N-CSRS 1 dunhamncsrs.htm N-CSRS Blu Giant, LLC

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 811-22153

 

Dunham Funds

(Exact name of registrant as specified in charter)

 

10251 Vista Sorrento Pkwy, Ste. 200, San Diego, CA 92121

(Address of principal executive offices) (Zip code)

 

James Ash

Gemini Fund Services, LLC., 80 Arkay Drive, Suite 110, Hauppauge, NY 11788

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 631-470-2619

 

Date of fiscal year end: 10/31

 

Date of reporting period: 4/30/16

 

 

Item 1. Reports to Stockholders.

 

(COVER)

 

 

 

 

 

 

 

 

 

 

 

 

 

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. 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 and the applicable fund’s prospectus. 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.

 

 

Dunham Floating Rate Bond Fund

Message from the Sub-Adviser (Newfleet Asset Management, LLC)

 

Despite a December increase in interest rates by the U.S. Federal Reserve for the first time in nearly a decade, interest rates decreased over the first half of the fiscal year ended April 30, 2016. While there was a slight increase towards the beginning of the fiscal period, interest rates generally declined thereafter. The yield on 10-year Treasuries began the fiscal year at 2.14 percent, rose to a high of 2.34 in early November, and ended the first fiscal quarter at 1.92 percent. The beginning of the second fiscal quarter saw interest rates hit a low of 1.66 percent in early February, before finishing the fiscal six-month period at 1.83 percent. The performance of bank loans, as measured by the S&P/LSTA Leveraged Loan Index, generally followed interest rates downward during the first half of the fiscal six-month period, but subsequently reversed course while interest rates continued to decline. Bank loans gained 1.6 percent over the fiscal period, after falling 1.8 percent over the prior fiscal six-month period. Although interest rates fell, the London Interbank Offered Rate (“LIBOR”) rose over the fiscal period. Three-month LIBOR began the fiscal period at 0.33 percent, hit a low of 0.33 percent in early November, then began a steady increase, hitting a high of 0.64 percent in mid-March, before ending the fiscal six-month period at 0.64 percent, nearly 91 percent higher than it began the fiscal period.

 

There were two quite different stories for U.S. stocks between the first and second halves of the fiscal six-month period, and bank loan returns generally mirrored both plots. The first half of the fiscal year saw a decline in U.S. stocks and bank loans, as investors sold risk. The second half of the fiscal year began with a generally flat February for both U.S. stocks and bank loans before turning sharply positive as investors bought risk. At the beginning of the fiscal period, the average bank loan in the Fund had a price of $96.79. By the middle of the fiscal period, the average bank loan price dropped to $94.50, before rebounding to $96.72 by the end of the fiscal six-month period. The Sub-Adviser remains optimistic about the asset class’ potential as interest rates rise and investor sentiment towards the loan space allows the price to continue to increase. At the beginning of the fiscal six-month period, approximately 36 bank loans in the Fund had a price lower than $95, which represented approximately 13 percent of the bank loans in the Fund. By the end of the fiscal six-month period, the Fund held approximately 29 bank loans with a price below $95, which represented approximately 11 percent of the bank loans in the Fund.

 

The yields on bank loans, as measured by the S&P / LSTA Leveraged Loan 100 Index, generally moved in the opposite direction from broader Treasury yield movements for the majority of the fiscal period, although they still ended slightly lower by the end. Bank loans, in general, began the fiscal six-month period with a yield-to-maturity of 5.9 percent, approximately 1.7 percent less than their traditional high-yield bond counterparts, as measured by the BofA Merrill Lynch High-Yield Bond Cash Pay Index. Bank loans outperformed traditional high-yield bonds over the first half of fiscal period by 3.7 percent, but trailed by 4.8 percent over the second half of the fiscal six-month period. Over the entire period, bank loans underperformed traditional high-yield bonds by 0.7 percent. The yield gap between the bank loans and traditional high-yield bonds saw an overall expansion over the fiscal period. At the end of the fiscal six months, the yields on bank loans stood at 5.8 percent and traditional high-yield bonds ended at 7.7 percent. The Fund held approximately 4.5 percent of its assets in traditional high-yield bonds which, from an allocation perspective, enhanced relative performance during the fiscal period.

 

The Sub-Adviser continued to focus on higher rated first lien loans within the bank loan space, limiting its exposure to bank loans rated CCC and lower. The exposure to lower-rated loans, second lien loans, and traditional bonds has been limited to instances where the Sub-Adviser has determined that the additional reward is expected to significantly outweigh the additional risk. However, with the significant increase in lower-rated securities over the second half of the six-month period, some of the Fund’s bonds also benefitted. For example, the Fund held the CCC-rated traditional bonds issued by Beverage Packaging Holdings Luxembourg I SA (08783AAC7) (holding percentage*: 0.15 percent), a joint issuer of debt that operates as a dual issuer of senior notes. The company is a subsidiary of Reynolds Group Holdings Limited, which is a leading global manufacturer and supplier of consumer beverage and foodservice packaging products, based in Auckland, New Zealand. The Beverage Packaging Holdings bonds increased 2.7 percent on a total return basis over the six-month period. In addition, the Fund held the traditional CCC-rated bond issued by iHeartCommunications, Inc. (184502BL5) (holding percentage*: 0.08 percent), a mobile and on-demand entertainment and information services provider. Over the first half of the six-month period the company’s bonds took a hit, losing a painful 15.6 percent on a total return basis. The second half of the six-month period saw a reversal, however, with the company’s bonds gaining 15.9 percent on a total return basis. On a net basis, the bonds were down 2.1 percent over the entire six-month period. As oil prices fell over the first half of the six-month period, so did many energy-related issuers in the Fund. However, as oil prices rallied from their January lows, these same issuers saw substantial increases in their bank loans. One such issuer was MEG Energy Corporation (BL0932949) (holding percentage*: 0.28 percent), an oil and gas company that is primarily involved in oil sands development and leases. Over the first fiscal quarter, the MED Energy Corp. bank loan saw a price decrease of 17 percent, but saw a rebound of 11.8 percent over the second fiscal quarter, paring overall losses for the six-month period to 4.5 percent.

 

The Sub-Adviser also analyzes recovery expectations for bank loans that are issued by companies proceeding through restructurings or defaults. For example, the Fund continued to hold the Caesars Entertainment Operating Co., Inc. bank loan (BL1302209) (holding percentage*: 0.15 percent), a casino, restaurant, and convention-space operator, which defaulted on its debt over a year ago. The bank loan was priced at $89.71 at the beginning of the six-month period, but rebounded by the end of the period to a price to just below $94.50.

 

The Sub-Adviser remains optimistic that interest rates, in general, will eventually rise and that bank loan investors may benefit from a highly-correlated increase in LIBOR. Although the Federal Open Market Committee’s planned four interest rate increases have been reduced to two for 2016, the Sub-Adviser believes we are in the late innings of the credit cycle. They are, however, incrementally dialing up risk in the Fund, albeit cautiously. The Sub-Adviser remains encouraged by the historically low default rates combined with the floating rate feature offered by bank loans.

 

*Holdings percentage(s) as of 4/30/2016.

 

Growth of $100,000 Investment - (Unaudited)

 

(LINE GRAPH)

 

Total Returns as of April 30, 2016

 

      Annualized
  Six One Since Inception
  Months Year (11/1/13)
Class N 1.58%  0.21% 1.41%
Class C 1.21% (0.53)% 0.65%
Class A with load of 4.50% (2.99)%   (4.48)% (0.68)%  
Class A without load 1.57%  0.07% 1.17%
S&P/LSTA Leverage Loan Index 1.88% (0.07)% 2.31%
Morningstar Bank Loan Category 0.96% (0.88)% 1.35%

 

The S&P/LSTA U.S. Leveraged Loan 100 Index is designed to reflect the performance of the largest facilities in the leveraged loan market. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Bank Loan Category is generally representative of mutual funds that primarily invest in floating-rate bank loans instead of bonds. These bank loans generally offer interest payments that typically float above a common short-term benchmark such as the London interbank offered rate, or LIBOR.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including cost of underlying funds, are 1.27% for Class N, 2.02% for Class C and 1.52% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com

1

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

Dunham Floating Rate Bond Fund

April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
BANK LOANS - 92.7%                  
CONSUMER DISCRETIONARY - 26.0%                  
Acosta Holdco, Inc.  $239,761    4.2500%  9/26/2021  $237,864 
Advantage Sales & Marketing, Inc.   97,000    7.5000   7/24/2022   92,150 
Allison Transmission, Inc.   583,827    3.5000   8/24/2019   585,508 
Aristocrat International Property   366,000    4.7500   10/20/2021   368,353 
Boyd Gaming Corp.   467,297    4.0000   8/14/2020   469,049 
Caesars Entertainment Operating Co., Inc.*   203,234    10.2500   2/28/2017   190,024 
Caesars Entertainment Operating Co., Inc.*   137,310    13.2500   2/28/2017   129,700 
Caesars Entertainment Resort Properties, Inc.   272,860    7.0000   10/12/2020   258,622 
Caesars Growth Properties Holdings, LLC   152,026    6.2500   5/8/2021   136,824 
CBAC Borrower LLC   99,750    8.2500   7/2/2020   93,516 
CCO Safari III LLC   138,000    3.2500   8/24/2021   138,421 
CCO Safari III LLC   708,000    3.5000   1/24/2023   712,174 
CDS US Intermediate Holdings   175,120    5.0000   7/8/2022   170,013 
Charter Communications Operations, LLC   326,812    3.0000   6/30/2020   326,684 
CityCenter Holdings LLC   301,249    4.2500   10/16/2020   302,605 
Clear Channel Communications   480,000    7.3866   1/30/2019   360,468 
CS Intermediate Holdco 2 LLC   410,689    4.0000   4/4/2021   411,333 
CSC Holdings LLC   723,149    3.1366   4/16/2020   722,550 
CSC Holdings LLC   620,000    5.0000   10/8/2022   624,005 
Delta, Inc.   310,000    4.7500   7/30/2021   305,128 
Eldorado Resorts, Inc.   129,025    4.2500   7/24/2022   129,186 
Federal-Mogul Holdings Corp.   293,261    4.7500   4/16/2021   279,771 
Gates Global LLC   318,003    4.2500   7/6/2021   305,623 
Graton Economic Development Authority   137,622    4.7500   8/31/2022   137,966 
Hilton Worldwide Finance LLC   1,575,784    3.5000   10/26/2020   1,583,490 
Hudson’s Bay Co   250,000    4.7500   9/30/2022   251,563 
Ineos Group Holdings Ltd   327,265    4.2500   12/14/2022   327,756 
Infiltrator Systems Integrated   78,408    5.2500   5/28/2022   78,604 
Intelsat Jackson Holdings S.A.   200,000    3.7500   6/30/2019   188,178 
KAR Auction Services, Inc.   311,188    3.9375   3/12/2021   312,873 
KAR Auction Services, Inc.   75,000    4.2500   3/8/2023   75,438 
Laureate Education, Inc.   476,428    5.0000   6/16/2018   443,674 
Leslie’s Poolmart, Inc.   266,262    4.2500   10/16/2019   265,932 
Libbey Glass, Inc.   258,609    3.7500   4/8/2021   258,664 
LTF Merger Sub, Inc.   221,116    4.2500   6/10/2022   220,357 
Mattress Holding Corp.   288,000    6.2500   10/20/2021   289,080 
MCC Georgia LLC   299,738    3.2500   1/28/2021   299,988 
MCC Georgia LLC   61,898    3.7500   6/30/2021   61,975 
MCC Georgia LLC   155,630    3.5000   6/30/2021   156,020 
MGM Growth Properties Operating, LLC   377,000    4.0000   4/24/2023   379,631 
Michaels Stores, Inc.   531,529    3.7500   1/28/2020   532,999 
Mohegan Tribal Gaming Authority   325,917    5.5000   6/16/2018   324,830 
MPG Holdco I, Inc.   286,885    3.7500   10/20/2021   285,604 
Neiman Marcus Group LTD, Inc.   270,000    4.2500   10/24/2020   257,850 
Numericable US LLC   143,000    4.7500   2/10/2023   143,409 
Numericable US LLC   325,000    5.0000   1/16/2024   327,200 
Party City Holdings, Inc.   434,232    4.2500   8/20/2022   433,720 
Penn National Gaming, Inc.   455,789    3.2500   10/30/2020   456,358 
Petsmart, Inc.   541,905    4.2500   3/12/2022   541,252 
Scientific Games International, Inc.   681,732    6.0000   9/30/2021   673,105 
ServiceMasterCo.LLC/The   897,233    4.2500   6/30/2021   902,002 
SInc.lair Television Group, Inc.   372,188    3.5000   7/30/2021   372,031 
Six Flags Theme Parks, Inc.   397,254    3.5006   6/30/2022   400,150 

 

See accompanying notes to financial statements.

2

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

Dunham Floating Rate Bond Fund (Continued)

April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
CONSUMER DISCRETIONARY (Continued) - 26.0%                  
SRAM Corporation  $282,400    4.0124%  4/10/2020  $249,218 
Staples, Inc.   945,000    4.7500   2/2/2022   949,134 
Station Casinos LLC   247,370    4.2500   3/2/2020   248,220 
TI Group Automotive Systems LLC   181,464    4.5000   6/30/2022   181,692 
Transtar Holding Co   34,213    7.7500   10/8/2018   23,493 
Tribune Co   368,952    3.7500   12/28/2020   369,626 
Univision Communications, Inc.   262,667    4.0000   2/29/2020   263,314 
Univision Communications, Inc.   1,331,185    4.0000   2/29/2020   1,330,955 
US Farathane LLC   154,791    6.7500   12/24/2021   155,371 
Ziggo BV   154,941    3.6519   1/16/2022   154,622 
Ziggo BV   99,847    3.6478   1/16/2022   99,641 
Ziggo BV   164,212    3.6013   1/16/2022   163,874 
                 22,520,430 
CONSUMER STAPLES - 7.3%                  
Albertson’s Holdings LLC   278,190    5.5000   8/24/2021   279,614 
Albertsons LLC   252,368    5.5000   12/20/2022   253,665 
ARAMARK Corp.   800,682    3.2500   2/24/2021   802,684 
Coty, Inc.   102,976    3.7500   10/28/2022   103,877 
Dole Food Co, Inc.   557,688    4.5020   10/31/2018   558,087 
Galleria Co   205,952    3.7500   1/26/2023   206,564 
Hostess Brands LLC   319,395    4.1366   8/4/2022   321,059 
Hostess Brands LLC   235,000    8.5000   8/4/2023   231,769 
Kronos, Inc./MA   60,875    9.7500   4/30/2020   61,839 
Kronos, Inc./MA   820,590    4.5000   10/30/2019   820,417 
Oak Tea, Inc.   59,901    4.2500   7/2/2022   60,225 
Pinnacle Foods Finance LLC   802,277    3.0000   4/28/2020   802,610 
Pinnacle Foods Finance LLC   22,943    3.7500   1/12/2023   23,094 
Prestige Brands, Inc.   635,634    3.5218   9/4/2021   638,151 
Reynolds Group Holdings, Inc.   445,370    4.5000   11/30/2018   447,157 
Rite Aid Corp.   430,000    4.8750   6/20/2021   431,479 
Spectrum Brands, Inc.   280,321    3.5000   6/24/2022   281,828 
                 6,324,119 
ENERGY - 1.4%                  
Chelsea Petroleum   199,179    5.2500   10/28/2022   194,199 
Chief Exploration & Development LLC   172,000    7.5000   5/16/2021   130,505 
Drillships Financing Holding Inc.   141,366    6.0000   4/1/2021   69,269 
Drillships Ocean Ventures, Inc.   110,040    5.5000   7/24/2021   65,611 
Fieldwood Energy LLC   215,850    8.3750   9/30/2020   59,089 
Jonah Energy LLC   243,000    7.5000   5/12/2021   164,835 
MEG Energy Corp.   276,394    3.7500   4/1/2020   248,983 
Paragon Offshore Finance Co   174,258    5.2500   7/16/2021   47,268 
Seadrill Operating LP   492,086    4.0000   2/20/2021   246,043 
                 1,225,802 

 

See accompanying notes to financial statements.

3

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

Dunham Floating Rate Bond Fund (Continued)

April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
FINANCIALS - 5.2%                  
Alixpartners LLP  $515,410    4.5000%  7/28/2022  $518,201 
Asurion LLC   82,794    5.0000   5/24/2019   82,639 
Asurion LLC   189,120    5.0000   8/4/2022   188,157 
Capital Automotive L.P.   93,064    4.0000   4/10/2019   93,541 
Capital Automotive LP   197,005    6.0000   4/30/2020   198,359 
Delos Finance   381,000    3.5000   3/6/2021   383,000 
DTZ US Borrower LLC   595,499    4.2500   11/4/2021   595,747 
Realogy Group LLC   773,336    3.7500   3/4/2020   774,384 
Starwood Property Trust, Inc.   476,516    3.5000   4/16/2020   474,729 
TransUnion LLC   892,339    3.5000   4/8/2021   889,884 
Walter Investment Management Corp.   373,471    4.7500   12/18/2020   328,772 
                 4,527,413 
HEALTHCARE - 16.7%                  
21st Century Oncology, Inc.   208,425    6.5000   4/30/2022   186,019 
Acadia Healthcare Co, Inc.   226,433    4.5000   2/16/2023   228,449 
Akorn, Inc.   258,134    6.0000   4/16/2021   259,103 
Alere, Inc.   172,038    4.2500   6/20/2022   170,774 
American Renal Holdings Co, Inc.   134,000    4.7500   8/20/2019   134,084 
Amneal Pharmaceuticals LLC   344,403    4.5007   10/31/2019   344,546 
Amsurg Corp.   101,197    3.5000   7/16/2021   101,667 
Ardent Legacy Acquisitions, Inc.   194,025    6.5000   8/4/2021   194,995 
Capsugel Holdings US, Inc.   410,809    4.0000   8/1/2021   412,029 
CHG Buyer Corp.   397,008    4.2500   11/20/2019   397,957 
CHS/Community Health Systems Inc.   282,504    3.7500   1/1/2020   278,846 
CHS/Community Health Systems Inc.   519,800    4.0000   1/28/2021   513,126 
CHS/Community Health Systems Inc.   218,666    3.8855   1/1/2019   218,096 
Concordia Healthcare Corp.   149,625    5.2500   10/20/2021   148,652 
ConvaTec, Inc.   10,800    4.2500   6/16/2020   10,826 
DaVita, Inc.   748,589    3.5000   6/24/2021   753,549 
DJO Finance LLC   158,800    4.2500   6/8/2020   154,979 
Emdeon, Inc.   43,446    3.7500   11/2/2018   43,746 
Emdeon, Inc.   492,500    3.7500   11/2/2018   492,810 
Emergency Medical Svcs Corp.   190,010    4.2500   5/24/2018   190,560 
Endo Luxembourg Finance ICo.   620,445    3.7500   9/26/2022   619,437 
Envision Healthcare Corp.   161,595    4.5000   10/28/2022   162,330 
FHC Health Systems, Inc.   247,500    5.0000   12/24/2021   244,406 
Greatbatch Ltd   100,748    5.2500   10/28/2022   101,393 
HCA, Inc.   203,925    3.8866   3/16/2023   205,653 
Horizon Pharma, Inc.   131,010    4.5000   5/8/2021   128,062 
IASIS Healthcare LLC   299,227    4.5000   5/4/2018   299,351 
IMS Health, Inc.   450,311    3.5000   3/16/2021   451,275 
inVentiv Health, Inc.   233,269    7.7500   5/16/2018   234,291 
Kinetic Concepts, Inc.   417,411    4.5000   5/4/2018   417,978 
Mallinckrodt International Finance   154,840    3.2500   3/20/2021   151,744 
Mallinckrodt International Finance   225,074    3.5000   3/20/2021   222,635 
MJ Acquisition Corp.   230,260    4.0004   5/31/2022   229,397 
MPH Acquisition Holdings LLC   245,417    3.7500   4/1/2021   244,711 

 

See accompanying notes to financial statements.

4

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

Dunham Floating Rate Bond Fund (Continued)

April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
HEALTHCARE (Continued) - 16.7%                  
National Mentor Holdings, Inc.  $266,797    4.2500%  2/1/2021  $266,397 
National Surgical Hospitals Inc.   117,115    4.5000   5/31/2022   116,676 
NBTY, Inc.   56,000    5.0000   4/26/2023   56,251 
NVA Holdings, Inc.   92,000    8.0000   8/14/2022   90,006 
NVA Holdings, Inc.   115,000    5.5000   8/14/2021   115,431 
Onex Schumacher Finance LP   223,875    5.0000   7/28/2022   223,409 
Ortho-Clinical Diag Holdings   335,878    4.7500   6/30/2021   318,934 
Pharmaceutical Product Development   294,335    4.2500   8/18/2022   294,275 
PRA Holdings, Inc.   367,438    4.5000   9/24/2020   369,826 
Quintiles Transnational Corp.   122,078    3.2500   5/12/2022   122,535 
Quorum Health Corp.   226,000    6.7500   4/12/2022   226,318 
RegionalCare Hospital Partners   313,762    6.7500   4/23/2019   314,351 
RPI Finance Trust   296,992    3.5000   11/8/2020   298,755 
Select Medical Corp.   255,000    6.0000   3/4/2021   256,275 
Sterigenics-Nordion Holdings LLC   119,400    4.2500   5/16/2022   119,400 
Surgery Center Holdings, Inc.   46,412    5.2500   11/4/2020   46,572 
Surgery Center Holdings, Inc.   164,000    5.2500   11/4/2020   164,564 
Surgical Care Affiliates LLC   270,776    4.2500   3/16/2022   271,115 
Team Health, Inc.   243,390    4.5000   11/24/2022   245,520 
US Renal Care, Inc.   354,113    5.2500   12/30/2022   355,497 
Valeant Pharmaceuticals International   296,703    4.7500   8/4/2020   292,359 
Valeant Pharmaceuticals International   409,899    5.0000   3/31/2022   397,250 
Valeant Pharmaceuticals International   654,744    4.5000   2/12/2019   637,286 
                 14,546,478 
INDUSTRIALS - 12.3%                  
Air Canada   400,905    4.0000   9/26/2019   403,244 
Allied Security Holdings LLC   302,473    4.2500   2/12/2021   300,583 
Allied Security Holdings LLC   38,479    8.0000   8/12/2021   37,686 
American Airlines, Inc.   436,545    3.2500   6/28/2020   434,910 
American Airlines, Inc.   89,000    3.5000   4/28/2023   88,722 
Brickman Group Holdings, Inc.   491,179    4.0000   12/18/2020   489,134 
Brickman Group Holdings, Inc.   249,000    7.5000   12/16/2021   244,954 
Brock Holdings III, Inc.   214,562    6.0000   3/16/2017   208,393 
Builders FirstSource, Inc.   271,749    6.0000   7/28/2022   272,258 
DynCorp International, Inc.   227,868    6.2500   7/8/2016   221,602 
Filtration Group, Inc.   20,950    8.2500   11/22/2021   20,701 
Filtration Group, Inc.   162,260    4.2500   11/24/2020   162,178 
Gardner Denver, Inc.   265,000    4.2500   7/30/2020   248,619 
Harland Clarke Holdings Corp.   173,518    7.0000   5/22/2018   172,087 
Harland Clarke Holdings Corp.   65,119    6.0000   8/4/2019   64,012 
HD Supply, Inc.   546,691    3.7500   8/12/2021   547,990 
Headwaters, Inc.   422,660    4.5000   3/24/2022   425,830 
Husky Injection Molding   171,490    4.2500   6/30/2021   170,704 
McJunkin Red Man Corp.   139,284    4.7500   11/8/2019   135,918 
Navistar, Inc.   61,845    6.5000   8/8/2020   58,598 
Nortek, Inc.   606,433    3.5000   10/30/2020   597,588 
PQ Corp.   93,000    5.7500   10/28/2022   93,614 
Prime Security Services   39,000    5.5000   5/2/2022   39,225 
Quikrete Co, Inc.   384,342    4.0000   9/28/2020   384,583 
Rexnord LLC   655,325    4.0000   8/20/2020   652,846 
Science Applications International   308,130    3.7500   5/4/2022   309,672 
Sedgwick, Inc.   677,102    3.7500   2/28/2021   666,665 
Sedgwick, Inc.   195,000    6.7500   2/28/2022   186,225 
SiteOne Landscape Supply Holdings   176,000    6.5000   4/28/2022   176,660 
Spin Holdco, Inc.   283,261    4.2500   11/14/2019   278,421 
TransDigm, Inc.   815,831    3.7500   2/28/2020   816,340 

 

See accompanying notes to financial statements.

5

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

Dunham Floating Rate Bond Fund (Continued)

April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
INDUSTRIALS (Continued) - 12.3%                  
TransDigm, Inc.  $81,547    3.7500%  6/4/2021  $81,267 
TransDigm, Inc.   396,192    3.5000   5/16/2022   392,797 
United Airlines, Inc.   518,409    3.5000   9/16/2021   519,612 
US Airways, Inc.   504,700    3.5000   5/24/2019   505,490 
Waste Industries USA, Inc.   294,629    4.2500   2/28/2020   295,917 
                 10,705,045 
INFORMATION TECHNOLOGY - 8.9%                  
Allflex Holdings III, Inc.   282,750    4.2500   7/16/2020   282,220 
Applied Systems, Inc.   221,058    4.2605   1/24/2021   219,037 
Applied Systems, Inc.   158,197    7.5000   1/24/2022   157,878 
Avago Technologies Cayman Ltd.   705,000    4.2500   1/31/2023   706,449 
Blue Coat Systems, Inc.   263,340    4.5000   5/20/2022   262,462 
CCC Holdings,, Inc.   335,409    4.0000   12/20/2019   334,152 
CDW LLC   1,062,140    3.2500   4/28/2020   1,063,287 
Deltek, Inc.   126,852    5.0000   6/24/2022   127,328 
Deltek, Inc.   94,000    9.5000   6/26/2023   93,530 
Ensemble S Merger Sub, Inc.   318,400    4.7500   9/30/2022   318,333 
First Data Corp.   198,000    4.3839   7/8/2022   198,421 
First Data Corp.   1,209,841    4.6339   3/24/2021   1,214,626 
Infinity Acquisition, LLC   305,982    4.0000   8/6/2021   292,787 
Infor US, Inc.   243,327    3.7500   6/4/2020   239,069 
Infor US, Inc.   306,676    3.7500   6/4/2020   300,288 
Mitchell International, Inc.   369,375    4.5000   10/12/2020   368,220 
Mitchell International, Inc.   221,000    8.5000   10/12/2021   206,083 
MKS Instruments, Inc.   91,000    4.7500   4/30/2023   91,417 
NXP BV   237,405    3.7500   12/8/2020   238,414 
ON Semiconductor Corp.   139,000    5.2500   4/1/2023   139,840 
Presidio, Inc.   202,554    5.2500   2/2/2022   201,896 
SS&C European Holdings SARL   25,225    3.3866   7/8/2020   25,036 
SS&C European Holdings SARL   39,125    3.3866   7/8/2020   38,831 
SS&C Technologies, Inc.   277,489    4.0000   7/8/2022   278,790 
SS&C Technologies, Inc.   40,224    4.0000   7/8/2022   40,412 
Western Digital Corp.   290,000    6.2500   4/28/2023   283,656 
                 7,722,462 
MATERIALS- 7.3%                  
American Builders & Contractor Supply Co., Inc.   553,612    3.5000   4/16/2020   555,549 
Anchor Glass Container Corp.   428,352    4.2500   6/30/2022   430,094 
Ardagh Holdings USA, Inc.   260,513    4.0000   12/16/2019   260,553 
Berlin Packaging LLC   291,062    4.5000   9/30/2021   291,971 
Berry Plastics Corp.   147,971    4.0000   10/4/2022   152,474 
Berry Plastics Group, Inc.   238,843    3.5000   2/8/2020   239,132 
Berry Plastics Group, Inc.   417,784    3.7500   1/6/2021   414,999 
CPG International, Inc.   277,863    4.7500   9/30/2020   276,821 
Fortescue Metals Group Ltd   700,929    4.2500   6/30/2019   662,476 
Huntsman International LLC   485,870    3.7500   9/30/2021   487,896 
Huntsman International LLC   112,000    4.2500   3/31/2023   112,911 
Ineos Group Holdings Ltd   625,220    3.7500   12/16/2020   620,140 
Ineos US Finance LLC   395,702    4.2500   4/1/2022   394,220 
Owens-Brockway Glass Container   286,870    3.5000   8/31/2022   287,825 
Royal Holdings, Inc./IN   236,215    4.5000   6/20/2022   234,850 

 

See accompanying notes to financial statements.

6

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

Dunham Floating Rate Bond Fund (Continued)

April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
MATERIALS (Continued) - 7.3%                  
Solenis International LP  $153,660    4.2500%  8/1/2021  $152,508 
Summit Materials   390,053    4.0000   7/18/2022   390,499 
Univar, Inc.   300,490    4.2500   6/30/2022   297,646 
WR Grace & Co   111,773    2.7500   2/4/2021   111,513 
                 6,374,077 
TELECOMMUNICATION SERVICES - 4.2%                  
Global Tel*Link Corp.   302,023    5.0000   5/24/2020   282,344 
Level 3 Financing Inc   355,000    4.0000   1/16/2020   356,731 
Level 3 Financing, Inc.   986,000    3.5000   6/1/2022   988,204 
Sable International Finance Lt   165,550    5.5000   12/2/2022   166,533 
Sable International Finance Lt   135,450    5.5000   12/2/2022   136,254 
SBA Senior Finance II LLC   210,255    3.2500   3/24/2021   210,367 
SBA Senior Finance II LLC   159,793    3.2500   6/10/2022   159,464 
Securus Technologies Holdings   141,376    4.7500   4/30/2020   134,859 
Securus Technologies Holdings   84,788    5.2500   4/30/2020   80,880 
T-Mobile USA, Inc.   199,500    3.5000   11/8/2022   200,947 
Virgin Media Investment Holdings   445,962    3.6519   6/30/2023   445,683 
West Corporation   232,707    3.2500   6/30/2018   231,601 
XO Communications LLC   259,700    4.2500   3/20/2021   259,917 
                 3,653,784 
UTILITIES - 3.4%                  
APLP Holdings LP   445,000    6.0000   4/12/2023   443,888 
Calpine Construction Finance Co., LP   470,708    3.0000   5/4/2020   465,120 
Calpine Construction Finance Co., LP   258,836    3.2500   2/1/2022   256,138 
Calpine Corp.   230,673    4.0000   10/8/2019   231,366 
Calpine Corp.   618,328    3.5000   5/28/2022   615,953 
NRG Energy, Inc.   723,690    2.7500   6/30/2018   723,173 
Texas Comp Elec Hold LLC   635,000    5.1291   10/10/2017   218,048 
                 2,953,686 
                   
TOTAL BANK LOANS (Cost - $81,956,720)                80,553,296 
                   
BONDS & NOTES - 4.6%                  
AIRLINES - 0.2%                  
Air Canada - 144A   75,000    6.7500   10/1/2019   78,750 
American Airlines Group, Inc. - 144A   45,000    4.6250   3/1/2020   44,381 
                 123,131 
BUILDING MATERIALS - 0.0%                  
Standard Industries, Inc./NJ - 144A   5,000    5.1250   2/15/2021   5,225 
                   
CHEMICALS - 0.1%                  
Hexion, Inc.   150,000    6.6250   4/15/2020   126,375 
                   
DIVERSIFIED FINANCIAL SERVICES - 0.5%                  
Ally Financial, Inc.   80,000    3.2500   2/13/2018   80,200 
Ally Financial, Inc.   50,000    4.1250   2/13/2022   50,875 
International Lease Finance Corp   120,000    3.8750   4/15/2018   122,100 
Springleaf Finance Corp.   170,000    5.2500   12/15/2019   161,925 
                 415,100 
ELECTRIC - 0.1%                  
Talen Energy Supply LLC   100,000    4.6250   7/15/2019   93,500 
                   
ENTERTAINMENT - 0.1%                  
GLP Capital LP   50,000    4.8750   11/1/2020   53,000 
GLP Capital LP .   10,000    4.3750   4/15/2021   10,250 
                 63,250 
FOOD - 0.1%                  
Dole Food Co., Inc. - 144A   70,000    7.2500   5/1/2019   70,525 

 

See accompanying notes to financial statements.

7

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

Dunham Floating Rate Bond Fund (Continued)

April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
HEALTHCARE-PRODUCTS - 0.8%                  
Kinetic Concepts, Inc. - 144A  $10,000    7.8750%  2/15/2021  $10,838 
Centene Corp. - 144A   75,000    5.6250   2/15/2021   79,125 
CHS/Community Health Systems, Inc.   75,000    5.1250   8/15/2018   76,125 
HCA, Inc.   200,000    3.7500   3/15/2019   206,000 
Surgery Center Holdings, Inc. - 144A   130,000    8.8750   4/15/2021   130,325 
Tenet Healthcare Corp. - 144A   25,000    5.0000   3/1/2019   24,875 
Tenet Healthcare Corp.   75,000    6.0000   10/1/2020   79,875 
Tenet Healthcare Corp.   80,000    3.7841   6/15/2020   80,500 
                 687,663 
HOLDING COMPANIES - DIVERSIFICATION - 0.2%                  
Argos Merger Sub, Inc. - 144A ^   140,000    7.1250   3/15/2023   143,500 
                   
HOME BUILDERS - 0.1%                  
TRI Pointe Group, Inc.   70,000    4.3750   6/15/2019   70,525 
                   
LODGING - 0.0%                  
Boyd Gaming Corp.   40,000    6.8750   5/15/2023   41,700 
                   
MEDIA - 1.1%                  
Altice Financing SA - 144A   200,000    6.6250   2/15/2023   198,510 
CCO Safari II LLC - 144A   300,000    3.5790   7/23/2020   311,658 
Cequel Capital Corp - 144A   50,000    6.3750   9/15/2020   51,377 
iHeartCommunications, Inc.   95,000    9.0000   12/15/2019   73,981 
Numericable-SFR SA - 144A   200,000    6.0000   5/15/2022   201,010 
RCN Telecom Services LLC - 144A   110,000    8.5000   8/15/2020   111,788 
                 948,324 
MINING - 0.1%                  
Vedanta Resources PLC - 144A   100,000    9.5000   7/18/2018   93,750 
                   
OIL & GAS SERVICES - 0.1%                  
FTS International, Inc. - 144A   50,000    6.2500   5/1/2022   8,025 
FTS International, Inc.   120,000    8.1182   6/15/2020   87,643 
                 95,668 
PACKAGING & CONTAINERS - 0.4%                  
Ardagh Holdings USA, Inc. - 144A   200,000    6.2500   1/31/2019   205,500 
Beverage Packaging Holdings Luxembourg II SA - 144A   130,000    6.0000   6/15/2017   129,838 
Reynolds Group Issuer, Inc. ^   50,000    5.7500   10/15/2020   52,000 
                 387,338 
PHARMACEUTICALS - 0.2%                  
Capsugel SA - 144A   19,000    7.0000   5/15/2019   19,143 
Quintiles Transnational Corp. - 144A   40,000    4.8750   5/15/2023   41,150 
Valeant Pharmaceuticals International, Inc   70,000    5.3750   3/15/2020   62,344 
                 122,637 
PRIVATE EQUITY - 0.0%                  
Icahn Enterprises LP   10,000    4.8750   3/15/2019   9,975 
                   
REITS - 0.2%                  
iStar, Financial, Inc.   30,000    4.8750   7/1/2018   29,362 
iStar, Financial, Inc.   60,000    5.0000   7/1/2019   58,500 
iStar, Financial, Inc.   100,000    4.0000   11/1/2017   99,000 
                 186,862 
SOFTWARE - 0.1%                  
First Data Corp. - 144A   90,000    5.0000   1/15/2024   91,238 
First Data Corp. - 144A   25,000    5.7500   1/15/2024   25,469 
                 116,707 

 

See accompanying notes to financial statements.

8

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

Dunham Floating Rate Bond Fund (Continued)

April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
TELECOMMUNICATIONS - 0.2%                  
Frontier Communications Corp.  $155,000    6.2500%  9/15/2021  $144,924 
Intelsat Jackson Holdings SA   85,000    6.6250   12/15/2022   55,355 
                 200,279 
                   
TOTAL BONDS & NOTES (Cost - $4,153,334)                4,002,034 
                   
ASSET BACKED SECURITIES - 1.6%                  
Drive Auto Receivables Trust 2016-A   250,000    2.1100   5/15/2019   251,375 
Flagship Credit Auto Trust 2016-1   281,227    2.7700   12/15/2020   282,448 
Hertz Vehicle Financing LLC 2016-1   250,000    2.3200   3/25/2020   250,214 
Home Equity Loan Trust 2007-HSA3   125,083    6.1100   6/25/2037   123,263 
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP10   192,000    5.4640   1/15/2049   189,587 
OneMain Financial Issuance Trust 2015-1   250,000    3.1900   3/18/2026   250,916 
                   
TOTAL ASSET BACKED SECURITIES (Cost - $1,345,176)                1,347,803 
                   
   Shares              
SHORT-TERM INVESTMENT - 3.6%                  
MONEY MARKET FUND - 3.6%                  
Fidelity Institutional Money Market Funds - Government Portfolio   3,122,938    0.0100 +      3,122,938 
TOTAL SHORT-TERM INVESTMENT - (Cost - $3,122,938)                  
                   
COLLATERAL FOR SECURITIES LOANED - 0.1%                  
Mount Vernon Prime Portfolio + (Cost - $105,750)   105,750    0.51%      105,750 
                   
TOTAL INVESTMENTS - 102.6% (Cost - $90,683,918)               $89,131,821 
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.6)%                (2,226,757)
NET ASSETS - 100.0%               $86,905,064 

 

REITS - Real Estate Investment Trusts.

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $103,583 at April 30, 2016.

 

+Variable rate security. Interest rate is as of April 30, 2016.

 

*Defaulted 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.

 

Portfolio Composition * - (Unaudited)
Bank Loans   90.4%  Diversified Financial Services   0.5%
Asset Backed Securities   3.5%  Packaging & Containers   0.4%
Short-Term Investment   1.5%  Pharmaceuticals   0.2%
Media   1.1%  Telecommunications   0.2%
Healthcare-Products   0.8%  Other **   1.4%
        Total   100.0%

 

*Based on total value of investments as of April 30, 2016.

 

**Groupings less than 0.20% of holdings.

 

Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes to financial statements.

9

 

Dunham Monthly Distribution Fund

Message from the Sub-Adviser (Westchester Capital Management, LLC)

 

While “higher” market volatility has been a prominent theme across the past few periods, there have been relatively short periods that have experienced significant spikes. For example, market volatility, as measured by the CBOE Volatility Index (“VIX”) ended the first three months of the six-month period 34 percent higher than it began. At one point during this period, the VIX nearly doubled, while equity market prices widely tumbled. Generally, large increases in the VIX coincide with sizeable declines in the equity markets. Equity markets rallied during the fourth and fifth months of the six-month period as volatility generally subsided. The VIX decreased 30.9 percent over this time period. In the final month of the six-month period ended April 30, 2016, the VIX spiked once again, albeit less than the previous spike. The VIX increased 12.5 percent in the month of April. After the higher volatility levels during the first three months generally continued to result in investors attempting to reduce risk and making indiscriminate sell decisions, the decrease in volatility in the most recent fiscal quarter may have increased investor optimism. Event-driven strategies, as measured by the Credit Suisse Event Driven Index, decreased 2.3 percent, while market-neutral strategies, as measured by the IQ Hedge Market Neutral Beta Index, increased 1.5 percent.

 

Similar to the previous periods, merger arbitrage strategies, as measured by the Credit Suisse Merger Arbitrage Index, provided a slight positive contribution to absolute performance during the final three months of the six-month fiscal period. Merger arbitrage strategies increased 1.0 percent in this period and increased 0.6 percent in the first three months of the fiscal six-month period. Although the broad merger arbitrage space experienced a slight positive return, many merger spreads saw significant widening during the period. However, deals continued to close during this volatility. For example, the cash and stock acquisition of Jarden Corporation (JAH) (holding percentage*: 3.59 percent) by Newell Rubbermaid Inc. (NWL) (holding percentage*: -0.76 percent) began the most recent fiscal quarter with a 2.6 percent spread and completed towards the end of the six-month period. These significant spreads on deals that ultimately proved to successfully close helps to illustrate how this ongoing volatility significantly impacted deal spreads within the event driven space.

 

As volatility peaked during the first three months of the period, many deal spreads widened substantially. For example, the cash and stock acquisition of Baker Hughes Inc. (BHI) (holding percentage**: 0.06 percent) by Halliburton Co. (HAL) (holding percentage**: -0.03 percent) continued to experience its deal spread widen. At the start of the period, the spread stood at 17.7 percent and by the end of the first three months, it had widened further to a spread of 25.5 percent. Even though volatility generally subsided, the spread did not improve during the final three months. The deal completion date was pushed back to midsummer due regulatory request from the U.S. government and European Commission. The Sub-Adviser believed the risk present in the position no longer warranted a place in the Fund and sold out of the position on March 3, 2016. The Justice Department denied the approval of this acquisition on April 6, 2016. Conversely, as volatility generally subsided during the final three months of the fiscal period many spreads tightened. The cash and stock acquisition of Time Warner Cable Inc. (TWC) (holding percentage*: 1.31 percent) by Charter Communications, Inc. (CHTR) (holding percentage*: -2.84 percent) saw its deal spread tighten from 7.3 percent at the end of October to slightly less than 1.2 percent at the end of April.

 

The Sub-Adviser generally implements risk-reversals, a risk-management technique using call and put options, on event-driven opportunities outside of the merger arbitrage strategy. The Sub-Adviser does this in order to help keep the risk within what it believes are acceptable bounds. A special situation event example that has spanned multiple periods included Hertz Global Holdings, Inc.’s (HTZ) (holding percentage*: 2.09 percent) spin-off of its equipment rental business. In this particular example, HTZ experienced a substantial decline during the first three months of the six-month period, primarily due to concerns over the company’s leverage and its growing competition from smart-phone oriented ride-hailing companies. However, the Sub-Adviser’s implementation of the risk reversals during this time served well to offset a meaningful amount of the downturn. The risk reversal detracted slightly in the final three months of the period as HTZ increased 2.0 percent. During the six-month period, buy/write strategies, as measured by the CBOE S&P 500 Buy/Write Index, declined 0.6 percent. The difference in utilizing a risk-reversal instead of a buy/write strategy is that it uses the majority of the proceeds of the written call to purchase protective put options. Therefore, in the declining periods during the first three months of the period, the risk-reversal generally helped to reduce the downside (leaving less to be recovered).

 

The Sub-Adviser continued to maintain a small position in credit opportunities during the most recent six-month period. Similar to the prior fiscal period, the strategy as a whole generally contributed positively to Fund performance during the most recent six-month period. During this period, corporate bonds in general, as measured by the Bank of America Merrill Lynch Corporate Bond Master Index, increased 4.2 percent. Fund holdings such as the corporate bond issued by U.S. Foods Inc. (90290MAA9) (holding percentage*: 1.20 percent) aided positive performance. The U.S Foods Inc. bond price increased 3.6 percent over the fiscal period.

 

The Sub-Adviser believes that the increased volatility across the markets has generally increased the potential rewards from many of these event-driven opportunities. However, while the core tenets for many of these events have not substantially changed, the Sub-Adviser is optimistic that the overall risk-reward profile has improved. The Sub-Adviser continues to implement its disciplined risk controls while taking advantage of these perceived opportunities going forward.

 

*Holdings percentage(s) as of 4/30/2016.

 

**Holdings percentage(s) as of the date prior to the sale of the security.

 

 

Growth of $10,000 Investment - (Unaudited)

 

(LINE GRAPH)

 

Total Returns as of April 30, 2016

 

  Six   Annualized Annualized Annualized Since
  Months One Year Three Years Five Years Inception (8/1/08)*
Class N (0.32)% (4.40)% 0.92% 2.51% 4.06%**
Class C (0.86)% (5.40)% (0.09)% 1.48% 2.04%
Class A with load of 5.75% (6.15)% (10.13)% (1.30)% 1.04% (0.40)%
Class A without load (0.44)% (4.65)% 0.66% 2.25% 2.82%
IQ Hedge Market Neutral Beta Index (0.88)% 1.88% 2.44% 1.52% 2.50%
Morningstar Multialternative Category (2.12)% (4.82)% (0.18)% (0.14)% 0.37%

 

*Westchester Capital Management, Inc. was named Sub-Adviser to the Fund on August 1, 2008. Prior to August 1, 2008, the Fund was named Kelmoore Strategy Liberty Fund and was managed under a different adviser.

 

**Class N commenced operations on September 29, 2008.

 

IQ Hedge Market Neutral Beta Index is a benchmark index designed to replicate the risk-adjusted return characteristics of the collective hedge funds using a market neutral investment style. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Multialternative Category is generally representative of mutual funds with static allocations to alternative strategies and mutual funds that tactically allocate among alternative strategies and asset classes. The gross short exposure in these mutual funds is generally greater than 20%.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses before any fee waiver, including the cost of underlying funds, are 2.11% for Class N, 3.11% for Class C and 2.36% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

10

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

Dunham Monthly Distribution Fund

April 30, 2016

 

Security  Shares       Value 
COMMON STOCK - 84.3%               
AIRLINES - 0.0%               
American Airlines Group, Inc.   101,283        $84,065 
                
AUTO MANUFACTURERS - 0.9%               
General Motors Co.   72,000         2,289,600 
                
BUILDING MATERIALS - 2.0%               
West China Cement Ltd.   24,035,911         5,081,784 
                
CHEMICALS - 12.0%               
Airgas, Inc. #   63,076         8,984,545 
Dow Chemical Co. #   88,648         4,663,771 
EI du Pont de Nemours & Co. #   105,752         6,970,114 
Syngenta AG - ADR   37,350         3,009,290 
Valspar Corp. #   57,909         6,178,311 
              29,806,031 
COMMERCIAL SERVICES - 3.8%               
ADT Corp.   102,413         4,299,298 
Global Payments, Inc.   89         6,419 
Hertz Global Holdings, Inc. #   561,800         5,202,268 
SFX Entertainment, Inc. #   536,171         13,404 
              9,521,389 
COMPUTERS - 6.1%               
EMC Corp./MA #   417,394         10,898,157 
SanDisk Corp. #   56,155         4,218,925 
              15,117,082 
DISTRIBUTION / WHOLESALE - 3.3%               
Ingram Micro, Inc. #   233,589         8,163,936 
                
ELECTRONICS - 2.9%               
Tyco International PLC #   188,088         7,245,150 
                
ENVIRONMENTAL CONTROL - 0.4%               
Progressive Waste Solutions Ltd.   31,774         1,023,441 
                
FOOD - 2.6%               
ConAgra Foods, Inc. #   143,000         6,372,080 
                
HEALTHCARE-PRODUCTS - 3.0%               
Alere, Inc. #   110,629         4,314,531 
Baxter International, Inc.   44,800         1,981,056 
St Jude Medical, Inc.   16,162         1,231,544 
              7,527,131 
HEALTHCARE-SERVICES - 2.6%               
Centene Corp.   1         57 
Humana, Inc. #   36,997         6,551,059 
              6,551,116 
HOLDING COMPANIES-DIVERSIFICATION - 0.9%               
Hennessy Capital Acquisition Corp. II   104,074         1,027,210 
Pacific Special Acquisition Corp.   105,552         1,062,909 
              2,090,119 
HOUSEHOLD PRODUCTS / WARES - 3.5%               
Jarden Corp.   148,157         8,736,818 
                
INSURANCE - 0.3%               
American International Group, Inc.   13,200         736,824 

 

See accompanying notes to financial statements.

11

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

Dunham Monthly Distribution Fund (Continued)

April 30, 2016

 

Security  Shares       Value 
INTERNET - 4.7%               
Qihoo 360 Technology Co., Ltd. #   16,319        $1,239,265 
Yahoo!, Inc. #   288,544         10,560,710 
              11,799,975 
LODGING - 9.0%               
Hilton Worldwide Holdings, Inc.   118,800         2,619,540 
MGM Resorts International   239,000         5,090,700 
Starwood Hotels & Resorts Worldwide, Inc. #   178,867         14,645,630 
              22,355,870 
MEDIA - 8.5%               
Cablevision Systems Corp. #   97,079         3,241,468 
CBS Corp. #   74,139         4,145,111 
Liberty Braves Group   21,240         332,198 
Liberty Media Group   53,100         971,744 
Liberty SiriusXM Group   212,403         6,960,446 
Markit Ltd. #   12,422         433,404 
Media General, Inc. #   107,359         1,860,531 
Time Warner Cable, Inc.   15,353         3,256,525 
              21,201,427 
MINING - 1.3%               
Alcoa, Inc.   292,000         3,261,640 
Freeport-McMoRan, Inc.   1         14 
              3,261,654 
MISCELLANEOUS MANUFACTURING - 1.7%               
General Electric Co. #   136,300         4,191,225 
                
OIL & GAS - 1.0%               
Northern Tier Energy LP #   109,406         2,499,927 
                
PHARMACEUTICALS - 4.1%               
Allergan PLC #   135         29,236 
Baxalta, Inc. #   216,379         9,077,099 
Mylan NV   463         19,312 
Pfizer, Inc. #   35,600         1,164,476 
              10,290,123 
PIPELINES - 0.3%               
Williams Cos, Inc. #   41,925         812,926 
                
REITS - 3.6%               
Blackstone Mortgage Trust, Inc. #   4,944         135,862 
CYS Investments, Inc.   9,500         77,046 
NorthStar Realty Finance Corp. #   118,000         1,509,220 
Starwood Property Trust, Inc. #   247,078         4,783,430 
Wheeler Real Estate Investment Trust, Inc.   850,746         1,199,552 
Winthrop Realty Trust #   102,617         1,305,288 
              9,010,398 
RETAIL - 0.0%               
Restaurant Brands International, Inc.   1         43 
                
SAVINGS & LOANS - 1.7%               
First Niagara Financial Group, Inc. #   406,657         4,294,298 
                
SEMICONDUCTORS - 3.9%               
KLA-Tencor Corp. #   137,343         9,605,769 
Microchip Technology, Inc.   2         97 
              9,605,866 
TELECOMMUNICATIONS - 0.2%               
T-Mobile US, Inc.   15,190         596,663 
                
TOTAL COMMON STOCK (Cost - $221,693,465)             210,266,961 

 

See accompanying notes to financial statements.

12

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

Dunham Monthly Distribution Fund (Continued)

April 30, 2016

 

Security      Shares      Value 
RIGHTS - 0.0%                  
Leap Wireless International, Inc. *        4,071      $13,231 
Pacific Special Acquisition Corp.        105,552       17,727 
Safeway Casa Ley CVR *        90,955       4,548 
Safeway PDC, LLC CVR *        90,955       40,930 
TOTAL RIGHTS (Cost - $125,879)                76,436 
                   
WARRANTS - 0.0%                  
Hennessy Capital Acquisition Corp. II        104,074       29,141 
Pacific Special Acquisition Corp.        105,552       9,500 
TOTAL WARRANTS (Cost - $32,028)                38,641 
                   
CLOSED-END FUNDS - 3.9%                  
BlackRock Floating Rate Income Strategies Fund, Inc.        103,341       1,368,235 
DoubleLine Income Solutions Fund #        73,612       1,295,571 
Eaton Vance Floating-Rate Income Trust        104,551       1,376,937 
First Trust Senior Floating Rate Income Fund II ^        67,775       869,553 
Invesco Senior Income Trust #        703,160       2,868,893 
Voya Prime Rate Trust #        275,084       1,389,174 
Western Asset High Income Opportunity Fund, Inc.        106,644       506,559 
TOTAL CLOSED-END FUNDS (Cost - $9,913,936)                9,674,922 
                   
        Dividend         
   Shares   Rate         
PREFERRED STOCK - 2.3%                  
DIVERSIFIED FINANCIAL SERVICES - 0.8%                  
Kinder Morgan GP, Inc. - 144A #   2,000    4.5157%      1,825,000 
                   
REAL ESTATE INVESTMENT TRUSTS - 1.5%                  
Equity CommonWealth #   150,000    7.2500       3,750,000 
                   
TOTAL PREFERRED STOCK (Cost - $5,739,425)                5,575,000 
                   
   Principal   Interest   Maturity     
  Amount   Rate   Date     
BONDS & NOTES - 4.9%                
COMMERCIAL SERVICES - 0.8%                  
ADT Corp.  $1,834,000    4.125%  4/15/2019   1,969,258 
                   
ENGINEERING & CONSTRUCTION - 0.1%                  
Aeropuertos Dominicanos Siglo XXI SA   192,000    9.2500   11/13/2019   204,960 
                   
ELECTRIC - 2.0%                  
Energy Future Intermediate Holding Co. LLC - 144A   4,761,350    11.7500   3/1/2022   5,106,548 
                   
MEDIA - 0.8%                  
LIN Television Corp.   2,000,000    5.8750   11/15/2022   2,050,000 
                   
FOOD - 1.2%                  
US Foods, Inc.   2,887,000    8.5000   6/30/2019   2,973,610 
                   
TOTAL BONDS & NOTES (Cost - $12,495,890)                12,304,376 
                   
             Contracts**  Value 
PURCHASED PUT OPTIONS - 0.9%                  
Alcoa Inc, Expiration June 2016, Exercise Price $6            2,374   2,374 
Alcoa Inc., Expiration May 2016, Exercise Price $7            546   540 
Allergan Public, Expiration May 2016, Exercise Price $240            31   77,500 
American Intl Group, Expiration May 2016, Exercise Price $47.5            125   1,187 
AIG, Expiration June 2016, Exercise Price $45            211   3,165 
AIG, Expiration June 2016, Exercise Price $50            274   11,371 
BAX, Expiration August 2016, Exercise Price $55            448   504,000 
BAY, Expiration June 2016, Exercise Price $92            196   40,173 
CAG, Expiration June 2016, Exercise Price $40            1,430   35,750 
CBS Corp, Expiration June 2016, Exercise Price $40            741   12,228 
Dow Chemical Co., Expiration June 2016, Exercise Price $43            1,356   16,273 
VIVENDI, Expiration June 2016, Exercise Price $15            1,259   34,599 
General Electric Co., Expiration May 2016, Exercise Price $28            1,227   3,069 

 

See accompanying notes to financial statements.

