||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
326,942 | 407,119 | 1,549,181 | 2,291,836 | 1,330,698 | 1,900,796 | ||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
80,577 | 239,008 | 36,483 | 71,673 | 90,450 | 112,580 | ||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(1,044,819 | ) | (3,633,527 | ) | (1,584,825 | ) | (1,984,227 | ) | (2,102,879 | ) | (4,230,187 | ) | ||||||||||||||||||||||||||||||||
| Net increase (decrease) |
(637,300 | ) | (2,987,400 | ) | 839 | 379,282 | (681,731 | ) | (2,216,811 | ) | ||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
3,220,365 | 6,207,765 | 4,868,835 | 4,489,553 | 5,509,539 | 7,726,350 | ||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
2,583,065 | 3,220,365 | 4,869,674 | 4,868,835 | 4,827,808 | 5,509,539 | ||||||||||||||||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
4,629 | 1,250,192 | 6,460,253 | 5,954,247 | 5,549,240 | 4,083,029 | ||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
17,722 | 21,867 | 202,068 | 252,068 | 210,691 | 121,234 | ||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(4,629 | ) | — | (3,822,396 | ) | (3,709,630 | ) | (1,812,081 | ) | (1,019,595 | ) | |||||||||||||||||||||||||||||||||
| Net increase (decrease) |
17,722 | 1,272,059 | 2,839,925 | 2,496,685 | 3,947,850 | 3,184,668 | ||||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
1,272,059 | — | 10,605,453 | 8,108,768 | 5,691,095 | 2,506,427 | ||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
1,289,781 | 1,272,059 | 13,445,378 | 10,605,453 | 9,638,945 | 5,691,095 | ||||||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,610,458 | 82,318 | ||||||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
103,281 | 104,194 | ||||||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(597,648 | ) | (1,035,481 | ) | ||||||||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
1,116,091 | (848,969 | ) | |||||||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
2,992,215 | 3,841,184 | ||||||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
4,108,306 | 2,992,215 | ||||||||||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
310,473 | 293,957 | 782,702 | 1,303,584 | 52,415,830 | 74,015,215 | 40,390,540 | 48,237,571 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
28,627 | 65,623 | 23,368 | 22,001 | 1,267,116 | 1,640,194 | 1,599,233 | 1,148,219 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(340,662 | ) | (279,435 | ) | (260,164 | ) | (40,210 | ) | (51,530,741 | ) | (51,140,510 | ) | (34,461,869 | ) | (22,754,430 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
(1,562 | ) | 80,145 | 545,906 | 1,285,375 | 2,152,205 | 24,514,899 | 7,527,904 | 26,631,360 | |||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
839,965 | 759,820 | 1,285,375 | — | 71,426,295 | 46,911,396 | 63,963,523 | 37,332,163 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
838,403 | 839,965 | 1,831,281 | 1,285,375 | 73,578,500 | 71,426,295 | 71,491,427 | 63,963,523 | ||||||||||||||||||||||||||||||||||||
D-28
Table of Contents
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| Pacific Funds Strategic Income |
Pacific Funds Floating Rate Income |
Pacific Funds High Income |
Pacific Funds ESG Core Bond (2) |
|||||||||||||||||||||||||||||||||||||
| Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Period Ended 3/31/2021 |
||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||
| Shares sold |
4,708,081 | 4,914,682 | 5,667,393 | 8,486,582 | 151,557 | 601,052 | ||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
224,381 | 229,703 | 609,991 | 889,857 | 41,931 | 34,793 | ||||||||||||||||||||||||||||||||||
| Shares repurchased |
(3,204,856 | ) | (3,585,612 | ) | (7,221,698 | ) | (11,440,196 | ) | (294,916 | ) | (323,463 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
1,727,606 | 1,558,773 | (944,314 | ) | (2,063,757 | ) | (101,428 | ) | 312,382 | |||||||||||||||||||||||||||||||
| Beginning shares outstanding |
7,359,552 | 5,800,779 | 18,468,543 | 20,532,300 | 826,007 | 513,625 | ||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
9,087,158 | 7,359,552 | 17,524,229 | 18,468,543 | 724,579 | 826,007 | ||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,586,601 | 2,962,272 | 1,374,643 | 2,175,673 | 48,266 | 49,822 | ||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
154,416 | 183,388 | 277,085 | 600,424 | 8,000 | 11,465 | ||||||||||||||||||||||||||||||||||
| Shares repurchased |
(1,973,263 | ) | (2,175,238 | ) | (4,296,787 | ) | (11,051,710 | ) | (98,459 | ) | (201,951 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
(232,246 | ) | 970,422 | (2,645,059 | ) | (8,275,613 | ) | (42,193 | ) | (140,664 | ) | |||||||||||||||||||||||||||||
| Beginning shares outstanding |
6,512,760 | 5,542,338 | 11,704,425 | 19,980,038 | 229,687 | 370,351 | ||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
6,280,514 | 6,512,760 | 9,059,366 | 11,704,425 | 187,494 | 229,687 | ||||||||||||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,411,194 | 1,394,002 | 69,364,697 | 23,549,454 | 213 | 60 | 1,250,000 | |||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
56,057 | 49,381 | 1,988,250 | 1,870,245 | 342 | 649 | 3,452 | |||||||||||||||||||||||||||||||||
| Shares repurchased |
(1,979,140 | ) | (267,743 | ) | (13,784,531 | ) | (28,551,536 | ) | (750 | ) | (12,014 | ) | — | |||||||||||||||||||||||||||
| Net increase (decrease) |
(511,889 | ) | 1,175,640 | 57,568,416 | (3,131,837 | ) | (195 | ) | (11,305 | ) | 1,253,452 | |||||||||||||||||||||||||||||
| Beginning shares outstanding |
1,721,194 | 545,554 | 47,117,049 | 50,248,886 | 6,229 | 17,534 | — | |||||||||||||||||||||||||||||||||
| Ending shares outstanding |
1,209,305 | 1,721,194 | 104,685,465 | 47,117,049 | 6,034 | 6,229 | 1,253,452 | |||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||
| Shares sold |
548,182 | 27,233 | 3,481,800 | 3,937,512 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
29,097 | 108,649 | 780,464 | 611,005 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(491,671 | ) | (2,490,782 | ) | (3,913,655 | ) | (1,959,911 | ) | ||||||||||||||||||||||||||||||||
| Net increase (decrease) |
85,608 | (2,354,900 | ) | 348,609 | 2,588,606 | |||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
896,733 | 3,251,633 | 13,944,180 | 11,355,574 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
982,341 | 896,733 | 14,292,789 | 13,944,180 | ||||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||
| Shares sold |
40,314,864 | 34,558,879 | 46,214,284 | 33,194,835 | 594,851 | 300,223 | 1,250,000 | |||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
1,746,869 | 1,726,826 | 2,179,452 | 3,446,801 | 23,028 | 26,234 | 3,452 | |||||||||||||||||||||||||||||||||
| Shares repurchased |
(20,380,801 | ) | (28,779,765 | ) | (32,313,805 | ) | (63,030,625 | ) | (617,976 | ) | (310,272 | ) | — | |||||||||||||||||||||||||||
| Net increase (decrease) |
21,680,932 | 7,505,940 | 16,079,931 | (26,388,989 | ) | (97 | ) | 16,185 | 1,253,452 | |||||||||||||||||||||||||||||||
| Beginning shares outstanding |
50,547,170 | 43,041,230 | 57,345,817 | 83,734,806 | 380,090 | 363,905 | — | |||||||||||||||||||||||||||||||||
| Ending shares outstanding |
72,228,102 | 50,547,170 | 73,425,748 | 57,345,817 | 379,993 | 380,090 | 1,253,452 | |||||||||||||||||||||||||||||||||
D-29
Table of Contents
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| Pacific Funds Small/Mid-Cap (3) |
Pacific Funds Small-Cap (3) |
Pacific Funds Small-Cap Value (3) |
||||||||||||||||||||||||||||||||||||||||||
| Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
|||||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
747,499 | 454,542 | 89,846 | 86,023 | 369,226 | 54,584 | ||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
— | 3,558 | — | 517 | 902 | 1,211 | ||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(942,569 | ) | (626,661 | ) | (314,203 | ) | (107,452 | ) | (345,212 | ) | (32,035 | ) | ||||||||||||||||||||||||||||||||
| Net increase (decrease) |
(195,070 | ) | (168,561 | ) | (224,357 | ) | (20,912 | ) | 24,916 | 23,760 | ||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
1,511,021 | 1,679,582 | 390,394 | 411,306 | 166,380 | 142,620 | ||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
1,315,951 | 1,511,021 | 166,037 | 390,394 | 191,296 | 166,380 | ||||||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
68,397 | 95,408 | 15,659 | 15,340 | 29,831 | 8,774 | ||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
— | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(419,774 | ) | (419,242 | ) | (29,175 | ) | (26,702 | ) | (65,736 | ) | (46,057 | ) | ||||||||||||||||||||||||||||||||
| Net increase (decrease) |
(351,377 | ) | (323,834 | ) | (13,516 | ) | (11,362 | ) | (35,905 | ) | (37,283 | ) | ||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
1,004,451 | 1,328,285 | 64,218 | 75,580 | 106,733 | 144,016 | ||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
653,074 | 1,004,451 | 50,702 | 64,218 | 70,828 | 106,733 | ||||||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
2,175,547 | 4,483,757 | 90,017 | 154,768 | 283,768 | 546,781 | ||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
60,783 | 97,217 | 597 | 3,072 | 8,962 | 13,929 | ||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(6,795,051 | ) | (7,251,475 | ) | (299,163 | ) | (323,883 | ) | (728,169 | ) | (215,844 | ) | ||||||||||||||||||||||||||||||||
| Net increase (decrease) |
(4,558,721 | ) | (2,670,501 | ) | (208,549 | ) | (166,043 | ) | (435,439 | ) | 344,866 | |||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
