N-CSRS 1 ncsr.htm DUNHAM NCSR

 



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     811-08037                                                                           


              AdvisorOne Funds                                                                          

(Exact name of registrant as specified in charter)


              4020 South 147th Street, Omaha, NE                  68137                                           

(Address of principal executive offices)               (Zip code)


              Gemini Fund Services, LLC., 150 Motor Parkway, Suite 205, Hauppauge, NY 11788       

(Name and address of agent for service)


Registrant's telephone number, including area code:         402-493-3313                                          


Date of fiscal year end:  10/31                 


Date of reporting period:4/30/05              


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, 450 Fifth Street, NW, Washington, DC 20549-0609.  The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


Item 1.  Reports to Stockholders.




 

 

THE DUNHAM FUNDS


DUNHAM SHORT-TERM BOND FUND

DUNHAM CORPORATE/GOVERNMENT BOND FUND

DUNHAM REAL ESTATE STOCK FUND

DUNHAM APPRECIATION & INCOME FUND

DUNHAM INTERNATIONAL STOCK FUND

DUNHAM LARGE CAP VALUE FUND

DUNHAM SMALL CAP VALUE FUND

DUNHAM LARGE CAP GROWTH FUND

DUNHAM EMERGING MARKETS STOCK FUND

DUNHAM SMALL CAP GROWTH FUND





SEMI-ANNUAL REPORT

APRIL 30, 2005

(UNAUDITED)






INVESTMENT ADVISER

DUNHAM & ASSOCIATES

INVESTMENT COUNSEL, INC.

P.O. BOX 910309

SAN DIEGO, CALIFORNIA 92191





THIS REPORT IS FOR THE INFORMATION OF SHAREHOLDERS OF THE DUNHAM FUNDS. IT MAY ALSO BE USED AS SALES LITERATURE WHEN PRECEDED BY OR ACCOMPANIED BY A CURRENT PROSPECTUS, WHICH CONTAINS INFORMATION CONCERNING INVESTMENT OBJECTIVES, RISKS, AND CHARGES AND EXPENSES OF THE FUNDS. READ THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR THIS AND OTHER INFORMATION ABOUT THE DUNHAM FUNDS, CONTACT YOUR FINANCIAL ADVISER OR CALL CLIENT SERVICES AT 1-800-442-4358.






















This Semi-Annual Report contains “forward-looking statements” within the meaning of the Private Securities Litigation Reform Act of 1995.  Forward-looking statements also include those preceded by, followed by or that include the words “believes”, “expects”, “anticipates” or similar expressions.  Such statements should be viewed with caution.  Actual results or experience could differ materially from the forward-looking statements as a result of many factors, including the inability of the Funds to meet sales goals and slowing of the overall economy.  Each Fund makes no commitments to disclose any revisions to forward-looking statements, or any facts, events or circumstances after the date hereof that may bear upon forward-looking statements.  In addition, prospective purchasers of the Funds should consider carefully the information set forth herein.  Other factors and assumptions not identified above may also have been involved in the derivation of these forward-looking statements, and the failure of these other assumptions to be realized may also cause actual results to differ materially from those projected.





Message from the Adviser



Dear Fellow Shareholders,


I am pleased to provide you with this semi-annual report for The Dunham Funds for the period ended April 30, 2005.


Dunham & Associates launched The Dunham Funds on December 10, 2004.  There are ten Funds in The Dunham Funds that cover ten separate asset classes.  We offer a wide range of asset classes in keeping with our belief in asset allocation.


The investment markets during the inaugural period for the Dunham Funds have been quite choppy and volatile.  The S&P 500 Index was down approximately 3% during the near-5 month period.  The December period was generally very favorable, while January started with a whimper, but strong economic and corporate profit releases helped the markets rebound strongly during the middle part of the first quarter.  However, inflationary concerns and a possibly more aggressive Federal Reserve worried investors and led to a sharp decline in March and April.


The overriding theme in the reporting period was energy.  Specifically, oil prices continued to stay at record levels, and nearly touched $60 a barrel several times in the quarter.  This affected all of us at the pump, with the national average for a gallon of gasoline staying above $2 and expected to climb for the summer travel period.


Although you paid more at the local gas station, if you owned any oil service stocks, you watched them climb along with the price of a gallon of gasoline.  In fact, energy-related stocks were the top performing area in the period, whereas most other sectors were either flat or in negative territory.


Technology stocks were punished in the period, as weaker than expected earnings from several major companies weighed on the sector.  Other weak sectors were consumer discretionary, telecommunications, and financial services.


The yield curve continued to flatten in the quarter, and the effect on bonds was mixed.  The Fed raised short-term interest rates for the eighth consecutive time since last June, with the fed funds rate now at 3% as of the writing of this letter, or three times as high as a year ago.  Following a ramp-up in interest rates late in the period, long-term bonds saw their prices drop sharply.  Most bond managers we speak with view the markets with a cautious and uncertain outlook which is why we recommend keeping a close eye on your bond funds and taking a diversified approach to fixed-income investments.


Foreign markets beat domestic markets in the quarter, a trend that continues in its fourth year.  However, the U.S. dollar strengthened against the major foreign currencies, which may signal a technical rebound or be due to foreign investors moving more money to U.S. Treasuries as interest rates here continued to rise.  With all of this in mind, we recommend allocating some of your equity portfolio to foreign stocks.


In closing, The Dunham Funds are off to a strong start!  We foresee good things ahead for The Dunham Funds and we are diligently working to provide you great service, selection and performance in the years ahead.  An example of that is our new fund.  Effective July 1, 2005, we will be launching the Dunham High-Yield Bond Fund.  We will also be changing sub-advisers for the International Stock Fund and expanding the universe of investable companies to include stocks that trade in their local markets around the world.  We are negotiating with each of our sub-advisers to transition to a performance-based fulcrum fee compensation structure, which aligns the sub-advisers’ interests with you, the client.  As most of you know, performance-based fees have been a cornerstone of our philosophy for 20 years now.  By mid-year 2005, we will start this process, which requires shareholder and SEC approval.


Thank you for giving us the most important thing you could, your trust.

 

Sincerely,


[messagefromadviser405002.jpg]


 



Jeffrey A. Dunham

President

Dunham & Associates Investment Counsel, Inc.


May 31, 2005


 

NOT FDIC INSURED│NO BANK GUARANTEE │MAY LOSE VALUE

Past Performance is not indicative of future results.





Dunham Short-Term Bond Fund

Message from the Sub-Adviser


Merganser Capital Management LP

Boston, Massachusetts


This is the semi-annual report for the Dunham Short-Term Bond Fund.


Merganser, the Fund’s sub-adviser, has positioned the portfolio with a high quality bias, using selective credits to add incremental yield.  Recent bond issuance by auto-makers injected volatility in the fixed income market with lower quality credits underperforming as credit spreads started widening in general.

 

The addition of A- and AA-rated utility names helped the portfolio.  Even though spreads widened significantly in the auto sector, Merganser added Ford as a new credit to the portfolio.  Merganser feels that the additional yield (75 basis points over LIBOR) more than justifies the additional risk.  While the price volatility in that position will be high, Merganser expects to hold this position to maturity.  Merganser expects to find more opportunities in lower quality issues and will build positions with a remaining maturity of less than one year if the incremental yield justifies the additional risk.


Opportunities in the asset-backed securities (ABS) market are currently hard to find with the exception of some selective issues in the home equity market.  Adding additional collateralized mortgage obligations (CMOs) rather than straight pass-through mortgage-backed securities (MBS) will protect the portfolio against extension risk.


Holdings in collateralized mortgage-backed securities (CMBS) positively contributed to the portfolio, with the manager mainly focusing on first tranches offering some protection against extension risk.  CMBS spreads have been tightening over the swap rate in the last couple of months.


The sub-adviser expects the Fed to continue raising rates at a moderate pace except if inflation worries should increase, then the Fed might increase rates in 50 bps increments rather than the current 25 basis points increments.  In what only can be called a difficult environment for a fixed income manager,  Merganser expects a total return of 2.00% to 2.25% for calendar year 2005.



Portfolio Summary


 

                                                   

                                                                

Top 10 Portfolio Holdings*

  

Portfolio Composition*

Company     [f1stbondltrpie001.jpg]

General Electric Capital Corp., 8.75%, 5/27/07

3.42%

  

Nationsbank / Bank of America Corp.,

 

  

     6.375%, 2/15/08

2.50%

  

Morgan Stanley Dean Witter, 10.00%, 6/15/08

2.49%

  

FHLB, 6.99%, 7/26/06

2.04%

  

Lehman Brothers Holdings, Inc., 8.25%, 6/15/07

1.99%

  

Citibank Credit Card Issuance Trust Series

 

  

     2004-A1, 2.55%, 1/20/09                        

1.97%

  

Abbey National PLC, 6.69%, 10/17/05

1.81%  

U.S. Treasury Notes, 2.875%, 11/30/06                       

1.70%

 

Amsouth Bank, 2.82%, 11/3/06

1.63%

  

Dillard Credit Card Master Trust, 3.80%, 9/15/10

 1.54%

  
     
     
*Based on portfolio market value as of April 30, 2005.
   Top 10 Portfolio Holdings excludes short-term investments.


                                   



 











SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

 

Dunham Short-Term Bond Fund

        

April 30, 2005

         
          
  

Principal

 

 Interest

 

Maturity

 

Market

Security

 

Amount

 

 Rate

 

Date

 

Value

ASSET BACKED SECURITIES - 28.03%

        

Agricultural Machinery - 1.41%

        

Caterpillar Financial Asset Trust Series 2004-A A3

 $      600,000

 

3.130%

 

1/26/09

 

 $      594,136

          

Automobiles - 7.16%

        

Americredit Automobile Receivables Trust Series 2005-AX A3

         625,000

 

3.630%

 

1/6/10

 

         620,278

Bay View Auto Trust Series 2005-LJ1 A3

         500,000

 

3.860%

 

3/25/10

 

         497,482

Honda Auto Receivables Owner Trust 2005-2 A3

         400,000

 

3.930%

 

1/15/09

 

         399,965

Onyx Acceptance Owner Trust 2005-A A4

         500,000

 

3.910%

 

9/15/11

 

         495,367

USAA Auto Owner Trust 2005-1 A4

         500,000

 

4.130%

 

11/15/11

 

         498,949

Wachovia Auto Owner Trust 2004-A A3

         500,000

 

3.190%

 

6/20/08

 

         496,405

        

      3,008,446

Banks - 8.58%

        

Bank One Issuance Trust Series 2004-B2

         250,000

 

4.370%

 

4/15/12

 

     249,695

Capital One Multi-Asset Execution Trust 2003-A6

         600,000

 

2.950%

 

8/17/09

 

     592,301

Citibank Credit Card Issuance Trust Series 2004-A1

         850,000

 

2.550%

 

1/20/09

 

     830,607

Dillard Credit Card Master Trust

         650,000

 

3.800%

 

9/15/10

 

     649,677

Fifth Third Auto Trust Series 2004-A A3

         335,000

 

3.190%

 

2/20/08

 

     332,018

MBNA Credit Card Master Note Trust 2002-A1

         500,000

 

4.950%

 

6/15/09

 

     509,469

Navistar Financial Corp. Owner Trust 2004-A A3

         450,000

 

2.010%

 

8/15/08

 

     442,021

        

3,605,788

Construction Services - 2.59%

        

Centex Home Equity Series 2003-C AF3

         500,000

 

3.690%

 

3/25/28

 

     498,128

Residential Asset Mortgage Products

         600,000

 

3.981%

 

4/25/29

 

     592,300

        

      1,090,428

Financial Services - 4.84%

        

CIT Equipment Collateral Series 2004-VT1 A3

         600,000

 

2.200%

 

3/20/08

 

         591,720

CNH Equipment Trust 2005-A A4B

         450,000

 

4.290%

 

6/15/12

 

         449,925

Countrywide Asset-Backed Certificates Series 2004-7 AF3

         400,000

 

3.903%

 

1/25/31

 

         396,452

Ikon Receivables LLC

         600,000

 

3.270%

 

7/15/11

 

         594,813

        

      2,032,910

Miscellaneous - 1.95%

        

Household Private Label Credit Master Note Series 2002-1 A

         500,000

 

5.500%

 

1/18/11

 

         512,672

PNC Student Loan Trust

         310,700

 

6.728%

 

1/25/07

 

         307,467

        

         820,139

Trucks - 0.71%

        

Ryder Vehicle Lease Trust Series 1999-A A5

         294,204

 

7.130%

 

10/16/06

 

         296,345

          

Utilities - 0.79%

        

Peco Energy Transition Trust

         325,000

 

6.050%

 

3/1/09

 

         333,331

          

TOTAL ASSET-BACKED SECURITIES

        

  (Cost - $ 11,833,950)

      

    11,781,523

          

COLLATERALIZED MORTGAGE OBLIGATIONS - 23.31%

        

Banks - 1.15%

        

Banc of America Commercial Mortgage, Inc. Series 2004-2 A2

         500,000

 

3.520%

 

11/10/38

 

         485,254

          

Investment Services - 9.24%

        

Bear Stearns Commercial Mortgage

        

Securities Series 2003-PWR2 A1

         491,016

 

3.432%

 

5/11/39

 

         480,329

Bear Stearns Commercial Mortgage

        

Securities Series 2004-PWR4 A1

         442,624

 

4.361%

 

6/11/41

 

         442,340

          

SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

 

Dunham Short-Term Bond Fund (Continued)

        

April 30, 2005

         
          
  

Principal

 

 Interest

 

Maturity

 

Market

Security

 

Amount

 

 Rate

 

Date

 

Value

Investment Services - 9.24% (Continued)

        

CS First Boston Mortgage Securities Corp. Series 2001-CP4 A2

 $      350,000

 

5.870%

 

12/15/35

 

 $      363,932

CS First Boston Mortgage Securities Corp. Series 2003-CK2 A1

         274,786

 

3.006%

 

3/15/36

 

         268,436

GE Capital Commercial Mortgage Corp. Series 2005-CL A1

         461,497

 

4.012%

 

6/10/48

 

         459,684

JP Morgan Chase Commercial Mortgage Series 2005-LDP1 A1

         443,760

 

4.116%

 

3/15/46

 

         442,938

LB-UBS Commercial Mortgage Trust Series 2003-C1 A1

         456,554

 

2.720%

 

3/15/27

 

         445,029

Morgan Stanley Mortgage Loan Trust Series 2004-T13 A1

         507,116

 

2.850%

 

9/13/45

 

         492,409

SuperAnnuation Members Home Loans Global Fund Series 6A

         489,221

 

3.389%

+

11/9/35

 

         488,919

        

      3,884,016

U.S. Government Agency - 12.92%

        

FNMA Series 2003-52 KR

         354,575

 

3.500%

 

2/25/17

 

         343,562

FNMA Series 2004-17 HA

         312,008

 

3.000%

 

1/25/19

 

         293,089

FNMA Series 2003-32 PE

         500,000

 

4.000%

 

3/25/26

 

         489,895

FNMA Series 2003-62 OD

         250,000

 

3.500%

 

4/25/26

 

         240,808

FNMA Series 2003-34 GT

         500,000

 

4.000%

 

1/25/27

 

         492,254

FNMA Series 2003-73 GA

         486,588

 

3.500%

 

5/25/31

 

         466,216

FNMA Series 2003-69 GJ

         490,644

 

3.500%

 

12/25/31

 

         468,942

FHLMC Series 2672 HA

         527,753

 

4.000%

 

9/15/16

 

         521,130

FHLMC Series 2627 BG

         494,999

 

3.250%

 

6/15/17

 

         476,083

FHLMC Series 2643 ME

         535,330

 

3.500%

 

3/15/18

 

         515,787

FHLMC Series 2638 NC

         500,000

 

3.000%

 

5/15/22

 

         481,690

FHLMC Series 2866 TG

         638,968

 

4.500%

 

7/15/27

 

         639,926

        

      5,429,382

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

        

  (Cost - $ 9,871,274)

      

      9,798,652

          

CORPORATE BONDS - 39.88%

        

Automobiles - 2.61%

        

DaimlerChrysler NA Holding Corp.

         350,000

 

4.125%

 

3/7/07

 

         344,421

Ford Motor Credit Co.

         450,000

 

6.125%

 

1/9/06

 

         452,067

General Motors Acceptance Corp.

         300,000

 

6.750%

 

1/15/06

 

         302,220

        

      1,098,708

Banks - 18.78%

        

ABN Amro Holding NV Yankee Bond

         430,000

 

7.125%

 

6/18/07

 

         455,545

Abbey National PLC Yankee Bond

         750,000

 

6.690%

 

10/17/05

 

         760,765

American Express Centurion

         430,000

 

4.375%

 

7/30/09

 

         430,298

Amsouth Bank

 

         700,000

 

2.820%

 

11/3/06

 

     688,592

Deutsche Bank Financial Yankee Bond

         450,000

 

6.700%

 

12/13/06

 

     468,690

Goldman Sachs Group, Inc.

         500,000

 

7.350%

 

10/1/09

 

     555,694

HSBC Bank PLC

         500,000

 

7.625%

 

6/15/06

 

         520,161

Inter-America Devel Bank

         350,000

 

8.400%

 

9/1/09

 

         407,601

Mellon Bank

 

         275,000

 

7.375%

 

5/15/07

 

         291,666

Nationsbank / Bank of America Corp.

      1,000,000

 

6.375%

 

2/15/08

 

  1,053,811

Northern Trust Co.

         490,000

 

7.300%

 

9/15/06

 

     510,996

Suntrust Bank Central Florida

         360,000

 

6.900%

 

7/1/07

 

     380,488

Union Bank of Switzerland - New York

         600,000

 

7.250%

 

7/15/06

 

         620,626

Union Planters Bank NA

         310,000

 

6.500%

 

3/15/08

 

         328,087

Washington Mutual, Inc.

         400,000

 

7.500%

 

8/15/06

 

     416,356

        

  7,889,376

Conglomerates - 3.42%

        

General Electric Capital Corp

      1,319,000

 

8.750%

 

5/27/07

 

      1,438,524

          
          
          

SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

 

Dunham Short-Term Bond Fund (Continued)

        

April 30, 2005

         
          
  

Principal

 

 Interest

 

Maturity

 

Market

Security

 

Amount

 

 Rate

 

Date

 

Value

Food - 1.04%

         

Kellogg Co.

 

 $      430,000

 

6.000%

 

4/1/06

 

 $      438,607

          

Insurance - 1.24%

        

Allstate Life Global Fund

         525,000

 

3.850%

 

1/25/08

 

         519,294

          

Investment Services - 6.93%

        

Citigroup, Inc.

 

         600,000

 

6.750%

 

12/1/05

 

         610,794

Citigroup, Inc.

 

         415,000

 

3.000%

+

6/4/07

 

         415,133

Lehman Brothers Holdings, Inc.

         775,000

 

8.250%

 

6/15/07

 

         839,839

Morgan Stanley Dean Witter

         900,000

 

10.000%

 

6/15/08

 

      1,049,081

        

      2,914,847

Savings & Loans/Thrifts - 1.15%

        

U.S. Central Credit Union

         500,000

 

2.750%

 

5/30/08

 

         483,557

          

Telecommunications - 0.31%

        

SBC Communications Capital Corp.

         125,000

 

6.680%

 

11/28/07

 

         131,728

          

Utilities - 4.40%

        

Central Maine Power Co.

         500,000

 

6.670%

 

1/30/06

 

         510,066

Con Edison Co. of New York

         425,000

 

4.700%

 

6/15/09

 

         429,795

Florida Power & Light

         450,000

 

6.875%

 

12/1/05

 

         458,453

Georgia Power Co.

         450,000

 

2.990%

+

2/17/09

 

         450,218

        

      1,848,532

TOTAL CORPORATE BONDS

      

 

  (Cost - $ 16,865,064)

      

    16,763,173

          

U.S. GOVERNMENT & AGENCIES -3.75%

        

U.S. Government Agency -2.04%

        

FHLB

 

         825,000

 

6.990%

 

7/26/06

 

         857,698

          

U.S. Treasury Obligations -1.71%

        

U.S. Treasury Notes

         725,000

 

2.875%

 

11/30/06

 

         717,354

TOTAL U.S. GOVERNMENT & AGENCIES

        

  (Cost - $ 1,584,909)

      

      1,575,052

          

SHORT TERM INVESTMENT - 5.28%

Shares

       

Milestone Treasury Obligation Portfolio - Institutional Class

        

  (Cost - $2,221,227)

      2,221,227

     

      2,221,227

          

Total Investments - 100.25%

        

  (Cost - $ 42,376,424)

      

    42,139,627

Other assets less liabilities - (0.25%)

      

       (106,419)

NET ASSETS - 100.00%

      

 $ 42,033,208

          

 

         

+ Variable rate security

        
          
          








Dunham Corporate/Government Bond Fund

Message from the Sub-Adviser


Seneca Capital Management LLC

San Francisco, California


This is the semi-annual report for the Dunham Corporate/Government Bond Fund.


The bond market began the year on a positive note, as economic growth and inflationary concerns were benign enough to push down yields.  However, in mid-February, a sudden shift in sentiment took its toll on bonds across the board.


The yield curve continued to flatten in the reporting period, but we also witnessed long bonds, primarily 10-year maturities, decline the hardest in March.  The Federal Reserve raised short-term interest rates for the seventh consecutive time in March, closing the quarter with a 2.75% federal funds rate.  


Seneca notes the historically tight spreads of corporate bonds, especially within the investment grade area.  In fact, they lightened the Fund’s exposure to investment grade credit securities in the quarter.  Individual bond selection through thorough credit analysis has become even more important recently Seneca notes.