13

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

Dunham Monthly Distribution Fund (Continued)

April 30, 2016

 

Security          Contracts**  Value 
PURCHASED PUT OPTIONS - 0.9% (Continued)                  
General Motors Co., Expiration June 2016, Exercise Price $27            1,438  $24,446 
HLT, Expiration July 2016, Exercise Price $19            1,188   32,670 
Starwood Hotels & Resorts Worldwide, Inc., Expiration May 2016, Exercise Price $55            283   284 
HTZ, Expiration June 2016, Exercise Price $8            5,182   168,415 
Huntsman Corp, Expiration May 2016, Exercise Price $8            447   1,342 
iShares iBoxx High Yield, Expiration June 2016, Exercise Price $75            263   2,630 
iShares iBoxx High Yield, Expiration June 2016, Exercise Price $77            520   7,280 
MGM, Expiration June 2016, Exercise Price $16            2,390   22,705 
NRF, Expiration June 2016, Exercise Price $12            1,180   76,700 
Pfizer, Expiration June 2016, Exercise Price $27            267   1,335 
SPY, Expiration May 2016, Exercise Price $206            105   26,040 
SPY, Expiration June 2016, Exercise Price $184            210   24,360 
SPY, Expiration May 2016, Exercise Price $204            610   116,510 
SPY, Expiration June 2016, Exercise Price $204            210   94,710 
T-Mobile, Inc., Expiration May 2016, Exercise Price $31            1,167   12,837 
Vmware, Inc., Expiration September 2016, Exercise Price $95            290   1,133,900 
TOTAL PURCHASED PUT OPTIONS (Cost - $3,473,288)                2,488,393 
                   
SHORT-TERM INVESTMENT - 11.9%            Interest     
MONEY MARKET FUND - 11.9%  Shares        Rate  Value 
First American Government Obligations Fund   29,646,669        0.21%+ $29,646,669 
TOTAL SHORT-TERM INVESTMENT (Cost - $29,646,669)                  
                   
COLLATERAL FOR SECURITIES LOANED - 3.7%                  
Mount Vernon Prime Portfolio + (Cost - $9,209,035)   9,209,035        0.51%+  9,209,035 
                   
TOTAL INVESTMENTS - 111.9% (Cost - $292,329,615)               $279,280,433 
LIABILITIES IN EXCESS OF OTHER ASSETS - (11.9)%                (29,827,617)
NET ASSETS - 100.0%               $249,452,816 

 

*Non-Income producing security.

 

**Each Purchased Option contract allows the Fund to sell 100 shares of the underlying security at the exercise price.

 

***Issuer in default on interest payments, non-interest producing security.

 

REITS - Real Estate Investment Trusts

 

ADR- American Depositary Receipt.

 

+Variable rate security. Interest rate is as of April 30, 2016.

 

++Each Written Call/Put Option contract allows the holder to purchase/sell 100 shares of the underlying security from/to the Fund at the stated exercise price.

 

+++Less than one share

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $8,949,290 at April 30, 2016.

 

#All or a portion of the security is segregated as collateral for securities sold short and/or options purchased/written at April 30, 2016. Total collateral had a value of $49,627,303 at April 30, 2016.

 

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.

 

Security  Contracts ++   Value 
WRITTEN CALL OPTIONS - (2.5)%          
Alcoa Inc., Expiration June 2016, Exercise Price $8   546   $170,352 
Alcoa Inc., Expiration May 2016, Exercise Price $8   2,374    759,680 
Allergan, Expiration May 2016, Exercise Price $265   8    64 
Allergan, Expiration May 2016, Exercise Price $275   57    570 
American Intl Group, Expiration May 2016, Exercise Price $45   421    151,560 
American Intl Group, Expiration May 2016, Exercise Price $55   125    27,125 
AIG, Expiration June 2016, Exercise Price $52.5   307    336,933 
AIG, Expiration June 2016, Exercise Price $55   260    48,620 
Alere Inc, Expiration May 2016, Exercise Price $60   51    255 
BAX, Expiration August 2016, Exercise Price $55   448    2,688 

 

See accompanying notes to financial statements.

14

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

Dunham Monthly Distribution Fund (Continued)

April 30, 2016

 

Security  Contracts ++   Value 
WRITTEN CALL OPTIONS (Continued) - (2.5)%          
CAG, Expiration June 2016, Exercise Price $44   867   $130,050 
CAG, Expiration June 2016, Exercise Price $45   563    56,300 
CBS Corp, Expiration June 2016, Exercise Price $50   741    463,125 
Dow Chemical, Expiration June 2016, Exercise Price $48   1,507    768,570 
General Electric Co., Expiration May 2016, Exercise Price $30   1,363    122,670 
General Motors Co., Expiration June 2016, Exercise Price $33   62    1,674 
GM, Expiration June 2016, Exercise Price $34   2,187    102,789 
HLT, Expiration July 2016, Exercise Price $21   1,188    204,930 
Starwood Hotels & Resorts Worldwide, Inc., Expiration May 2016, Exercise Price $60   83    182,808 
Starwood Hotels & Resorts Worldwide, Inc., Expiration May 2016, Exercise Price $67.5   284    433,810 
HTZ, Expiration June 2016, Exercise Price $9   5,618    500,002 
Humana Inc, Expiration May 2016, Exercise Price $170   148    148,740 
Humana Inc, Expiration May 2016, Exercise Price $175   125    76,250 
Huntsman Corp, Expiration May 2016, Exercise Price $10   447    252,555 
MAR, Expiration June 2016, Exercise Price $70   77    17,710 
MGM, Expiration June 2016, Exercise Price $19   2,390    651,275 
NRF, Expiration June 2016, Exercise Price $14   1,180    41,300 
Pfizer Inc, Expiration June 2016, Exercise Price $30   356    97,188 
SIRI, Expiration June 2016, Exercise Price $4   937    6,559 
T-Mobile Inc, Expiration May 2016, Exercise Price $36   1,297    450,708 
WRITTEN CALL OPTIONS - (Premiums Received - $5,732,588)        6,206,860 
           
WRITTEN PUT OPTIONS - (0.1)%          
BAY, Expiration June 2016, Exercise Price $98   196    81,468 
iShares iBoxx High Yield, Expiration June 2016, Exercise Price $71   288    2,160 
iShares iBoxx High Yield, Expiration June 2016, Exercise Price $72   520    3,900 
SPY, Expiration May 2016, Exercise Price $196   715    38,610 
SPY, Expiration June 2016, Exercise Price $194   420    89,880 
VIVENDI, Expiration June 2016, Exercise Price $17   1,259    131,187 
TOTAL WRITTEN PUT OPTIONS - (Premiums Received - $475,993)        347,205 
           
   Shares      
SECURITIES SOLD SHORT * - (28.8)%          
Abbott Laboratories   14,073    547,440 
Aetna, Inc.   7,700    864,479 
Alibaba Group Holding Ltd. - ADR   115,210    8,864,257 
American Airlines Group, Inc.   5,300    183,857 
Apollo Commercial Real Estate Finance, Inc.   53,000    844,290 
AT&T, Inc.   34,900    1,354,818 
Charter Communications, Inc.   33,213    7,049,127 
Dow Chemical Co.   135,689    7,138,598 
Energy Transfer Equity LP   50,028    621,848 
Global Payments, Inc.   96    6,929 
IHS, Inc.   3,490    429,898 
Interval Leisure Group, Inc.   61,124    863,071 
Johnson Controls, Inc.   216,713    8,971,918 
KeyCorp   276,525    3,398,492 
Lam Research Corp.   68,671    5,246,464 
Liberty Global Plc LiLAC   0 +   17 
Live Nation Entertainment, Inc.   44,007    945,270 
Marriott International, Inc.   75,031    5,258,923 
Microchip Technology, Inc.   5    243 
Newell Brands, Inc.   41,404    1,885,538 
Nexstar Broadcasting Group, Inc.   13,409    688,284 
Pfizer, Inc.   18,260    597,285 
Shire PLC   27,649    5,181,976 
Sirius XM Holdings, Inc.   1,866,964    7,374,508 
VMware, Inc.   17,329    986,193 
Waste Connections, Inc.   15,256    1,026,424 
Western Digital Corp.   12,984    530,591 
Western Refining, Inc.   32,668    874,196 
TOTAL SECURITIES SOLD SHORT - (Proceeds - $67,286,631)        71,734,934 

 

See accompanying notes to financial statements.

15

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

Dunham Monthly Distribution Fund (Continued)

April 30, 2016

 

   Unrealized 
   Appreciation/ 
LONG EQUITY SWAP CONTRACTS - 0.7%  (Depreciation) 
Allergan PLC Equity Swap, Bank of America - January 22, 2018  $(470,844)
to receive total return of Allergan PLC less USD- 3 Month LIBOR plus 0.72%     
(NOTIONAL AMOUNT $1,810,500)     
      
American International Group Equity Swap, JP Morgan - April 12, 2017   327,118 
to receive total return of American International Group less USD- 3 Month LIBOR plus 0.69%     
(NOTIONAL AMOUNT $7,257,831)     
      
Apollo Residential Mortgage Equity Swap, JP Morgan - January 21, 2017   194,684 
to receive total return of Apollo Residential Mortgage less USD- 3 Month LIBOR plus 0.79%     
(NOTIONAL AMOUNT $1,297,393)     
      
Apollo Residential Mortgage Equity Swap, JP Morgan - April 27, 2016   (35,652)
to receive total return of Apollo Residential Mortgage less USD- 3 Month LIBOR plus 0.79%     
(NOTIONAL AMOUNT $265,089)     
      
Asciano Group Equity Swap, JP Morgan - August 21, 2016   181,104 
to receive total return of Asciano Group less USD- 3 Month LIBOR plus 0.74%     
(NOTIONAL AMOUNT $2,550,984)     
      
AT&T, Inc. Equity Swap, JP Morgan - July 27, 2016   287,940 
to receive total return of AT&T, Inc. less USD- 3 Month LIBOR plus 0.66%     
(NOTIONAL AMOUNT $1,084,643)     
      
Charter Communication CL Equity Swap, JP Morgan - August 26, 2016   (199,467)
to receive total return of Charter Communication CL less USD- 3 Month LIBOR plus 0.97%     
(NOTIONAL AMOUNT $1,412,070)     
      
CYS Investments, Inc. Equity Swap, JP Morgan - May 06, 2016   (215,379)
to receive total return of CYS Investments, Inc. less USD- 3 Month LIBOR plus 0.79%     
(NOTIONAL AMOUNT $2,421,547)     
      
Dow Chemical Co. Equity Swap, JP Morgan - February 03, 2017   362,196 
to receive total return of Dow Chemical Co less USD- 3 Month LIBOR plus 0.64%     
(NOTIONAL AMOUNT $2,911,902)     
      
Eaton Vance Floating Rate, Inc. Equity Swap, JP Morgan - January 04, 2017   11,728 
to receive total return of Eaton Vance Floating Rate, Inc. less USD- 3 Month LIBOR plus 1.14%     
(NOTIONAL AMOUNT $195,346)     
      
Eaton Vance Floating Rate, Inc. Equity Swap, JP Morgan - December 21, 2016   159,725 
to receive total return of Eaton Vance Floating Rate, Inc. less USD- 3 Month LIBOR plus 1.14%     
(NOTIONAL AMOUNT $2,820,261)     
      
Equity Commonwealth Equity Swap, JP Morgan - March 16, 2017   48,522 
to receive total return of Equity Commonwealth less USD- 3 Month LIBOR plus 0.79%     
(NOTIONAL AMOUNT $1,942,162)     
      
First Trust Four Corners Senior Floating Rate Equity Swap, JP Morgan - December 21, 2016   2,092 
to receive total return of First Trust Four Corners Senior Floating Rate less USD- 3 Month LIBOR plus 1.03%     
(NOTIONAL AMOUNT $45,325)     
      
First Trust Four Corners Senior Floating Rate Equity Swap, JP Morgan - December 30, 2016   32,610 
to receive total return of First Trust Four Corners Senior Floating Rate less USD- 3 Month LIBOR plus 1.03%     
(NOTIONAL AMOUNT $688,241)     
      
First Trust Four Corners Senior Floating Rate Equity Swap, JP Morgan - January 04, 2017   15,243 
to receive total return of First Trust Four Corners Senior Floating Rate less USD- 3 Month LIBOR plus 1.03%     
(NOTIONAL AMOUNT $312,869)     
      
General Motors Co. Equity Swap, JP Morgan - December 14, 2016   (669,111)
to receive total return of General Motors Co. less USD- 3 Month LIBOR plus 0.69%     
(NOTIONAL AMOUNT $6,423,540)     
      
Huntsman Corp. Equity Swap, JP Morgan - April 12, 2017   119,857 
to receive total return of Huntsman Corp. less USD- 3 Month LIBOR plus 0.69%     
(NOTIONAL AMOUNT $584,226)     

 

See accompanying notes to financial statements.

16

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

Dunham Monthly Distribution Fund (Continued)

April 30, 2016

 

   Unrealized 
   Appreciation/ 
LONG EQUITY SWAP CONTRACTS (Continued) - 0.7%  (Depreciation) 
Meda AB - February 15, 2017  $190,806 
to receive total return of Meda AB Fund less USD- 3 Month LIBOR plus 1.14%     
(NOTIONAL AMOUNT $3,073,722)     
      
Rexam PLC - April 11, 2017   7,724 
to receive total return of Rexam PLC less USD- 3 Month LIBOR plus 0.53%     
(NOTIONAL AMOUNT $233,804)     
      
Sabmiller PLC Equity Swap, Bank of America - December 09, 2016   140,236 
to receive total return of Sabmiller PLC less USD- 3 Month LIBOR plus 0.75%     
(NOTIONAL AMOUNT $7,812,447)     
      
Syngenta AG - February 15, 2017   25,727 
to receive total return of Syngenta AG less USD- 3 Month LIBOR plus 0.74%     
(NOTIONAL AMOUNT $1,720,145)     
      
T-Mobile US, Inc. Equity Swap, JP Morgan - April 28, 2017   (48,094)
to receive total return of T-Mobile US, Inc. less USD- 3 Month LIBOR plus 0.69%     
(NOTIONAL AMOUNT $4,546,047)     
      
TNT, Inc. Equity Swap, JP Morgan - August 13, 2016   55,243 
to receive total return of TNT, Inc. less USD- 3 Month LIBOR plus 0.73%     
(NOTIONAL AMOUNT $619,599)     
      
Time Warner Cable, Inc. Equity Swap, JP Morgan - March 17, 2016   334,187 
to receive total return of Time Warner Cable, Inc. less USD- 3 Month LIBOR plus 0.63%     
(NOTIONAL AMOUNT $2,643,040)     
      
Time Warner Cable, Inc. Equity Swap, JP Morgan - March 18, 2017   811,104 
to receive total return of Time Warner Cable, Inc. less USD- 3 Month LIBOR plus 0.63%     
(NOTIONAL AMOUNT $9,285,332)     
      
Vivendi Equity Swap, JP Morgan - July 01, 2016   (2,324)
to receive total return of Vivendi less USD- 3 Month LIBOR plus 0.74%     
(NOTIONAL AMOUNT $969)     
      
Voya Prime Rate Equity Swap, JP Morgan - December 21, 2016   (1,065,282)
to receive total return of Voya Prime Rate less USD- 3 Month LIBOR plus 0.64%     
(NOTIONAL AMOUNT $804,134)     
      
Voya Prime Rate Equity Swap, JP Morgan - December 21, 2016   1,073,999 
to receive total return of Voya Prime Rate less USD- 3 Month LIBOR plus 0.64%     
(NOTIONAL AMOUNT $160,173)     
TOTAL LONG EQUITY SWAP CONTRACTS   1,675,692 
      
SHORT EQUITY SWAP CONTRACTS- (0.1)%     
Ball Corp. - April 11, 2017   459 
to pay total return of Ball Corp. less USD- 3 Month LIBOR plus 0.74%     
(NOTIONAL AMOUNT $86,686)     

 

See accompanying notes to financial statements.

17

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

Dunham Monthly Distribution Fund (Continued)

April 30, 2016

 

   Unrealized 
   Appreciation/ 
SHORT EQUITY SWAP CONTRACTS- (0.1)% (Continued)  (Depreciation) 
Mylan NV - February 17, 2017  $(563)
to pay total return of Mylan NV Fund less USD- 3 Month LIBOR plus 1.14%     
(NOTIONAL AMOUNT $359,884)     
      
Shire PLC. Equity Swap, JP Morgan - February 01, 2017   (119,692)
to pay total return of Shire PLC. less USD- 3 Month LIBOR plus 0.64%     
(NOTIONAL AMOUNT $698,065)     
      
TOTAL SHORT EQUITY SWAP CONTRACTS   (119,796)
      
TOTAL EQUITY SWAP CONTRACTS  $1,555,896 

 

Portfolio Composition * - (Unaudited)
Consumer, Non-cyclical   18.5%  Financial   11.1%
Communications   12.8%  Technology   9.5%
Basic Materials   12.5%  Industrial   6.8%
Consumer, Cyclical   12.5%  Collateral For Securities Loaned   3.6%
Short-Term Investment   11.3%  Energy   1.4%
        Total   100.0%

 

*Based on total value of investments as of April 30, 2016.

 

Percentage may differ from Schedule of Investments which is based on Fund net assets.

 

See accompanying notes to financial statements.

18

 

Dunham Corporate/Government Bond Fund

Message from the Sub-Adviser (Newfleet Asset Management, LLC)

 

Investment-grade bonds, as measured by the Barclays Aggregate Bond Index, gained 2.8 percent in the six-month period ended April 30, 2016 after a 0.1 percent decrease during the previous fiscal six-month period. Treasuries in the middle of the yield curve, as measured by the BofA ML Treasuries 5-7 Years Index, ended the fiscal six-month period up 2.8 percent as well, while long-term Treasuries, as measured by the BofA ML Treasuries 10+ Years Index, saw an increase of 6.4 percent over the same six months. Corporate bonds, as measured by the BofA ML U.S. Corporate Bond Master Index, outpaced intermediate-term Treasury bonds, rising 4.2 percent over the fiscal six-month period. High-yield bonds, as measured by the BofA ML High-Yield Bond Cash Pay Index, gained 2.3 percent, underperforming the intermediate-term Treasury bonds by 0.5 percent during the period.

 

The Fund continued to balance risk versus reward by choosing to emphasize lower duration bonds and overweighting lower credit quality securities, in anticipation of rising interest rates which did not materialize. The Fund began the six-month period with an average effective duration of 4.81 years and ended the period with an average effective duration of 4.85 years, while the benchmark index had an average effective duration of 5.64 years and 5.51 years, respectively. This allocation generally detracted from performance of the Fund as Treasury yields fluctuated in a relatively wide range of 68 basis points. The 10-year Treasury yield went from a high of 2.34 percent in early November to a low of 1.66 percent in mid-February, before settling at 1.83 percent to end the fiscal six-month period. The overweight to residential mortgage-backed securities was the single largest contributor to performance over the six-month period. The Sub-Adviser maintained an overweight to the sector, investing over six percent of the Fund in such securities while the index held less than one percent.

 

A contributors to the Fund during the first half of the fiscal six-month period included Bayview Financial Acquisition Trust 6.078% due 2/28/2041 (07325NCS9) (holding percentage*: 1.14 percent), a mortgage investment firm focused on investments in mortgage credit, including whole loans, mortgage and asset-backed securities, servicing rights, and mortgage-related equities. The residential mortgage-backed security did well, returning 0.5 percent through January 31, 2016. This was due to the high quality rating of AAA/A2, strong fixed coupo n of 6 percent, and limited global macro correlation of non-agency residential mortgage securities. A contributor to the Fund during the second half of the fiscal six-month period included Hess Corporation 5.600% due 2/15/2041 (42809HAD9) (holding percentage*: 0.21 percent), a global independent energy company engaged in the exploration and production of crude oil and natural gas. The rally in oil prices since 1/31/2016 through the end of the fiscal quarter significantly benefited the company. From the time the Sub-Adviser bought the bonds on 3/8/2016 through the end of the fiscal six-month period, the bonds returned 13.9 percent.

 

A detractor from the Fund during the first half of the fiscal six-month period included Scientific International, Inc. 6.625% due 5/15/2021 (80874YAQ3) (holding percentage*: 0.08 percent), develops and services lottery games and wagering systems. The company reported weaker than expected top line and EBITDA results in the third quarter due to weaker than expected gaming machine sales as a result of challenging industry conditions and a lengthening slot machine replacement cycle. Combined with high leverage, this led to the underperformance of the subordinated notes, which reside at the bottom of the company’s capital structure. The bonds declined 29.3 percent by January 31, 2016. A detractor from the Fund during the second half of the fiscal six-month period was York Risk Services Holding Corp. 8.500% due 10/1/2022 (68276KAA7) (holding percentage**: 0.09 percent), a company that administers workers compensation claims and tries to reduce associated healthcare costs. Following weak full-year 2015 earnings, York continued to underperform. The company is struggling to grow organically and has been unable to produce meaningful cash flows. The bonds are not followed by many investors, meaning that bond price moves tend to be large. The bonds declined 14.4 percent in the second half of the fiscal period through 4/5/2016, at which time the Sub-Adviser sold the bonds.

 

The Sub-Adviser continued to heavily underweight government bonds which detracted from performance relative to the benchmark, despite a positive impact from security selection, as Treasuries rose over the fiscal six-month period.

 

The Fund’s investment-grade corporate bond holdings generally hindered performance. The slight underperformance of investment-grade corporate bonds in the Fund relative to the benchmark was primarily due to a lower duration bias. Considering the Fund was overweight the sector relative to the benchmark, this detracted from performance for the fiscal six-month period.

 

The Sub-Adviser believes that we will continue to experience the same challenges that have been at the forefront for the past year or longer, including global economic concerns and oil prices. The Sub-Adviser expects that GDP growth in the U.S. will be adequate to support corporate America and believes that two subsequent interest rate increases are likely in 2016, although the timing of each remains uncertain. The Sub-Adviser expects interest rates on the 10-year U.S. Treasury to be in the range of 1.75 percent to 2.50 percent by the end of the year. The Sub-Adviser continues to believe it is important to stay diversified and granular, keeping small positions and maintaining liquidity. The Sub-Adviser has reduced its below-investment-grade and oil exposure and upgraded to more conservative industries, although it does not expect default levels, ex-energy, to increase too much. The Sub-Adviser believes that the prospect of continued volatility in the bond market will present opportunities and feels they are positioned well to take advantage of those opportunities as they arise.

 

*Holdings Percentage(s) as of 4/30/2016.

 

**Holdings Percentage(s) as of the date prior to the sales of the security.

 

Growth of $100,000 Investment - (Unaudited)

 

(LINE GRAPH)

 

Total Returns as of April 30, 2016

 

      Annualized Annualized Annualized Annualized Since Inception
  Six Months One Year Three Years Five Years Ten Years (12/10/04)
Class N 1.79% 0.86% 1.28% 3.07% 4.73% 4.23%
Class C 1.43% 0.11% 0.52% 2.30% 3.95% 3.46%
Class A with load of 4.50% (2.93)% (3.96)% (0.54)% 1.87% N/A 3.64%*
Class A without load 1.66% 0.54% 1.01% 2.81% N/A 4.15%*
Barclays Aggregate Bond Index 2.82% 2.72% 2.29% 3.60% 4.95% 4.72%
Morningstar Intermediate-Term Bond Category 2.33% 1.60% 1.72% 3.34% 4.38% 3.95%

 

*Class A commenced operations on January 3, 2007.

 

The Barclays Aggregate Bond Index is an unmanaged index which represents the U.S. investment-grade fixed-rate bond market (including government and corporate securities, mortgage pass-through securities and asset-backed securities). Investors cannot invest directly in an index or benchmark.

 

The Morningstar Intermediate-Term Bond Category is generally representative of intermediate-term bond mutual funds that primarily invest in corporate and other investment-grade U.S. fixed-income securities and typically have durations of 3.5 to 6.0 years.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.06% for Class N, 1.81% for Class C and 1.31% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

19

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Corporate/Government Bond Fund
April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
CORPORATE BONDS & NOTES - 57.5%                  
AEROSPACE / DEFENSE - 0.2%                  
TransDigm, Inc.  $75,000    6.000%  7/15/2022  $76,290 
TransDigm, Inc.   35,000    6.500   5/15/2025   35,306 
                 111,596 
AIRLINES ABS - 0.6%                  
Air Canada 2013-1 Class B Pass Through Trust - 144A   96,907    5.375   5/15/2021   96,815 
Continental Airlines 2009-2 Class A Pass Through Trust   216,156    7.250   11/10/2019   244,526 
                 341,341 
AUTO MANUFACTURERS - 0.9%                  
Ford Motor Credit Co. LLC.   270,000    5.750   2/1/2021   308,078 
General Motors Financial Co., Inc.   105,000    3.500   7/10/2019   108,658 
General Motors Financial Co., Inc.   60,000    4.200   3/1/2021   63,299 
                 480,035 
AUTO PARTS & EQUIPMENT - 0.8%                  
Delphi Automotive PLC   105,000    3.150   11/19/2020   107,066 
Meritor, Inc.   160,000    6.750   6/15/2021   152,000 
MPG Holdco I, Inc. ^   105,000    7.375   10/15/2022   105,525 
TI Group Automotive Systems, LLC - 144A   60,000    8.750   7/15/2023   59,100 
                 423,691 
AUTOMOBILE ABS - 2.9%                  
California Republic Auto Receivables Trust 2014-3 A4   390,000    1.790   3/16/2020   390,783 
Capital Auto Receivables Asset Trust / Ally 2013-1 C   590,000    1.740   10/22/2018   590,675 
Drive Auto Receivables Trust 2015-D - 144A   165,000    3.380   11/15/2021   164,280 
Flagship Credit Auto Trust 2016-1 A - 144A   168,736    2.770   12/15/2020   169,469 
Ford Credit Auto Owner Trust 2013-B D   194,000    1.820   11/15/2019   193,956 
                 1,509,163 
BANKS - 8.8%                  
Banco de Credito del Peru - 144A   120,000    6.125 +  4/24/2027   130,440 
Banco de Credito e Inversiones - 144A   325,000    4.000   2/11/2023   337,823 
Banco Internacional del Peru SAA -144A   200,000    6.625 +  3/19/2029   209,000 
Banco Santander Chile - 144A   150,000    3.875   9/20/2022   157,712 
Bank of America Corp.   55,000    2.000   1/11/2018   55,278 
Bank of America Corp.   175,000    5.625   7/1/2020   196,838 
Bank of America Corp. ^   285,000    4.450   3/3/2026   295,492 
Bank of New York Mellon   135,000    2.800   5/4/2026   136,165 
Bank of New York Mellon   110,000    4.950 +  Perpetual   109,978 
Barclays Bank PLC - 144A   270,000    6.050   12/4/2017   286,063 
Capital One Financial Corp.   135,000    4.200   10/29/2025   138,244 
Citigroup, Inc.   130,000    4.050   7/30/2022   136,271 
Citigroup, Inc.   160,000    6.250 +  Perpetual   164,800 
Citizens Financial Group, Inc. - 144A   110,000    5.500 +  Perpetual   105,325 
Goldman Sachs Group, Inc.   185,000    5.750 +  1/24/2022   213,178 
Goldman Sachs Group, Inc.   75,000    5.700 +  Perpetual   73,125 
JPMorgan Chase & Co.   40,000    6.125   6/27/2017   42,139 
JPMorgan Chase & Co.   35,000    5.300 +  Perpetual   35,087 
Macquarie Bank Ltd. - 144A   17,000    6.625   4/7/2021   19,361 
Morgan Stanley   185,000    4.100   5/22/2023   191,564 
Morgan Stanley   150,000    4.350   9/8/2026   155,321 
Morgan Stanley   225,000    6.375   7/24/2042   298,384 
PNC Financial Services Group, Inc.   255,000    4.850 +  Perpetual   244,800 
SunTrust Banks, Inc.   30,000    5.625 +  Perpetual   29,775 
UBS AG   650,000    7.625   8/17/2022   749,265 
Zions Bancorporation   115,000    4.500   6/13/2023   116,500 
                 4,627,928 
BEVERAGES - 0.4%                  
Anheuser-Busch InBev Finance, Inc.   65,000    3.3000   2/1/2023   67,803 
Anheuser-Busch InBev Finance, Inc.   135,000    3.6500   2/1/2026   142,474 
Constellation Brands, Inc.   25,000    4.7500   12/1/2025   26,656 
                 236,933 
BIOTECHNOLOGY - 0.0%                  
Concordia Healthcare Corp. - 144A   5,000    7.000   4/15/2023   4,662 

 

See accompanying notes to financial statements.

20

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Corporate/Government Bond Fund (Continued)
April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
BUILDING MATERIALS - 0.3%                  
Masco Corp.  $50,000    3.500%  4/1/2021  $51,000 
Masco Corp.   60,000    5.950   3/15/2022   67,425 
Masco Corp.   25,000    4.450   4/1/2025   26,219 
                 144,644 
CHEMICALS - 0.8%                  
Methanex Corp.   130,000    4.250   12/1/2024   111,813 
New Market Corp.   305,000    4.100   12/15/2022   309,964 
                 421,777 
COMMERCIAL MBS - 5.8%                  
Aventura Mall Trust 2013-AVM A - 144A   155,000    3.743 +  12/5/2032   166,713 
Aventura Mall Trust 2013-AVM C - 144A   100,000    3.743 +  12/5/2032   103,982 
CD 2007-CD4 Commercial Mortgage Trust   103,690    5.322   12/11/2049   105,460 
Citigroup Commercial Mortgage Trust 2007-C6 A4   290,000    5.711 +  12/10/2049   300,674 
Citigroup Commercial Mortgage Trust 2008-C7 AM   95,000    6.140 +   12/10/2049   97,743 
DBUBS 2011-LC3 Mortgage Trust -LC3A Class D - 144A   105,000    5.468 +   8/10/2044   108,223 
FREMF 2015-K720 Mortgage Trust - 144A   115,000    3.389 +   7/25/2022   107,624 
GAHR Commercial Mortgage Trust 2015-NRF CFX - 144A   105,000    3.382 +   12/15/2019   105,185 
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 A4   470,000    5.882 +   2/15/2051   484,444 
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 A3 - 144A   98,709    4.106   7/15/2046   103,047 
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 A4 - 144A   100,000    4.388   7/15/2046   109,096 
LB Commercial Mortgage Trust 2007- C3 A4   107,922    5.923 +   7/15/2044   112,698 
LB-UBS Commercial Mortgage Trust 2007-C7 A3   62,414    5.866 +   9/15/2045   65,721 
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 AS   240,000    4.266   11/15/2046   264,408 
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26 C   135,000    4.411 +   10/15/2048   134,186 
Morgan Stanley Capital I Trust 2007-IQ14 AM   224,000    5.681 +   4/15/2049   223,419 
Motel 6 Trust CMO 2015-MTL6 Class B - 144A   170,000    3.298   2/5/2030   171,084 
Wells Fargo Commercial Mortgage Trust 2015-LC20 B   165,000    3.719   4/15/2050   168,714 
WFRBS Commercial Mortgage Trust 2011-C5 - 144A   100,000    5.654 +   11/15/2044   108,518 
                 3,040,939 
COMMERCIAL SERVICES - 1.4%                  
ADT Corp.   100,000    6.250   10/15/2021   103,952 
Ahern Rentals, Inc.- 144A   115,000    7.375   5/15/2023   88,262 
Harland Clarke Holdings Corp. - 144A   70,000    6.875   3/1/2020   64,050 
New York University   55,000    4.142   7/1/2048   54,226 
Prime Security Services Borrower LLC / Prime Finance, Inc. - 144A   55,000    9.250   5/15/2023   57,338 
S&P Global, Inc.   140,000    4.000   6/15/2025   148,557 
Team Health, Inc. - 144A   5,000    7.250   12/15/2023   5,322 
United Rentals North America, Inc.   55,000    5.500   7/15/2025   54,902 
Verisk Analytics, Inc.   135,000    4.000   6/15/2025   138,410 
                 715,019 
COMPUTERS - 0.5%                  
Apple, Inc.   45,000    2.850   2/23/2023   46,471 
Apple, Inc.   125,000    3.250   2/23/2026   130,932 
Hewlett Packard Enterprise Co. - 144A ^   80,000    4.900   10/15/2025   83,186 
Western Digital Corp. - 144A   15,000    7.375   4/1/2023   15,178 
                 275,767 
DIVERSIFIED FINANCIAL SERVICES - 0.8%                  
Air Lease Corp.   140,000    2.625   9/4/2018   139,141 
Ally Financial, Inc. ^   70,000    3.250   11/5/2018   70,000 
Jefferies Group LLC   60,000    6.875   4/15/2021   67,304 
Macquarie Group Ltd.- 144A   125,000    6.250   1/14/2021   142,427 
                 418,872 
ELECTRIC - 1.2%                  
Calpine Corp.   89,000    5.375   1/15/2023   90,224 
Dynegy, Inc.   145,000    7.375   11/1/2022   143,953 
Electricite de France SA - 144A   165,000    5.250 +   Perpetual   159,662 
NRG Yield Operating LLC   40,000    5.375   8/15/2024   37,800 
Southern Power Co.   170,000    4.150   12/1/2025   177,939 
                 609,578 
ELECTRONICS - 0.3%                  
Flextronics International Ltd.   135,000    4.750   6/15/2025   135,338 

 

See accompanying notes to financial statements.

21

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Corporate/Government Bond Fund (Continued)
April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
ENERGY - ALTERNATE RESOURCES - 0.2%                  
TerraForm Power Operating LLC. - 144A  $110,000    5.875%  2/1/2023  $96,525 
                   
ENTERTAINMENT - 0.7%                  
Churchill Downs, Inc. - 144A   35,000    5.375   12/15/2021   36,137 
GLP Capital LP / GLP Financing II Inc.   50,000    4.875   11/1/2020   53,000 
GLP Capital LP / GLP Financing II Inc.   5,000    4.375   4/15/2021   5,125 
GLP Capital LP / GLP Financing II Inc.   10,000    5.375   11/1/2023   10,463 
GLP Capital LP / GLP Financing II Inc.   15,000    5.375   4/15/2026   15,675 
Penn National Gaming Inc. ^   120,000    5.875   11/1/2021   123,300 
Pinnacle Entertainment, Inc. - 144A   80,000    5.625   5/1/2024   80,100 
Scientific Games International, Inc.   65,000    6.625   5/15/2021   41,438 
                 365,238 
FOOD - 0.4%                  
Safeway, Inc.   85,000    7.250   2/1/2031   83,513 
Whole Foods Market, Inc. - 144A   110,000    5.200   12/3/2025   116,062 
                 199,575 
GAS - 0.2%                  
NGL Energy Partners LP   105,000    5.125   7/15/2019   88,725 
                   
HEALTHCARE PRODUCTS - 0.5%                  
Alere, Inc. - 144A   40,000    6.375   7/1/2023   41,000 
Crimson Merger Sub, Inc. - 144A   80,000    6.625   5/15/2022   67,200 
Fresenius US Finance II, Inc. - 144A   25,000    4.500   1/15/2023   25,750 
Kinetic Concepts, Inc. / KCI USA, Inc. - 144A   10,000    7.875   2/15/2021   10,838 
Mallinckrodt International Finance SA -144A   115,000    5.625   10/15/2023   108,388 
                 253,176 
HEALTHCARE - SERVICES - 1.6%                  
Acadia Healthcare Co., Inc.   45,000    5.125   7/1/2022   45,844 
Acadia Healthcare Co., Inc.   10,000    5.625   2/15/2023   10,275 
Centene Escrow Corp. - 144A   50,000    5.625   2/15/2021   52,750 
CHS/Community Health Systems, Inc.   30,000    5.125   8/1/2021   30,237 
HCA, Inc.   170,000    5.375   2/1/2025   174,038 
HCA, Inc.   50,000    5.250   6/15/2026   52,063 
IASIS Healthcare LLC / IASIS Capital Corp.   70,000    8.375   5/15/2019   67,200 
MEDNAX, Inc. - 144A   65,000    5.250   12/1/2023   67,437 
Surgery Center Holdings, Inc. - 144A   80,000    8.875   4/15/2021   80,200 
Surgical Care Affiliates, Inc. - 144A   110,000    6.000   4/1/2023   111,650 
Tenet Healthcare Corp. - 144A   130,000    4.134 +   6/15/2020   130,812 
                 822,506 
HOLDING COMPANIES - DIVERSIFIED - 0.8%                  
Argos Merger Sub, Inc. - 144A ^   100,000    7.125   3/15/2023   102,500 
Hutchison Whampoa International 12 Ltd. - 144A   185,000    6.000 +  Perpetual   191,938 
Leucadia National Corp.   105,000    5.500   10/18/2023   103,900 
                 398,338 
HOME BUILDERS - 0.9%                  
M/I Homes, Inc. - 144A   70,000    6.750   1/15/2021   70,350 
MDC Holdings, Inc.   130,000    5.500   1/15/2024   126,750 
Toll Brothers Finance Corp.   155,000    4.875   11/15/2025   156,550 
TRI Pointe Holdings, Inc.   110,000    5.875   6/15/2024   111,100 
                 464,750 
HOME EQUITY ABS - 2.0%                  
Bayview Financial Mortgage Pass-Through Trust 2006-A 1A4 (a)   560,000    6.087   2/28/2041   598,657 
GSAA Trust 2005-1 AF4 (a)   304,051    5.619   11/25/2034   315,740 
NovaStar Mortgage Funding Trust Series 2004-4   140,000    2.171 +  3/25/2035   136,414 
                 1,050,811 
HOUSEWARES - 0.1%                  
Newell Brands, Inc. - 144A   15,000    5.000   11/15/2023   15,903 
Newell Brands, Inc.   15,000    4.200   4/1/2026   15,866 
Newell Brands, Inc.   40,000    5.500   4/1/2046   44,604 
                 76,373 

 

See accompanying notes to financial statements.

22

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Corporate/Government Bond Fund (Continued)
April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
INSURANCE - 1.8%                  
Allstate Corp.  $200,000    5.750%, +  8/15/2053  $206,125 
Berkshire Hathaway, Inc.   15,000    2.750   3/15/2023   15,486 
Berkshire Hathaway, Inc.   30,000    3.125   3/15/2026   31,280 
Manulife Financial Corp.   130,000    4.150   3/4/2026   135,461 
Prudential Financial, Inc.   245,000    5.625 +  6/15/2043   255,662 
Teachers Insurance & Annuity Association of America - 144A   110,000    4.375 +  9/15/2054   105,374 
Trinity Acquisition PLC   10,000    3.500   9/15/2021   10,216 
Trinity Acquisition PLC   50,000    4.400   3/15/2026   51,102 
Voya Financial, Inc.   125,000    5.650 +  5/15/2053   117,219 
                 927,925 
INTERNET - 0.3%                  
Priceline Group, Inc.   140,000    3.650   3/15/2025   143,625 
                   
INVESTMENT COMPANIES - 0.4%                  
Ares Capital Corp.   18,000    4.875   11/30/2018   18,598 
Ares Capital Corp.   49,000    3.870   1/15/2020   50,148 
FS Investment Corp.   110,000    4.250   1/15/2020   111,658 
FS Investment Corp.   40,000    4.750   5/15/2022   39,580 
                 219,984 
IRON / STEEL - 0.5%                  
Carpenter Technology Corp.   300,000    4.450   3/1/2023   281,980 
                   
LODGING - 0.7%                  
Boyd Gaming Corp.   110,000    9.000   7/1/2020   116,132 
Boyd Gaming Corp.   55,000    6.875   5/15/2023   57,337 
MGM Growth Properties Operating Partnerships LP - 144A   15,000    5.625   5/1/2024   15,675 
Station Casinos LLC   170,000    7.500   3/1/2021   180,168 
                 369,312 
MEDIA - 1.0%                  
CCO Holdings LLC - 144A   140,000    5.125   5/1/2023   143,150 
CCO Holdings LLC - 144A   90,000    5.750   2/15/2026   93,150 
CCO Holdings LLC - 144A   85,000    5.500   5/1/2026   86,913 
Cequel Communications Holdings I LLC / Cequel Capital Corp. - 144A   105,000    5.125   12/15/2021   99,487 
Clear Channel Worldwide Holdings, Inc.   115,000    7.625   3/15/2020   107,166 
                 529,866 
MINING - 0.1%                  
Freeport-McMoran, Inc.   70,000    3.875   3/15/2023   58,975 
                   
MISCELLANEOUS MANUFACTURING - 0.9%                  
Bombardier, Inc. - 144A   105,000    4.750   4/15/2019   98,175 
General Electric Co.   341,000    5.000 +  Perpetual   354,640 
                 452,815 
OIL & GAS - 2.3%                  
Anadarko Petroleum Corp.   25,000    4.850   3/15/2021   26,105 
Anadarko Petroleum Corp.   40,000    5.550   3/15/2026   42,955 
Anadarko Petroleum Corp.   50,000    6.600   3/15/2046   56,788 
Antero Resources Corp. - 144A   60,000    5.625   6/1/2023   58,500 
Carrizo Oil & Gas, Inc.   120,000    6.250   4/15/2023   115,800 
Cimarex Energy Co.   80,000    4.375   6/1/2024   81,636 
Concho Resources, Inc.   55,000    5.500   4/1/2023   55,688 
ConocoPhillips Co.   65,000    4.950   3/15/2026   71,989 
ConocoPhillips Co. ^   25,000    5.950   3/15/2046   30,392 
Continental Resources, Inc. ^   75,000    5.000   9/15/2022   70,406 
Continental Resources, Inc.   45,000    4.500   4/15/2023   40,416 
Exxon Mobil Corp.   35,000    2.726   3/1/2023   35,852 
Exxon Mobil Corp.   70,000    3.043   3/1/2026   72,589 
Helmerich & Payne International Drilling Co.   80,000    4.650   3/15/2025   82,768 
Hess Corp.   110,000    5.600   2/15/2041   108,380 
Occidental Petroleum Corp.   15,000    3.400   4/15/2026   15,537 
Range Resources Corp.   90,000    5.000   3/15/2023   83,475 
Sunoco Finance Corp. - 144A   155,000    6.375   4/1/2023   158,100 
                 1,207,376 

 

See accompanying notes to financial statements.

23

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Corporate/Government Bond Fund (Continued)
April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
OIL & GAS SERVICES - 0.2%                  
Weatherford International Ltd.  $110,000    9.625%  3/1/2019  $116,050 
                   
PACKAGING & CONTAINERS - 0.2%                  
Berry Plastics Corp.   105,000    5.125   7/15/2023   106,313 
                   
PHARMACEUTICALS - 0.7%                  
AbbVie, Inc. ^   45,000    3.600   5/14/2025   47,241 
Capsugel SA - 144A (b)   15,000    7.000   5/15/2019   15,112 
Endo Ltd. - 144A ^   80,000    6.000   7/15/2023   78,900 
JLL/Delta Dutch Pledge Co. BV - 144A (b)   55,000    8.750   5/1/2020   54,588 
Mylan NV - 144A   35,000    3.000   12/15/2018   35,626 
Owens & Minor, Inc.   25,000    3.875   9/15/2021   25,696 
Quintiles Transnational Corp. - 144A   55,000    4.875   5/15/2023   56,581 
Valeant Pharmaceuticals International, Inc. - 144A   40,000    5.500   3/1/2023   34,200 
Zoetis, Inc.   35,000    3.450   11/13/2020   36,087 
                 384,031 
PIPELINES - 0.9%                  
Blue Racer Midstream LLC - 144A   30,000    6.125   11/15/2022   26,700 
Kinder Morgan, Inc. ^   130,000    4.300   6/1/2025   129,094 
MPLX LP - 144A   110,000    4.875   12/1/2024   107,399 
Sabine Pass Liquefaction LLC   100,000    6.250   3/15/2022   101,750 
TransCanada Trust   110,000    5.625 +  5/20/1975   99,000 
                 463,943 
PRIVATE EQUITY - 0.4%                  
Apollo Management Holdings LP - 144A   135,000    4.000   5/30/2024   136,574 
Icahn Enterprises Finance Corp.   10,000    4.875   3/15/2019   9,975 
Icahn Enterprises Finance Corp.   45,000    5.875   2/1/2022   43,144 
                 189,693 
REAL ESTATE - 1.3%                  
American Campus Communities Operating Partnership LP   20,000    3.350   10/1/2020   20,534 
American Homes 4 Rent 2014-SFR2 C Trust - 144A   130,000    4.705   10/17/2036   136,356 
American Homes 4 Rent 2015-SFR2 C Trust - 144A   120,000    4.691   10/17/2045   125,168 
B2R Mortgage Trust 2015-1 A1 - 144A   96,674    2.524   5/15/2048   94,168 
CWABS Asset-Backed Certificates 2005-1 AF5A (a)   281,086    5.147   7/25/2035   278,956 
Sierra Timeshare 2014-2A A Receivables Funding LLC - 144A   38,223    2.050   6/20/2031   38,045 
                 693,227 
REITS - 4.6%                  
American Tower Corp.   120,000    3.300   2/15/2021   123,836 
Brixmor Operating Partnership LP   35,000    3.875   8/15/2022   35,424 
Corporate Office Properties LP   90,000    3.700   6/15/2021   89,785 
Corporate Office Properties LP   315,000    3.600   5/15/2023   298,908 
Corrections Corp of America   90,000    5.000   10/15/2022   94,387 
Crown Castel International Corp.   15,000    3.700   6/15/2026   15,262 
Digital Realty Trust LP   160,000    5.250   3/15/2021   176,580 
Digital Realty Trust LP   55,000    3.950   7/1/2022   56,310 
Education Realty Operating Partnership LP   135,000    4.600   12/1/2024   135,480 
ESH Hospitality, Inc. - 144A   100,000    5.250   5/1/2025   99,125 
Healthcare Realty Trust, Inc.   90,000    3.875   5/1/2025   87,976 
Healthcare Trust of America Holdings LP   50,000    3.375   7/15/2021   50,206 
Highwoods Realty LP   150,000    3.625   1/15/2023   150,002 
iStar Financial, Inc.   140,000    5.000   7/1/2019   136,500 
Kilroy Realty LP   135,000    4.375   10/1/2025   142,841 
Kimco Realty Corp.   135,000    3.400   11/1/2022   138,396 
MPT Operating Partnership LP / MPT Finance Corp.   15,000    6.375   3/1/2024   16,050 
MPT Operating Partnership LP / MPT Finance Corp.   60,000    5.500   5/1/2024   60,900 
National Retail Properties, Inc.   40,000    4.000   11/15/2025   41,534 
Retail Opportunity Investments Partnership LP   105,000    4.000   12/15/2024   100,524 
Select Income REIT   140,000    4.500   2/1/2025   135,419 
Welltower, Inc.   145,000    4.000   6/1/2025   148,967 
WP Carey, Inc.   110,000    4.600   4/1/2024   111,389 
                 2,445,801 

 

See accompanying notes to financial statements.

24

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Corporate/Government Bond Fund (Continued)
April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
RETAIL - 1.5%                  
AmeriGas Finance Corp. ^  $95,000    7.000%  5/20/2022  $100,819 
Landry’s, Inc. - 144A   115,000    9.375   5/1/2020   121,037 
Party City Holdings, Inc. - 144A   15,000    6.125   8/15/2023   15,755 
QVC, Inc.   310,000    4.375   3/15/2023   309,990 
Rite Aid Corp. - 144A   30,000    6.125   4/1/2023   32,081 
Signet UK Finance PLC   135,000    4.700   6/15/2024   133,236 
Tops Holding LLC / Tops Markets II Corp. - 144A   110,000    8.000   6/15/2022   99,000 
                 811,918 
SEMICONDUCTOR - 0.3%                  
KLA-Tencor Corp.   140,000    4.650   11/1/2024   146,421 
                   
SOFTWARE - 0.4%                  
Electronic Arts, Inc.   20,000    3.700   3/1/2021   20,933 
Fidelity National Information Services, Inc.   50,000    3.625   10/15/2020   52,365 
First Data Corp. - 144A   155,000    5.000   1/15/2024   157,131 
                 230,429 
TELECOMMUNICATIONS - 2.2%                  
AT&T, Inc.   315,000    3.875   8/15/2021   338,189 
CenturyLink, Inc.   95,000    7.500   4/1/2024   95,475 
Frontier Communications Corp.   75,000    6.250   9/15/2021   70,125 
Frontier Communications Corp. - 144A   15,000    10.500   9/15/2022   15,489 
Sprint Corp.   170,000    7.250   9/15/2021   138,125 
Telefonica Emisiones SAU   265,000    4.570   4/27/2023   292,032 
T-Mobile USA, Inc.   100,000    6.500   1/15/2026   106,375 
Windstream Corp.   115,000    7.750   10/15/2020   104,591 
                 1,160,401 
TRUCKING & LEASING - 0.1%                  
Penske Truck Leasing Co. LP - 144A   55,000    3.375   2/1/2022   55,391 
                   
WHOLE LOAN COLLATERAL CMO - 3.6%                  
Agate Bay Mortgage Trust 2016-2 A3 - 144A   96,584    3.500 +  3/25/2046   98,590 
Banc of America Funding 2005-1 1A1   65,660    5.500   2/25/2035   65,897 
Citigroup Mortgage Loan Trust, Inc. 2004-NCM2 2CB2   71,336    6.750   8/25/2034   74,686 
Citigroup Mortgage Loan Trust, Inc. 2004-UST1 A3   88,656    2.413 +  8/25/2034   88,562 
CSMLT 2015-1 A9 - 144A   91,030    3.500 +  5/25/2045   92,897 
Freddie Mac Structured Agency Credit Risk Debt Notes   250,000    2.096 +  4/25/2024   248,410 
JP Morgan Mortgage Trust 2015-4 1A4   96,743    3.500 +  6/25/2045   98,751 
MASTR Alternative Loans Trust 2004-4 6A1   88,552    5.500   4/25/2034   92,008 
Residential Asset Securitization Trust 2005-A1   116,867    5.500   4/25/2035   116,930 
Sequoia Mortgage trust 2015-1 A1 - 144A   122,801    3.500 +  1/25/2045   124,833 
Structured Adjustable Rate Mortgage Loan Trust 2004-4 3A2   163,947    2.896 +  4/25/2034   162,669 
Towd Point Mortgage Trust 2015-3 A1B - 144A   162,071    3.000 +  3/25/2054   163,906 
WaMu Mortgage Pass-Through Certificates Series 2003-S8 A2 Trust   66,015    5.000   9/25/2018   66,810 
WinWater Mortgage Loan Trust 2014-1 A1 - 144A   66,884    3.942 +  6/20/2044   69,657 
WinWater Mortgage Loan Trust 2014-3 A4 - 144A   138,978    3.500 +  11/20/2044   142,245 
WinWater Mortgage Loan Trust 2016-1 1A5 - 144A   194,725    3.500 +  1/20/2046   201,108 
                 1,907,959 
                   
TOTAL CORPORATE BONDS & NOTES (Cost - $29,819,258)                30,216,735 
                   
FOREIGN GOVERNMENT BONDS - 0.8%                  
Argentine Republic Government International Bond - 144A   150,000    7.625   4/22/2046   147,900 
El Salvador Government International Bond - 144A   105,000    6.375   1/18/2027   92,925 
Hungary Government International Bond   95,000    6.375   3/29/2021   108,318 
Poland Government International Bond   85,000    3.250   4/6/2026   85,111 
TOTAL FOREIGN GOVERNMENT BONDS (Cost - $ 442,291)                434,254 
                   
MUNICIPAL - 1.8%                  
City of Chicago IL Wastewater Transmission Revenue   25,000    5.180   1/1/2027   26,443 
Rockdale County Water & Sewerage Authority   305,000    3.060   7/1/2024   319,326 
San Diego County Regional Airport Authority   325,000    5.594   7/1/2043   356,684 
State of Texas   245,000    3.011   10/1/2026   252,277 
TOTAL MUNICIPAL - (Cost - $900,000)                954,730 

 

See accompanying notes to financial statements.