22,368,493 | 25,038,994 | 906,981 | 1,073,024 | 1,618,035 | 1,273,169 | ||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
17,809,772 | 22,368,493 | 698,432 | 906,981 | 1,182,596 | 1,618,035 | ||||||||||||||||||||||||||||||||||||||
| Class R6 |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
34,595 | 35,711 | 45,127 | 43,519 | 21,769 | 43,667 | ||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
407 | 2,177 | — | 199 | 919 | 3,342 | ||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(447,202 | ) | (26,796 | ) | (19,841 | ) | (10,347 | ) | (297,583 | ) | (15,200 | ) | ||||||||||||||||||||||||||||||||
| Net increase (decrease) |
(412,200 | ) | 11,092 | 25,286 | 33,371 | (274,895 | ) | 31,809 | ||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
500,682 | 489,590 | 91,702 | 58,331 | 375,308 | 343,499 | ||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
88,482 | 500,682 | 116,988 | 91,702 | 100,413 | 375,308 | ||||||||||||||||||||||||||||||||||||||
D-30
Table of Contents
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| PF Inflation Managed Fund |
PF Managed Bond Fund |
PF Short Duration Bond Fund |
PF Emerging Markets Debt Fund |
|||||||||||||||||||||||||||||||||||||||||
| Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
|||||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,271,440 | 50,345 | 20,021,861 | 3,615,077 | 4,812,822 | 3,472,022 | 2,025,141 | 5,812,009 | ||||||||||||||||||||||||||||||||||||
| Dividends and distributions reinvested |
41,165 | 49,102 | 2,749,801 | 1,054,428 | 287,548 | 443,167 | 266,366 | 340,844 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(271,733 | ) | (2,451,976 | ) | (6,309,554 | ) | (16,664,549 | ) | (7,996,773 | ) | (7,041,652 | ) | (7,051,807 | ) | (1,751,480 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
1,040,872 | (2,352,529 | ) | 16,462,108 | (11,995,044 | ) | (2,896,403 | ) | (3,126,463 | ) | (4,760,300 | ) | 4,401,373 | |||||||||||||||||||||||||||||||
| Beginning shares outstanding |
2,296,035 | 4,648,564 | 35,083,009 | 47,078,053 | 12,513,744 | 15,640,207 | 12,207,778 | 7,806,405 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
3,336,907 | 2,296,035 | 51,545,117 | 35,083,009 | 9,617,341 | 12,513,744 | 7,447,478 | 12,207,778 | ||||||||||||||||||||||||||||||||||||
| PF Growth Fund |
PF Large-Cap Value Fund |
PF Small-Cap Growth Fund |
PF Small-Cap Value Fund |
|||||||||||||||||||||||||||||||||||||||||
| Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
|||||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
784,320 | 744,195 | 2,126,138 | 4,035,833 | 1,762,560 | 540,745 | 8,309,666 | 139,026 | ||||||||||||||||||||||||||||||||||||
| Dividends and distributions reinvested |
1,470,408 | 209,732 | 2,277,895 | 930,979 | 325,430 | 71,962 | 38,076 | 601,184 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(2,425,191 | ) | (1,772,752 | ) | (7,066,086 | ) | (2,688,678 | ) | (403,782 | ) | (217,548 | ) | (2,971,600 | ) | (3,925,447 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
(170,463 | ) | (818,825 | ) | (2,662,053 | ) | 2,278,134 | 1,684,208 | 395,159 | 5,376,142 | (3,185,237 | ) | ||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
6,036,864 | 6,855,689 | 16,596,656 | 14,318,522 | 1,246,552 | 851,393 | 5,414,146 | 8,599,383 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
5,866,401 | 6,036,864 | 13,934,603 | 16,596,656 | 2,930,760 | 1,246,552 | 10,790,288 | 5,414,146 | ||||||||||||||||||||||||||||||||||||
| PF Emerging Markets Fund |
PF International Large-Cap Fund |
PF International Small-Cap Fund |
PF International Value Fund |
|||||||||||||||||||||||||||||||||||||||||
| Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
|||||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
827,146 | 3,623,219 | 586,239 | 1,242,672 | 279,914 | 2,064,523 | 957,474 | 1,635,474 | ||||||||||||||||||||||||||||||||||||
| Dividends and distributions reinvested |
259,396 | 1,506,175 | 380,281 | 589,059 | 60,888 | 106,308 | 115,434 | 236,077 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(1,516,917 | ) | (4,270,606 | ) | (1,348,665 | ) | (2,211,109 | ) | (1,036,493 | ) | (1,634,018 | ) | (3,606,692 | ) | (3,710,349 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
(430,375 | ) | 858,788 | (382,145 | ) | (379,378 | ) | (695,691 | ) | 536,813 | (2,533,784 | ) | (1,838,798 | ) | ||||||||||||||||||||||||||||||
| Beginning shares outstanding |
9,960,877 | 9,102,089 | 4,622,711 | 5,002,089 | 3,867,388 | 3,330,575 | 6,808,740 | 8,647,538 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
9,530,502 | 9,960,877 | 4,240,566 | 4,622,711 | 3,171,697 | 3,867,388 | 4,274,956 | 6,808,740 | ||||||||||||||||||||||||||||||||||||
| PF Multi-Asset Fund |
PF Real Estate Fund |
|||||||||||||||||||||||||||||||||||||||||||
| Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
Year Ended 3/31/2021 |
Year Ended 3/31/2020 |
|||||||||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
3,237,575 | 12,776,406 | 156,815 | 1,392,030 | ||||||||||||||||||||||||||||||||||||||||
| Dividends and distributions reinvested |
4,453,540 | 2,407,348 | 50,287 | 204,529 | ||||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(29,897,442 | ) | (23,448,818 | ) | (2,541,409 | ) | (4,036,771 | ) | ||||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
(22,206,327 | ) | (8,265,064 | ) | (2,334,307 | ) | (2,440,212 | ) | ||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
107,547,682 | 115,812,746 | 4,226,615 | 6,666,827 | ||||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
85,341,355 | 107,547,682 | 1,892,308 | 4,226,615 | ||||||||||||||||||||||||||||||||||||||||
| (1) | Class B shares were converted to Class A shares on July 31, 2019. |
| (2) | See footnote (1) in Financial Highlights from pages C-20 through C-28 for the commencement date of operations of each share class. |
| (3) | Class S shares were renamed to Class R6 shares on January 1, 2020. |
D-31
Table of Contents
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and the Board of Trustees of
Pacific Funds Series Trust:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of Pacific Funds Series Trust (the “Trust”) comprising the 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 Ultra Short Income, Pacific FundsSM Short Duration Income, Pacific FundsSM Core Income, Pacific FundsSM Strategic Income, Pacific FundsSM Floating Rate Income, Pacific FundsSM High Income, Pacific FundsSM ESG Core Bond, Pacific FundsSM Small/Mid-Cap, Pacific FundsSM Small-Cap, Pacific FundsSM Small-Cap Value, PF Inflation Managed Fund, PF Managed Bond Fund, PF Short Duration Bond Fund, PF Emerging Markets Debt Fund, PF Growth Fund, PF Large-Cap Value Fund, PF Small-Cap Growth Fund (formerly named PF Developing Growth Fund), PF Small-Cap Value Fund, PF Emerging Markets Fund, PF International Large-Cap Fund, PF International Small-Cap Fund, PF International Value Fund, PF Multi-Asset Fund, and PF Real Estate Fund (the “Funds”), including the schedules of investments, as of March 31, 2021; 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, the statement of cash flows for the year then ended for the PF Inflation Managed Fund, and the financial highlights for each of the five years in the period then ended for the Funds, except Pacific FundsSM Ultra Short Income, Pacific FundsSM ESG Core Bond, and PF Multi-Asset Fund; the related statements of operations, changes in net assets, and the financial highlights for the periods indicated in the table below for Pacific FundsSM Ultra Short Income, Pacific FundsSM ESG Core Bond, and PF Multi-Asset Fund; and the related notes.
In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds listed above constituting the Trust as of March 31, 2021, and the results of their operations for the year then ended (or for the period listed in the table below), the changes in their net assets for each of the two years in the period then ended (or for the period listed in the table below), the cash flows for the PF Inflation Managed Fund for the year then ended, and the financial highlights for each of the five years in the period then ended (or for the period listed in the table below), in conformity with accounting principles generally accepted in the United States of America.
| Individual Fund Comprising the Pacific Funds |
Statement of Operations |
Statements of Changes in Net Assets |
Financial Highlights | |||
| Pacific FundsSM Ultra Short Income | For the year ended March 31, 2021. | For the year ended March 31, 2021 and for the period from June 28, 2019 (commencement of operations) through March 31, 2020. | For the year ended March 31, 2021 and for the period from June 28, 2019 (commencement of operations) through March 31, 2020. | |||
| Pacific FundsSM ESG Core Bond | For the period December 14, 2020 (commencement of operations) through March 31, 2021. | |||||
| PF Multi-Asset Fund | For the year ended March 31, 2021. | For the years ended March 31, 2021 and 2020. | For the years ended March 31, 2021, 2020, 2019 and the period from January 31, 2018 (commencement of operations) through March 31, 2018. | |||
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. 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, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting 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.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Costa Mesa, California
May 24, 2021
We have served as the auditor of one or more affiliated investment companies of Pacific Funds Series Trust since 1988.