High-yield bonds are viewed more attractively by Seneca, and they continue to invest approximately 15% of the Fund’s assets in the sector.  The firm looks at high-yield bonds more suspiciously twelve months from now, but for the next couple of quarters, they believe the additional yield (3% over comparable Treasuries) justifies the risk potential.  


With their lack of clear conviction on the direction of bond markets, Seneca held the Fund’s duration neutral.  They also positioned the Fund within a barbell structure, which focuses on the short and long end of the curve.  


Seneca thinks that the Fed may be less inclined to raise rates and may pause at one of the next meetings, as they do not see inflation accelerating too quickly.  They reduced the Fund’s “traditional” mortgage exposure during the quarter, and moved into TBA (To Be Announced) markets, which are pools of future mortgages yet to be securitized.



Portfolio Summary

 

Top 10 Portfolio Holdings*

  

Portfolio Composition*

Company     [f3corpgovbondltrpie001.jpg]

FNCL- TBA, 4.50%, 5/15/20  

 10.14%  

FNCL- TBA, 5.00%, 5/1/35

  6.32%  

US Treasury Notes, 4.00%, 11/15/12

4.73%  

US Treasury Notes, 5.00%, 2/15/11   

  2.87%  

Swedish Export Credit, 0.00%, 6/5/07  

  1.53%  
Master Alternative Loans Trust Series 2004-6    
 6A1, 6.50%, 7/25/34 1.37%  
Morgan Stanley Mtg Loan Trust Series 2004-3    
3A, 6.00%, 4/25/34 1.31%  
US Treasury Notes, 2.50%, 9/30/06 1.20%  
FHLMC, 5.50%, 8/15/21 1.15%  
Echostar DBS Corp., 9.125%, 1/15/06 1.14%  
     
     
*Based on portfolio market value as of April 30, 2005.
   Top 10 Portfolio Holdings excludes short-term investments.

 










SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

 

Dunham Corporate / Government Bond Fund

        

April 30, 2005

         
          
  

Principal

 

Interest

 

Maturity

 

 Market

Security

 

Amount

 

Rate

 

Date

 

 Value

CORPORATE NOTES & BONDS - 39.38%

        

Aerospace / Defense - 1.54%

        

Goodrich Corp.

 

 $      378,611

 

7.625%

 

12/15/12

 

 $      441,403

United Technologies Corp.

         200,000

 

4.875%

 

5/1/15

 

         200,232

        

         641,635

Auto / Rental Equipment - 0.27%

        

Hertz Corp.

 

         114,989

 

6.350%

 

6/15/10

 

         112,502

          

Automobiles - 0.23%

        

DaimlerChrysler NA Holding

           96,584

 

2.940%

+

9/10/07

 

           95,613

        

 

Banks - 4.04%

         

Bank of America Corp.

         108,175

 

4.375%

 

12/1/10

 

         107,785

Citigroup, Inc.

 

         136,763

 

5.000%

 

9/15/14

 

         137,666

Colonial Bank

 

           16,226

 

9.375%

 

6/1/11

 

           19,185

Colonial Capital II

           52,542

 

8.920%

 

1/15/27

 

           58,648

First Republic Bank

         119,764

 

7.750%

 

9/15/12

 

         128,148

HSBC Bank USA

         200,000

 

5.875%

 

11/1/34

 

         209,223

Royal Bank of Canada

         145,000

 

4.125%

 

1/26/10

 

         143,819

Swedish Export Credit *

         811,309

 

0.000%

 

6/5/07

 

         761,740

Wachovia Corp.

         119,765

 

4.875%

 

2/15/14

 

         119,629

        

      1,685,843

Broadcasting / Cable TV - 4.19%

        

Clear Channel Communications

         215,000

 

5.500%

 

9/15/14

 

         203,637

Corus Entertainment, Inc.

           40,178

 

8.750%

 

3/1/12

 

           42,589

CSC Holdings, Inc.

                760

 

7.625%

 

4/1/11

 

                771

CSC Holdings, Inc.- 144A

           81,131

 

6.750%

 

4/15/12

 

           78,494

CSC Holdings, Inc.

         224,076

 

10.500%

 

5/15/16

 

         244,803

Echostar DBS Corp.

         533,146

 

9.125%

 

1/15/06

 

         568,467

Lenfest Communications, Inc.

         132,900

 

10.500%

 

6/15/06

 

         141,474

Liberty Media Corp.

         120,000

 

5.700%

 

5/15/13

 

         113,469

News America, Inc.

         177,000

 

6.200%

 

12/15/34

 

         178,576

News America, Inc.- 144A

                715

 

6.200%

 

12/15/34

 

                721

Rogers Cable Inc.

           69,541

 

7.875%

 

5/1/12

 

           71,627

Time Warner, Inc.

           85,000

 

9.125%

 

1/15/13

 

         106,712

        

      1,751,340

Capital Goods - 0.44%

        

American Standard, Inc.

         163,807

 

7.625%

 

2/15/10

 

         184,166

          

Chemicals - 0.75%

        

Du Pont (EI) De Nemours & Co.

         123,628

 

4.125%

 

4/30/10

 

         122,391

United Agricultural Products

         195,000

 

8.250%

 

12/15/11

 

         191,100

        

         313,491

Conglomerates - 1.18%

        

Tyco International Group- 144A

         193,169

 

4.436%

 

6/15/07

 

         193,744

Tyco International Group

         274,299

 

6.375%

 

10/15/11

 

         297,250

        

         490,994

Construction Services - 1.95%

        

D. R. Horton, Inc.

         128,264

 

7.500%

 

12/1/07

 

         135,778

D. R. Horton, Inc.

         185,442

 

5.625%

 

9/15/14

 

         179,816

K Hovnanian Enterprises

         189,305

 

6.250%

 

1/15/15

 

         183,153

Toll Corp.

 

         177,716

 

8.000%

 

5/1/09

 

         183,047

Toll Corp.

 

         123,628

 

8.250%

 

12/1/11

 

         132,127

        

         813,921

SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

 

Dunham Corporate / Government Bond Fund (Continued)

        

April 30, 2005

         
          
  

Principal

 

Interest

 

Maturity

 

 Market

Security

 

Amount

 

Rate

 

Date

 

 Value

Containers - 0.96%

        

Ball Corp.

 

 $      135,218

 

7.750%

 

8/1/06

 

 $      138,936

Ball Corp.

 

           38,634

 

6.875%

 

12/15/12

 

           39,696

Owens-Brockway

         153,763

 

8.875%

 

2/15/09

 

         163,758

Owens-Illinois, Inc.

           57,951

 

7.150%

 

5/15/05

 

           57,951

        

         400,341

Cruise Lines - 0.21%

        

Royal Carribean

           50,224

 

8.000%

 

5/15/10

 

           54,744

Royal Carribean

           30,906

 

7.250%

 

3/15/18

 

           32,451

        

           87,195

Finance - 3.22%

        

American General Finance

         390,201

 

4.000%

 

3/15/11

 

         373,934

Boeing Capital Corp.

         100,000

 

6.100%

 

3/1/11

 

         107,332

Caterpillar Financial Service Corp.

         210,000

 

4.350%

 

3/4/09

 

         209,835

General Electric Capital Corp.

         210,000

 

4.875%

 

3/4/15

 

         210,469

Goldman Sachs Group, Inc.

         206,814

 

5.250%

 

10/15/13

 

         209,721

Merrill Lynch & Co.

         210,000

 

4.250%

 

2/8/10

 

         207,128

Morgan Stanley Dean Witter

           23,180

 

6.750%

 

4/15/11

 

           25,603

        

      1,344,022

Food - 1.02%

         

Albertson's, Inc.

 

           95,000

 

7.450%

 

8/1/29

 

         104,196

Dean Foods Co.

         140,627

 

8.150%

 

8/1/07

 

         148,010

Dean Foods Co.

           50,000

 

6.900%

 

10/15/17

 

           50,500

Kraft Foods, Inc.

         117,939

 

5.625%

 

11/1/11

 

         123,709

        

         426,415

Hotels / Casinos - 1.39%

        

Hilton Hotels Corp.

         154,536

 

7.625%

 

12/1/12

 

         177,510

Intrawest Corp.

 

         205,000

 

7.500%

 

10/15/13

 

         203,975

Park Place Entertainment Corp.

         166,125

 

7.875%

 

12/15/05

 

         169,240

Park Place Entertainment Corp.

           27,044

 

7.875%

 

3/15/10

 

           29,613

        

         580,338

Insurance - 2.65%

        

Endurance Specialty Holding

           94,989

 

7.000%

 

7/15/34

 

         104,868

Fund American Co., Inc.

         173,852

 

5.875%

 

5/15/13

 

         176,994

Loews Corp.

 

         205,000

 

6.000%

 

2/1/35

 

         202,454

Protective Life

 

         130,000

 

2.720%

+

1/14/08

 

         129,949

Protective Life

 

         506,102

 

4.000%

 

4/1/11

 

         491,577

        

      1,105,842

Medical - 2.99%

        

Amgen, Inc.- 144A

         139,082

 

4.850%

 

11/18/14

 

         139,606

Cardinal Health, Inc.

           96,584

 

6.750%

 

2/15/11

 

         105,526

Coventry Health Care, Inc.- 144A

         135,000

 

5.875%

 

1/15/12

 

         134,325

Coventry Health Care, Inc.- 144A

           90,000

 

6.125%

 

1/15/15

 

           89,550

Fresenius Medical

                171

 

7.875%

 

2/1/08

 

         177,840

HCA, Inc.

 

         135,218

 

5.750%

 

3/15/14

 

         130,453

HCA, Inc.

 

           19,317

 

6.375%

 

1/15/15

 

           19,387

Merck & Co., Inc.

           85,000

 

4.750%

 

3/1/15

 

           83,605

Owens & Minor, Inc.

         139,082

 

8.500%

 

7/15/11

 

         149,513

UnitedHealth Group, Inc.

         104,748

 

3.300%

 

1/30/08

 

         102,144

Wyeth

 

         112,038

 

5.500%

 

3/15/13

 

         116,030

        

      1,247,979

          
          
          

SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

 

Dunham Corporate / Government Bond Fund (Continued)

        

April 30, 2005

         
          
  

Principal

 

Interest

 

Maturity

 

 Market

Security

 

Amount

 

Rate

 

Date

 

 Value

Oil - 2.09%

         

BP Capital Markets PLC

 $        92,721

 

2.625%

 

3/15/07

 

 $        90,829

Burlington Resources

             3,863

 

0.000%

 

12/31/40

 

                     -

Conoco Phillips

 

         270,436

 

5.900%

 

10/15/32

 

         292,932

Kinder Morgan Energy

           81,131

 

7.300%

 

8/15/33

 

           95,645

Pioneer Natural Resources Co.

         185,442

 

5.875%

 

7/15/16

 

         183,850

Trans-Canada Pipelines

         220,212

 

4.000%

 

6/15/13

 

         209,432

        

         872,688

Paper / Paper Products - 1.47%

        

Abitibi Consolidated, Inc.

                122

 

8.300%

 

8/1/05

 

                123

Abitibi Consolidated, Inc.

           15,454

 

6.000%

 

6/20/13

 

           12,672

Bowater, Inc.

 

         200,896

 

9.000%

 

8/1/09

 

         206,923

Cascades, Inc.

 

         146,808

 

7.250%

 

2/15/13

 

         144,606

Celulosa Arauco Y Constitucion- 144A

         105,000

 

5.625%

 

4/20/15

 

         105,331

Norske Skog Canada LTD

         142,945

 

8.625%

 

6/15/11

 

         145,804

        

         615,459

Real Estate / REIT's - 0.81%

        

Meritage Homes Corp.- 144A

         240,000

 

6.250%

 

3/15/15

 

         220,800

Security Capital Pacific Association

         100,448

 

7.900%

 

2/15/16

 

         117,253

        

         338,053

Retail - 1.50%

         

Omnicare, Inc.

 

         270,436

 

8.125%

 

3/15/11

 

         283,958

Wal Mart Stores, Inc.

         328,387

 

4.125%

 

2/15/11

 

         322,398

Yum! Brands, Inc.

           17,771

 

7.700%

 

7/1/12

 

           20,822

        

         627,178

Sovereign Agencies - 0.60%

        

Mexican UTD STS

         106,125

 

6.750%

 

9/27/34

 

         105,700

Republic of Poland

         139,081

 

5.250%

 

1/15/14

 

         143,740

        

         249,440

Technology - 0.63%

        

Fisher Scientific Intl

           73,404

 

8.000%

 

9/1/13

 

           78,909

Hutchison Whamp International Ltd- 144A

         165,000

 

7.450%

 

11/24/33

 

         185,481

        

         264,390

Telecommunications - 3.86%

        

AT&T Wireless Services, Inc.

           69,541

 

8.750%

 

3/1/31

 

           94,837

Cincinnati Bell, Inc.

           90,000

 

7.250%

 

7/15/13

 

           87,075

Deutsche Telekom International  Finance

         154,535

 

8.250%

 

6/15/30

 

         207,078

Intelsat Bermuda Ltd.- 144A

           45,000

 

8.250%

 

1/15/13

 

           45,338

Intelsat Bermuda Ltd.- 144A

           70,000

 

8.625%

 

1/15/15

 

           71,050

Nextel Communications, Inc.

         173,852

 

6.875%

 

10/31/13

 

         182,545

Nextel Communications, Inc.

         115,000

 

5.950%

 

3/15/14

 

         116,437

Sprint Capital Corp.

         299,989

 

8.750%

 

3/15/32

 

         403,389

Verizon Global

 

         327,940

 

7.750%

 

12/1/30

 

         408,062

        

      1,615,811

Utilities - 1.39%

        

Carolina Power & Light

           70,000

 

5.700%

 

4/1/35

 

           71,737

Firstenergy Corp.

         177,715

 

6.450%

 

11/15/11

 

         190,865

Pacific Gas & Electric

           65,678

 

4.200%

 

3/1/11

 

           64,188

Scottish Power PLC

         210,000

 

5.375%

 

3/15/15

 

         213,069

Southern California Edison Co.

           40,000

 

5.550%

 

1/15/36

 

           40,476

        

         580,335

TOTAL CORPORATE NOTES & BONDS

        

  (Cost - $16,355,782)

      

    16,444,991

SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

 

Dunham Corporate / Government Bond Fund (Continued)

        

April 30, 2005

         
          
  

Principal

 

Interest

 

Maturity

 

 Market

Security

 

Amount

 

Rate

 

Date

 

 Value

MORTGAGE BACKED SECURITIES - 9.93%

        

Banc of America Commercial Mortgage, Inc. Series 2000-1 A1A

         180,707

 

7.109%

 

11/15/31

 

 $      189,925

Citigroup Mortgage Loan Trust, Inc. Series 2004-NCM2 2CB3

         279,863

 

8.000%

 

8/25/34

 

         294,136

CS First Boston Mortgage Securities Corp. Series 2003-29 5A1

         141,456

 

7.000%

 

12/25/33

 

         146,363

FHARM Pool 781192

         282,308

 

3.536%

 

2/1/34

 

         283,196

FNARM Pool 739151

         262,717

 

3.215%

+

9/1/33

 

         263,053

FNARM Pool 776324

         164,572

 

3.593%

 

4/1/34

 

         164,437

Master Alternative Loans Trust Series 2003-7 5A1

         251,107

 

6.250%

 

11/25/33

 

         255,726

Master Alternative Loans Trust Series 2004-1 3A1

         232,819

 

7.000%

 

1/25/34

 

         237,555

Master Alternative Loans Trust Series 2004-3 6A1

         435,860

 

6.500%

 

4/25/34

 

         442,759

Master Alternative Loans Trust Series 2004-5 6A1

         175,231

 

7.000%

 

6/25/34

 

         178,280

Master Alternative Loans Trust Series 2004-6 6A1

         666,808

 

6.500%

 

7/25/34

 

         682,786

Morgan Stanley Mortgage Loan Trust Series 2004-3 3A

         642,060

 

6.000%

 

4/25/34

 

         654,500

Residential Asset Mortgage Products, Inc. Series 2004-SL3 A4

         332,242

 

8.500%

 

12/25/31

 

         352,810

          

TOTAL MORTGAGE BACKED SECURITIES

        

  (Cost - $4,168,504)

      

      4,145,526

          

U.S. GOVERNMENT AND AGENCIES - 38.38%

        

U.S. Government Agency -25.30%

        

FHLMC

 

         115,129

 

5.500%

 

9/15/17

 

         118,552

FHLMC

 

         212,486

 

5.000%

 

3/15/19

 

         213,026

FHLMC

 

         151,402

 

5.500%

 

8/15/21

 

         151,868

FHLMC

 

         570,458

 

5.500%

 

8/15/21

 

         572,272

FHLMC

 

         163,633

 

5.500%

 

9/15/21

 

         164,178

FHLMC

 

         216,341

 

5.500%

 

1/15/22

 

         216,927

FGLMC

 

         260,256

 

7.000%

 

1/1/33

 

         274,815

FNMA   

 

         268,377

 

4.500%

 

12/1/34

 

         259,294

FNCL- TBA

 

      5,120,000

 

4.500%

 

5/15/20

 

      5,063,997

FNCL- TBA

 

         390,000

 

4.500%

 

5/15/35

 

         376,472

FNCL- TBA

 

      3,185,000

 

5.000%

 

5/1/35

 

      3,153,150

        

    10,564,551

U.S. Treasury Obligations  - 13.08%

        

U.S. Treasury Notes

         432,000

 

1.625%

 

2/28/06

 

         425,976

U.S. Treasury Notes

         610,000

 

2.500%

 

9/30/06

 

         601,350

U.S. Treasury Notes

      1,359,000

 

5.000%

 

2/15/11

 

      1,432,258

U.S. Treasury Notes

      2,365,000

 

4.000%

 

11/15/12

 

      2,362,968

U.S. Treasury Notes

         250,000

 

4.750%

 

5/15/14

 

         260,605

U.S. Treasury Notes

         337,000

 

5.375%

 

2/15/31

 

         380,626

        

      5,463,783

TOTAL U.S. GOVERNMENT AND AGENCIES

        

  (Cost - $15,899,750)

      

    16,028,334

          

SHORT TERM INVESTMENT- 31.85%

        

FHLB Discount Note

    13,300,000

 

2.015%

 

5/2/05

 

    13,298,042

  (Cost - $13,298,042)

      

 

          

Total Investments - 119.54%

        

  (Cost - $49,722,078)

      

    49,916,893

Other assets less liabilities - (19.54)%

      

    (8,158,603)

NET ASSETS - 100.00%

      

 $ 41,758,290

 

         

+ Variable rate security

        

TBA- When-issued security

        

144A- Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be sold in transactions

   

exempt from registration, normally to qualified institutional buyers.

        
          
          
          







Dunham Real Estate Stock Fund

Message from the Sub-Adviser


ING Clarion Real Estate Securities

Philadelphia, Pennsylvania


This is the semi-annual report for the Dunham Real Estate Stock Fund.


The sub-adviser began in the reporting period with some alternative sector allocation investments; mainly into storage and office space. Accurate sector calls have helped offset some relatively underperforming stock picks in the reporting period, which have hindered the performance of the portfolio. The portfolio management team at the sub-adviser is seeking rebound opportunities in storage and office space, mostly in Southern California, and has over-weighted those areas in hopes of a rewarding return.


Public storage has a direct relationship with the economy, and as the economy continues to recover and strengthen, the sub-adviser believes the sector will benefit. Another advantage to the public storage sector is that competition is very limited. Five major companies control almost the total market share of the sector and an allocation to this sector can potentially add positive returns to the portfolio.  


In ING’s opinion, the REIT market in general should benefit in the near future from the growing economy. REITs generally serve as a good hedge against inflation during a growing economy because economic expansion tends to raise the values of real estate. There is some angst among flighty investors in the market based on rising inflation rates, but REITs are no more interest sensitive than the S&P 500 according to the sub-adviser. In fact, the portfolio manager is looking for a 7%-8% earnings growth coupled with a 3% dividend yield in the coming year, which ties into their estimate for a 5%-10% portfolio increase due to price-to-earnings (P/E) contraction.


ING has high expectations for holding McGuire Properties, which controls most of downtown Los Angeles. At this moment the portfolio is overweight in McGuire and the security is believed to be undervalued. ING made the shift out of Brookfield Properties because they felt the security was over-priced. Brookfield continued to post gains through the period but ING does not plan to reallocate to the stock.



Portfolio Summary

 

Top 10 Portfolio Holdings*

  

Portfolio Composition*

Company     [f5resltrpie001.jpg]

Simon Property Group, Inc.

6.16%  

Boston Properties, Inc.

5.11%  
ProLogis 4.96%  
Starwood Hotels & Resorts Worldwide, Inc 4.36%  
General Growth Properties, Inc. 4.32%  
Trizec Properties, Inc. 4.32%  
SL Green Realty Corp. 4.11%  
Equity Office Properties Trust    4.05%  
Public Storage, Inc. 3.95%  
Mills Corp   3.95%  
     
     
     
     
*Based on portfolio market value as of April 30, 2005.
  Top 10 Portfolio Holdings excludes short-term investments.

 

 









SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

Dunham Real Estate Stock Fund

         

April 30, 2005

           
            
    

 Market

     

 Market

Security

 

Shares

 

 Value

 

Security

 

Shares

 

 Value

COMMON STOCK - 102.73%

    

REITs - Regional Malls - 17.70%

    

REITs - Apartments - 17.76%

    

General Growth Properties, Inc.

         12,800

 

 $      500,608

Archstone-Smith Trust

           9,700

 

 $      348,909

 

Macerich Co.

 

           4,900

 

         295,470

Avalonbay Communities, Inc.

           5,700

 

         410,400

 

Mills Corp.