25

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Corporate/Government Bond Fund (Continued)
April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
U.S. GOVERNMENT & AGENCY - 31.9%                  
U.S. GOVERNMENT AGENCY - 10.9%                  
Fannie Mae Pool 310041  $124,362    6.500%  5/1/2037  $144,984 
Fannie Mae Pool 735061   38,789    6.000   11/1/2034   44,577 
Fannie Mae Pool 866009   43,915    6.000   3/1/2036   50,111 
Fannie Mae Pool 909175   50,419    5.500   4/1/2038   58,498 
Fannie Mae Pool 909220   120,293    6.000   8/1/2038   139,607 
Fannie Mae Pool 938574   294,646    5.500   9/1/2036   332,036 
Fannie Mae Pool 962752   39,554    5.000   4/1/2038   44,669 
Fannie Mae Pool AA7001   231,067    5.000   6/1/2039   257,954 
Fannie Mae Pool AL3166   262,493    3.000   3/1/2043   269,013 
Fannie Mae Pool AS 5596   437,098    3.500   8/1/2045   458,344 
Fannie Mae Pool AS 5634   400,523    3.000   8/1/2045   411,054 
Fannie Mae Pool AS 5696   441,105    3.500   8/1/2045   462,545 
Fannie Mae Pool AS 6386   1,060,645    3.000   12/1/2045   1,088,533 
Fannie Mae Pool AS 7003   499,497    3.000   4/1/2046   512,631 
Fannie Mae Pool AX3195   462,242    4.000   9/1/2044   493,854 
Fannie Mae Pool MA 2495   529,726    3.500   1/1/2046   555,475 
Federal Home Loan Pool G01980   293,013    5.000   12/1/2035   329,712 
Freddie Mac Gold Pool G05888   64,648    5.500   10/1/2039   72,833 
                 5,726,430 
U.S. TREASURY OBLIGATIONS - 21.0%                  
United States Treasury Bond   1,195,000    3.125   2/15/2043   1,313,473 
United States Treasury Note   1,660,000    0.750   12/31/2017   1,660,389 
United States Treasury Note   2,515,000    1.375   4/30/2020   2,536,908 
United States Treasury Note   3,205,000    2.375   8/15/2024   3,366,814 
United States Treasury Note   665,000    2.250   11/15/2024   691,626 
United States Treasury Note   380,000    2.000   2/15/2025   387,185 
United States Treasury Note ^   1,100,000    1.625   2/15/2026   1,080,964 
                 11,037,359 
                   
TOTAL U.S. GOVERNMENT & AGENCY (Cost - $16,317,421)                16,763,789 
                   
BANK LOANS - 3.2%                  
AGRICULTURE - 0.1%                  
NVA Holdings, Inc.   40,000    7.000 +  8/14/2022   39,133 
                   
BIOTECHNOLOGY - 0.1%                  
Concordia Healthcare Corp.   45,885    4.250 +  10/21/2021   45,587 
                   
CHEMICALS - 0.1%                  
Ineos US Finance LLC   6,930    3.250 +  3/11/2022   6,904 
PolyOne Corp.   33,915    3.000 +  11/11/2022   34,099 
                 41,003 
COMMERCIAL SERVICES - 0.2%                  
Laureate Education, Inc.   59,380    3.750 +  6/15/2018   55,298 
Sedgwick Claims Management Services, Inc.   85,000    5.750 +  2/28/2022   81,175 
                 136,473 
ELECTRIC - 0.3%                  
NRG Energy, Inc.   143,887    2.000 +  7/1/2018   143,785 
                   
ENTERTAINMENT - 0.1%                  
CDS US Intermediate Holdings, Inc.   28,855    4.000 +  7/8/2022   28,013 
Eldorado Resorts, Inc.   24,813    3.250 +  7/25/2022   24,843 
                 52,856 
FOOD - 0.3%                  
Albertsons LLC   75,240    4.500 +  8/25/2021   75,625 
Hostess Brands LLC   110,000    7.500 +  8/3/2023   108,487 
                 184,112 

 

See accompanying notes to financial statements.

26

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Corporate/Government Bond Fund (Continued)
April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
HEALTHCARE - 0.8%                  
American Renal Holdings, Inc.  $39,000    3.500%, +  8/20/2019  $39,024 
Ardent Legacy Acquisitions, Inc.   55,720    5.500 +  8/4/2021   55,999 
inVentiv Health, Inc.   119,990    6.250 +  5/15/2018   120,515 
Onex Schumacher Finance LP   57,710    4.000 +  7/29/2022   57,590 
Quorum Health Corp.   61,000    5.750 +  4/12/2022   61,086 
Regional Care Hospital, Inc.   46,178    6.000 +  3/24/2019   46,264 
Surgery Center   68,274    4.250 +  11/3/2020   68,509 
                 448,987 
MISCELLANEOUS MANUFACTURING - 0.1%                  
US Farathane LLC   55,350    5.750 +  12/23/2021   55,557 
                   
OIL & GAS - 0.1%                  
Jonah Energy LLC   62,000    6.500 +  5/12/2021   42,057 
                   
PHARMACEUTICALS - 0.1%                  
Amneal Pharmaceuticals   41,580    3.500 +  11/1/2019   41,597 
                   
REAL ESTATE - 0.1%                  
Capital Automotive LP   31,564    5.000 +  4/30/2020   31,781 
                   
RETAIL - 0.5%                  
Chelsea Petroleum Products LLC   66,720    4.250 +  10/28/2022   65,052 
PetSmart   14,888    3.250 +  3/11/2022   14,869 
Staples, Inc.   165,000    4.000 +  2/2/2022   165,722 
                 245,643 
SEMICONDUCTORS - 0.1%                  
MKS Instruments, Inc.   22,000    4.000 +  4/19/2023   22,101 
ON Semiconductor Corp.   34,000    4.500 +  3/31/2023   34,206 
                 56,307 
SOFTWARE - 0.2%                  
First Data Corp.   94,000    3.750 +  7/8/2022   94,200 
                   
TOTAL BANK LOANS - (Cost - $1,678,740)                1,659,078 
                   
PREFERRED STOCK - 1.5%                  
BANKS - 1.5%                  
GMAC Capital Trust I   17,600    6.411 +  2/15/2040   441,232 
Zions Bancorporation   10,800    6.950 +  9/15/2028   316,548 
TOTAL PREFERRED STOCK - (Cost - $710,000)                757,780 
                   
SHORT-TERM INVESTMENT - 3.2%                  
MONEY MARKET FUND - 3.2%                  
Fidelity Institutional Money Market Funds - Government Portfolio +                  
(Cost - $1,681,431)   1,681,431    0.120 +      1,681,431 
                   
COLLATERAL FOR SECURITIES LOANED - 4.5%                  
Mount Vernon Prime Portfolio + (Cost - $2,379,575)   2,379,575    0.510 +      2,379,575 
                   
TOTAL INVESTMENTS - 104.4% (Cost - $53,928,716)               $54,847,372 
LIABILITIES IN EXCESS OF OTHER ASSETS - (4.4)%                (2,325,674)
NET ASSETS - 100.0%               $52,521,698 

 

ABS - Asset Backed Security

 

MBS - Mortgage Back Security

 

CMO - Collateralized Mortgage Obligation

 

REIT - Real Estate Investment Trust

 

Perpetual - Perpetual bonds are fixed income instruments without defined maturity dates

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $2,333,746 at April 30, 2016.

 

+Variable rate security. Interest rate is as of April 30, 2016.

 

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.

 

(a)Step-Up Bond; the interest rate shown is the rate in effect as of April 30, 2016.

 

(b)Payment - in - Kind.

 

See accompanying notes to financial statements.

27

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Corporate/Government Bond Fund (Continued)
April 30, 2016

 

Portfolio Composition * - (Unaudited)
Corporate Bonds & Notes   55.1%  Municipal   1.7%
U.S. Government & Agencies Notes & Bonds   30.6%  Preferred Stock   1.4%
Short - Term Investments   4.3%  Foreign Government Bonds   0.8%
Collateral For Securities Loaned   3.1%  Total   100.0%
Bank Loans   3.0%        

 

*Based on total value of investments as of April 30, 2016.

 

Percentage may differ from Schedule of Investments which is based on Fund net assets.

 

See accompanying notes to financial statements.

28

 

Dunham Dynamic Macro Fund

Message from the Sub-Adviser (Mellon Capital Management Corporation)

 

Equity markets were up for the six-month period ended April 30, 2016 but taking a more introspective look would identify a V shaped trajectory to stocks. The downward leg of this path initially began in December after the Federal Reserve raised interest rates and started normalizing its policy, the European Central Bank (ECB) came to the market and disappointed with the delivery of its stimulus package, and the Chinese economy continued to show signs of weakness. This trend lingered through mid-February until the world’s major central banks took additional action. The Federal Reserve acknowledged some of the challenges presented by the global economy and reduced expectations in regards to future rate rises. The Bank of Japan (BOJ) transitioned to a negative interest rate policy and the ECB followed-up by expanding their stimulus package. April was also an eventful month. The BOJ unexpectedly made no changes to its stimulus despite slowing inflation and a strengthening Yen. The Federal Reserve also made no changes but its tone became more hawkish. Global macro strategies generally detracted throughout the beginning of the fiscal six-month period, but rebounded in March and April, resulting in a positive fiscal period. Global macro strategies, as measured by the IQ Hedge Global Macro Beta Index, increased 0.1 percent over the period ended April 30, 2016. Bonds, as measured by the Barclays Aggregate Bond Index, increased 2.8 percent. Global macro strategies underperformed the S&P 500 Index which increased 0.4 percent over the fiscal period. Most of the positive performance for the S&P 500 Index came in March, when it increased 6.8 percent.

 

The Sub-Adviser seeks to construct a balanced growth portfolio that aims to deliver equity-like total returns with less risk and improved downside control. It attempts to achieve this goal by utilizing a multi-asset strategy that allocates dynamically across global equities, bonds, and real assets. The current strategy’s exposure is broken down into three different categories: growth assets which include developed market equities, emerging market equities, high-yield bonds, and emerging market debt; hedging assets which include developed and emerging market currency, global cash, investment-grade bonds, and global developed and sovereign bonds; and real assets which include global commodities, global inflation-linked bonds, and inflation-sensitive derivatives.

 

Of the three strategy exposures, the strongest performer over the six-month period ended April 30, 2016 was the hedging strategy. The hedging assets exposure helped shield some of the volatility during the first three months of the six-month period, most notably the position to U.S. Treasuries. The Fund had approximately 45 percent allocated to U.S. Treasuries. The options strategy within this exposure also benefited the Fund, especially during the height of the downturn in mid January. As global bond yields fell, the Sub-Adviser decreased the allocation to global bonds. The allocation reached a low of approximately 6 percent during the final three months of the six-month period. Bonds retreated and the Sub-Adviser slowly increased the position, reaching an overall exposure of 32 percent by the end of April. Although the allocation to global bonds recently increased, the Sub-Adviser is selective within this space. Holdings that positively contributed to Fund performance over the fiscal period were long positions in U.S. Treasuries, a long position in Japanese bonds, and a long position in Australian bonds. The Fund also took a short position in Canadian bonds late in the fiscal period as Canadian bonds fell. Therefore, this position also positively contributed to Fund performance.

 

The growth asset strategy detracted from Fund performance over the six-month period. The volatility over the beginning of the six-month period significantly affected the growth asset strategy exposure. However, going into December the Sub-Adviser saw an increase in risk on the horizon, especially considering the fact that the ECB has historically exhibited its propensity to disappoint. On the first day of December the Sub-Adviser worked towards cutting risk in half over the entire Fund due to this concern, which somewhat shielded the Fund. With the uncertainty and volatility in growth assets rising over the final three months of the six-month period, the Sub-Adviser reduced and diversified the positions within growth assets. The Sub-Adviser increased the allocation to high yield bonds over the latest fiscal quarter as high-yield bonds have traditionally had a lower beta to the broad U.S. equity markets. The SPDR Barclays High Yield Bond ETF (JNK) (holding percentage*: 10.06 percent) fell 0.1 percent over the six-month period despite increasing 8.0 percent over the final three months of the period. A holding that positively contributed to Fund performance was the SPDR S&P 500 ETF Trust (SPY) (holding percentage*: 24.29 percent), which increased 0.3 percent. The exposure to Japanese stocks detracted from Fund performance. Over the fiscal quarter, the iShares Currency Hedged MSCI Japan ETF (HEWJ) (holding percentage*: 8.48 percent) fell 17.9 percent. Based on the risk present in emerging markets, the Fund had no direct exposure to emerging market equities and has not been invested in them since August 2015.

 

The Sub-Adviser completely divested the position in real assets during the fiscal year, as it believes the current risk/reward characteristics of this strategy do not currently warrant a place in the Fund. Although the Sub-Adviser believes that positions in commodities do not warrant an allocation due to its risk, certain attributes that this strategy generally provides are still desired within the Fund. The Sub-Adviser believes that commodities are currently too expensive; therefore in order to add a hedge against inflation, the Sub-Adviser added Treasury Inflation-Protected Securities to the portfolio. Over the most recent six-month period ended April 30, 2016, this allocation contributed positively to Fund performance. For example, the iShares TIPS ETF (TIP) (holding percentage*: 4.65 percent) increased 4.9 percent since the Fund purchased the holding on December 30, 2015. Due to the Fund’s dynamic nature, the Sub-Adviser’s view on real assets can change quickly.

 

The Sub-Adviser is optimistic for the coming fiscal quarter and the remainder of the fiscal year. The Sub-Adviser believes that this volatility-targeted strategy may provide investors with more consistent returns than traditional asset classes. It believes that through the flexibility of the strategy and the use of alternative investments, the Fund may provide what may be considered to be attractive returns with lower market-related risk and less correlation than traditional equity investments.

 

*Holdings Percentage(s) as of 4/30/2016.

 

Growth of $100,000 Investment - (Unaudited)

 

(LINE GRAPH)

 

Total Returns as of April 30, 2016

 

      Annualized   Annualized Since
  Six One Three Annualized Inception
  Months Year Years Five Years (4/30/2010)
Class N (3.77)% (7.62)% (1.12)% 0.61% 0.94%
Class C (4.18)% (8.56)% (2.09)% (0.40)% (0.05)%
Class A with load of 5.75% (9.32)% (13.24)% (3.33)% (0.86)% (0.32)%
Class A without load (3.88)% (7.90)% (1.39)% 0.32% 0.67%
IQ Hedge Global Macro Beta Index 0.09% (2.70)% (0.24)% 0.43% 1.53%
Morningstar Multialternative Category (2.12)% (4.87)% (0.19)% (0.15)% 1.03%

 

The IQ Hedge Global Macro Beta Index seeks to replicate the risk-adjusted return characteristics of a combination of hedge funds pursuing a macro strategy and hedge funds pursuing an emerging markets strategy. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Multialternative Category is generally representative of mutual funds with static allocations to alternative strategies and asset classes. The gross short exposure in these mutual funds is generally greater than 20%.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 2.26% for Class N, 3.26% for Class C and 2.51% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

29

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Dynamic Macro Fund
April 30, 2016

 

Security          Shares  Value 
EXCHANGE TRADED FUNDS - 56.6%                  
DEBT FUND - 14.7%                  
iShares TIPS Bond ETF            14,721  $1,691,148 
SPDR Barclays High Yield Bond ETF            103,619   3,657,750 
                 5,348,898 
EQUITY FUNDS - 41.9%                  
iShares Currency Hedged MSCI Germany ETF            141,131   3,291,161 
iShares Currency Hedged MSCI Japan ETF            129,527   3,084,038 
SPDR S&P 500 ETF Trust            42,810   8,831,703 
                 15,206,902 
TOTAL EXCHANGE TRADED FUNDS (Cost - $19,840,579)                20,555,800 
                   
             Contacts +     
OPTIONS * - 7.6%                  
CALL OPTION ON FUTURES PURCHASED - 6.1%                  
Swiss Market IX, Expiration June 18, 2016                  
Exercise Price CHF 7,619.75            50   20,863 
Swiss Market IX, Expiration June 18, 2016                  
Exercise Price CHF 7,639.18            30   12,046 
Swiss Market IX, Expiration June 18, 2016                  
Exercise Price CHF 7,759.00            10   3,092 
Swiss Market IX, Expiration June 18, 2016                  
Exercise Price CHF 8,022.89            60   8,641 
US 10 Year Future, Expiration June 16, 2016                  
Exercise Price $118            181   2,183,312 
                 2,227,954 
PUT OPTIONS ON FUTURES PURCHASED - 1.5%                  
S&P 500 E-Mini Option, Expiration June 17, 2016                  
Exercise Price $1,950            141   111,038 
Euro-Bund Option, Expiration June 16,2016                  
Exercise Price $172            37   428,865 
                 539,903 
                   
TOTAL OPTIONS (Cost - $2,609,259)                2,767,857 
                   
   Principal   Discount         
   Amount ($)   Rate   Maturity     
SHORT-TERM INVESTMENTS - 37.3%                  
U.S. GOVERNMENT SECURITIES - 25.7%                  
US Treasury Bill ++   8,175,000    0.2750%  5/26/2016   8,173,530 
US Treasury Bill   1,140,000    0.2600%  6/23/2016   1,139,536 
                 9,313,066 
   Shares   Interest Rate         
MONEY MARKET - 11.6%                  
STIT- Liquid Assets - Institutional Class   4,223,743    0.2600% ^^      4,223,743 
                   
TOTAL SHORT-TERM INVESTMENTS - (Cost - $13,536,809)                13,536,809 
                   
TOTAL INVESTMENTS - 101.5% (Cost - $35,986,647)               $36,860,466 
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.5)%                (549,990)
NET ASSETS - 100.0%               $36,310,476 
                   
                Unrealized 
                Appreciation 
Open Futures Contracts            Contracts  (Depreciation) 
LONG FUTURES CONTRACTS ** - (1.0)%                  
10 YR AUD Government Bond, June 2016                  
(Underlying Face Amount at Value $416.533.908)            56  $39,219 
10 YR Mini JBG Future, June 2016                  
(Underlying Face Amount at Value $5,104,151)            36   13,331 
CAC 40 10 Euro Future, May 2016                  
(Underlying Face Amount at Value $751,492)            15   (5,443)
CAN 10 YR Bond Future, June 2016                  
(Underlying Face Amount at Value $1,221,286)            11   5,201 
FTSE/MIB Index Future, June 2016                  
(Underlying Face Amount at Value $208,951)            2   (529)

 

See accompanying notes to financial statements.

30

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Dynamic Macro Fund (Continued)
April 30, 2016

 

 

       Unrealized 
       Appreciation 
Open Futures Contracts  Contracts   (Depreciation) 
LONG FUTURES CONTRACTS ** - (1.0)% (Continued)          
Hang Seng Index Future, May 2016          
(Underlying Face Amount at Value $403,256)   3   $(5,006)
IBEX - 35 Index Future, May 2016          
(Underlying Face Amount at Value $824,858)   8    36,425 
Long Gilt Future, June 2016          
(Underlying Face Amount at Value $1,050,853)   6    843 
S&P E-Mini Future, June 2016          
(Underlying Face Amount at Value $4,323,900)   42    (31,286)
SPI 200 Future, June 2016          
(Underlying Face Amount at Value $199,563)   2    4,050 
TOPIX Index Future, June 2016          
(Underlying Face Amount at Value $372,055)   3    (7,371)
TOTAL FUTURES CONTRACTS PURCHASED        49,434 
           
SHORT FUTURES CONTRACTS ** - (0.7)%          
10-Year US Treasury Note Future, June 2016          
(Underlying Face Amount at Value $5,591,203)   (6)   (4,990)
DAX Index Future, June 2016          
(Underlying Face Amount at Value $5,591,203)   (2)   20,886 
Euro-Bund Future, June 2016          
(Underlying Face Amount at Value $8,838,369)   (45)   49,907 
FTSE 100 Index, June 2016          
(Underlying Face Amount at Value $2,983,797)   (8)   (5,895)
S&P/TSX 60 IX Future, June 2016          
(Underlying Face Amount at Value $129,578)   (1)   (1,324)
TOTAL FUTURES CONTRACTS SOLD        58,584 
           
WRITTEN PUT FUTURE OPTIONS - 0.1%          
Swiss Market IX, Expiration June 18, 2016          
Exercise Price CHF 7,619.75   (50)   (5,270)
Swiss Market IX, Expiration June 18, 2016          
Exercise Price CHF 7,639.18   (30)   (3,298)
Swiss Market IX, Expiration June 18, 2016          
Exercise Price CHF 7,759   (10)   (1,428)
Swiss Market IX, Expiration June 18, 2016          
Exercise Price CHF 8,022.89   (60)   (15,184)
WRITTEN PUT FUTURE OPTIONS (Proceeds - $34,684)        (25,180)

 

ETF - Exchange Traded Fund

 

*Non income producing security.

 

+Each option contract allows holder to purchase/sell 100 shares of the underlying security at the exercise price.

 

++All or part of the security was held as collateral for futures outstanding as of April 30, 2016.

 

^^Variable rate security. Interest rate is as of April 30, 2016.

 

**The amounts shown are the underlying reference notional amounts to stock exchange indices, debt securities and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund.

 

Portfolio Composition * - (Unaudited)
Equity Funds   41.3%  Call Options On Futures Purchased   6.0%
U.S. Government Securities   25.3%  Put Option On Futures Purchased   1.4%
Debt Funds   14.5%  Total   100.0%
Money Market Fund   11.5%        

 

*Based on total value of investments as of April 30, 2016.

 

Percentage may differ from Schedule of Investments which is based on Fund net assets.

 

See accompanying notes to financial statements.

31

 

Dunham High-Yield Bond Fund

Message from the Sub-Adviser (PENN Capital Management Company, Inc.)

 

High-yield bonds, as measured by the BofA ML High-Yield Bond Cash Pay Index, underperformed investment-grade corporate bonds, as measured by the BofA ML Corporate Master Index, and Treasury bonds, as measured by the BofA ML US Treasury Master Index over the six-months ended April 30, 2016. Interest rates decreased during the fiscal period, which benefitted longer duration bonds while shorter duration bonds suffered. During this fiscal period, corporate bonds increased 4.2 percent, Treasury bonds increased 2.6 percent, while high-yield bonds increased 2.3 percent.

 

Interest rates on 10-year Treasury bonds fluctuated within a 70 basis point range over the fiscal six-month period. The 10-year Treasury yield went from a high of 2.34 percent on November 11, 2015 to a low of 1.64 percent on February 11, 2016, before settling at 1.82 percent to end the fiscal six-month period. The Fund’s double-B focus benefited performance but the shorter duration bias detracted somewhat from performance in the six-month period ended April 30, 2016, as double-B rated bonds and longer duration credit generally outperformed. Currently, the Fund is focused on single-B and above rated debt and has no exposure to triple-C rated bonds as default rates on below investment-grade bonds are near historic lows and if they rise, bonds rated triple-C and lower could be adversely affected.

 

The Fund continued to maintain a shorter duration relative to the benchmark index, with a bias toward the intermediate segment of the credit curve that matures in three to seven years and historically has exhibited less volatility. The average duration of positions held by the Fund moved somewhat lower during the fiscal six-month period from 4.0 years at the beginning of the period to end at 3.7 years. Bonds in the benchmark index maintained a fairly steady duration, beginning the fiscal period at 4.4 years and ending at 4.3 years. Bonds that have a maturity of more than 10 years have generally been avoided by the Fund unless purchased at a significant discount to par.

 

Holdings in the media & broadcasting sector added value on a relative and absolute basis, due to both an overweight to the sector and security selection. Sinclair Television Group, Inc. (829259AQ3) (holding percentage*: 0.63 percent), a television broadcasting company that owns or provides various programming, operating or sales services to television stations, was one of the better performing bonds in this sector, achieving a 6.3 percent return in the six-month period ending April 30, 2016.

 

Exposure to the energy sector was generally a positive for the Fund, mainly due to outperformance in the latter part of the six-month period ended April 30, 2016. A 3 percent overweight to the energy distribution sector was of particular benefit, though security selection in that area lagged somewhat. No exposure to energy services firms detracted slightly from performance, however, the benchmark only has a 0.68 percent weighting to these types of energy companies. Energy exploration and production firms also negatively impacted performance due to security selection. Targa Resources Partners LP. (87612BAH5) (holding percentage*: 0.47 percent), a Houston, TX based midstream oil and natural gas pipeline partnership, was a good performer in the energy distribution segment. The bonds gained 5.3 percent over the fiscal six-month period.

 

Going forward, the Sub-Adviser expects moderate gross domestic product growth of between 2 to 3 percent and U.S. economic momentum to continue. The Sub-Adviser believes the U.S. is not heading into a recession and believes that the U.S. Federal Reserve will not raise interest rates four times this year, but will be more patient. The Sub-Adviser plans to continue to underweight international high-yield bonds as yields are exceedingly low, with some developed countries having negative interest rates on government bonds. The Fund plans to focus on middle tier, single-B quality with a tactical allocation to bank loans, convertibles, and lower quality. Any pull-back in the high-yield market due to interest rate volatility should be considered a buying opportunity.

 

*Holdings percentage(s) as of 4/30/2016.

 

Growth of $100,000 Investment - (Unaudited)

 

(LINE GRAPH)

 

Total Returns as of April 30, 2016

 

      Annualized Annualized Annualized Annualized Since
  Six Months One Year Three Years Five Years Ten Years Inception(7/1/05)
Class N (0.38)% (2.32)% 0.71% 3.26% 4.89% 4.85%
Class C (0.63)% (2.95)% (0.03)% 2.50% 4.11% 4.07%
Class A with load of 4.50% (4.94)% (7.00)% (1.09)% 2.08% N/A 4.24%*
Class A without load (0.49)% (2.65)% 0.45% 3.01% N/A 4.24%*
BofA ML BB-B U.S. Non-Distressed HY Index 2.09% 0.52% 3.29% 5.71% 6.32% 6.25%
Morningstar High-Yield Bond Category 0.70% (2.55)% 1.39% 4.07% 5.33% 5.44%

 

*Class A commenced operations on January 3, 2007.

 

BofA ML BB-B U.S. Non-Distressed HY Index is an unmanaged portfolio constructed to mirror the public high-yield corporate debt market and is a subset of the Merrill Lynch High Yield Master II Index. Investors cannot invest directly in an index or benchmark.

 

The Morningstar High-Yield Bond Category is generally representative of mutual funds that primarily invest in U.S. high-income debt securities where at least 65% or more of bond assets are not rated or are rated by a major agency such as Standard & Poor’s or Moody’s at the level of BB (considered speculative for taxable bonds) and below.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.02% for Class N, 1.77% for Class C and 1.27% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com

32

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund
April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
BONDS & NOTES - 95.3%                  
AEROSPACE/DEFENSE - 0.5%                  
Triumph Group, Inc.  $520,000    4.8750%  4/1/2021  $496,600 
                   
AIRLINES - 2.0%                  
Air Canada - 144A   325,000    8.7500   4/1/2020   349,781 
Air Canada - 144A   360,000    7.7500   4/15/2021   375,300 
American Airlines Group, Inc. - 144A   535,000    4.6250   3/1/2020   527,643 
UAL 2007-1 Pass Through Trust   577,598    6.6360   7/2/2022   607,199 
                 1,859,923 
AUTO MANUFACTURERS - 0.6%                  
Fiat Chrysler Automobiles NV   565,000    5.2500   4/15/2023   573,498 
                   
AUTO PARTS & EQUIPMENT - 0.4%                  
TI Group Automotive Systems LLC - 144A   350,000    8.7500   7/15/2023   344,750 
                   
BANKS - 1.1%                  
CIT Group, Inc. ^   295,000    5.3750   5/15/2020   310,118 
Synovus Financial Corp.   626,000    7.8750   2/15/2019   697,207 
                 1,007,325 
BEVERAGES - 0.8%                  
Cott Beverages, Inc.   445,000    5.3750   7/1/2022   458,905 
Cott Beverages, Inc.   300,000    6.7500   1/1/2020   315,374 
                 774,279 
BUILDING MATERIALS - 1.8%                  
Builders FirstSource, Inc. - 144A   390,000    7.6250   6/1/2021   412,424 
Griffon Corp.   525,000    5.2500   3/1/2022   529,593 
James Hardie International Finance Ltd - 144A   500,000    5.8750   2/15/2023   511,250 
Masonite International Corp. - 144A^   265,000    5.6250   3/15/2023   278,250 
                 1,731,517 
CHEMICALS - 0.6%                  
Blue Cube Spinco, Inc. - 144A   350,000    9.7500   10/15/2023   401,187 
Blue Cube Spinco, Inc. - 144A^   180,000    10.0000   10/15/2025   208,350 
                 609,537 
COMMERCIAL SERVICES - 5.6%                  
ADT Corp.   160,000    3.5000   7/15/2022   147,600 
ADT Corp.   280,000    4.8750   7/15/2042   210,700 
ADT Corp.   275,000    6.2500   10/15/2021   285,867 
Ahern Rentals, Inc. - 144A   420,000    7.3750   5/15/2023   322,350 
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. - 144A   495,000    5.1250   6/1/2022   471,796 
Cardtronics, Inc.   570,000    5.1250   8/1/2022   574,280 
Hertz Corp.   225,000    7.5000   10/15/2018   229,333 
Hertz Corp.   265,000    6.7500   4/15/2019   270,315 
Jaguar Holding Co II - 144A   505,000    6.3750   8/1/2023   525,957 
Live Nation Entertainment, Inc. - 144A   325,000    7.0000   9/1/2020   340,714 
Live Nation Entertainment, Inc. - 144A   555,000    5.3750   6/15/2022   575,812 
Team Health, Inc. - 144A   525,000    7.2500   12/15/2023   558,796 
United Rentals North America, Inc.^   710,000    6.1250   6/15/2023   740,174 
                 5,253,694 

 

See accompanying notes to financial statements.

33

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund (Continued)
April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
COMPUTERS - 1.1%                  
Western Digital Corp. - 144A  $700,000    7.3750%  4/1/2023  $708,313 
Western Digital Corp. - 144A   350,000    10.5000   4/1/2024   341,250 
                 1,049,563 
COSMETICS/PERSONAL CARE - 0.8%                  
Revlon Consumer Products Corp.   760,000    5.7500   2/15/2021   776,150 
                   
DISTRIBUTION/WHOLESALE - 0.6%                  
HD Supply, Inc.   205,000    7.5000   7/15/2020   218,068 
HD Supply, Inc. - 144A   360,000    5.2500   12/15/2021   379,350 
                 597,418 
DIVERSIFIED FINANCIAL SERVICES - 4.5%                  
Ally Financial, Inc.   640,000    5.7500   11/20/2025   650,400 
Ally Financial, Inc.   345,000    4.2500   4/15/2021   351,900 
Ally Financial, Inc.   790,000    8.0000   11/1/2031   949,975 
Credit Acceptance Corp.   250,000    6.1250   2/15/2021   239,375 
E*TRADE Financial Corp.   270,000    4.6250   9/15/2023   274,644 
Fly Leasing Ltd.   420,000    6.7500   12/15/2020   423,150 
Fly Leasing Ltd.   410,000    6.3750   10/15/2021   403,338 
International Lease Finance Corp.   760,000    8.6250   1/15/2022   922,450 
                 4,215,232 
ELECTRIC - 3.3%                  
Calpine Corp.   515,000    5.3750   1/15/2023   522,081 
Calpine Corp.   350,000    5.7500   1/15/2025   354,813 
Dynegy, Inc.^   540,000    6.7500   11/1/2019   547,290 
NRG Energy, Inc.   580,000    8.2500   9/1/2020   603,200 
NRG Energy, Inc.   365,000    7.6250   1/15/2018   392,375 
NRG Energy, Inc.^   375,000    7.8750   5/15/2021   391,725 
NRG Energy, Inc.   270,000    6.2500   7/15/2022   266,036 
                 3,077,520 
ELECTRICAL COMPONENTS & EQUIPMENT - 1.9%                  
Anixter, Inc.   425,000    5.1250   10/1/2021   431,375 
Anixter, Inc. - 144A   255,000    5.5000   3/1/2023   261,694 
Belden, Inc. - 144A   625,000    5.5000   9/1/2022   634,375 
WESCO Distribution, Inc.   435,000    5.3750   12/15/2021   443,700 
                 1,771,144 
ENGINEERING & CONSTRUCTION - 0.2%                  
Tutor Perini Corp.   220,000    7.6250   11/1/2018   218,900 
                   
ENTERTAINMENT - 3.8%                  
Eldorado Resorts, Inc. - 144A   335,000    7.0000   8/1/2023   350,913 
Isle of Capri Casinos, Inc.   445,000    5.8750   3/15/2021   466,138 
Palace Entertainment Holdings LLC / Palace Entertainment Holdings Corp. - 144A   1,140,000    8.8750   4/15/2017   1,140,000 
Penn National Gaming, Inc.   370,000    5.8750   11/1/2021   380,175 
Pinnacle Entertainment, Inc. - 144A   160,000    5.6250   5/1/2024   160,200 
Regal Entertainment Group   550,000    5.7500   6/15/2023   565,813 
Scientific Games International, Inc. - 144A   480,000    7.0000   1/1/2022   491,700 
                 3,554,939 
FOOD - 0.9%                  
JBS USA LLC - 144A   265,000    7.2500   6/1/2021   272,950 
JBS USA LLC - 144A   90,000    7.2500   6/1/2021   92,700 
JBS USA LLC - 144A   475,000    5.8750   7/15/2024   444,125 
                 809,775 

 

See accompanying notes to financial statements.

34

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund (Continued)
April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
HEALTHCARE-PRODUCTS - 0.5%                  
Kinetic Concepts, Inc. / KCI USA, Inc.  $460,000    10.5000%  11/1/2018  $467,199 
                   
HEALTHCARE-SERVICES - 5.1%                  
Amsurg Corp.   365,000    5.6250   7/15/2022   375,950 
Centene Corp. - 144A   270,000    5.6250   2/15/2021   284,850 
Centene Corp. - 144A   95,000    6.1250   2/15/2024   100,463 
CHS/Community Health Systems, Inc.   105,000    5.1250   8/15/2018   106,575 
CHS/Community Health Systems, Inc.   595,000    5.1250   8/1/2021   599,706 
Envision Healthcare Corp. - 144A   475,000    5.1250   7/1/2022   485,688 
HCA, Inc.   260,000    5.3750   2/1/2025   266,175 
HCA, Inc.   455,000    7.5000   2/15/2022   517,563 
MEDNAX, Inc. - 144A   290,000    5.2500   12/1/2023   300,875 
Select Medical Corp.   405,000    6.3750   6/1/2021   386,269 
Tenet Healthcare Corp.^   400,000    6.0000   10/1/2020   426,000 
Tenet Healthcare Corp.^   635,000    8.1250   4/1/2022   661,988 
Tenet Healthcare Corp.   340,000    5.0000   3/1/2019   338,300 
                 4,850,402 
HOLDING COMPANIES-DIVERSIFIED - 0.4%                  
Argos Merger Sub, Inc. - 144A   400,000    7.1250   3/15/2023   410,000 
                   
HOME BUILDERS - 1.1%                  
Taylor Morrison Communities, Inc. - 144A ^   385,000    5.2500   4/15/2021   385,963 
William Lyon Homes, Inc.   655,000    8.5000   11/15/2020   682,838 
                 1,068,801 
HOME FURNISHINGS - 0.7%                  
Tempur Sealy International, Inc.   270,000    6.8750   12/15/2020   285,863 
Tempur Sealy International, Inc. - 144A   390,000    5.6250   10/15/2023   407,550 
                 693,413 
INTERNET - 0.8%                  
Match Group, Inc. - 144A   485,000    6.7500   12/15/2022   497,125 
Netflix, Inc.   235,000    5.3750   2/1/2021   249,688 
                 746,813 
LEISURE TIME - 0.4%                  
NCL Corp. Ltd. - 144A   400,000    4.6250   11/15/2020   408,500 
                   
LODGING - 3.1%                  
Boyd Gaming Corp.   700,000    9.0000   7/1/2020   739,024 
FelCor Lodging LP   720,000    5.6250   3/1/2023   743,400 
MGM Resorts International   950,000    7.7500   3/15/2022   1,065,188 
MGM Resorts International   390,000    6.7500   10/1/2020   418,275 
                 2,965,887 
MEDIA - 13.8%                  
Altice Financing SA - 144A   545,000    6.6250   2/15/2023   540,940 
Cablevision Systems Corp.   225,000    8.6250   9/15/2017   239,344 
Cequel Communications Holdings I LLC / Cequel Capital Corp. - 144A   830,000    6.3750   9/15/2020   852,850 
Clear Channel Worldwide Holdings, Inc.   495,000    7.6250   3/15/2020   461,281 
Clear Channel Worldwide Holdings, Inc.   740,000    6.5000   11/15/2022   747,400 
CSC Holdings LLC   125,000    7.8750   2/15/2018   135,313 
CSC Holdings LLC   550,000    8.6250   2/15/2019   611,875 
CSC Holdings LLC   180,000    6.7500   11/15/2021   186,188 
DISH DBS Corp.   510,000    7.8750   9/1/2019   564,188 

 

See accompanying notes to financial statements.

35

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund (Continued)
April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
MEDIA (CONTINUED) - 13.8%                  
DISH DBS Corp.  $280,000    6.7500%  6/1/2021  $289,159 
Entercom Radio LLC   620,000    10.5000   12/1/2019   651,910 
Gray Television, Inc.   1,155,000    7.5000   10/1/2020   1,215,638 
LIN Television Corp.   390,000    6.3750   1/15/2021   409,013 
Mediacom LLC / Mediacom Capital Corp.   660,000    7.2500   2/15/2022   693,825 
Nexstar Broadcasting, Inc.   1,140,000    6.8750   11/15/2020   1,199,850 
Nexstar Broadcasting, Inc. - 144A   325,000    6.1250   2/15/2022   327,438 
Numericable-SFR SA - 144A   210,000    6.0000   5/15/2022   211,061 
Numericable-SFR SA - 144A   630,000    6.2500   5/15/2024   611,888 
Radio One, Inc. - 144A   650,000    7.3750   4/15/2022   602,875 
Sinclair Television Group, Inc.^   560,000    6.3750   11/1/2021   595,000 
Sinclair Television Group, Inc. - 144A   265,000    5.6250   8/1/2024   273,281 
TEGNA, Inc. - 144A   85,000    5.5000   9/15/2024   88,081 
Time, Inc. - 144A   350,000    5.7500   4/15/2022   334,751 
Townsquare Media, Inc. - 144A   400,000    6.5000   4/1/2023   388,500 
Tribune Media Co. - 144A   380,000    5.8750   7/15/2022   379,050 
Videotron Ltd   425,000    5.0000   7/15/2022   442,531 
                 13,053,230 
MINING - 0.9%                  
FMG Resources August 2006 Pty Ltd. - 144A   250,000    9.7500   3/1/2022   264,075 
Freeport-McMoRan, Inc.   420,000    2.3750   3/15/2018   405,300 
Freeport-McMoRan, Inc.   150,000    3.1000   3/15/2020   135,992 
                 805,367 
MISCELLANEOUS MANUFACTURERS - 0.5%                  
EnPro Industries, Inc.   445,000    5.8750   9/15/2022   466,138 
                   
OFFICE/BUSINESS EQUIPMENT - 0.3%                  
CDW LLC   240,000    5.5000   12/1/2024   253,800 
                   
OIL & GAS - 4.8%                  
Antero Resources Corp.   580,000    5.3750   11/1/2021   564,050 
Carrizo Oil & Gas, Inc.^   525,000    7.5000   9/15/2020   530,250 
Continental Resources, Inc./OK   240,000    7.1250   4/1/2021   244,800 
Continental Resources, Inc.   255,000    5.0000   9/15/2022   239,381 
Gulfport Energy Corp.   825,000    7.7500   11/1/2020   837,375 
Rice Energy, Inc.   375,000    6.2500   5/1/2022   373,125 
Southwestern Energy Co.   245,000    7.5000   2/1/2018   241,938 
Sunoco LP - 144A   425,000    5.5000   8/1/2020   425,531 
Sunoco LP - 144A   95,000    6.2500   4/15/2021   96,425 
Western Refining, Inc.   840,000    6.2500   4/1/2021   781,200 
WPX Energy, Inc.   170,000    6.0000   1/15/2022   153,425 
                 4,487,500 
PACKAGING & CONTAINERS - 0.8%                  
Reynolds Group Issuer, Inc.^   750,000    5.7500   10/15/2020   780,000 
                   
PHARMACEUTICALS - 2.3%                  
Endo Ltd - 144A   525,000    6.0000   2/1/2025   504,000 
Endo Ltd - 144A   200,000    6.0000   7/15/2023   197,250 
Valeant Pharmaceuticals International - 144A   800,000    6.3750   10/15/2020   729,000 
Valeant Pharmaceuticals International - 144A   375,000    6.7500   8/15/2021   331,875 
Valeant Pharmaceuticals International, Inc. - 144A   445,000    5.3750   3/15/2020   396,328 
                 2,158,453 

 

See accompanying notes to financial statements.

36

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund (Continued)
April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
PIPELINES - 7.1%                  
Blue Racer Midstream LLC / Blue Racer Finance Corp. - 144A  $400,000    6.1250%  11/15/2022  $356,000 
DCP Midstream LLC - 144A   105,000    5.3500   3/15/2020   100,006 
DCP Midstream LLC - 144A   180,000    4.7500   9/30/2021   164,700 
DCP Midstream LLC - 144A   195,000    5.8500   5/21/2043   123,825 
DCP Midstream Operating LP   260,000    3.8750   3/15/2023   230,100 
Energy Transfer Partners LP   250,000    4.1500   10/1/2020   247,287 
MPLX LP - 144A   240,000    5.5000   2/15/2023   239,722 
MPLX LP - 144A   600,000    4.5000   7/15/2023   583,383 
NGPL PipeCo LLC - 144A   270,000    7.1190   12/15/2017   280,125 
Rockies Express Pipeline LLC - 144A   525,000    5.6250   4/15/2020   523,688 
Rockies Express Pipeline LLC - 144A   985,000    6.8750   4/15/2040   871,725 
Sabine Pass Liquefaction LLC   870,000    5.6250   2/1/2021   868,913 
Sabine Pass Liquefaction LLC   860,000    6.2500   3/15/2022   875,050 
Targa Resources Partners LP   430,000    6.8750   2/1/2021   441,825 
Targa Resources Partners LP   755,000    5.0000   1/15/2018   763,018 
                 6,669,367 
REAL ESTATE - 1.0%                  
Realogy Group LLC - 144A^   855,000    5.2500   12/1/2021   897,750 
                   
REITS - 2.9%                  
Equinix, Inc.   145,000    5.3750   4/1/2023   152,250 
Equinix, Inc.   575,000    5.3750   1/1/2022   603,750 
Equinix, Inc.   250,000    5.8750   1/15/2026   265,155 
iStar, Inc.   630,000    7.1250   2/15/2018   649,688 
iStar, Inc.   545,000    5.0000   7/1/2019   531,375 
RHP Hotel Properties LP   480,000    5.0000   4/15/2021   498,000 
                 2,700,218 
RETAIL - 0.7%                  
Dollar Tree, Inc. - 144A^   420,000    5.7500   3/1/2023   450,576 
GameStop Corp. - 144A   225,000    5.5000   10/1/2019   220,781 
                 671,357 
SEMICONDUCTORS - 0.9%                  
Micron Technology, Inc. - 144A   135,000    5.8750   2/15/2022   119,813 
Micron Technology, Inc. - 144A   335,000    5.2500   8/1/2023   272,358 
Micron Technology, Inc. - 144A   90,000    7.5000   9/15/2023   93,375 
Qorvo, Inc. - 144A   330,000    6.7500   12/1/2023   339,900 
                 825,446 
SOFTWARE - 2.4%                  
First Data Corp. - 144A   930,000    7.0000   12/1/2023   959,063 
First Data Corp. - 144A   220,000    5.0000   1/15/2024   223,025 
Nuance Communications, Inc. - 144A   1,075,000    5.3750   8/15/2020   1,104,563 
                 2,286,651 
TELECOMMUNICATIONS - 12.4%                  
CenturyLink, Inc.   70,000    6.4500   6/15/2021   71,750 
CenturyLink, Inc.   370,000    5.6250   4/1/2020   381,563 
CenturyLink, Inc.   80,000    7.5000   4/1/2024   80,400 
Cincinnati Bell, Inc.   575,000    8.3750   10/15/2020   592,250 
Cogent Communications Finance, Inc. - 144A   460,000    5.6250   4/15/2021   453,100 
CommScope, Inc. - 144A   200,000    5.5000   6/15/2024   201,380 
CyrusOne LP   840,000    6.3750   11/15/2022   890,921 
EarthLink Holdings Corp.   536,000    8.8750   5/15/2019   550,070 
EarthLink Holdings Corp.   960,000    7.3750   6/1/2020   1,008,000 

 

See accompanying notes to financial statements.

37

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund (Continued)
April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
TELECOMMUNICATIONS (Continued) - 12.4%                  
FairPoint Communications, Inc. - 144A  $1,050,000    8.7500%  8/15/2019  $996,188 
Frontier Communications Corp.   480,000    8.5000   4/15/2020   509,400 
Frontier Communications Corp.^   855,000    9.2500   7/1/2021   894,544 
Frontier Communications Corp.^   115,000    6.2500   9/15/2021   107,525 
Frontier Communications Corp.   465,000    6.8750   1/15/2025   388,855 
Frontier Communications Corp. - 144A   265,000    10.5000   9/15/2022   273,642 
GCI, Inc.   335,000    6.8750   4/15/2025   340,025 
Level 3 Financing, Inc.   520,000    5.3750   8/15/2022   533,650 
Level 3 Financing, Inc.   330,000    5.1250   5/1/2023   337,013 
Qwest Corp.   210,000    6.7500   12/1/2021   227,367 
Sprint Communications, Inc. - 144A   315,000    9.0000   11/15/2018   334,294 
Sprint Communications, Inc. - 144A   435,000    7.0000   3/1/2020   448,594 
Sprint Communications, Inc.   385,000    7.0000   8/15/2020   321,475 
Sprint Communications, Inc.   495,000    7.2500   9/15/2021   402,188 
ViaSat, Inc.   220,000    6.8750   6/15/2020   227,425 
West Corp. - 144A   410,000    5.3750   7/15/2022   372,588 
Windstream Services LLC   350,000    7.7500   10/15/2020   318,322 
Windstream Services LLC   555,000    7.7500   10/1/2021   473,138 
                 11,735,667 
TRANSPORTATION - 1.9%                  
Navios Maritime Acquisition Corp. / Navios Acquisition Finance US, Inc. - 144A   420,000    8.1250   11/15/2021   347,550 
Watco Cos LLC / Watco Finance Corp. - 144A   730,000    6.3750   4/1/2023   730,000 
XPO CNW, Inc.   665,000    7.2500   1/15/2018   678,300 
                 1,755,850 
                   
TOTAL BONDS & NOTES (Cost - $89,208,204)                89,879,573 
                   
        Interest         
Security  Shares   Rate         
SHORT-TERM INVESTMENT - 4.7%                  
MONEY MARKET FUND - 4.7%                  
First American Government Obligations Fund   4,417,375    0.01% +      4,417,375 
TOTAL SHORT-TERM INVESTMENT (Cost - $4,417,375)                  
                   
COLLATERAL FOR SECURITIES LOANED - 14.8%                  
Mount Vernon Prime Portfolio + (Cost - $13,974,490)   13,974,490    0.51%      13,974,490 
                   
TOTAL INVESTMENTS - 114.8% (Cost - $107,600,069)               $108,271,438 
LIABILITIES IN EXCESS OF OTHER ASSETS - (14.8)%                (13,922,726)
NET ASSETS - 100.0%               $94,348,712 

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $13,672,961 at April 30, 2016 .

 

+Variable rate security. Interest rate is as of April 30, 2016.

 

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.

 

REITS - Real Estate Investment Trusts.

 

Portfolio Composition - (Unaudited)
B1   18.3%  Ba2   9.5%
B3   17.2%  Ba1   4.5%
Baa3   14.9%  Caa1   4.3%
B2   13.5%  Caa2   0.8%
Collateral For Securities Loaned   12.9%  Short-Term Investment   4.1%
        Total   100.0%

 

*Based on total value of investments as of April 30, 2016.

 

**Bond Ratings provided by Fitch Ratings.

 

Percentage may differ from Schedule of Investments which is based on Fund net assets.

 

See accompanying notes to financial statements.

38

 

Dunham International Opportunity Bond Fund

Message from the Sub-Adviser (Rogge Global Partners PLC)

 

International bonds, as measured by the Barclays Global Aggregate Ex-U.S. Bond Index, continued to experience a higher correlation to U.S. dollar movements relative to foreign currencies than from changing expectations on default rates or interest rate increases in foreign countries. During the six-month period ended April 30, 2016, international bonds increased 8.7 percent, while the U.S. dollar generally declined 4.2 percent against a basket of major world currencies. This relative depreciation of the U.S. dollar was not consistent across foreign markets, as its 4.0 percent decline versus the euro was met with an 11.7 percent depreciation versus the yen. Conversely, the British Pound decreased versus the U.S. dollar, losing 5.3 percent over the six-month period. While foreign interest rate movements had a lesser effect on bond prices, with the exception of the Bank of Japan’s move to negative interest rates, the focus on U.S. interest rate prospects and vague enigmatically worded insights from the U.S. Federal Open Market Committee coincided with a thriving or tumbling U.S. dollar.

 

While the Sub-Adviser primarily focuses on developed markets, developing countries generally saw their sovereign debt surge beyond their developed counterparts during the most recent three-month period. Emerging markets bonds, as measured by the Barclays Emerging Markets Ex-U.S. Aggregate Bond Index, decreased 2.4 percent during the first fiscal quarter, but rebounded 8.5 percent in the second fiscal quarter. The Sub-Adviser believes that while developed countries appear to have emerged from their deleveraging cycle after the financial crisis, developing market countries are still mid-cycle. Fund holdings in emerging market countries included the Mexico sovereign bond, Mex Bonos Desrr Fix Rate 10% 12/5/2024 (B05QN14) (holding percentage*: 1.58 percent). During the six-month period, these peso-denominated bonds increased 4.5 percent in local currency terms. However, the Mexican peso declined versus the U.S. dollar during the six-month period, detracting 4.1 percent from the local currency-denominated increase. The relative decline in the value of the peso was not consistent across the six-month period. In the first three months of the fiscal year, the peso declined 8.9 percent versus the U.S. dollar before bouncing up 5.4 percent in the second fiscal quarter.

 

The Fund continued to focus on peripheral Europe, as the Sub-Adviser believes the countries in peripheral Europe are under pressure but are committed to keeping the countries solvent. The Sub-Adviser maintained allocations to Spain and Italy, which were two of the most positive contributors to performance on a country level in the first fiscal quarter. The Fund continued to hold the Italian bond, Buoni Poliennali Del Tesoro 4.5% 3/1/2024 (BCRYKK8) (holding percentage*: 1.37 percent) and the Spanish bond, Bonos Y Oblig Del Estado 4.2% Due 01/21/2037 (B05L4R2) (holding percentage*: 0.50 percent). During the six-month period, the Italian bond returned 1.7 percent and the Spanish bond increased 2.6 percent in local currency terms. As both of these countries are members of the euro-zone the appreciation of the euro versus the U.S. dollar added 4.0 percent to the performance for each of these two bonds.

 

Although Japanese bonds saw a significant rise in the first fiscal quarter, the Sub-Adviser maintained a negative view on Japan during the entire six-month period, retaining the Fund’s underweight to the country’s debt. This was primarily fueled by the Bank of Japan’s 0.1 percent penalty on excess cash imposed on its private sector lenders and the yen’s stunning 12.1 percent increase versus the U.S. dollar in the second fiscal quarter. On an absolute basis, the Fund continued to benefit from its exposure to Japan, as bonds such as the Japan 99 2.1% 12/20/2027 (B2B35B7) (holding percentage*: 4.41 percent) returned 5.6 percent during the six-month period. This gain paled in comparison to the added return benefits from the yen’s appreciation versus the U.S. dollar. Furthermore, this most recent increase in the Japanese sovereign bond price resulted in the yield to maturity shifting into negative territory, joining other countries with negative bond yields such as Sweden and Switzerland.

 

The less than exciting global economic growth backdrop has led the Sub-Adviser to focus even more on how central banks attempt to jump-start their local economies. As these actions often coincide with shifts in the respective country’s local currency versus its primary trading partners, the ripple-effects may be widespread. The Sub-Adviser also believes that lower energy prices continue to provide a tailwind for developed economies, while key emerging markets are still in a deleveraging phase. The Sub-Adviser continues to believe that the key risks moving forward are further devaluation of the Chinese yuan, slowing growth in China, and volatility and illiquidity in credit markets.

 

*Holdings Percentage(s) as of 4/30/2016.

 

Growth of $100,000 Investment – (Unaudited)

 

(LINE GRAPH)

 

Total Returns as of April 30, 2016

 

      Annualized Since
  Six Months One Year Inception (11/1/13)
Class N 7.38% 4.56% (1.40)%
Class C 6.91% 3.84% (2.13)%
Class A with load of 4.50% 2.52% (0.37)% (3.44)%
Class A without load 7.24% 4.31% (1.64)%
Barclays Global ex-US Aggregate Bond Index Unhedged 8.72% 6.58% (0.16)%
Morningstar World Bond Category 4.19% 1.12% 0.99%

 

The Barclays Global ex US Aggregate Bond Index Unhedged is designed to be a broad based measure of the global investment-grade, fixed rate, fixed income corporate markets outside the United States. Investors cannot invest directly in an index or benchmark.