E-1
Table of Contents
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, 2021 is as follows:
| Fund | Percentage | |||
| Pacific Funds Portfolio Optimization Conservative |
1.67% | |||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
5.49% | |||
| Pacific Funds Portfolio Optimization Moderate |
8.11% | |||
| Pacific Funds Portfolio Optimization Growth |
10.10% | |||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
15.02% | |||
| Pacific Funds Small-Cap |
98.69% | |||
| Pacific Funds Small-Cap Value |
23.52% | |||
| PF Large-Cap Value |
61.09% | |||
For the year ended March 31, 2021, 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 |
1.31% | |||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
3.94% | |||
| Pacific Funds Portfolio Optimization Moderate |
4.76% | |||
| Pacific Funds Portfolio Optimization Growth |
10.31% | |||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
15.11% | |||
| Pacific Funds Small-Cap |
98.69% | |||
| Pacific Funds Small-Cap Value |
23.82% | |||
| PF Large-Cap Value |
61.09% | |||
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 2022. 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, 2021. 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 |
$2,465,905 | |||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
11,238,471 | |||
| Pacific Funds Portfolio Optimization Moderate |
56,635,377 | |||
| Pacific Funds Portfolio Optimization Growth |
59,201,256 | |||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
28,423,692 | |||
| Pacific Funds Ultra Short Income |
57,708 | |||
| Pacific Funds Short Duration Income |
2,821,205 | |||
| Pacific Funds Core Income |
8,954,394 | |||
| Pacific Funds Small/Mid-Cap |
891,237 | |||
| PF Managed Bond |
4,159,022 | |||
| PF Growth |
46,975,554 | |||
| PF Large-Cap Value |
26,617,781 | |||
| PF Small-Cap Growth |
2,712,109 | |||
| PF Emerging Markets |
5,520,840 | |||
| PF International Large-Cap |
4,197,096 | |||
| PF Multi-Asset |
179,710,484 | |||
F-1
Table of Contents
PACIFIC FUNDS
(Unaudited)
See explanation of references on page F-4
F-2
Table of Contents
PACIFIC FUNDS
DISCLOSURE OF FUND EXPENSES (Continued)
(Unaudited)
See explanation of references on page F-4
F-3
Table of Contents
PACIFIC FUNDS
DISCLOSURE OF FUND EXPENSES (Continued)
(Unaudited)
F-4
Table of Contents
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 | |||
| INDEPENDENT TRUSTEES | ||||||
| Gale K. Caruso Year of birth 1957 |
Trustee since 1/01/06 | Trustee (1/06 to present) of Pacific Select Fund; Independent Trustee (2/15 to present) of Matthews Asia Funds.
Formerly: Member of the Board of Directors of LandAmerica Financial Group, Inc.; President and Chief Executive Officer of Zurich Life; Chairman, President and Chief Executive Officer of Scudder Canada Investor Services, Ltd.; Managing Director of Scudder Kemper Investments; Member of the Advisory Council to the Trust for Public Land in Maine; Member of the Board of Directors of Make-A-Wish of Maine. |
80 | |||
| Andrew J. Iseman Year of birth 1964 |
Trustee since 6/10/19 | Trustee (3/19 to present) of Pacific Select Fund; Consultant (3/19 to 6/19) to the Trust; Member of the Board of Advisors of Market Insight Out (11/20 to present) Chief Executive Officer (8/10 to 9/18) and Senior Adviser (10/18 to 1/19) of Scout Investments; President (11/10 to 11/17) of Scout Funds; Interested Trustee (4/13 to 11/17) of Scout Funds. | 80 | |||
| Paul A. Keller Year of birth 1954 |
Trustee since 6/20/16 | Trustee (6/16 to present) of Pacific Select Fund; Consultant (11/15 to 6/16) to the Trust and Pacific Select Fund; Independent Trustee (8/10 to present) and Chairman of the Board (8/19 to present) of Fenimore Asset Management Trust (FAM Funds); Business Consultant (7/10 to present) (sole proprietor); Certified Public Accountant in New York (1982 to present).
Formerly: Partner of PricewaterhouseCoopers LLP; Partner of McGladrey & Pullen LLP; Adjunct Professor of Accounting, SUNY College at Old Westbury; Interim Chief Financial Officer of The Leon Levy Foundation. |
80 | |||
| Lucie H. Moore Year of birth 1956 |
Trustee since 6/13/01 | Trustee (10/98 to present) of Pacific Select Fund; 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.
Formerly: Partner of Gibson, Dunn & Crutcher (Law); Member of the Board of Trustees of Sage Hill School; Member of the Board of Trustees of The Pegasus School; and Member of the Advisory Board of Court Appointed Special Advocates (CASA) of Orange County. |
80 | |||
| Nooruddin (Rudy) Veerjee Year of birth 1958 | Trustee since 9/13/05 | Trustee (1/05 to present) of Pacific Select Fund.
Formerly: President of Transamerica Insurance and Investment Group; President of Transamerica Asset Management; Chairman and Chief Executive Officer of Transamerica Premier Funds (Mutual Fund); and Director of various Transamerica Life Companies. |
80 | |||
F-5
Table of Contents
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 | |||
| INTERESTED PERSONS | ||||||
| James T. Morris Year of birth 1960 |
Chairman of the Board and Trustee since 1/11/07 | Director (4/07 to present), Chairman (5/08 to present), Chief Executive Officer (4/07 to present) and President (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 (1/16 to present) of Pacific Life; Director (4/16 to present) of Edison International (a public utility holding company); and Chairman of the Board and Trustee (1/07 to present) of Pacific Select Fund. | 80 | |||
| Adrian S. Griggs Year of birth 1966 |
Chief Executive Officer since 1/01/18 | Chief Operating Officer (1/17 to present), Executive Vice President (4/12 to present) and Chief Financial Officer (4/12 to 2/17) of Pacific Mutual Holding Company and Pacific LifeCorp; Chief Operating Officer (1/17 to present), Executive Vice President (4/12 to present), Chief Financial Officer (4/12 to 2/17) and Director (1/16 to present) of Pacific Life; Chief Executive Officer (1/15 to 6/18) of Pacific Select Distributors, LLC; and Chief Executive Officer (1/18 to present) of Pacific Select Fund. | 80 | |||
| Howard T. Hirakawa Year of birth 1962 |
Senior Vice President since 12/10/14 | Senior Vice President (4/14 to present) of Pacific Life Fund Advisors LLC; and Senior Vice President (12/14 to present) of Pacific Select Fund. | 80 | |||
| 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. | 85 | |||
| Sharon E. Pacheco Year of birth 1957 |
Vice President and Chief Compliance & Ethics Officer since 6/04/04 | Vice President and Chief Compliance & Ethics Officer (11/03 to present) of Pacific Mutual Holding Company and Pacific LifeCorp; Vice President (2/00 to present) and Chief Compliance & Ethics Officer (1/03 to present) of Pacific Life; Vice President and Chief Compliance & Ethics Officer (5/07 to present) of Pacific Life Fund Advisors LLC; and Vice President and Chief Compliance & Ethics Officer (6/04 to present) of Pacific Select Fund. | 80 | |||
| Jane M. Guon Year of birth 1964 |
Vice President and Secretary since 1/01/11 | Vice President and Secretary (1/11 to present) of Pacific Mutual Holding Company, Pacific LifeCorp and Pacific Life; Director (1/11 to 3/17) of Pacific Life; Vice President and Secretary (1/11 to present) of Pacific Life Fund Advisors LLC; Vice President and Secretary (1/11 to present) of Pacific Select Distributors, LLC; and Vice President and Secretary (1/11 to present) of Pacific Select Fund. | 80 | |||
| Laurene E. MacElwee Year of birth1966 |
Vice President since 4/04/05 and Assistant Secretary since 6/13/01 | Vice President (4/11 to present) and Assistant Secretary (5/07 to present) of Pacific Life Fund Advisors LLC; and Vice President (12/11 to present) and Assistant Secretary (4/05 to present) of Pacific Select Fund. | 80 | |||
| Carleton J. Muench Year of birth 1973 |
Vice President since 11/30/06 | Vice President (4/14 to present) 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. | 80 | |||
| Trevor T. Smith Year of birth 1975 |
Vice President since 3/23/16 and Treasurer since 4/01/18 | Assistant Vice President (1/17 to present) and Director (4/09 to 12/16) of Pacific Life; Assistant Vice President (3/16 to present), Treasurer (4/18 to present) and Assistant Treasurer (3/16 to 3/18) of Pacific Select Fund. | 80 | |||
| Bonnie J. Boyle Year of birth 1974 |
Vice President and Assistant Treasurer since 1/1/20 | Director (6/17 to present) and Accounting Manager (7/13 to 5/17) of Pacific Life; Assistant Vice President and Assistant Treasurer (1/20 to present) of Pacific Select Fund. | 80 | |||
F-6
Table of Contents
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 | |||
| INTERESTED PERSONS (Continued) | ||||||
| Kevin W. Steiner Year of birth 1975 |
Vice President since 1/01/13 | Assistant Vice President (4/12 to present) of Pacific Life Fund Advisors LLC; and Assistant Vice President (1/13 to present) of Pacific Select Fund. | 80 | |||
| Audrey L. Cheng Year of birth 1975 |
Vice President since 12/11/13 and Assistant Secretary since 1/1/20 | Assistant Vice President (9/11 to present) of Pacific Life; Assistant Vice President (12/13 to present) and Assistant Secretary (1/20 to present) of Pacific Select Fund. | 80 | |||
| Benjamin D. Wiesenfeld Year of birth 1978 |
Assistant Vice President and Deputy Chief Compliance & Ethics Officer since 1/01/21 | Assistant Vice President (6/20 to present) of Pacific Life; Chief Compliance Officer (10/20 to present) of Pacific Select Distributors, LLC; Chief Compliance Officer (8/18 to 11/19) of Oakmark Funds; Chief Compliance Officer (6/16 to 6/18) of Northern Funds, Northern Institutional Funds and FlexShares ETFs; General Counsel and Chief Compliance Officer (5/09 to 6/16) of Scout Investments, Inc. and Scout Funds; Vice President and Deputy Chief Compliance & Ethics Officer (1/21 to present) of Pacific Select Fund. | 80 | |||
| * | A trustee serves until he or she resigns, retires, or his or her successor is elected and qualified. |
| ** | As of March 31, 2021, the “Fund Complex” consisted of Pacific Select Fund (51 funds) and Pacific Funds (29 funds). |
F-7
Table of Contents
PACIFIC FUNDS
STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
The Trust has a liquidity risk management program (the “Program”). The Trust’s Board of Trustees (the “Board”) has designated the Liquidity Oversight Committee (the “Committee”) of Pacific Life Fund Advisors LLC (the “Investment Adviser”) as the administrator of the Program. Personnel of the Investment Adviser conduct the day-to-day operation of the Program pursuant to policies and procedures administered by the Committee.