 

           8,000

 

         457,120

Camden Property Trust

           8,200

 

         418,200

 

Simon Property Group, Inc.

         10,800

 

         713,556

Equity Residential

           5,100

 

         175,185

     

      1,966,754

Gables Residential Trust

           6,700

 

         245,555

 

REITs - Shopping Centers - 10.22%

   

United Dominion Realty Trust, Inc.

         16,900

 

         374,335

 

Developers Diversified Realty Corp.

           9,100

 

         386,204

    

      1,972,584

 

Pan Pacific Retail Properties, Inc.

           5,700

 

         344,394

REITs - Hotels - 10.35%

    

Regency Centers Corp.

           7,700

 

         405,405

Hilton Hotels Corp.

           9,600

 

         209,568

     

      1,136,003

Host Marriott Corp.

         25,900

 

         435,638

 

REITs - Storage - 4.12%

    

Starwood Hotels & Resorts

    

Public Storage, Inc.

           7,800

 

         457,860

Worldwide, Inc.

           9,300

 

         505,362

       
    

      1,150,568

 

TOTAL COMMON STOCK

    

REITs - Industrial/Office Mix - 3.48%

   

  (Cost - $8,952,965)

  

    11,414,752

Liberty Property Trust

           9,700

 

         386,351

       
      

SHORT TERM INVESTMENT - 1.50%

   

REITs - Industrial Properties - 9.27%

   

Milestone Treasury Obligation

    

AMB Property Corp.

         11,700

 

         456,183

 

Portfolio- Institutional Class

    

ProLogis

 

         14,500

 

         574,055

 

  (Cost - $166,895)

       166,895

 

         166,895

    

      1,030,238

       

REITs - Office Property - 29.83%

    

Total Investments - 104.23%

    

Arden Realty, Inc.

           9,700

 

         346,193

 

  (Cost - $9,119,860)

  

    11,581,647

Boston Properties, Inc.

           8,900

 

         591,583

 

Other assets less liabilities - (4.23)%

 

       (470,083)

Equity Office Properties Trust

         14,900

 

         468,903

 

NET ASSETS - 100.00%

  

 $ 11,111,564

Maguire Properties, Inc.

         10,900

 

         277,950

       

Reckson Associates Realty Corp.

         12,700

 

         409,575

       

SL Green Realty Corp.

           7,800

 

         475,800

       

Trizec Properties, Inc.

         25,000

 

         499,750

       

Vornado Realty Trust

           3,200

 

         244,640

       
    

      3,314,394

       

 

           

REIT - Real Estate Investment Trust

          
            
            







Dunham Appreciation & Income Fund

Message from the Sub-Adviser


Calamos Advisers, LLC

Naperville, Illinois


This is the semi-annual report for the Dunham Appreciation & Income Fund.


The convertible bond markets decreased sharply in the period, as the sector continues to get beaten-up because of low interest rates and historically light volatility. Traditionally, there exists a trade-off between high-yield and convertible bond issuance. As interest rates remain negative in real terms, companies find it more attractive to issue high-yield bonds at low rates, rather than convertibles which give up equity ownership. In fact, the convertible bond market shrunk by $10 billion in the first part of 2005.  


The Fund was down significantly in the period, but outperformed its benchmark. The exposure of the Fund in equities, specifically mid- to large-cap growth issues, was positive in relative terms during the period.    


The Fund was helped most by its holdings in the energy sector. The sub-adviser held an overweight in energy positions and benefited from superior security selection in the area. Other sectors in the Fund that added value in the period were industrials, health care, financials, and consumer staples.


Detracting in the period were positions in the materials, consumer discretionary, and technology sectors. Calamos continued to invest with an overweight in stocks and convertibles of tech companies, as they believe it is an attractive slice of the market due to its strong growth rates and dependence on increased business capital expenditures and productivity.


Calamos is generally optimistic about the economy and thinks that the Fed’s deliberate increase in interest rates will benefit the Fund’s convertible bonds. The firm also thinks growth in the economy should remain strong, and corporate balance sheets are healthy.


The Fund’s yield at the end of the period was approximately 1.25%.



Portfolio Summary

 

Top 10 Portfolio Holdings*

  

Portfolio Composition*

Company     [f7ailtrpie001.jpg]
Diamond Offshore Drilling, Inc. Conv Bond,    
    1.50%, 4/15/31  3.06%  
Yahoo! Inc.      2.73%  
Quest Diagnostics, Inc.   2.48%  
Omnicom Group, Inc. Conv Bond,    
     0.00%, 6/15/33   2.47%  
Exxon Mobil Corp. 2.45%  
Verisign, Inc.   2.44%  
Valero Energy Corp.   2.43%  
Carnival Corp. Conv Bond, 2.00%, 4/15/21  2.37%  
Genzyme Corp. General Division Conv Bond,    
    1.25%, 12/1/23   2.33%  
Massey Energy Co. Conv Bond, 2.25%, 4/1/24 2.29%  
     
*Based on portfolio market value as of April 30, 2005.
   Top 10 Portfolio Holdings excludes short-term investments.


                                                   

                                                                 









SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

 

Dunham Appreciation & Income Fund

        

April 30, 2005

         
          
        

 Market

Security

 

Shares

     

 Value

COMMON STOCK - 48.56%

        

Broadcasting & Cable TV - 1.89%

        

XM Satellite Radio Holdings, Inc.- Cl. A *

           12,549

     

 $      348,109

          

Building Products - 1.99%

        

American Standard Companies, Inc.

             8,200

     

366,622

          

Casino Hotels - 1.98%

        

Boyd Gaming Corp.

             6,900

     

         364,182

          

Communications - 5.99%

        

Motorola, Inc.

 

           24,000

     

         368,160

Qualcomm, Inc.

 

           10,124

     

         353,226

Sprint Corp.

 

           17,251

     

         384,007

        

      1,105,393

Computers - 3.04%

        

Apple Computer, Inc.*

             5,200

     

         187,512

Seagate Technology*

           21,200

     

         372,696

        

         560,208

Computer Software - 1.56%

        

Electronics Arts, Inc. *

             5,400

     

         288,306

        

 

Conglomerates - 2.13%

        

ITT Industries, Inc.

             4,334

     

         392,054

          

Cosmetics & Toiletries - 1.74%

        

Avon Products, Inc.

             8,000

     

         320,640

          

E-Commerce  - 1.58%

        

Amazon.com, Inc. *

             9,014

     

         291,693

          

Financial Services - 2.08%

        

SLM Corp.

 

             8,050

     

         383,502

          

Hotels - 1.91%

         

Marriott International, Inc.- Cl. A

             5,600

     

         351,400

          

Insurance - 2.17%

        

Prudential Financial, Inc.

             7,000

     

         400,050

        

 

Internet - 6.59%

        

Symantec Corp. *

           12,990

     

         243,952

Verisign, Inc. *

 

           17,278

     

         457,176

Yahoo! Inc. *

 

           14,852

     

         512,543

        

      1,213,671

Medical - 4.61%

        

Quest Diagnostics, Inc.

             4,400

     

         465,520

WellPoint, Inc.*

 

             3,000

     

         383,250

        

         848,770

Oil & Gas - 6.84%

        

Cabot Oil & Gas Corp.- Cl. A

           11,728

     

         345,272

Exxon Mobil Corp.

             8,050

     

         459,091

Valero Energy Corp.

             6,650

     

         455,725

        

      1,260,088

          

SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

 

Dunham Appreciation & Income Fund (Continued)

        

April 30, 2005

         
          
        

 Market

Security

 

Shares

     

 Value

Retail-Apparel - 2.09%

        

Chico's FAS, Inc.*

           15,000

     

 $      384,450

        

 

Semiconductor - 0.37%

        

Freescale Semiconductor, Inc.- Cl. B *

             3,619

     

           68,254

          

TOTAL COMMON STOCK

        

  (Cost - $7,732,806)

      

      8,947,392

    

Dividend

     
    

Rate

     

PREFERRED STOCK - 3.23%

        

Insurance - 1.06%

        

Hartford Financial Services Group, Inc. Convertible

             3,000

 

6.000%

   

         195,750

          

Utilities - 2.17%

        

CenterPoint Energy, Inc.

           12,053

 

3.200%

   

         399,846

          

TOTAL PREFERRED STOCK

        

  (Cost - $531,672)

      

         595,596

          
  

Principal

 

Interest

 

Maturity

   
  

Amount

 

Rate

 

Date

   

CONVERTIBLE BONDS - 46.62%

        

Advertising - 2.52%

        

Omnicom Group, Inc. *

 $      475,000

 

0.000%

 

6/15/33

 

         464,313

        

 

Aerospace & Defense - 2.29%

        

Armor Holdings, Inc.

         468,000

 

2.000%

+

11/1/24

 

         421,785

          

Banks - 2.09%

         

Providian Financial Corp.

         280,000

 

4.000%

 

5/15/08

 

         385,700

          

Business Services - 0.99%

        

CSG Systems International, Inc.

         200,000

 

2.500%

 

6/15/24

 

         183,000

          

Casinos & Gaming - 1.10%

        

Scientific Games Corp.- 144A

         220,000

 

0.750%

 

12/1/24

 

         202,400

          

Communications - 0.80%

        

Lucent Technologies, Inc.

         155,000

 

2.750%

 

6/15/23

 

         148,025

          

Computer Services - 3.16%

        

Electronic Data Systems

         400,000

 

3.875%

 

7/15/23

 

         378,500

Hutchinson Technology, Inc.

         152,000

 

2.250%

 

3/15/10

 

         203,870

        

         582,370

Computer Software - 1.91%

        

Serena Software, Inc.

         346,000

 

1.500%

 

12/15/23

 

         352,488

          

Cruise Lines - 2.41%

        

Carnival Corp.

 

         346,000

 

2.000%

 

4/15/21

 

         444,177

        

 

Energy Production - 2.34%

        

Massey Energy Co.

         340,000

 

2.250%

 

4/1/24

 

         430,525

          
          

SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

 

Dunham Appreciation & Income Fund (Continued)

        

April 30, 2005

         
          
  

Principal

 

Interest

 

Maturity

 

 Market

Security

 

Amount

 

Rate

 

Date

 

 Value

Machinery - 1.97%

        

Regal Beloit

 

 $      310,000

 

2.750%

 

3/15/24

 

 $      362,700

          

Medical - 16.48%

        

Celgene Corp.

 

         200,000

 

1.750%

 

6/1/08

 

         326,250

Community Health Systems, Inc.

         327,000

 

4.250%

 

10/15/08

 

         367,875

First Horizon Pharmaceutical

         185,000

 

1.750%

 

3/8/24

 

         180,375

Genzyme Corp. General Division

         425,000

 

1.250%

 

12/1/23

 

         437,219

Integra Lifesciences Holdings

         165,000

 

2.500%

 

3/15/08

 

         199,444

Invitrogen Corp.

         400,000

 

1.500%

 

2/15/24

 

         368,000

Ivax Corp.

 

         370,000

 

1.875%

 

12/15/24

 

         395,437

Medtronic, Inc.

 

         370,000

 

1.250%

 

9/15/21

 

         371,850

Henry Schein, Inc.

         370,000

 

3.000%

 

8/15/34

 

         389,888

        

      3,036,338

Multimedia - 2.11%

        

Disney (Walt) Co.

         370,000

 

2.125%

 

4/15/23

 

         388,500

          

Oil & Gas - 4.47%

        

Diamond Offshore Drilling, Inc.

         527,000

 

1.500%

 

4/15/31

 

         573,771

Halliburton Co.

 

         200,000

 

3.125%

 

7/15/23

 

         250,000

        

         823,771

Photographic Supplies - 1.98%

        

Eastman Kodak Co.

         354,000

 

3.375%

 

10/15/33

 

         365,063

          

TOTAL CONVERTIBLE BONDS

        

  (Cost - $8,819,269)

      

      8,443,130

          

SHORT TERM INVESTMENT - 3.42%

Shares

       

Milestone Treasury Obligation Portfolio- Institutional Class

630,398

     

         630,398

  (Cost - $630,398)

        
          

Total Investments - 101.83 %

        

  (Cost - $17,714,145)

      

    18,616,516

Other assets less liabilities - (1.83)%

      

       (189,750)

NET ASSETS - 100.00%

      

 $ 18,426,766

          

 

         

*Non-income producing security

        

+Variable rate security

        

144A- Security is exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be sold

    

            in transactions exempt from registration, normally to qualified institutional buyers.

       
          
          
          
          







Dunham International Stock Fund

Message from the Sub-Adviser


BPI Global Asset Management LLP

Orlando, Florida


This is the semi-annual report for the Dunham International Stock Fund.


International equities were ahead of the U.S. markets in the period. After a good start, especially in emerging markets, the emerging markets and EAFE Index gave up some of their performance in the latter stages of the reporting period.   


While U.S. markets were sluggish by posting flat to negative returns, international markets continued their strength into 2005. However, strengthening of the U.S. dollar against the major currencies hurt U.S. investors. The MSCI EAFE posted a good return in local terms, while the U.S. dollar dominated investor’s performance was worse because of the dollar’s strength. Investors have become more risk averse triggered by inflationary worries and a rising interest rate environment.       


The portfolio’s 15% exposure to emerging markets hurt performance towards the end of the period. Exposure to the energy sector contributed positively to the portfolio as energy stocks worldwide were strong performers. Superior stock selection within the sector (Precision Drilling Corporation (PDS)) further helped the portfolio.


The portfolio was negatively impacted by its allocations to financials and telecommunication services, which subtracted from the performance in reporting period. Stock picks in telecommunication services significantly underperformed the index, increasing the relative underperformance for the portfolio. After losing value during the period in music recording and publishing company EMI, the portfolio manager intends to exit that position.  


Due to the continued disappointing performance and qualitative concerns BPI will be replaced by Neuberger Berman with an expected start date on July 1, 2005, pending shareholder approval.



Portfolio Summary

 

Top 10 Portfolio Holdings*

  

Portfolio Composition*

Company     [f9intstockltrpie001.jpg]
British Sky Broadcasting Group PLC ADR  4.44%  
Nestle SA ADR   4.08%  
Vodafone Group PLC ADR 3.88%  
Orix Corp. ADR 3.49%  
Kubota Corp. ADR . 3.38%  
WPP Group PLC ADR  3.26%  
Nomura Holdings, Inc. ADR 3.24%  
Technip SA ADR 3.08%  
Diageo PLC ADR 2.98%  
Precision Drilling Corp.  2.95%  
     
     
     
     
*Based on portfolio market value as of April 30, 2005.
  Top 10 Portfolio Holdings excludes short-term investments.

 


                                   











SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

Dunham International Stock Fund

         

April 30, 2005

           
            
    

 Market

     

 Market

Security

 

Shares

 

 Value

 

Security

 

Shares

 

 Value

COMMON STOCK - 90.96%

    

Multimedia - 1.79%

    

Advertising - 3.25%

    

News Corp.- Cl. B

         25,719

 

 $      409,446

WPP Group PLC ADR

         13,762

 

 $      744,662

       
      

Music - 2.57%

     

Automobiles - 0.94%

    

EMI Group PLC ADR

         64,612

 

         589,242

Nissan Motor Co. Ltd. ADR

         10,979

 

         215,737

       
      

Office Equipment - 1.72%

    

Beverages - 2.97%

    

Canon, Inc. ADR

           7,595

 

         395,244

Diageo PLC ADR

         11,400

 

         681,150

       
      

Oil & Gas - 12.92%

    

Commercial Banks - 12.16%

    

BP PLC ADR

 

           4,151

 

         252,796

Banco Santander Central

    

China Petroleum and

    

Hispano SA ADR

         51,589

 

         598,432

 

Chemical Corp. ADR

         16,889

 

         661,880

DBS Group Holdings Ltd. ADR

         12,258

 

         428,974

 

Petroleo Brasileiro SA ADR

         16,000

 

         670,880

HSBC Holdings PLC ADR

           6,869

 

         549,863

 

Precision Drilling Corp.*

           9,325

 

         672,985

ICICI Bank Ltd. ADR

         34,894

 

         630,883

 

Technip SA ADR

         16,500

 

         702,240

Mitsubishi Tokyo Financial

        

      2,960,781

Group, Inc. ADR

         66,744

 

         577,336

 

Pharmaceuticals - 2.12%

    
    

      2,785,488

 

GlaxoSmithKline PLC ADR

           9,626

 

         486,594

Communications - 7.85%

          

PT Telekomunikasi Indonesia ADR

         22,937

 

         413,325

 

Real Estate Management - 2.34%

    

Telesp Cellular Participacoes

    

Mitsubishi Estate Co. ADR

           4,964

 

         535,127

SA ADR*

 

         94,815

 

         500,623

       

Vodafone Group PLC ADR

         33,842

 

         884,630

 

Retail - Misc. - 3.93%

    
    

      1,798,578

 

Ito-Yokado Co. Ltd. ADR

         11,806

 

         408,481

Diversified Manufacturing - 1.91%

    

Kingfisher PLC ADR

         52,472

 

         492,061

Siemens AG ADR

           5,941

 

         436,782

     

         900,542

      

Semiconductors - 2.68%

    

Diversified Operations - 1.67%

    

ARM Holdings PLC ADR

       113,932

 

         615,233

LVMH SA ADR

 

         27,223

 

         383,066

       
      

Software - 1.26%

    

Electric Products - 2.89%

    

SAP AG ADR

 

           7,294

 

         287,602

Hitachi Ltd. ADR

         11,280

 

         662,362

       
      

Telecommunication Equipment - 2.60%

   

Food - 4.06%

     

Ericsson (LM) Tel. ADR

         20,200

 

         594,890

Nestle SA ADR

 

         14,162

 

         930,888

 

Telequest, Inc.*

 

           3,760

 

                     -

          

         594,890

Insurance - 2.67%

    

Television - 4.42%

    

Allianz AG ADR

 

         51,062

 

         612,744

 

British Sky Broadcasting Group ADR

         24,290

 

      1,013,379

            

Investment Banking - 3.23%

    

TOTAL COMMON STOCK

    

Nomura Holdings, Inc. ADR

         57,980

 

         739,825

 

  (Cost - $18,211,899)

  

    20,842,832

            

Leasing - 3.48%

    

SHORT TERM INVESTMENT - 8.66%

   

Orix Corp. ADR

         11,732

 

         796,603

 

Milestone Treasury Obligation

    
      

Portfolio- Institutional Class

    

Machinery - 3.37%

    

  (Cost - $1,985,600)

    1,985,600

 

      1,985,600

Kubota Corp. ADR

         30,156

 

         771,994

       
      

Total Investments - 99.62%

    

Medical - 2.16%

    

  (Cost - $20,197,499)

  

    22,828,432

Smith & Nephew PLC ADR

           9,626

 

         494,873

 

Other assets less liabilities - 0.38%

 

           86,081

      

NET ASSETS - 100.00%

  

 $ 22,914,513

 

           

*Non-income producing security

          

ADR - American Depositary Receipts

          
            
            
            







Dunham Large Cap Value Fund

Message from the Sub-Adviser


C.S. McKee, L.P.

Pittsburgh, Pennsylvania


This is the semi-annual report for the Dunham Large Cap Value Fund.


Large-cap value stocks were basically flat to up marginally for the reporting period.  Energy stocks contributed nearly all of the positive returns for the asset class in the period. Almost all other sectors were in negative territory in the period. The Fund outperformed its benchmarks by a fair margin.  


The energy sector was key to C.S. McKee delivering better than index performance. The portfolio management team has made a large wager against Exxon Mobil, which is over 5% of the index and the largest “value” stock.  They believe that Exxon Mobil is trading at too high of a multiple and by owning smaller oil & gas companies up and downstream, they own the same type of vertically integrated company but with better nimbleness and higher growth rates.  


The Fund’s information technology and consumer discretionary stocks also added value relative to its benchmarks in the period. Holding Intel Corp. was a positive for the Fund, which was a position C.S. McKee initiated in December. The other two tech holdings both rallied in the quarter; Hewlett Packard announced a new CEO and SunGard Data Systems will be purchased by a consortium of leveraged buyout firms.  


On the downside in the reporting period were the Fund’s financial services holdings, which declined as a result of the flattening yield curve and rising interest rates. However, the portfolio management team was underweight financials relative to the index. But, the Fund had shares of AIG, which did poorly because it has been under SEC investigation, and the management team continues to hold onto the stock.


The Fund took a new position in Wal-Mart Stores, Inc. after selling out of Kroger Co.  Management also swapped out of RR Donnelley and purchased Dover Corp.  Both trades were because of better relative valuations based on C.S. McKee’s proprietary models.   


C.S. McKee expects earnings growth of 6% for the next few years, views the growth-style more attractive, and market valuations at fair levels.



Portfolio Summary

 

Top 10 Portfolio Holdings*

  

Portfolio Composition*

Company     [f11lgvalueltrpie001.jpg]
Apache Corp. 4.54%  
ConocoPhilips  4.30%  
Marathon Oil Corp. 3.08%  
Citigroup, Inc.   2.83%  
JPMorgan Chase & Co.  2.78%  
Intel Corp.  2.64%  
Fortune Brands, Inc.   2.59%  
Bank of America Corp.  2.58%  
Riggs National Corp.  2.55%  
Chevron Texaco Corp. 2.54%  
     
     
     
     
*Based on portfolio market value as of April 30, 2005.
  Top 10 Portfolio Holdings excludes short-term investments.


 

 

 

 

 

 

 

 

 







SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

Dunham Large Cap Value Fund

         

April 30, 2005

           
            
    

 Market

     

 Market

Security

 

Shares

 

 Value

 

Security

 

Shares

 

 Value

COMMON STOCK - 97.83%

    

Industrial Equipment - 1.16%

    

Aerospace & Defense - 4.20%

    

Ingersoll-Rand Co.- Cl. A

           5,340

 

 $      410,486

Boeing Co.