 

The Morningstar World Bond Category is generally representative of funds that invest at least 40% of bonds in foreign markets. Investors cannot invest directly in an index or benchmark.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.38% for Class N, 2.13% for Class C and 1.63% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

39

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham International Opportunity Bond Fund
April 30, 2016

 

Security  Principal Amount     Interest Rate   Maturity Date  Value 
CORPORATE BONDS & NOTES - 35.4%                    
AGRICULTURE - 1.4%                    
BAT International Finance PLC   200,000  EUR   0.8750%  10/13/2023  $227,379 
Imperial Tobacco Finance PLC - 144A   200,000  USD   2.9500   7/21/2020   206,335 
                   433,714 
AUTO MANUFACTURERS - 1.0%                    
Daimler AG   150,000  EUR   4.1250   1/19/2017   176,878 
Fiat Chrystler Finance   100,000  EUR   4.7500   7/15/2022   125,072 
                   301,950 
BANKS - 16.6%                    
Abbey National Treasury Services PLC   100,000  EUR   2.0000   1/14/2019   119,054 
ABN AMRO Bank NV   200,000  EUR   6.3750   4/27/2021   278,092 
Banco de Sabadell SA   200,000  EUR   0.6250   11/3/2020   231,993 
Barclays Bank PLC   200,000  EUR   6.0000   1/14/2021   261,207 
BNP Paribas SA   200,000  EUR   2.8750   9/26/2023   261,319 
BPCE SA   200,000  EUR   4.6250   7/18/2023   265,320 
Caixa Bank SA   300,000  EUR   0.6250   11/12/2020   349,369 
Credit Agricole SA   100,000  EUR   3.8750   2/13/2019   126,508 
HSBC Holdings PLC   200,000  EUR   6.0000   6/10/2019   263,876 
Intesa Sanpaolo SpA   200,000  EUR   4.3750   10/15/2019   258,466 
KBC Groep NV   200,000  EUR   2.3750 +  11/25/2024   234,218 
KBC IFIMA SA   250,000  EUR   2.1250   9/10/2018   300,242 
Lloyds Bank PLC   150,000  EUR   6.5000   3/24/2020   202,923 
National Australia Bank Ltd.   100,000  GBP   5.1250   12/9/2021   167,782 
Societe Generale SA   350,000  USD   2.7500   10/12/2017   356,153 
Societe Generale SA   200,000  EUR   4.0000   6/7/2023   255,159 
Sumitomo Mitsui Banking Corp.   350,000  USD   1.5000   1/18/2018   349,050 
Toronto-Dominion Bank   300,000  USD   1.4000   4/30/2018   300,263 
UBS AG/London   200,000  GBP   6.6250   4/11/2018   323,198 
Westpac Banking Corp.   250,000  EUR   2.1250   7/9/2019   305,758 
                   5,209,950 
BUILDING MATERIALS - 0.4%                    
Cemex Finance LLC   100,000  EUR   5.2500   4/1/2021   118,782 
                     
DIVERSIFIED FINANCIAL SERVICES - 1.4%                    
Arkle Master Issuer PLC   150,000  GBP   4.6810   2/17/2017   225,749 
Arkle Master Issuer PLC   150,000  GBP   3.9860   8/17/2017   226,805 
                   452,554 
ELECTRIC - 2.3%                    
Enel Finance International NV   200,000  EUR   1.9660   1/27/2025   245,478 
Engie SA   100,000  GBP   7.0000   10/30/2028   210,658 
Iberdrola Finanzas   200,000  EUR   4.1250   3/23/2020   263,369 
                   719,505 
ELECTRONICS - 0.4%                    
Trionista Holdco GmbH   100,000  EUR   5.0000   4/30/2020   117,822 
                     
FOOD - 0.4%                    
Agrokor dd   100,000  EUR   9.1250   2/1/2020   122,573 
                     
GAS - 1.0%                    
National Grid PLC   250,000  EUR   4.3750   3/10/2020   330,436 
                     
INSURANCE - 2.7%                    
Allianz Finance II BV   100,000  EUR   4.7500   7/22/2019   131,968 
Allianz Finance II BV   200,000  EUR   5.7500 +  7/8/2041   267,438 
AXA SA   150,000  EUR   5.2500 +  4/16/2040   190,777 
Willow No 2 Ireland PLC for Zurich Insurance Co. Ltd.   200,000  EUR   3.3750   6/27/2022   265,316 
                   855,499 
MEDIA - 1.2%                    
Sky PLC   200,000  EUR   1.5000   9/15/20/21   233,273 
Virgin Media Secured Finance PLC   100,000  GBP   5.5000   1/15/2021   156,012 
                   389,285 

 

See accompanying notes to financial statements.

40

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham International Opportunity Bond Fund (Continued)
April 30, 2016

 

Security  Principal Amount     Interest Rate   Maturity Date  Value 
MINING - 0.4%                    
Anglo American Capital PLC   100,000  EUR   2.7500%  6/7/2019  $112,204 
                     
PACKAGING & CONTAINERS - 0.4%                    
Crown European Holdings SA   100,000  EUR   4.0000   7/15/2022   123,623 
                     
REAL ESTATE - 0.4%                    
Deutsche Rastataetten Gruppe IV GmBH   100,000  EUR   6.7500   12/30/2020   122,793 
                     
RETAIL - 0.4%                    
Dufry Finance SCA   100,000  EUR   4.5000   7/15/2022   122,409 
                     
SAVINGS & LOANS - 2.5%                    
Coventry Building Society   150,000  EUR   2.2500   12/4/2017   177,126 
Nationwide Building Society   250,000  GBP   1.6250   4/3/2019   296,733 
Nationwide Building Society   100,000  GBP   5.6250   9/9/2019   165,237 
Silverstone Master Issuer PLC   100,000  GBP   5.0630 +  1/21/2055   149,519 
                   788,615 
TELECOMMUNICATIONS - 2.5%                    
America Movil SAB de CV   200,000  EUR   3.0000   7/12/2021   252,016 
Play Finance 2 SA   100,000  EUR   5.2500   2/1/2019   117,973 
Telecom Italia SpA   50,000  GBP   6.3750   6/24/2019   81,352 
Telefonica Emisiones SAU   200,000  EUR   1.4770   9/14/2021   236,763 
Wind Acquisition Finance SA   100,000  EUR   4.0000   7/15/2020   112,244 
                   800,348 
                     
TOTAL CORPORATE BONDS & NOTES (Cost - $11,276,590)                  11,122,062 
                     
FOREIGN GOVERNMENT BONDS - 60.5%                    
Austria Government Bond - 144A   250,000  EUR   1.2000   10/20/2025   305,216 
Belgium Government Bond   150,000  EUR   4.2500   9/28/2022   218,089 
Belgium Government Bond - 144A   100,000  EUR   5.0000   3/28/2035   184,808 
Bundesrepublik Deutschland   20,000  EUR   3.2500   7/4/2042   35,008 
Canadian Government Bond   250,000  CAD   5.7500   6/1/2033   308,820 
Canadian Government Bond   250,000  CAD   4.0000   6/1/2041   273,559 
Denmark Government Bond   1,850,000  DKK   3.0000   11/15/2021   332,340 
France Government Bond OAT   120,000  EUR   4.7500   4/25/2035   217,361 
France Government Bond OAT   150,000  EUR   4.5000   4/25/2041   278,376 
Hungary Government International Bond   100,000  USD   5.3750   3/25/2024   111,338 
Indonesia Government International Bond - 144A   150,000  EUR   2.8750   7/8/2021   178,438 
Ireland Government Bond   100,000  EUR   5.4000   3/13/2025   158,592 
Italy Buoni Poliennali Del Tesoro   650,000  EUR   0.7500   1/15/2018   754,830 
Italy Buoni Poliennali Del Tesoro   250,000  EUR   4.5000   2/1/2020   332,083 
Italy Buoni Poliennali Del Tesoro   100,000  EUR   5.5000   11/1/2022   147,882 
Italy Buoni Poliennali Del Tesoro   340,000  EUR   4.5000   3/1/2024   485,100 
Italy Buoni Poliennali Del Tesoro   240,000  EUR   3.7500   9/1/2024   327,719 
Italy Buoni Poliennali Del Tesoro   240,000  EUR   5.0000   9/1/2040   398,316 
Japan Government Ten Year Bond   129,500,000  JPY   1.4000   9/20/2019   1,277,359 
Japan Government Thirty Year Bond   100,450,000  JPY   2.5000   6/20/2036   1,342,474 
Japan Government Thirty Year Bond   80,300,000  JPY   2.0000   9/20/2041   1,053,752 
Japan Government Twenty Year Bond   241,150,000  JPY   1.9000   9/20/2023   2,604,050 
Japan Government Twenty Year Bond   133,800,000  JPY   2.1000   12/20/2027   1,560,802 
Korea Treasury Bond   832,150,000  KRW   3.0000   9/10/2024   801,619 
Malaysia Government Bond   1,400,000  MYR   3.8000   8/17/2023   358,023 
Mexican Bonos   14,900,000  MXN   6.5000   6/9/2022   916,499 
Mexican Bonos   7,400,000  MXN   10.0000   12/5/2024   557,636 
Poland Government Bond   300,000  PLN   5.7500   9/23/2022   93,618 
Romanian Government International Bond   100,000  EUR   2.8750   10/28/2024   120,104 
Spain Government Bond - 144A   80,000  EUR   5.4000   1/31/2023   118,573 
Spain Government Bond - 144A   200,000  EUR   4.4000   10/31/2023   283,121 
Spain Government Bond - 144A   250,000  EUR   3.8000   4/30/2024   340,582 
Spain Government Bond - 144A   120,000  EUR   4.2000   1/31/2037   175,260 
Sweden Government Bond   3,600,000  SEK   4.2500   3/12/2019   508,929 
Switzerland Government Bond   400,000  CHF   4.0000   2/11/2023   548,552 
United Kingdom Gilt   250,000  GBP   4.2500   6/7/2032   473,339 
United Kingdom Gilt   235,000  GBP   4.5000   12/7/2042   488,756 
United Kingdom Gilt   150,000  GBP   4.2500   12/7/2055   335,975 
TOTAL FOREIGN GOVERNMENT BONDS (Cost - $18,569,974)                  19,006,898 

 

See accompanying notes to financial statements.

41

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham International Opportunity Bond Fund (Continued)
April 30, 2016

 

Security  Principal Amount     Interest Rate   Maturity  Value 
ASSET BACKED SECURITIES - 0.4%                    
Sunrise SRL + (Cost - $111,835)   100,000  EUR   0.5580%  5/27/2035  $115,271 
                     
MORTGAGE BACKED SECURITIES - 0.7%                    
German Residential Funding 2013-2 Ltd.   92,322  EUR   0.9190 +  8/27/2024   106,693 
Taurus 2013 GMF1 PLC   95,773  EUR   0.8550 +  5/21/2024   110,763 
TOTAL MORTGAGE BACKED SECURITIES (Cost - $213,024)                  217,456 
                     
WHOLE LOAN COLLATERAL - 0.9%                    
Bankinter 10 Fondo de Titulizacion de Activos   126,846  EUR   0.0270 +  6/21/2043   140,683 
Fondo de Titulizacion de Activos Santander Hipotecario 2   58,150  EUR   0.0070 +  1/18/2049   64,258 
Silverstone Master Issuer PLC - 144A   50,000  GBP   0.9575 +  1/20/2070   72,924 
TOTAL WHOLE LOAN COLLATERAL (Cost - $271,940)                  277,865 
                     
   Shares                
SHORT-TERM INVESTMENTS - 0.6%                    
MONEY MARKET FUND - 0.6%                    
Fidelity Institutional Money Market Funds - Government Portfolio                    
(Cost - $198,538)   198,538      0.0800 +      198,538 
                     
TOTAL INVESTMENTS - 98.5% (Cost - $30,641,901)                 $30,938,090 
OTHER ASSETS LESS LIABILITIES - 1.5%                  464,246 
NET ASSETS - 100.0%                 $31,402,336 

 

 

CAD - Canadian Dollar EUR - EURO MXN - Mexican Peso
     
CHF - Swiss Franc GBP - United Kingdom Pound PLN - Polish Zloty
     
DKK - Danish Krone JPY - Japanese Yen SEK - Swedish Krona

 

+Variable rate security. Interest rate is as of April 30, 2016.

 

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.

 

Perpetual - Perpetual bonds are fixed income instruments without defined maturity dates.

 

               Unrealized 
               Appreciation 
Futures Contracts  Contracts           (Depreciation) 
FUTURES CONTRACTS PURCHASED*                    
10 YR AUD Government Bond maturing June, 2016                    
(Underlying Face Amount at Value $37,190,528)   5             $94,608 
Canadian 10 Year Bond maturing June, 2016                    
(Underlying Face Amount at Value ($333,078)   3              6,370 
Euro Buxl Future maturing June, 2016                    
(Underlying Face Amount at Value $748,738)   4              6,792 
Long Gilt Future maturing June, 2016                    
(Underlying Face Amount at Value $239,200)   2              7,170 
NET UNREALIZED GAIN FROM FUTURES CONTRACTS PURCHASED                  114,940 
                     
FUTURES CONTRACTS SOLD *                    
Euro Bobl Future maturing June, 2016                    
(Underlying Face Amount at Value ($149,823)   (1)             (2,872)
Euro Bund Future maturing June, 2016                    
(Underlying Face Amount at Value ($185,353)   (1)             372 
Japan 10 year Future, maturing June, 2016                    
(Underlying Face Amount at Value ($151,490,000)   (1)             (77,569)
NET UNREALIZED LOSS FROM FUTURES CONTRACTS SOLD                  (80,069)
                     
NET UNREALIZED GAIN FROM FUTURES CONTRACTS                 $34,871 

 

*Face amounts are the underlying reference notional amounts to stock exchange indices and bonds upon which the fair value of the futures contracts traded by the Fund are based. While face amounts do not represent the current fair value and are not necessarily indicative of the future cash flows of the Fund’s futures contracts, the underlying price changes in relation to the variables specified by the face amounts affect the fair value of these derivative financial instruments.

 

Portfolio Composition ** - (Unaudited)
Japan   26.5%  Netherlands   3.0%
Britain   15.6%  Canada   2.8%
Italy   9.4%  Switzerland   2.8%
France   7.4%  South Korea   2.6%
Spain   7.1%  Other Countries   17.2%
Mexico   5.6%  Total   100.00%

 

**Based on total value of investments as of April 30, 2016.

 

Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes to financial statements.

42

 

Dunham Appreciation & Income Fund

Message from the Sub-Adviser (PENN Capital Management Company, Inc.)

 

The first half of the fiscal year was characterized by steep declines across market capitalizations, before finding a bottom less than half-way through the month of February. From that point forward, equity markets made an abrupt turn and generally surged through the end of the six-month period ended April 30, 2016. U.S. large cap stocks, as measured by the Russell 1000 Index, rose 0.2 percent during the six-month, period while U.S. small cap stocks, as measured by the Russell 2000 Index, declined 1.9 percent. Less than one-third of the convertible securities in the Bank of America/Merrill Lynch All Convertibles All Qualities Index are issued by large capitalization companies. Therefore, the majority are more closely related to the movements in small capitalization and mid capitalization stocks. During the six-month period, convertible securities fell 2.9 percent. Most convertible securities are considered to be “equity-sensitive,” meaning significant amounts of a convertible security’s price movements are related to the movements of the underlying common stock rather than the bond itself. However, the bond component may still play a meaningful role in the pricing of the convertible security. Bonds in general, as measured by the Barclays Aggregate Bond Index, gained 2.8 percent during the fist half of the fiscal year.

 

The Sub-Adviser generally focused on small and mid capitalization companies, and primarily in convertible securities that were considered to be in the “total return” equity sensitivity range. This area of the range is between convertible securities that are primarily trading based upon the value of their fixed income features (i.e. coupon rate, default risk, etc.) and other convertible securities that are primarily trading based upon the price changes of the underlying common stock. The Sub-Adviser believes that by focusing on this area of the convertible securities spectrum, it can reduce the volatility experienced from the common stocks while benefitting from the support offered by the bond features.

 

During the six-month period, the best performing sectors in the benchmark index shifted dramatically. During the first three months, consumer staples, utilities, and telecommunications sectors led the way, while in the latter three-month period, materials, energy, and consumer discretionary sectors boasted the highest returns. However, these sectors generally have far fewer constituents represented in the convertible securities space, with all five of these sectors, in aggregate, only representing less than 25 percent of the benchmark index. The largest sector exposures are technology, healthcare, and financial services. These three, in aggregate, make up more than two-thirds of the benchmark index. Similarly, the Sub-Adviser allocated approximately 73 percent of the Fund to these same three sectors.

 

Within the healthcare sector, NuVasive, Inc. (670704AF2) (holding percentage*: 4.39 percent), a developer of devices used primary for spine-related surgeries, was one of the strongest performers in the Fund during the rebound in the final months of the period. However, other healthcare holdings detracted from absolute performance, as Molina Healthcare, Inc. (60855RAD2) (holding percentage*: 3.50 percent), a managed care organization, Acorda Therapeutics, Inc. (00484MAA4) (holding percentage*: 3.29 percent), a biotechnology company that develops therapies for spinal cord injuries, and Allergan PLC (EP0481507), (holding percentage*: 2.27 percent), a global pharmaceutical developer and distributor, declined during the six-month period. Since it was added to the Fund mid-March, the NuVasive Inc. convertible bond increased 8.2 percent. Conversely, during the six-month period, the Molina Healthcare, Inc. and Acorda Therapeutics, Inc. convertible bonds and the Allergan PLC convertible preferred stock declined 8.2 percent, 11.4 percent, and 19.8 percent, respectively. While detracting from absolute performance, these declines do help to highlight how the convertible securities can significantly protect on the downside when the underlying common stock falls. For example, the common stocks of Molina Healthcare, Inc. (MOH) (holding percentage*: not held), Acorda Therapeutics, Inc. (ACOR) (holding percentage*: not held), and Allergan PLC (AGN) (holding percentage*: not held) dropped 16.5 percent, 28.3 percent, and 29.8 percent, respectively, during the six-month period.

 

The Sub-Adviser expects global economic headwinds to persist and for moderate gross domestic product growth in the United States to continue. As most convertible securities are originated by high-yield issuers, the Sub-Adviser also considers how default rates may impact the market. The Sub-Adviser believes that there may be a continued increase in defaults for the commodity industry, but this backdrop may provide additional opportunities within the space due to market inefficiencies.

 

*Holdings percentage(s) as of 4/30/2016.

 

Growth of $100,000 Investment – (Unaudited)

 

(LINE GRAPH)

 

Total Returns as of April 30, 2016

 

  Six   Annualized Annualized Annualized Annualized Since
  Months One Year Three Years Five Years Ten Years Inception (12/10/04)
Class N (6.42)% (12.24)% 2.92% 2.02% 4.06% 4.67%
Class C (7.02)% (13.21)% 1.83% 0.99% 3.01% 3.63%
Class A with load of 5.75% (12.04)% (17.64)% 0.61% 0.56% N/A 3.20%*
Class A without load (6.70)% (12.61)% 2.61% 1.77% N/A 3.85%*
Bof A Merrill Lynch All Convertibles All Qualifies Index (2.88)% (6.64)% 6.59% 6.17% 6.02% 6.09%
Morningstar Convertibles Category (3.09)% (7.63)% 4.50% 3.83% 4.90% 5.60%

 

*Class A commenced operations on January 3, 2007.

 

The Merrill Lynch All Convertibles All Qualities Index is a widely used index that measures convertible securities’ performance. It measures the performance of U.S. dollar-denominated convertible securities not currently in bankruptcy with a total market value greater than $50 million at issuance.

 

The Morningstar Convertibles Category is generally representative of convertible bond portfolios that are designed to offer some of the capital-appreciation of stock portfolios, while also supplying some of the safety and yield of bond portfolios.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.34% for Class N, 2.34% for Class C and 1.59% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

43

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Appreciation & Income Fund
April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
CONVERTIBLE BONDS - 74.9%                  
BIOTECHNOLOGY - 3.3%                  
Acorda Therapeutics, Inc.  $965,000    1.7500%  6/15/2021  $865,484 
                   
DIVERSIFIED FINANCIAL SERVICES - 4.7%                  
FXCM, Inc.   715,000    2.2500   6/15/2018   411,125 
PRA Group, Inc.   960,000    3.0000   8/1/2020   829,200 
                 1,240,325 
ELECTRICAL COMPONENTS & EQUIPMENT - 3.4%                  
SunPower Corp.   1,120,000    0.8750   6/1/2021   898,100 
                   
HEALTHCARE-PRODUCTS - 11.8%                  
Cepheid, Inc.   1,040,000    1.2500   2/1/2021   897,000 
NuVasive, Inc. - 144A   1,020,000    2.2500   3/15/2021   1,153,237 
Wright Medical Group, Inc.   1,115,000    2.0000   6/15/2019   1,065,522 
                 3,115,759 
HEALTHCARE-SERVICES - 3.5%                  
Molina Healthcare, Inc.   820,000    1.6250   8/15/2044   919,425 
                   
HOME BUILDERS - 2.8%                  
CalAtlantic Group, Inc.   700,000    1.2500   8/1/2032   738,063 
                   
INSURANCE - 2.1%                  
AmTrust Financial Services, Inc.   745,000    2.7500   12/15/2044   566,666 
                   
INTERNET - 7.7%                  
FireEye, Inc. - 144A   990,000    1.0000   6/1/2035   860,681 
LinkedIn Corp.   595,000    0.5000   11/1/2019   558,556 
Pandora Media, Inc. - 144A   670,000    1.7500   12/1/2020   613,469 
                 2,032,706 
MACHINERY-DIVERSIFIED - 1.6%                  
Chart Industries, Inc. ^   450,000    2.0000   8/1/2018   415,406 
                   
PHARMACEUTICALS - 6.5%                  
Akorn, Inc.   110,000    3.5000   6/1/2016   319,756 
Depomed, Inc.   405,000    2.5000   9/1/2021   448,284 
Impax Laboratories, Inc. - 144A   1,020,000    2.0000   6/15/2022   949,238 
                 1,717,278 
RETAIL - 2.7%                  
GNC Holdings, Inc. - 144A ^   895,000    1.5000   8/15/2020   704,253 
                   
SEMICONDUCTORS - 9.9%                  
Micron Technology, Inc. ^   690,000    3.0000   11/15/2043   492,056 
ON Semiconductor Corp. - 144A   1,205,000    1.0000   12/1/2020   1,098,809 
Rambus, Inc.   900,000    1.1250   8/15/2018   1,032,188 
                 2,623,053 

 

See accompanying notes to financial statements.

44

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Appreciation & Income Fund (Continued)
April 30, 2016

 

   Principal   Interest   Maturity    
Security  Amount   Rate   Date  Value 
SOFTWARE - 11.5%                  
Akamai Technologies, Inc.  $820,000    0.0000%  2/15/2019  $793,350 
Interactive Intelligence Group, Inc. - 144A   145,000    1.2500   6/1/2020   126,694 
Medidata Solutions, Inc.   760,000    1.0000   8/1/2018   803,225 
Pros Holdings, Inc.   950,000    2.0000   12/1/2019   755,250 
ServiceNow, Inc.   470,000    0.0000   11/1/2018   546,669 
                 3,025,188 
TELECOMMUNICATIONS - 3.4%                  
Finisar Corp.   932,000    0.5000   12/15/2033   890,643 
                   
TOTAL CONVERTIBLE BONDS (Cost - $22,690,283)                19,752,349 
                   
             Dividend     
        Shares   Rate     
PREFERRED STOCK - 12.5%                  
INSURANCE - 1.4%                  
Maiden Holding Ltd.        7,870   7.25%  372,723 
                   
PHARMACEUTICALS - 2.3%                  
Allergan plc        735   5.5000   596,445 
                   
REITS - 4.7%                  
Crown Castle International Corp.        5,750   4.5000   610,736 
iStar Financial, Inc.        15,000   4.5000   640,200 
                 1,250,936 
TELECOMUNICATIONS - 4.1%                  
Frontier Communications Corp. ^        10,500   11.1250   1,093,313 
                   
TOTAL PREFERRED STOCK (Cost - $3,596,921)                3,313,417 
                   
             Interest     
             Rate     
SHORT-TERM INVESTMENT - 12.2%                  
MONEY MARKET FUND - 12.2%                  
First American Government Obligations Fund        3,223,250   0.01% +   3,223,250 
TOTAL SHORT-TERM INVESTMENT (Cost - $3,223,250)                  
                   
COLLATERAL FOR SECURITIES LOANED - 10.5%                  
Mount Vernon Prime Portfolio + (Cost - $2,769,760)        2,769,760   0.51%  2,769,760 
                   
TOTAL INVESTMENTS - 110.1% (Cost - $32,280,214)               $29,058,776 
LIABILITIES IN EXCESS OF OTHER ASSETS - (10.1)%                (2,697,816)
TOTAL NET ASSETS - 100.0%               $26,360,960 

 

^All or a portion of these securities are on loan. Total loaned securies had a value of $2,688,014 at April 30, 3016.

 

*Non-income producing security.

 

+Variable rate security. Interest rate is as of April 30, 2016.

 

REITS - Real Estate Investment Trusts.

 

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.

 

See accompanying notes to financial statements.

45

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Appreciation & Income Fund (Continued)
April 30, 2016

 

Portfolio Composition * - (Unaudited)
Convertible Bonds   68.0%
Preferred Stock   11.4%
Short-Term Investment   11.1%
Collateral For Securities Loaned   9.5%
Total   100.0%

 

*Based on total value of investments as of April 30, 2016.

 

Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes to financial statements.

46

 

Dunham Alternative Strategy Fund

Message from the Sub-Adviser (Market Concepts, LLC)

 

Managed futures strategies, as measured by the Credit Suisse Managed Futures Liquid Index, increased 6.9 percent in the six-month period ending April 30, 2016. In the first three months of the period, or the first fiscal quarter, the index increased 4.7 percent. The second fiscal quarter was less dramatic as managed futures rose only 2.0 percent. Still, it was a significant improvement from the three fiscal quarters of declines previous to that. Domestic equity markets, as measured by the S&P 500 Index, didn’t fare quite as well, increasing 0.4 percent during the six-month period. Emerging markets equities, as measured by the MSCI Emerging Markets Index, showed a negative return, falling 0.1 percent. However, this moderate overall return was not indicative of the excitement that emerging markets equities experienced during the period as they had a weak first fiscal quarter, dropping 12.1 percent, followed by a strong second fiscal quarter, rising 13.7 percent. Foreign developed markets, as measured by the MSCI EAFE Index, had the poorest performance with a 3.1 percent decline during the six-month period. As with the other equity indexes, foreign developed stocks suffered during the first fiscal quarter, losing 9.9 percent, but were not able to recover the lost ground, gaining only 7.6 percent in the second fiscal quarter. With the diversified nature of managed futures, exposure to multiple asset classes may provide non-correlated returns as reflected in the performance of the Credit Suisse Managed Futures Liquid Index. The Sub-Adviser continues to believe that the trend conditions of the various asset classes offer the Fund an advantageous investment environment on the back-drop of the multiple year divergence that has occurred between the domestic equity markets and other investment asset classes.

 

In the later part of the first fiscal quarter, the Sub-Adviser launched a newly updated investment strategy that is made up of eight individual components, or modules, that seek long and short exposure based on a relative strength indicator. Two of these modules were suspended, however, mainly due to a drastic change of market environment. Wild volatility in the commodities markets saw Crude Oil drop to levels not seen since 2002, while Gold saw rapid out-of-trend advances over a series of single-day rallies. Consequently, both the Gold and Oil modules have been suspended in the portfolio for the time being. Modules related to the S&P 500 Index and U.S. Treasuries performed well for the environment and profits were also found in the Euro currency. While commodity exposure has been reduced temporarily, the Sub-Adviser expects the portfolio to produce non-correlated returns overall by systematically applying long/short positions in equity, currency and fixed income based areas.

 

The Fund experienced its largest gains in the newly added fixed income module, which was not implemented until early January. The Sub-Adviser attempted to exploit both positive and negative trends in the 20+ year U.S. Treasury exclusively in the fixed income area. When going long, iShares 20+ Year Treasury Bond (TLT) (holding percentage**: 20.22 percent) was used. Conversely, ProShares Short 20+ Year Treasury (TBF) (holding percentage**: 17.97 percent) was employed when a rise in long-term Treasury rates was expected. Both strategies had positive results for the Fund.

 

Long and short strategies in the equity market had mixed results as trades related to the S&P 500 Index, as represented by the SPDR S&P 500 ETF (SPY) (holding percentage**: 17.99 percent) when going long and the ProShares Short S&P 500 ETF (SH) (holding percentage**: 17.99 percent) when shorting, were generally positive. Trades tied to the MSCI EAFE Index, as represented by the iShares MSCI EAFE ETF (EFA) (holding percentage**: 17.98 percent) on long trades and by the ProShares Short MSCI EAFE ETF (EFZ) (holding percentage**: 7.99 percent) on short trades, had a negative impact. The MSCI EAFE Index contains stocks of developed countries, such as those in Western Europe, Japan and Australia. Strategies in emerging markets countries, as represented by long and short ETFs that track the MSCI Emerging Markets Index, didn’t fair as poorly as the developed markets, but still were slightly negative.

 

The Sub-Adviser continued to focus on currency movements as well, particularly in the Yen and Euro. Trades were made in the CurrencyShares Japanese Yen Trust (FXY) (holding percentage**: 13.63 percent) and the CurrencyShares Euro Trust (FXE) (holding percentage**: 18.36 percent), which attempt to track the performance of the Yen and Euro, respectively. However, when the Sub-Adviser sought to exploit negative trends in these currencies, it utilized the ProShares UltraShort Yen (YCS) (holding percentage**: 8.21 percent) and the ProShares UltraShort Euro (EUO) (holding percentage**: 6.89 percent), which attempt to track the inverse performance of the Yen and Euro, respectively. The trades in both FXE and EUO generally resulted in positive contributions to performance for the Fund, while the trades in both FXY and YCS detracted.

 

The Sub-Adviser’s focus on both short-term and long-term trends provided mixed results, as volatility and concern in the markets generally caused some sharp reversals in trends. While these dramatic shifts may provide opportunities for the Sub-Adviser to find another short-term trend, they may also cause additional losses, especially in the holdings that were established by longer-term trends. Therefore, the Sub-Adviser’s selection of established trends that meet strict requirements generally detracted from the Fund’s performance relative to the benchmark index during the fiscal quarter.

 

*Holdings Percentage(s) as of 4/30/2016.

 

**Holdings Percentage(s) as of the date prior to the sales of the security.

 

Growth of $100,000 Investment - (Unaudited)

 

(LINE GRAPH)

 

Total Returns as of April 30, 2016

 

  Six   Annualized Annualized Annualized Since
  Months One Year Three Years Five Years Inception (2/12/09)
Class N (10.88)% (13.17)% (2.77)% (4.11)% (0.55)%
Class C (11.34)% (14.07)% (3.76)% (5.11)% (2.08)% *
Class A with load of 5.75% (11.01)% (18.40)% (4.91)% (5.49)% (1.47)% **
Class A without load (11.01)% (13.43)% (3.02)% (4.37)% (0.65)% **
Dow Jones Credit Suisse Managed Futures Liquid Index 6.86% 2.08% 8.65% 3.45% 3.37%
Morningstar Managed Futures Category 0.05% (4.27)% 1.64% (2.22)% (1.22)%

 

*Inception date for Class C is May 14, 2009.

 

**Inception date for Class A is March 25, 2009, performance for Class A includes the operations of the predecessor, Sherwood Forest Alternative Fund (formerly Class P).

 

Class N and Class C performance includes the operations of the predecessor, Sherwood Forest Alternative Fund (formerly Class I and Class C, respectively).

 

The Dow Jones Credit Suisse Managed Futures Liquid Index allocates assets among four major asset classes (equities, fixed-income, commodities and currencies) represented by 18 trading vehicles using a methodology that, in part, seeks to replicate a managed futures strategy that historically has produced gains during periods of rising and declining markets. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Managed Futures Category is generally representative of funds that trade liquid global futures, options, swaps, and foreign exchange contracts, both listed and over-the-counter. A majority of these funds follow trend-following, price-momentum strategies.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses before and after fee waiver, including underlying funds, are 1.80% for Class N, 2.80% for Class C and 2.05% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com

47

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Alternative Strategy Fund
April 30, 2016

 

Security  Shares          Value 
EXCHANGE TRADED FUNDS - 80.6%                  
ASSET ALLOCATION FUND - 26.6%                  
CurrencyShares Euro Trust *   36,300           $4,059,791 
ProShares UltraShort Yen *   26,700            1,816,134 
                 5,875,925 
DEBT FUND - 18.0%                  
ProShares Short 20+ Year Treasury *   174,300            3,972,297 
                   
EQUITY FUNDS - 36.0%                  
iShares MSCI EAFE ETF   68,000            3,973,240 
ProShares Short S&P 500 *   195,800            3,976,698 
                 7,949,938 
                   
TOTAL EXCHANGE TRADED FUNDS (Cost - 17,973,365)                17,798,160 
                   
SHORT -TERM INVESTMENT - 19.5%                  
MONEY MARKET FUND - 19.5%                  
STIT-Treasury Portfolio - 0.21% + (a)                  
(Cost - $4,309,853)   4,309,853            4,309,853 
                   
TOTAL INVESTMENTS - 100.1% (Cost - $22,283,218)               $22,108,013 
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)%                (31,816)
NET ASSETS - 100.0%               $22,076,197 

 

ETF - Exchange Traded Fund

 

*Non income producing security.

 

+Variable rate security. Interest rate is as of April 30, 2016.

 

(a)Represents annualized yield at date of purchase for discount securities and coupon for coupon based securities.

 

Portfolio Composition * - (Unaudited)
Equity Funds   36.0%        
Asset Allocation Funds   26.5%        
Money Market Funds   19.5%        
Debt Fund   18.0%        
Total   100.0%        

 

*Based on total value of investments as of April 30, 2016.

 

Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes to financial statements.

48

 

Dunham Large Cap Value Fund
Message from the Sub-Adviser (Rothschild Asset Management, Inc.)

 

U.S. equity markets provided mixed rewards across the major sectors during the six-month period ended April 30, 2016. Despite the divergence in the underlying sector performance, large cap value stocks, as measured by the Russell 1000 Value Index, increased 1.9 percent. However, the dispersion between the best performing large cap value sector (telecommunication services) and the worst performing sector (consumer discretionary) was more than 17 percent. The primary macro-oriented themes that influenced this polarized performance were the energy price resurgence and concerns surrounding the Fed’s view on “how soon is too soon” to raise interest rates again now that Fed Chair Janet Yellen showed in December that interest rate increases are a reality under her reign. Global market concerns and a widespread absence of revenue growth contributed to investor unease, but were not as impactful on a day-to-day basis as oscillating oil prices or the intense interpolation of the Fed’s primary economic indicators and the potential justification for a near-term increase in interest rates.

 

The overall 1.8 percent increase in the energy sector during the six-month period provides little transparency into the 18.8 percent decline experienced from the beginning of the fiscal year through mid-February, before the sector surged 25.3 percent. The Sub-Adviser generally avoided most energy services companies, as its risk controls generally deemed those to be less attractive. However, the Fund did hold energy related stocks, such as ConocoPhillips (COP) (holding percentage*: 2.50 percent), Exxon Mobil Corp. (XOM) (holding percentage*: 4.86 percent), and EOG Resources Inc. (EOG) (holding percentage*: 2.05 percent). All three of these companies are engaged in the exploration, development, production and marketing of crude oil and natural gas, although their predominant proficiencies range from shale fracking to deep ocean drilling to refining. Therefore, their prices were still impacted by the fall and subsequent surge in oil prices, albeit to a lesser extent than those companies that derive the majority of their revenues from providing the machinery and technology to exploration and refining companies. During the six-month period, COP and EOG decreased 9.7 percent and 3.3 percent, respectively. Conversely, XOM rose 8.8 percent during the same time period.

 

The utilities sector was significantly affected by the interest rate excitement during the six-month period. The Sub-Adviser generally exercised a significant overweight to the sector during the first fiscal quarter. However, after the sector surged close to 4.5 percent before the final trading days of February, the Sub-Adviser used the opportunity to reduce the overweight and allocate to areas that exhibited what it believed to be better risk-reward profiles. Some of the industries that the Sub-Adviser viewed as having a more attractive profile were in the areas of media and telecommunications. Within the telecommunications sector, AT&T Inc. (T) (holding percentage*: 2.00 percent), increased 9.0 percent in the second fiscal quarter after increasing 9.1 percent in the previous fiscal quarter. Within the media industry, CBS Corp. (CBS) (holding percentage*: 1.17 percent) increased 18.0 percent in the second fiscal quarter, after rising 2.4 percent in the previous fiscal quarter. When viewing the six-month period in its entirety, T and CBS boasted 18.9 percent and 20.9 percent returns, respectively.

 

While the financial services sector was one of the largest detractors in the first fiscal quarter, it only slightly lagged in the second fiscal quarter. In the first fiscal quarter, holdings such as American Express Co. (AXP) (holding percentage*: 1.04 percent) and Discover Financial Services (DFS) (holding percentage*: 1.41 percent) declined 26.6 percent and 18.2 percent, respectively. The Sub-Adviser re-evaluated these holdings in-line with its strict process and perceived the extreme magnitude of these declines to be unwarranted. During the second fiscal quarter, AXP and DFS increased 22.9 percent and 23.7 percent, respectively. The most recent rebound for AXP was not enough to offset the earlier loss, but it did bring the six-month performance to a negative 9.9 percent. However, the rebound in DFS was enough to offset the prior period’s decline, ending the six-month period up 1.2 percent. The Sub-Adviser believes that the financial services sector will continue to fluctuate with the transitioning views on interest rates – particularly the timing of the rate increases and the magnitude of each increase.

 

Although the Sub-Adviser anticipates that the balance of 2016 is likely to have similar volatility to what we have recently witnessed, its disciplined use of risk controls and desire to minimize the influence of factor-based risks are expected to meaningfully mitigate downward pressures in the large cap value space. The Sub-Adviser continues to believe that U.S. companies will provide lackluster earnings for the next two to three years, with the status of the global economy dictating the duration of this anemic growth environment. Therefore, the Sub-Adviser’s combination of fundamental analysis with quantitative tools driving its stock selection is designed to potentially identify stocks that it believes will prevail in a low-growth environment.

 

*Holdings Percentage(s) as of 4/30/2016.

 

Growth of $100,000 Investment - (Unaudited)

 

(LINE GRAPH)

 

Total Returns as of April 30, 2016

 

  Six   Annualized Annualized Annualized Annualized Since Inception
  Months One Year Three Years Five Years Ten Years (12/10/04)
Class N (0.93)% (2.72)% 8.11% 7.52% 4.48% 5.54%
Class C (1.41)% (3.68)% 7.03% 6.45% 3.44% 4.50%
Class A with load of 5.75% (1.08)% (8.55)% 5.72% 5.98% N/A 3.16%*
Class A without load (6.75% (2.98)% 7.82% 7.25% N/A 3.82%*
Russell 1000 Value Index 1.93% (0.40)% 9.59% 10.13% 5.67% 4.79%
Morningstar Large Cap Value Category 0.29% (2.64)% 7.92% 8.22% 4.78% 5.59%

 

*Class A commenced operations on January 3, 2007.

 

The Russell 1000 Value Index measures the performance of the 1,000 largest companies in the Russell 3000 Index with lower price-to-book ratios and lower forecasted growth values. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Large Cap Value Category is generally representative of mutual funds that primarily invest in big (large capitalization) U.S. companies that are less expensive or growing more slowly than other large-cap stocks.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.25% for Class N, 2.25% for Class C and 1.50% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

49

 
SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Large Cap Value Fund
April 30, 2016

 

Security  Shares   Value 
COMMON STOCK -97.4%          
AEROSPACE/DEFENSE - 2.5%          
Northrop Grumman Corp.   4,758   $981,385 
Raytheon Co.   3,226    407,605 
         1,388,990 
AIRLINES - 0.8%          
JetBlue Airways Corp. * ^   22,092    437,201 
           
BANKS - 10.7%          
Bank of America Corp.   96,111    1,399,376 
JPMorgan Chase & Co.   27,870    1,761,384 
M&T Bank Corp ^   7,633    903,137 
SunTrust Banks, Inc.   15,320    639,457 
Wells Fargo & Co.   24,487    1,223,860 
         5,927,214 
BEVERAGES - 2.0%          
Coca-Cola Enterprises, Inc. ^   7,645    401,210 
PepsiCo, Inc.   6,818    701,981 
         1,103,191 
BIOTECHNOLOGY - 2.9%          
Amgen, Inc.   3,231    511,467 
Biogen, Inc. *   1,647    452,909 
Gilead Sciences, Inc.   7,103    628,938 
         1,593,314 
CHEMICALS - 2.2%          
Dow Chemical Co. ^   17,755    934,091 
LyondellBasell Industries NV - Class A   3,642    301,084 
         1,235,175 
COMMERCIAL SERVICES - 1.3%          
ManpowerGroup, Inc.   9,216    709,908 
           
COMPUTERS - 2.2%          
Amdocs Ltd.   11,586    655,072 
Apple, Inc.   5,797    543,411 
         1,198,483 
COSMETICS / PERSONAL CARE - 1.5%          
Procter & Gamble Co. ^   10,353    829,482 
           
DIVERSIFIED FINANCIAL SERVICES - 4.3%          
American Express Co. ^   8,744    572,120 
Ameriprise Financial, Inc.   6,039    579,140 
Discover Financial Services   13,722    772,137 
Raymond James Financial, Inc.   8,079    421,481 
         2,344,878 
ELECTRIC - 4.9%          
American Electric Power Co., Inc.   16,815    1,067,753 
DTE Energy Co. ^   7,951    708,911 
Edison International ^   13,141    929,200 
         2,705,864 
Security  Shares   Value 
           
ENGINEERING & CONSTRUCTION - 1.0%          
Fluor Corp. ^   10,149   $554,744 
           
ENVIRONMENTAL CONTROL - 1.3%          
Waste Management, Inc.   11,711    688,490 
           
FOOD - 1.4%          
Kroger Co.   8,233    291,366 
Pinnacle Foods, Inc.   10,640    453,158 
         744,524 
FOREST PRODUCTS & PAPER - 1.8%          
International Paper Co. ^   22,532    974,960 
           
HEALTHCARE-PRODUCTS - 1.1%          
Becton Dickinson and Co. ^   3,701    596,823 
           
HOME BUILDERS - 1.3%          
PulteGroup, Inc. ^   38,008    698,967 
           
INSURANCE - 6.4%          
Allstate Corp.   13,827    899,446 
American International Group, Inc.   12,046    672,408 
Berkshire Hathaway, Inc. *   2,426    352,934 
Chubb Ltd.   6,804    801,919 
MetLife, Inc.   18,156    818,836 
         3,545,543 
MEDIA - 3.2%          
CBS Corp. ^   11,506    643,300 
Comcast Corp. - Class A   9,820    596,663 
Time Warner, Inc.   7,115    534,621 
         1,774,584 
MISCELLANEOUS MANUFACTURING - 2.0%          
3M Co.   1,765    295,426 
General Electric Co. ^   26,886    826,744 
         1,122,170 
OIL & GAS - 12.4%          
Chevron Corp. ^   10,179    1,040,090 
ConocoPhillips ^   28,762    1,374,536 
EOG Resources, Inc.   13,668    1,129,250 
Exxon Mobil Corp. ^   30,205    2,670,122 
Valero Energy Corp.   10,498    618,017 
         6,832,015 
PHARMACEUTICALS - 9.4%          
Cardinal Health, Inc.   8,126    637,566 
Johnson & Johnson   11,909    1,334,761 
Merck & Co., Inc. ^   24,793    1,359,648 
Pfizer, Inc.   57,109    1,868,035 
         5,200,010 


See accompanying notes to financial statements.

50

 
SCHEDULE OF INVESTMENTS (Unaudited)(Continued)
Dunham Large Cap Value Fund
April 30, 2016

 

   Shares   Value 
REITS - 3.0%          
Boston Properties, Inc.   4,576   $589,663 
Equity LifeStyle Properties, Inc.   9,475    648,943 
Public Storage ^   1,771    435,272 
         1,673,878 
RETAIL - 4.1%          
Home Depot, Inc. ^   5,167    691,810 
Macy’s, Inc.   12,358    489,253 
Target Corp. ^   13,386    1,064,187 
         2,245,250 
SAVINGS & LOANS - 1.0%          
New York Community Bancorp, Inc.   38,353    576,446 
           
SEMICONDUCTORS - 2.6%          
Intel Corp. ^   20,604    623,889 
QUALCOMM, Inc.   15,988    807,714 
         1,431,603 
SOFTWARE - 3.9%          
Microsoft Corp.   32,950    1,643,217 
Nuance Communications, Inc. *   30,253    519,747 
         2,162,964 
TELECOMMUNICATIONS - 6.2%          
AT&T, Inc.   28,315    1,099,188 
Cisco Systems, Inc. ^   46,600    1,281,034 
Juniper Networks, Inc.   14,438    337,849 
Verizon Communications   14,322    729,563 
         3,447,634 
           
TOTAL COMMON STOCK (Cost - $48,430,515)        53,744,305 
Security  Shares   Value 
SHORT - TERM INVESTMENT - 2.2%          
MONEY MARKET FUND - 2.2%          
STIT-STIC Prime Portfolio - 0.21% +          
(Cost - $1,211,460)   1,211,460   $1,211,460 
           
COLLATERAL FOR SECURITIES LOANED - 16.2%          
Mount Vernon Prime Portfolio 0.51% +          
(Cost - 8,965,266)   8,965,266    8,965,266 
           
TOTAL INVESTMENTS - 115.8% (Cost - $58,607,241)       $63,921,031 
LIABILITIES LESS OTHER ASSETS - (15.8)%        (8,721,497)
NET ASSETS - 100.0%       $55,199,534 

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $8,900,203 at April 30, 2016.

 

*Non-income producing security.

 

+Variable rate security. Interest rate is as of April 30, 2016.


Portfolio Composition * - (Unaudited)
Financial   22.0%  Industrial   5.9%
Consumer, Non-Cyclical   16.9%  Consumer, Cyclical   5.3%
Collateral for Securities Loaned   14.0%  Utilities   4.2%
Energy   10.7%  Basic Materials   3.4%
Communications   8.2%  Funds   1.9%
Technology   7.5%  Total   100.0%

 

*Based on total value of investments as of April 30, 2016.

 

Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes to financial statements.

51

 

Dunham Focused Large Cap Growth Fund
Message from the Sub-Adviser (The Ithaka Group, LLC)

 

Volatility in Chinese markets and increased interest rates in the United States dominated attention during the first half of the fiscal year, with global markets experiencing backlash from some of the events. Market sell-offs occurred, hinging on data concerning China’s market health, while global markets were whipsawed by the ensuing volatility. The price of oil also played a large role in the global decline during the first half of the fiscal six-month period, as the commodity’s surplus continued to overflow. Political events preceding the U.S. presidential election, the risk of a “Brexit” in Europe, and a suddenly weakening U.S. dollar also occupied the focus of volatility in global markets. A risk-off investor sentiment detracted from money flowing into many riskier parts of the U.S. market. U.S. equities bottomed out in January and February but, managed to return to previous levels near the end of the first half of the fiscal year. Large cap growth stocks, as measured by the Russell 1000 Growth Index, had a volatile six-month period with a decline of 1.4 percent for the fiscal period that ended April 30, 2016. The most recent performance fell behind other broader equity indexes, such as the S&P 500 Index, which increased 0.4 percent.

 

The technology sector struggled over the fiscal six-month period. A large detractor from performance was LinkedIn, Corp. (LNKD) (holding percent*: 1.1 percent), which operates a social networking website used for professional networking. The website allows members to post profiles of their professional expertise and accomplishments. It also lets members network with potential clients, service providers and subject experts. The Sub-Adviser believes recent poor performance has stemmed from unclear guidance estimates by the company’s management. The holding declined 48.0 percent over the first half of the fiscal year. A holding that helped slow the decline in the technology sector was Facebook, Inc. (FB) (holding percentage*: 8.1 percent), an online social networking service. FB gained 15.3 percent during the fiscal six-month period. The Sub-Adviser has strong conviction in the holding and believes there is a great deal of potential future growth.

 

The consumer discretionary sector was also responsible for detracting from the Funds performance. Contributing to this poor performance was Starbucks Corp. (SBUX) (holding percentage*: 5.9 percent), a premier roaster, marketer, and retailer of specialty coffee in the world, which decreased 9.5 percent over the most recent fiscal six-month period. The Sub-Adviser thinks the recent underperformance can be attributed to not meeting investors’ unrealistic expectations during a slowdown in growth, after a year of massive buildup. Strong performance in the consumer discretionary sector came from Amazon.com Inc. (AMZN) (holding percentage*: 4.9 percent), an online retailer that offers a wide range of products, personalized shopping services, Web-based credit card payment and direct shipping to customers. The Sub-Adviser sees the company’s continued commitment to build out their logistics infrastructure during the fiscal six-month period as evidence of strong long-term growth. The Sub-Adviser also believes the continued improvement of benefits for Amazon Prime members has aided in the attraction of new customers and is a strong catalyst for establishing loyal customers. The company experienced an increase of 5.4 percent over the fiscal first half of the year.

 

A lagging sector in the Fund came from healthcare. Illumina, Inc. (ILMN) (holding percentage*: 2.3 percent) hurt the sectors performance with a 5.8 percent decline during the fiscal first half of the year. The company develops, manufactures, and sells systems for the analysis of genetic variation and biological function. The Sub-Adviser attributes the decline to a transitioning of the company’s business model as well as missteps by management in the European market. The sales focus changed from being an equipment provider to centering on consumables products, and the Sub-Adviser believes it has taken time for the adjustment to get up to full speed. In the European market, veteran managers have been appointed to handle issues and oversee improvements. The Sub-Adviser regards the company’s large market share, compared to their competition, as a stimulant for strong long-term performance.

 

The Sub-Adviser claims no expertise in economic or market predictions, and top-down analysis plays no part in their approach to investing. The Sub-Adviser does not try to “guess” where the market is heading in the next fiscal quarter or fiscal year and therefore chooses to stay fully invested at all times in what it believes are high-quality growth companies. The Sub-Adviser strives to own companies with robust business models and balance sheets that it believes are built to withstand difficult economic environments. With few exceptions, each of the companies in the current portfolio historically exhibited strong fundamentals during the 2008/2009 downturn. Those few that did not have since then significantly strengthened their balance sheets. The Sub-Adviser uses a fundamentals-driven, bottom–up process to identify and own companies that may outperform over the long-term. The Sub-Adviser continues to believe that many of the stocks in the Fund are well-positioned to outperform over the economic cycle due to the strength of the long-term secular trends underpinning them, coupled with the Sub-Adviser’s unique abilities to take advantage of these trends.

 

*Holdings percentage(s) as of 4/30/2016.

 

Growth of $100,000 Investment - (Unaudited)

 

(LINE GRAPH)

 

Total Returns as of April 30, 2016

 

      Annualized Annualized Since
  Six One Three Inception
  Months Year Years (12/8/11)
Class N (8.98)% (3.46)% 10.92% 10.73%
Class C (9.46)% (4.49)% 9.80% 9.64%
Class A with load of 5.75% (14.28)% (9.29)% 8.44% 8.98%
Class A without load (9.07)% (3.74)% 10.61% 10.45%
Russell 1000 Growth Index (1.37)% 1.07% 12.47% 15.06%
Morningstar Large Cap Growth Category (3.70)% (2.58)% 10.45% 13.05%

 

The Russell 1000 Growth Index is a subset of the Russell 1000 Index which measures the performance of the stocks of the 1000 largest companies in the Russell 3000 Index based on market capitalization. The Russell 1000 Growth Index measures the performance of those stocks of the Russell 1000 with higher price-to-book ratios and higher relative forecasted growth rates. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Large Cap Growth Category is generally representative of mutual funds that primarily invest in big (large capitalization) U.S. companies that are projected to grow faster than other large-cap stocks.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.34% for Class N, 2.34% for Class C and 1.59% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our websitewww.dunham.com.

52

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

Dunham Focused Large Cap Growth Fund

April 30, 2016

 

Security  Shares   Value 
COMMON STOCK - 99.2%          
AEROSPACE/DEFENSE - 2.6%          
TransDigm Group, Inc. *   7,392   $1,684,415 
           
APPAREL - 5.2%          
NIKE, Inc.   15,979    941,802 
Under Armour, Inc. - Class A * ^   28,624    1,257,739 
Under Armour, Inc. - Class C * ^   28,624    1,167,859 
         3,367,400 
BIOTECHNOLOGY - 13.8%          
Alexion Pharmaceuticals, Inc. *   12,279    1,710,219 
Biogen Idec, Inc. *   2,265    622,852 
BioMarin Pharmaceutical, Inc. *   5,605    474,631 
Celgene Corp. * ^   23,206    2,399,732 
Illumina, Inc. *   10,687    1,442,638 
Regeneron Pharmaceuticals, Inc. *   5,919    2,229,747 
         8,879,819 
COMMERCIAL SERVICES - 2.2%          
PayPal Holdings, Inc. *   36,300    1,422,234 
           
DIVERSIFIED FINANCIAL SERVICES - 10.1%          
MasterCard, Inc.   29,088    2,821,245 
Visa, Inc. - Class A ^   47,226    3,647,736 
         6,468,981 
HEALTHCARE_PRODUCTS - 1.0%          
Edwards Lifesciences Corp. *   5,995    636,729 
           
INTERNET - 29.3%          
Alphabet, Inc. *   4,230    2,931,432 
Amazon.com, Inc. *   4,731    3,120,520 
Baidu, Inc. - ADR * ^   5,381    1,045,528 
Facebook, Inc. - Class A *   43,931    5,165,407 
LinkedIn Corp. - Class A *   5,800    726,798 
Netflix, Inc. *   4,125    371,374 
Priceline Group, Inc. *   2,601    3,494,860 
Splunk, Inc. * ^   21,151    1,099,429 
TripAdvisor, Inc. *   12,855    830,305 
         18,785,653 
MACHINERY-DIVERSIFIED - 2.1%          
The Middleby Corp. *   12,205    1,338,156 
Security  Shares   Value 
MEDIA - 2.7%          
Walt Disney Co. ^   16,539   $1,707,817 
           
RETAIL - 16.4%          
Domino’s Pizza Inc.^   6,099    737,247 
Home Depot, Inc.   4,779    639,860 
O’Reilly Automotive, Inc. *   2,317    608,630 
Starbucks Corp. ^   67,208    3,779,106 
TJX Cos. Inc. ^   21,472    1,628,007 
Ulta Salon, Cosmetics & Frag. *   15,127    3,150,652 
         10,543,502 
SOFTWARE - 11.5%          
Adobe Systems, Inc.*   18,034    1,699,164 
Salesforce.com, Inc. *   47,645    3,611,491 
Ultimate Software Group, Inc. *   5,269    1,035,833 
Workday, Inc. - Class A * ^   13,901    1,042,297 
         7,388,785 
TELECOMMUNICATIONS - 2.3%          
Palo Alto Networks, Inc. * ^   9,858    1,487,276 
           
TOTAL COMMON STOCK (Cost - $52,580,832)        63,710,767 
           
SHORT-TERM INVESTMENT - 0.8%          
MONEY MARKET FUND - 0.8%          
First American Obligations Fund, 0.06% +   491,625    491,625 
TOTAL SHORT-TERM INVESTMENT (Cost - $491,625)          
           
COLLATERAL FOR SECURITIES LOANED - 19.8%          
Mount Vernon Prime Portfolio 0.51% + (Cost - $12,704,917)   12,704,917    12,704,917 
           
TOTAL INVESTMENTS - 119.8% (Cost - $65,777,374)       $76,907,309 
LIABILITIES LESS OTHER ASSETS - (19.8%)        (12,724,259)
NET ASSETS - 100.0%       $64,183,050 

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $12,339,117 at April 30, 2016.