Under the Program, the Committee manages the liquidity risk of each Fund of the Trust. Liquidity risk is the risk that a Fund could not meet shareholder redemption requests without significant dilution of remaining shareholders’ interests in that Fund. This risk is managed by monitoring the degree of liquidity of each Fund’s investments, limiting the amount of the Fund’s illiquid investments, and utilizing various risk management tools and facilities available to the Fund for meeting shareholder redemptions, among other means. The Committee’s process for determining the degree of liquidity of each Fund’s investments is supported by one or more third-party liquidity assessment vendors.
The Board reviewed a report prepared by the Committee regarding the operation and effectiveness of the Program for the period January 1, 2020 through December 31, 2020. The report included, among other information, each Fund’s (i) investment strategy and the liquidity of its portfolio investments during both normal and reasonably foreseeable stressed market conditions; (ii) short-term and long- term cash flow projections during both normal and reasonably foreseeable stressed conditions; and (iii) holdings of cash and cash equivalents, as well as relevant borrowing arrangements.
The report indicated periods of heightened volatility across various markets, though no significant liquidity events impacting any Fund were noted in the report. In addition, the Committee provided its assessment that the Program had been effective in managing each Fund’s liquidity risk.
F-8
Table of Contents
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, as may be amended from time to time, the “Agreements”) between the Trust, PLFA and the various sub-advisers, including affiliated sub-advisers, if any (each a “Sub-Adviser” and collectively, the “Sub-Advisers”). PLFA serves as the investment adviser for all of the Funds. PLFA also currently directly manages 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 “Asset Allocation Funds”), as well as a portion of the PF Multi-Asset Fund (together with the Asset Allocation Funds, the “Directly Managed Funds”). For the collateral portion of the PF Multi-Asset Fund and all other Funds, PLFA has retained affiliated or unaffiliated firms to serve as Sub-Advisers under PLFA’s oversight. The Board, including all of the Trustees who are not “interested persons” of the Trust, PLFA, the Sub-Advisers or the distributor, as that term is defined in the 1940 Act (“Independent Trustees”), last renewed the Agreements at a meeting of the Trustees held on December 8, 2020.1 Although the 1940 Act requires that continuances of the Agreements be approved by the in-person vote of a majority of the Independent Trustees, the December 8, 2020 meeting, which was attended by all of the Trustees, was held virtually through the internet in view of the health risks associated with holding an in-person meeting during the COVID-19 pandemic and governmental restrictions on gatherings. The December 8, 2020 meeting was held in reliance on an order issued by the Securities and Exchange Commission on March 13, 2020, as extended on March 25, 2020, which provided registered investment companies temporary relief from the in-person voting requirements of the 1940 Act with respect to the approval of a fund’s advisory agreement in response to the challenges arising in connection with the COVID-19 pandemic.
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 virtual 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, which included 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, risk management, business continuity plan, cybersecurity 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 (or expected to be incurred by and charged to) the Funds under the Agreements.
The Board noted that as the investment adviser, PLFA provides a broad range of services to the Trust, including among others: overseeing and coordinating the activities of Sub-Advisers and other third-party service providers, evaluating Sub-Advisers in connection with its recommendations to the Board to hire or terminate Sub-Advisers, making regulatory filings (including disclosure and financial filings) on behalf of the Trust, monitoring fund performance, performing risk oversight of the Funds, providing the Board with information and reports as may be requested, providing valuation support, administering the Trust’s liquidity risk management program, providing compliance-related services and providing personnel and office space to the Trust. These responsibilities are described in more detail below. The Trustees also considered that PLFA incurs substantial reputational, financial, litigation, regulatory and business risks by serving as investment adviser. 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 regarding the Funds’ investment performance, advisory fees and expense information (both on an absolute basis and compared to peers). Additionally, the Independent Trustees retained an independent consultant (“Independent Consultant”) with substantial industry experience in providing investment company boards with analysis to assist directors and trustees with 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. 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.
| 1 | At the December 8th meeting, the Board did not consider the continuance of the Sub-Advisory Agreements relating to the Pacific Funds Core Income, Pacific Funds Floating Rate Income, Pacific Funds High Income, Pacific Funds Short Duration Income, Pacific Funds Strategic Income, Pacific Funds Ultra Short Income, PF Multi-Asset Fund, PF Large-Cap Value Fund, PF Small-Cap Growth Fund, PF International Small-Cap Fund or PF Managed Bond Fund (with respect to Western Asset Management Company, LLC (“Western Asset”) and J.P. Morgan Investment Management Inc. (“JPMorgan”)) as those agreements were not up for renewal at that time. |
F-9
Table of Contents
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
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 process to evaluate Sub-Advisers in connection with its recommendations to the Board to hire or terminate Sub-Advisers, its monitoring and oversight of the Sub-Advisers, 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 since the Advisory Agreement was last renewed. The Trustees considered the overall financial strength and stability of PLFA and its ability to continue 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 officers and employees of PLFA regularly consult with, and report to, the Board regarding the investment management services provided to the Funds. The Trustees considered the experience, capability and integrity of PLFA’s senior management and other personnel and the low turnover rates of its key personnel. The Trustees noted that the investment, legal, compliance, 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 under an administration agreement 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 so as to enhance its management and oversight of the Funds, including additional tools designed to ensure the Funds’ compliance with new laws and regulations. The Trustees considered that PLFA employs a well-defined method of comparing and evaluating the performance of the Asset Allocation Funds and continues to employ resources to refine that method. In addition, the Trustees considered PLFA’s sub-adviser research process and 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.
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. The Trustees considered that PLFA 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 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. The Trustees considered that PLFA had engaged a third-party consulting firm to review PLFA’s asset allocation process in 2016, and that the firm had reported favorably on PLFA’s asset allocation capabilities. With respect to the PF Multi-Asset Fund, the Trustees also considered PLFA’s trading-related and valuation responsibilities.
The Trustees also considered that PLFA provides certain additional services to the Funds outside of the scope of the Advisory Agreement under an administration agreement 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 material rebalancing of PLFA’s asset allocation models are presented to an internal conflicts review committee that considers and evaluates potential conflicts of interest in the allocation among the Underlying Funds. The Trustees considered the report of PLFA’s internal conflicts review committee and also reviewed information provided throughout the year on PLFA’s compliance policies and procedures, its compliance history, and received 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 on an ongoing basis and noted the development of additional 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 by Rule 38a-1 under 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 that PLFA recommends to the Board the hiring and termination of Sub-Advisers and performs the associated due diligence relating to such recommendations, the risk and performance oversight of the Sub-Advisers performed by PLFA and
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the fact that PLFA provides valuation support for Sub-Advised Funds. The Trustees noted 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 groups of peer funds. The Trustees also considered that PLFA monitors each Sub-Advised Fund’s adherence to its investment objectives and policies. The Trustees noted that PLFA provides the Board with periodic and special reports related to each Sub-Advised Fund’s performance and PLFA’s 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 the 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 and/or stress testing, 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. Additionally, the Board considered how the Adviser’s business continuity plan has operated during the current COVID-19 pandemic and the updates it provided to the Board on how the business continuity plans of Sub-Advisers and other third-party service providers were operating.
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 or changes to existing 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 each 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. 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 these 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 tracking the Sub-Advisers’ investment style consistency, for analyzing the use of derivatives by Sub-Advisers and for monitoring Fund liquidity.
In making their assessments, the Trustees considered that PLFA has historically exercised diligence in monitoring the performance of the Sub-Advisers, 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 regular due diligence on Sub-Advisers involving onsite visits, in-person meetings, video 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 the 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 regarding 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 also considered the information and support provided by PLFA in connection with the Trustees’ fair valuation responsibilities.
The Trustees considered PLFA’s oversight, review and analysis of trade execution reports and trends in trade execution for the 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 research obtained with commissions paid to broker-dealers for executing portfolio transactions (“soft dollars”) and presents information about the Sub-Advisers’ use of soft dollars to the Board annually and, where deemed necessary, discusses such soft dollar use with Sub-Advisers.
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 the Asset Allocation Funds and the transition of Fund assets from
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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 by Rule 38a-1 under the 1940 Act, and each Sub-Adviser’s code of ethics. The Trustees considered that PLFA is compensated under the administration agreement 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 for the unaffiliated Sub-Advisers, 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 each Sub-Adviser provides PLFA with information that assists PLFA in performing its oversight role, including information about the Sub-Adviser’s compliance program.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PLFA and each Sub-Adviser.
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 a group of appropriate peer funds (each a “Selected Performance Peer Group”), which were selected by an Independent Consultant using data from third-party data vendor Morningstar, and the Trustees reviewed a description of the Independent Consultant’s methodology for selecting the peer funds in each Selected Performance Peer Group. In addition, with respect to Funds other than the Asset Allocation Funds, the Trustees compared each Fund’s total returns with the total returns of the Fund’s broad-based market index, sector index, composite index or an alternative index selected by the Independent Consultant, as applicable (each, a “primary benchmark”). With respect to the Asset Allocation Funds, the Trustees compared each Fund’s total returns with the total returns of a custom benchmark that is comprised of certain broad-based market indices based on the broad asset class target allocations for the Fund. The Trustees took into account the views of the Independent Consultant that the custom benchmarks appeared to be reasonable benchmarks for performance reporting purposes.