 

           9,833

 

 $      585,260

       

Honeywell International, Inc.

         14,672

 

         524,671

 

Insurance - 4.35%

    

United Technologies Corp.

           3,708

 

         377,178

 

Allstate Corp.

 

           8,232

 

         462,309

    

      1,487,109

 

American International Group

           7,490

 

         380,866

Air Courier - 0.89%

    

Hartford Financial

    

Fedex Corp.

 

           3,708

 

         314,995

 

Services Group, Inc.

           9,640

 

         697,647

          

      1,540,822

Banks - 16.24%

    

Investment Services - 1.85%

    

Bank of America Corp.

         20,141

 

         907,151

 

Merrill Lynch & Co., Inc.

         12,014

 

         647,915

Citigroup, Inc.

 

         21,210

 

         996,022

 

Piper Jaffray Companies, Inc.*

              230

 

             6,359

JPMorgan Chase & Co.

         27,602

 

         979,595

     

         654,274

Riggs National Corp. *

         46,054

 

         899,435

 

Management Investment

    

Suntrust Banks, Inc.

           5,414

 

         394,302

 

Companies - 0.85%

    

U.S. Bancorp

 

         32,007

 

         892,995

 

John Hancock Bank & Thrift

    

UnionBanCal Corp.

         11,124

 

         684,793

 

Opportunity Fund

         31,148

 

         299,955

    

      5,754,293

       

Building & Construction

    

Medical - 4.90%

    

Products - 0.99%

    

Laboratory Corp of

    

Masco Corp.

 

         11,124

 

         350,295

 

America Holdings*

         12,802

 

         633,699

      

Pfizer, Inc.

 

         23,499

 

         638,468

Communications - 2.02%

    

Universal Health Services, Inc.

           8,157

 

         462,828

AT&T Corp.

 

         37,526

 

         717,872

     

      1,734,995

      

Metals - 1.52%

     

Computers - 0.88%

    

Alcoa, Inc.

 

         18,540

 

         538,031

Dell, Inc.*

 

           9,000

 

         313,470

       
      

Oil - 14.37%

     

Computer Peripherals - 2.15%

    

Apache Corp.

 

         28,432

 

      1,600,437

Hewlett Packard Co.

         37,155

 

         760,563

 

ChevronTexaco Corp.

         17,206

 

         894,712

    

 

 

ConocoPhillips

 

         14,462

 

      1,516,341

Computer Services - 1.57%

    

Marathon Oil Corp.

         23,287

 

      1,084,476

Sungard Data Systems, Inc.*

         16,687

 

         557,346

     

      5,095,966

    

 

 

Railroads - 1.21%

    

Conglomerates - 6.72%

    

Burlington Northern Santa Fe Corp.

           8,900

 

         429,425

Dover Corp.

 

         14,500

 

         527,220

       

Emerson Electric Co.

           8,826

 

         553,125

 

Retail-Apparel - 1.63%

    

Fortune Brands, Inc.

         10,767

 

         910,673

 

Gap, Inc.

 

         27,000

 

         576,450

General Electric Co.

         10,827

 

         391,937

       
    

      2,382,955

 

Retail-Auto Parts - 1.32%

    

Consumer Financial

    

Autozone, Inc.*

 

           5,636

 

         467,788

Services - 1.52%

          

Fannie Mae

 

         10,000

 

         539,500

 

Retail-Building Products - 2.43%

    
      

Home Depot, Inc.

         16,687

 

         590,219

Electric Utilities - 4.35%

    

Lowe's Companies, Inc.

           5,191

 

         270,503

Exelon Corp.

 

         15,264

 

         755,568

     

         860,722

FPL Group, Inc.

           9,936

 

         405,588

 

Retail-Discount - 1.92%

    

TXU Corp.

 

           4,450

 

         381,765

 

Wal-Mart Stores, Inc.

         14,400

 

         678,816

    

      1,542,921

       

Food Processing - 3.50%

    

Retail-Jewelry - 1.41%

    

Dean Foods Co. *

           8,900

 

         305,804

 

Zale Corp.*

 

         18,540

 

         501,136

General Mills, Inc.

         10,975

 

         542,165

       

Sara Lee Corp.

 

         18,392

 

         393,405

       
    

      1,241,374

       

SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

Dunham Large Cap Value Fund (Continued)

       

April 30, 2005

           
            
    

 Market

     

 Market

Security

 

Shares

 

 Value

 

Security

 

Shares

 

 Value

Retail-Office Supplies - 2.05%

    

Tobacco - 2.11%

    

Office Depot, Inc.*

         37,080

 

 $      726,026

 

Altria Group, Inc.

         11,495

 

 $      747,060

            

Retail-Restaurant/Specialty - 4.24%

   

TOTAL COMMON STOCK

    

McDonald's Corp.

         22,026

 

         645,582

 

  (Cost - $29,425,671)

  

    34,670,784

Outback Steakhouse, Inc.

         21,211

 

         856,924

       
    

      1,502,506

 

SHORT TERM INVESTMENT - 1.57%

   

Savings & Loans - 1.56%

    

Milestone Treasury Obligation

    

Washington Mutual, Inc.

         13,349

 

         551,581

 

Portfolio- Institutional Class

    
      

  (Cost - $555,598)

555,598

 

555,598

Semiconductors - 2.62%

          

Intel Corp.

 

         39,528

 

         929,699

 

Total Investments - 99.40%

    
      

  (Cost - $29,981,269)

  

    35,226,382

Steel - 1.30%

     

Other assets less liabilities - 0.60%

 

         212,057

Nucor Corp.

 

           9,048

 

         462,353

 

NET ASSETS - 100.00%

  

 $ 35,438,439

            

 

           

*Non-income producing security.

          
            
            







Dunham Small Cap Value Fund

Message from the Sub-Adviser


Babson Capital Management LLC

Boston, Massachusetts


This is the semi-annual report for the Dunham Small Cap Value Fund.


Small cap value stocks represented by the Russell 2000 Value had a tough reporting period, losing over 6%. The tide for size preference finally turned in favor of large-caps in the period. However it is too early to tell whether this marks the start of the long-awaited comeback of large-cap stocks or not.  


A major contributor of Babson’s underperformance in the period was its more core oriented investment style that helped tremendously in December of last year as growth-oriented stocks soared toward the end of the year; however, the picture painted in early 2005 looks entirely different as small-cap growth stocks underperformed small-cap value stocks significantly.  


The Fund’s underweight in financials helped in relative terms, however underperforming stock picks in financials subtracted from the performance in the period. Several of the Babson’s financial stocks posted heavy losses led by Piper Jaffray (PJC). Positive in the sector was a small IPO allocation in the OTC derivatives specialist GFI Group, Inc. (GFIG), which soared. Exposure to industrials further subtracted from the performance in the reporting period.  


The Fund’s exposure to consumer staples added the most amount of value, followed by energy. The cosmetics company Revlon (REV) returned.  The energy sector continued to perform well and contributed positively to the Fund.

  

Babson expects to reduce its exposure in the energy sector by selling stocks at the margin. The manager is also looking to add holdings in materials and processing, especially in chemicals, where the manager expects increasing pricing power.



Portfolio Summary

 

Top 10 Portfolio Holdings*

  

Portfolio Composition*

Company     [f13smvalueltrpie001.jpg]
Idex Corp.  2.72%  
Actuant Corp.-Cl. A 2.70%  
Headwaters, Inc. 2.62%  
First Republic Bank 2.56%  
Baldor Electric Co. 2.53%  
Sterling Bancorp 2.48%  
Landstar System, Inc.   2.46%  
Boston Private Financial Holdings, Inc. 2.41%  
Arbitron, Inc. 2.37%  
Carters, Inc.  2.36%  
     
     
     
     
*Based on portfolio market value as of April 30, 2005.
  Top 10 Portfolio Holdings excludes short-term investments.

 

 

 

 

 

 

 

 

 







SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

Dunham Small Cap Value Fund

         

April 30, 2005

           
            
    

 Market

     

 Market

Security

 

Shares

 

 Value

 

Security

 

Shares

 

 Value

COMMON STOCK - 91.30%

    

Gambling - 1.58%

    

Auto & Truck Parts - 1.12%

    

Pinnacle Entertainment, Inc.*

         18,724

 

 $      283,856

Modine Manufacturing Co.

           7,430

 

 $      201,204

       
      

Healthcare - 2.08%

    

Broadcasting - 5.98%

    

CorVel Corp.*

 

           6,949

 

         142,732

Gray Television, Inc.

         28,652

 

         376,774

 

LabOne, Inc. *

 

           6,600

 

         231,528

Lin TV Corp. - Cl. A*

         21,859

 

         340,782

     

         374,260

Saga Communications, Inc. - Cl. A*

         24,193

 

         355,879

 

Investment Banks - 1.75%

    
    

      1,073,435

 

Jefferies Group, Inc.

           8,689

 

         314,542

Commercial Banks - 12.75%

          

Alabama National Bancorp

           1,631

 

           93,261

 

Lasers - 3.54%

     

Chittenden Corp.

         12,000

 

         301,320

 

Coherent, Inc.*

 

           7,548

 

         242,140

Financial Institutions, Inc.

           7,111

 

         130,700

 

Excel Technology, Inc.*

           9,041

 

         189,771

First Republic Bank

         14,879

 

         465,564

 

II-VI, Inc.*

 

         14,462

 

         205,505

First State Bancorporation

         17,222

 

         301,385

     

         637,416

Hanmi Financial Corp.

         21,220

 

         310,873

 

Leisure Products - 1.41%

    

Sterling Bancorp

         19,601

 

         451,019

 

Marine Products Corp.

         19,300

 

         252,830

UMB Financial Corp.

           4,400

 

         238,172

       
    

      2,292,294

 

Machinery - 7.65%

    

Commercial Services - 4.79%

    

Baldor Electric Co.

         18,549

 

         461,870

Arbitron, Inc.

 

         10,194

 

         431,410

 

Global Power Equipment Group, Inc.*

         46,089

 

         417,566

G & K Services, Inc.

         11,215

 

         430,432

 

Idex Corp.

 

         13,318

 

         496,096

    

         861,842

     

      1,375,532

Communications - 0.23%

    

Metal Processors - 1.92%

    

Iowa Telecommunications Services, Inc.

           2,205

 

           42,116

 

Kaydon Corp.

 

         12,582

 

         345,250

            

Construction Products - 2.35%

    

Oil Field Services - 3.95%

    

Trex Company, Inc.*

         10,499

 

         421,850

 

RPC, Inc.

 

         23,365

 

         339,727

      

W-H Energy Services, Inc.*

         16,827

 

         370,531

Consumer Products - Misc - 1.73%

       

         710,258

Fossil, Inc.*

 

           9,280

 

         215,853

 

Pharmaceutical - 3.12%

    

Revlon, Inc.- Cl. A*

         32,506

 

           95,568

 

Taro Pharmaceutical Industries Ltd.*

           9,016

 

         262,005

    

         311,421

 

Valeant Pharmaceuticals International

         14,417

 

         299,153

Direct Marketing - 1.50%

        

         561,158

Advo, Inc.

 

           9,377

 

         270,151

 

Plastics - 1.78%

    
      

Spartech Corp.

 

         16,440

 

         320,087

Diversified Manufacturing - 3.97%

          

Actuant Corp.- Cl. A*

         11,570

 

         492,766

 

Retail-Apparel - 2.39%

    

AZZ, Inc.*

 

         14,232

 

         220,596

 

Carter's, Inc.*

 

         11,414

 

         430,536

    

         713,362

       

Electronic Components - 1.38%

    

Retail-Mail Order - 1.61%

    

Bel Fuse, Inc. - Cl. B

           9,259

 

         248,604

 

Coldwater Creek, Inc.*

         17,309

 

         289,406

            

Energy - 4.08%

    

Retail-Restaurant/Specialty - 1.54%

   

Headwaters, Inc.*

         14,939

 

         477,600

 

RARE Hospitality International, Inc.*

           9,984

 

         277,755

Unit Corp.*

 

           6,665

 

         255,669

       
    

         733,269

 

Semiconductors - 2.61%

    

Environmental Monitoring - 0.95%

    

Actel Corp.*

 

           8,905

 

         124,937

Mine Safety Appliances Co.

           4,784

 

         170,789

 

Micrel, Inc.*

 

         27,426

 

         257,804

      

ZiLOG, Inc.*

 

         19,669

 

           86,740

Fiduciary Banks - 2.45%

        

         469,481

Boston Private Financial Holdings, Inc.

         19,682

 

         439,696

 

Semiconductor Equipment - 2.07%

   
      

Mykrolis Corp.*

 

         29,235

 

         372,746

            

SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

Dunham Small Cap Value Fund (Continued)

       

April 30, 2005

           
            
    

 Market

     

 Market

Security

 

Shares

 

 Value

 

Security

 

Shares

 

 Value

Software - 3.14%

    

SHORT TERM INVESTMENT - 10.03%

   

Ansoft Corp.*

 

         12,817

 

 $      297,354

 

Milestone Treasury Obligation

    

Dendrite International, Inc.*

         17,336

 

         267,321

 

Portfolio- Institutional Class

    
    

         564,675

 

  (Cost - $1,803,541)

    1,803,541

 

 $   1,803,541

Transportation - Trucking - 5.88%

          

Knight Transportation, Inc.

         12,692

 

         268,182

 

Total Investments - 101.33%

    

Landstar System, Inc.*

         14,604

 

         447,613

 

  (Cost - $16,291,245)

  

    18,220,967

Marten Transport Ltd.*

         17,990

 

         341,810

 

Other assets less liabilities - (1.33)%

 

       (238,820)

    

      1,057,605

 

NET ASSETS - 100.00%

  

 $ 17,982,147

TOTAL COMMON STOCK

          

  (Cost - $14,487,704)

  

    16,417,426

       
            

 

           

*Non-income producing security

          
            
            
            







Dunham Large Cap Growth Fund

Message from the Sub-Adviser


Baring Asset Management, Inc.

Boston, Massachusetts


This is the semi-annual report for the Dunham Large Cap Growth Fund.


The Fund sub-advised by Baring performed well and outperformed its benchmark substantially in the reporting period. Late in the quarter, a couple of positions in Electronic Arts, Inc. (ERTS) and Parker Hannifin Corporation (PH) incurred substantial losses. After a rebound in the last part of 2004, large-cap growth stocks significantly underperformed large-cap value stocks in the first part of 2005 as negative earnings surprises at the margin triggered sell-offs. Energy stocks continued to perform well as the Brent Crude Index (IPE) reached a 52-week high during the period.

 

The Fund’s performance was mainly driven by its holdings in energy, health care and financial services. While stock selection in energy was not bad, just being in the sector helped the portfolio tremendously in the reporting period. Superior stock selection skills in health care (Covance) and financial services (Goldman Sachs) further contributed to the performance. Avoiding some of the bigger losers in financial services such as AIG, American Express or Fannie Mae helped the Fund relative to the benchmark.   


Negatively impacting Fund results this period were its holdings in consumer discretionary and industrials. Parker Hannifin Corporation (PH) took a substantial hit after a negative earnings surprise.  Even though Electronic Arts (ETRS) performed poorly in the period, the manager believes with the upcoming launches of Sony’s PSP and Microsoft’s X-Box II, revenue prospects for EA are promising. With fundamentals intact the portfolio manager will use continued weakness to add to its position in the coming months.


The sub-adviser expects to find more opportunities to invest in companies with sound fundamentals that were oversold in the recent sell-off, and expects the market to rebound in the second half of 2005 assuming no increase in negative earnings surprises.



Portfolio Summary

 

Top 10 Portfolio Holdings*

  

Portfolio Composition*

Company     [f15lggrowthltrpie001.jpg]
Proctor & Gamble Co. 5.78%  
Intel Corp. 4.88%  
Amgen, Inc.  4.41%  
Microsoft Corp. 4.40%  
Medtronic, Inc. 4.10%  
Bunge Ltd. 4.05%  
Abbott Laboratories 4.03%  
Electronic Arts, Inc. 3.94%  
Gen-Probe, Inc. 3.38%  
Goldman Sachs Group, Inc. 3.20%  
     
     
     
     
*Based on portfolio market value as of April 30, 2005.
  Top 10 Portfolio Holdings excludes short-term investments.

 







SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

Dunham Large Cap Growth Fund

         

April 30, 2005

           
            
    

 Market

     

 Market

Security

 

Shares

 

 Value

 

Security

 

Shares

 

 Value

COMMON STOCK  - 97.83%

    

Oil  - 1.39%

     

Aerospace - 2.52%

    

Transocean, Inc. *

         10,132

 

 $      469,821

United Technologies Corp.

           8,400

 

 $      854,448

       
      

Retail  - 2.18%

     

Biotechnology - 3.11%

    

Best Buy Co., Inc.

         14,707

 

         740,350

Gilead Sciences, Inc.*

         28,400

 

      1,053,640

       
      

Scientific & Technical

    

Casinos & Gaming - 2.34%

    

Instruments - 5.41%

    

Scientific Games Corp.*

         36,900

 

         792,243

 

Gen-Probe, Inc. *

         22,998

 

      1,154,270

      

Thermo Electron Corp. *

         27,211

 

         679,731

Chemicals - 2.05%

        

      1,834,001

Dow Chemical Co.

         15,100

 

         693,543

 

Semiconductors  - 7.66%

    
    

 

 

Intel Corp.

 

         70,916

 

      1,667,944

Computer Hardware  - 5.90%

    

Texas Instruments, Inc.

         37,172

 

         927,813

Dell, Inc. *

 

         31,363

 

      1,092,373

     

      2,595,757

EMC Corp. *

 

         69,184

 

         907,694

 

Software  - 14.27%

    
    

      2,000,067

 

Adobe Systems, Inc.

         17,400

 

      1,034,778

Conglomerates  - 2.73%

    

Electronic Arts, Inc. *

         25,200

 

      1,345,428

Tyco International Ltd.

         29,519

 

         924,240

 

Microsoft Corp.

 

         59,468

 

      1,504,540

      

Verisign, Inc.*

 

         35,900

 

         949,914

Cosmetics / Toiletries  - 5.83%

        

      4,834,660

Proctor & Gamble Co.

         36,500

 

      1,976,475

 

Steel Producers - 2.90%

    
    

 

 

United States Steel Corp.

         23,000

 

         983,480

Electronic Equipment  - 4.94%

          

Amphenol Corp.- Cl. A

         22,339

 

         881,050

 

Tobacco - 2.01%

    

Wesco International, Inc.*

         32,800

 

         793,104

 

Altria Group, Inc.

         10,500

 

         682,395

    

      1,674,154

       

Finance  - 3.23%

    

Transportation  - 1.76%

    

Goldman Sachs Group, Inc.

         10,235

 

      1,092,996

 

Norfolk Southern Corp.

         19,000

 

         596,600

            

Food Processing  - 4.08%

    

TOTAL COMMON STOCK  

    

Bunge Ltd.

 

         24,367

 

      1,384,046

 

  (Cost  - $32,370,582)

  

    33,153,058

            

Medical  - 17.52%

    

SHORT TERM INVESTMENT  - 3.01%

   

Abbott Laboratories

         27,992

 

      1,376,087

 

Milestone Treasury Obligation

    

Amgen, Inc. *

 

         25,900

 

      1,507,639

 

Portfolio- Institutional Class

    

Covance, Inc. *

 

         15,995

 

         730,012

 

  (Cost  - $1,021,552)

    1,021,552

 

      1,021,552

Express Scripts, Inc.- Cl. A *

         10,271

 

         920,692

       

Medtronic, Inc.

 

         26,600

 

      1,401,820

 

Total Investments  - 100.84%

    
 

 

  

      5,936,250

 

  (Cost  - $33,392,134)

  

    34,174,610

Multimedia  - 6.00%

    

Other assets less liabilities  - (0.84)%

 

       (286,170)

DreamWorks Animation SKG, Inc. *

         16,560

 

         621,000

 

NET ASSETS  - 100.00%

  

 $ 33,888,440

Time Warner, Inc.*

         51,000

 

         857,310

       

Viacom, Inc.- Cl. B

         16,048

 

         555,582

       
    

      2,033,892

       
            

 

           

*Non-income producing security

          
            
            




 



Dunham Emerging Markets Stock Fund

Message from the Sub-Adviser


Van Eck Associates Corporation

New York, New York


This is the semi-annual report for the Dunham Emerging Markets Stock Fund.


Emerging markets started the year with strong performance before pulling back as money flowed out of the emerging markets and inflationary worries increased. Van Eck believes while there is generally still some room for interest rates to raise, the expectations are mostly priced in the markets by now.  Van Eck posted an impressive relative return by outperforming its benchmark by approximately three percent.


With the recent pull-back, the portfolio manager finds interesting opportunities in countries previously overvalued. Brazil, for example, continues to raise rates but is close to the top of the rate cycle. The sub-adviser finds that at this point the banking sector, especially consumer banking, looks attractive in Brazil. Mexico is generally still somewhat pricey but the portfolio manager has identified a few companies to invest in should they reach reasonable valuations.   


Van Eck exited its positions in Eastern Europe mostly due to valuations, however growth prospects still look good. Turkey currently offers some very interesting opportunities after inflation rates fell from the mid-50% range to single-digit rates as foreign investors took advantage of the interest differential. The current weakness in the currency will add additional return potential for the dollar-based investor. Portfolio manager David Semple plans to visit a few companies this year to get more comfortable with the investment opportunities available in Turkey.


Van Eck recently added IRSA to the portfolio. The company is a real estate developer focusing on hotels and gated communities in Argentina. Over the next few years, while IRSA’s occupancy rates increase from 50 to 90%, they will develop a very promising waterfront property in Buenos Aires.