 

*Non-Income producing security.

 

ADR - American Depositary Receipt.

 

+Variable rate security. Interest rate is as of April 30, 2016.


Portfolio Composition * - (Unaudited)
Communications   28.6%  Technology   9.6%
Consumer, Cyclical   18.1%  Financial   8.4%
Collateral For Securities Loaned   16.5%  Industrial   3.9%
Consumer, Non-Cyclical   14.2%  Short-Term Investments   0.7%
        Total   100.0%

 

*Based on total value of investments as of April 30, 2016.

 

Percentage may differ from Schedule of Investments which is based on Fund net assets.

 

See accompanying notes to financial statements.

53

 

Dunham International Stock Fund

Message from the Sub-Adviser (Arrowstreet Capital, L.P.)

 

International equity markets, as measured by the MSCI All Country World ex USA Index (Net) (referred to as the “Index”), fell 1.75 percent during the six month period ending April 30, 2016 (the “six month period”). For the month of November 2015 and December 2015, the Index was down 2.06 percent and 1.88 percent, respectively. The principal story for the markets in November and December were worries about sluggish economic growth and expectations for higher U.S. interest rates. Conversely, central banks in Europe and Japan ramped up stimulus measures in an attempt to jumpstart lackluster economies. In January, the Index lost 6.80 percent and in February the Index lost 1.14 percent. In March and April, the Index was up 8.13 percent and up 2.63 percent, respectively. Global stocks tumbled into the new year amid worries about China’s slowing economy, rapidly falling oil prices and disappointing U.S. corporate earnings growth. Financial stocks experienced the sharpest declines, weighed down by concerns about risky loans in the energy sector and low interest rates. February produced mixed returns amid investor concerns about slowing global economy, low oil prices, and ongoing turmoil in the banking sector. March experienced a “risk-on” mentality as global equities experienced a strong rally, particularly within emerging markets. The market reversed in March and April with increasing oil prices, the Federal Reserve’s dovish stance on monetary policy, and interest rates were left unchanged.

 

The Sub-Adviser’s investment process is best characterized as a dynamic process that uses quantitative models to evaluate securities to exploit opportunities across companies, sectors, and countries while seeking to avoid long term systematic biases toward any particular country, sector, style, or market capitalization. These stock selection models are designed to understand what information is likely to impact stock prices with a predictable and measurable lag that allows time to invest and profit. The models obtain the information to forecast individual stock returns by evaluating a stock’s potential on the basis of: (1) direct effects - characteristics of the company itself; and (2) indirect effects - characteristics of other companies that are related by virtue of a common country affiliation and sector affiliation (called country/sector baskets); a common country affiliation; and a common global sector affiliation, and/or other common linkages. Over any time period, the strategy’s performance relative to the Index is driven by allocations to country/sector baskets, stock selection, and the effects of currency exposures differing from those of the Index.

 

Countries contributing most to the Arrowstreet portfolio’s returns relative to the Index during the six month period included Russia (primarily due to energy sector overweights), South Korea (primarily due to energy and consumer staples sector overweights), and Denmark (primarily due to consumer staples and health care sector overweights). Countries contributing most to the Arrowstreet portfolio’s underperformance relative to the Index included the United Kingdom (primarily due to health care and energy sector underweights), Australia (primarily due to financials and materials sector underweights), and China (primarily due to information technology underweights).

 

Sectors contributing most to the Arrowstreet portfolio’s returns relative to the Index during the six month period included consumer staples (primarily due to Belgium, Portugal, and Denmark overweights), energy (primarily due to Russia and South Korea overweights), and health care (primarily due to Switzerland and Denmark overweights). Sectors contributing most to the Arrowstreet portfolio’s underperformance relative to the Index included information technology (primarily due to Japan and Finland overweights as well as China underweights), and materials (primarily due to Australia and United Kingdom underweights).

 

The stocks contributing most to the Arrowstreet portfolio returns relative to the Index during the six month period included Public Joint-Stock Company Gazprom (Russia energy) (holding percentage*: 1.96 percent), Oil Company Lukoil Pjsc (Russia energy), and Jeronimo Martins, Sgps S.A. (Portugal consumer staples) (holding percentage*: 1.14 percent). Stocks contributing most to the Arrowstreet portfolio’s underperformance relative to the Index included Nokia Oyj (Finland information technology) (holding percentage*: 0.76 percent), Dai-Ichi Life Insurance Company, Limited (Japan financials) (holding percentage*: not held), and Tokio Marine Holdings, Inc. (Japan financials) (holding percentage*: 0.54 percent).

 

The foregoing Insights from the Sub-Advisor are provided by Arrowstreet Capital, Limited Partnership (“Arrowstreet”) through April 30, 2016 for informational purposes only and solely with respect to the portfolio of assets within the Fund managed by Arrowstreet. References to specific stocks, countries or sectors are shown for informational purposes only and are not intended as investment advice. Arrowstreet is not responsible for, and makes no representation with respect to, any other information or performance data set forth herein.

 

*Holdings Percentage(s) as of 4/30/2016.
 

 

Growth of $100,000 Investment - (Unaudited)

 

(LINE GRAPH)

 

Total Returns as of April 30, 2016

 

  Six   Annualized Annualized Annualized Annualized Since Inception
  Months One Year Three Years Five Years Ten Years (12/10/04)
Class N (2.54)% (12.43)% 0.26% 0.93% 1.57% 4.30%
Class C (2.99)% (13.34)% 0.25% (0.09)% 0.55% 3.27%
Class A with load of 5.75% (8.29)% (17.73)% (0.99)% (0.54)% N/A 0.29%*
Class A without load (2.67)% (12.69)% 0.98% 0.65% N/A 0.93%*
MSCI All Country World ex US Index (net) (1.75)% (11.28)% (0.02)% (0.13)% 1.70% 4.67%
Morningstar Foreign Large Cap Blend Category (3.06)% (9.92)% 0.96% 0.75% 1.12% 3.93%

 

*Class A commenced operations on January 3, 2007.

 

The MSCI All Country World ex US Index (net) is a free float-adjusted market capitalization index designed to measure equity market performance in the global developed and emerging markets excluding holdings in the United States and is net of any withholding taxes. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Foreign Large Cap Blend Category is generally representative of mutual funds that primarily invest in non-U.S. stocks that have market caps in the top 70% of each economically integrated market (such as Europe or Asia ex-Japan). The blend style is generally applicable where neither growth nor value characteristics dominate.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 2.04% for Class N, 3.04% for Class C and 2.29% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%.The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distribution. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

54

 
SCHEDULE OF INVESTMENTS (Unaudited)
Dunham International Stock Fund
April 30, 2016

 

Security  Shares   Value 
COMMON STOCK - 96.0%          
ADVERTISING - 0.6%          
WPP PLC   24,372   $570,855 
           
AEROSPACE / DEFENSE - 0.9%          
Airbus Group SE   9,682    605,454 
Airbus Group SE - ADR   1,260    19,366 
Safran SA   2,792    192,530 
         817,350 
AGRICULTURE - 2.6%          
British American Tobacco PLC - ADR ^   4,585    560,058 
Imperial Brands PLC - ADR   518    56,255 
Japan Tobacco, Inc.   20,600    836,993 
KT&G Corp.   502    54,083 
Swedish Match AB ^   26,881    854,641 
         2,362,030 
AIRLINES - 0.4%          
Deutsche Lufthansa AG *   24,400    380,004 
Turk Hava Yollari *   1    2 
         380,006 
APPAREL - 0.7%          
Christian Dior SE   377    66,264 
LVMH Moet Hennessy Louis Vuitton   3,280    546,629 
LVMH Moet Hennessy Louis Vuitton - ADR   678    22,523 
         635,416 
AUTO MANUFACTURERS - 0.7%          
Fiat Chrysler Automobiles NV   22,406    180,431 
Hyundai Motor Co. - GDR   2,288    96,554 
Porsche Automobil Holding SE - ADR   8,533    47,955 
Renault SA   3,047    294,075 
         619,015 
AUTO PARTS & EQUIPMENT - 2.3%          
Cie Generale des Etablissements Michelin   2,615    273,209 
Cie Generale des Etablissements Michelin - ADR   2,882    60,349 
Continental AG   2,190    482,394 
GKN PLC   95,089    389,047 
JTEKT Corp   14,891    188,562 
Nokian Renkaat OYJ   5,729    211,662 
Sumitomo Electric Industries Ltd.   15,100    180,638 
Toyota Gosei Co. Ltd.   8,400    154,025 
Valeo SA   965    153,108 
         2,092,994 
BANKS - 5.4%          
Agricultural Bank of China Ltd.   411,000    148,330 
Akbank TAS   38,756    119,242 
Banco do Brasil SA   19,000    120,085 
Banco Santander SA   15,252    77,175 
Bangkok Bank PCL   39,900    186,947 
Bangkok Bank PCL   37,300    176,837 
Bank Hapoalim BM   92,680    477,930 
Bank Leumi Le-Israel BM *   54,789    203,828 
Bank of Communications Co. Ltd.   384,000    242,013 
China CITIC Bank Corp. Ltd. *   344,000    215,732 
Commerzbank AG *   19,043    178,620 
Deutsche Bank AG   13,648    258,737 
DNB ASA - ADR ^   900    115,398 
Gentera SAB de CV   157,400    313,711 
Hachijuni Bank Ltd.   25,000    108,688 
KBC Groep NV   8,289    466,479 
Krung Thai Bank PCL   121,100    60,513 
Nordea Bank AB   32,468    315,908 
Nordea Bank AB - ADR   13,000    126,230 
Sberbank of Russia - ADR   13,891    111,406 
Turkiye Garanti Bankasi AS   41,645    128,362 
Turkiye Halk Bankasi AS   33,928    130,469 
Security  Shares   Value 
BANKS (Continued) - 5.4%          
Turkiye Is Bankasi   152,254   $267,307 
Turkiye Vakiflar Bankasi TAO   56,993    100,721 
Yapi ve Kredi Bankasi AS *   129,421    198,138 
         4,848,806 
BEVERAGES - 4.4%          
Anheuser-Busch InBev NV   6,197    768,964 
Anheuser-Busch InBev NV - ADR ^   5,980    742,596 
Asahi Group Holdings Ltd.   4,900    154,647 
Carlsberg A/S   6,012    586,190 
Coca-Cola HBC AG   6,346    129,216 
Diageo PLC - ADR   3,670    397,571 
Fomento Economico Mexicano SAB de CV - ADR   2,638    245,888 
Heineken Holding NV   2,258    186,462 
Heineken NV   6,541    613,887 
Kirin Holdings Co. Ltd.   5,300    78,835 
Suntory Beverage & Food Ltd.   900    39,095 
         3,943,349 
BUILDING MATERIALS - 2.3%          
Asahi Glass Co., Ltd.   55,000    320,314 
Asia Cement Corp.   301000    267794 
Cemex SAB de CV - ADR *   29582    220385 
Cie de Saint-Gobain   4,573    209,602 
Geberit AG   443    170579 
HeidelbergCement AG   3,171    282,424 
Lafarge SA   5,551    282,090 
Sika AG   74    315,647 
         2,068,835 
CHEMICALS - 2.9%          
EMS-Chemie Holding AG   1,073    531,435 
Givaudan SA   85    167,918 
Grupa Azoty SA *   1,810    41,189 
Hanwha Chemical Corp.   6,573    143,937 
K+S AG   5,344    133,423 
LG Chem Ltd.   529    137,220 
Lonza Group AG   1,363    227,522 
Mexichem SAB de CV   120,600    307,674 
Mitsubishi Chemical Holdings Corp.   22,500    116,764 
Novozymes A/S - ADR ^   7,260    344,995 
Potash Corp of Saskatchewan, Inc.   7,000    124,062 
Solvay SA   855    86,643 
Yara International ASA   6,592    263,651 
         2,626,433 
COMMERCIAL SERVICES - 1.6%          
Adecco SA   3,969    256,427 
Edenred   6,784    133,854 
Experian PLC   12,063    221,619 
S-1 Corp.   8,349    680,958 
SGS SA   38    83,855 
Toppan Printing Co. Ltd.   9,000    79,658 
         1,456,371 
COMPUTERS - 0.6%          
BlackBerry Ltd. *   26,200    185,320 
Cap Gemini SA   877    81,883 
Fujitsu Ltd.   62,000    215,429 
TDK Corp.   1,300    75,645 
         558,277 
COSMETICS / PERSONAL CARE - 4.1%          
Beiersdorf AG   855    76,795 
Kao Corp.   2,200    121,021 
L’Oreal SA   2,925    531,453 
L’Oreal SA - ADR ^   2,000    72,780 
Shiseido Co. Ltd.   7,000    154,818 
Svenska Cellulosa AB SCA   3,916    123,679 
Svenska Cellulosa AB SCA - ADR   3,200    101,248 


See accompanying notes to financial statements.

55

 
SCHEDULE OF INVESTMENTS (Unaudited)
Dunham International Stock Fund (Continued)
April 30, 2016

 

Security  Shares   Value 
COSMETICS / PERSONAL CARE - 4.1% (Continued)          
Unilever NV - Dutch Cert   19,430   $846,580 
Unilever NV - NY Reg. Shares ^   13,957    614,387 
Unilever PLC   4,648    208,215 
Unilever PLC - ADR ^   19,193    860,998 
         3,711,974 
DISTRIBUTION / WHOLESALE - 0.5%          
Mitsubishi Corp.   18,100    302,544 
Sumitomo Corp.   11,200    117,751 
         420,295 
DIVERSIFIED FINANANCIAL SERVICES - 1.4%          
AerCap Holdings NV *   1,100    44,011 
CETIP SA - Mercados Organizados   8,200    102,536 
Deutsche Boerse AG   3,727    306,770 
Hana Financial Group, Inc.   11,900    266,852 
Partners Group Holding AG   469    193,595 
Samsung Card Co. Ltd.   8,552    290,615 
Shinhan Financial Group Co. Ltd.   2,204    80,578 
         1,284,957 
ELECTRIC - 3.3%          
CEZ AS   4,959    96,860 
Chubu Electric Power Co., Inc.   5,500    72,044 
Cia Paranaense de Energia   3,000    16,161 
CPFL Energia SA   18,800    110,540 
E.ON SE - ADR   21,400    222,774 
Endesa SA   4,395    92,495 
Enea SA   22,235    68,692 
Enel SpA   50,342    228,856 
Energa SA   27,618    89,916 
Enersis Americas SA - ADR   6,300    53,928 
Enersis Chile SA - ADR   6,300    40,131 
Equatorial Energia SA   300    3,708 
Fortis Inc/Canada   7,200    228,772 
Fortum OYJ   11,237    169,459 
Iberdrola SA   66,572    474,033 
Iberdrola SA - ADR   3,500    99,750 
Korea Electric Power Corp. - ADR   3,799    206,357 
Korea Electric Power Corp. - ADR   12,167    327,292 
Tohoku Electric Power Co., Inc.   15,000    190,708 
Tokyo Electric Power Co Holdings Inc.   36,500    194,403 
         2,986,879 
ELECTRICAL COMPONENTS & EQUIPMENT - 1.1%          
Legrand A   2,937    167,446 
LG Electronics, Inc.   2499    127161 
Osram Licht AG *   3,407    177,957 
Schneider Electric SE   7,618    498,253 
         970,817 
ELECTRONICS - 0.6%          
AU Optronics Corp.   1,197,000    342,524 
Hoya Corp.   4,300    163,750 
         506,274 
ENERGY - ALTERNATE SOURCES - 0.4%          
Vestas Wind Systems A/S   4,651    333,000 
           
ENGINEERING & CONSTRUCTION - 0.9%          
ACS Actividades de Construccion y Servicios SA   4,892    162,293 
Aena SA *   2,277    325,367 
Enka Insaat ve Sanayi AS   94,564    164,376 
Grupo Aeroportuario del Pacifico SAB de CV   13,000    119,912 
Promotora y Operadora de Infraestructura SAB de CV   5,639    71,644 
         843,592 
ENTERTAINMENT - 0.1%          
Sankyo Co. Ltd.   1,000    37,651 
Security  Shares   Value 
ENVIRONMENTAL CONTROL - 0.2%          
Kurita Water Industries Ltd.   6,900   $164,994 
           
FOOD - 10.8%          
Ajinomoto Co., Inc.   11,000    252,143 
Aryzta AG   3,395    132,163 
BIM Birlesik Magazalar AS   4,129    90,986 
Carrefour SA   5,076    143,845 
Casino Guichard Perrachon SA   3,672    218,596 
Chocoladefabriken Lindt & Sprungli AG   39    239,167 
Danone SA   2,141    150,045 
Delhaize Group - ADR   12,693    332,303 
ICA Gruppen AB   7,703    253,519 
JBS SA   48,500    128,882 
Jeronimo Martins SGPS SA   62,578    1,024,817 
Kerry Group PLC   1,389    123,893 
Koninklijke Ahold NV   4,533    98,729 
Koninklijke Ahold NV - ADR   1,900    41,477 
MEIJI Holdings Co. Ltd.   2,000    153,266 
Nestle SA   19,903    1,486,794 
Nestle SA - ADR   19,350    1,442,930 
NH Foods Ltd.   6,000    132,993 
Nisshin Seifun Group, Inc.   20,600    335,369 
Nissin Foods Holdings Co. Ltd.   5,100    235,441 
Orkla ASA   97,257    848,994 
Orkla ASA - ADR   17,173    149,405 
Pioneer Foods Group Ltd.   5,873    69,026 
Seven & I Holdings Co. Ltd.   13,900    564,000 
Seven & I Holdings Co. Ltd. - ADR   4,892    100,286 
Toyo Suisan Kaisha Ltd.   6,100    214,240 
Uni-President Enterprises Corp.   376,000    676,871 
Yamazaki Baking Co. Ltd.   6,000    141,247 
         9,781,427 
GAS - 1.6%          
Gas Natural SDG SA   5,574    116,265 
National Grid PLC   16,953    242,517 
National Grid PLC - ADR   8,365    602,364 
Snam SpA   71,665    438,375 
         1,399,521 
HAND / MACHINE TOOLS - 0.6%          
Sandvik AB ^   35,754    367,706 
Schindler Holding AG   1,047    192,785 
         560,491 
HEALTHCARE - PRODUCTS - 0.7%          
Coloplast A/S   2,282    170,994 
Essilor International SA   1,861    240,981 
Sonova Holding AG   647    86,691 
Sysmex Corp.   1,400    87,068 
Terumo Corp.   2,100    79,388 
         665,122 
HOLDING COMPANIES-DIVERSIFIED - 0.2%          
Haci Omer Sabanci Holdings AS   1    2 
Industrivarden AB - C shares   4,303    78,512 
KOC Holding AS   16,174    84,620 
Swire Pacific Ltd.   5,000    9,735 
         172,869 
HOME FURNISHINGS - 0.3%          
Arcelik AS   1    7 
Electrolux AB - Series B   9,343    271,776 
Hanssem Co. Ltd. *   145    24,227 
         296,010 
HOUSEHOLD PRODUCTS - 0.6%          
Henkel AG & Co KGaA   2,766    281,444 
Kimberly-Clark de Mexico SAB de CV   49,022    118,883 
Societe BIC SA   978    138,896 
         539,223 


See accompanying notes to financial statements.

56

 
SCHEDULE OF INVESTMENTS (Unaudited)
Dunham International Stock Fund (Continued)
April 30, 2016

 

Security  Shares   Value 
INSURANCE - 3.6%          
Ageas   10,347   $406,710 
Dai-ichi Life Insurance Co. Ltd.   29,500    352,609 
Hannover Rueck SE   2,506    286,564 
MS&AD Insurance Group Holdings, Inc.   10,500    275,779 
Muenchener Rueckversicherungs-Gesellschaft AG   1,340    249,179 
New China Life Insurance Co. Ltd.   6,000    19,559 
Sampo Oyj   2,275    99,537 
Sompo Japan Nipponkoa Holdings, Inc.   2,600    67,886 
Sony Financial Holdings, Inc.   12,900    158,595 
Sun Life Financial, Inc.   6,900    235,766 
Swiss Re AG   2,912    259,031 
T&D Holdings, Inc.   16,400    156,116 
Tokio Marine Holdings, Inc.   14,800    481,600 
Tokio Marine Holdings, Inc. - ADR   6,248    202,935 
         3,251,866 
INTERNET - 0.2%          
United Internet AG   3,514    171,803 
           
IRON / STEEL - 1.8%          
ArcelorMittal *   39,810    224,791 
China Steel Corp.   339,000    237,664 
Eregli Demir ve Celik Fabrikalari TAS   160,101    267,414 
Hyundai Steel Co.   6,530    358,181 
POSCO   1,362    287,486 
POSCO - ADR   4,701    244,546 
         1,620,082 
LEISURE TIME - 0.3%          
Carnival PLC   6,000    303,300 
           
MACHINERY CONSTRUCTION & MINING - 1.3%          
ABB Ltd.   33,438    708,483 
ABB Ltd. - ADR   1,160    24,488 
Atlas Copco AB - A Shares ^   6,565    170,251 
Atlas Copco AB - B Shares   5,645    135,762 
Hitachi Ltd.   30,000    136,702 
         1,175,686 
MACHINERY - DIVERSIFIED - 0.1%          
Hexagon AB - B Shares   111    4,438 
Kone OYJ   2,252    102,926 
         107,364 
MEDIA - 0.5%          
ITV PLC   54,584    180,385 
Lagardere SCA   3,000    79,634 
Rizzoli Corriere Della Sera Mediagroup SpA *   1,517    977 
Telenet Group Holding NV *   370    18,424 
Vivendi SA ^   10,120    194,459 
         473,879 
METAL FABRICATE / HARDWARE - 1.0%          
SKF AB   17,391    320,795 
Tenaris SA - ADR   20,823    563,679 
         884,474 
MINING - 3.6%          
Agnico Eagle Mines Ltd.   3,800    179,928 
Anglo American PLC   17,111    191,353 
AngloGold Ashanti Ltd. - ADR *   13,848    227,800 
AngloGold Ashanti Ltd. *   11,904    194,259 
Barrick Gold Corp.   15,684    304,139 
Barrick Gold Corp. ^   4,688    90,806 
First Quantum Minerals Ltd.   16,200    138,255 
Franco-Nevada Corp.   1,600    112,534 
Glencore PLC   89,902    215,410 
Gold Fields Ltd.   17,264    80,182 
Gold Fields Ltd. - ADR   15,736    73,959 
Goldcorp, Inc.   10,016    202,143 
Security  Shares   Value 
MINING (Continued) - 3.6%          
Industrias Penoles SAB de CV   8,333   $127,798 
Kinross Gold Corp. *   46,000    262,574 
Korea Zinc Co. Ltd.   621    269,285 
Randgold Resources Ltd.   1,186    118,772 
Randgold Resources Ltd. - ADR   1,334    134,067 
Sibanye Gold Ltd. - ADR   5,778    88,981 
Silver Wheaton Corp.   3,900    81,854 
Sumitomo Metal Mining Co. Ltd.   11,000    128,716 
         3,222,815 
MISCELLANEOUS MANUFACTURING - 0.5%          
Doosan Corp.   2,301    216,269 
FUJIFILM Holdings Corp.   800    32,656 
Konica Minolta Holdings, Inc.   24,000    206,006 
         454,931 
OFFICE / BUSINESS EQUIPMENT - 0.2%          
Ricoh Co. Ltd.   18,800    190,524 
           
OIL & GAS - 6.2%          
Formosa Petrochemical Corp.   87,000    246,764 
Gazprom OAO - ADR   340,311    1,766,214 
Lukoil OAO - ADR   19,435    825,987 
Neste Oil OYJ   8,670    277,899 
OMV AG   3,516    105,824 
Petroleo Brasileiro SA *   107,300    421,949 
Repsol SA   13,474    177,586 
Rosneft OAO - GDR   15,031    82,069 
Sasol Ltd.   8,548    280,681 
SK Innovation Co. Ltd. *   2,918    394,098 
S-Oil Corp.   3,242    246,402 
Surgutneftegas OAO - ADR   24,000    152,400 
Surgutneftegas OAO - ADR   22,795    120,586 
Tupras Turkiye Petrol Rafinerileri AS *   16,976    448,343 
         5,546,802 
PHARMACEUTICALS - 6.2%          
Actelion Ltd.   4,148    672,869 
Astellas Pharma, Inc.   30,000    402,229 
AstraZeneca PLC - ADR   6,287    361,627 
Chugai Pharmaceutical Co. Ltd.   4,500    150,810 
Daiichi Sankyo Co. Ltd.   8,400    196,865 
Eaisai Co. Ltd.   4,400    270,844 
Grifols SA - ADR   5,304    83,379 
Kyowa Hakko Kirin Co. Ltd.   14,000    247,508 
Medipal Holdings Corp.   9,900    155,759 
Novo Nordisk A/S   10,922    609,955 
Novo Nordisk A/S - ADR ^   4,229    235,936 
Otsuka Holdings Co Ltd   6,200    240,360 
Richter Gedeon Nyrt   23,604    469,527 
Roche Holding AG - Genusschein   2,329    589,750 
Roche Holding AG -BR   848    217,578 
Shire PLC   3,647    228,164 
Shire PLC - ADR ^   1,455    272,696 
Takeda Pharmaceutical Co. Ltd.   4,800    227,982 
         5,633,838 
PIPELINES - 0.3%          
Petronas Gas Bhd   40,800    229,391 
           
REAL ESTATE - 0.3%          
BR Malls Participacoes SA   49,700    243,257 
           
REITS - 0.9%          
H&R Real Estate Investment Trust   13,900    243,244 
Smart Real Estate Investment Trust   20,500    551,205 
         794,449 


See accompanying notes to financial statements.

57

 
SCHEDULE OF INVESTMENTS (Unaudited)
Dunham International Stock Fund (Continued)
April 30, 2016

 

Security  Shares   Value 
RETAIL - 2.7%          
Aeon Co. Ltd.   11,800   $175,844 
Hennes & Mauritz AB - B Shares   6,163    219,686 
Home Product Center PCL   2,072,100    476,415 
Industria de Diseno Textil SA   25,698    827,322 
Kering   6    1,029 
Lawson, Inc.   3,700    284,799 
Pandora A/S   592    76,984 
Swatch Group AG/THE - REG   232    15,535 
Wal-Mart de Mexico SAB de CV   89,400    226,511 
Wal-Mart de Mexico SAB de CV - ADR   5,000    123,850 
         2,427,975 
SEMICONDUCTORS - 1.4%          
ARM Holdings PLC - ADR ^   3,250    133,868 
Infineon Technologies AG   26,781    382,200 
Samsung Electronics Co. Ltd. - GDR   57    31,065 
Samsung Electronics Co. Ltd. - GDR - Reg S   375    171,636 
Siliconware Precision Industries Co. Ltd.   18,000    26,651 
SK Hynix, Inc.   10,874    266,715 
STMicroelectronics NV   28,573    175,725 
STMicroelectronics NV - NY Shares   12,884    79,108 
         1,266,968 
SOFTWARE - 0.7%          
Amadeus IT Holding SA   10,559    481,621 
SAP SE   2,207    173,209 
         654,830 
TELECOMMUNICATIONS - 10.0%          
BCE, Inc.   6,759    317,499 
China Mobile Ltd.   46,500    533,835 
China Telecom Corp. Ltd.   236,000    116,831 
China Unicom Hong Kong Ltd.   120,000    140,429 
Chunghwa Telecom Co Ltd. - ADR   10,272    350,275 
Elisa OYJ   907    33,923 
Emirates Telecommunications Group Co PJSC   46,988    241,240 
Far EasTone Telecommunications Co. Ltd.   67,000    151,079 
KDDI Corp.   23,300    667,441 
KT Corp. - ADR   5,497    74,814 
Nippon Telegraph & Telephone Corp.   7,800    347,112 
Nippon Telegraph & Telephone Corp. - ADR   17,527    781,178 
Nokia OYJ   111,771    660,013 
NTT DOCOMO, Inc.   32,500    775,145 
NTT DOCOMO, Inc. - ADR ^   3,658    89,036 
Ooredoo QSC   9,143    230,032 
Orange SA - ADR ^   9,871    163,760 
Proximus   6,096    205,512 
Rogers Communications, Inc.   9,000    350,631 
SoftBank Group Corp.   9,300    497,285 
Swisscom AG   635    322,963 
TDC A/S   17,771    91,012 
Telecom Italia - RSP   227,627    179,091 
Telecom Italia SpA *   299,775    292,799 
Telefonaktiebolaget LM Ericsson   13,747    111,495 
Telefonaktiebolaget LM Ericsson - ADR   1,536    12,426 
Telekomunikasi Indonesia Persero Tbk PT   1,285,200    344,810 
Telia Co AB   42,393    202,950 
Telus Corp.   6,600    209,602 
Turk Telekomunikasyon AS   37,604    90,939 
Turkcell Iletisim Hizmetleri AS - ADR *   6,577    71,032 
Vodafone Group PLC - ADR   6,979    228,492 
XL Axiata Tbk PT   596,400    158,930 
         9,043,611 
TEXTILES - 0.1%          
Formosa Taffeta Co. Ltd.   94,000    85,996 
Security      Shares   Value 
TRANSPORTATION - 0.9%               
Aurizon Holdings Ltd.        27,572   $89,408 
DSV A/S        8,466    356,480 
Hankyu Hanshin Holdings, Inc.        41,000    258,434 
Nippon Express Co. Ltd.        27,000    122,527 
              826,849 
WATER - 0.4%               
Cia de Saneamento Basico do Estado de Sao Paulo        52,200    401,015 
                
TOTAL COMMON STOCK (Cost - $83,456,108)             86,666,540 
                
CLOSED END FUND - 0.4%               
EQUITY FUND - 0.4%               
Aireports of Thailand PLC (Cost - $338,099)        30,700    344,168 
                
PREFERRED STOCK - 1.5%  Dividend Rate           
AUTO MANUFACTURERS - 0.3%               
Porsche Automobil Holding SE   2.0100%   547    30,565 
Volkswagon AG   4.8600    1,966    284,735 
              315,300 
COSMETICS - 0.8%               
Amorepacific Corp.   0.4600    3,580    711,589 
                
ELECTRIC - 0.2%               
Cia Energetica de Minas Gerais   0.5038    36000    74,800 
Cia Energetica de Sao Paulo   0.0867    20600    90,022 
RWE AG   0.1300    353    3,872 
              168,694 
FOOD - 0.1%               
CJ CheilJedang Corp   2.5500    362    66,549 
                
MISCELLANEOUS MANUFACTURING - 0.1%               
Doosan Corp.   4.6000    1,070    60,933 
                
TOTAL PREFERRED STOCK (Cost - $1,669,685)             1,323,065 
                
SHORT-TERM INVESTMENT -1.8%               
MONEY MARKET FUND - 1.8%               
Fidelity Institutional Money Market Funds - Government Portfolio 0.09% +, ^^ (Cost - $1,626,200)        1,626,200    1,626,200 
                
COLLATERAL FOR SECURITIES LOANED - 5.1%               
Mount Vernon Prime Portfolio 0.51% + (Cost - $4,645,326)        4,645,326    4,645,326 
                
TOTAL INVESTMENTS - 104.8%
(Cost - $91,735,418)		            $94,605,299 
LIABILITIES IN EXCESS OF OTHER ASSETS - (4.8)%             (4,362,785)
NET ASSETS - 100.0%            $90,242,512 

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $4,425,130 at April 30, 2016.

 

*Non-income producing security.

 

ADR - American Depositary Receipt.

 

GDR - Global Depositary Receipt.

 

NV - Non-Voting

 

REIT - Real Estate Investment Trust.

 

+Variable rate security. Interest rate is as of April 30, 2016.

 

^^All or part of the security was held as collateral for forward foreign currency contracts outstanding as of April 30, 2016.


Portfolio Composition * - (Unaudited)
Japan   16.3%  Canada   4.2%
Switzerland   10.2%  Sweden   4.1%
Britain   7.4%  Russia   3.4%
South Korea   6.9%  Belgium   3.4%
France   5.8%  Other Countries   33.4%
Germany   4.9%  Total   100.0%

 

*Based on total value of investments as of April 30, 2016.

 

Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes to financial statements.

58

 

Dunham Real Estate Stock Fund

Message from the Sub-Adviser (Cornerstone Real Estate Advisers LLC)

 

The real estate investment trust (REIT) market had a disappointing three-month period ended January 31, 2016 amid the Federal Reserve raising interesting rates, China showing continued weakness, and a disappointing stimulus package delivered by the European Central Bank. These concerns may have spurred a systematic decline in equities. This trend continued until mid-February when the Federal Reserve acknowledged the challenges present in the global economy and lifted some expectations in regard to future interest rate rises. REITs, as measured by the FTSE NAREIT All REIT Index, rebounded in the final three months resulting in a 5.2 percent gain for the six-month period ended April 30, 2016. Most of the returns were generated in March when REITs increased 10.1 percent. This strong performance comes on the heels of a 2.2 percent drop in the prior six-month fiscal period. REITs outperformed other broad equity indexes, such as the S&P 500 Index, for the second six-month period in a row as the S&P 500 increased 0.4 percent.

 

The Sub-Adviser believes that the intrinsic value of a listed real estate company is a function of the quality of its real estate portfolio, management team, and capital plan. Achieving a thorough understanding of the real estate assets owned by an investment candidate is the foundation of establishing the value of that enterprise. Evaluating management’s ability to drive earnings and add value to underlying real estate assets is vital to the Sub-Adviser developing an understanding of the sustainable future success of the company. Assessing a firm’s financial structure within the context of the prevailing financial environment provides the Sub-Adviser a framework to understand the risk and long-term potential of a firm’s business strategy. Over the six-month period ended April 30, 2016, self storage REITs and apartment REITs were top contributors to the Fund. Sectors that detracted from performance over the six-month period were regional mall REITs, and lodging/resorts REITs.

 

The apartment REIT sector has outperformed in six consecutive fiscal quarters. Security selection detracted slightly, as holdings in the Fund underperformed the overall apartment REITs sector. However, the allocation to this sector more than made up for the shortfall in stock selection. Overall, this sector within the Fund increased 1.6 percent. Apartment Investment and Management Company (ACC) (holding percentage*: 3.15 percent), a REIT that engages in on and off-campus housing properties within close proximity to colleges and universities, was one of the better performing apartment REITs in the Fund, with a 12.4 percent return in the six-month period ended April 30, 2016. After five consecutive quarters of an overweight to this sector, the Sub-Adviser has lowered the allocation to apartment REITs. By the end of the most recent fiscal quarter, the Fund was 2.0 percent below the benchmark weighting. The Sub-Adviser believes that landlords are losing pricing power due to an increase in supply. This increase in supply is most evident in the New York and San Francisco markets.

 

Lodging/resort REITs dragged on performance over the six-month period ended April 30, 2016. Both security selection and allocation to this sector detracted from Fund performance. The Sub-Adviser noted that fundamentals in the sector have been weak and that the Fund has been scaling back exposure. The Fund’s allocation is in line with the benchmark thus having very little impact on relative performance. A holding that detracted from overall performance within this sector was Chesapeake Lodging Trust (CHSP) (holding percentage*: 1.4 percent), a firm that owns upscale hotels in major business and convention markets. Chesapeake Lodging Trust declined 7.8 percent over the six-month period. The Sub-Adviser believes that the economy will continue to recover and that a boost in consumer spending should elevate lodging REITs.

 

The regional mall sector also detracted from Fund performance over the six-month period. This sector generally detracted from relative performance, as the Fund maintained over a 5 percent overweight. Both stock selection and allocation effect for this sector was negative as this sector fell 1.4 percent within the Fund. Macerich Co. (MAC) (holding percentage*: 3.79 percent), which engages in the acquisition, ownership, development, management and leasing of regional and community shopping centers, detracted from performance in this sector, with a 4.0 percent loss in the six-month period ended April 30, 2016. The Sub-Adviser plans to maintain an overweight to this sector, noting that regional mall REITs are trading at a discount relative to historical measures.

 

Holdings in the self-storage REIT sector contributed to Fund performance over the first three months, but detracted from Fund performance in the final three months of the six-month fiscal period. A significant overweight to the sector was mainly responsible for the outperformance, while security selection in this sector also detracted. This sector increased 7.8 percent within the Fund over the six-month period. Despite the underperformance in the final three months of the six-month period, the Sub-Adviser is still bullish on the sector and retains the overweight. The Sub-Adviser noted that undersupply in the sector allows companies to have minimal vacancies and charge higher rent. Only 300 to 400 facilities have been built in recent years while approximately 3,500 were built at the peak in 2005. The Sub-Adviser believes that about 1,000 self-storage facilities per year need to be built to have a substantial effect on supply. Extra Space Storage, Inc. (EXR) (holding percentage*: 3.26 percent), a self-storage REIT that focuses primarily on the ownership and operation of self-storage facilities, was one of the strongest performing Fund holdings in this sector, increasing 8.6 percent.

 

Going forward, the Sub-Adviser expects REITs to generate attractive returns in 2016. It also anticipates that equity markets will remain volatile as uncertainty remains for U.S. Fed policy, global growth uncertainty, volatility in commodities, and a stronger U.S. dollar. Economic growth, rising interest rates, and inflation, my support real estate fundamentals, rent growth, and in turn help REITs. The Sub-Adviser believes that real estate fundamentals remain positive in the U.S. and in Europe, and that global valuations are attractive.

 

*Holdings percentage(s) as of 4/30/2016.

 

Growth of $100,000 Investment - (Unaudited)

 

(LINE GRAPH)

 

Total Returns as of April 30, 2016

 

  Six One Annualized Annualized Annualized Annualized Since Inception
  Months Year Three Years Five Years Ten Years (12/10/04)
Class N 3.46% 5.66% 7.12% 9.51% 5.74% 7.11%
Class C 2.94% 4.57% 6.05% 8.40% 4.68% 6.04%
Class A with load of 5.75% 3.35% (0.67)% 4.75% 7.94% N/A 3.46%*
Class A without load (2.61)% 5.38% 6.83% 9.21% N/A 4.12%*
FTSE NAREIT All REITs Index 5.07% 7.39% 6.57% 9.96% 6.25% 7.27%
Morningstar Real Estate Category 3.25% 5.67% 6.38% 9.01% 5.55% 6.99%

 

*Class A commenced operations on January 3, 2007.

 

The FTSE NAREIT All REITs Index is a free float adjusted market capitalization weighted index that includes all tax qualified REITs listed on the NYSE and NASDAQ National Market. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Real Estate Category is generally representative of mutual funds that primarily invest in REITS of various types. REITs are companies that develop and manage real estate properties.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.64% for Class N, 2.64% for Class C and 1.89% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75% The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

59

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Real Estate Stock Fund
April 30, 2016

 

Security  Shares   Value 
COMMON STOCK - 1.2%          
LODGING - 1.2%          
Hilton Worldwide Holdings, Inc. ^   23,060   $508,473 
           
TOTAL COMMON STOCK (Cost - $541,154)          
           
REITS - 96.8%          
APARTMENTS - 9.0%          
American Campus Communities, Inc.   30,140    1,348,765 
Apartment Investment & Management Co.   23,470    940,208 
Essex Property Trust, Inc. ^   7,130    1,571,809 
         3,860,782 
DATA CENTER - 11.4%          
Digital Realty Trust, Inc.   19,140    1,683,937 
CyrusOne, Inc.   32,240    1,422,751 
Equinix Inc   5,320    1,757,462 
         4,864,150 
HEALTHCARE - 10.9%          
National Health Investors, Inc.   7,100    483,439 
Physicians Realty Trust   42,600    772,338 
Ventas, Inc. ^   20,140    1,251,097 
Welltower, Inc.   31,060    2,156,185 
         4,663,059 
HOTELS - 4.1%          
Chatham Lodging Trust   9,340    199,035 
Chesapeake Lodging Trust   24,290    598,263 
DiamondRock Hospitality Co.   33,280    296,525 
FelCor Lodging Trust, Inc.   95,300    682,348 
         1,776,171 
MANUFACTURED HOMES - 2.3%          
Sun Communities, Inc.   14,310    971,220 
           
OFFICE - 13.8%          
Boston Properties, Inc.   14,200    1,829,812 
Highwoods Properties, Inc.   18,430    861,234 
Kilroy Realty Corp. ^   20,413    1,322,967 
Paramount Group Inc.   71,030    1,186,201 
SL Green Realty Corp.   6,730    707,188 
         5,907,402 
Security  Shares   Value 
REGIONAL MALLS - 16.7%          
Macerich Co.   21,330   $1,622,786 
Simon Property Group, Inc.   22,711    4,568,772 
Taubman Centers, Inc.   14,090    978,551 
         7,170,109 
SHOPPING CENTERS - 13.1%          
Acadia Realty Trust   35,288    1,189,205 
Equity One, Inc.   25,600    724,480 
Kimco Realty Corp.   40,730    1,145,328 
Regency Centers Corp.   25,750    1,897,775 
Tanger Factory Outlet Centers, Inc. ^   18,730    657,048 
         5,613,836 
SELF STORAGE - 7.5%          
Extra Space Storage, Inc. ^   16,450    1,397,428 
Public Storage, Inc.   7,430    1,818,938 
         3,216,366 
INDUSTRIAL 8.0%          
Duke Realty Corp.   49,320    1,078,628 
First Industrial Realty Trust, Inc.   18,820    431,731 
Prologis, Inc. ^   41,910    1,903,133 
         3,413,492 
TOTAL REITS (Cost - $34,199,469)        41,456,587 
           
SHORT-TERM INVESTMENT - 2.0%          
MONEY MARKET FUND - 2.0%          
Fidelity Institutional Money Market          
Fund - Government Portfolio, 0.01% +   857,395    857,395 
TOTAL SHORT-TERM INVESTMENT (Cost - $857,395)          
           
COLLATERAL FOR SECURITIES LOANED - 16.8%          
Mount Vernon Prime Portfolio 0.51% + (Cost - $7,173,911)   7,173,911    7,173,911 
           
TOTAL INVESTMENTS - 116.9% (Cost - $42,771,929)       $49,996,366 
LIABILITIES LESS OTHER ASSETS - (16.9)%        (7,233,741)
TOTAL NET ASSETS - 100.00%       $42,762,625 

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $6,928,648 at April 30, 2016.

 

REITS - Real Estate Investment Trusts

 

+Variable rate security. Interest rate is as of April 30, 2016.


Portfolio Composition * - (Unaudited)
Regional Mall   16.7%  Industrial   8.0%
Office   13.8%  Self Storage   7.5%
Shopping Centers   13.1%  Hotels   4.1%
Data Cebter   11.4%  Manufactured Homes   2.3%
Healthcare   10.9%  Short-Term Investment   2.0%
Apartments   9.0%  Common Stock - Lodging   1.2%
            100.0%

 

*Based on total value of investments as of April 30, 2016.

 

Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes to financial statements.

60

 

Dunham Small Cap Value Fund

Message from the Sub-Adviser (Piermont Capital Management LLC)

 

Small cap value stocks, as measured by the Russell 2000 Value Index, increased 1.2 percent in the six-month period ended April 30, 2016. Small-cap growth stocks in the Russell 2000 Growth Index significantly underperformed, falling 5.0 percent over the same time period. Small cap stocks in general, as measured by the Russell 2000 Index, fared in the middle of the two, as would be expected, dropping 2.0 percent over the fiscal six-month period. Larger capitalization stocks, as measured by the S&P 500 Index, produced a 0.4 percent return, outperforming small cap stocks in general, by 2.4 percent, but underperformed small cap value stocks by 80 basis points. Some of the top contributors to the Fund’s performance were the technology and basic materials sectors, while the healthcare and consumer products sectors lagged somewhat.

 

The Sub-Adviser’s strategy continued to focus on, what it believes to be, high quality firms, using 14 sector-specific models consisting of a combination of five to nine factors for each sector model, which measure both fundamental and technical metrics. Stocks must rank in the top 20 percent to be considered for purchase and also undergo a qualitative red flag review. The red flag review may include reviewing news stories that could adversely affect a stock, high turnover in senior management, and an accelerating debt ratio, among other factors. Another core premise of the strategy is that the Fund should remain sector and industry neutral, so as to avoid large risks by overweighting or underweighting a particular sector. This allows the Sub-Adviser to focus solely on picking the best stocks in each sector and industry rather than trying to predict macroeconomic trends. It is this complete bottom-up selection approach that makes the Sub-Adviser’s investment process somewhat unique.

 

A holding in the technology sector that contributed to Fund performance during the first half of the fiscal six-month period was Rovi Corporation (ROVI) (holding percentage**: 1.0 percent), a multimedia and graphics software firm, was the best performing tech stock in the Fund and added 16 basis points to relative performance during the first half of the fiscal six-month period. The stock increased by more than 80 percent from the beginning of the fiscal period until it was sold by the Fund in early January. A positive earnings announcement and the renewal of a contract with a large telecommunications firm led to the sharp increase, according to the Sub-Adviser. However, the stock’s ranking dropped significantly enough that it was considered to be overvalued and subsequently sold.

 

A holding in the basic materials sector that contributed to Fund performance during the second half of the fiscal six-month period was Stillwater Mining Company (SWC) (holding percentage*: 0.67 percent). The company explores for, develops, extracts, processes, and refines platinum, palladium, and associated metals from the J-M Reef located in Stillwater and the East Boulder Mine near McLeod, Montana. The stock hit bottom in mid-January but, like other mining companies, began to rally with commodities. Additionally, the company reported strong earnings in February, which made it the top performing basic materials stock in the Fund and added 35 basis points to relative performance. The stock increased by more than 86 percent during the second half of the fiscal six-month period.

 

Stocks in the healthcare sector generally detracted from Fund performance over the fiscal six-month period. Progenics Pharmaceuticals, Inc. (PGNX) (holding percentage**: 0.5 percent), which develops medicines for oncology in the U.S. and internationally, was a company that detracted from Fund performance for the majority of the fiscal period. The Sub-Adviser said an earnings report that did not meet analyst expectations, in addition to the large downturn in biotech stocks in general, was mainly responsible for the decline. In early April, the stocks ranking dropped to a level that met the Sub-Adviser’s criteria to be sold. The Sub-Adviser subsequently liquidated all positions in the stock on April 8, 2016, by which time the stock had declined 35 percent.

 

During the second half of the fiscal six-month period, a detractor from Fund performance was John B. Sanfilippo & Sons, Inc. (JBSS) (holding percentage*: 0.91 percent). The company processes, packages, markets, and distributes shelled nuts, in-shell nuts, and sesame sticks. Their nuts are marketed under the well-known brand of Fisher nuts. The Sub-Adviser initiated positions in JBSS in March 2016, about midway through the second half of the fiscal period, when the stock was near an all-time high. The company subsequently reported disappointing earnings in late April and the stock took a substantial hit. From the time the Sub-Adviser bought the stock on March 11, 2016 through the end of the fiscal period, the stock lost more than 20 percent. Although the impact to the Fund on a relative basis was a negative 21 basis points, the stock still ranks within the range the Sub-Adviser requires for a stock to remain in the Fund.

 

Going forward, the Sub-Adviser plans to continue its sector-, beta-, and market-capitalization-neutral bottom-up stock picking strategy without regard to outside economic factors, interest rate changes or any other top-down methodology. The qualitative review of small-cap stocks that meet the criteria for consideration for investment within the Fund may, however, lead the Sub-Adviser to consider the impact of macroeconomic factors when assessing various risks specific to each company. The Sub-Adviser will continue to analyze its multi-factor model, only making adjustments when it is deemed that a particular metric is no longer working properly or it is found that a new fundamental or technical indicator may be more useful.

 

*Holdings Percentage(s) as of 4/30/2016.

 

**Holdings Percentage(s) as of the date prior to the sales of the security.

 

Growth of $100,000 Investment – (Unaudited)

 

(LINE GRAPH)

 

Total Returns as of April 30, 2016

 

            Annualized Since
      Annualized Annualized Annualized Inception
  Six Months One Year Three Years Five Years Ten Years (12/10/04)
Class N (1.30)% (4.06)% 6.67% 6.33% 4.68% 4.66%
Class C (1.88)% (5.08)% 5.61% 5.27% 3.64% 3.63%
Class A with load of 5.75% (7.21)% (9.84)% 4.29% 4.84% N/A 2.96%*
Class A without load (1.52)% (4.35)% 6.38% 6.09% N/A 3.62%*
Russell 2000 Value Index 1.18% (3.71)% 6.50% 6.77% 4.61% 4.03%
Morningstar Small Cap Value Category 0.42% (4.34)% 6.87% 6.78% 5.00% 6.31%

 

*Class A commenced operations on January 3, 2007.

 

The Russell 2000 Value Index is an unmanaged index that measures the performance of small cap companies in the Russell 2000 Index with lower price-to-book ratios and lower forecasted growth rates. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Small Cap Value Category is generally representative of mutual funds that primarily invest in small (small capitalization) U.S. companies that are less expensive or growing more slowly than other small-cap stocks.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.80% for Class N, 2.80% for Class C and 2.05% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

61

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Small Cap Value Fund
April 30, 2016

 

Security  Shares   Value 
COMMON STOCK - 99.9%          
AEROSPACE / DEFENSE - 1.2%          
Aerojet Rocketdyne Holdings, Inc. ^*   18,500   $335,220 
           
AUTO PARTS & EQUIPMENT - 1.0%          
Cooper Tire & Rubber Co.   8,170    282,192 
           
BANKS - 17.8%          
BancFirst Corp.   2,200    137,214 
CenterState Banks, Inc.   12,670    206,394 
Central Pacific Financial Corp   12,519    292,193 
Chemical Financial Corp ^   5,017    192,954 
Columbia Banking System, Inc.   9,296    274,139 
First Citizens BancShares, Inc. - Class B   1,110    283,050 
First Commonwealth Financial Corp.   18,890    173,410 
First Interstate BancSystem, Inc.   8,468    229,483 
IBERIABANK Corp.   4,870    287,281 
MB Financial, Inc.   9,700    337,172 
Old National Bancorp ^   25,177    337,372 
Prosperity Bancshares, Inc. ^   5,990    316,092 
Simmons First National Corp.   4,970    232,099 
TCF Financial Corp.   24,460    333,634 
TriCo Bancshares   6,711    180,660 
Trustmark Corp. ^   14,210    348,287 
Umpqua Holdings Corp.   16,150    255,655 
United Community Banks, Inc.   11,458    230,650 
WesBanco, Inc.   6,500    208,845 
         4,856,584 
CHEMICALS - 1.7%          
Cabot Corp.   4,508    219,945 
Innophos Holdings, Inc.   6,579    243,160 
         463,105 
COMMERCIAL SERVICES - 3.3%          
CRA International, Inc. *   5,985    129,875 
Ennis, Inc.   9,262    180,979 
LendingTree, Inc. ^*   3,100    277,357 
McGrath RentCorp   12,500    304,750 
         892,961 
COMPUTERS - 4.5%          
Brocade Communications Systems, Inc.   22,000    211,420 
DST Systems, Inc.   3,070    370,488 
Insight Enterprises, Inc. *   13,390    330,867 
Mentor Graphics Corp.   15,190    303,192 
         1,215,967 
DISTRIBUTION/WHOLESALE - 1.0%          
Fossil Group, Inc. ^*   6,680    270,540 
           
DIVERSIFIED FINANCIAL SERVICES - 1.3%          
KCG Holdings, Inc.   26,000    356,200 
           
ELECTRIC - 3.7%          
ALLETE, Inc.   6,720    377,597 
PNM Resources, Inc.   10,190    322,819 
Portland General Electric Co.   8,050    319,746 
         1,020,162 
Security  Shares   Value 
           
ELECTRONICS - 4.8%          
Brady Corp.   12,220   $323,708 
FARO Technologies, Inc. *   5,623    163,292 
II-VI, Inc. *   14,840    309,711 
OSI Systems, Inc. *   4,110    209,158 
Sanmina Corp. *   12,975    306,859 
         1,312,728 
ENGINEERING & CONSTRUCTION - 1.2%          
KBR, Inc.   20,120    313,067 
           
ENTERTAINMENT - 0.7%          
International Speedway Corp.   5,900    197,591 
           
FOOD - 2.6%          
Ingles Markets, Inc. - Class A   5,608    202,281 
John B Sanfilippo & Son, Inc.   4,476    247,657 
Lancaster Colony Corp.   2,330    271,445 
         721,383 
GAS - 2.7%          
Northwest Natural Gas Co.   5,997    309,085 
Southwest Gas Corp.   6,410    416,073 
         725,158 
HEALTHCARE - PRODUCTS - 2.0%          
Haemonetics Corp. *   9,250    299,977 
Meridian Bioscience, Inc. ^   13,050    249,385 
         549,362 
HEALTHCARE - SERVICES - 1.2%          
Healthways, Inc. *   27,529    320,713 
           
HOME BUILDERS - 1.7%          
M/I Homes, Inc. ^*   10,658    214,226 
Taylor Morrison Home Corp. Class A ^   17,130    246,672 
         460,898 
INSURANCE - 5.5%          
American Equity Investment Life Holding Co.   21,288    298,032 
Aspen Insurance Holdings Ltd.   6,600    305,910 
Maiden Holdings Ltd. ^   21,107    258,139 
Selective Insurance Group, Inc.   9,500    329,745 
Stewart Information Services Corp.   8,579    298,721 
         1,490,547 
METAL FABRICATE / HARDWARE - 1.1%          
Timken Co.   8,450    301,072 
           
MINING - 1.4%          
Materion Corp.   6,620    191,914 
Stillwater Mining Co. ^*   15,038    183,464 
         375,378 
MISCELLANEOUS MANUFACTURING - 3.0%          
Crane Co.   4,400    244,508 
Federal Signal Corp.   19,850    271,746 
ITT Corp.   7,470    286,624 
         802,878 
OIL & GAS - 2.7%          
PDC Energy, Inc. * ^   5,569    349,677 
Unit Corp. *   9,580    121,283 
WPX Energy, Inc. ^   26,180    252,899 
         723,859 


See accompanying notes to financial statements.