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, 2020, as available, compared to the applicable benchmark and Selected Performance Peer Group. The Trustees placed greater emphasis on a Fund’s performance against peers as opposed to an unmanaged index.
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 benchmark while others underperformed their Selected Performance Peer Group over certain periods and/or trailed the return of their respective benchmark. In considering each Fund’s investment results, the Board placed greater emphasis on each Fund’s longer-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. When reviewing a Fund’s performance against its Selected Performance Peer Group, the Board took into account that the investment objective and strategies of the Fund, as well as its level of risk tolerance, may differ significantly from funds in the Selected Performance Peer Group. With respect to actively managed Funds, when reviewing a Fund’s performance against its benchmark, the Board took into account the differences in portfolio construction between the Fund and such benchmark as well as other differences between actively managed funds and passive benchmarks, such as objectives and risks
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 took into account 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 Fund’s 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 with respect to the Directly Managed Funds, as well as the oversight and monitoring by PLFA as the investment adviser, to gain an
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understanding of any recurring or material underperformance and to assess whether any actions would be appropriate. In addition, the Board considered any specific actions that PLFA or a Sub-Adviser has 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. The following summary highlights certain, but not all, relevant facts considered by the Board with respect to the Fund’s performance track record.
PF Growth Fund
The Fund outperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods and ranked in the third quintile of its Peer Group for the one-year period and the first or second quintile for the three-, five- and ten-year periods. In evaluating the performance of the Fund, the Board also considered that the current Sub-Adviser has managed the Fund since 2013.
PF Large-Cap Value Fund
The Fund outperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods and ranked in the first or second quintile of its Peer Group for the one-, three-, five- and ten-year periods. In evaluating the performance of the Fund, the Board also considered that it had recently approved a new Sub-Advisory Agreement for the Fund effective July 2020 in connection with a change in control of the Sub-Adviser and, therefore, the Sub-Advisory Agreement was not up for renewal at this time.
Pacific Funds Large-Cap Value
The Fund outperformed its Selected Performance Peer Group median for the one- and three-year periods and underperformed for the five-year period and ranked in the second quintile of its Peer Group for the one-year period and the third quintile for the three- and five-year periods.
Pacific Funds Small/Mid-Cap
The Fund underperformed its Selected Performance Peer Group median for the one- and five-year periods and outperformed for the three-year period and ranked in the third quintile of its Peer Group for the one- and three-year periods and the fourth quintile for the five-year period.
Pacific Funds Small-Cap
The Fund underperformed its Selected Performance Peer Group median for the one-, three- and five-year periods and ranked in the fourth quintile of its Peer Group for the one-, three- and five-year periods. In evaluating the performance of the Fund, the Board also considered PLFA’s views as to the reasons for the Fund’s relative performance against peers over various time periods and PLFA’s future outlook for the Fund. The Board also considered that PLFA will closely monitor it for improved performance.
PF Small-Cap Growth Fund
The Fund outperformed its Selected Performance Peer Group median for the one-, three- and five-year periods and performed in line for the ten-year period and ranked in the first or second quintile of its Peer Group for the one-, three- and five-year periods and the third quintile for the ten-year period. In evaluating the performance of the Fund, the Board also considered that it had recently approved a new Sub-Advisory Agreement for a new Sub-Adviser to the Fund effective May 2020 and, therefore, the Sub-Advisory Agreement was not up for renewal at this time.
PF Small-Cap Value Fund
The Fund underperformed its Selected Performance Peer Group median for the one- and three-year periods and outperformed for the five- and ten-year periods and ranked in the third quintile of its Peer Group for the one- and three-year periods and the second quintile for the five- and ten-year periods. In evaluating the performance of the Fund, the Board also considered that the current Sub-Adviser co-managed the Fund with another firm from May 2014 to October 2015 and since October 2015 has been the sole Sub-Adviser, and that prior to May 2014 another firm managed the Fund.
Pacific Funds Small-Cap Value
The Fund underperformed its Selected Performance Peer Group median for the one-, three- and five-year periods and ranked in the fourth or fifth quintile of its Peer Group for the one-, three- and five-year periods. In evaluating the performance of the Fund, the Board also considered PLFA’s views as to the reasons for the Fund’s relative performance against peers over various time periods and PLFA’s future outlook for the Fund. The Board also considered that PLFA has highlighted the Fund and will closely monitor it for improved performance.
PF Emerging Markets Fund
The Fund underperformed its Selected Performance Peer Group median for the one-year period and outperformed for the three-, five- and ten-year periods and ranked in the third quintile of its Peer Group for the one-year period and the second quintile for the three-, five- and ten-year periods.
PF Emerging Markets Debt Fund
The Fund underperformed its Selected Performance Peer Group median for the one- and three-year periods and outperformed for the five-year period and ranked in the fifth quintile of its 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 also considered PLFA’s views as to the reasons for the Fund’s relative performance against peers over various time periods and PLFA’s future outlook for the Fund. The Board also considered that performance has recently improved and PLFA will continue to closely monitor it for improved performance.
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APPROVAL OF INVESTMENT ADVISORY
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PF International Large-Cap Fund
The Fund underperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods and ranked in the fourth or fifth quintile of its Peer Group for the one-, three-, five- and ten-year periods. In evaluating the performance of the Fund, the Board also considered PLFA’s views as to the reasons for the Fund’s relative performance against peers over various time periods and PLFA’s future outlook for the Fund. The Board also considered that PLFA has highlighted the Fund and will closely monitor it for improved performance.
PF International Small-Cap Fund
The Fund outperformed the Selected Performance Peer Group median for the one-year period and underperformed for the three- and five-year periods and ranked in the second quintile of its Peer Group for the one-year period and the fourth quintile for the three- and five-year periods. In evaluating the performance of the Fund, the Board also considered that it had recently approved a new Sub-Advisory Agreement for the Fund effective July 2020 in connection with a change in control of the Sub-Adviser and, therefore, the Sub-Advisory Agreement was not up for renewal at this time.
PF International Value Fund
The Fund underperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods and ranked in the fifth quintile of its Peer Group for the one-, three-, five- and ten-year periods. In evaluating the performance of the Fund, the Board also considered that the current Sub-Adviser has managed the Fund since 2017. In evaluating the performance of the Fund, the Board also considered PLFA’s views as to the reasons for the Fund’s relative performance against peers over various time periods and PLFA’s future outlook for the Fund. The Board also considered that PLFA has added the Fund to its “watch list” and will closely monitor it for improved performance.
PF Multi-Asset Fund
The Fund underperformed its Selected Performance Peer Group median for the one-year period and ranked in the third quintile of its Peer Group for the one-year period. In evaluating the performance of the Fund, the Board also considered that the Fund had not been in operation for a sufficient time period to establish a meaningful track record. The Board also considered the Fund’s contribution to the performance of the Asset Allocation Funds.
PF Real Estate Fund
The Fund outperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods and ranked in the second quintile of its Peer Group for the one-, three-, five- and ten-year periods. In evaluating the performance of the Fund, the Board also considered that the current Sub-Adviser has managed the Fund since 2018.
Pacific Funds Core Income
The Fund underperformed its Selected Performance Peer Group median for the one-year period and outperformed for the three- and five-year periods and ranked in the third quintile of its Peer Group for the one-year period and the second quintile for the three- and five-year periods.
Pacific Funds Floating Rate Income
The Fund outperformed its Selected Performance Peer Group median for the one-, three- and five-year periods and ranked in the first or second quintile of its Peer Group for the one-, three- and five-year periods.
Pacific Funds High Income
The Fund underperformed its Selected Performance Peer Group median for the one-year period and outperformed for the three- and five-year periods and ranked in the fourth quintile of its Peer Group for the one-year period, the third quintile for the three-year period and the second quintile for the five-year period.
PF Inflation Managed Fund
The Fund outperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods and ranked in the first quintile of its Peer Group for the one-, three-, five- and ten-year periods. In evaluating the performance of the Fund, the Board also 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.
PF Managed Bond Fund
The Fund outperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods and ranked in the first or second quintile of its Peer Group for the one-, three-, five- and ten-year periods. In evaluating the performance of the Fund, the Board also 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 co-managed the Fund since 2014. In evaluating the performance of the Fund, the Board also considered that it had recently approved (i) a new Sub-Advisory Agreement for the Fund with Western Asset effective July 2020 in connection with a change in control of the Sub-Adviser and (ii) a new Sub-Advisory Agreement for the Fund with JPMorgan effective October 2020 in connection with the addition of a co-Sub-Adviser and, therefore, the Sub-Advisory Agreements with Western Asset and JPMorgan were not up for renewal at this time.
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PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
PF Short Duration Bond Fund
The Fund outperformed its Selected Performance Peer Group median for the one- and three-year periods, performed in line for the five-year period and underperformed for the ten-year period and ranked in the first or second quintile of its Peer Group for the one- and three-year periods, 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 also considered that the current Sub-Adviser has managed the Fund since 2011.
Pacific Funds Short Duration Income
The Fund underperformed its Selected Performance Peer Group median for the one-year period and outperformed for the three- and five-year periods and ranked in the fourth quintile of its Peer Group for the one-year period and the second quintile for the three- and five-year periods.
Pacific Funds Strategic Income
The Fund outperformed its Selected Performance Peer Group median for the one-, three- and five-year periods and ranked in the first or second quintile of its Peer Group for the one-, three- and five-year periods.