The sub-adviser expects foreign stock markets and economic data to pick up in the second half of the year.



Portfolio Summary

 

Top 10 Portfolio Holdings*

  

Portfolio Composition*

Company     [f17emegemktsltrpie001.jpg]
Itausa Investmentos Itau S.A. 4.08%  
Advantech Co. Ltd. .     3.85%  
Petroleo Brasilerio S.A. ADR 3.40%  
Samsung Electronics Co. Ltd. 3.13%  
Noble Group Ltd. 3.03%  
Berlian Laju Tanker Tbk PT  2.97%  
SFA Engineering Corp. 2.74%  
Bidvest Group Ltd. 2.40%  
Hyundai Mobis  2.32%  
Taewoong Co. Ltd. 2.21%  
     
     
     
     
*Based on portfolio market value as of April 30, 2005.
  Top 10 Portfolio Holdings excludes short-term investments.

 

 

 

 

 

 

 

 







SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

Dunham Emerging Markets Stock Fund

         

April 30, 2005

           
            
    

 Market

     

 Market

Security

 

Shares

 

 Value

 

Security

 

Shares

 

 Value

COMMON STOCK - 95.95%

    

Industrial Automation - 2.88%

    

Advertising - 1.44%

    

SFA Engineering Corp.

         17,519

 

 $      412,018

Cheil Communications, Inc.

           1,257

 

 $      206,497

       
      

Investment Companies - 1.03%

    

Auto & Truck Parts

    

SM Investments Corp.*

         31,800

 

         146,787

Supplier - 0.47%

          

Randon SA Implementos e

    

Machinery - 1.24%

    

Participacoes

 

         25,000

 

           66,895

 

Chen Hsong Holdings Ltd.

       316,104

 

         176,998

            

Banks - 5.44%

     

Medical - 1.00%

    

African Bank Investments Ltd.

         83,787

 

         224,598

 

LMA International NV*

         70,700

 

           37,848

Denizbank AS*

 

         33,000

 

           93,280

 

Teva Pharmaceutical Industries Ltd.

    

FirstRand Ltd.

 

       129,488

 

         275,926

 

ADR

 

           3,351

 

         104,685

Turkiye Is Bankasi

         36,229

 

         184,345

     

         142,533

    

         778,149

 

Metal Processing - 5.40%

    

Building Materials - 2.22%

    

Korea Zinc Co, Ltd.

           4,000

 

         124,914

Corporacion GEO SA de C.V. *

         98,041

 

         203,703

 

Taewoong Co. Ltd.

         37,468

 

         332,228

Siam Cement PCL

         20,000

 

         114,449

 

Waffer Technology Co. Ltd.

       234,000

 

         315,129

    

         318,152

     

         772,271

Chemicals - 2.07%

    

Mining -  1.47%

    

Hanwha Chemical Corp.

         25,000

 

         296,762

 

Yanzhou Coal Mining Co.

       154,059

 

         210,070

            

Commercial Services - 0.39%

    

Office Furnishings - 0.89%

    

Rotary Engineering Ltd.

       265,849

 

           56,214

 

Taiwan Fu Hsing Industrial Co. Ltd.

       118,063

 

         126,685

            

Commodities Trading - 3.19%

    

Oil & Gas - 4.91%

    

Noble Group Ltd.

       505,848

 

         455,704

 

China Petroleum & Chemical Corp.

       485,000

 

         190,756

      

Petroleo Brasileiro SA ADR

         12,187

 

         511,001

Computer Systems - 5.68%

        

         701,757

Advantech Co. Ltd.

       248,000

 

         577,822

 

Paper - 0.66%

     

Asia Vital Components Co. Ltd.

       304,000

 

         235,057

 

Votorantim Celulose e Papel SA ADR

           8,569

 

           94,173

    

         812,879

       

Conglomerates - 8.69%

    

Precious Metals - 2.82%

    

Bidvest Group Ltd.

         31,991

 

         360,587

 

Caemi Mineracao e Metalurgia SA

       380,848

 

         293,598

GS Holdings Corp.

           6,000

 

         143,460

 

Companhai Vale do Rio Doce ADR

           4,758

 

         110,386

Itausa Investimentos Itau SA

       315,519

 

         613,333

     

         403,984

Multi-Purpose Holdings Berhad *

       579,174

 

         125,680

 

Printing - 1.07%

    
    

      1,243,060

 

SNP Leefung Holdings Ltd.

       750,000

 

         153,689

Electronic Equipment - 4.37%

          

Korea Tronics, Inc.

         26,659

 

         155,128

 

Real Estate - 4.29%

    

Samsung Electronics Co. Ltd.*

           1,029

 

         470,623

 

Asian Property Development PCL

    1,180,301

 

         110,209

    

         625,751

 

Bandar Raya Developments Berhad

       190,425

 

           94,679

Entertainment Software - 1.22%

    

Inversiones y Representaciones

    

The9 Ltd. ADR*

 

           9,500

 

         173,850

 

SA  GDR*

 

         16,000

 

         180,160

      

Midland Realty Holdings Ltd.

       363,569

 

         229,371

Food Distribution - 0.98%

        

         614,419

Grupo Modelo SA de C.V.

         49,510

 

         140,641

 

Recycling Services - 2.37%

    
      

Citiraya Industries Ltd.

       475,380

 

           31,993

Gaming Services  - 1.48%

    

Insun ENT Co. Ltd.

         17,090

 

         307,087

Dreamgate Corp. Berhad *

       190,423

 

           85,214

     

         339,080

Kangwon Land, Inc.

           8,984

 

         126,226

 

Retail-Automobiles -  3.28%

    
    

         211,440

 

Astra International, Inc.

       108,977

 

         120,590

      

Hyundai Mobis

 

           5,332

 

         348,924

          

         469,514

SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

Dunham Emerging Markets Stock Fund (Continued)

       

April 30, 2005

           
            
    

 Market

     

 Market

Security

 

Shares

 

 Value

 

Security

 

Shares

 

 Value

Retail-Other - 3.33%

    

TOTAL COMMON STOCK

    

Controladora Comercial

    

  (Cost - $ 11,687,902)

  

 $ 13,726,727

Mexicana SA de C.V.

         66,000

 

 $        69,041

       

Linmark Group Ltd.

       650,000

 

         222,743

 

WARRANTS - 0.07%

    

Wal-Mart de Mexico SA*

         50,000

 

         184,868

 

Lippo Bank Certificates of Entitlement*

    1,645,265

 

                   -   

    

         476,652

 

Major Cineplex Group PCL,

    

Rubber Manufacturer - 2.63%

    

 due 2/2/2007*

       104,733

 

             4,990

First Engineering Ltd.

       273,275

 

         187,495

 

Multi-Purpose Holdings Berhad,

    

Top Glove Corp. Berhad

       161,404

 

         188,621

 

 due 2/26/2009 *

         38,085

 

             3,157

    

         376,116

 

Quality Houses PCL,

    

Semiconductors - 1.11%

    

 due 9/11/2008 *

       289,444

 

             1,907

MediaTek, Inc.

 

         21,000

 

         159,055

 

Total Warrants  (Cost - $ 1,057)

  

           10,054

            

Steel - 5.38%

     

SHORT TERM INVESTMENT - 8.99%

   

Gerdau SA

 

         25,000

 

         244,462

 

 Milestone Treasury Obligation  

    

Grupo Industrial Saltillo SA de C.V.*

         92,851

 

         135,647

 

 Portfolio - Institutional Class

    

POSCO ADR

 

           2,285

 

         104,036

 

  (Cost - $1,285,965)

    1,285,965

 

      1,285,965

Tenaris SA ADR

           5,000

 

         285,750

       
    

         769,895

 

Total Investments - 105.01%

    

Telecommunications - 3.91%

    

  (Cost - $12,974,924)

  

    15,022,746

Compania Anonmia Nacional

    

Other assets less liabilities - (5.01)%

 

       (717,156)

Telefonos de Venezuela ADR

         14,854

 

         284,306

 

NET ASSETS - 100.00%

  

 $ 14,305,590

Shin Corp. PCL

 

       289,445

 

         275,528

       
    

         559,834

       

Textiles - 3.23%

          

Texwinca Holdings Ltd.

       174,000

 

         145,210

       

Weiqiao Textile Co. Ltd.

       239,957

 

         316,546

       
    

         461,756

       

Tools - 0.93%

           

Basso Industry Corp.

         53,319

 

         132,869

       
            

Transportation -  4.48%

          

Berlian Laju Tanker Tbk PT

    4,850,000

 

         446,520

       

Transmile Group Berhad

         75,000

 

         186,720

       

Wan Hai Lines Ltd.

           7,000

 

             7,338

       
    

         640,578

       
            

 

           

*Non-income producing security

          

ADR - American Depositary Receipts

          

GDR- Global Depositary Receipts

          
            
            







Dunham Small Cap Growth Fund

Message from the Sub-Adviser


Pier Capital LLC

Stamford, Connecticut


This is the semi-annual report for the Dunham Small Cap Growth Fund.


The period was tough on small-cap growth stocks, as the Russell 2000 Growth Index lost 10%. It was the worst performing major domestic equity asset class in the period. Small-cap stocks were weak, and the growth style declined meaningfully.  

 

The Fund outperformed its index meaningfully – by over 5% – in the reporting period. Adjustments in less economically-sensitive industries by Pier was positive for the Fund in the period.  Specifically, a rotation by portfolio manager Vinay Ved out of technology stocks and into defensive health care companies added value. This rotation was due to the lack of compelling values and continued cannibalization of margins in the technology sector.   

  

The other positive sector attribution for the Fund in the period was consumer discretionary. In the sector, restaurants and retailers performed well for the portfolio. The Fund’s exposure to the area, and the solid returns, are due to bottom-up individual company specific results. That said, Pier views consumer-related companies in a better light, and has been reducing the capital goods allocation and moving assets into consumer stocks.  


In a change from their tradition, Pier was less aggressive in its turnover during the period, as they are not seeing ample opportunities for momentum plays. The Fund’s financial holdings were notably steady throughout the period.


An emerging theme of the Fund were health care stocks. The Fund’s allocation to the sector rose 5% to 25% of assets during the first several months of 2005.  


The Fund rolled out of some of its commodity/industrial positions in the period, and the online (Internet) theme was negative, thus the manager sold out of these holdings as well.


As of the end of April, the Fund holds a price-to-earnings ratio equal to the index, and a faster earnings growth rate.  These characteristics lead to a lower PEG ratio, which is a factor that Pier generally believes in.



Portfolio Summary

 

Top 10 Portfolio Holdings*

  

Portfolio Composition*

Company     [f19smgrowthltrpie001.jpg]
Affiliated Managers Group, Inc.   2.41%  
Tractor Supply Co. 2.35%  
Pharmaceutical Product Development, Inc. 2.25%  
Abercrombie & Fitch Co.-Cl. A 2.13%  
Valassis Communications, Inc. 2.04%  
Hologic, Inc. 1.98%  
Ventana Medical Systems, Inc. 1.67%  
iPayment Holdings, Inc.   1.60%  
ArthroCare Corp. 1.49%  
JLG Industries, Inc. 1.46%  
     
     
     
     
*Based on portfolio market value as of April 30, 2005.
  Top 10 Portfolio Holdings excludes short-term investments.

 

 

 

 

 

 

 

 







SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

Dunham Small Cap Growth Fund

         

April 30, 2005

           
            
    

 Market

     

 Market

Security

 

Shares

 

 Value

 

Security

 

Shares

 

 Value

COMMON STOCK - 95.92%

    

Food Processing - 2.59%

    

Advertising Services - 1.06%

    

Peet's Coffee & Tea, Inc.*

           8,500

 

 $      215,050

Getty Images, Inc.*

           2,900

 

 $      207,495

 

United Natural Foods, Inc.*

         10,900

 

         292,120

          

         507,170

Air Freight - 0.75%

    

Footwear - 1.08%

    

EGL, Inc.*

 

           7,571

 

         147,710

 

Wolverine World Wide, Inc.

         10,417

 

         211,361

            

Biotechnology  - 1.11%

    

Insurance - 4.50%

    

PRA International*

           8,500

 

         217,515

 

Centene Corp.*

 

           6,440

 

         179,354

      

Pacificare Health Systems, Inc.*

           3,900

 

         233,064

Casino Hotels  - 0.92%

    

Tower Group, Inc.

         22,156

 

         265,650

Las Vegas Sands Corp.*

           4,800

 

         179,760

 

WellCare Health Plans, Inc.*

           6,861

 

         202,400

          

         880,468

Commercial Banks - 2.01%

    

Internet - 1.50%

    

Mercantile Bank Corp.

           5,745

 

         227,502

 

Gravity Co. Ltd. ADR*

         19,600

 

         175,224

Texas Capital Bancshares, Inc.*

           9,300

 

         166,191

 

Harris Interactive, Inc.*

         28,521

 

         118,647

    

         393,693

     

         293,871

Commercial Services - 3.20%

    

Investment Services - 3.54%

    

iPayment Holdings, Inc.*

           9,025

 

         328,420

 

Affiliated Managers Group, Inc.*

           7,903

 

         494,175

Providence Service Corp.*

           5,821

 

         148,959

 

GFI Group, Inc.*

           8,500

 

         198,475

QC Holdings, Inc.*

         11,390

 

         147,614

     

         692,650

    

         624,993

 

Medical - 21.15%

    

Communications - 0.00%

    

Allscripts Healthcare Solutions, Inc.*

         14,600

 

         191,114

AudioCodes Ltd.*

                  5

 

                  49

 

ArthroCare Corp.*

         10,400

 

         305,552

      

Charles River Laboratories

    

Computer Services - 2.00%

    

International, Inc.*

           3,900

 

         184,743

Cognizant Technology

    

Community Health Systems, Inc.*

           6,000

 

         218,700

Solutions Corp.- Cl. A*

           5,316

 

         223,325

 

Covance, Inc.*

 

           4,800

 

         219,072

Ness Technologies, Inc.*

         15,746

 

         168,482

 

Foxhollow Technologies, Inc.*

           8,000

 

         247,920

    

         391,807

 

Henry Schein, Inc.*

           5,700

 

         213,807

Construction Products &

    

Hologic, Inc.*

 

         11,440

 

         407,035

& Services - 5.65%

    

Kinetic Concepts, Inc.*

           4,700

 

         288,815

Bucyrus International, Inc.- Cl. A

           5,695

 

         221,763

 

Laserscope, Inc.*

           6,495

 

         205,762

Interline Brands, Inc.*

         11,900

 

         197,540

 

Palomar Medical Technologies, Inc.*

           9,600

 

         215,040

JLG Industries, Inc.

         14,700

 

         299,586

 

Psychiatric Solutions, Inc.*

           6,946

 

         298,817

Joy Global, Inc.

 

           6,086

 

         206,133

 

Quest Diagnostics, Inc.*

           1,900

 

         201,020

Terex Corp.*

 

           4,800

 

         179,424

 

ResMed, Inc.*

 

           3,200

 

         198,720

    

      1,104,446

 

Symmetry Medical, Inc.*

         10,600

 

         182,320

Consulting Services - 1.04%

    

Syneron Medical Ltd.*

           7,500

 

         217,500

Corporate Executive Board Co.

           3,100

 

         203,763

 

Ventana Medical Systems, Inc.*

           8,612

 

         342,930

          

      4,138,867

Cosmetics & Toiletries  - 0.81%

    

Oil & Gas Exploration - 3.82%

    

Parlux Fragrances, Inc.*

           9,400

 

         158,390

 

Bill Barrett Corp.*

           6,900

 

         183,816

      

Energy Partners Ltd.*

           8,800

 

         201,168

E-Commerce - 0.89%

    

Toreador Resources Corp.*

           8,950

 

         150,718

Arbinet-thexchange, Inc.*

           9,000

 

         173,790

 

Ultra Petroleum Corp.*

           4,200

 

         212,016

          

         747,718

Electronic Equipment - 1.04%

    

Pharmaceutical - 2.36%

    

Molecular Devices Corp.*

         10,800

 

         204,120

 

Pharmaceutical Product

    
      

Development, Inc.*

         10,176

 

         461,787

Engineering Services - 0.95%

          

Shaw Group, Inc.*

         10,300

 

         186,121

       
            
            

SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

Dunham Small Cap Growth Fund (Continued)

       

April 30, 2005

           
            
    

 Market

     

 Market

Security

 

Shares

 

 Value

 

Security

 

Shares

 

 Value

Printing  - 2.15%

    

Schools / Daycare - 2.51%

    

Valassis Communications, Inc.*

         11,900

 

 $      419,475

 

Bright Horizons Family Solutions, Inc.*

           6,200

 

 $      210,118

      

Educate, Inc.*

 

         23,406

 

         280,872

Recreational Activities - 1.12%

        

         490,990

Life Time Fitness, Inc.*

           8,086

 

         218,888

 

Semiconductors - 0.97%

    
      

MIPS Technologies, Inc.*

           2,300

 

           16,100

Resorts / Theme Parks - 2.71%

    

Volterra Semiconductor Corp.*

         16,300

 

         173,921

Great Wolf Resorts, Inc.*

         11,200

 

         237,720

     

         190,021

Kerzner International Ltd.*

           5,320

 

         293,079

 

Transportation - Miscellaneous - 0.95%

   
    

         530,799

 

UTI Worldwide, Inc.

           2,900

 

         186,006

Retail-Apparel - 3.98%

          

Abercrombie & Fitch Co.- Cl. A

           8,100

 

         436,995

 

Transportation - Trucking - 1.17%

    

Carter's, Inc.*

 

           3,420

 

         129,002

 

Quality Distribution, Inc.*

         23,500

 

         229,360

Urban Outfitters, Inc.*

           4,800

 

         212,640

       
    

         778,637

 

Veterinary Diagnostics  - 1.07%

    

Retail-Auto Parts - 2.28%

    

VCA Antech, Inc.*

           9,000

 

         209,520

Advance Auto Parts, Inc.*

           4,600

 

         245,410

       

O'Reilly Automotive, Inc.*

           3,900

 

         200,148

 

TOTAL COMMON STOCK

    
    

         445,558

 

  (Cost - $17,973,067)

  

    18,768,051

Retail-Mail Order - 1.17%

          

Celebrate Express, Inc.*

         16,086

 

         228,904

 

SHORT TERM INVESTMENT - 9.09%

   
      

Milestone Treasury Obligation

    

Retail-Restaurant/Specialty - 7.31%

   

Portfolio- Institutional Class

    

Buffalo Wild Wings, Inc.*

           5,900

 

         179,478

 

  (Cost - $1,779,740)

    1,779,740

 

      1,779,740

California Pizza Kitchen, Inc.*

           8,400

 

         191,520

       

Cheesecake Factory, Inc.*

           6,400

 

         196,416

 

Total Investments - 105.01%

    

Darden Restaurants, Inc.