62

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Small Cap Value Fund (Continued)
April 30, 2016

 

Security  Shares   Value 
OIL & GAS SERVICES - 1.2%          
Gulf Island Fabrication, Inc.   11,440   $85,914 
Oceaneering International, Inc.   6,840    250,686 
         336,600 
PACKAGING & CONTAINERS - 1.1%          
Owens-Illinois, Inc. *   15,412    284,506 
           
PHARMACEUTICALS - 1.4%          
Anika Therpeutics, Inc. *   5,373    245,331 
Sagent Pharmaceuticals, Inc. *   11,590    134,908 
         380,239 
REAL ESTATE - 1.0%          
Alexander & Baldwin, Inc. ^   7,110    271,886 
           
REITS - 15.7%          
Cedar Realty Trust, Inc.   45,120    312,230 
Chimera Investment Corp.   21,150    300,330 
Cousins Properties, Inc.   33,480    346,518 
DCT Industrial Trust, Inc.   8,500    343,145 
EastGroup Properties, Inc.   4,860    290,385 
First Industrial Realty Trust, Inc.   13,750    315,425 
Franklin Street Properties Corp. ^   26,937    286,071 
Healthcare Trust of America, Inc. - Class A   10,210    294,967 
Hersha Hospitality Trust   13,083    252,371 
Invesco Mortgage Capital, Inc.   25,200    323,820 
Mack-Cali Realty Corp.   14,760    377,266 
Pebblebrook Hotel Trust   8,466    234,000 
Piedmont Office Realty Trust, Inc.   17,000    338,470 
Summit Hotel Properties, Inc.   21,499    245,089 
         4,260,087 
RETAIL - 5.8%          
Big Lots, Inc.   5,430    249,020 
Bob Evans Farms, Inc.   6,240    284,170 
Build-A-Bear Workshop, Inc. *   16,132    212,458 
Express, Inc. *   15,160    275,609 
Group 1 Automotive, Inc.   3,840    252,826 
Ruth’s Hospitality Group, Inc. ^   8,310    131,963 
Shoe Carnival, Inc.   6,850    175,566 
         1,581,612 
SAVINGS & LOANS - 2.2%          
Berkshire Hills Bancorp, Inc.   5,300    143,842 
Flagstar Bancorp, Inc. *   7,982    188,934 
HomeStreet, Inc. *   12,335    265,819 
         598,595 
Security  Shares   Value 
SEMICONDUCTORS - 2.1%          
Exar Corp. *   24,756   $151,012 
Tessera Technologies, Inc.   9,850    282,892 
Xcerra Corp. *   22,751    134,231 
         568,135 
TELECOMMUNICATIONS - 1.5%          
Spok Holdings, Inc.   10,330    175,507 
West Corp.   10,880    233,158 
         408,665 
TRANSPORTATION - 1.8%          
ArcBest Corp. ^   10,390    198,345 
Werner Enterprises, Inc.   11,320    286,849 
         485,194 
           
TOTAL COMMON STOCK - (Cost - $27,225,079)        27,163,084 
           
SHORT-TERM INVESTMENT - 0.1%          
MONEY MARKET FUND - 0.1%          
Invesco STIT-Treasury Portfolio Institutional - 0.21% +   42,094    42,094 
(Cost - $42,094)          
           
COLLATERAL FOR SECURITIES LOANED - 15.2%          
Mount Vernon Prime Portfolio 0.51% +   4,121,138    4,121,138 
(Cost - $4,121,138)          
TOTAL INVESTMENTS - 115.2% (Cost - $31,388,311)       $31,326,316 
LIABILITIES IN EXCESS OF OTHER ASSETS - (15.2)%        (4,123,162)
NET ASSETS - 100.0%       $27,203,154 

 

REIT - Real Estate Investment Trust

 

^All or a portion of these securiites are on loan. Total loaned securities had a value of $3,900,033 at April 30, 2016.

 

*Non Income producing security.

 

+Variable rate security - interest rate is as April 30, 2016.


Portfolio Composition * - (Unaudited)
Financial   37.8%  Utilities   5.6%
Collateral for Securities Loaned   13.2%  Energy   3.4%
Industrial   12.2%  Basic Materials   2.7%
Consumer, Non-Cyclical   9.1%  Communications   1.3%
Consumer, Cyclical   8.9%  Short Term Investment   0.1%
Technology   5.7%  Total   100.0%

 

*Based on total value of investments as of April 30, 2016.

 

Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes to financial statements.

63

 

Dunham Emerging Markets Stock Fund

Message from the Sub-Adviser (Bailard, Inc.)

 

Emerging markets equities, as measured by the MSCI Emerging Markets Index, had a volatile six-month period ended April 30, 2016, decreasing 0.1 percent. During the first three months of the fiscal period, emerging markets equities declined 12.1 percent amid volatility in China and a decline in commodities. In the final three months of the fiscal period, emerging markets rallied 13.7 percent, as global oil prices rebounded and investors poured into Brazil with hopes of a presidential impeachment. The index underperformed its U.S. counterpart, as measured by the S&P 500 Index, which increased 0.4 percent over the same time period.

 

The Sub-Adviser continued to focus on individual countries and bottom-up stock selection within those countries, with overweights or underweights to economic sectors being largely incidental. On an absolute basis, top performing countries in the Fund included Hungary, Turkey, and Russia, while Egypt, Vietnam, and Argentina lagged. For the fiscal six-month period, overall country selection added to performance relative to the benchmark index, while stock selection detracted.

 

Throughout the fiscal six-month period the Sub-Adviser maintained an underweight to China. Even with this underweighting, Chinese holdings detracted from performance over the fiscal period. China Resources Power Holdings Co., Ltd. (836 HK) (holding percentage* 0.47 percent), a power generation company that invests, develops, owns, and operates coal-fired power plants in China, was one of the Fund’s detractors over the fiscal period. Over the six-month period China Resources Power Holdings Co. Ltd. decreased 25.4 percent. Another Chinese holding that detracted from the Fund’s performance was PICC Property & Casualty Co., Ltd. (2328 HK) (holding percentage**: 1.37 percent), which provides a broad range of property and casualty insurance products for a wide variety of customers throughout China. The Sub-Adviser chose to exit the position near the end of February after losing confidence in the holding. By the time the Sub-Adviser had fully exited the position it had declined 29.4 percent. The Sub-Adviser believes this is currently a challenging country to invest in due to the difficulty in deciphering and determining the validity of the available data.

 

One of the largest overweights and strongest positive contributors to performance over the most recent fiscal period was the Fund’s investment in Russia. A strong contribution to performance came from Sberbank of Russia PJSC (SBER LI) (holding percentage*: 1.78 percent), which is a bank that attracts deposits and offers commercial banking services. The bank offers time deposits, corporate banking, securities brokerage, credit, foreign exchange services and sponsors credit cards. Over the fiscal six-month period, the holding increased 30.7 percent. Another Russian holding that positively contributed to performance over the fiscal semi-annual period was Mobile TeleSystems PJSC ADR (MBT) (holding percentage*: 1.03 percent), which is a telecommunications group that offers mobile and fixed voice, broadband, and pay TV services. Through the company’s subsidiaries it is able to offer services to mobile subscribers in Russia, Ukraine, Turkmenistan, Armenia, and Belarus. The position gained 31.7 percent over the fiscal six-month period.

 

The Fund’s overweight to Hungary enhanced performance on both a relative and absolute basis, with the absolute return being the highest in the portfolio over the fiscal six-month period. A strong contributor in the country was OTP Bank Nyrt (OTP HB) (holding percentage*: 4.17 percent). OTP Bank Nyrt offers currency exchange, private banking, insurance, personal and mortgage loans, and internet banking. The bank operates through a nationwide network of branches in Hungary. The holding increased 31.8 percent over the fiscal semi-annual period.

 

Going forward, the Sub-Adviser is optimistic for emerging markets companies and believes growth can be found. The Sub-Adviser believes that we may see a headwind from a slowdown in growth of the U.S. market which could cause investors to flee high-risk assets, such as emerging markets countries. China is still a concern as its issues may never go away in terms of growth, but investors are slowly getting accustomed to this slowdown. The Sub-Adviser also believes that emerging markets stocks are still cheaply valued because of a lack of outperformance in comparison to earnings reports, which provides a strong opportunity for investors. Additionally, political change all over the world will need to be monitored closely as these changes could potentially contribute to the volatility of many emerging markets countries.

 

*Holdings Percentage(s) as of 4/30/2016.

 

**Holdings Percentage(s) as of the date prior to the sales of the security.

 

Growth of $100,000 Investment - (Unaudited)

 

(LINE GRAPH)

 

Total Returns as of April 30, 2016

 

  Six   Annualized Annualized Annualized Annualized Since Inception
  Months One Year Three Years Five Years Ten Years (12/10/04)
Class N (0.44)% (18.38)% (7.29)% (6.68)% (0.27)% 4.35%
Class C (0.90)% (19.18)% (8.22)% (7.61)% (1.26)% 3.32%
Class A with load of 5.75% (6.23)% (23.18)% (9.29)% (7.99)% N/A (2.24)%*
Class A without load (0.55% (18.50)% (7.48)% (6.89)% N/A (1.62)%*
MSCI Emerging Markets Index (net) (0.13)% (17.87)% (4.57)% (4.61)% 2.37% 1.38%
Morningstar Diversified Emerging Markets Category (0.28)% (15.49)% (4.76)% (4.48)% 1.48% 6.12%

 

*Class A commenced operations on January 3, 2007.

 

The MSCI Emerging Markets Index (net) is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Diversified Emerging Markets Category is generally representative of mutual funds that primarily invest among 20 or more developing nations, with a general focus on the emerging markets of Asia and Latin America rather than on the emerging markets countries in the Middle East, Africa, or Europe.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.80% for Class N, 2.80% for Class C and 2.05% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

64

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Emerging Markets Stock Fund
April 30, 2016

 

Security  Shares   Value 
COMMON STOCK - 93.0%          
AGRICULTURE - 2.0%          
KT&G Corp.   10,000   $1,077,352 
           
AIRLINES - 1.3%          
AirAsia Bhd   700,000    339,801 
Turk Hava Yollari AO *   150,000    370,161 
         709,962 
AUTO MANUFACTURERS - 0.5%          
Dongfeng Motor Group Co. Ltd.   250,000    273,187 
           
BANKS - 20.3%          
Banco Macro SA -ADR   5,000    313,150 
Bancolombia SA - ADR   42,000    1,624,980 
China Construction Bank Corp.   1,250,000    793,878 
China Merchants Bank Co. Ltd.   170,000    372,392 
Commercial International Bank Egypt SAE - GDR   274,999    1,025,746 
FirstRand Ltd.   150,000    483,970 
Industrial & Commercial Bank of China Ltd.   600,000    321,228 
OTP Bank PLC   85,000    2,255,228 
Public Bank Bhd   100,000    478,344 
Sberbank of Russia - ADR   120,000    962,400 
Turkiye Garanti Bankasi AS   300,000    924,688 
Turkiye Halk Bankasi AS   125,000    480,683 
Turkiye Vakilflar Bankasi TAO   285,000    503,669 
Woori Bank   30,000    275,641 
         10,815,997 
CHEMICALS - 5.4%          
Engro Corp Ltd.   450,000    1,341,843 
Formosa Chemicals & Fibre Corp.   95,000    242,078 
Kingboard Chemcial Holdings Ltd.   150,000    288,480 
Lotte Chemical Corp.   2,000    510,139 
UPL Ltd.   60,000    485,385 
         2,867,925 
COAL - 0.3%          
Coal India Ltd.   40,000    173,538 
           
COMMERCIAL SERVICES - 0.6%          
Zhejiang Expressway Co., Ltd.   300,000    306,109 
           
COMPUTERS - 1.4%          
Datatec Ltd.   55,000    174,625 
Infosys Ltd. - ADR ^   30,000    564,000 
         738,625 
DISTRIBUTION / WHOLESALE - 1.3%          
Hanwha Corp.   21,200    699,354 
           
DIVERSIFIED FINANCIAL SERVICES - 1.5%          
Capitec Bank Holdings Ltd.   13,500    562,318 
Haitong Securities Co. Ltd.   150,000    247,883 
         810,201 
ELECTRIC - 2.4%          
China Resources Power Holdings Co. Ltd.   150,000    252,628 
Korea Electric Power Corp.   13,700    744,167 
Tenaga Nassional Bhd   80,000    293,878 
         1,290,673 
ELECTRICAL COMPONENTS & EQUIPMENT - 0.5%          
China High Speed Transmission Equipment Group Co. Ltd. *   350,000    271,235 
Security  Shares   Value 
ELECTRONICS - 3.8%          
Hon Hai Precision Industry Co., Ltd.   420,000   $1,000,467 
Micro-Star International Co. Ltd.   170,000    270,574 
Pegatron Corp.   350,000    737,333 
         2,008,374 
ENGINEERING & CONSTRUCTION - 2.5%          
Hyundai Engineering & Construction Co. Ltd.   25,000    875,787 
TAV Havalimanlari Holding AS   75,000    437,645 
         1,313,432 
FOOD - 1.1%          
Bidvest Group Ltd.   15,000    382,562 
BIM Birlesik Magazalar AS   10,000    220,357 
         602,919 
FOREST PRODUCTS & PAPER - 0.9%          
Mondi Ltd.   25,000    483,195 
           
HOLDING COMPANIES - DIVERSIFIED - 1.7%          
Avi Ltd.   90,000    560,553 
Tekfen Holding AS   150,000    320,887 
         881,440 
HOME FURNISHINGS - 2.2%          
Arcelik AS   70,000    470,584 
Steinhoff International Holdings Ltd.   115,000    722,151 
         1,192,735 
HOUSEHOLD PRODUCTS / WARES - 0.4%          
Biostime International Holdings Ltd. *   80,000    222,217 
           
INSURANCE - 0.5%          
People’s Insurance Co. Group of China ltd.   600,000    241,290 
           
INTERNET- 0.6%          
Baidu, Inc. - ADR *   1,500    291,450 
           
IRON / STEEL- 2.3%          
Eregli Demir ve Celik Fabrikalari TAS   300,000    501,084 
Severstal PAO - GDR   62,000    720,440 
         1,221,524 
LEISURE TIME - 0.6%          
Bajaj Auto Ltd.   8,000    300,001 
           
LODGING - 0.9%          
Kangwon Land, Inc.   12,500    467,272 
           
MEDIA - 0.8%          
Naspers Ltd.   3,200    442,049 
           
MINING - 1.4%          
AngloGold Ashanti Ltd. - ADR *   18,000    296,100 
Gold Fields Ltd. - ADR *   100,000    470,000 
         766,100 
MISCELLANEOUS MANUFACTURING - 0.5%          
Top Glove Corp Bhd   220,000    279,138 
           
OIL & GAS - 11.9%          
China Petroleum & Chemical Corp.   800,000    563,726 
Ecopetrol SA - ADR ^   105,000    1,043,700 
Gazprom OAO - ADR   220,000    1,140,920 
Lukoil OAO - ADR   37,000    1,572,500 
MOL Hungarian Oil & Gas PLC   12,000    734,181 
Pakistan Petroleum Ltd.   200,000    278,396 
SK Innovation Co. Ltd.   5,000    675,287 
YPF SA - ADR   16,000    322,400 
         6,331,110 


See accompanying notes to financial statements.

65

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Emerging Markets Stock Fund (Continued)
April 30, 2016

 

Security  Shares   Value 
PACKAGING & CONTAINERS - 0.6%          
Lee & Man Paper Manufacturing Ltd.   500,000   $327,699 
           
PHARMACEUTICALS - 2.2%          
Richter Gedeon Nyrt   45,000    895,132 
Sinopharm Group Co. Ltd.   66,800    285,508 
         1,180,640 
REAL ESTATE - 3.9%          
China Overseas Land & Investment Ltd.   160,000    507,863 
Country Garden Holdings Co. Ltd.   750,000    295,917 
Guangzhou R&F Properties Co. Ltd.   170,000    237,059 
Highwealth Construction Corp.   320,000    479,677 
Redefine Properties Ltd.   670,000    580,560 
         2,101,076 
RETAIL - 1.0%          
ANTA Sports Products Ltd.   100,000    254,713 
Xtep International Holdings Ltd.   500,000    294,917 
         549,630 
SEMICONDUCTORS - 5.8%          
Dongbu HiTek Co. Ltd. *   15,000    254,656 
Powertech Technology, Inc.   120,000    242,184 
Samsung Electronics Co. Ltd.   1,200    1,307,798 
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR ^   55,000    1,297,450 
         3,102,088 
SOFTWARE - 2.0%          
HCL Technologies Ltd.   40,000    451,571 
NetEase, Inc. - ADR   4,500    633,150 
         1,084,721 
TELECOMMUNICATIONS - 6.9%          
Axiata Group Bhd   200,000    288,882 
China Mobile Ltd.   130,000    1,492,443 
Mobile TeleSystems PJSC - ADR ^   60,000    555,600 
MTN Group Ltd.   35,000    367,806 
Partron Co. Ltd.   25,000    243,438 
Turkcell Iletisim Hizmetleri AS   80,000    346,652 
Vodacom Group Ltd   35,000    408,507 
         3,703,328 
Security  Shares   Value 
TRANSPORTATION - 1.0%          
Super Group Ltd. *   185,000   $536,968 
           
TOTAL COMMON STOCK (Cost - $47,745,434)        49,664,554 
           
EXCHANGE TRADED FUNDS - 4.9%          
EQUITY FUNDS - 4.9%          
iShares MSCI South Africa ETF   25,000    1,390,000 
Market Vectors Russia ETF   70,000    1,241,800 
TOTAL EXCHANGE TRADED FUNDS (Cost - $2,452,212)        2,631,800 
           
SHORT-TERM INVESTMENT - 3.4%          
MONEY MARKET - 3.4%          
First American Government Obligations Fund 0.02% +          
(Cost - $1,825,888)   1,825,888    1,825,888 
           
COLLATERAL FOR SECURITIES LOANED - 3.3%          
Mount Vernon Prime Portfolio 0.51% +          
(Cost - $1,774,767)   1,774,767    1,774,767 
           
TOTAL INVESTMENTS - 104.6% (Cost - $53,798,301)       $55,897,009 
LIABILITIES IN EXCESS OTHER ASSETS - (4.6)%        (2,485,404)
NET ASSETS - 100.0%       $53,411,605 

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $1,695,275 at April 30, 2016.

 

*Non-income producing security.

 

+Variable rate security. Interest rate is as of April 30, 2016.

 

ADR - American Depositary Receipt. ETF - Exchange Traded Funds
   
GDR - Global Depositary Receipt. NVDR - Non-Voting Depositary Receipt


Portfolio Composition * - (Unaudited)
South Korea   12.8%  Turkey   8.2%
United States   11.2%  Taiwan   7.6%
South Africa   10.3%  Hungary   7.0%
China   10.1%  Hong Kong   5.6%
Russia   8.9%  Other Countries   18.3%
        Total   100.0%

 

*Based on total value of investments as of April 30, 2016.

 

Percentage may differ from Schedule of Investments which is based on Fund net assets.

 

See accompanying notes to financial statements.

66

 

Dunham Small Cap Growth Fund

Message from the Sub-Adviser (Pier Capital, LLC)

 

Small cap growth stocks, as measured by the Russell 2000 Growth Index, ended a volatile first half of the fiscal year in negative territory, declining 5.0 percent for the six-month period ended April 30, 2016. The beginning of the fiscal year saw gains, as November posted positive results of 3.7 percent. December and January took a downturn which resulted in losses of 4.8 percent and 10.8 percent, respectively. February continued the decline with a 0.7 percent loss. March and April turned around for the end of the first half of the fiscal year with positive gains of 7.7 percent and 1.0 percent, respectively.

 

During the fiscal year, there were no material changes to the Sub-Adviser’s investment decision making process. The Sub-Adviser continues to implement a bottom-up process to selecting stocks for the Fund, focusing on individual firm characteristics rather than sector weightings or the economy as a whole. It seeks companies on the verge of experiencing large increases in market share. By seeking out and identifying market catalysts, the Sub-Adviser believes that the securities it selects for the Fund are tailored towards organic growth due to some kind of market advantage. The Sub-Adviser feels that small cap growth stocks may have been impeded by high market volatility over the first half of the fiscal year. The volatility may have been driven by sporadic oil prices, a weak U.S. earnings season, and uncertainty in global markets. Small cap growth stocks underperformed versus large cap growth stocks over the first half of the fiscal year. From a Fund-specific perspective, U.S. economic factors are much more impactful than economic factors from outside the U.S. Given that the U.S. economy is on more solid ground than many economies around the globe bodes well for the companies in which the Fund invests.

 

Positive contributing sectors within the Fund were consumer staples and information technology. Small cap growth consumer staples stocks in the Fund were helped by Blue Buffalo Pet Products, Inc. (BUFF) (holding percentage*: 0.95 percent), a provider of dog and cat food made with meats, fruits and vegetables, and natural ingredients in the United States. The Sub-Adviser believes that natural organic pet food is a new niche market within the pet product industry and that the company has solidified a strong foothold within that niche. The Sub-Adviser sees strong potential growth for the company because of how natural organic pet food is still relatively new and has room to grow in the industry. The company gained 38.0 percent over the first half of the fiscal year. Aiding Fund performance from the information technology sector was Zendesk, Inc. (ZEN) (holding percentage*: 0.98 percent), a provider of web-based help desk software with a customer support platform. The company offers applications that allow clients to manage incoming support requests from end customers’ computers. The company gained 12.3 percent over the six-month period ended April 30, 2016. A negative performer for the information technology sector came from Shopify, Inc. (SHOP) (holding percentage*: 1.00 percent), which provides a cloud-based commerce platform. The platform is offered to merchants to create an omni-channel experience that helps showcase the merchant’s brand. The Sub-Adviser believes the company is gaining strength by hosting their services on Amazons Web Services, Inc., after Amazon chose to remove their own version of the business. The company declined 1.2 percent over the first half of the fiscal quarter.

 

A volatile sector for Fund returns came from healthcare. Small cap growth healthcare stocks in the Fund were helped by Edwards Lifesciences Corp. (EW) (holding percentage*: 1.16 percent), which designs, develops, manufactures, and markets products and services to treat late-stage cardiovascular disease. Their products include tissue replacement heart valves, heart valve repair products, hemodynamic monitoring devices, angioscopy equipment, oxygenators, and pharmaceuticals. The Sub-Adviser believes the company is just gaining traction in its industry and is approaching an explosion of growth and profitability. The holding gained 35.2 percent over the six-month period ended April 30, 2016. A negative performer for the Fund from the healthcare sector was Glaukos Corp. (GKOS) (holding percentage*: 0.56 percent). The company operates as an ophthalmic medical technology company and develops, manufactures, and markets medical devices for the treatment of glaucoma. It offers micro-scale injectable therapies designed to address the complete range of glaucoma disease states and progression. The stock detracted from the performance of the Fund, falling 6.0 percent over the first half of the fiscal year period.

 

The Sub-Adviser is hesitant about short-term U.S. economic improvement after seeing weak earnings growth from companies, volatility over the coming U.S. presidential election, and market pressure from a possible “Brexit” in Europe. The Sub-Adviser believes these events have created negative investor sentiment, which will slowly change as these events conclude. The Sub-Adviser sees the recent downturn in the U.S. market as a correct evaluation of pricing and regards it as a healthy event because of the market’s constant rise since 2009. On a macroeconomic level, the Sub-Adviser has seen contractions in major technology companies, which has spread and hurt performance throughout the technology sector. The Sub-Adviser believes that the market stall has allowed companies to consolidate their businesses, which will reflect positively for future growth of small cap stocks. * Holdings percentage(s) as of 4/30/2016.

 

*Holdings percentage(s) as of 4/30/2016.

 

**Holdings percentage(s) as of the date prior to the sale of the security.

 

Growth of $100,000 Investment - (Unaudited)

 

(LINE GRAPH)

 

Total Returns as of April 30, 2016

 

  Six   Annualized Annualized Annualized Annualized Since Inception
  Months One Year Three Years Five Years Ten Years (12/10/04)
Class N (7.57)% (10.60)% 8.15% 4.47% 5.42% 6.79%
Class C (7.99)% (11.44)% 7.10% 3.45% 4.38% 5.74%
Class A with load of 5.75% (12.95)% (15.91)% 5.78% 2.99% N/A 5.48%*
Class A without load (7.66)% (10.77)% 7.89% 4.22% N/A 6.16%*
Russell 2000 Growth Index (4.96)% (8.27)% 8.50% 7.15% 6.14% 7.30%
Morningstar Small Cap Growth Category (4.56)% (8.42)% 7.22% 5.62% 4.56% 6.70%

 

*Class A commenced operations on January 3, 2007.

 

The Russell 2000 Growth Index measures the performance of the Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Small Cap Growth Category is generally representative of mutual funds that primarily invest in small (small capitalization) U.S. companies that are projected to grow faster than other small-cap stocks.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.58% for Class N, 2.58% for Class C and 1.83% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com

67

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Small Cap Growth Fund
April 30, 2016

 

Security  Shares   Value 
COMMON STOCK - 96.9%          
AEROSPACE/DEFENSE - 2.0%          
Aerojet Rocketdyne Holdings, Inc. *   16,582   $300,466 
HEICO Corp.   5,457    334,569 
         635,035 
AIRLINES - 0.9%          
Allegiant Travel Co.   1,802    289,347 
           
AUTO PARTS & EQUIPMENT 0.6%          
Motorcar Parts of America, Inc. *   6,132    196,653 
           
BANKS - 4.4%          
Bank of the Ozarks ^   6,788    280,344 
BankUnited, Inc.   9,198    317,331 
FCB Financial Holdings, Inc. *   10,143    354,498 
Webster Financial Corp.   4,003    146,670 
Western Alliance Bancorp *   8,625    315,503 
         1,414,346 
BIOTECHNOLOGY - 0.7%          
NeoGenomics, Inc. *   28,930    235,490 
           
BUILDING MATERIALS - 1.3%          
Apogee Enterprises, Inc.   6,784    281,129 
Trex Co., Inc. *   2,958    140,357 
         421,486 
COMMERCIAL SERVICES - 7.0%          
AMN Healthcare Services, Inc. *   9,339    331,628 
Booz Allen Hamilton Holding Corp.   5,087    140,249 
Bright Horizons Family Solutions, Inc. *   4,289    281,444 
Healthcare Services Group, Inc.   6,964    263,587 
ICF International, Inc. *   2,104    82,835 
Korn Ferry International   8,884    241,112 
Nord Anglia Education, Inc. *   13,495    286,499 
Sabre Corp.   11,097    321,258 
Vantiv, Inc. *   5,773    314,859 
         2,263,471 
COMPUTERS - 7.4%          
Cray, Inc. *   8,186    310,004 
CSRA, Inc.   10,628    275,903 
Electronics For Imaging, Inc. *   6,615    263,542 
Exlservice Holdings, Inc. *   5,763    278,871 
Globant SA * ^   8,977    318,594 
Leidos Holdings, Inc.   6,045    299,892 
Manhattan Associates, Inc. *   4,707    284,962 
Mercury Systems, Inc. *   17,959    377,498 
         2,409,266 
DISTRIBUTION/WHOLESALE - 0.9%          
Beacon Roofing Supply, Inc. *   6,529    278,984 
           
DIVERSIFIED FINANCIAL SERVICES - 3.1%          
Evercore Partners, Inc.   5,776    298,273 
MarketAxess Holdings, Inc.   2,675    328,383 
WageWorks, Inc. * ^   7,072    380,898 
         1,007,554 
ELECTRONICS - 3.9%          
Coherent, Inc. *   3,163    295,424 
Fitbit, Inc. *   16052    292,949 
FLIR Systems, Inc.   8325    251,498 
IMAX Corp. * ^   8704    278,528 
Orbotech Ltd. *   5769    138,918 
         1,257,317 
Security  Shares   Value 
ENGINEERING & CONSTRUCTION - 1.3%          
Comfort Systems USA, Inc.   9,215   $271,750 
MasTec, Inc. *   6,318    143,166 
         414,916 
ENTERTAINMENT - 0.5%          
Dolby Laboratories, Inc.   3,186    151,685 
           
ENVIRONMENTAL CONTROL - 0.5%          
US Ecology, Inc.   3,326    149,770 
           
FOOD - 0.9%          
Blue Buffalo Pet Products, Inc. * ^   12,398    306,974 
           
HEALTHCARE-PRODUCTS - 8.4%          
AltriCure, Inc. *   14,626    232,553 
Cerus Corp. *   47,428    296,899 
ConforMIS, Inc. *   23,405    289,988 
Edwards Lifesciences Corp. *   3,533    375,240 
Glaukos Corp. * ^   9,578    180,450 
Nanostring Technologies, Inc. *   10,965    174,563 
Nevro Corp. *   3,446    231,743 
NuVasive, Inc. *   2,703    143,097 
West Pharmaceutical Services   5,818    414,242 
Zeltiq Aesthetics, Inc. * ^   12,702    379,790 
         2,718,565 
HEALTHCARE-SERVICES - 4.2%          
Amedisys, Inc. *   6,339    326,395 
American Renal Associates Holdings, Inc. *   2,834    79,692 
Amsurg Corp. * ^   4,051    328,050 
LCH Group, Inc. *   8,371    337,686 
Surgical Care Affiliates, Inc. *   6,211    300,302 
         1,372,125 
HOME BUILDERS - 1.8%          
Installed Building Products, Inc. *   11,427    303,729 
LGI Homes, Inc. * ^   10,272    287,719 
         591,448 
HOME FURNISHINGS - 2.4%          
American Woodmark Corp. *   3,977    289,685 
Ethan Allen Interiors, Inc.   5,987    203,797 
Tempur Sealy International, Inc. *   4,899    297,222 
         790,704 
HOUSEWARES - 0.9%          
Scotts Miracle-Gro Co.   4,182    296,002 
           
INTERNET - 7.6%          
8x8, Inc. *   22,771    258,223 
HealthStream, Inc. *   6,457    146,057 
Marketo, Inc. * ^   11,531    253,567 
Quotient Technology, Inc. *   21,947    255,024 
Ringcentral, Inc. * ^   16,043    306,100 
Shopify, Inc. * ^   10,167    323,819 
Splunk, Inc. *   6,216    323,108 
WebMD Health Corp. *   4,739    297,325 
Zendesk, Inc. *   14,097    318,592 
         2,481,815 
LEISURE TIME - 1.8%          
Norwegian Cruise Line Holdings Ltd. *   5,986    292,656 
Planet Fitness, Inc. * ^   19,426    298,383 
         591,039 
LODGING - 0.2%          
Red Rock Resorts, Inc. *   3,995    74,467 


See accompanying notes to financial statements.

68

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Small Cap Growth Fund (Continued)
April 30, 2016

 

Security  Shares   Value 
MISCELLANEOUS MANUFACTURING - 1.8%          
Fabrinet *   9,309   $297,609 
Hexcel Corp.   6,039    273,385 
         570,994 
OIL & GAS - 2.9%          
Gulfport Energy Corp. *   9,766    305,676 
Parsley Energy , Inc. *   13,327    312,118 
PDC Energy, Inc. * ^   4,940    310,183 
         927,977 
PHARMACEUTICALS - 4.1%          
Impax Laboratores, Inc. *   4,211    140,437 
Ophthotech Corp. *   5,951    278,150 
PRA Health Sciences, Inc. * ^   6,583    312,363 
Premier, Inc. *   8,001    270,514 
Quintiles Transnational Holdings, Inc. *   4,755    328,428 
         1,329,892 
RETAIL - 3.9%          
Burlington Stores, Inc. * ^   5,202    296,358 
Casey’s General Stores, Inc.   3,273    366,576 
Panera Bread Co. *   1,532    328,599 
Texas Roadhouse, Inc.   6,963    283,533 
         1,275,066 
SAVINGS & LOANS - 1.0%          
Sterling Bancorp.   19,248    314,512 
           
SEMICONDUCTORS - 5.3%          
CEVA, Inc. * ^   8,639    199,215 
Inphi Corp. *   10,570    313,612 
MA-COM Technology Solutions Holdings, Inc. *   8,106    331,454 
Monolithic Power Systems, Inc. ^   4,455    278,081 
NVIDIA Corp.   9,069    322,222 
Silicon Motion Technology Corp ADR   7,114    274,245 
         1,718,829 
SOFTWARE - 10.7%          
Activision Blizzard, Inc.   9,620    331,601 
Blackbaud, Inc.   4,799    296,434 
Broadsoft, Inc. * ^   9,260    362,668 
Callidus Software, Inc. *   19,860    363,438 
CommVault Systems, Inc. *   7,048    308,491 
Security  Shares   Value 
SOFTWARE (CONTINUED) - 10.7%          
HubSpot, Inc. *   8,118   $359,546 
inContact, Inc. *   16,679    155,282 
Press Ganey Holdings, Inc. *   9,182    279,776 
Proofpoint, Inc. * ^   6,404    373,097 
Red Hat, Inc. * ^   4,444    326,056 
Take-Two Interavtive Software, Inc. *   8,866    303,040 
         3,459,429 
TELECOMMUNICATIONS - 1.6%          
Gigamon, Inc. *   8,726    284,381 
Infinera Corp. *   18,670    221,986 
         506,367 
TRANSPORTATION - 2.9%          
Air Transport Services Group, Inc. *   19,665    277,080 
Covenant Transportation Group, Inc. *   6,506    129534 
Old Dominion Freight Line, Inc. *   4,317    285138 
Swift Transportation Co. *   14,498    240,957 
         932,709 
           
TOTAL COMMON STOCK (Cost - $29,511,289)        31,384,234 
           
SHORT-TERM INVESTMENT - 3.3%          
MONEY MARKET FUND - 3.3%          
Fidelity Institutional Money Market Funds -          
Government Portfolio, 0.01% +   1,071,486    1,071,486 
TOTAL SHORT-TERM INVESTMENT (Cost - $1,071,486)          
           
COLLATERAL FOR SECURITIES LOANED - 36.9%          
Mount Vernon Prime Portfolio, 0.51% + (Cost - $11,966,485)   11,966,485    11,966,485 
           
TOTAL INVESTMENTS - 137.1% (Cost - $42,549,260)       $44,422,205 
LIABILITIES IN EXCESS OF OTHER ASSETS - (37.1)%        (12,015,932)
NET ASSETS - 100.0%       $32,406,273 

 

^All or a portion of these securities are on loan. Total loaned securies had a value of $11,617,520 at April 30, 2016.

 

*Non-Income producing security.

 

+Variable rate security. Interest rate is as of April 30, 2016.


Portfolio Composition * - (Unaudited)
Collateral For Securities Loaned   26.9%  Industrial   9.9%
Consumer, Non-cyclical   18.5%  Communications   6.7%
Technology   17.1%  Financial   6.2%
Consumer, Cyclical   10.2%  Short-Term Investment   2.4%
        Energy   2.1%
        Total   100.0%

 

*Based on total value of investments as of April 30, 2016.

 

Percentage may differ from Schedule of Investments which is based on Fund net assets.

 

See accompanying notes to financial statements.

69

 

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
April 30, 2016

 

       Dunham   Dunham           Dunham         
   Dunham   Monthly   Corporate /   Dunham   Dunham   International   Dunham   Dunham 
   Floating Rate   Distribution   Government   Dynamic Macro   High-Yield   Opportunity   Appreciation &   Alternative 
   Bond Fund   Fund   Bond Fund   Fund   Bond Fund   Bond Fund   Income Fund   Strategy Fund 
Assets:                                        
Investments in securities, at cost  $90,683,918   $292,329,615   $53,928,716   $35,986,647   $107,600,069   $30,641,901   $32,280,214   $22,283,218 
Investments in securities, at value  $89,131,821   $279,280,433   $54,847,372   $36,860,466   $108,271,438   $30,938,090   $29,058,776   $22,108,013 
Foreign currency, at value (Cost $90,676, $104,611 and $87,053, respectively)   —    87,973    —    11,174    —    30,291    —    — 
Deposits with brokers   —    41,695,159    —    —    —    76,865    —    — 
Unrealized appreciation on swap contracts   —    4,382,304    —    —    —    —    —    — 
Unrealized appreciation on futures   —    —    —    108,018    —    —    —    — 
Cash   —    13,640,000    17,290    —    —    —    —    493 
Receivable for securities sold   151,683    3,159,551    186,918    11,208    465,579    —    —    24,466,545 
Interest and dividends receivable   621,215    1,173,648    433,037    1,345    1,447,508    347,119    109,876    — 
Receivable for fund shares sold   1,076    6,846    4,664    17,226    909    341    9,890    6,460 
Receivable for open forward foreign currency contracts   —    24,068,965    —    —    —    283,346    —    — 
Prepaid expenses and other assets   34,886    173,117    32,800    24,771    26,354    5,604    24,879    20,345 
Total Assets   89,940,681    367,667,996    55,522,081    37,034,208    110,211,788    31,681,656    29,203,421    46,601,856 
                                         
Liabilities:                                        
Option contracts written (premiums received $6,208,581 and $25,180,respectively   —    6,554,065    —    25,180    —    —    —    — 
Payable upon return of securities loaned   105,750    9,209,035    2,379,575    —    13,974,490    —    2,769,760    — 
Securities sold short (proceeds $67,286,631)   —    71,734,934    —    —    —    —    —    — 
Unrealized depreciation on swaps   —    2,826,408    —    —    —    —    —    — 
Unrealized depreciation on futures   —    —    —    —    —    22,371    —    — 
Payable for dividends on short sales   —    31,261    —    —    —    —    —    — 
Payable to broker for futures   —    —    —    633,511    —    —    —    — 
Payable for securities purchased   2,780,068    2,448,470    564,689    11,209    1,627,895    —    —    24,489,712 
Payable for fund shares redeemed   47,528    477,573    6,697    2,593    88,534    21,134    21,808    832 
Payable for open forward foreign currency contracts   —    24,513,923    —    —    —    176,101    —    — 
Distributions payable   2,226    71,648    1,333    —    8,913    —    —    — 
Payable to adviser   42,656    136,503    21,480    19,203    46,434    15,425    14,310    11,986 
Payable to sub-adviser   31,987    47,509    6,869    14,388    14,988    4,175    4,082    5,678 
Payable for distribution fees   1,485    47,635    5,402    3,236    3,204    —    5,784    953 
Payable for administration fees   8,945    16,612    2,400    1,521    14,976    2,578    6,480    1,200 
Payable for fund accounting fees   2,728    12,282    947    851    10,191    3,078    10,993    900 
Payable for transfer agent fees   736    —    1,750    1,367    18,443    1,930    1,947    2,100 
Payable for custody fees   1,467    60,381    500    450    1,722    —    408    500 
Payable for non 12b-1 shareholder servicing fees   —    —    —    —    2,742    —    —    — 
Accrued expenses and other liabilities   10,041    26,941    8,741    10,223    50,544    32,528    6,889    11,798 
Total Liabilities   3,035,617    118,215,180    3,000,383    723,732    15,863,076    279,320    2,842,461    24,525,659 
                                         
Net Assets  $86,905,064   $249,452,816   $52,521,698   $36,310,476   $94,348,712   $31,402,336   $26,360,960   $22,076,197 
                                         
Net Assets:                                        
Paid in capital  $90,400,438   $278,654,164   $53,633,535   $38,089,519   $106,716,578   $32,191,243   $29,886,777   $25,727,836 
Accumulated net investment income (loss)   55,697    326,230    (19,396)   (145,413)   133,697    (21,813)   (47,695)   (196,645)
Accumulated net realized gain (loss) on  investments, options, securities sold short, futures, swap contracts, and foreign currency transactions   (1,998,974)   (12,930,984)   (2,011,097)   (2,624,971)   (13,172,932)   (1,082,368)   (256,684)   (3,279,789)
Net unrealized appreciation (depreciation) on  investments, options, securities sold short, futures, swap contracts, and foreign currency translations   (1,552,097)   (16,596,594)   918,656    991,341    671,369    315,274    (3,221,438)   (175,205)
                                         
Net Assets  $86,905,064   $249,452,816   $52,521,698   $36,310,476   $94,348,712   $31,402,336   $26,360,960   $22,076,197 
                                         
Net Asset Value Per Share                                        
Class N Shares:                                        
Net Assets  $73,842,740   $150,116,337   $43,363,260   $30,413,612   $75,916,456   $27,372,216   $18,449,698   $19,605,821 
Shares of beneficial interest outstanding  (no par value; unlimited shares authorized)   7,698,206    4,216,056    3,144,794    3,220,807    8,752,057    2,860,186    2,403,842    903,658 
Net asset value, offering and  redemption price per share  $9.59   $35.60   $13.79   $9.44   $8.67   $9.57   $7.68   $21.70 
                                         
Class A Shares:                                        
Net Assets  $9,228,255   $56,270,860   $5,580,293   $3,643,952   $10,313,896   $2,773,308   $3,988,243   $1,674,468 
Shares of beneficial interest outstanding  (no par value; unlimited shares authorized)   962,617    1,615,356    405,164    386,228    1,179,315    290,767    520,471    78,686 
Net asset value and  redemption price per share *  $9.59   $34.83   $13.77   $9.43   $8.75   $9.54   $7.66   $21.28 
Front-end sales charge factor   0.9550    0.9425    0.9550    0.9425    0.9550    0.9550    0.9425    0.9425 
Offering price per share (Net asset value per  share / front-end sales charge factor)  $10.18   $36.95   $14.42   $10.01   $9.16   $9.99   $8.13   $22.58 
                                         
Class C Shares:                                        
Net Assets  $3,834,069   $43,065,619   $3,578,145   $2,252,912   $8,118,360   $1,256,812   $3,923,019   $795,908 
Shares of beneficial interest outstanding  (no par value; unlimited shares authorized)   400,075    1,479,909    261,434    245,411    941,981    132,951    520,845    39,610 
Net asset value, offering and  redemption price per share  $9.58   $29.10   $13.69   $9.18   $8.62   $9.45   $7.53   $20.09 

 

 
*For certain purchases of $1 million or more, a 0.75% contingent deferred sales charge may apply to redemptions made within eighteen months of purchase.

 

See accompanying notes to financial statements.

70

 

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) (Continued)
April 30, 2016

 

       Dunham               Dunham     
   Dunham   Focused   Dunham   Dunham   Dunham   Emerging   Dunham 
   Large Cap   Large Cap   International   Real Estate   Small Cap   Markets   Small Cap 
   Value Fund   Growth Fund   Stock Fund   Stock Fund   Value Fund   Stock Fund   Growth Fund 
Assets:                                   
Investments in securities, at cost  $58,607,241   $65,777,374   $91,735,418   $42,771,929   $31,388,311   $53,798,301   $42,549,260 
Investments in securities, at value  $63,921,031   $76,907,309   $94,605,299   $49,996,366   $31,326,316   $55,897,009   $44,422,205 
Foreign currency, at value (Cost $5, $422,311 and $3,808, respectively)   —    —    420,151    —    —    3,805    — 
Cash   18,474    —    —    —    —    —    — 
Receivable for securities sold   203,387    —    1,380,883    —    —    696,738    1,258,505 
Interest and dividends receivable   33,457    5,894    585,126    13,796    14,343    41,018    4,527 
Receivable for fund shares sold   27,841    36,649    19,568    16,563    11,455    614    847 
Receivable for open forward foreign currency contracts   —    —    897,743    —    —    740,129    — 
Prepaid expenses and other assets   27,181    41,411    23,046    28,910    19,850    27,987    29,998 
Total Assets   64,231,371    76,991,263    97,931,816    50,055,635    31,371,964    57,407,300    45,716,082 
                                    
Liabilities:                                   
Cash overdraft   —    —    10,651    —    —    —    — 
Foreign currency overdraft   —    —    —    —    —    —    — 
Payable upon return of securities loaned   8,965,266    12,704,917    4,645,326    7,173,911    4,121,138    1,774,767    11,966,485 
Payable to custodian for cash overdraft   —    —    —    —    —    —    — 
Payable for securities purchased   —    —    1,750,593    —    —    1,386,863    1,291,668 
Payable for fund shares redeemed   4,437    42,142    32,295    82,212    2,085    21,203    7,009 
Payable for open forward foreign currency contracts   —    —    1,066,025    —    —    728,966    — 
Payable to adviser   29,288    34,363    47,662    23,022    14,443    26,891    17,267 
Payable to sub-adviser   9,694    10,705    30,734    2,624    9,579    16,692    — 
Payable for distribution fees   6,337    6,221    10,797    3,102    3,353    6,174    — 
Payable for administration fees   2,397    1,662    2,750    1,819    1,840    2,641    4,324 
Payable for fund accounting fees   1,125    1,020    1,725    1,321    895    1,425    5,617 
Payable for transfer agent fees   1,125    442    1,575    405    1,225    1,651    1,234 
Payable for custody fees   1,568    2,433    15,850    —    900    8,021    2,413 
Accrued expenses and other liabilities   10,600    4,308    73,321    4,594    13,352    20,401    13,792 
Total Liabilities   9,031,837    12,808,213    7,689,304    7,293,010    4,168,810    3,995,695    13,309,809 
                                    
Net Assets  $55,199,534   $64,183,050   $90,242,512   $42,762,625   $27,203,154   $53,411,605   $32,406,273 
                                    
Net Assets:                                   
Paid in capital  $51,149,983   $56,041,165   $92,476,281   $34,635,417   $26,957,299   $62,709,261   $32,933,390 
Accumulated net investment income (loss)   328,393    (938,307)   93,735    556,544    41,135    2,497    (157,405)
Accumulated net realized gain (loss) on investments and foreign currency transactions   (1,592,632)   (2,049,743)   (5,081,910)   346,227    66,715    (11,398,861)   (2,242,657)
Net unrealized appreciation (depreciation) on investments and foreign currency translations   5,313,790    11,129,935    2,754,406    7,224,437    138,005    2,098,708    1,872,945 
                                    
Net Assets  $55,199,534   $64,183,050   $90,242,512   $42,762,625   $27,203,154   $53,411,605   $32,406,273 
                                    
Net Asset Value Per Share                                   
Class N Shares:                                   
Net Assets  $43,364,052   $48,964,675   $74,148,785   $29,338,071   $21,205,572   $45,236,808   $23,827,615 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   3,643,790    3,188,628    5,344,252    1,638,268    1,559,786    3,822,523    1,648,896 
Net asset value, offering and redemption price per share  $11.90   $15.36   $13.87   $17.91   $13.60   $11.83   $14.45 
                                    
Class A Shares:                                   
Net Assets  $6,436,829   $9,978,376   $9,165,776   $10,047,029   $3,684,421   $4,976,538   $5,650,021 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   542,585    657,113    662,701    559,111    273,040    429,438    403,401 
Net asset value, and redemption price per share *  $11.86   $15.19   $13.83   $17.97   $13.49   $11.59   $14.01 
Front-end sales charge factor   0.9425    0.9425    0.9425    0.9425    0.9425    0.9425    0.9425 
Offering price per share (Net asset value per share / front-end sales charge factor)  $12.59   $16.12   $14.67   $19.07   $14.32   $12.30   $14.86 
Class C Shares:                                   
Net Assets  $5,398,653   $5,239,999   $6,927,951   $3,377,525   $2,313,161   $3,198,259   $2,928,637 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   473,161    356,415    520,215    195,785    187,439    289,647    241,900 
Net asset value, offering and redemption price per share  $11.41   $14.70   $13.32   $17.25   $12.34   $11.04   $12.11 

 

 
*For certain purchases of $1 million or more, a 0.75% contingent deferred sales charge may apply to redemptions made within eighteen months of purchase.

 

See accompanying notes to financial statements.

71

 

STATEMENTS OF OPERATIONS (Unaudited)
For the Six Months Ended April 30, 2016

 

       Dunham   Dunham           Dunham         
   Dunham   Monthly   Corporate /   Dunham   Dunham   International   Dunham   Dunham 
   Floating Rate   Distribution   Government   Dynamic Macro   High-Yield   Opportunity   Appreciation &   Alternative 
   Bond Fund   Fund   Bond Fund   Fund   Bond Fund   Bond Fund   Income Fund   Strategy Fund 
                                         
Investment Income:                                        
Interest income  $2,077,800   $583,970   $970,842   $11,287   $2,825,468   $304,840   $194,924   $4,286 
Dividend income   296    3,319,572    27,393    182,854    924    0    126,778    80,388 
Securities Lending Income   —    —    3,326    15,548    15,151    0    9,684    12,697 
Less: Foreign withholding taxes   —    (14,659)   —    —    —    (292)   —    — 
Total Investment Income   2,078,096    3,888,883    1,001,561    209,689    2,841,543    304,548    331,386    97,371 
                                         
Operating Expenses:                                        
Investment advisory fees   256,278    860,158    127,058    113,041    278,642    99,012    87,154    73,383 
Sub-advisory fees   170,852    998,468    76,235    129,737    185,762    74,259    60,338    56,448 
Sub-advisory performance fees   38,436    (718,947)   (31,554)   (12,429)   (98,749)   (49,212)   (15,794)   (22,187)
Fund accounting fees   13,590    46,324    3,500    4,970    30,299    5,573    14,446    3,640 
Distribution fees- Class C Shares   13,777    228,018    4,208    10,422    31,004    5,469    18,726    4,111 
Distribution fees- Class A Shares   11,020    79,485    13,538    4,322    12,279    3,562    4,967    2,033 
Administration fees   53,519    89,604    16,769    11,281    43,330    14,020    12,640    7,367 
Registration fees   13,046    30,297    36,661    21,027    25,157    21,476    20,465    13,413 
Transfer agent fees   12,245    23,344    11,146    9,234    13,780    8,584    9,540    7,763 
Custodian fees   15,969    174,998    8,331    —    5,849    —    1,978    2,670 
Professional fees   14,995    11,504    6,500    —    7,984    9,697    7,319    — 
Chief Compliance Officer fees   5,913    21,627    5,580    7,938    9,139    0    2,019    8,676 
Printing and postage expense   9,524    48,453    2,000    —    8,027    1,073    2,177    3,182 
Trustees’ fees   2,725    9,168    4,266    892    2,996    927    1,869    865 
Insurance expense   2,151    10,604    1,080    207    603    653    387    246 
Non 12b-1 shareholder servicing fees   212    39,060    684    —    3,908    1,305    3,255    1,231 
Dividend expenses on short sales   —    207,302    1,305    —    —    —    —    — 
Interest expense   —    3,905    —    —    —    —    —    — 
Miscellaneous expenses   3,822    4,612    9,227    11,801    6,776    32,067    2,434    5,153 
Net Operating Expenses   638,074    2,167,984    296,534    312,443    566,786    228,465    233,920    167,994 
                                         
Net Investment Income (Loss)   1,440,022    1,720,899    705,027    (102,754)   2,274,757    76,083    97,466    (70,623)
                                         
Realized and Unrealized Gain (Loss) on Investments, Options Purchased, Securities Sold Short, Futures, Written Options, Foreign Currency Transactions and Swap Contracts:                                        
Net realized gain (loss) from:                                        
Investments   (916,042)   (11,475,774)   (662,352)   (262,055)   (5,077,538)   176,055    (220,758)   (1,954,430)
Futures   —    —    —    (670,765)   —    (56,290)   —    — 
Options purchased   —    6,166,726    —    159,653    —    —    —    — 
Securities sold short   —    (68,583)   —    —    —    —    —    — 
Written options   —    693,396    —    (48,795)   —    —    —    — 
Swap contracts   —    (3,482,881)        —    —    —    —    — 
Capital gain distributions received from                                        
Foreign currency transactions   —    183,425    —    (300,502)   —    (1,100,996)   —    — 
Foreign currency exchange contracts   —    856,359    —    —    —    (30,221)   —    — 
Net change in unrealized appreciation (depreciation) on:                                        
Investments   841,493    2,914,815    881,304    (81,335)   2,448,359    3,125,817    (1,753,445)   (596,459)
Futures   —    —    —    (232,566)   —    (12,446)   —    — 
Options purchased   —    212,565    —    196,070    —    —    —    — 
Securities sold short   —    (2,350,131)   —    —    —    —    —    — 
Written options   —    2,036,766    —    (1,956)   —    —    —    — 
Swap contracts   —    1,264,970    —    —    —    —    —    — 
Foreign currency translations   —    (2,703)   —    (33,968)   —    (18,744)   —    — 
Foreign currency exchange contracts   —    (444,958)   —    —    —    45,715    —    — 
Net Realized and Unrealized Gain (Loss)   (74,549)   (3,496,008)   218,952    (1,276,219)   (2,629,179)   2,128,890    (1,974,203)   (2,550,889)
                                         
Net Increase (Decrease) in Net Assets Resulting From Operations  $1,365,473   $(1,775,109)  $923,979   $(1,378,973)  $(354,422)  $2,204,973   $(1,876,737)  $(2,621,512)

 

See accompanying notes to financial statements.