Pacific Funds Ultra Short Income
The Fund outperformed its Selected Performance Peer Group median for the one-year period and ranked in the first quintile of its Peer Group for the one-year period. In evaluating the performance of the Fund, the Board also considered that the Fund had not been in operation for a sufficient time period to establish a meaningful track record.
Pacific Funds Portfolio Optimization Aggressive-Growth
The Fund performed in line with its Selected Performance Peer Group median for the one-year period, outperformed for the three- and five-year periods and underperformed for the ten-year period and ranked in the third quintile of its Peer Group for the one- and three-year periods, the second quintile for the five-year period and the fifth quintile for the ten-year period.
Pacific Funds Portfolio Optimization Conservative
The Fund outperformed its Selected Performance Peer Group median for the one-, three- and five-year periods and underperformed for the ten-year period and ranked in the first quintile of its Peer Group for the one-, three- and five-year periods and the fourth quintile for the ten-year period.
Pacific Funds Portfolio Optimization Growth
The Fund outperformed its Selected Performance Peer Group median for the one-, three- and five-year periods and underperformed for the ten-year period and ranked in the second quintile of its Peer Group for the one-year period, the third quintile for the three- and five-year periods and the fourth quintile for the ten-year period.
Pacific Funds Portfolio Optimization Moderate-Conservative
The Fund outperformed its Selected Performance Peer Group median for the one-, three- and five-year periods and underperformed for the ten-year period and ranked in the second quintile of its Peer Group for the one-, three- and five-year periods and the third quintile for the ten-year period.
Pacific Funds Portfolio Optimization Moderate
The Fund outperformed its Selected Performance Peer Group median for the one-, three- and five-year periods and underperformed for the ten-year period and ranked in the second quintile of its Peer Group for the one-year period, the third quintile for the three- and five-year periods and the fourth quintile for the ten-year period.
*****
The Trustees reviewed the monitoring of each Sub-Advisers’ investment results by PLFA, including PLFA’s historical practice of recommending to the Trustees a change in Sub-Adviser when circumstances warrant. Generally, the Trustees noted that there continues to be a record of well-managed Funds that are appropriate to serve as Underlying Funds for 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 appropriately 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 PLFA’s continued management, as well as the continuation of the respective Sub-Advisory Agreements, will benefit each Fund and its shareholders.
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AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
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 net 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 advisory fees and expenses with the fees and expense levels of a group of appropriate 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 Asset Allocation Funds, the Selected Expense Peer Group information is used to review the Funds’ expenses, excluding acquired fund fees and expenses, to the peer group. The Trustees also compared the net expense ratio (including acquired fund fees and expenses) for these funds with the average net expense ratio of funds in the Morningstar Category determined to be similar to the relevant Asset Allocation Fund (“Comparable Peer Fund Average”).
A summary of certain comparative fee and expense information considered by the Trustees for each Fund is provided below.
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 Value 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 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.
Pacific Funds Large-Cap Value
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
Pacific Funds Small/Mid-Cap
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.
Pacific Funds Small-Cap
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 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 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.
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PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Pacific Funds Small-Cap Value
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 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 Debt Fund
The Trustees considered that (a) the advisory fee for the Fund (before waivers) 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 slightly 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 considered that PLFA currently has contractually agreed to waive 0.02% of its advisory fee.
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 third 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.
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 Multi-Asset 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 Real Estate Fund
The Trustees considered that (a) the advisory fee for the Fund (before waivers) is slightly greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group. The Trustees considered that PLFA currently has contractually agreed to waive 0.15% of its advisory fee.
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 fifth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are slightly greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group. The Trustees noted that pursuant to a fee waiver agreement, PLFA has agreed to a breakpoint schedule that had the effect of reducing the Fund’s advisory fee based on the Fund having attained varying higher asset levels.
Pacific Funds Floating Rate Income
The Trustees considered that (a) the advisory fee for the Fund is slightly 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 slightly 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 pursuant to a fee waiver agreement, PLFA has agreed to a breakpoint schedule that had the effect of reducing the Fund’s advisory fee based on the Fund having attained varying higher asset levels.
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PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
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 first quintile of its Selected Expense Peer Group. The Trustees noted that pursuant to a 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 Inflation Managed Fund
The Trustees considered that (a) the advisory fee for the Fund is slightly 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 slightly greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group.
PF Managed Bond Fund
The Trustees considered that (a) the advisory fee for the Fund (before waivers) 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 considered that PLFA currently has contractually agreed to waive 0.0075% of its advisory fee.
PF Short Duration Bond Fund
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the 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.
Pacific Funds Short Duration Income
The Trustees considered that (a) the advisory fee for the Fund is slightly greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are 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 pursuant to a fee waiver agreement, PLFA has agreed to a breakpoint schedule that had the effect of reducing the Fund’s advisory fee based on the Fund having attained varying higher asset levels.
Pacific Funds Strategic Income
The Trustees considered that (a) the advisory fee for the Fund is slightly less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are slightly 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 further noted that pursuant to a 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 Ultra Short 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 first quintile of its Selected Expense Peer Group.
Pacific Funds Portfolio Optimization Aggressive-Growth
The Trustees considered that (a) the advisory fee for the Fund is slightly greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; (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 pursuant to a 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 Conservative
The Trustees considered that (a) the advisory fee for the Fund is slightly greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; (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 pursuant to a 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.
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PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Pacific Funds Portfolio Optimization Growth
The Trustees considered that (a) the advisory fee for the Fund is slightly greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; (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 pursuant to a 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 slightly greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; (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 pursuant to a 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 slightly greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; (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 pursuant to a 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 considered that all of the Funds were subject to contractual expense limitations on certain operating expenses agreed to by PLFA.
The Trustees also considered information from the Sub-Advisers regarding the comparative sub-advisory fees charged under other investment advisory contracts for similarly managed accounts, such as contracts of each Sub-Adviser with other similarly managed registered investment companies or other types of clients. The Trustees noted that in many cases there were differences in the level of services provided to the Funds by the Sub-Advisers and that the level of services provided by these Sub-Advisers on these other accounts differed due to the nature of the accounts or because there were other reasons to support the difference in fees, such as an affiliation between the Sub-Adviser and the account. These differences often explained variations in fee schedules. The Trustees were mindful that, with the exception of the affiliated Sub-Adviser, the Sub-Advised Funds’ fee rates were the result of arms’-length negotiations between PLFA and the Sub-Advisers. For the affiliated Sub-Adviser, the Trustees took into account the fact that each Sub-Advised Funds’ fee rates were not the subject of an arms’-length negotiation with PLFA, but considered information relating to competitive fees charged by similarly managed funds. In all cases, the Trustees considered that all sub-advisory fees are paid by PLFA and are not paid directly by a Fund.
The Board concluded that the advisory fees, sub-advisory fees and total expenses of each Fund were fair and reasonable.
D. Costs, Level of Profits and Economies of Scale
The Trustees reviewed information provided by PLFA regarding PLFA’s costs of sponsoring and operating the Funds and information regarding the profitability of PLFA from each Fund. For 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.
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PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Accordingly, in the case of the unaffiliated Sub-Advisers, the Trustees considered the data described above in light of the arms’-length nature of the relationship 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 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 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 highly competitive with peers to attract assets at the Fund’s inception. The Trustees also considered that some Sub-Advisers have agreed to breakpoints in their sub-advisory fee schedules. The Trustees noted that 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 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 considered that the advisory fee waivers effectively implement breakpoints in PLFA’s advisory fees where determined to be appropriate so as to share economies of scale or other cost savings that PLFA has attained.
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.
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 additional 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 regarding 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, 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 regarding 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 and any potential conflicts of interest 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 mutual fund investment management organizations 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 all of the Independent Trustees, concluded that: (i) the Advisory Agreement and each applicable Sub-Advisory Agreement are fair and reasonable with respect to each applicable Fund and its shareholders; (ii) that the renewal of the Advisory Agreement and each applicable Sub-Advisory Agreement would be in the best interests of each Fund and its shareholders; and (iii) the recommendation by PLFA to the Board to enter into each Sub-Advisory Agreement with respect to each unaffiliated Sub-Adviser was not inappropriately influenced by conflicts of interest. 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.
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PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
III. Other Investment Advisory and Sub-Advisory Agreement Approval
In addition to considering the renewal of the Advisory Agreement and existing Sub-Advisory Agreements during the period, the Board considered and approved the Advisory Agreement and Sub-Advisory Agreement with respect to Pacific Funds ESG Core Bond, a new Fund, and the Sub-Advisory Agreement with respect to PF Managed Bond Fund, as discussed below.
Pacific Funds ESG Core Bond
At an in-person meeting on September 16, 2020, the Board, including all the Independent Trustees, approved the establishment and designation of a newly-organized Fund of the Trust, Pacific Funds ESG Core Bond, effective on or about December 14, 2020. In connection with this approval, the Board also approved, effective on or about December 14, 2020, the Advisory Agreement with PLFA with respect to the new Fund (the “ESG Core Bond Advisory Agreement”) and the Sub-Advisory Agreement with Pacific Asset Management LLC (“PAM”) (the “PAM Sub-Advisory Agreement”).
In evaluating the ESG Core Bond Advisory Agreement and the PAM Sub-Advisory Agreement, the Board, including all the Independent Trustees, considered the following factors, among others:
A. Nature, Extent and Quality of Services to be Provided
Fund Oversight and Supervision – PLFA, its personnel and its resources. The Trustees considered the depth and quality of PLFA’s investment management process, including its sophisticated monitoring and oversight of sub-advisers; the experience, capability and integrity of its senior management and other personnel; the low turnover rates of its key personnel; and the overall financial strength and stability of its organization. The Trustees considered the high quality of the products and services provided by PLFA and its affiliates, such as the many educational services and tools offered to assist intermediaries in effectively understanding and meeting shareholder needs. The Trustees also noted that PLFA regularly informs them about matters relevant to the Trust, its shareholders and investing.