           7,000

 

         210,000

 

  (Cost - $19,752,807)

  

    20,547,791

P.F. Chang's China Bistro, Inc.*

           3,715

 

         206,257

 

Other assets less liabilities - (5.01)%

 

       (980,632)

Red Robin Gourmet Burgers, Inc.*

           4,500

 

         218,070

 

NET ASSETS - 100.00%

  

 $ 19,567,159

Texas Roadhouse, Inc.- Cl. A*

           8,766

 

         228,091

       
    

      1,429,832

       

Retail-Other - 6.56%

          

Dick's Sporting Goods, Inc.*

           6,400

 

         196,864

       

Guitar Center Management, Inc.*

           3,800

 

         187,530

       

Medco Health Solutions, Inc.*

           4,700

 

         239,559

       

Petco Animal Supplies, Inc.*

           5,600

 

         175,280

       

Tractor Supply Co.*

         12,016

 

         483,284

       
    

      1,282,517

       
            

 

           

*Non-income producing security

          

ADR - American Depositary Receipts

          
            
            
            






 













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STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)

 

 

 

 

 

 

April 30, 2005

              
                 
   

 

 

 Dunham

 

 

    

 

   

 Dunham

 

 Corporate /

 

 Dunham

 

 Dunham

 

 Dunham

   

 Short-Term

 

 Government

 

 Real Estate

 

 Appreciation &

 

 International

 

 

 

 Bond Fund

 

 Bond Fund

 

Stock Fund

 

Income Fund

 

 Stock Fund

Assets:

 

 

    

 

    

 

Investments in securities, at cost

 

 $        42,376,424

 

 $        49,722,078

 

 $          9,119,860

 

 $        17,714,145

 

 $        20,197,499

Investments in securities, at value

 

 $        42,139,627

 

 $        49,916,893

 

 $        11,581,647

 

 $        18,764,541

 

 $        22,828,432

Cash

 

                            -

 

                  16,502

 

                            -

 

                            -

 

                            -

Receivable for securities sold

 

                    2,701

 

             4,222,786

 

                102,356

 

                            -

 

                            -

Interest and dividends receivable

 

                399,278

 

                353,680

 

                  14,839

 

                  40,984

 

                  95,023

Receivable for fund shares sold

 

                            -

 

                            -

 

                            -

 

                    9,488

 

                  13,282

Prepaid expenses and other assets

 

                  26,799

 

                  25,083

 

                  24,225

 

                  24,707

 

                  24,805

 

Total Assets

 

           42,568,405

 

54,534,944

 

11,723,067

 

18,839,720

 

22,961,542

   

 

     

 

     

 

Liabilities:

 

 

     

 

     

 

Payable for securities purchased

 

                424,163

 

           12,557,781

 

                            -

 

                369,501

 

                            -

Payable for fund shares redeemed

 

                  47,733

 

                168,897

 

                593,071

 

                    5,123

 

                    6,751

Payable for distribution fees

 

                  13,272

 

                    9,920

 

                    2,538

 

4,565

 

                    6,199

Payable to adviser

 

                  27,714

 

                  27,308

 

10,144

 

                  20,858

 

                  21,264

Accrued expenses and other liabilities

 

                  22,315

 

                  12,748

 

                    5,750

 

                  12,907

 

                  12,815

 

Total Liabilities

 

                535,197

 

12,776,654

 

611,503

 

412,954

 

47,029

   

 

     

 

     

 

Net Assets

 

 $       42,033,208

 

 $       41,758,290

 

 $       11,111,564

 

 $       18,426,766

 

 $       22,914,513

   

 

     

 

     

 

Net Assets:

 

 

     

 

     

 

Paid in capital  

 

 $        42,524,050

 

 $        41,335,617

 

 $          8,083,197

 

 $        16,395,739

 

 $        20,369,034

Undistributed net investment income (loss)

 

                         98

 

                    6,044

 

                  82,789

 

                (91,023)

 

                (10,900)

Accumulated net realized gain (loss) on

 

 

     

 

     

 

   investments and foreign currency transactions

              (254,143)

 

                221,814

 

                483,791

 

             1,071,654

 

                (74,554)

Net unrealized appreciation (depreciation) on

 

 

     

 

     

 

   investments and foreign currency transactions

              (236,797)

 

194,815

 

2,461,787

 

1,050,396

 

2,630,933

   

 

     

 

     

 

Net Assets

 

 $       42,033,208

 

 $       41,758,290

 

 $       11,111,564

 

 $       18,426,766

 

 $       22,914,513

   

 

     

 

     

 

Net Asset Value Per Share

 

 

     

 

     

 

 

Class C Shares:

 

 

     

 

     

 

 

Net Assets

 

 $        20,977,483

 

 $        16,277,334

 

 $          3,238,677

 

 $          5,361,102

 

 $          7,341,253

 

Shares of beneficial interest outstanding

 

             2,118,432

 

             1,176,969

 

                176,440

 

                648,507

 

                606,065

 

Net asset value, offering and

 

 

     

 

     

 

 

   redemption price per share

 

 $                   9.90

 

 $                 13.83

 

 $                 18.36

 

 $                   8.27

 

 $                 12.11

   

 

     

 

     

 

 

Class N Shares:

 

 

     

 

     

 

 

Net Assets

 

 $        21,055,725

 

 $        25,480,956

 

 $          7,872,887

 

 $        13,065,664

 

 $        15,573,260

 

Shares of beneficial interest outstanding

 

             2,125,346

 

             1,840,483

 

                427,401

 

             1,574,847

 

             1,281,815

 

Net asset value, offering and

 

 

     

 

     

 

 

   redemption price per share

 

 $                   9.91

 

 $                 13.84

 

 $                 18.42

 

 $                   8.30

 

 $                 12.15

 

 

 

 

 

 

 

 

 

 

 

 








STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)

 

 

 

 

 

 

April 30, 2005

           
              
    

 

   

 

 

Dunham

 

 

    

 Dunham

 

 Dunham

 

 Dunham

 

 Emerging

 

 Dunham

    

 Large Cap

 

 Small Cap

 

 Large Cap

 

 Markets

 

 Small Cap

 

 

 

 Value Fund

 

 Value Fund

 

Growth Fund

 

Stock Fund

 

 Growth Fund

Assets:

 

 

   

 

   

 

Investments in securities, at cost

 

 $        29,981,269

 

 $        16,291,245

 

 $        33,392,134

 

 $        12,974,924

 

 $        19,752,807

Investments in securities, at value

 

 $        35,226,382

 

 $        18,220,967

 

 $        34,174,610

 

 $        15,022,746

 

 $        20,547,791

Cash

 

                            -

 

                  28,570

 

                            -

 

                            -

 

                            -

Foreign currency, at value (Cost - $49,169)

 

                            -

 

                            -

 

                            -

 

                  49,782

 

                            -

Receivable for securities sold

 

                            -

 

                            -

 

                116,055

 

                  78,328

 

                431,163

Interest and dividends receivable

 

                  46,393

 

8,463

 

                  29,437

 

79,172

 

                    3,969

Receivable for fund shares sold

 

                209,749

 

                            -

 

                            -

 

                    3,606

 

                            -

Prepaid expenses and other assets

 

                  25,130

 

24,830

 

25,072

 

72,889

 

24,825

 

Total Assets

 

           35,507,654

 

18,282,830

 

34,345,174

 

15,306,523

 

21,007,748

    

 

     

 

     

 

Liabilities:

 

 

     

 

     

 

Payable for securities purchased

 

                            -

 

                            -

 

                            -

 

                975,268

 

             1,006,272

Payable for fund shares redeemed

 

                  11,117

 

                266,149

 

                400,716

 

                    3,440

 

                397,627

Payable for distribution fees

 

                    8,978

 

4,933

 

                    8,345

 

3,329

 

                    5,205

Payable to adviser

 

                  30,284

 

                  21,033

 

                  31,191

 

                  14,308

 

                  21,159

Accrued expenses and other liabilities

 

                  18,836

 

8,568

 

16,482

 

4,588

 

                  10,326

 

Total Liabilities

 

                  69,215

 

300,683

 

456,734

 

1,000,933

 

1,440,589

    

 

     

 

     

 

Net Assets

 

 $       35,438,439

 

 $      17,982,147

 

 $     33,888,440

 

 $     14,305,590

 

 $     19,567,159

    

 

     

 

     

 

Net Assets:

 

 

     

 

     

 

Paid in capital  

 

 $        29,801,261

 

 $        15,991,706

 

 $        30,860,216

 

 $        11,459,818

 

 $        16,816,722

Undistributed net investment income (loss)

 

                (21,401)

 

              (134,643)

 

              (166,445)

 

                  22,340

 

              (181,082)

Accumulated net realized gain (loss) on

 

 

     

 

     

 

   investments and foreign currency transactions

                413,466

 

                195,362

 

             2,412,193

 

                773,842

 

             2,136,535

Net unrealized appreciation (depreciation) on

 

 

     

 

     

 

   investments and foreign currency transactions

             5,245,113

 

1,929,722

 

782,476

 

2,049,590

 

794,984

    

 

     

 

     

 

Net Assets

 

 $      35,438,439

 

 $      17,982,147

 

 $     33,888,440

 

 $     14,305,590

 

 $     19,567,159

    

 

     

 

     

 

Net Asset Value Per Share

 

 

     

 

     

 

 

Class C Shares:

 

 

     

 

     

 

 

Net Assets

 

 $        10,764,016

 

 $          5,709,776

 

 $        10,176,397

 

 $          3,962,444

 

 $          5,995,686

 

Shares of beneficial interest outstanding

 

                966,160

 

                504,659

 

             2,240,417

 

                261,162

 

                427,224

 

Net asset value, offering and

 

 

     

 

     

 

 

   redemption price per share

 

 $                 11.14

 

 $                 11.31

 

 $                   4.54

 

 $                 15.17

 

 $                 14.03

    

 

     

 

     

 

 

Class N Shares:

 

 

     

 

     

 

 

Net Assets

 

 $        24,674,423

 

 $        12,272,371

 

 $        23,712,043

 

 $        10,343,146

 

 $        13,571,473

 

Shares of beneficial interest outstanding

 

             2,207,271

 

             1,081,502

 

             5,202,998

 

                679,964

 

                963,473

 

Net asset value, offering and

 

 

     

 

     

 

 

   redemption price per share

 

 $                 11.18

 

 $                 11.35

 

 $                   4.56

 

 $                 15.21

 

 $                 14.09

 

 

 

 

 

 

 

 

 

 

 

 








STATEMENTS OF OPERATIONS (Unaudited)

 

 

 

 

 

 

 

 

From Commencement of Operations* through April 30, 2005

        
                 
   

 

 

 Dunham

 

 

    

 

   

 Dunham

 

 Corporate /

 

 Dunham

 

 Dunham

 

 Dunham

   

 Short-Term

 

 Government

 

 Real Estate

 

 Appreciation &

 

 International

 

 

 

 Bond Fund

 

 Bond Fund

 

Stock Fund

 

Income Fund

 

 Stock Fund

Investment Income:

 

 

    

 

    

 

Interest income

 

 $             620,139

 

 $             590,476

 

 $                 1,426

 

 $               62,530

 

 $               13,686

Dividend income

 

                            -

 

                            -

 

                191,949

 

45,352

 

                187,457

Less: Foreign withholding taxes

 

                            -

 

                            -

 

                            -

 

                            -

 

                (14,167)

 

Total Investment Income

 

                620,139

 

590,476

 

193,375

 

107,882

 

186,976

   

 

     

 

     

 

Operating Expenses:

 

 

     

 

     

 

Investment advisory fees

 

                147,659

 

132,803

 

48,101

 

108,480

 

101,173

Distribution fees- Class C Shares

 

                  78,653

 

52,713

 

13,377

 

27,098

 

33,085

Administration fees

 

                  30,272

 

24,999

 

6,693

 

12,398

 

14,076

Fund accounting fees

 

                  19,044

 

16,381

 

4,939

 

8,505

 

9,554

Registration fees

 

                  16,642

 

17,014

 

17,014

 

17,014

 

17,014

Professional fees

 

15,807

 

11,400

 

5,786

 

8,359

 

6,957

Transfer agent fees

 

                    9,241

 

10,964

 

10,964

 

10,964

 

10,964

Custodian fees

 

                    5,744

 

4,328

 

1,251

 

                    2,409

 

                    2,228

Printing and postage expense

 

                    3,668

 

1,996

 

628

 

1,254

 

                       912

Insurance expense

 

                    1,747

 

1,359

 

426

 

                       853

 

621

Trustees' fees

 

                    1,001

 

535

 

535

 

535

 

535

Miscellaneous expenses

 

                       892

 

756

 

872

 

                    1,036

 

757

 

Total Operating Expenses

 

                330,370

 

275,248

 

110,586

 

198,905

 

197,876

 

Less: Advisory fees waived

 

                  (1,578)

 

                  (4,700)

 

                            -

 

                            -

 

                            -

 

Net Operating Expenses

 

                328,792

 

270,548

 

110,586

 

198,905

 

197,876

   

 

     

 

     

 

Net Investment Income (Loss)

 

                291,347

 

319,928

 

82,789

 

(91,023)

 

(10,900)

   

 

     

 

     

 

Realized and Unrealized

 

 

     

 

     

 

   Gain (Loss) on Investments and

 

 

     

 

     

 

   Foreign Currency:

 

 

     

 

     

 

Net realized gain (loss) from investments

 

 

     

 

     

 

   and foreign currency

 

              (254,143)

 

221,814

 

483,791

 

1,071,654

 

(74,554)

Net change in unrealized appreciation

 

 

     

 

     

 

   (depreciation) on investments and  

 

 

     

 

     

 

   foreign currency

 

(236,797)

 

(416,336)

 

(596,152)

 

(2,455,099)

 

(558,124)

Net Realized and Unrealized Gain (Loss)

 

(490,940)

 

(194,522)

 

(112,361)

 

(1,383,445)

 

(632,678)

   

 

     

 

     

 

Net Increase (Decrease) in Net Assets

 

 

     

 

     

 

   Resulting From Operations

 

 $          (199,593)

 

 $            125,406

 

 $       (29,572)

 

 $     (1,474,468)

 

 $      (643,578)

                     

 

 

 

 

 

 

 

 

 

 

 

 

*All Funds commenced operations on December 10, 2004, with the exception of Short-Term Bond, which commenced operations on December 13, 2004.

                     
                 








STATEMENTS OF OPERATIONS (Unaudited)

 

 

 

 

 

 

 

 

From Commencement of Operations* through April 30, 2005

        
                 
   

 

    

 

 

Dunham

 

 

   

 Dunham

 

 Dunham

 

 Dunham

 

 Emerging

 

 Dunham

   

 Large Cap

 

 Small Cap

 

 Large Cap

 

 Markets

 

 Small Cap

 

 

 

 Value Fund

 

 Value Fund

 

Growth Fund

 

Stock Fund

 

 Growth Fund

Investment Income:

 

 

    

 

    

 

Interest income

 

 $                 8,265

 

 $               12,684

 

 $                 3,916

 

 $                 6,925

 

 $                 7,749

Dividend income

 

                247,679

 

                  44,427

 

                104,638

 

                164,484

 

                    7,997

Less: Foreign withholding taxes

 

                            -

 

                            -

 

                     (474)

 

                (13,726)

 

                       (43)

 

Total Investment Income

 

                255,944

 

                  57,111

 

                108,080

 

                157,683

 

                  15,703

   

 

     

 

     

 

Operating Expenses:

 

 

     

 

     

 

Investment advisory fees

 

                155,733

 

104,420

 

153,969

 

64,971

 

104,892

Distribution fees- Class C Shares

 

                  48,652

 

27,450

 

45,138

 

17,156

 

29,314

Administration fees

 

                  21,667

 

11,934

 

20,529

 

8,316

 

12,910

Registration fees

 

                  17,014

 

17,014

 

17,014

 

17,014

 

17,014

Fund accounting fees

 

                  14,298

 

8,215

 

13,587

 

5,954

 

8,824

Transfer agent fees

 

                  10,964

 

10,964

 

10,964

 

10,964

 

10,964

Professional fees

 

                  10,698

 

6,722

 

9,997

 

5,553

 

7,424

Custodian fees

 

                    3,846

 

1,969

 

3,570

 

3,165

 

2,231

Printing and postage expense

 

                    1,825

 

856

 

1,655

 

570

 

1,027

Insurance expense

 

                    1,243

 

                       582

 

1,125

 

388

 

698

Miscellaneous expenses

 

                       757

 

1,093

 

1,510

 

                       757

 

                       952

Trustees' fees

 

                       535

 

535

 

                       535

 

                       535

 

535

 

Total Operating Expenses

 

                287,232

 

191,754

 

279,593

 

135,343

 

196,785

 

Less: Advisory fees waived

 

                  (9,887)

 

                            -

 

                  (5,068)

 

                            -

 

                            -

 

Net Operating Expenses

 

                277,345

 

191,754

 

274,525

 

135,343

 

196,785

   

 

     

 

     

 

Net Investment Income (Loss)

 

                (21,401)

 

(134,643)

 

(166,445)

 

22,340

 

(181,082)

   

 

     

 

     

 

Realized and Unrealized

 

 

     

 

     

 

   Gain (Loss) on Investments and

 

 

     

 

     

 

   Foreign Currency:

 

 

     

 

     

 

Net realized gain (loss) from investments

 

 

     

 

     

 

   and foreign currency

 

                413,466

 

195,362

 

2,412,193

 

773,842

 

             2,136,535

Net change in unrealized appreciation

 

 

     

 

     

 

   (depreciation) on investments and  

 

 

     

 

     

 

   foreign currency

 

141,700

 

(1,982,925)

 

(2,889,397)

 

312,856

 

(2,918,730)

Net Realized and Unrealized Gain (Loss)

 

555,166

 

(1,787,563)

 

(477,204)

 

1,086,698

 

(782,195)

   

 

     

 

     

 

Net Increase (Decrease) in Net Assets

 

 

     

 

     

 

   Resulting From Operations

 

 $            533,765

 

 $     (1,922,206)

 

 $      (643,649)

 

 $         1,109,038

 

 $      (963,277)

                     

 

 

 

 

 

 

 

 

 

 

 

 

*All Funds commenced operations on December 10, 2004, with the exception of Short-Term Bond, which commenced operations on December 13, 2004.








STATEMENTS OF CHANGES IN NET ASSETS (Unaudited)

 

 

 

 

 

 

From Commencement of Operations* through April 30, 2005

        
                 
                 
   

 

 

 Dunham

 

 

    

 

   

 Dunham

 

 Corporate /

 

 Dunham

 

 Dunham

 

 Dunham

   

 Short-Term

 

 Government

 

 Real Estate

 

 Appreciation &

 

 International

 

 

 

 Bond Fund

 

 Bond Fund

 

Stock Fund

 

Income Fund

 

 Stock Fund

Operations:

 

 

    

 

    

 

Net investment income (loss)

 

 $             291,347

 

 $             319,928

 

 $               82,789

 

 $             (91,023)

 

 $             (10,900)

Net realized gain (loss) from investments

 

 

     

 

     

 

      and foreign currency

 

              (254,143)

 

221,814

 

483,791

 

1,071,654

 

(74,554)

Net change in unrealized appreciation

 

 

     

 

     

 

     (depreciation) on investments

 

 

     

 

     

 

      and foreign currency

 

              (236,797)

 

(416,336)

 

(596,152)

 

(2,455,099)

 

(558,124)

Net Increase (Decrease) in Net Assets

 

 

     

 

     

 

   Resulting From Operations

 

              (199,593)

 

125,406

 

(29,572)

 

(1,474,468)

 

(643,578)

   

 

     

 

     

 

Distributions to Shareholders From:

 

 

     

 

     

 

Net Investment Income:

 

 

     

 

     

 

 

Class C

 

              (128,061)

 

              (111,886)

 

                            -

 

                            -

 

                            -

 

Class N

 

              (163,188)

 

              (201,998)

 

                            -

 

                            -

 

                            -

Total Dividends and Distributions

 

 

     

 

     

 

   to Shareholders

 

              (291,249)

 

              (313,884)

 

                            -

 

                            -

 

                            -

   

 

     

 

     

 

Share Transactions of

 

 

     

 

     

 

   Beneficial Interest:

 

 

     

 

     

 

Net proceeds from shares sold

 

 

     

 

     

 

 

Class C

 

                713,979

 

             3,445,099

 

                146,480

 

                  58,115

 

                284,952

 

Class N

 

           13,773,495

 

           10,794,743

 

             2,210,455

 

             3,670,463

 

             4,416,041

Reinvestment of dividends and distributions

 

 

     

 

     

 

 

Class C

 

                128,061

 

                111,886

 

                            -

 

                            -

 

                            -

 

Class N

 

                163,188

 

                201,998

 

                            -

 

                            -

 

                            -

Cost of shares redeemed

 

 

     

 

     

 

 

Class C

 

         (17,425,567)

 

           (7,703,459)

 

           (1,671,515)

 

           (4,184,546)

 

           (2,999,438)

 

Class N

 

         (14,869,047)

 

           (2,805,572)

 

           (1,491,082)

 

           (2,789,975)

 

              (656,008)

Net Increase (Decrease) in Net Assets From

 

     

 

     

 

   Share Transactions of Beneficial Interest

(17,515,891)

 

4,044,695

 

(805,662)

 

(3,245,943)

 

1,045,547

   

 

     

 

     

 

Total Increase (Decrease) in Net Assets

 

(18,006,733)

 

3,856,217

 

(835,234)

 

(4,720,411)

 

401,969

   

 

     

 

     

 

Net Assets:

 

 

     

 

     

 

 

Beginning of period

 

60,039,941

 

37,902,073

 

11,946,798

 

23,147,177

 

           22,512,544

 

End of period**

 

 $    42,033,208

 

 $    41,758,290

 

 $     11,111,564

 

 $     18,426,766

 

 $     22,914,513

 

** Includes undistributed net investment

 

 

     

 

     

 

 

      income (loss) at end of period

 

 $                      98

 

 $                 6,044

 

 $               82,789

 

 $             (91,023)

 

 $             (10,900)

                 

 

 

 

 

 

 

 

 

 

 

 

 

*All Funds commenced operations on December 10, 2004, with the exception of Short-Term Bond, which commenced operations on December 13, 2004.








STATEMENTS OF CHANGES IN NET ASSETS (Unaudited)

 

 

 

 

 

 

From Commencement of Operations* through April 30, 2005

        
                   
   

 

    

 

 

Dunham

 

 

  
   

 Dunham

 

 Dunham

 

 Dunham

 

 Emerging

 

 Dunham

  
   

 Large Cap

 

 Small Cap

 

 Large Cap

 

 Markets

 

 Small Cap

  

 

 

 

 Value Fund

 

 Value Fund

 

Growth Fund

 

Stock Fund

 

 Growth Fund

  

Operations:

 

 

    

 

    

 

  

Net investment income (loss)

 

 $             (21,401)

 

 $           (134,643)

 

 $           (166,445)

 

 $               22,340

 

 $           (181,082)

  

Net realized gain (loss) from investments

 

 

     

 

     

 

  

      and foreign currency

 

                413,466

 

195,362

 

2,412,193

 

773,842

 

2,136,535

  

Net change in unrealized appreciation

 

 

     

 

     

 

  

     (depreciation) on investments

 

 

     

 

     

 

  

      and foreign currency

 

                141,700

 

(1,982,925)

 

(2,889,397)

 

312,856

 

(2,918,730)

  

Net Increase (Decrease) in Net Assets

 

 

     

 

     

 

  

   Resulting From Operations

 

                533,765

 

(1,922,206)

 

(643,649)

 

1,109,038

 

(963,277)

  
   

 

     

 

     

 

  

Distributions to Shareholders From:

 

 

     

 

     

 

  

Net Investment Income:

 

 

     

 

     

 

  
 

Class C

 

                            -

 

                            -

 

                            -

 

                            -

 

                            -

  
 

Class N

 

                            -

 

                            -

 

                            -

 

                            -

 

                            -

  

Total Dividends and Distributions

 

 

     

 

     

 

  

   to Shareholders

 

                            -

 

                            -

 

                            -

 

                            -

 

                            -

  
   

 

     

 

     

 

  

Share Transactions of

 

 

     

 

     

 

  

   Beneficial Interest:

 

 

     

 

     

 

  

Net proceeds from shares sold

 

 

     

 

     

 

  
 

Class C

 

                190,734

 

                238,625

 

             1,066,760

 

                274,381

 

                  97,918

  
 

Class N

 

             6,687,010

 

             3,452,106

 

             7,397,791

 

             3,046,068

 

             3,696,908

  

Reinvestment of dividends and distributions

 

 

     

 

     

 

  
 

Class C

 

                            -

 

                            -

 

 

 

                            -

 

                            -

  
 

Class N

 

                            -

 

                            -

 

 

 

                            -

 

                            -

  

Cost of shares redeemed

 

 

     

 

     

 

  
 

Class C

 

           (5,085,507)

 

           (3,646,163)

 

           (5,157,245)

 

           (2,039,258)

 

           (3,959,134)

  
 

Class N

 

           (2,244,347)

 

           (1,821,754)

 

           (1,899,561)

 

              (632,221)

 

           (2,398,672)

  

Net Increase (Decrease) in Net Assets From

 

     

 

     

 

  

   Share Transactions of Beneficial Interest

(452,110)

 

(1,777,186)

 

1,407,745

 

648,970

 

(2,562,980)

  
   

 

     

 

     

 

  

Total Increase (Decrease) in Net Assets

 

81,655

 

(3,699,392)

 

764,096

 

1,758,008

 

(3,526,257)

  
   

 

     

 

     

 

  

Net Assets:

 

 

     

 

     

 

  
 

Beginning of period

 

35,356,784

 

21,681,539

 

33,124,344

 

12,547,582

 

           23,093,416

  
 

End of period**

 

 $        35,438,439

 

 $        17,982,147

 

 $        33,888,440

 

 $        14,305,590

 

 $        19,567,159

  
 

** Includes undistributed net investment

 

 

     

 

     

 

  
 

      income (loss) at end of period

 

 $             (21,401)

 

 $           (134,643)

 

 $           (166,445)

 

 $               22,340

 

 $           (181,082)

  
                   

 

 

 

 

 

 

 

 

 

 

 

 

  

*All Funds commenced operations on December 10, 2004, with the exception of Short-Term Bond, which commenced operations on December 13, 2004.