72

 

STATEMENTS OF OPERATIONS (Unaudited) (Continued)
For the Six Months Ended April 30, 2016

 

       Dunham               Dunham     
   Dunham   Focused   Dunham   Dunham   Dunham   Emerging   Dunham 
   Large Cap   Large Cap   International   Real Estate   Small Cap   Markets   Small Cap 
   Value Fund   Growth Fund   Stock Fund   Stock Fund   Value Fund   Stock Fund   Growth Fund 
                             
Investment Income:                                   
Interest income  $961   $929   $1,019   $451   $238   $847   $656 
Dividend income   5,524    87,457    1,376,835    1,093,847    292,239    599,458    53,209 
Securities lending income   768,480    8,378    15,237    3,844    4,116    4,436    17,044 
Less: Foreign withholding taxes   —    (100)   (154,148)   —    —    (72,891)   — 
Total Investment Income   774,965    96,664    1,238,943    1,098,142    296,593    531,850    70,909 
                                    
Operating Expenses:                                   
Investment advisory fees   173,996    202,020    283,542    142,587    86,085    155,369    99,431 
Sub-advisory fees   80,306    108,780    283,541    87,485    59,597    120,209    76,933 
Sub-advisory performance fees   (116,419)   (7,533)   (5,987)   (38,201)   16,870    (81,025)   (42,320)
Fund accounting fees   8,404    9,339    13,596    7,049    4,942    6,797    9,473 
Distribution fees- Class C Shares   27,883    26,350    34,377    15,754    11,463    15,286    12,777 
Distribution fees- Class A Shares   7,712    11,514    10,525    12,425    4,387    5,585    6,896 
Administration fees   16,799    18,878    50,600    13,756    4,183    20,911    10,978 
Registration fees   20,918    12,743    28,623    19,945    26,199    21,896    20,153 
Transfer agent fees   7,522    9,796    13,407    9,207    9,155    9,632    8,976 
Custodian fees   5,845    5,406    18,000    7,181    2,651    21,050    6,480 
Professional fees   8,083    9,268    12,137    10,224    —    3,500    8,553 
Chief Compliance Officer fees   2,700    5,154    3,500    3,737    8,884    10,430    2,745 
Printing and postage expense   3,833    4,873    3,629    3,740    2,537    7,591    1,740 
Trustees’ fees   1,894    2,407    2,460    1,542    1,429    3,316    997 
Insurance expense   744    560    —    238    388    548    450 
Non 12b-1 shareholder servicing fees   83    2,019    683    1,200    983    383    748 
Miscellaneous expenses   5,652    485    26,373    5,072    2,703    8,888    3,304 
Net Operating Expenses   255,955    422,059    779,006    302,941    242,456    330,366    228,314 
                                    
Net Investment Income (Loss)   519,010    (325,395)   459,937    795,201    54,137    201,484    (157,405)
                                    
Realized and Unrealized Gain (Loss) on Investments, Options and Foreign Currency:                                   
Net realized gain (loss) from:                                   
Investments   (842,416)   (1,529,752)   (3,487,614)   944,159    136,664    (2,246,610)   (1,975,171)
Foreign currency transactions   —    —    —    —    —    —    — 
Foreign currency exchange contracts   —    —    (816,147)   —    —    (1,020,509)   — 
Net change in unrealized appreciation (depreciation) on:                                   
Investments   (192,931)   (4,052,743)   1,936,327    (193,308)   (544,218)   2,981,499    (212,333)
Foreign currency translations   —    —    —    —    —    11,027    — 
Foreign currency exchange contracts   —    —    (399,475)   —    —    —    — 
Net Realized and Unrealized Gain (Loss)   (1,035,347)   (5,582,495)   (2,766,909)   750,851    (407,554)   (274,593)   (2,187,504)
                                    
Net Increase (Decrease) in Net Assets Resulting From Operations  $(516,337)  $(5,907,890)  $(2,306,972)  $1,546,052   $(353,417)  $(73,109)  $(2,344,909)

 

 

 

See accompanying notes to financial statements.

73

 

STATEMENTS OF CHANGES IN NET ASSETS

 

   Dunham   Dunham   Dunham   Dunham   Dunham   Dunham 
   Floating Rate   Monthly Distribution   Corporate/Government   Dynamic Macro   High-Yield   International Opportunity 
   Bond Fund   Fund   Bond Fund   Fund   Bond Fund   Bond Fund 
   Six Months       Six Months       Six Months       Six Months       Six Months       Six Months     
   Ended   Year Ended   Ended   Year Ended   Ended   Year Ended   Ended   Year Ended   Ended   Year Ended   Ended   Year Ended 
   Apr. 30, 2016   Oct. 31, 2015   Apr. 30, 2016   Oct. 31, 2015   Apr. 30, 2016   Oct. 31, 2015   Apr. 30, 2016   Oct. 31, 2015   Apr. 30, 2016   Oct. 31, 2015   Apr. 30, 2016   Oct. 31, 2015 
   (Unaudited)       (Unaudited)       (Unaudited)       (Unaudited)       (Unaudited)       (Unaudited)     
                                                 
Operations:                                                            
Net investment income (loss)  $1,440,022   $2,659,546   $1,720,899   $(2,091,574)  $705,027   $1,579,986   $(102,754)  $(367,594)  $2,274,757   $5,358,316   $76,083   $219,651 
Net realized gain (loss) from investments, foreign currency, securities sold short, futures, swap contracts and options   (916,042)   (989,927)   (7,127,332)   8,665,171    (662,352)   (802,542)   (1,122,464)   (784,599)   (5,077,538)   (4,691,852)   (1,011,452)   (3,043,314)
Net change in unrealized appreciation (depreciation) on investments, foreign currency, securities sold short, futures, swap contracts and options   841,493    (1,351,525)   3,631,324    (12,530,696)   881,304    (628,811)   (153,755)   885,984    2,448,359    (2,895,283)   3,140,342    (1,185,869)
Net Increase (Decrease) in Net Assets Resulting From Operations   1,365,473    318,094    (1,775,109)   (5,957,099)   923,979    148,633    (1,378,973)   (266,209)   (354,422)   (2,228,819)   2,204,973    (4,009,532)
                                                             
Distributions to Shareholders From:                                                            
Net Realized Gains:                                                            
Class N   —    —    (2,695,636)   (3,465,984)   —    —    —    —    —    —    —    — 
Class A   —    —    (1,107,324)   (1,580,917)   —    —    —    —    —    —    —    — 
Class C   —    —    (959,489)   (1,315,549)   —    —    —    —    —    —    —    — 
Net Investment Income:                                                            
Class N   (1,226,062)   (2,306,306)   —    —    (627,973)   (1,444,152)   —    —    (1,847,379)   (4,206,990)   (26,161)   (20,234)
Class A   (137,309)   (280,234)   —    —    (72,515)   (123,639)   —    —    (229,783)   (633,882)   (1,468)   (1,136)
Class C   (48,354)   (90,378)   —    —    (40,277)   (89,766)   —    —    (172,893)   (426,203)   (112)   — 
Distributions From Paid In Capital:                                                            
Class N   —    —    —    (1,924,706)   —    —    —    —    —    —    —    — 
Class A   —    —    —    (906,907)   —    —    —    —    —    —    —    — 
Class C   —    —    —    (731,788)   —    —    —    —    —    —    —    — 
Total Distributions to Shareholders   (1,411,725)   (2,676,918)   (4,762,449)   (9,925,851)   (740,765)   (1,657,557)   —    —    (2,250,055)   (5,267,075)   (27,741)   (21,370)
                                                             
Share Transactions of Beneficial Interest:                                                            
Net proceeds from shares sold                                                            
Class N   9,673,248    26,805,380    14,655,975    59,506,155    6,656,560    11,821,827    5,925,389    19,642,140    5,665,895    14,380,469    1,834,465    12,663,574 
Class A   2,082,257    7,478,894    5,865,139    32,835,909    2,122,802    2,730,333    1,978,966    2,239,845    1,484,626    7,270,669    534,072    4,644,903 
Class C   679,501    1,313,889    3,891,987    20,947,149    423,949    982,704    639,897    671,518    489,540    1,348,348    117,974    674,903 
Reinvestment of distributions                                                            
Class N   1,222,177    2,305,799    2,561,885    5,020,988    627,908    1,443,731    —    —    1,807,080    4,059,205    26,161    20,234 
Class A   126,451    263,845    954,576    2,064,283    65,501    118,869    —    —    190,040    539,405    1,390    1,098 
Class C   47,800    89,580    775,169    1,582,690    38,260    87,339    —    —    147,795    362,639    111    — 
Cost of shares redeemed                                                            
Class N   (10,314,536)   (16,957,527)   (27,578,391)   (49,477,110)   (6,040,793)   (13,876,442)   (2,884,724)   (2,621,968)   (8,130,912)   (36,343,091)   (8,328,789)   (19,792,147)
Class A   (1,581,478)   (12,506,881)   (23,117,476)   (35,643,072)   (1,438,155)   (1,627,587)   (1,474,414)   (658,270)   (1,321,818)   (18,668,200)   (1,154,322)   (4,479,173)
Class C   (471,057)   (1,119,025)   (10,323,557)   (16,937,091)   (592,486)   (958,740)   (248,064)   (453,699)   (1,487,423)   (3,431,763)   (586,230)   (753,425)
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest   1,464,363    7,673,954    (32,314,693)   19,899,901    1,863,546    722,034    3,937,050    18,819,566    (1,155,177)   (30,482,319)   (7,555,168)   (7,020,033)
                                                             
Total Increase (Decrease) in Net Assets   1,418,111    5,315,130    (38,852,251)   4,016,951    2,046,760    (786,890)   2,558,077    18,553,357    (3,759,654)   (37,978,213)   (5,377,936)   (11,050,935)
                                                             
Net Assets:                                                            
Beginning of Period   85,486,953    80,171,823    288,305,067    284,288,116    50,474,938    51,261,828    33,752,399    15,199,042    98,108,366    136,086,579    36,780,272    47,831,207 
End of Period *  $86,905,064   $85,486,953   $249,452,816   $288,305,067   $52,521,698   $50,474,938   $36,310,476   $33,752,399   $94,348,712   $98,108,366   $31,402,336   $36,780,272 
*  Includes undistributed net investment income (loss) at end of year  $55,697   $20,255   $326,230   $1,364,137   $(19,396)  $16,342   $(145,413)  $(42,659)  $133,697   $17,754   $(21,813)  $— 

 

 

 

See accompanying notes to financial statements.

74

 

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

   Dunham   Dunham   Dunham   Dunham 
   Appreciation &   Alternative   Large Cap   Focused Large Cap 
   Income Fund   Strategy Fund   Value Fund   Growth Fund 
   Six Months       Six Months       Six Months       Six Months     
   Ended   Year Ended   Ended   Year Ended   Ended   Year Ended   Ended   Year Ended 
   Apr. 30, 2016   Oct. 31, 2015   Apr. 30, 2016   Oct. 31, 2015   Apr. 30, 2016   Oct. 31, 2015   Apr. 30, 2016   Oct. 31, 2015 
   (Unaudited)       (Unaudited)       (Unaudited)       (Unaudited)     
                                 
Operations:                                        
Net investment income (loss)  $97,466   $765,356   $(70,623)  $(34,985)  $519,010   $496,880   $(325,395)  $(678,553)
Net realized gain (loss) from investments and foreign currency transactions   (220,758)   898,618    (1,954,430)   (95,801)   (842,416)   15,237,873    (1,529,752)   638,277 
Capital gain distributions received from other investment companies   —    —    —    51,809    —    —    —    — 
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations   (1,753,445)   (2,532,611)   (596,459)   (231,388)   (192,931)   (15,021,215)   (4,052,743)   7,298,519 
Net Increase (Decrease) in Net Assets Resulting From Operations   (1,876,737)   (868,637)   (2,621,512)   (310,365)   (516,337)   713,538    (5,907,890)   7,258,243 
                                         
Distributions to Shareholders From:                                        
Net Realized Gains:                                        
Class N   (403,190)   (2,968,783)   —    —    (11,078,720)   —    (291,262)   — 
Class A   (86,592)   (748,302)   —    —    (1,618,488)   —    (56,919)   — 
Class C   (104,911)   (649,083)   —    —    (1,560,943)   —    (33,681)   — 
Net Investment Income:                                        
Class N   (786,055)   (287,785)   —    —    (494,656)   (323,640)   —    — 
Class A   (158,001)   (61,328)   —    —    (56,644)   (42,004)   —    — 
Class C   (157,682)   (23,109)   —    —    (12,668)   —    —    — 
Total Distributions to Shareholders   (1,696,431)   (4,738,390)   —    —    (14,822,119)   (365,644)   (381,862)   — 
                                         
Share Transactions of Beneficial Interest:                                        
Net proceeds from shares sold                                        
Class N   2,152,193    6,612,666    2,137,725    10,062,695    3,829,738    10,056,662    6,854,209    18,681,958 
Class A   355,197    1,658,013    310,810    2,168,236    998,391    2,688,351    3,446,716    9,683,964 
Class C   846,648    2,201,019    183,841    368,291    418,438    1,091,246    1,481,073    1,171,037 
Reinvestment of distributions                                        
Class N   1,183,250    3,247,305    —    —    11,569,073    323,513    289,776    — 
Class A   190,061    583,948    —    —    1,655,337    41,709    55,382    — 
Class C   230,784    669,690    —    —    1,571,854    —    30,681    — 
Cost of shares redeemed                                        
Class N   (2,648,417)   (4,405,250)   (1,386,392)   (4,021,907)   (4,712,878)   (8,002,850)   (4,748,168)   (9,982,425)
Class A   (247,649)   (1,625,832)   (160,686)   (2,375,119)   (1,054,032)   (3,835,677)   (1,320,203)   (22,089,093)
Class C   (1,504,964)   (1,088,712)   (150,023)   (550,889)   (739,720)   (950,437)   (912,958)   (843,277)
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest   557,103    7,852,847    935,275    5,651,307    13,536,201    1,412,517    5,176,508    (3,377,836)
                                         
Total Increase (Decrease) in Net Assets   (3,016,065)   2,245,820    (1,686,237)   5,340,942    (1,802,255)   1,760,411    (1,113,244)   3,880,407 
                                         
Net Assets:                                        
Beginning of Period   29,377,025    27,131,205    23,762,434    18,421,492    57,001,789    55,241,378    65,296,294    61,415,887 
End of Period *  $26,360,960   $29,377,025   $22,076,197   $23,762,434   $55,199,534   $57,001,789   $64,183,050   $65,296,294 
* Includes undistributed net investment income (loss) at end of year  $(47,695)  $259,459   $(196,645)  $(259,611)  $328,393   $373,351   $(938,307)  $(390,591)

 

 

 

See accompanying notes to financial statements.

75

 

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

   Dunham   Dunham   Dunham   Dunham   Dunham 
   International   Real Estate   Small Cap   Emerging Markets   Small Cap 
   Stock Fund   Stock Fund   Value Fund   Stock Fund   Growth Fund 
   Six Months       Six Months       Six Months       Six Months       Six Months     
   Ended   Year Ended   Ended   Year Ended   Ended   Year Ended   Ended   Year Ended   Ended   Year Ended 
   Apr. 30, 2016   Oct. 31, 2015   Apr. 30, 2016   Oct. 31, 2015   Apr. 30, 2016   Oct. 31, 2015   Apr. 30, 2016   Oct. 31, 2015   Apr. 30, 2016   Oct. 31, 2015 
   (Unaudited)       (Unaudited)       (Unaudited)       (Unaudited)       (Unaudited)     
                                         
Operations:                                                  
Net investment income (loss)  $459,937   $(61,967)  $795,201   $330,722   $54,137   $(62,459)  $201,484   $220,476   $(157,405)  $(481,979)
Net realized gain (loss) from investments and foreign currency transactions   (4,303,761)   (522,400)   944,159    4,411,509    136,664    960,175    (3,267,119)   (4,267,938)   (1,975,171)   3,247,630 
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations   1,536,852    (2,388,134)   (193,308)   (2,058,419)   (544,218)   (1,248,260)   2,992,526    (4,292,625)   (212,333)   (1,058,568)
                                                   
Net Increase (Decrease) in Net Assets Resulting From Operations   (2,306,972)   (2,972,501)   1,546,052    2,683,812    (353,417)   (350,544)   (73,109)   (8,340,087)   (2,344,909)   1,707,083 
                                                   
Distributions to Shareholders From:                                                  
Net Realized Gains:                                                  
Class N   —    (213,428)   (2,998,341)   (1,801,657)   (721,628)   (1,480,348)   —    —    (1,944,913)   (1,843,030)
Class A   —    (29,714)   (955,297)   (494,611)   (123,232)   (199,656)   —    —    (515,354)   (582,886)
Class C   —    (24,848)   (377,983)   (214,050)   (87,966)   (163,574)   —    —    (314,231)   (313,703)
Net Investment Income:                                                  
Class N   (43,319)   (1,143,359)   (353,676)   (214,891)   (13,002)   (55,192)   (286,568)   (471,950)   —    — 
Class A   —    (136,048)   (86,476)   (48,514)   —    —    (20,580)   (46,968)   —    — 
Class C   —    (70,549)   (4,842)   —    —    —    —    (18,608)   —    — 
Total Distributions to Shareholders   (43,319)   (1,617,946)   (4,776,615)   (2,773,723)   (945,828)   (1,898,770)   (307,148)   (537,526)   (2,774,498)   (2,739,619)
                                                   
Share Transactions of Beneficial Interest:                                                  
Net proceeds from shares sold                                                  
Class N   3,131,249    30,030,021    2,095,559    10,087,909    1,243,171    5,052,309    7,970,929    18,180,906    4,127,139    6,472,774 
Class A   1,527,953    4,446,411    748,134    9,349,776    561,949    1,406,383    1,209,115    2,545,109    774,141    1,939,467 
Class C   582,813    1,892,802    331,186    1,047,720    200,964    373,937    427,029    1,043,954    309,142    650,423 
Reinvestment of distributions                                                  
Class N   43,140    1,356,407    3,276,127    1,959,665    734,047    1,534,285    286,387    471,942    1,940,454    1,836,187 
Class A   —    146,152    1,027,941    537,515    119,701    197,400    20,108    46,050    363,529    414,220 
Class C   —    94,504    351,559    205,692    87,856    163,312    —    18,512    313,976    312,902 
Cost of shares redeemed                                                  
Class N   (4,105,243)   (8,142,350)   (7,167,330)   (15,912,244)   (1,838,475)   (6,542,402)   (5,501,197)   (4,402,409)   (1,795,139)   (5,627,001)
Class A   (1,172,589)   (2,889,429)   (1,407,688)   (3,240,007)   (625,337)   (801,068)   (832,313)   (1,122,138)   (860,113)   (2,284,547)
Class C   (706,046)   (833,335)   (874,145)   (1,555,919)   (233,081)   (428,369)   (429,118)   (764,943)   (287,900)   (801,682)
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest   (698,723)   26,101,183    (1,618,657)   2,480,107    250,795    955,787    3,150,940    16,016,983    4,885,229    2,912,743 
                                                   
Total Increase (Decrease) in Net Assets   (3,049,014)   21,510,736    (4,849,220)   2,390,196    (1,048,450)   (1,293,527)   2,770,683    7,139,370    (234,178)   1,880,207 
                                                   
Net Assets:                                                  
Beginning of Period   93,291,526    71,780,790    47,611,845    45,221,649    28,251,604    29,545,131    50,640,922    43,501,552    32,640,451    30,760,244 
End of Period *  $90,242,512   $93,291,526   $42,762,625   $47,611,845   $27,203,154   $28,251,604   $53,411,605   $50,640,922   $32,406,273   $32,640,451 
* Includes undistributed net investment income (loss) at end of year  $93,735   $322,883   $556,544   $139,020   $41,135   $—   $2,497   $108,161   $(157,405)  $— 

 

 

 

See accompanying notes to financial statements.

76

 

FINANCIAL HIGHLIGHTS
Dunham Floating Rate Bond Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each period.

 

   Class N   Class A   Class C 
   Six Months           Six Months           Six Months         
   Ended   Year Ended   Year Ended   Ended   Year Ended   Year Ended   Ended   Year Ended   Year Ended 
   April 30,   October 31,   October 31,   April 30,   October 31,   October 31,   April 30,   October 31,   October 31, 
   2016   2015   2014*   2016   2015   2014*   2016   2015   2014* 
   (Unaudited)           (Unaudited)           (Unaudited)         
                                     
Net asset value, beginning of period  $9.60   $9.87   $10.00   $9.59   $9.87   $10.00   $9.59   $9.86   $10.00 
Income (loss) from investment operations:                                             
Net investment income**   0.16    0.32    0.29    0.15    0.30    0.28    0.13    0.24    0.22 
Net realized and unrealized loss   (0.01)   (0.27)   (0.15)   (0.00)   (0.28)   (0.16)   (0.01)   (0.26)   (0.16)
Total income (loss) from investment operations   0.15    0.05    0.14    0.15    0.02    0.12    0.12    (0.02)   0.06 
Less distributions:                                             
Distributions from net investment income   (0.16)   (0.32)   (0.27)   (0.15)   (0.30)   (0.25)   (0.13)   (0.25)   (0.20)
Total distributions   (0.16)   (0.32)   (0.27)   (0.15)   (0.30)   (0.25)   (0.13)   (0.25)   (0.20)
Net asset value, end of period  $9.59   $9.60   $9.87   $9.59   $9.59   $9.87   $9.58   $9.59   $9.86 
                                              
Total return +   1.58%   0.51%   1.43%   1.57%   0.16%   1.20%   1.21%   (0.23)%   0.63%
Ratios/Supplemental Data:                                             
Net assets, end of period (in 000s)  $73,843   $73,316   $63,120   $9,228   $8,598   $13,664   $3,834   $3,573   $3,888 
                                              
Ratios of expenses to average net assets: ^   1.44%   1.27%   1.27%   1.69%   1.52%   1.52%   2.19%   2.02%   2.02%
Ratios of net investment income to average net assets: ^   3.43%   3.24%   2.87%   3.18%   2.99%   2.84%   2.67%   2.49%   2.24%
                                              
Portfolio turnover rate   23% (1)   51%   50% (1)   23% (1)   51%   50% (1)   23% (1)   51%   50% (1)

 

 
*The Fund commenced operations on November 1, 2013.

 

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

 

+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.

 

(1)Not annualized.

 

^Annualized for periods less than one year.

 

See accompanying notes to financial statements.

77

 

FINANCIAL HIGHLIGHTS
Dunham Monthly Distribution Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each period.

 

   Class N                                                 
   Six Months                                                                     
   Ended   Year Ended                                                 
   April 30,   October 31,                                                 
   2016   2015   2014   2013   2012   2011                                                 
   (Unaudited)                                                                     
Net asset value, beginning of period  $36.36   $38.16   $38.47   $37.22   $35.87   $36.52                                                 
Income (loss) from investment operations:                                                                              
Net investment income (loss)*   0.44    (0.18)   0.17    0.36    0.14    0.01                                                 
Net realized and unrealized gain (loss)   (0.58)   (0.39)   1.35    2.13    2.41    0.53                                                 
Total income (loss) from investment operations   (0.14)   (0.57)   1.52    2.49    2.55    0.54                                                 
Less distributions:                                                                              
Distributions from net investment income   0.00    0.00    0.00    (0.41)   (0.22)   0.00                                                 
Distributions from net realized gains   (0.62)   (0.80)   (1.59)   (0.83)   (0.32)   (1.19)                                                
Tax return of capital   0.00    (0.43)   (0.24)   0.00    (0.66)   0.00                                                 
Total distributions   (0.62)   (1.23)   (1.83)   (1.24)   (1.20)   (1.19)                                                
Net asset value, end of period  $35.60   $36.36   $38.16   $38.47   $37.22   $35.87                                                 
                                                                               
Total return +   (0.32)%   (1.53)%   4.01%   6.75%   7.19%   1.47%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period (in 000s)  $150,116   $163,843   $156,964   $161,347   $127,346   $65,621                                                 
Ratios of expenses to average net assets:                                                                              
After waivers   1.40%   2.09%   2.53%   2.23%   2.75%   2.57%                                                
Dividends/borrowings on short sales   0.67%   0.47%   0.59%   0.24%   0.52%   0.30%                                                
Excluding dividends/borrowings on short sales:                                                                              
Before fee waivers ^   0.73%   2.17%   2.11%   2.10%   2.23%   2.27%                                                
After fee waivers ^   0.73%   1.62%   1.94%   1.99%   2.23%   2.27%                                                
Ratios of net investment income (loss) to average net assets:                                                                              
Before fee waivers ^   2.46%   (0.56)%   0.26%   0.84%   0.39%   0.03%                                                
After fee waivers ^   2.46%   (0.48)%   0.43%   0.95%   0.39%   0.03%                                                
Portfolio turnover rate   130% (1)   155%   229%   227%   205%   277%                                                
                                                                               
   Class A   Class C 
   Six Months                       Six Months                     
   Ended   Year Ended   Ended   Year Ended 
   April 30,   October 31,   April 30,   October 31, 
   2016   2015   2014   2013   2012   2011   2016   2015   2014   2013   2012   2011 
   (Unaudited)                       (Unaudited)                     
                                                 
Net asset value, beginning of period  $35.63   $37.52   $37.95   $36.82   $35.58   $36.32   $29.99   $32.01   $32.87   $32.29   $31.55   $32.59 
Income (loss) from investment operations:                                                            
Net investment income (loss)*   0.42    (0.27)   0.07    0.24    0.03    (0.09)   0.23    (0.46)   (0.20)   (0.07)   (0.18)   (0.32)
Net realized and unrealized gain (loss)   (0.60)   (0.39)   1.33    2.13    2.40    0.54    (0.50)   (0.33)   1.17    1.89    2.09    0.47 
Total income (loss) from investment operations   (0.18)   (0.66)   1.40    2.37    2.43    0.45    (0.27)   (0.79)   0.97    1.82    1.91    0.15 
Less distributions:                                                            
Distributions from net investment income   0.00    0.00    0.00    (0.41)   (0.21)   0.00    0.00    0.00    0.00    (0.41)   (0.19)   0.00 
Distributions from net realized gains   (0.62)   (0.80)   (1.59)   (0.83)   (0.32)   (1.19)   (0.62)   (0.80)   (1.59)   (0.83)   (0.32)   (1.19)
Tax return of capital   0.00    (0.43)   (0.24)   0.00    (0.66)   0.00    0.00    (0.43)   (0.24)   0.00    (0.66)   0.00 
Total distributions   (0.62)   (1.23)   (1.83)   (1.24)   (1.19)   (1.19)   (0.62)   (1.23)   (1.83)   (1.24)   (1.17)   (1.19)
Net asset value, end of period  $34.83   $35.63   $37.52   $37.95   $36.82   $35.58   $29.10   $29.99   $32.01   $32.87   $32.29   $31.55 
                                                             
Total return +   (0.44)%   (1.80)%   3.74%   6.50%   6.92%   1.22%   (0.86)%   (2.53)%   2.99%   5.71%   6.13%   0.43%
Ratios/Supplemental Data:                                                            
Net assets, end of period (in 000s)  $56,271   $74,247   $79,132   $68,427   $51,485   $32,381   $43,066   $50,215   $48,193   $37,577   $30,206   $27,701 
Ratios of expenses to average net assets:                                                            
After waivers   1.65%   2.33%   2.78%   2.48%   3.00%   2.82%   2.40%   3.09%   3.53%   3.23%   3.75%   3.57%
Dividends/borrowings on short sales   0.67%   0.47%   0.59%   0.24%   0.52%   0.30%   0.67%   0.47%   0.59%   0.24%   0.52%   0.30%
Excluding dividends/borrowings on short sales:                                                            
Before fee waivers ^   0.98%   2.42%   2.36%   2.34%   2.48%   2.52%   1.73%   3.16%   3.11%   3.10%   3.23%   3.27%
After fee waivers ^   0.98%   1.86%   2.19%   2.24%   2.48%   2.52%   1.73%   2.62%   2.94%   2.99%   3.23%   3.27%
Ratios of net investment income (loss) to average net assets:                                                            
Before fee waivers ^   2.44%   (0.79)%   0.01%   0.52%   0.14%   (0.22)%   1.60%   (1.54)%   (0.74)%   (0.32)%   (0.61)%   (0.97)%
After fee waivers ^   2.44%   (0.71)%   0.18%   0.63%   0.14%   (0.22)%   1.60%   (1.46)%   (0.57)%   (0.21)%   (0.61)%   (0.97)%
Portfolio turnover rate   130% (1)   155%   229%   227%   205%   277%   130% (1)   155%   229%   227%   205%   277%

 

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

 

+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.

 

(1)Not annualized.

 

^Annualized for periods of less than one year.

 

See accompanying notes to financial statements.

78

 

FINANCIAL HIGHLIGHTS
Dunham Corporate/Government Bond Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                                 
   Six Months                                                                     
   Ended                                                                     
   April 30,   Year Ended October 31,                                                 
   2016   2015   2014   2013   2012   2011                                                 
   (Unaudited)                                                                     
                                                                         
Net asset value, beginning of period  $13.75   $14.14   $14.07   $14.74   $14.32   $14.99                                                 
Income from investment operations:                                                                              
Net investment income*   0.19    0.42    0.38    0.37    0.36    0.52                                                 
Net realized and unrealized gain (loss)   0.05    (0.37)   0.16    (0.36)   0.77    (0.20)                                                
Total income from investment operations   0.24    0.05    0.54    0.01    1.13    0.32                                                 
Less distributions:                                                                              
Distributions from net investment income   (0.20)   (0.44)   (0.42)   (0.41)   (0.42)   (0.56)                                                
Distributions from net realized gains   0.00    0.00    (0.05)   (0.27)   (0.29)   (0.43)                                                
Total distributions   (0.20)   (0.44)   (0.47)   (0.68)   (0.71)   (0.99)                                                
Net asset value, end of period  $13.79   $13.75   $14.14   $14.07   $14.74   $14.32                                                 
                                                                               
Total return +#   1.79%   0.36%   3.85%   0.09%   8.10%   2.33%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period (in 000s)  $43,363   $41,989   $43,888   $81,201   $103,912   $58,810                                                 
Ratios of expenses to average net assets:^   1.09%   1.06%   1.37%   1.21%   1.14%   1.30%                                                
Ratios of net investment income to average net assets:^   2.86%   3.00%   2.69%   2.56%   2.50%   3.62%                                                
Portfolio turnover rate   36% (1)   54%   60%   173%   211%   178%                                                
                                                                               
   Class A   Class C 
   Six Months                       Six Months                     
   Ended                       Ended                     
   April 30,   Year Ended October 31,   April 30,   Year Ended October 31, 
   2016   2015   2014   2013   2012   2011   2016   2015   2014   2013   2012   2011 
   (Unaudited)                       (Unaudited)                     
                                                 
Net asset value, beginning of period  $13.73   $14.13   $14.06   $14.73   $14.31   $14.98   $13.65   $14.05   $13.98   $14.64   $14.23   $14.90 
Income (loss) from investment operations:                                                            
Net investment income*   0.17    0.38    0.35    0.34    0.29    0.49    0.14    0.31    0.27    0.26    0.27    0.41 
Net realized and unrealized gain (loss)   0.06    (0.37)   0.15    (0.36)   0.79    (0.20)   0.05    (0.37)   0.16    (0.35)   0.74    (0.20)
Total income (loss) from investment operations   0.23    0.01    0.50    (0.02)   1.08    0.29    0.19    (0.06)   0.43    (0.09)   1.01    0.21 
Less distributions:                                                            
Distributions from net investment income   (0.19)   (0.41)   (0.38)   (0.38)   (0.37)   (0.53)   (0.15)   (0.34)   (0.31)   (0.30)   (0.31)   (0.45)
Distributions from net realized gains   0.00    0.00    (0.05)   (0.27)   (0.29)   (0.43)   0.00    0.00    (0.05)   (0.27)   (0.29)   (0.43)
Total distributions   (0.19)   (0.41)   (0.43)   (0.65)   (0.66)   (0.96)   (0.15)   (0.34)   (0.36)   (0.57)   (0.60)   (0.88)
Net asset value, end of period  $13.77   $13.73   $14.13   $14.06   $14.73   $14.31   $13.69   $13.65   $14.05   $13.98   $14.64   $14.23 
                                                             
Total return + #   1.66%   0.04%   3.59%   (0.15)%   7.78%   2.15%   1.43%   (0.45)%   3.08%   (0.59)%   7.30%   1.57%
Ratios/Supplemental Data:                                                            
Net assets, end of period (in 000s)  $5,580   $4,788   $3,684   $6,888   $3,598   $610   $3,578   $3,698   $3,690   $7,733   $9,007   $9,250 
Ratios of expenses to average net assets:^   1.34%   1.31%   1.62%   1.46%   1.39%   1.55%   1.84%   1.81%   2.12%   1.96%   1.89%   2.05%
Ratios of net investment income to average net assets:^   2.60%   2.74%   2.44%   2.37%   2.25%   3.37%   2.11%   2.27%   1.94%   1.80%   1.75%   2.87%
Portfolio turnover rate   36% (1)   54%   60%   173%   211%   178%   36% (1)   54%   60%   173%   211%   178%

 

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

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

 

^Annualized for periods less than one year.

 

(1)Not annualized.

 

See accompanying notes to financial statements.

79

 

FINANCIAL HIGHLIGHTS
Dunham Dynamic Macro Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year or period

 

   Class N                                                 
   Six Months                                                                     
   Ended                                                                     
   April 30,   Year Ended October 31,                                                 
   2016   2015   2014   2013   2012   2011                                                 
   (Unaudited)                                                                     
                                                                         
Net asset value, beginning of period  $9.81   $9.65   $9.67   $9.95   $10.10   $10.17                                                 
Income from investment operations:                                                                              
Net investment income (loss) *   (0.02)   (0.14)   0.19    0.33    0.30    0.17                                                 
Net realized and unrealized gain (loss) **   (0.35)   0.30    (0.02)   (0.25)   0.02    (0.15)                                                
Total income from investment operations   (0.37)   0.16    0.17    0.08    0.32    0.02                                                 
Less distributions:                                                                              
Distributions from net investment income   0.00    0.00    (0.19)   (0.33)   (0.35)   0.00                                                 
Distributions from net realized gains   0.00    0.00    0.00    0.00    0.00    (0.09)                                                
Tax return of capital   0.00    0.00    0.00    (0.03)   (0.12)   0.00                                                 
Total distributions   0.00    0.00    (0.19)   (0.36)   (0.47)   (0.09)                                                
Net asset value, end of period  $9.44   $9.81   $9.65   $9.67   $9.95   $10.10                                                 
                                                                               
Total return + #   (3.77)%   1.66%   1.80%   0.80%   3.29%   0.20%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period (in 000s)  $30,414   $28,518   $11,758   $7,185   $9,002   $8,798                                                 
Ratios of expenses to average net assets:^   1.72%   2.15%   1.90%   1.67%   2.28%   1.98%                                                
Ratios of net investment income (loss) to average net assets:^   (0.52)%   (1.37)%   1.96%   3.35%   2.94%   1.71%                                                
Portfolio turnover rate   43% (1)   70%   238%   292%   418%   704%                                                
                                                                               
   Class A   Class C 
   Six Months                       Six Months                     
   Ended                       Ended                     
   April 30,   Year Ended October 31,   April 30,   Year Ended October 31, 
   2016   2015   2014   2013   2012   2011   2016   2015   2014   2013   2012   2011 
   (Unaudited)                       (Unaudited)                     
                                                 
Net asset value, beginning of period  $9.81   $9.68   $9.70   $9.98   $10.06   $10.16   $9.58   $9.52   $9.56   $9.86   $9.96   $10.13 
Income (loss) from investment operations:                                                            
Net investment income (loss) *   (0.03)   (0.14)   0.18    0.31    0.26    0.02    (0.07)   (0.26)   0.11    0.23    0.17    0.07 
Net realized and unrealized gain (loss) **   (0.35)   0.27    (0.04)   (0.25)   0.03    (0.03)   (0.33)   0.32    (0.04)   (0.26)   0.05    (0.15)
Total income (loss) from investment operations   (0.38)   0.13    0.14    0.06    0.29    (0.01)   (0.40)   0.06    0.07    (0.03)   0.22    (0.08)
Less distributions:                                                            
Distributions from net investment income   0.00    0.00    (0.16)   (0.31)   (0.25)   0.00    0.00    0.00    (0.11)   (0.24)   (0.20)   0.00 
Distributions from net realized gains   0.00    0.00    0.00    0.00    0.00    (0.09)   0.00    0.00    0.00    0.00    0.00    (0.09)
Tax return of capital   0.00    0.00    0.00    (0.03)   (0.12)   0.00    0.00    0.00    0.00    (0.03)   (0.12)   0.00 
Total distributions   0.00    0.00    (0.16)   (0.34)   (0.37)   (0.09)   0.00    0.00    (0.11)   (0.27)   (0.32)   (0.09)
Net asset value, end of period  $9.43   $9.81   $9.68   $9.70   $9.98   $10.06   $9.18   $9.58   $9.52   $9.56   $9.86   $9.96 
                                                             
Total return + #   (3.86)%   1.34%   1.52%   0.55%   3.00%   (0.10)%   (4.18)%   0.63%   0.78%   (0.29)%   2.27%   (0.79)%
Ratios/Supplemental Data:                                                            
Net assets, end of period (in 000s)  $3,644   $3,296   $1,729   $1,782   $2,230   $1,788   $2,253   $1,938   $1,712   $2,053   $1,786   $1,067 
Ratios of expenses to average net assets:^   1.97%   2.40%   2.15%   1.92%   2.53%   2.23%   2.72%   3.15%   2.90%   2.67%   3.28%   2.98%
Ratios of net investment income (loss) to average net assets:^   (0.73)%   (1.63)%   1.92%   3.13%   2.69%   1.46%   (1.51)%   (2.35)%   1.19%   2.38%   1.94%   0.71%
Portfolio turnover rate   43% (1)   70%   238%   292%   418%   704%   43% (1)   70%   238%   292%   418%   704%

 

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

 

**The amount of net realized and unrealized gain (loss) on investment per share for the years ended October 31, 2015 and 2014 does not accord with the amounts in the Statements Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values.

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

 

^Annualized for periods less than one year..

 

(1)Not annualized.

 

See accompanying notes to financial statements.

80

 

FINANCIAL HIGHLIGHTS
Dunham High-Yield Bond Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each period

 

   Class N                                                 
   Six Months                                                                     
   Ended   Year Ended                                                 
   April 30,   October 31,                                                 
   2016   2015   2014   2013   2012   2011                                                 
   (Unaudited)                                                                     
                                                                         
Net asset value, beginning of period  $8.92   $9.51   $9.61   $9.52   $9.08   $9.36                                                 
Income (loss) from investment operations:                                                                              
Net investment income*   0.21    0.44    0.46    0.47    0.53    0.65                                                 
Net realized and unrealized gain (loss)   (0.25)   (0.59)   (0.10)   0.09    0.44    (0.28)                                                
Total income (loss) from investment operations   (0.04)   (0.15)   0.36    0.56    0.97    0.37                                                 
Less distributions:                                                                              
Distributions from net investment income   (0.21)   (0.44)   (0.46)   (0.47)   (0.53)   (0.65)                                                
Total distributions   (0.21)   (0.44)   (0.46)   (0.47)   (0.53)   (0.65)                                                
Net asset value, end of period  $8.67   $8.92   $9.51   $9.61   $9.52   $9.08                                                 
                                                                               
Total return +   (0.38)%   (1.63)%   3.77%   6.05%   10.96%   4.03%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period (in 000s)  $75,916   $78,654   $102,412   $134,487   $114,810   $45,586                                                 
Ratios of expenses to average net assets: ^   1.13%   1.02%   1.09%   1.11%   1.23%   1.38%                                                
Ratios of net investment income to average net assets:   4.99%   4.77%   4.72%   4.89%   5.70%   6.92%                                                
Portfolio turnover rate   27% (1)   51%   62%   94%   58%   49%                                                
                                                                               
   Class A   Class C 
   Six Months                       Six Months                     
   Ended   Year Ended   Ended   Year Ended 
   April 30,   October 31,   April 30,   October 31, 
   2016   2015   2014   2013   2012   2011   2016   2015   2014   2013   2012   2011 
   (Unaudited)                       (Unaudited)                     
                                                 
Net asset value, beginning of period  $8.99   $9.58   $9.68   $9.59   $9.15   $9.42   $8.86   $9.46   $9.55   $9.47   $9.04   $9.31 
Income (loss) from investment operations:                                                            
Net investment income*   0.21    0.41    0.44    0.45    0.51    0.63    0.18    0.37    0.38    0.40    0.47    0.58 
Net realized and unrealized gain (loss)   (0.25)   (0.59)   (0.10)   0.09    0.44    (0.27)   (0.24)   (0.60)   (0.08)   0.08    0.43    (0.28)
Total income (loss) from investment operations   (0.04)   (0.18)   0.34    0.54    0.95    0.36    (0.06)   (0.23)   0.30    0.48    0.90    0.30 
Less distributions:                                                            
Distributions from net investment income   (0.20)   (0.41)   (0.44)   (0.45)   (0.51)   (0.63)   (0.18)   (0.37)   (0.39)   (0.40)   (0.47)   (0.57)
Total distributions   (0.20)   (0.41)   (0.44)   (0.45)   (0.51)   (0.63)   (0.18)   (0.37)   (0.39)   (0.40)   (0.47)   (0.57)
Net asset value, end of period  $8.75   $8.99   $9.58   $9.68   $9.59   $9.15   $8.62   $8.86   $9.46   $9.55   $9.47   $9.04 
                                                             
Total return +   (0.49)%   (1.88)%   3.49%   5.74%   10.70%   3.84%   (0.63)%   (2.47)%   3.13%   5.17%   10.19%   3.28%
Ratios/Supplemental Data:                                                            
Net assets, end of period (in 000s)  $10,314   $10,224   $22,022   $19,888   $13,722   $6,457   $8,118   $9,231   $11,652   $13,741   $14,457   $10,404 
Ratios of expenses to average net assets: ^   1.38%   1.27%   1.34%   1.36%   1.48%   1.63%   1.88%   1.77%   1.84%   1.86%   1.98%   2.13%
Ratios of net investment income to average net assets: ^   4.74%   4.52%   4.47%   4.64%   5.45%   6.67%   4.24%   4.02%   3.97%   4.15%   4.95%   6.17%
Portfolio turnover rate   27% (1)   51%   62%   94%   58%   49%   27% (1)   51%   62%   94%   58%   49%

 

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

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

(1)Not annualized.

 

^Annualized for periods less than one year.

 

See accompanying notes to financial statements.

81

 

FINANCIAL HIGHLIGHTS
Dunham International Opportunity Bond Fund
 
The table sets forth financial data for one share of beneficial interest outstanding for each year.

 

   Class N   Class A   Class C 
   Six Months           Six Months           Six Months         
   Ended           Ended           Ended         
   April 30,   Year Ended October 31,   April 30,   Year Ended October 31,   April 30,   Year Ended October 31, 
   2016   2015   2014*   2016   2015   2014*   2016   2015   2014* 
   (Unaudited)           (Unaudited)           (Unaudited)         
                                     
Net asset value, beginning of year  $8.92   $9.64   $10.00   $8.90   $9.64   $10.00   $8.84   $9.62   $10.00 
Income (Loss) from investment operations:                                             
Net investment income (loss)**   0.02    0.05    0.07    0.01    0.02    0.04    (0.01)   (0.02)   (0.01)
Net realized and unrealized gain (loss)   0.64    (0.77)   (0.37)   0.63    (0.76)   (0.36)   0.62    (0.76)   (0.36)
Total income (loss) from investment operations   0.66    (0.72)   (0.30)   0.64    (0.74)   (0.32)   0.61    (0.78)   (0.37)
Less distributions:                                             
Distributions from net investment income   (0.01)   0.00    0.00    (0.00) (a)   0.00    0.00    (0.00) (a)   0.00    0.00 
Tax return of capital   (0.00)   (0.00)   (0.06)   (0.00)   (0.00)   (0.04)   0.00    0.00    (0.01)
Total distributions   (0.01)   (0.00)   (0.06)   (0.00)   (0.00)   (0.04)   (0.00)   0.00    (0.01)
Net asset value, end of year  $9.57   $8.92   $9.64   $9.54   $8.90   $9.64   $9.45   $8.84   $9.62 
                                              
Total return +   7.38%   (7.42)%   (2.99)%   7.24%   (7.65)%   (3.22)%   6.91%   (8.11)%   (3.72)%
Ratios/Supplemental Data:                                             
Net assets, end of year (in 000s)  $27,372   $31,935   $42,440   $2,773   $3,208   $3,513   $1,257   $1,638   $1,879 
Ratios of expenses to average net assets   1.33%   1.38%   1.38%   1.57%   1.63%   1.63%   2.08%   2.13%   2.13%
Ratios of net investment income (loss) to average net assets   0.53%   0.52%   0.66%   0.16%   0.29%   0.41%   (0.23)%   (0.24)%   (0.09)%
Portfolio turnover rate   27% (1)   52%   60% (1)   27% (1)   52%   60% (1)   27% (1)   52%   60% (1)

 

 
*The Fund commenced operations on November 1, 2013.

 

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

 

(a)Represents less than $0.01 per share.

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

(1)Not annualized.

 

See accompanying notes to financial statements.

82

 

FINANCIAL HIGHLIGHTS
Dunham Appreciation & Income Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each period

 

   Class N                                                 
   Six Months                                                                     
   Ended   Year Ended                                                 
   April 30,   October 31,                                                 
   2016   2015   2014   2013   2012   2011                                                 
   (Unaudited)                                                                     
                                                                         
Net asset value, beginning of period  $8.75   $10.88   $10.09   $8.90   $8.86   $8.47                                                 
Income (loss) from investment operations:                                                                              
Net investment income*   0.04    0.27    0.11    0.16    0.10    0.08                                                 
Net realized and unrealized gain (loss)   (0.56)   (0.51)   0.83    1.28    0.05    0.55                                                 
Total income (loss) from investment operations   (0.52)   (0.24)   0.94    1.44    0.15    0.63                                                 
Less distributions:                                                                              
Distributions from net investment income   (0.37)   (0.17)   (0.15)   (0.25)   (0.11)   (0.24)                                                
Distributions from net realized gains   (0.18)   (1.72)   0.00    0.00    0.00    0.00                                                 
Total distributions   (0.55)   (1.89)   (0.15)   (0.25)   (0.11)   (0.24)                                                
Net asset value, end of period  $7.68   $8.75   $10.88   $10.09   $8.90   $8.86                                                 
                                                                               
Total return +   (6.42)%   (2.67)%   9.37%   16.59%   1.83%   7.56%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period (in 000s)  $18,450   $20,210   $18,576   $15,855   $23,843   $24,475                                                 
Ratios of expenses to average net assets: ^   1.55%   1.34%   1.44%   1.39%   1.60%   1.91%                                                
Ratios of net investment income to average net assets: ^   0.93%   2.83%   1.07%   1.70%   1.13%   0.90%                                                
Portfolio turnover rate   24% (1)   82%   129%   62%   51%   69%                                                
                                                                               
   Class A   Class C 
   Six Months                       Six Months                     
   Ended   Year Ended   Ended   Year Ended 
   April 30,   October 31,   April 30,   October 31, 
   2016   2015   2014   2013   2012   2011   2016   2015   2014   2013   2012   2011 
   (Unaudited)                       (Unaudited)                     
                                                 
Net asset value, beginning of period  $8.73   $10.85   $10.06   $8.88   $8.83   $8.45   $8.56   $10.66   $9.90   $8.74   $8.70   $8.32 
Income (loss) from investment operations:                                                            
Net investment income (loss)*   0.03    0.24    0.09    0.13    0.08    0.06    0.00    0.18    0.01    0.06    0.01    (0.01)
Net realized and unrealized gain (loss)   (0.60)   (0.50)   0.82    1.27    0.06    0.55    (0.57)   (0.50)   0.80    1.26    0.06    0.55 
Total income (loss) from investment operations   (0.57)   (0.26)   0.91    1.40    0.14    0.61    (0.57)   (0.32)   0.81    1.32    0.07    0.54 
Less distributions:                                                            
Distributions from net investment income   (0.32)   (0.14)   (0.12)   (0.22)   (0.09)   (0.23)   (0.28)   (0.06)   (0.05)   (0.16)   (0.03)   (0.16)
Distributions from net realized gains   (0.18)   (1.72)   0.00    0.00    0.00    0.00    (0.18)   (1.72)   0.00    0.00    0.00    0.00 
Total distributions   (0.50)   (1.86)   (0.12)   (0.22)   (0.09)   (0.23)   (0.46)   (1.78)   (0.05)   (0.16)   (0.03)   (0.16)
Net asset value, end of period  $7.66   $8.73   $10.85   $10.06   $8.88   $8.83   $7.53   $8.56   $10.66   $9.90   $8.74   $8.70 
                                                             
Total return +   (6.70)%   (2.84)%   9.10%   16.21%   1.63%   7.33%   (7.02)%   (3.53)%   8.21%   15.35%   0.84%   6.49%
Ratios/Supplemental Data:                                                            
Net assets, end of period (in 000s)  $3,988   $4,211   $4,509   $4,368   $4,470   $2,994   $3,923   $4,956   $4,046   $3,765   $3,867   $4,130 
Ratios of expenses to average net assets: ^   1.80%   1.59%   1.69%   1.64%   1.85%   2.16%   2.57%   2.34%   2.44%   2.39%   2.60%   2.91%
Ratios of net investment income (loss) to average net assets: ^   0.67%   2.56%   0.83%   1.45%   0.88%   0.65%   (0.11)%   1.91%   0.08%   0.70%   0.13%   (0.10)%
Portfolio turnover rate   24% (1)   82%   129%   62%   51%   69%   24% (1)   82%   129%   62%   51%   69%

 

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

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

^Annualized for periods less than one year.

 

(1)Not annualized.

 

See accompanying notes to financial statements.

83

 

FINANCIAL HIGHLIGHTS
Dunham Alternative Strategy Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each period.

 

   Class N                                                         
   Six Months                                                                                 
   Ended   Year Ended   Period Ended                                                                     
   April 30,   October 31,   October 31,   Year Ended July 31,                                                         
   2016   2015   2014   2013*   2013   2012   2011                                                         
   (Unaudited)                                                                                 
                                                                                     
Net asset value, beginning of period  $24.35   $24.45   $23.74   $23.85   $23.45   $26.90   $25.15                                                         
Income (loss) from investment operations:                                                                                           
Net investment loss **   (0.07)   (0.03)   (0.21)   (0.07)   (0.10)   (0.29)   (0.21)                                                        
Net realized and unrealized gain (loss)   (2.58)   (0.07)   0.92    (0.04)   0.50    (1.66)   1.96                                                         
Total income (loss) from investment operations   (2.65)   (0.10)   0.71    (0.11)   0.40    (1.95)   1.75                                                         
Less distributions:                                                                                           
Distributions from net investment income   0.00    0.00    0.00    0.00    0.00    (1.50)   0.00                                                         
Distributions from net realized gains   0.00    0.00    0.00    0.00    0.00    0.00    0.00                                                         
Total distributions   0.00    0.00    0.00    0.00    0.00    (1.50)   0.00                                                         
Net asset value, end of period  $21.70   $24.35   $24.45   $23.74   $23.85   $23.45   $26.90                                                         
                                                                                            
Total return +, #   (10.88)%   (0.41)%   2.99%   (0.46)%   1.71%   (7.23)%   6.96%                                                        
Ratios/Supplemental Data:                                                                                           
Net assets, end of period (in 000s)  $19,606   $21,184   $15,355   $15,873   $15,641   $10,818   $15,716                                                         
Ratios of expenses to average net assets:                                                                                           
Before fee waivers ^(1)   1.44%   1.43%   1.84%   1.85%   2.35%   2.29%   1.94%                                                        
After fee waivers ^(1)   1.44%   1.43%   1.84%   1.85%   1.67%   1.65%   1.65%                                                        
Ratios of net investment loss to average net assets:                                                                                           
Before fee waivers ^(1,2)   (0.57)%   (0.11)%   (0.87)%   (1.13)%   (1.11)%   (1.79)%   (1.06)%                                                        
After fee waivers ^(1,2)   (0.57)%   (0.11)%   (0.87)%   (1.13)%   (0.43)%   (1.15)%   (0.77)%                                                        
Portfolio turnover rate   4,368% (3)   4,847%   4,686%   934%   2,340%   5,840%   1,959%                                                        
                                                                                            
   Class A   Class C 
   Six Months                           Six Months                         
   Ended   Year Ended   Period Ended               Ended   Year Ended   Period Ended             
   April 30,   October 31,   October 31,   Year Ended July 31,   April 30,   October 31,   October 31,   Year Ended July 31, 
   2016   2015   2014   2013*   2013   2012   2011   2016   2015   2014   2013*   2013   2012   2011 
   (Unaudited)                           (Unaudited)                         
                                                         
Net asset value, beginning of period  $23.91   $24.07   $23.43   $23.55   $23.22   $26.73   $25.07   $22.66   $22.98   $22.55   $22.71   $22.55   $26.22   $24.77 
Income (loss) from investment operations:                                                                      
Net investment loss **   (0.09)   (0.06)   (0.22)   (0.07)   (0.11)   (0.35)   (0.27)   (0.17)   (0.25)   (0.42)   (0.12)   (0.35)   (0.53)   (0.47)
Net realized and unrealized gain (loss)   (2.54)   (0.10)   0.86    (0.05)   0.44    (1.66)   1.93    (2.40)   (0.07)   0.85    (0.04)   0.51    (1.64)   1.92 
Total income (loss) from investment operations   (2.63)   (0.16)   0.64    (0.12)   0.33    (2.01)   1.66    (2.57)   (0.32)   0.43    (0.16)   0.16    (2.17)   1.45 
Less distributions:                                                                      
Distributions from net investment income   0.00    0.00    0.00    0.00    0.00    (1.50)   0.00    0.00    0.00    0.00    0.00    0.00    (1.50)   0.00 
Distributions from net realized gains   0.00    0.00    0.00    0.00    0.00    0.00    0.00    0.00    0.00    0.00    0.00    0.00    0.00    0.00 
Total distributions   0.00    0.00    0.00    0.00    0.00    (1.50)   0.00    0.00    0.00    0.00    0.00    0.00    (1.50)   0.00 
Net asset value, end of period  $21.28   $23.91   $24.07   $23.43   $23.55   $23.22   $26.73   $20.09   $22.66   $22.98   $22.55   $22.71   $22.55   $26.22 
                                                                       
Total return +, #   (11.01)%   (0.66)%   2.73%   (0.51)%   1.42%   (7.51)%   6.62%   (11.34)%   (1.39)%   1.91%   (0.70)%   0.71%   (8.33)%   5.85%
Ratios/Supplemental Data:                                                                      
Net assets, end of period (in 000s)  $1,674   $1,715   $2,008   $15,484   $10,591   $1,016   $12,069   $796   $863   $1,058   $1,150   $972   $212   $1,854 
Ratios of expenses to average net assets:                                                                      
Before fee waivers ^(1)   1.69%   1.68%   2.09%   2.10%   2.36%   2.54%   2.19%   2.44%   2.43%   2.84%   2.85%   3.11%   3.29%   2.94%
After fee waivers ^(1)   1.69%   1.68%   2.09%   2.10%   1.98%   1.90%   1.90%   2.44%   2.43%   2.84%   2.85%   2.67%   2.65%   2.65%
Ratios of net investment loss to average net assets:                                                                      
Before fee waivers ^(1,2)   (0.83)%   (0.19)%   (1.25)%   (1.14)%   (0.85)%   (2.04)%   (1.31)%   (1.59)%   (1.05)%   (1.87)%   (2.06)%   (1.99)%   (2.80)%   (2.06)%
After fee waivers ^(1,2)   (0.83)%   (0.19)%   (1.25)%   (1.14)%   (0.48)%   (1.40)%   (1.02)%   (1.59)%   (1.05)%   (1.87)%   (2.06)%   (1.56)%   (2.16)%   (1.77)%
Portfolio turnover rate   4,368% (3)   4,847%   4,686%   934%   2,340%   5,840%   1,959%   4,368% (3)   4,847%   4,686%   934%   2,340%   5,840%   1,959%

 

 
*The Fund’s fiscal year end changed from July 31 to October 31 effective August 1, 2013.