The Trustees considered that PLFA’s investment, legal, compliance and accounting professionals have access to and utilize a variety of resources and systems relating to investment management, compliance, trading, performance analysis, security valuation and portfolio accounting. The Trustees took into account the scope of services to be provided by PLFA under the ESG Core Bond Advisory Agreement. The Trustees considered that although PLFA would be 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 ESG Core Bond Advisory Agreement, these services would be provided as a result of PLFA’s advisory relationship with the Fund. 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 Fund. The Trustees also considered the additional resources that PLFA has continued to invest in to enhance its management and oversight of the funds for which it serves as investment adviser, including additional tools designed to ensure compliance with new laws and regulations.
The Trustees noted PLFA’s proposed responsibilities in rendering services to the Fund and the fact that PLFA would monitor and evaluate the performance of JPMorgan in comparison to the Fund’s investment objective as well as to an appropriate benchmark index and group of peer funds. The Trustees also considered that PLFA would monitor the Fund’s adherence to its investment objectives and policies. The Trustees noted that PLFA would provide the Board with periodic and special reports related to the Fund’s performance and PLFA’s investment monitoring and evaluation.
The Trustees considered the benefits to shareholders of retaining PLFA to serve as the investment adviser to the Fund in light of the nature, extent, and quality of services expected to be provided by PLFA. The Trustees considered PLFA’s ability to provide an appropriate level of support and resources to the Fund, and that PLFA has sufficiently qualified personnel to provide the appropriate investment management, compliance and monitoring services required for the Fund. The Trustees based this review on information and materials provided to them throughout the year by PLFA related to other funds for which it serves as investment adviser. The Trustees considered PLFA’s continued development and use of analytical tools for assessing fund performance and the performance of sub-advisers, conducting a risk analysis, return analysis and an attribution analysis on performance and reporting on performance to the Trustees. The Trustees noted that PLFA uses these tools to monitor and identify underperformance as well as identify funds that are performing well relative to applicable benchmarks or peer groups, and to analyze the funds’ performance records against various measures. The Trustees considered that PLFA also conducts various analyses to try to assess the sources of and reasons for performance. The Trustees noted that PLFA has developed processes to oversee and monitor a sub-adviser’s execution of investment strategies. The Trustees 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 conducts periodic due diligence on sub-advisers involving on-site visits, in-person meetings and telephonic meetings to gather information that PLFA uses to attempt to gain an in-depth understanding of a sub-adviser’s investment process and to seek to identify issues that may be relevant to a sub-adviser’s services to a fund or a fund’s performance, 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 also considered the background and experience of PLFA’s senior management.
The Trustees also considered PLFA’s compliance operations with respect to the Trust, including the measures taken by PLFA to assist the Trust in complying with Rule 38a-1 under the 1940 Act. The Trustees further considered the monitoring and additional services that would be
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PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
provided by PLFA to the Fund, including assistance with performance evaluation, risk management oversight, preparation of periodic performance and financial reports, review of trade execution and coordination of the services of other service providers to the Trust.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services to be provided by PLFA to the Fund under the ESG Core Bond Advisory Agreement.
PAM. The Trustees considered the benefits to shareholders of retaining PAM as a sub-adviser to the Fund, particularly in light of the nature, extent, and quality of the services expected to be provided by PAM. In this regard, the Trustees considered various materials relating to PAM, including copies of the proposed PAM Sub-Advisory Agreement; copies of PAM’s Form ADV; financial information; a written presentation from PAM; a comprehensive report including an assessment by PLFA; responses from PAM to information requested by counsel to the Independent Trustees; and other information deemed relevant to the Trustees’ evaluation. The Trustees also considered a verbal presentation at a meeting held virtually on September 16, 2020 from the investment management team of PLFA and from management and investment personnel from PAM where all attendees could hear each other clearly. The Trustees also considered that PAM is a wholly-owned subsidiary of Pacific Life and therefore is affiliated with PLFA.
The Trustees considered that under the PAM Sub-Advisory Agreement, PAM would be responsible for providing investment advisory services for the Fund’s assets, including providing investment research and analysis and conducting a continuous program of investment by determining which securities would be purchased or sold by the Fund. The Trustees considered the quality of the management services expected to be provided to the Fund over both the short- and long-term, the organizational depth and resources of PAM, including the background and experience of PAM’s management and the expertise of the portfolio management team, as well as the investment strategies, processes and philosophy to be used with respect to the investment strategy.
In addition, the Trustees considered that they had previously reviewed and approved PAM’s written compliance policies and procedures and code of ethics, and that the Trust’s Chief Compliance Officer previously provided an assessment of PAM’s compliance program, as required under Rule 38a-1 of the 1940 Act, and its code of ethics. The Trustees also took note of the due diligence PLFA conducted with respect to PAM, and were aided by the assessment and recommendation of PLFA and the presentation and materials provided by PAM.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services anticipated to be provided to the Fund by PAM under the PAM Sub-Advisory Agreement.
B. Performance
The Trustees considered PLFA’s recommendation of PAM to serve as sub-adviser with regard to the Fund’s day-to-day investment activities. Because this consideration related to a newly-organized fund, no actual performance record for the Fund was available. However, the Trustees considered the investment process and techniques to be used by PAM for the Fund and PAM’s experience managing core bond strategies, as well as other factors concerning performance in connection with their consideration of this matter and in connection with approval of the PAM Sub-Advisory Agreement, including the factors described below. The Trustees also considered that while PAM does not currently manage an account with this strategy, it manages Pacific Funds Core Income with a similar investment strategy.
The Trustees considered information about the historical performance of Pacific Funds Core Income, managed by the same PAM portfolio management team that would manage the Fund. The Trustees considered that this information included a comparison of Pacific Funds Core Income’s performance against a pertinent benchmark and an applicable peer group for the one-, three- and five-year periods as of June 30, 2020.
The Trustees considered additional information about the historical performance of a portfolio managed by the same PAM portfolio management team that would manage the Fund using the same ESG-oriented rules as the Fund. The Trustees considered that this information included a comparison of the portfolio’s performance against a pertinent benchmark since inception as of June 30, 2020.
The Board determined that PAM’s performance record was acceptable.
C. Advisory and Sub-Advisory Fees
PLFA. The Trustees requested, received and reviewed information from PLFA relating to the proposed advisory fee and net expense ratio for the Fund. The Trustees reviewed the proposed advisory fee compared with the average fees of other funds in an applicable peer group. The Trustees considered that the proposed advisory fee was in line with industry averages for similar investment products based on the data presented to the Board. The Board concluded that the compensation payable to PLFA under the ESG Core Bond Advisory Agreement is fair and reasonable.
PAM. The Trustees considered that PAM does not currently manage any other accounts with similar investment strategies as the Fund.
The Board concluded that the compensation payable under the PAM Sub-Advisory Agreement is fair and reasonable, and that the amount of the advisory fee retained by PLFA after paying the sub-advisory fee to PAM is fair and reasonable.
D. Costs, Level of Profits and Economies of Scale
Costs and Profitability. The Trustees reviewed information regarding PLFA’s projected costs of sponsoring and operating the Fund and information regarding the anticipated projected profitability of the proposed Fund to PLFA. The Trustees considered the projected cost of services to be provided and projected profits to be realized by PLFA from the relationship with the Fund based on the projected assets, income and expenses of PLFA in its relationship with the Fund. The Trustees noted that this projected information contains estimates because there is no actual operating history for the Fund. The Trustees also considered the overall financial soundness of PLFA.
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PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
The Trustees considered information regarding the anticipated costs to PAM of sub-advising the Fund and the projected profitability of the PAM Sub-Advisory Agreement to PAM, to the extent practicable based on the information provided by PAM. The Trustees noted that any assessment of projected profitability would involve assumptions regarding expense allocations and other factors. Given the fact that the sub-advisory fees are paid by PLFA and the fact that the projected profitability of the PAM Sub-Advisory Agreement to PAM is an estimate because it had not yet begun to manage the Fund, the Trustees considered that projected profitability information for PAM at this time was of limited utility.
Economies of Scale. The Trustees considered the extent to which economies of scale may be realized by the Fund as assets grow. Because the Fund has no operating history and no assets, no economies of scale exist at this time with respect to the Fund. However, the Trustees considered that the net expense ratio for the Fund is competitive with peers
The Trustees considered the organizational strengths of PAM and its ability to attract and retain investment personnel over time and to sustain the staffing of investment teams that will provide services to the Fund. The Board concluded that the Fund’s fee structure reflected in the ESG Core Bond Advisory Agreement and PAM Sub-Advisory Agreement is fair and reasonable.
E. Ancillary Benefits
The Trustees received information from PLFA and PAM concerning other benefits that may be received by PLFA and PAM and their affiliates as a result of their relationship with the Fund, including commissions that may be paid to broker-dealers affiliated with PAM and the anticipated use of soft-dollars by PAM. In this regard, the Trustees noted that PAM represented that it does not anticipate using an affiliated broker-dealer and that it does not anticipate using soft dollar credits generated by Fund commissions to pay for research services. The Trustees considered potential benefits to be derived by PLFA from its relationship with the Fund and that such benefits are consistent with those generally derived by investment advisers to mutual funds or were otherwise not unusual. The Trustees also considered benefits that may be derived by other affiliates of PLFA, including Pacific Life. The Trustees also considered potential benefits to be derived by PAM and that such benefits are consistent with those generally derived by sub-advisers to mutual funds or were otherwise not unusual.