FINANCIAL HIGHLIGHTS (Unaudited)

 

 

 

 

 

 

 

 

From Commencement of Operations* Through April 30, 2005

        
                

The table sets forth financial data for one share of beneficial interest outstanding throughout the entire period.

  
                
   

 

 

 Dunham

 

 

    

 

   

 Dunham

 

 Corporate /

 

 Dunham

 

 Dunham

 

 Dunham

   

 Short-Term

 

 Government

 

 Real Estate

 

 Appreciation &

 

 International

 

 

 

 Bond Fund

 

 Bond Fund

 

Stock Fund

 

Income Fund

 

 Stock Fund

Class C:

 

 

    

 

    

 

Net asset value, beginning of period

 

 $                 10.00

 

 $                 13.90

 

 $                 18.51

 

 $                   8.95

 

 $                 12.47

Income (loss) from investment operations:

 

 

     

 

     

 

 

Net investment income (loss)**

 

0.05

 

0.09

 

0.11

 

(0.06)

 

(0.04)

 

Net realized and unrealized gain (loss)

 

(0.10)

 

(0.08)

 

(0.26)

 

(0.62)

 

(0.32)

 

Total income (loss) from investment operations

(0.05)

 

0.01

 

(0.15)

 

(0.68)

 

(0.36)

Less distributions:

 

 

     

 

     

 

 

Distributions from net investment income

 

(0.05)

 

(0.08)

 

0.00

 

0.00

 

0.00

Net asset value, end of period

 

 $                   9.90

 

 $                 13.83

 

 $                 18.36

 

 $                   8.27

 

 $                 12.11

   

 

     

 

     

 

Total return +

 

(0.49)%

 

0.12%

 

(0.81)%

 

(7.60)%

 

(2.89)%

Ratios/Supplemental Data:

 

 

     

 

     

 

 

Net assets, end of period (in 000s)

 

 $               20,977

 

 $               16,277

 

 $                 3,239

 

 $                 5,361

 

 $                 7,341

 

Ratios of expenses to average net assets:

 

 

     

 

     

 

 

    Before advisory fee waivers***

 

2.11%

 

2.17%

 

3.32%

 

3.23%

 

2.87%

 

    After advisory fee waivers***

 

2.10%

 

2.15%

 

3.32%

 

3.23%

 

2.87%

 

Ratios of net investment income (loss) to

 

 

     

 

     

 

 

average net assets:

 

 

     

 

     

 

 

    Before advisory fee waivers***

 

1.21%

 

1.61%

 

1.57%

 

(1.83)%

 

(0.85)%

 

    After advisory fee waivers***

 

1.22%

 

1.63%

 

1.57%

 

(1.83)%

 

(0.85)%

 

Portfolio turnover rate

 

123%

 

179%

 

54%

 

48%

 

10%

 

 

 

 

 

 

 

 

 

 

 

 

   

 

     

 

     

 

Class N:

 

 

     

 

     

 

Net asset value, beginning of period

 

 $                 10.00

 

 $                 13.90

 

 $                 18.51

 

 $                   8.95

 

 $                 12.47

Income (loss) from investment operations:

 

 

     

 

     

 

 

Net investment income (loss)**

 

0.08

 

0.13

 

0.15

 

(0.03)

 

0.01

 

Net realized and unrealized gain (loss)

 

(0.09)

 

(0.07)

 

(0.24)

 

(0.62)

 

(0.33)

 

Total income (loss) from investment operations

(0.01)

 

0.06

 

(0.09)

 

(0.65)

 

(0.32)

Less distributions:

 

 

     

 

     

 

 

Distributions from net investment income

 

(0.08)

 

(0.12)

 

0.00

 

0.00

 

0.00

Net asset value, end of period

 

 $                   9.91

 

 $                 13.84

 

 $                 18.42

 

 $                   8.30

 

 $                 12.15

   

 

     

 

     

 

Total return +

 

(0.15)%

 

0.41%

 

(0.49)%

 

(7.26)%

 

(2.57)%

Ratios/Supplemental Data:

 

 

     

 

     

 

 

Net assets, end of period (in 000s)

 

 $               21,056

 

 $               25,481

 

 $                 7,873

 

 $               13,066

 

 $               15,573

 

Ratios of expenses to average net assets:

 

 

     

 

     

 

 

    Before advisory fee waivers***

 

1.36%

 

1.43%

 

2.32%

 

2.23%

 

1.87%

 

    After advisory fee waivers***

 

1.35%

 

1.40%

 

2.32%

 

2.23%

 

1.87%

 

Ratios of net investment income (loss) to

 

 

     

 

     

 

 

average net assets:

 

 

     

 

     

 

 

    Before advisory fee waivers***

 

1.96%

 

2.35%

 

2.57%

 

(0.83)%

 

0.15%

 

    After advisory fee waivers***

 

1.97%

 

2.38%

 

2.57%

 

(0.83)%

 

0.15%

 

Portfolio turnover rate

 

123%

 

179%

 

54%

 

48%

 

10%

 

 

 

 

 

 

 

 

 

 

 

 

   *All Funds commenced operations on December 10, 2004, with the exception of Short-Term Bond, which commenced operations on December 13, 2004.

 **The net investment income per share data was determined using the average shares outstanding throughout the period.

  

***Annualized for periods less than one year.

              

  +Assumes reinvestment of all dividends and distributions, if any.  Aggregate (not annualized) total return is shown for any period shorter than one year.  Total

    return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

  
                








FINANCIAL HIGHLIGHTS (Unaudited)

 

 

 

 

 

 

 

 

From Commencement of Operations* through April 30, 2005

        
                 

The table sets forth financial data for one share of beneficial interest outstanding throughout the entire period.

  
                 
   

 

    

 

 

Dunham

 

 

   

 Dunham

 

 Dunham

 

 Dunham

 

 Emerging

 

 Dunham

   

 Large Cap

 

 Small Cap

 

 Large Cap

 

 Markets

 

 Small Cap

 

 

 

 Value Fund

 

 Value Fund

 

Growth Fund

 

Stock Fund

 

 Growth Fund

Class C:

 

 

    

 

    

 

Net asset value, beginning of period

 

 $                 11.00

 

 $                 12.59

 

 $                   4.63

 

 $                 13.93

 

 $                 14.81

Income (loss) from investment operations:

 

 

     

 

     

 

 

Net investment income (loss)**

 

(0.03)

 

(0.11)

 

(0.03)

 

(0.02)

 

(0.16)

 

Net realized and unrealized gain (loss)

 

0.17

 

(1.17)

 

(0.06)

 

1.26

 

(0.62)

 

Total income (loss) from investment operations

0.14

 

(1.28)

 

(0.09)

 

1.24

 

(0.78)

Less distributions:

 

 

     

 

     

 

 

Distributions from net investment income

 

0.00

 

0.00

 

0.00

 

0.00

 

0.00

Net asset value, end of period

 

 $                 11.14

 

 $                 11.31

 

 $                   4.54

 

 $                 15.17

 

 $                 14.03

   

 

     

 

     

 

Total return +

 

1.27%

 

(10.17)%

 

(1.94)%

 

8.90%

 

(5.27)%

Ratios/Supplemental Data:

 

 

     

 

     

 

 

Net assets, end of period (in 000s)

 

 $               10,764

 

 $                 5,710

 

 $               10,176

 

 $                 3,962

 

 $                 5,996

 

Ratios of expenses to average net assets:

 

 

     

 

     

 

 

    Before advisory fee waivers***

 

2.77%

 

3.20%

 

2.82%

 

3.28%

 

3.08%

 

    After advisory fee waivers***

 

2.70%

 

3.20%

 

2.78%

 

3.28%

 

3.08%

 

Ratios of net investment income (loss) to

 

 

     

 

     

 

 

average net assets:

 

 

     

 

     

 

 

    Before advisory fee waivers***

 

(0.88)%

 

(2.43)%

 

(1.99)%

 

(0.36)%

 

(2.88)%

 

    After advisory fee waivers***

 

(0.81)%

 

(2.43)%

 

(1.95)%

 

(0.36)%

 

(2.88)%

 

Portfolio turnover rate

 

8%

 

17%

 

77%

 

21%

 

96%

 

 

 

 

 

 

 

 

 

 

 

 

   

 

     

 

     

 

Class N:

 

 

     

 

     

 

Net asset value, beginning of period

 

 $                 11.00

 

 $                 12.59

 

 $                   4.63

 

 $                 13.93

 

 $                 14.81

Income (loss) from investment operations:

 

 

     

 

     

 

 

Net investment income (loss)**

 

0.01

 

(0.07)

 

(0.02)

 

0.05

 

(0.11)

 

Net realized and unrealized gain (loss)

 

0.17

 

(1.17)

 

(0.05)

 

1.23

 

(0.61)

 

Total income (loss) from investment operations

0.18

 

(1.24)

 

(0.07)

 

1.28

 

(0.72)

Less distributions:

 

 

     

 

     

 

 

Distributions from net investment income

 

0.00

 

0.00

 

0.00

 

0.00

 

0.00

Net asset value, end of period

 

 $                 11.18

 

 $                 11.35

 

 $                   4.56

 

 $                 15.21

 

 $                 14.09

   

 

     

 

     

 

Total return +

 

1.64%

 

(9.85)%

 

(1.51)%

 

9.19%

 

(4.86)%

Ratios/Supplemental Data:

 

 

     

 

     

 

 

Net assets, end of period (in 000s)

 

 $               24,674

 

 $               12,272

 

 $               23,712

 

 $               10,343

 

 $               13,571

 

Ratios of expenses to average net assets:

 

 

     

 

     

 

 

    Before advisory fee waivers***

 

1.77%

 

2.20%

 

1.82%

 

2.28%

 

2.08%

 

    After advisory fee waivers***

 

1.70%

 

2.20%

 

1.78%

 

2.28%

 

2.08%

 

Ratios of net investment income (loss) to

 

 

     

 

     

 

 

average net assets:

 

 

     

 

     

 

 

    Before advisory fee waivers***

 

0.13%

 

(1.43)%

 

(0.99)%

 

0.64%

 

(1.88)%

 

    After advisory fee waivers***

 

0.20%

 

(1.43)%

 

(0.95)%

 

0.64%

 

(1.88)%

 

Portfolio turnover rate

 

8%

 

17%

 

77%

 

21%

 

96%

 

 

 

 

 

 

 

 

 

 

 

 

   *All Funds commenced operations on December 10, 2004, with the exception of Short-Term Bond, which commenced operations on December 13, 2004.

 **The net investment income per share data was determined using the average shares outstanding throughout the period.

  

***Annualized for periods less than one year.

              

  +Assumes reinvestment of all dividends and distributions, if any.  Aggregate (not annualized) total return is shown for any period shorter than one year.  Total

    return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

  
                 
                 








NOTES TO FINANCIAL STATEMENTS

April 30, 2005 (Unaudited)

                                                                                                                                                                                                                               

1.     ORGANIZATION                                                                                                                                                                 

                                                                                                                                                                                                                               

The Dunham Funds (the “Funds”) are a series of AdvisorOne Funds (the “Trust”), a Delaware Business Trust organized on December 20, 1996 and registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as an open-end management investment company.  The Dunham Funds currently consist of ten funds : Short-Term Bond Fund; Corporate/Government Bond Fund; Real Estate Stock Fund; Appreciation & Income Fund; International Stock Fund; Large Cap Value Fund; Small Cap Value Fund; Large Cap Growth Fund; Emerging Markets Stock Fund and Small Cap Growth Fund.  The Large Cap Growth Fund and Real Estate Stock Fund operate as non-diversified funds within the meaning of the 1940 Act.  The remaining funds operate as diversified funds within the meaning of the 1940 Act.  


Fund

 

Primary Objective

Short-Term Bond

 

Current income and preservation of capital

Corporate/Government Bond

 

Current income and capital appreciation

Real Estate Stock

 

Capital appreciation

Appreciation & Income

 

Current income and capital appreciation

International Stock

 

Capital appreciation

Large Cap Value

 

Capital appreciation

Small Cap Value

 

Capital appreciation

Large Cap Growth

 

Capital appreciation

Emerging Markets Stock

 

Capital appreciation

Small Cap Growth

 

Capital appreciation


Currently, each Fund offers Class C and Class N shares.   Each class represents an interest in the same assets of the applicable Fund with the only difference being that Class C shares are subject to ongoing service and distribution charges.  The Dunham Funds, with the exception of Short-Term Bond, commenced operations on December 10, 2004 and were formed as a result of tax-free conversions from common trusts .  The Short-Term Bond Fund commenced operations on December 13, 2004.

     


2.     SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES                                                                                              

                                                                                                                                                                                                                               

The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements.  Actual results could differ from those estimates.  


The following is a summary of significant accounting policies followed by the Funds in preparation of its financial statements.


a. Security Valuation – Equity securities are valued at the last sale price on the exchange in which such securities are primarily traded, as of the close of business on the day the securities are being valued. NASDAQ traded securities are valued using the NASDAQ Official Closing Price (“NOCP”).  In the absence of a last sale price, securities are valued using the last available bid price.  U.S. government and agency securities are valued at the most recent bid price.  Short-term debt instruments with a remaining maturity of more than 60 days, intermediate and long-term bonds, convertible bonds, and other debt securities are generally valued on the basis of dealer supplied quotations or by a pricing system selected by the adviser and approved by the Board of Trustees of the Trust (the “Board”).  Where no last sale price for exchange traded debt securities is available, the bid  price may be used.  Where such prices are not available, valuations will be obtained from brokers who are market makers for such securities.  Short-term investments that mature in 60 days or less are valued at amortized cost, provided such valuations represent fair value.  Foreign securities are valued on the basis of market quotations from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates.


Securities for which current market quotations are not readily available o r for which quotations are not deemed to be representative of market values are valued at fair value as determined in good faith by or under the direction of the Board in accordance with the Trust’s Portfolio Securities Valuation Procedures (the “Procedures”).  The Procedures consider, among others, the following factors to determine a security’s fair value: the nature and pricing history (if any) of the security; whether any dealer quotations for the security are available; and possible valuation methodologies that could be used to determine the fair value of the security.   


Securities in which the Funds invest may be traded in markets that close before 4:00 p.m. Eastern Time.  Normally, developments that occur between the close of the foreign markets and 4:00 p.m. Eastern Time will not be reflected in the Fund’s NAV.  However, funds may determine that such developments are so significant that they will materially affect the value of the Fund’s securities, the Fund may adjust the previous closing prices to reflect what the Board believes to be the fair value of these securities as of 4:00 p.m. Eastern Time. As of April 30, 2005, the Emerging Markets Stock Fund adjusted the closing prices of certain securities in accordance with the Procedures.


                 



NOTES TO FINANCIAL STATEMENTS

April 30, 2005 (Unaudited) (Continued)



                b. Foreign Currency Translations – The accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency, and income receipts and expense payments are translated into U.S. dollars using the prevailing exchange rate at the London market close . Purchases and sales of securities are translated into U.S. dollars at the contractual currency rates established at the approximate time of the trade.




Net realized gains and losses on foreign currency transactions represent net gains and losses from currency realized between the trade and settlement dates on securities transactions and the difference between income accrued versus income received. The effects of changes in foreign currency exchange rates on investments in securities are included with the net realized and unrealized gain or loss on investment securities.


                c. Investment Transactions, Investment Income and Expenses – Investment transactions are recorded on a trade date basis.  Realized gains and losses from investment transactions and foreign exchange transactions are calculated using the identified cost method.  Dividend income is recorded on the ex-dividend date (“ex-date”) except in the case of certain dividends from foreign securities, which are recorded as soon after the ex-date as the respective Fund, using reasonable diligence, becomes aware of such dividends.  Interest income is recorded on an accrual basis.  Discounts are accreted and premiums are amortized as adjustments to interest income and the identified costs of investments.


Expenses of the Trust that are directly identifiable to a specific Fund, are charged to that Fund.  Expenses, which are not readily identifiable to a specific Fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the Funds.  Each Fund’s income, expenses (other than the class specific distribution fees) and realized and unrealized gains and losses are allocated proportionally each day between the classes based upon the relative net assets of each class.


                d. Concentration of Risk – Investing in securities of foreign issuers and currency transactions may involve certain considerations and risks not typically associated with investments in the United States.  These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region.  These conditions could cause the securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. government securities.


Small capitalization (“small cap”) companies may be more vulnerable than larger capitalization companies to adverse business or economic developments.  Small cap companies may also have limited product lines, markets or financial resources, and may be dependent on a relatively small management group.  Securities of such companies may be less liquid and more volatile than securities of larger capitalization companies or the market averages in general and therefore may involve greater risk than investing in larger capitalization companies.  


The ability of issuers of debt securities held by the Funds to meet their obligations may be affected by economic and political developments particular to a specific industry, country, state or region.


                e. Federal Income Taxes – It is each Fund’s policy to comply with all sections of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income and gains, if any, to its shareholders and therefore, no provision for federal income tax has been made.  Each Fund is treated as a separate taxpayer for federal income tax purposes.        


                f. Distributions to Shareholders – It is each Funds’ policy to distribute its respective net investment income and net capital gains, if any, annually except for Short-Term Bond and Corporate/Government Bond, which will distribute their respective net income, if any, monthly.  Distributions of net investment income and net capital gains are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles.  Differences in dividends from net investment income per share between the classes are due to service and distribution related expenses.



3.       INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES


                a. Advisory Fees –  Dunham & Associates Investment Counsel, Inc. (“Dunham & Associates” or the “Adviser”), serves as each Fund ’ s Investment Adviser.  Pursuant to an Investment Management Agreement with the Funds, Dunham & Associates, subject to the supervision of the Board and in conformity with the stated policies of the Funds, manages the operations of the Funds.  As compensation for these services, each Fund pays the Adviser a fee, accrued daily and paid monthly, based on each Fund’s respective average daily net assets in accordance with the following per annum schedule:









NOTES TO FINANCIAL STATEMENTS

April 30, 2005 (Unaudited) (Continued)




Fund

 

Advisory Fees

Short-Term Bond

 

0.80%

Corporate/Government Bond

 

0.85%

Real Estate Stock

 

1.15%

Appreciation & Income

 

1.40%

International Stock

 

1.15%

Large Cap Value

 

1.15%

Small Cap Value

 

1.40%

Large Cap Growth

 

1.20%

Emerging Markets Stock

 

1.25%

Small Cap Growth

 

1.30%





The Adviser, subject to the review and approval of the Board, selects Sub-Advisers for each Fund and supervises and monitors the performance of each Sub-Adviser.   The Adviser has entered into a sub-advisory agreement with each of the Sub-Advisers listed below and compensates each Sub-Adviser on a monthly basis according to the following schedule out of the investment advisory fees it receives from the applicable Fund.



Fund


Sub-Adviser


Annual Rates (as a percentage of average daily net assets)

Short-Term Bond

Merganser Capital Management LP

0.25% of first $50 million; 0.15% in excess of $50 million

Corporate/Government Bond

Seneca Capital Management LLC

0.35% of first $20 million; 0.30% in excess of $20 million

Real Estate Stock

ING Clarion Real Estate Securities LP

0.50% of first $20 million; 0.40% of next $80 million; 0.35% in excess of

  $100 million

Appreciation & Income

Calamos Advisers LLC

0.75% of first $25 million; 0.65% in excess of $25 million

International Stock

BPI Global Asset Management LLP

0.50%

Large Cap Value

C.S. McKee LP

0.50% of first $25 million; 0.35% in excess of $25 million

Small Cap Value

Babson Capital Management LLC

0.75% of first $35 million; 0.65% in excess of $35 million

Large Cap Growth

Baring Asset Management, Inc.

0.55% of first $25 million; 0.40% of next $50 million; 0.25% in excess of

  $75 million

Emerging Markets Stock

Van Eck Associates Corp.