F. Conclusion
Based on its review, including the consideration of each of the factors referred to above, the Board found that: (i) the ESG Core Bond Advisory Agreement and PAM Sub-Advisory Agreement are in the best interests of the Fund and its shareholders; and (ii) the compensation payable under the ESG Core Bond Advisory Agreement and PAM Sub-Advisory Agreement is fair and reasonable. No single factor was determinative of the Board’s findings, but rather the Trustees based their determination on the total mix of information available to them.
PF Managed Bond Fund
At an in-person meeting on September 16, 2020, based upon a recommendation from PLFA, the Board, including all of the Independent Trustees, approved, effective on or about October 30, 2020, a new sub-advisory agreement with J.P. Morgan Investment Management Inc. (“JPMorgan”), with respect to the PF Managed Bond Fund (the “JPMorgan Sub-Advisory Agreement”) and appointed JPMorgan as a new co-sub-adviser for a portion of the Fund, joining the existing sub-advisers, Pacific Investment Management Company LLC and Western Asset, which manage the remaining portions.
In evaluating the JPMorgan Sub-Advisory Agreement, the Board, including all the Independent Trustees, considered the following factors, among others:
A. Nature, Extent and Quality of Services to be Provided
The Trustees considered the benefits to shareholders of retaining JPMorgan as a co-sub-adviser to the Fund, particularly in light of the nature, extent, and quality of the services expected to be provided by JPMorgan. In this regard, the Trustees considered various materials relating to JPMorgan, including copies of the proposed JPMorgan Sub-Advisory Agreement; copies of JPMorgan’s Form ADV; financial information; a written presentation from JPMorgan; a comprehensive report including an assessment by PLFA; responses from JPMorgan to information requested by counsel to the Independent Trustees; and other information deemed relevant to the Trustees’ evaluation. The Trustees also considered a verbal presentation at a meeting held virtually on September 16, 2020 from management and investment personnel from JPMorgan where all attendees could hear each other clearly.
The Trustees considered that under the JPMorgan Sub-Advisory Agreement, JPMorgan would be responsible for providing investment advisory services for a portion of the Fund’s assets, including providing investment research and analysis and conducting a continuous program of investment by determining which securities would be purchased or sold by that portion of the Fund. The Trustees considered the quality of the management services expected to be provided to the Fund over both the short- and long-term, the organizational depth and resources of JPMorgan, including the background and experience of JPMorgan’s management and the expertise of the portfolio management team, as well as the investment strategies, processes and philosophy to be used with respect to the investment strategy.
In addition, the Trustees considered that the Trust’s Chief Compliance Officer (“CCO”) had reviewed JPMorgan’s written compliance policies and procedures and code of ethics. The Trustees also considered the CCO’s assessment of JPMorgan’s compliance program, as required under Rule 38a-1 of the 1940 Act, and its code of ethics. The Trustees also took note of the due diligence PLFA conducted with respect to JPMorgan, and were aided by the assessment and recommendation of PLFA and the presentation and materials provided by JPMorgan.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services anticipated to be provided to the Fund by JPMorgan under the JPMorgan Sub-Advisory Agreement.
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PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
B. Performance
The Trustees considered PLFA’s efforts to identify advisory firms that are qualified to manage a core bond strategy and PLFA’s identification of JPMorgan to serve as sub-adviser with regard to a portion of the Fund’s day-to-day investment activities. The Trustees considered that the Fund’s historical performance had been obtained under a different sub-adviser, although PLFA has managed the Fund since its inception. However, the Trustees considered the investment process and techniques to be used by JPMorgan for the Fund and JPMorgan’s experience managing core bond strategies, as well as other factors concerning performance in connection with their consideration of this matter and in connection with approval of the JPMorgan Sub-Advisory Agreement, including the factors described below.
The Trustees considered information about the historical performance of a composite managed by the same JPMorgan portfolio management team that would manage the Fund using similar investment strategies (the “JPMorgan Comparable Performance”). The Trustees considered that this information included a comparison of the JPMorgan Comparable Performance against a pertinent benchmark for the one-, three-, five- and ten-year periods as of May 31, 2020.
The Trustees considered additional information about the historical performance of a composite managed by the same JPMorgan portfolio management team that would manage the Fund using similar investment strategies. The Trustees considered that this information included a comparison of the composite’s performance against a pertinent benchmark and an applicable peer group for the one-, three-, five- and ten-year periods and the year-to-date period as of June 2020, as well as performance for each of the past five calendar years. Additionally, the Trustees considered the standard deviation, risk-adjusted returns and other performance metrics of the composite during certain periods.
The Board determined that JPMorgan’s performance record with respect to a similarly managed composite was acceptable.
C. Sub-Advisory Fees
The Trustees considered information regarding the comparative advisory fees charged under other investment advisory contracts of JPMorgan with regard to other funds with substantially similar investment strategies as the Fund. In comparing the proposed sub-advisory fees to be paid by the Fund to fees charged by JPMorgan for the other similarly-managed funds, the Trustees noted that for certain funds, there were differences in: (i) the nature of the Fund and those other funds, (ii) the services provided to each, (iii) the client’s overall relationship with JPMorgan, and/or (iv) regulatory differences that could reasonably be expected to account for differences in fee schedules.
The Trustees noted that the fee rates were the result of arms’-length negotiations between PLFA and JPMorgan, and that the Fund’s sub-advisory fees are paid by PLFA and are not paid directly by the Fund. The Trustees also considered that there are certain costs associated with adding a sub-adviser, but that the ongoing operating expenses paid by the shareholders were not expected to materially increase as a result of this sub-adviser addition.
The Board concluded that the compensation payable under the JPMorgan Sub-Advisory Agreement is fair and reasonable.
D. Costs, Level of Profits and Economies of Scale
The Trustees considered information regarding the anticipated costs to JPMorgan of sub-advising the Fund and the projected profitability of the JPMorgan Sub-Advisory Agreement to JPMorgan, to the extent practicable based on the information provided by JPMorgan. The Trustees noted that any assessment of projected profitability would involve assumptions regarding expense allocations and other factors. Given the arms’-length nature of the relationship between PLFA and JPMorgan with respect to the negotiation of sub-advisory fees, the fact that such fees are paid by PLFA and the fact that the projected profitability of the JPMorgan Sub-Advisory Agreement to JPMorgan is an estimate because it had not yet begun to manage the Fund, the Trustees considered that projected profitability information for JPMorgan at this time was of limited utility.
The Trustees considered the organizational strengths of JPMorgan and its ability to attract and retain investment personnel over time and to sustain the staffing of investment teams that will provide services to the Fund. The Board concluded that the Fund’s fee structure reflected in the JPMorgan Sub-Advisory Agreement is fair and reasonable.
E. Ancillary Benefits
The Trustees received information from PLFA and JPMorgan concerning other benefits that may be received by JPMorgan and its affiliates as a result of their relationship with the Fund, including commissions that may be paid to broker-dealers affiliated with JPMorgan and the anticipated use of soft-dollars by JPMorgan. In this regard, the Trustees noted that JPMorgan represented that it does not anticipate using an affiliated broker-dealer and that it does not anticipate using soft dollar credits generated by Fund commissions to pay for research services. The Trustees considered potential benefits to be derived by JPMorgan from its relationship with the Fund and that such benefits are consistent with those generally derived by sub-advisers to mutual funds or were otherwise not unusual.
F. Conclusion
Based on its review, including the consideration of each of the factors referred to above, the Board found that: (i) the JPMorgan Sub-Advisory Agreement is in the best interests of the Fund and its shareholders; and (ii) the compensation payable under the JPMorgan Sub-Advisory Agreement is fair and reasonable. No single factor was determinative of the Board’s findings, but rather the Trustees based their determination on the total mix of information available to them.
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PACIFIC FUNDS
WHERE TO GO FOR MORE INFORMATION
(Unaudited)
Availability of Quarterly Holdings
The Trust files Part F of Form N-PORT (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 Part F of Form N-PORT (when required) is filed pursuant to applicable regulations and is available after filing on the SEC’s website at http://www.sec.gov.
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 |
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Pacific Funds
Mailing address:
P.O. Box 9768
Providence, RI 02940-9768
ADDRESS SERVICE REQUESTED
Annual Report as of March 31, 2021 for:
• Pacific Funds
| Form Nos. | 3012-20A |
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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 the registrant’s Code of Ethics is filed as Exhibit 99.CODE ETH 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 to the Registrant by the principal accountant for the fiscal years ended March 31, 2021 and 2020 were $727,000 and $802,000, respectively. |
Audit-Related Fees
| (b) | For the fiscal years ended March 31, 2021 and 2020 there were no audit-related fees. |
Tax Fees
| (c) | The aggregate tax fees billed to the Registrant by the principal accountant for the fiscal years ended March 31, 2021 and 2020 were $154,455 and $164,792, respectively. |
All Other Fees
| (d) | There were no other fees billed to the Registrant by the principal accountant for the fiscal years ended March 31, 2021 and 2020. |
| (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. |
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| (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.(ii). 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. |
| (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, 2021 and 2020 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 $2,466,155 and $1,282,272, 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. |
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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 the Treasurer of the Registrant have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the 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 the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. 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 for the principal executive and principal financial officer of the Registrant pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) are attached hereto as Exhibit 99.CERT.
(a)(3) Not applicable.
(a)(4) There was no change in the Registrant’s independent public accountant for the period covered by the report.
(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.
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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/ Adrian S. Griggs | |
| Adrian S. Griggs | ||
| Chief Executive Officer | ||
| Date: |
June 3, 2021 | |
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/ Adrian S. Griggs | |
| Adrian S. Griggs | ||
| Chief Executive Officer | ||
| Date: | June 3, 2021 | |
| By: | /s/ Trevor T. Smith | |
| Trevor T. Smith | ||
| Treasurer (Principal Financial and Accounting Officer) | ||
| Date: | June 3, 2021 | |