0.60% of first $20 million; 0.50% in excess of $20 million

Small Cap Growth

Pier Capital, LLC

0.65%




The Sub-Adviser fees may be reduced based on total assets managed for the Adviser and its affiliates.  This reduction in Sub-Adviser fees will be passed on to the Fund through a reduction in management fees charged on a monthly basis.  For the period ended April 30, 2005, the Adviser waived the following amounts in management fees:

$1,578– Short-Term Bond Fund; $4,700– Corporate/Government Bond Fund; $9,887 – Large Cap Value Fund; $5,068 – Large Cap Growth Fund.


On March 24, 2005, the Board, including a majority of the Independent Trustees, approved an interim sub-advisory agreement with respect to the Dunham Large Cap Growth Fund between the Adviser and Baring Asset Management, Inc. (“Baring” - the current sub-adviser to the Fund), which took effect upon the change in control of Baring on April 1, 2005.  All terms under the interim sub-advisory agreement are identical to those of the Fund’s existing sub-advisory agreement with Baring, except that the interim sub-advisory agreement may last no more than 150 days, is terminable by either party upon 10 days’ notice and the fees will be held in escrow until a permanent sub-advisory agreement is approved by shareholders.


                b. Administration, Fund Accounting and Transfer Agent Fees – Gemini Fund Services, LLC (the “Administrator’) serves as the administrator, fund accountant and transfer agent of the Funds.  For providing administration services to the Funds, the Administrator receives a monthly fee calculated at an annual rate of 0.10% of the first $250 million of each Fund’s average daily net assets, and at reduced rates thereafter, subject to certain minimum requirements.  For providing fund accounting services, the Administrator receives from each Fund a monthly fee calculated at an annual rate of 0.05% of the first $250 million of a Fund’s average daily net assets, and at reduced rates thereafter, subject to certain minimum requirements, plus out-of-pockets.  For providing transfer agent services, the Administrator receives a minimum monthly or per account fee plus certain transaction charges, plus out-of-pocket expenses.  


                c. Distributor – The distributor of the Funds is Dunham & Associates (the “Distributor”).  The Funds have adopted a Plan of Distribution pursuant to Rule 12b-1 under the 1940 Act, as amended, for Class C shares.  The Plan of Distribution provides for the monthly payment of a distribution fee to the Distributor or other entities at an annualized rate of 0.75% for the equity funds and 0.50% for the fixed-income funds, based on the average daily net assets attributable to Class C shares.  In addition, the Funds have adopted a Shareholder Servicing Plan which provides for the payment of a shareholder service fee at an annualized rate of up to 0.25% of the average daily net assets attributable to the Class C shares.  Class N shares do not pay 12b-1 distribution or shareholder servicing fees.


                



NOTES TO FINANCIAL STATEMENTS

April 30, 2005 (Unaudited) (Continued)



                 d. Trustees’ Fees – The Funds pay no compensation to its Trustees who are employees of the Adviser or its affiliates .  The Board has approved the following Trustee compensation schedule:  Each Trustee will receive $3,000 for each regular board meeting attended in-person; a minimum of $1,000 for each special board meeting attended in-person, or $200 per Fund participating in the special meeting, whichever is greater; $750 for all telephonic board meetings; $500 for in-person committee meetings and $250 for telephonic committee meetings, unless the committee meeting is on the same day as a board meeting, in which case it will not be compensated.  The Funds also reimburse each such Trustee for travel and other expenses incurred in attending meetings of the Board.








4.       INVESTMENT TRANSACTIONS


The cost of purchases and the proceeds from sales of investments, other than short-term investments, for the period from December 10, 2004* (commencement of operations) through April 30, 2005, were as follows:


 

 


Fund

Short-Term Bond

Corporate/Government Bond

Real Estate Stock

Appreciation & Income

International Stock

Large Cap Value

Small Cap Value

Large Cap Growth

Emerging Markets Stock

Small Cap Growth


Purchases

Sales Proceeds

$96,831,877

$56,300,758

69,825,268

65,740,077

6,633,459

5,932,296

9,934,885

11,956,733

4,114,814

2,097,163

5,758,914

3,317,796

3,224,468

4,476,162

28,309,001

25,676,587

4,419,137

2,644,414

19,480,581

21,109,538


                                                                                                    *Short-Term Bond commenced operations on December 13, 2004.











5.       AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION


The identified cost of investments in securities owned by each Fund for federal income tax purposes, and its respective gross unrealized appreciation and depreciation at April 30, 2005, were as follows:





Fund

 




Identified Cost


Gross

Unrealized Appreciation


Gross

Unrealized Depreciation

Net

Unrealized Appreciation

( Depreciation )

Short-Term Bond

 

$42,376,424

$17,270

$(254,067)

$(236,797)

Corporate/Government Bond

 

49,722,078

579,030

(384,215)

194,815

Real Estate Stock

 

9,119,860

2,522,637

(60,850)

2,461,787

Appreciation & Income

 

17,714,145

1,757,566

(707,170)

1,050,396

International Stock

 

20,197,499

3,544,564

(913,631)

2,630,933

Large Cap Value

 

29,981,269

6,087,669

(842,556)

5,245,113

Small Cap Value

 

16,291,245

2,840,992

(911,270)

1,929,722

Large Cap Growth

 

33,392,134

2,323,606

(1,541,130)

782,476

Emerging Markets Stock

 

12,974,924

2,906,102

(858,280)

2,047,822

Small Cap Growth

 

19,752,807

1,881,730

(1,086,746)

794,984



6.       SHARES OF BENEFICIAL INTEREST


At April 30, 2005, each Fund had an unlimited number of shares authorized with no par value.


Following is a summary of shareholder transactions for each Fund for the period from December 10, 2004* (commencement of operations) through April 30, 2005:











NOTES TO FINANCIAL STATEMENTS

April 30, 2005 (Unaudited) (Continued)



 


CLASS C SHARES

 


CLASS N SHARES




Fund




Issued



Dividends

Reinvested




Redeemed

Net Increase (Decrease)

 in Shares

 




Issued



Dividends

Reinvested




Redeemed

Net

 Increase (Decrease) in Shares

Short-Term Bond

71,732

12,918

(1,751,689)

(1,667,039)

 

1,389,346

16,456

(1,498,979)

(93,177)

Corporate/Government Bond

247,988

8,081

(556,441)

(300,372)

 

778,104

14,588

(202,519)

590,173

Real Estate Stock

8,576

-

(91,599)

(83,023)

 

123,054

-

(81,781)

41,273

Appreciation & Income

6,825

-

(472,868)

(466,043)

 

418,116

-

(314,587)

103,529

International Stock

22,067

-

(236,576)

(214,509)

 

348,971

-

(51,752)

297,219

Large Cap Value

16,360

-

(453,607)

(437,247)

 

596,173

-

(199,380)

396,793

Small Cap Value

19,356

-

(288,324)

(268,968)

 

278,025

-

(144,707)

133,318

Large Cap Growth

226,201

-

(1,114,218)

(888,017)

 

1,594,054

-

(412,731)

1,181,323

Emerging Markets Stock

17,326

-

(136,537)

(119,211)

 

200,878

-

(41,334)

159,544

Small Cap Growth

6,381

-

(263,337)

(256,956)

 

248,377

-

(160,044)

88,333

 

  *Short-Term Bond commenced operations on December 13, 2004.



7.       SUBSEQUENT EVENTS


a.      Proposed New Sub-Advisory Agreement:

 

On April 27, 2005, the Board, including a majority of the non-interested Trustees of the Board (the “Independent Trustees”), as that term is defined in the 1940 Act, approved, subject to shareholder approval, a sub-advisory agreement among the Trust (on behalf of the Dunham International Stock Fund), Neuberger Berman, LLC (“NB”) and the Adviser.  The Board was provided with information about NB, including the firm's history and ownership, biographies of NB key personnel, NB’s investment approach for international stock funds, past performance data for international stock accounts managed by NB, and fees charged by NB for those accounts. The Board also was provided with comparative data regarding fees and expenses of international stock funds generally.  During their deliberations, the Independent Trustees considered:  (1) the fees charged by NB in relation to the industry; (2) the extent and quality of services provided by NB; (3) the costs of services provided and the resulting profits to NB and its affiliates, including the extent to which NB would realize economies of scale as the Fund grows; (4) other revenue, if any, to NB and its affiliates from NB’s relationship with the Fund; (5) the control of operating expenses of the Fund; and (6) the manner in which portfolio transactions of the Fund are conducted, including the use of soft dollars. In addition, the Board asked the following important questions: (i) whether NB or any of its affiliates were involved in any lawsuits or whether there were any pending regulatory actions to which NB or was a party; (ii) whether NB manages other mutual funds, hedge funds and/or separate accounts; (iii) the length of time that NB has been a manager of open-end mutual funds; (iv) whether NB has procedures in place to adequately allocate trades among its respective clients; and (v) whether NB has approved a Chief Compliance Officer and adopted a Compliance Program  pursuant to Rule 206(4)-7 of the Investment Advisers Act of 1940 (the “Advisers Act”).


In addition, On April 27, 2005 the Board, including a majority of the Independent Trustees, approved, subject to shareholder and SEC approval, new forms of advisory and sub-advisory agreements for all Funds, which, together with the NB sub-advisory agreement, will be presented for shareholder approval in a proxy statement to be issued in the near future.  


b.  Interim Sub-Advisory Agreements- Change in Control:


Dunham International Stock Fund: On May 23, 2005, the Board approved an interim sub-advisory agreement with respect to the Fund between the Adviser and BPI Global Asset Management LLP (“BPI” – the current sub-adviser to the Fund), which took effect upon the change in control of BPI on June 1, 2005.  All terms under the interim sub-advisory agreement with BPI were identical to those of the Fund’s existing sub-advisory agreement with BPI, except that the interim sub-advisory agreement could last no more than 150 days, was terminable by either party upon 10 days’ notice and the fees had to be held in escrow until a permanent sub-advisory agreement was approved by shareholders.


On June 20, 2005, the Board approved a new interim sub-advisory agreement with respect to the Fund between the Adviser and NB, to take effect on July 1, 2005.  All terms under the new interim sub-advisory agreement with NB are substantially identical to those of the existing interim sub-advisory agreement with BPI, except that the term is 120 days, not 150 days.













YOUR FUND’S EXPENSES (Unaudited)



Example

Shareholders of mutual funds will pay ongoing expenses, such as advisory fees, distribution and service fees (12b-1), and other fund expenses.  The following examples are intended to help you understand the ongoing cost (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.  Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions which may be assessed by mutual funds.  This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.


Actual Expenses

The columns under the heading entitled “Actual” help you estimate the actual expenses you paid over the period.  The “Actual-Ending Account Value” shown is derived from the Fund’s actual return, and the “Actual- Expenses Paid During Period” shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund.  To estimate the expenses you paid on your account during this period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled “Actual-Expenses Paid During Period”.


Hypothetical Examples for Comparison Purposes

The columns under the heading entitled “Hypothetical” provide information about hypothetical account value and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return.  The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.  You may use this information to compare the ongoing costs of investing in the Fund and other funds.  To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.


Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs which may be applicable to your account.  Therefore, the last column of the table (Hypothetical- Expenses Paid During Period) is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.  In addition, if these transactional costs were included, your costs would have been higher.

 

   


Actual

 

Hypothetical

(5% return before expenses)

 

Fund’s Annualized

Expense Ratio

Beginning

Account Value

12/10/04*

Ending

Account Value

4/30/05

Expenses

Paid During Period**



Ending

Account Value

4/30/05

Expenses

 Paid During

 Period***

Class C:

       

Short-Term Bond Fund

2.10%

$1,000.00

$   995.14

$  7.98

 

$1,014.38

$10.49

Corporate/Government Bond Fund

2.15%

$1,000.00

$1,001.20

$  8.37

 

$1,014.13

$10.74

Real Estate Stock Fund

3.32%

$1,000.00

$   991.90

$12.86

 

$1,008.33

$16.53

Appreciation & Income Fund

3.23%

$1,000.00

$   924.02

$12.09

 

$1,008.78

$16.09

International Stock Fund

2.87%

$1,000.00

$   971.13

$11.00

 

$1,010.56

$14.31

Large Cap Value Fund

2.70%

$1,000.00

$1,012.73

$10.57

 

$1,011.41

$13.47

Small Cap Value Fund

3.20%

$1,000.00

$   898.33

$11.82

 

$1,008.93

$15.94

Large Cap Growth Fund

2.78%

$1,000.00

$   980.56

$10.71

 

$1,011.01

$13.86

Emerging Markets Fund

3.28%

$1,000.00

$1,089.02

$13.33

 

$1,008.53

$16.33

Small Cap Growth Fund

3.08%

$1,000.00

$   947.33

$11.67

 

$1,009.52

$15.35

Class N:

       

Short-Term Bond Fund

1.35%

$1,000.00

$   998.51

$  5.14

 

$1,018.10

$  6.76

Corporate/Government Bond Fund

1.40%

$1,000.00

$1,004.08

$  5.46

 

$1,017.85

$  7.00

Real Estate Stock Fund

2.32%

$1,000.00

$   995.14

$  9.00

 

$1,013.29

$11.58

Appreciation & Income Fund

2.23%

$1,000.00

$   927.38

$  8.36

 

$1,013.74

$11.13

International Stock Fund

1.87%

$1,000.00

$   974.33

$  7.18

 

$1,015.52

$  9.35

Large Cap Value Fund

1.70%

$1,000.00

$1,016.36

$  6.67

 

$1,016.36

$  8.50

Small Cap Value Fund

2.20%

$1,000.00

$   901.51

$  8.14

 

$1,013.88

$10.99

Large Cap Growth Fund

1.78%

$1,000.00

$   984.88

$  6.87

 

$1,015.97

$  8.90

Emerging Markets Fund

2.28%

$1,000.00

$1,091.90

$  9.28

 

$1,013.49

$11.38

Small Cap Growth Fund

2.08%

$1,000.00

$   951.38

$  7.90

 

$1,014.48

$10.39

*Short-Term Bond Fund has a Beginning Account Value date of 12/13/04.

 **Actual- Expenses Paid During Period are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 142 days, with the exception of Short-Term Bond Fund (139), and divided by 365 (to reflect the number of days in the period).

***Hypothetical- Expenses Paid During Period are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181 days and divided by 365 (to reflect the number of days in the six month period ending April 30, 2005).





 

 


ADDITIONAL INFORMATION (Unaudited)                                                                                                                                    



FACTORS CONSIDERED BY THE INDEPENDENT TRUSTEES IN APPROVING INVESTMENT MANAGEMENT AGREEMENTS AND SUB-ADVISORY AGREEMENTS


At a meeting (the “Meeting”) of the Board of Trustees (the “Board”) held on September 23, 2004, the Board, including the disinterested Trustees (the “Independent Trustees”), approved the an investment management agreement (the “Management Agreement”) between the Adviser and the Funds and sub-advisory agreements (the “Sub-Advisory Agreements”) between the Adviser and the Sub-Advisers to the Funds.


The Adviser and each Sub-Adviser provided the Board with written materials concerning: (a) information on the investment performance of the Adviser and each Sub-Adviser, a peer group of funds and appropriate index or combination of indices with respect to the existing accounts of the Adviser and each Sub-Adviser; (b) the economic outlook and the general investment outlook in the markets in which each Fund will invest; (c) arrangements with respect to the distribution of Fund shares; (d) the procedures employed to determine the value of Fund assets; (e) the Adviser’s management of the relationships with the Funds’ custodian; (f) the resources devoted to compliance with each Fund’s investment policies and restrictions and with policies on personal securities transactions; (g) and the nature, cost and character of non-investment management services provided by the Adviser and its affiliates.  The Board also received an oral presentation concerning from representatives of the Adviser and Sub-Adviser regarding the above referenced items.    


A representative of the Adviser reviewed the process that the Adviser undergoes in the selection and oversight of each Sub-Adviser, noting that the Adviser considers both quantitative and qualitative factors in their selection process.  The Adviser reviewed the quantitative factors, which include: a review of the money manager’s absolute and relative performance; performance in rising markets; performance in falling markets; risk adjusted performance; and assets under management.  The Adviser then discussed the qualitative factors, which include:  professional staff; investment philosophy; decision making process; research and trading capabilities; operations and systems capabilities; communication and reporting skills; organizational stability; and overall reputation in the industry.  The Adviser explained that the Sub-Advisers’ performance is primarily monitored by reviewing the quantitative factors listed above.  The Adviser then reviewed each Sub-Adviser’s composite returns as of June 30, 2004 as compared to relevant benchmark indices as well as reviewing the Adviser’s separate account returns as compared to relevant benchmarks as of August 31, 2004.


Representatives of each Sub-Adviser separately provided an overview of their organization and discussed the types of products that they offer to investors.  The Sub-Advisers each discussed their investment style, performance in their particular investment discipline and outlook for the markets in general.


The Board received satisfactory responses from the Adviser and each Sub-Adviser with respect to a series of important questions: (a) whether the Adviser and each Sub-Adviser, or any of their affiliates were involved in any lawsuits or whether there were any pending regulatory actions to which the Adviser and each Sub-Adviser or their affiliates was a party; (b) whether the Adviser and each Sub-Adviser manages other mutual funds, hedge funds and/or separate accounts; (c) the length of time that the Adviser and each Sub-Adviser has been a manager of open-end mutual funds; (d) whether the Adviser and each Sub-Adviser has procedures in place to adequately allocate trades among its respective clients; and (e) whether the Adviser and each Sub-Adviser has approved a Chief Compliance Officer and adopted a Compliance Program  pursuant to Rule 206(4)-7 of the Investment Advisers Act of 1940.


 The Independent Trustees met in executive session and considered:  (a) the nature, extent and quality of services to be provided by the Adviser and each Sub-Adviser under the Management and Sub-Advisory Agreements; (b) the investment performance of each Funds, the Adviser and each Sub-Adviser; (c) the cost of services to be provided and the profits to be realized by the Adviser, each Sub-Adviser and their affiliates, (d) the extent to which the Adviser and each Sub-Adviser will realize economies of scale as each Fund grows; and (e) whether the fee levels reflect these economies of scale for the benefit of investors.  


During the Board’s deliberations, it was noted that they did not identify any single piece of information that was all-important or controlling with respect to the Management Agreement or Sub-Advisory Agreements. Based on the Board’s deliberations and its evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously concluded that: (a) the terms of the Management Agreement are fair and reasonable; (b) the Adviser’s and each Sub-Adviser’s fees are reasonable in light of the services that it provides to each Fund; (c) each Agreement was in the best interests of each Fund and its shareholders; and (d) agreed to approve each Agreement for term of two years, subject to the approval of the initial shareholder of each Fund.

    



How to Obtain Proxy Voting Information

Information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 as well as a description of the policies and procedures that the Funds use to determine how to vote proxies is available without charge, upon request, by calling 1-888-3DUNHAM (338-6426) or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.


How to Obtain 1st and 3rd Fiscal Quarter Portfolio Holdings

Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q.  Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC (1-800-SEC-0330).  The information on Form N-Q is available without charge, upon request, by calling 1-888-3DUNHAM (338-6426).















THE DUNHAM FUNDS

P.O. BOX 910309 • SAN DIEGO • CALIFORNIA 92191

1-800-442-4358


DISTRIBUTED BY DUNHAM & ASSOCIATES INVESTMENT COUNSEL, INC.

MEMBER NASD



THIS REPORT AND FINANCIAL STATEMENTS CONTAINED HEREIN ARE NOT INTENDED TO BE A FORECAST OF FUTURE EVENTS, A GUARANTEE OF FUTURE RESULTS, OR INVESTMENT ADVICE. FURTHER, THERE IS NO ASSURANCE THAT CERTAIN SECURITIES WILL REMAIN IN OR OUT OF EACH FUND'S PORTFOLIO.

THE FIGURES IN THIS REPORT REPRESENT PAST PERFORMANCE AND DO NOT GUARANTEE FUTURE RESULTS. THE PRINCIPAL VALUE OF AN INVESTMENT AND INVESTMENT RETURN WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. 






Item 2. Code of Ethics.  Not applicable.


Item 3. Audit Committee Financial Expert.  Not applicable.


Item 4. Principal Accountant Fees and Services.  Not applicable.


Item 5. Audit Committee of Listed Companies.  Not applicable to open-end investment companies.


Item 6.  Schedule of Investments.  Schedule of investments in securities of unaffiliated issuers is included under Item 1.


Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds.  Not applicable to open-end investment companies.


Item 8.  Portfolio Managers of Closed-End Funds.  Not applicable to open-end investment companies.


Item 9.  Purchases of Equity Securities by Closed-End Funds.  Not applicable to open-end investment companies.


Item 10.  Submission of Matters to a Vote of Security Holders.  None


Item 11.  Controls and Procedures.  


(a)         Based on an evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR,  the disclosure controls and procedures are reasonably designed to ensure that the information required in filings on Forms N-CSR is recorded, processed, summarized, and reported on a timely basis.


(b)         There were no significant changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.


Item 12.  Exhibits.  


(a)(1)    Not applicable.


(a)(2)    Certifications required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith..


(a)(3)    Not applicable for open-end investment companies.


(b)         Certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.


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.




(Registrant) AdvisorOne Funds


By (Signature and Title)

*/s/ W. Patrick Clarke

       W. Patrick Clarke, President

       

Date      7/8/2005                                                                               


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 (Signature and Title)

*/s/ W. Patrick Clarke

        W. Patrick Clarke, President

       

Date       7/8/2005                                                                                                                                               


By (Signature and Title)

*/s/ Michael J. Wagner

       Michael J. Wagner, Treasurer

        

Date       7/11/2005