 

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

 

(a)Represents less than $0.01 per share.

 

+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.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

 

^Annualized for periods less than one year.

 

(1)The ratios of expenses to average net assets and net investment loss to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

 

(2)Recognition of net investment loss by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

 

(3)Not annualized.

 

See accompanying notes to financial statements.

84

 

FINANCIAL HIGHLIGHTS
Dunham Large Cap Value Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year or period.

 

   Class N                                                 
   Six Months                                                                     
   Ended                                                                     
   April 30,   Year Ended October 31,                                                 
   2016   2015   2014   2013   2012   2011                                                 
   (Unaudited)                                                                     
                                                                         
Net asset value, beginning of period  $16.32   $16.21   $14.55   $11.74   $10.60   $9.96                                                 
Income from investment operations:                                                                              
Net investment income *   0.12    0.17    0.13    0.16    0.12    0.06                                                 
Net realized and unrealized gain (loss)   (0.26)   0.06    1.70    2.78    1.07    0.64                                                 
Total income (loss) from investment operations   (0.14)   0.23    1.83    2.94    1.19    0.70                                                 
Less distributions:                                                                              
Distributions from net investment income   (0.18)   (0.12)   (0.17)   (0.13)   (0.05)   (0.06)                                                
Distributions from net realized gains   (4.10)   0.00    0.00    0.00    0.00    0.00                                                 
Total distributions   (4.28)   (0.12) #   (0.17)   (0.13)   (0.05)   (0.06)                                                
Net asset value, end of period  $11.90   $16.32   $16.21   $14.55   $11.74   $10.60                                                 
                                                                               
Total return +,#   (0.93)%   1.41%   12.64%   25.30%   11.29%   7.06%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period (in 000s)  $43,364   $44,620   $41,917   $37,688   $37,650   $34,171                                                 
Ratios of expenses to average net assets: ^   1.05%   1.12%   1.26%   1.00%   1.17%   1.62%                                                
Ratios of net investment income ^ to average net assets:   1.83%   1.03%   0.82%   1.25%   1.04%   0.53%                                                
Portfolio turnover rate   29% (1)   101%   22%   16%   30%   30%                                                
                                                                               
   Class A   Class C 
   Six Months                       Six Months                     
   Ended                       Ended                     
   April 30,   Year Ended October 31,   April 30,   Year Ended October 31, 
   2016   2015   2014   2013   2012   2011   2016   2015   2014   2013   2012   2011 
   (Unaudited)                       (Unaudited)                     
                                                 
Net asset value, beginning of period  $16.26   $16.16   $14.52   $11.72   $10.57   $9.95   $15.74   $15.68   $14.09   $11.36   $10.31   $9.73 
Income from investment operations:                                                            
Net investment income (loss)*   0.10    0.13    0.09    0.13    0.09    0.04    0.05    0.00 (a)   (0.03)   0.03    0.00 (a)   (0.05)
Net realized and unrealized gain   (0.26)   0.06    1.69    2.77    1.08    0.64    (0.25)   0.06    1.65    2.71    1.05    0.63 
Total income from investment operations   (0.16)   0.19    1.78    2.90    1.17    0.68    (0.20)   0.06    1.62    2.74    1.05    0.58 
Less distributions:                                                            
Distributions from net investment income   (0.14)   (0.09)   (0.14)   (0.10)   (0.02)   (0.06)   (0.03)   0.00    (0.03)   (0.01)   0.00    0.00 
Distributions from net realized gains   (4.10)   0.00    0.00    0.00    0.00    0.00    (4.10)   0.00    0.00    0.00    0.00    0.00 
Total distributions   (4.24)   (0.09) #   (0.14)   (0.10)   (0.02)   (0.06)   (4.13)   0.00    (0.03)   (0.01)   0.00    0.00 
Net asset value, end of period  $11.86   $16.26   $16.16   $14.52   $11.72   $10.57   $11.41   $15.74   $15.68   $14.09   $11.36   $10.31 
                                                             
Total return +, #   (0.93)%   1.15%   12.31%   24.99%   11.04%   6.78%   (1.41)%   0.38%   11.49%   24.09%   10.18%   5.96%
Ratios/Supplemental Data:                                                            
Net assets, end of period (in 000s)  $6,437   $6,577   $7,685   $4,980   $2,969   $2,874   $5,399   $5,805   $5,639   $5,029   $5,431   $6,129 
Ratios of expenses to average net assets: ^   1.30%   1.37%   1.51%   1.25%   1.42%   1.87%   2.05%   2.12%   2.26%   2.00%   2.17%   2.62%
Ratios of net investment income (loss) ^ to average net assets:   1.58%   0.78%   0.57%   0.99%   0.79%   0.28%   0.83%   0.03%   (0.18)%   0.25%   0.04%   (0.47)%
Portfolio turnover rate   29% (1)   101%   22%   16%   30%   30%   29% (1)   101%   22%   16%   30%   30%

 

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

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares

 

(a)Represents less than $0.01 per share.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

 

^Annualized for periods less than one year.

 

(1)Not annualized.

 

See accompanying notes to financial statements.

85

 

FINANCIAL HIGHLIGHTS
Dunham Focused Large Cap Growth Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each period.

 

   Class N                                         
   Six Months                                                         
   Ended   Year Ended   Year Ended   Year Ended   Period Ended                                         
   April 30,   October 31,   October 31,   October 31,   October 31,                                         
   2016   2015   2014   2013   2012*                                         
   (Unaudited)                                                         
                                                             
Net asset value, beginning of period  $16.97   $15.01   $14.02   $10.42   $10.00                                         
Income from investment operations:                                                                 
Net investment loss**   (1.45)   (0.16)   (0.11)   (0.10)   (0.16)                                        
Net realized and unrealized gain (loss)   (0.07)   2.12    1.29    3.70    0.58                                         
Total income (loss) from investment operations   (1.52)   1.96    1.18    3.60    0.42                                         
Less distributions:                                                                 
Distributions from net realized gains   (0.09)   0.00    (0.19)   0.00    0.00                                         
Total distributions   (0.09)   0.00    (0.19)   0.00    0.00                                         
Net asset value, end of period  $15.36   $16.97   $15.01   $14.02   $10.42                                         
                                                                  
Total return +   (8.98)%   13.06%   8.48%   34.55%   4.20%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of period (in 000s)  $48,965   $51,312   $37,106   $814   $450                                         
Ratios of expenses to average net assets:                                                                 
Before fee waivers ^   1.21%   1.34%   1.16%   1.71%   2.11%                                        
After fee waivers ^   1.21%   1.34%   1.16%   1.69%   1.80%                                        
Ratios of net investment loss to average net assets:                                                                 
Before fee waivers ^   (0.82)%   (1.00)%   (0.76)%   (0.70)%   (1.06)%                                        
After fee waivers ^   (0.82)%   (1.00)%   (0.76)%   (0.67)%   (0.75)%                                        
Portfolio turnover rate   15% (1)   45%   29%   91%   27% (1)                                        
                                                                  
   Class A   Class C 
   Six Months                   Six Months                 
   Ended   Year Ended   Year Ended   Year Ended   Period Ended   Ended   Year Ended   Year Ended   Year Ended   Period Ended 
   April 30,   October 31,   October 31,   October 31,   October 31,   April 30,   October 31,   October 31,   October 31,   October 31, 
   2016   2015   2014   2013   2012*   2016   2015   2014   2013   2012* 
   (Unaudited)                   (Unaudited)                 
                                         
Net asset value, beginning of period  $16.80   $14.91   $13.96   $10.39   $10.00   $16.33   $14.59   $13.76   $10.33   $10.00 
Income from investment operations:                                                  
Net investment loss**   (1.43)   (0.19)   (0.21)   (0.11)   (0.09)   (1.40)   (0.31)   (0.26)   (0.26)   (0.30)
Net realized and unrealized gain (loss)   (0.09)   2.08    1.35    3.68    0.48    (0.14)   2.05    1.28    3.69    0.63 
Total income (loss) from investment operations   (1.52)   1.89    1.14    3.57    0.39    (1.54)   1.74    1.02    3.43    0.33 
Less distributions:                                                  
Distributions from net realized gains   (0.09)   0.00    (0.19)   0.00    0.00    (0.09)   0.00    (0.19)   0.00    0.00 
Total distributions   (0.09)   0.00    (0.19)   0.00    0.00    (0.09)   0.00    (0.19)   0.00    0.00 
Net asset value, end of period  $15.19   $16.80   $14.91   $13.96   $10.39   $14.70   $16.33   $14.59   $13.76   $10.33 
                                                   
Total return +   (9.07)%   12.68%   8.23%   34.36%   3.90%   (9.46)%   11.93%   7.47%   33.20%   3.30%
Ratios/Supplemental Data:                                                  
Net assets, end of period (in 000s)  $9,978   $8,762   $19,949   $11,399   $10,344   $5,240   $5,222   $4,361   $510   $146 
Ratios of expenses to average net assets:                                                  
Before fee waivers ^   1.44%   1.59%   1.41%   1.96%   2.36%   2.24%   2.34%   2.16%   2.71%   3.11%
After fee waivers ^   1.44%   1.59%   1.41%   1.94%   2.05%   2.24%   2.34%   2.16%   2.69%   2.80%
Ratios of net investment loss to average net assets:                                                  
Before fee waivers ^   (1.02)%   (1.20)%   (1.48)%   (0.95)%   (1.31)%   (1.93)%   (2.00)%   (1.87)%   (1.70)%   (2.06)%
After fee waivers ^   (1.02)%   (1.20)%   (1.48)%   (0.92)%   (1.00)%   (1.93)%   (2.00)%   (1.87)%   (1.67)%   (1.75)%
Portfolio turnover rate   15% (1)   45%   29%   91%   27% (1)   15% (1)   45%   29%   91%   27% (1)

 

 
*The Fund commenced operations on December 8, 2011.

 

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

 

^Annualized for periods less than a 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.

 

(1)Not annualized.

 

See accompanying notes to financial statements.

86

 

FINANCIAL HIGHLIGHTS
Dunham International Stock Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year or period.

 

   Class N                                                 
   Six Months                                                                     
   Ended                                                                     
   April 30,   Year Ended October 31,                                                 
   2016   2015   2014   2013   2012   2011                                                 
   (Unaudited)                                                                     
                                                                         
Net asset value, beginning of period  $14.24   $15.21   $15.22   $12.05   $11.85   $12.79                                                 
Income (loss) from investment operations:                                                                              
Net investment income *   0.10    0.00    0.15    0.07    0.14    0.15                                                 
Net realized and unrealized gain (loss)   (0.46)   (0.61)   0.10    3.24    0.22    (0.98)                                                
Total income (loss) from investment operations   (0.36)   (0.61)   0.25    3.31    0.36    (0.83)                                                
Less distributions:                                                                              
Distributions from net investment income   (0.01)   (0.30)   (0.26)   (0.14)   (0.16)   (0.11)                                                
Distributions from net realized gains   0.00    (0.06)   0.00    0.00    0.00    0.00                                                 
Total distributions   (0.01)   (0.36)   (0.26)   (0.14)   (0.16)   (0.11)                                                
Net asset value, end of period  $13.87   $14.24   $15.21   $15.22   $12.05   $11.85                                                 
                                                                               
Total return + #   (2.54)%   (4.10)%   1.66%   27.64%   3.16%   (6.56)%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period (in 000s)  $74,149   $76,992   $57,359   $49,815   $44,947   $39,163                                                 
Ratios of expenses to average net assets: ^   1.68%   2.04%   2.04%   2.11%   1.97%   2.28%                                                
Ratios of net investment income to average net assets: ^   1.54%   0.03%   0.99%   0.52%   1.24%   1.19%                                                
Portfolio turnover rate   61% (1)   125%   117%   131%   142%   110%                                                
                                                                               
   Class A   Class C 
   Six Months                       Six Months                     
   Ended                       Ended                     
   April 30,   Year Ended October 31,   April 30,   Year Ended October 31, 
   2016   2015   2014   2013   2012   2011   2016   2015   2014   2013   2012   2011 
   (Unaudited)                       (Unaudited)                     
                                                 
Net asset value, beginning of period  $14.21   $15.16   $15.19   $12.03   $11.84   $12.79   $13.73   $14.68   $14.70   $11.64   $11.44   $12.37 
Income (loss) from investment operations:                                                            
Net investment income (loss)*   0.09    (0.03)   0.15    0.06    0.10    0.18    0.03    (0.14)   (0.00) (a)   (0.06)   0.03    0.02 
Net realized and unrealized gain (loss)   (0.47)   (0.60)   0.06    3.22    0.22    (1.04)   (0.44)   (0.59)   0.10    3.13    0.21    (0.95)
Total income (loss) from investment operations   (0.38)   (0.63)   0.21    3.28    0.32    (0.86)   (0.41)   (0.73)   0.10    3.07    0.24    (0.93)
Less distributions:                                                            
Distributions from net investment income   0.00    (0.26)   (0.24)   (0.12)   (0.13)   (0.09)   0.00    (0.16)   (0.12)   (0.01)   (0.04)   0.00 
Distributions from net realized gains   0.00    (0.06)   0.00    0.00    0.00    0.00    0.00    (0.06)   0.00    0.00    0.00    0.00 
Total distributions   0.00    (0.32)   (0.24)   (0.12)   (0.13)   (0.09)   0.00    (0.22)   (0.12)   (0.01)   (0.04)   0.00 
Net asset value, end of period  $13.83   $14.21   $15.16   $15.19   $12.03   $11.84   $13.32   $13.73   $14.68   $14.70   $11.64   $11.44 
                                                             
Total return + #   (2.87)%   (4.26)%   1.35%   27.40%   2.80%   (6.78)%   (2.99)%   (5.06)%   0.67%   26.40%   2.10%   (7.52)%
Ratios/Supplemental Data:                                                            
Net assets, end of period (in 000s)  $9,166   $9,032   $7,871   $4,741   $1,580   $1,309   $6,928   $7,268   $6,551   $5,627   $5,881   $6,849 
Ratios of expenses to average net assets:^   1.93%   2.29%   2.29%   2.36%   2.22%   2.53%   2.68%   3.04%   3.04%   3.11%   2.97%   3.28%
Ratios of net investment income (loss) to average net assets:^   1.36%   (0.19)%   0.97%   0.41%   0.99%   0.94%   0.51%   (0.94)%   (0.02)%   (0.46)%   0.24%   0.19%
Portfolio turnover rate   61% (1)   125%   117%   131%   142%   110%   61% (1)   125%   117%   131%   142%   110%

 

 
*The net investment income (loss) per share data was determined using the average shares outstanding throughout each period

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions

 

(a)Represents less than $0.01 per share.

 

^Annualized for periods less than one year.

 

(1)Not annualized.

 

See accompanying notes to financial statements.

87

 

FINANCIAL HIGHLIGHTS
Dunham Real Estate Stock Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each period

 

   Class N                                                 
   Six Months                                                                     
   Ended   Year Ended                                                 
   April 30,   October 31,                                                 
   2016   2015   2014   2013   2012   2011                                                 
   (Unaudited)                                                                     
                                                                         
Net asset value, beginning of period  $19.23   $19.27   $16.53   $15.79   $13.80   $12.84                                                 
Income from investment operations:                                                                              
Net investment income *   0.34    0.15    0.13    0.23    0.21    0.14                                                 
Net realized and unrealized gain   0.31    0.85    3.20    1.27    1.90    0.98                                                 
Total income from investment operations   0.65    1.00    3.33    1.50    2.11    1.12                                                 
Less distributions:                                                                              
Distributions from net investment income   (0.21)   (0.11)   (0.20)   (0.23)   (0.12)   (0.16)                                                
Distributions from net realized gains   (1.76)   (0.93)   (0.39)   (0.53)   0.00    0.00                                                 
Total distributions   (1.97)   (1.04)   (0.59)   (0.76)   (0.12)   (0.16)                                                
Net asset value, end of period  $17.91   $19.23   $19.27   $16.53   $15.79   $13.80                                                 
                                                                               
Total return +   3.46%   5.13%   21.09%   9.85%   15.46%   8.82%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period (in 000s)  $29,338   $33,379   $37,143   $33,545   $20,424   $12,507                                                 
Ratios of expenses to average net assets: ^   1.24%   1.64%   1.59%   1.30%   1.46%   1.51%                                                
Ratios of net investment income to average net assets: ^   3.78%   0.80%   0.77%   1.40%   1.42%   1.09%                                                
Portfolio turnover rate   38% (1)   110%   97%   163%   123%   59%                                                
                                                                               
   Class A   Class C 
   Six Months                       Six Months                     
   Ended   Year Ended   Ended   Year Ended 
   April 30,   October 31,   April 30,   October 31, 
   2016   2015   2014   2013   2012   2011   2016   2015   2014   2013   2012   2011 
   (Unaudited)                       (Unaudited)                     
                                                 
Net asset value, beginning of period  $19.26   $19.33   $16.55   $15.77   $13.80   $12.85   $18.50   $18.65   $16.02   $15.33   $13.40   $12.49 
Income from investment operations:                                                            
Net investment income (loss) *   0.31    0.10    0.08    0.15    0.21    0.13    0.24    (0.04)   (0.04)   0.07    0.07    0.01 
Net realized and unrealized gain   0.33    0.85    3.22    1.31    1.87    0.95    0.29    0.82    3.11    1.23    1.86    0.94 
Total income from investment operations   0.64    0.95    3.30    1.46    2.08    1.08    0.53    0.78    3.07    1.30    1.93    0.95 
Less distributions:                                                            
Distributions from net investment income   (0.17)   (0.09)   (0.13)   (0.15)   (0.11)   (0.13)   (0.02)   0.00    (0.05)   (0.08)   0.00    (0.04)
Distributions from net realized gains Total   (1.76)   (0.93)   (0.39)   (0.53)   0.00    0.00    (1.76)   (0.93)   (0.39)   (0.53)   0.00    0.00 
distributions   (1.93)   (1.02)   (0.52)   (0.68)   (0.11)   (0.13)   (1.78)   (0.93)   (0.44)   (0.61)   0.00    (0.04)
Net asset value, end of period  $17.97   $19.26   $19.33   $16.55   $15.77   $13.80   $17.25   $18.50   $18.65   $16.02   $15.33   $13.40 
                                                             
Total return +   3.35%   4.85%   20.73%   9.60%   15.20%   8.48%   2.94%   4.08%   19.88%   8.73%   14.40%   7.65%
Ratios/Supplemental Data:                                                            
Net assets, end of period (in 000s)  $10,047   $10,386   $3,913   $2,539   $709   $6,962   $3,378   $3,847   $4,166   $2,684   $2,370   $1,944 
                                                             
Ratios of expenses to average net assets: ^   1.49%   1.89%   1.84%   1.55%   1.71%   1.76%   2.24%   2.64%   2.59%   2.30%   2.46%   2.51%
Ratios of net investment income (loss) to average net assets: ^   3.49%   0.53%   0.48%   1.15%   1.17%   0.81%   2.75%   (0.21)%   (0.24)%   0.40%   0.42%   0.07%
Portfolio turnover rate   38% (1)   110%   97%   163%   123%   59%   38% (1)   110%   97%   163%   123%   59%

 

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

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

(1)Not annualized.

 

^Annualized for periods less than one year.

 

See accompanying notes to financial statements.

88

 

FINANCIAL HIGHLIGHTS
Dunham Small Cap Value Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year or period.

 

   Class N                                                 
   Six Months                                                                     
   Ended                                                                     
   April 30,   Year Ended October 31,                                                 
   2016   2015   2014   2013   2012   2011                                                 
   (Unaudited)                                                                     
                                                                         
Net asset value, beginning of period  $14.27   $15.45   $14.65   $11.21   $10.44   $9.78                                                 
Income (loss) from investment operations:                                                                              
Net investment income (loss) *   0.03    (0.01)   0.04    0.07    0.00 (a)   0.02                                                 
Net realized and unrealized gain (loss)   (0.21)   (0.18)   1.45    3.40    0.77    0.66                                                 
Total income (loss) from investment operations   (0.18)   (0.19)   1.49    3.47    0.77    0.68                                                 
Less distributions:                                                                              
Distributions from net investment income   (0.01)   (0.04)   (0.02)   (0.03)   0.00    (0.02)                                                
Distributions from net realized gains    (0.48)   (0.95)   (0.67)   0.00    0.00    0.00                                                 
Total distributions   (0.49)   (0.99)   (0.69)   (0.03)   0.00    (0.02)                                                
Net asset value, end of period  $13.60   $14.27   $15.45   $14.65   $11.21   $10.44                                                 
                                                                               
Total return + #   (1.30)%   (1.59)%   10.30%   31.05%   7.38%   6.94%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period (in 000s)  $21,206   $22,068   $23,783   $16,640   $15,764   $14,739                                                 
Ratios of expenses to average net assets: ^   1.72%   1.79%   1.45%   1.29%   2.02%   2.10%                                                
Ratios of net investment income (loss) to ^ average net assets:   0.53%   (0.10)%   0.27%   0.62%   0.04%   0.06%                                                
Portfolio turnover rate   58% (1)   122%   106%   147%   62%   50%                                                
                                                                               
   Class A   Class C 
   Six Months                       Six Months                     
   Ended                       Ended                     
   April 30,   Year Ended October 31,   April 30,   Year Ended October 31, 
   2016   2015   2014   2013   2012   2011   2016   2015   2014   2013   2012   2011 
   (Unaudited)                       (Unaudited)                     
                                                 
Net asset value, beginning of period  $14.18   $15.36   $14.59   $11.16   $10.40   $9.75   $13.06   $14.32   $10.59   $10.59   $9.96   $9.40 
Income (loss) from investment operations:                                                            
Net investment income (loss)*   0.02    (0.05)   (0.00)   0.01    0.00 (a)   (0.01)   (0.03)   (0.15)   (0.10)   (0.03)   (0.10)   (0.09)
Net realized and unrealized gain (loss)   (0.23)   (0.18)   1.44    3.42    0.76    0.66    (0.21)   (0.16)   1.35    3.18    0.73    0.65 
Total income (loss) from investment operations   (0.21)   (0.23)   1.44    3.43    0.76    0.65    (0.24)   (0.31)   1.25    3.15    0.63    0.56 
Less distributions:                                                            
Distributions from net realized gains   (0.48)   (0.95)   (0.67)   0.00    0.00    0.00    (0.48)   (0.95)   (0.67)   0.00    0.00    0.00 
Total distributions   (0.48)   (0.95)   (0.67)   0.00    0.00    0.00    (0.48)   (0.95)   (0.67)   0.00    0.00    0.00 
Net asset value, end of period  $13.49   $14.18   $15.36   $14.59   $11.16   $10.40   $12.34   $13.06   $11.17   $13.74   $10.59   $9.96 
                                                             
Total return + #   (1.52)%   (1.83)%   10.02%   30.74%   7.31%   6.67%   (1.88)%   (2.56)%   9.22%   29.75%   6.33%   5.96%
Ratios/Supplemental Data:                                                            
Net assets, end of period iin 000s)  $3,684   $3,801   $3,268   $1,756   $567   $193   $2,313   $2,383   $2,494   $2,057   $2,099   $2,574 
Ratios of expenses to average net assets: ^   1.97%   2.04%   1.70%   1.54%   2.27%   2.35%   2.72%   2.79%   2.45%   2.29%   3.02%   3.10%
Ratios of net investment income (loss) to ^ average net assets:   0.29%   (0.36)%   (0.06)%   0.15%   (0.21)%   (0.22)%   (0.47)%   (1.11)%   (0.70)%   (0.37)%   (0.96)%   (0.95)%
Portfolio turnover rate   58% (1)   122%   106%   147%   62%   50%   58% (1)   122%   106%   147%   62%   50%

 

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

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

(a)Represents less than $0.01 per share.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

 

^Annualized for periods less than one year.

 

(1)Not annualized.

 

See accompanying notes to financial statements.

89

 

FINANCIAL HIGHLIGHTS
Dunham Emerging Markets Stock Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                                 
   Six Months                                                                     
   Ended                                                                     
   April 30,   Year Ended October 31,                                                 
   2016   2015   2014   2013   2012   2011                                                 
   (Unaudited)                                                                     
                                                                         
Net asset value, beginning of period  $11.97   $14.75   $14.66   $13.82   $13.43   $16.03                                                 
Income (loss) from investment operations:                                                                              
Net investment income (loss)*   0.05    0.08    0.20    0.00 (a)   0.04    (0.05)                                                
Net realized and unrealized gain (loss) **    (0.11)   (2.67)   (0.11)   0.84    0.35    (2.55)                                                
Total income (loss) from investment operations   (0.06)   (2.59)   0.09    0.84    0.39    (2.60)                                                
Less distributions:                                                                              
Distributions from net investment income   (0.08)   (0.19)   0.00    0.00    0.00    0.00                                                 
Total distributions   (0.08)   (0.19)   0.00    0.00    0.00    0.00                                                 
Net asset value, end of period  $11.83   $11.97   $14.75   $14.66   $13.82   $13.43                                                 
                                                                               
Total return +, #   (0.44)%   (17.73)%   0.61%   6.08%   2.90%   (16.22)%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period (in 000s)  $45,237   $42,831   $35,872   $24,736   $16,017   $14,616                                                 
Ratios of expenses to average net assets: ^   1.30%   1.76%   1.29%   2.00%   1.75%   2.10%                                                
Ratios of net investment income (loss) to ^ average net assets:   0.93%   0.59%   1.39%   0.03%   0.29%   (0.35)%                                                
Portfolio turnover rate   59% (1)   137%   108%   166%   104%   98%                                                
                                                                               
   Class A   Class C 
   Six Months                       Six Months                     
   Ended                       Ended                     
   April 30,   Year Ended October 31,   April 30,   Year Ended October 31, 
   2016   2015   2014   2013   2012   2011   2016   2015   2014   2013   2012   2011 
   (Unaudited)                       (Unaudited)                     
                                                 
Net asset value, beginning of period  $11.71   $14.44   $14.39   $13.59   $13.23   $15.83   $11.14   $13.76   $13.82   $13.16   $12.90   $15.56 
Income (loss) from investment operations:                                                            
Net investment income (loss)*   0.04    0.05    0.16    (0.07)   0.05    (0.12)   0.00    (0.06)   0.04    (0.14)   (0.09)   (0.20)
Net realized and unrealized gain (loss) **   (0.11)   (2.62)   (0.11)   0.87    0.31    (2.48)   (0.10)   (2.49)   (0.10)   0.80    0.35    (2.46)
Total income (loss) from investment operations   (0.07)   (2.57)   0.05    0.80    0.36    (2.60)   (0.10)   (2.55)   (0.06)   0.66    0.26    (2.66)
Less distributions:                                                            
Distributions from net investment income   (0.05)   (0.16)   0.00    0.00    0.00    0.00    0.00    (0.07)   0.00    0.00    0.00    0.00 
Total distributions   (0.05)   (0.16)   0.00    0.00    0.00    0.00    0.00    (0.07)   0.00    0.00    0.00    0.00 
Net asset value, end of period  $11.59   $11.71   $14.44   $14.39   $13.59   $13.23   $11.04   $11.14   $13.76   $13.82   $13.16   $12.90 
                                                             
Total return +, #   (0.55)%   (17.94)%   0.35%   5.89%   2.72%   (16.42)%   (0.90)%   (18.60)%   (0.43)%   5.02%   2.02%   (17.10)%
Ratios/Supplemental Data:                                                            
Net assets, end of period (in 000s)  $4,977   $4,594   $4,036   $2,475   $11,364   $951   $3,198   $3,216   $3,593   $2,735   $2,497   $2,755 
Ratios of expenses to average net assets:^   1.55%   2.01%   1.54%   2.25%   2.00%   2.35%   2.30%   2.76%   2.29%   3.00%   2.75%   3.10%
Ratios of net investment income (loss) to average net assets: ^   0.68%   0.40%   1.14%   (0.48)%   0.04%   (0.80)%   (0.07)%   (0.48)%   0.34%   (1.03)%   (0.71)%   (1.35)%
Portfolio turnover rate   59% (1)   137%   108%   166%   104%   98%   59% (1)   137%   108%   166%   104%   98%

 

 
(a)Represents less than $0.01 per share.

 

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

 

**The amount of net realized and unrealized loss on investment per share for the year ended October 31, 2014 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values.

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

 

^Annualized for periods less than one year.

 

(1)Not annualized.

 

See accompanying notes to financial statements.

90

 

FINANCIAL HIGHLIGHTS
Dunham Small Cap Growth Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each period.

 

   Class N                                                 
   Six Months                                                                     
   Ended   Year Ended                                                 
   April 30,   October 31,                                                 
   2016   2015   2014   2013   2012   2011                                                 
   (Unaudited)                                                                     
                                                                         
Net asset value, beginning of period  $17.08   $17.71   $20.62   $15.69   $14.75   $13.67                                                 
Income from investment operations:                                                                              
Net investment loss*   (0.07)   (0.24)   (0.29)   (0.19)   (0.17)   (0.18)                                                
Net realized and unrealized gain (loss)   (1.12)   1.19    1.11    6.10    1.11    1.26                                                 
Total income (loss) from investment operations   (1.19)   0.95    0.82    5.91    0.94    1.08                                                 
Less distributions:                                                                              
Distributions from net realized gains   (1.44)   (1.58)   (3.73)   (0.98)   0.00    0.00                                                 
Total distributions   (1.44)   (1.58)   (3.73)   (0.98)   0.00    0.00                                                 
Net asset value, end of period  $14.45   $17.08   $17.71   $20.62   $15.69   $14.75                                                 
                                                                               
Total return + #   (7.57)%   5.36%   3.64%   40.28%   6.37%   7.90%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period (in 000s)  $23,828   $23,152   $21,153   $16,146   $14,627   $14,975                                                 
Ratios of expenses to average net assets: ^   1.35%   1.58%   1.84%   1.35%   1.34%   1.45%                                                
Ratios of net investment loss to average net assets: ^   (0.89)%   (1.30)%   (1.61)%   (1.08)%   (1.12)%   (1.15)%                                                
Portfolio turnover rate   74% (1)   138%   192%   231%   211%   235%                                                
                                                                               
   Class A   Class C 
   Six Months                       Six Months                     
   Ended   Year Ended   Ended   Year Ended 
   April 30,   October 31,   April 30,   October 31, 
   2016   2015   2014   2013   2012   2011   2016   2015   2014   2013   2012   2011 
   (Unaudited)                       (Unaudited)                     
                                                 
Net asset value, beginning of period  $16.62   $17.31   $20.28   $15.49   $14.59   $13.56   $14.61   $15.51   $18.66   $14.43   $13.69   $12.82 
Income from investment operations:                                                            
Net investment loss*   (0.08)   (0.27)   (0.34)   (0.24)   (0.21)   (0.24)   (0.12)   (0.36)   (0.42)   (0.32)   (0.30)   (0.31)
Net realized and unrealized gain (loss)   (1.09)   1.16    1.10    6.01    1.11    1.27    (0.94)   1.04    1.00    5.53    1.04    1.18 
Total income (loss) from investment operations   (1.17)   0.89    0.76    5.77    0.90    1.03    (1.06)   0.68    0.58    5.21    0.74    0.87 
Less distributions:                                                            
Distributions from net realized gains   (1.44)   (1.58)   (3.73)   (0.98)   0.00    0.00    (1.44)   (1.58)   (3.73)   (0.98)   0.00    0.00 
Total distributions   (1.44)   (1.58)   (3.73)   (0.98)   0.00    0.00    (1.44)   (1.58)   (3.73)   (0.98)   0.00    0.00 
Net asset value, end of period  $14.01   $16.62   $17.31   $20.28   $15.49   $14.59   $12.11   $14.61   $15.51   $18.66   $14.43   $13.69 
                                                             
Total return + #   (7.66)%   5.12%   3.36%   39.88%   6.17%   7.60%   (7.99)%   4.29%   2.56%   38.87%   5.41%   6.79%
Ratios/Supplemental Data:                                                            
Net assets, end of period (in 000s)  $5,650   $6,326   $6,443   $5,890   $2,418   $1,950   $2,929   $3,163   $3,165   $2,685   $2,694   $3,193 
Ratios of expenses to average net assets: ^   1.60%   1.83%   2.09%   1.60%   1.59%   1.70%   2.35%   2.58%   2.84%   2.35%   2.34%   2.45%
Ratios of net investment loss to average net assets: ^   (1.14)%   (1.53)%   (1.86)%   (1.33)%   (1.37)%   (1.40)%   (1.89)%   (2.29)%   (2.61)%   (2.08)%   (2.12)%   (2.15)%
Portfolio turnover rate   74% (1)   138%   192%   231%   211%   235%   74% (1)   138%   192%   231%   211%   235%

 

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

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

 

(1)Not annualized.

 

^Annualized for periods less than one year.

 

See accompanying notes to financial statements.

91

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016

 

1.ORGANIZATION

 

Each Dunham Fund (each, a “Fund” and collectively the “Funds”) is a series of shares of beneficial interest in the Dunham Funds (the “Trust”), a Delaware Business Trust organized on November 28, 2007 and registered under the Investment Company Act of 1940, as amended, (the “1940 Act”) as an open-end management investment company. Prior to that date, the Dunham Funds were a series of AdvisorOne Funds, also a Delaware Business Trust. The Dunham Funds currently consist of fifteen funds: Corporate/Government Bond Fund; Monthly Distribution Fund; Floating Rate Bond Fund; High-Yield Bond Fund; International Opportunity Bond Fund; Dynamic Macro Fund; Alternative Strategy Fund; Appreciation & Income Fund; Large Cap Value Fund; Focused Large Cap Growth Fund; International Stock Fund; Real Estate Stock Fund; Small Cap Value Fund; Emerging Markets Stock Fund and Small Cap Growth Fund. Alternative Strategy Fund, Focused Large Cap Growth Fund, International Opportunity Bond Fund, and Real Estate Stock Fund are non-diversified funds within the meaning of the 1940 Act. The remaining Funds are diversified funds within the meaning of the 1940 Act.

 

Fund   Primary Objective
Floating Rate Bond   High level of current income
Monthly Distribution   Positive returns in rising and falling market environments
Corporate/Government Bond   Current income and capital appreciation
Dynamic Macro   Maximize total return from capital appreciation and dividends
High-Yield Bond   High level of current income
International Opportunity Bond   High level of current income
Appreciation & Income   Total return under varying market conditions through both current income and capital appreciation
Alternative Strategy   Long-term capital appreciation by realizing gains during periods of rising and declining Markets
Large Cap Value   Maximize total return from capital appreciation and dividends
Focused Large Cap Growth   Maximize capital appreciation
International Stock   Maximize total return from capital appreciation and dividends
Real Estate Stock   Maximize total return from capital appreciation and dividends
Small Cap Value   Maximize total return from capital appreciation and income
Emerging Markets Stock   Maximize capital appreciation
Small Cap Growth   Maximize capital appreciation

 

Currently, each Fund offers Class A, Class C and Class N shares. Each class represents an interest in the same assets of the applicable Fund with the only differences being that Class A shares are subject to a front-end sales charge and an annual service fee, Class C shares are subject to an annual service and distribution fee and Class N shares have a higher minimum investment amount. Investors that purchase $1,000,000 or more of Class A shares will not pay any initial sales charge on the purchase. However, purchases of $1,000,000 or more of Class A shares may be subject to a contingent deferred sales charge (“CDSC”) on shares redeemed during the first 18 months after their purchase in the amount of the commissions paid on the shares redeemed. The Class C and Class N shares, with the exception of Monthly Distribution, High-Yield Bond, Dynamic Macro, Focused Large Cap Growth, Alternative Strategy, Floating Rate Bond, and International Opportunity Bond commenced operations on December 10, 2004 and were formed as a result of tax-free conversions from common trusts. The conversions were accomplished through the exchange of the common trust securities, cash, and other assets for equivalent value of the Funds’ shares. High-Yield Bond Class C and Class N shares commenced operations on July 1, 2005. The Class A shares for all Funds except Monthly Distribution, Dynamic Macro, Focused Large Cap Growth, Alternative Strategy, Floating Rate Bond, and International Opportunity Bond commenced operations on January 3, 2007. Monthly Distribution’s Predecessor Fund’s Class A shares and Class C shares commenced operations on December 26, 2000. Monthly Distribution’s Class N shares commenced operations on September 29, 2008. Dynamic Macro commenced operations on April 30, 2010. Focused Large Cap Growth commenced operations on December 8, 2011.. Effective October 1, 2014, Dynamic Macro changed its name from Loss Averse Equity Income. Alternative Strategy’s Predecessor Fund’s Class N shares commenced operations on February 13, 2009 and Alternative Strategy Class A shares commenced operations on March 25, 2009. Alternative Strategy Class C shares commenced operations on May 14, 2009. Floating Rate Bond and International Opportunity Bond commenced operations on November 1, 2013.

 

2.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and

92

 
NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)

 

decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Funds follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies.

 

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

 

a. Security Valuation – In determining each Fund’s Net Asset Value (“NAV”) per share, equity securities for which market quotations are readily available are valued at current market value using the last reported sales price. NASDAQ traded securities are valued using the NASDAQ official closing price (“NOCP”). If no sale price is reported, the mean between the current bid and ask price is used. If market quotations are not readily available, then securities are valued at fair value as determined by the Board of Trustees of the Trust (the “Board”) (or its delegate). U.S. Government and agency securities are valued at the mean between the most recent bid and ask prices. Short-term debt instruments with a remaining maturity of more than 60 days, intermediate and long-term bonds, convertible bonds, bank loans and other debt securities are generally valued on the basis of dealer supplied quotations or by a pricing system selected by Dunham & Associates Investment Counsel, Inc. (“Dunham & Associates” or the “Adviser”) and approved by the Board. Where such prices are not available, valuations will be obtained from brokers who are market makers for such securities. However, in circumstances where the Adviser deems it appropriate to do so, the mean of the bid and ask prices for over-the-counter securities or the last available sale price for exchange-traded debt securities may be used. Where no last sale price for exchange traded debt securities is available, the mean of the bid and ask prices may be used. Short-term debt securities with a remaining maturity of 60 days or less may be valued at amortized cost, provided such valuations represent fair value.

 

Options are valued at the last reported sale price at the close of the exchange on which the security is primarily traded. If no sales are reported for the exchange-traded options, or the options are not exchange-traded, then they are valued at the mean of their most recent quoted bid and ask price.

 

Equity swaps are valued at the last reported sale price at the close of the exchange on which the underlying security is primarily traded. If no sale price is reported, then they are valued at the mean of their most recent quoted bid and asked price.

 

Futures and future options are valued at the final settled price or, in the absence of a settled price, at the mean between the current bid and ask prices on the day of valuation.

 

Trading in securities on far eastern securities exchanges and over-the-counter markets is normally completed well before the close of business on each business day in New York (i.e., a day on which the New York Stock Exchange (“NYSE”) is open). In addition, far eastern securities trading generally, or in a particular country or countries, may not take place on all business days in New York. Furthermore, trading takes place in Japanese markets on certain Saturdays and in various foreign markets on days, which are not business days in New York, and on which a Fund’s NAV is not calculated. Each Fund calculates NAV per share, and therefore effects sales, redemptions and repurchases of its shares, as of the close of regular trading on the NYSE once on each day on which the NYSE is open. Such calculation may not take place contemporaneously with the determination of the prices of the majority of the portfolio securities used in such calculation. If events that may materially affect the value of such securities occur between the time when their price is determined and the time when the Fund’s NAV is calculated, such securities may be valued at fair value as determined in good faith in accordance with procedures approved by the Board.

 

Securities in which the Funds invest may be traded in markets that close before 4:00 p.m. Eastern Time (“ET”). Normally, developments that occur between the close of the foreign markets and 4:00 p.m. ET will not be reflected in a Fund’s NAV. However, Funds may determine that such developments are so significant that they will materially affect the value of a Fund’s securities, and 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. ET. Effective July 1, 2009, both International Stock and Emerging Markets Stock began using fair value prices as provided by an independent pricing vendor on a daily basis for those securities traded on a foreign exchange.

 

Securities for which current market quotations are not readily available, or 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.

 

Valuation of Fund of Funds - The Funds may invest in portfolios of open-end investment companies. Open-end investment companies are valued at their respective net asset values as reported by such investment companies. Open-end investment companies value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based on the methods established by the board of directors of the open-end funds.

 

The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

93

 
NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)

 

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities.

 

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of April 30, 2016 for the Funds’ assets and liabilities measured at fair value:

 

Floating Rate Bond

 

Assets  Level 1   Level 2   Level 3   Total 
Bank Loans *  $—   $80,553,296   $—   $80,553,296 
Bonds & Notes *   —    4,002,034    —    4,002,034 
Asset Backed Securities   1,347,803                
Short-Term Investment   3,122,938    —    —    3,122,938 
Collateral for Securities Loaned   105,750    —    —    105,750 
Total   $4,576,491   $84,555,330   $—   $87,784,018 

 

Monthly Distribution

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stock *  $210,266,961   $—   $—   $210,266,961 
Rights   76,436    —    —    76,436 
Warrants   38,641    —    —    38,641 
Closed End Funds   9,674,922    —    —    9,674,922 
Preferred Stock *   5,575,000    —    —    5,575,000 
Bonds & Notes *   —    12,304,376    —    12,304,376 
Purchased Put Options   2,488,393    —    —    2,488,393 
Short-Term Investment   29,646,669    —    —    29,646,669 
Collateral for Securities Loaned   9,209,035              9,209,035 
Total Assets   $266,976,057   $12,304,376   $—   $279,280,433 
Derivatives                    
Forward Currency Exchange Contracts   —    24,068,965    —    24,068,965 
Equity Swap Contracts   4,382,304         —    4,382,304 
Total Derivatives   $4,382,304   $24,068,965   $—   $28,451,269 
Liabilities-Securities Sold Short   71,734,934         —    71,734,934 
Total Liabilities   $71,734,934   $—   $—   $71,734,934 
Liabilities-Derivatives                    
Written Call Options   6,206,860    —    —    6,206,860 
Written Put Options   347,205    —    —    347,205 
Equity Swap Contracts   2,826,408    —    —    2,826,408 
Forward Currency Exchange Contracts   —    24,513,923    —    24,513,923 
Total Derivatives   $9,380,473   $24,513,923   $—   $33,894,396 

94

 
NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)

 

Corporate/Government Bond

 

Assets  Level 1   Level 2   Level 3   Total 
Corporate Bonds & Notes *  $—   $30,216,735   $—   $30,216,735 
Foreign Government Bonds   —    434,254    —    434,254 
Municipal   —    954,730    —    954,730 
U.S. Government & Agency   —    16,763,789    —    16,763,789 
Bank Loans *   —    1,659,078    —    1,659,078 
Preferred Stock *   757,780    —    —    757,780 
Short-Term Investment   1,681,431    —    —    1,681,431 
Collateral for Securities Loaned   2,379,575    —    —    2,379,575 
Total   $4,818,786   $50,028,586   $—   $54,847,372 

 

Dynamic Macro

 

Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds *  $20,555,800   $—   $—   $20,555,800 
Short-Term Investments   13,536,809    —    —    13,536,809 
Derivatives                    
Purchased Options   2,767,857    —    —    2,767,857 
Futures   169,862    —    —    169,862 
Foreign Currency Exchange Contracts   —    —    —    — 
Total   $37,030,328   $—   $—   $37,030,328 
Liabilities - Derivatives                    
Futures  $61,844   $—   $—   $61,844 
Written Options   25,180    —    —    25,180 
Total   $87,024   $—   $—   $87,024 

 

High-Yield Bond

 

Assets  Level 1   Level 2   Level 3   Total 
Bonds & Notes *  $—   $89,879,573   $—   $89,879,573 
Short-Term Investment   4,417,375    —    —    4,417,375 
Collateral for Securities Loaned   13,974,490    —    —    13,974,490 
Total   $18,391,865   $89,879,573   $—   $108,271,438 

 

International Opportunity Bond

 

Assets  Level 1   Level 2   Level 3   Total 
Corporate Bonds & Notes *  $671,061   $10,451,001   $—   $11,122,062 
Foreign Government Bonds *   2,056,514    16,950,384    —    19,006,898 
Asset Backed Securities        115,271         115,271 
Collateral Mortgage Backed Security   —    217,456    —    217,456 
Whole Loan Collateral   —    277,865    —    277,865 
Short-Term Investment   198,538    —    —    198,538 
Total Assets   $2,926,113   $28,011,977   $—   $30,938,090 
Derivatives                    
Futures Contracts  $115,312   $—   $—   $115,312 
Foreign Currency Exchange Contracts   —    283,346    —    283,346 
Total Derivatives   $115,312   $283,346   $—   $398,658 
Liabilities-Derivatives                    
Futures Contracts  $80,411   $—   $—   $80,411 
Foreign Currency Exchange Contracts   —    176,101    —    176,101 
Total Derivatives   $80,411   $176,101   $—   $256,512 

95

 
NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)

 

Appreciation & Income

 

Assets  Level 1   Level 2   Level 3   Total 
Convertible Bonds *  $—   $19,752,349   $—   $19,752,349 
Preferred Stock *   3,313,417    —    —    3,313,417 
Short-Term Investment   3,223,250    —    —    3,223,250 
Collateral for Securities Loaned   2,769,760    —    —    2,769,760 
Total   $9,306,427   $19,752,349   $—   $29,058,776 

 

Alternative Strategy

 

Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds *  $17,798,160   $—   $—   $17,798,160 
Short-Term Investment   4,309,853    —    —    4,309,853 
Total   $22,108,013   $—   $—   $22,108,013 

 

Large Cap Value

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stock *  $53,744,305   $—   $—   $53,744,305 
Short-Term Investment   1,211,460    —    —    1,211,460 
Collateral for Securities Loaned   8,965,266    —    —    8,965,266 
Total   $63,921,031   $—   $—   $63,921,031 

 

Focused Large Cap Growth

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stock *  $63,710,767   $—   $—   $63,710,767 
Short-Term Investment   491,625    —    —    491,625 
Collateral for Securities Loaned   12,704,917    —    —    12,704,917 
Total   $76,907,309   $—   $—   $76,907,309 

 

International Stock

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stock *  $21,401,617   $65,264,921   $—   $86,666,538 
Closed End Fund   —    344,168         344,168 
Preferred Stock *   164,822    1,158,243    —    1,323,065 
Short-Term Investment   1,626,200    —    —    1,626,200 
Collateral for Securities Loaned   4,645,326    —    —    4,645,326 
Total Assets   $27,837,965   $66,767,332   $—   $94,605,297 
Assets - Derivatives                    
Forward Currency Exchange Contracts  $—   $897,743   $—   $897,743 
                     
Liabilities - Derivatives                    
Forward Currency Exchange Contracts  $—   $1,066,025   $—   $1,066,025 

 

Real Estate Stock

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stock*  $508,473   $—   $—   $508,473 
REITS *   41,456,587    —    —    41,456,587 
Short-Term Investment   857,395    —    —    857,395 
Collateral for Securities Loaned   7,173,911    —    —    7,173,911 
Total   $49,996,366   $—   $—   $49,996,366 

96

 
NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)

 

Small Cap Value

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stock *  $27,163,084   $—   $—   $27,163,084 
Short-Term Investment   42,094    —    —    42,094 
Collateral for Securities Loaned   4,121,138    —    —    4,121,138 
Total   $31,326,316   $—   $—   $31,326,316 

 

Emerging Markets Stock

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stock *  $8,346,180   $41,318,374   $—   $49,664,554 
Exchange Traded Funds   2,631,800    —    —    2,631,800 
Short-Term Investment   1,825,888    —    —    1,825,888 
Collateral for Securities Loaned   1,774,767    —    —    1,774,767 
Total   $14,578,635   $41,318,374   $—   $55,897,009 

 

Small Cap Growth

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stock *  $31,384,234   $—   $—   $31,384,234 
Short-Term Investment   1,071,486    —    —    1,071,486 
Collateral for Securities Loaned   11,966,485    —    —    11,966,485 
Total   $44,422,205   $—   $—   $44,422,205 

 

*See each Fund’s Schedule of Investments for breakdown by industry.

 

The Funds did not hold any Level 3 securities during the period.

 

There were no transfers into or out of Level 1 or Level 2 during the period. It is the Funds’ policy to recognize transfers into and out of Level 1 and Level 2 at the end of the reporting period.

 

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. Forward Currency Contracts – As foreign securities are purchased, a Fund generally enters into forward currency exchange contracts in order to hedge against foreign currency exchange rate risks. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. A Fund may also enter into forward currency contracts as an investment strategy consistent with that Fund’s investment objective. Realized gains and losses from contract transactions are included as a component of net realized gains (losses) from investments and foreign currency in the Statements of Operations.

 

d. Options – Monthly Distribution and Dynamic Macro are subject to stock market risk in the normal course of pursuing their investment objectives and may purchase or sell options to help hedge against this risk.

 

A Fund may write call options only if it (i) owns an offsetting position in the underlying security or (ii) has an absolute or immediate right to acquire that security without additional cash consideration or exchange of other securities held in its portfolio. When a Fund writes an option, there is no taxable event and an amount equal to the premium received is recorded by that Fund as a liability. The liability is thereafter valued to reflect the current value of the option. If the option is not exercised and expires, or if a Fund effects a closing purchase transaction, the Fund realizes a gain (or loss in the case of a closing purchase transaction where the cost to close the transaction exceeds the original premium received), and the liability related to the option is extinguished. Any such gain or loss generally is a short-term capital gain or loss for federal income tax purposes. If a call option that a Fund has written on any equity security is exercised, that Fund will realizes a capital gain or loss (long-term or short-term, depending on the holding period of the

97

 
NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)

 

underlying security) from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. If a put option that a Fund has written on an equity security is exercised, the amount of the premium originally received reduces the cost of the security that a Fund purchases upon exercise of the option. When a Fund writes a put option, that Fund must deposit cash or liquid securities into a segregated account equal to the put option’s exercise value (number of shares times strike price).

 

A Fund may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in that Fund’s portfolio. If such a decline occurs, the put options will permit that Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by that Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to that Fund. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to that Fund, the benefits realized by that Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities.

 

e. Swap Agreements – Monthly Distribution is subject to stock market risk in the normal course of pursuing its investment objectives. The Fund may enter into various swap transactions for investment purposes to manage equity risk. These are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund amortizes upfront payments and/or accrues for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of its current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statements of Assets and Liabilities. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the contract’s remaining life, to the extent that that amount is positive.

 

f. Futures Contracts – International Opportunity Bond and Dynamic Macro are subject to equity interest rate risk and forward currency exchange rate risk in the normal course of pursuing their investment objectives. The Funds may purchase or sell futures contracts to gain exposure to, or hedge against, changes in the value of equities and interest rates. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Fund’s agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, the Funds recognize a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. If the Funds were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Funds would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. The Funds segregate cash having a value at least equal to the amount of the current obligation under any open futures contract. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. With futures, there is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

 

The notional value of the derivative instruments outstanding as of April 30, 2016 as disclosed in the Schedule of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within the Statement of Operations serve as indicators of the volume of derivative activity for the Funds.

 

g. Short Sales – A “short sale” is a transaction in which a Fund sells a security it does not own but has borrowed in anticipation that the market price of that security will decline. The Fund would be obligated to replace the security borrowed by purchasing it on the open market at a later date. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will incur a loss. Conversely, if the price declines, the Fund will realize a gain.

 

h. Impact of Derivatives on the Statements of Assets and Liabilities and Statements of Operations – The following is a summary of the location of derivative investments of each Fund in the Statement of Assets and Liabilities as of April 30, 2016:

98

 
NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)

 

Location on the Statements of Assets and Liabilities
Derivates Investment Type   Asset Derivatives   Liability Derivatives
Equity/Currency/Commodity   Investment securites   Options contracts written
Interest rate contracts   Unrealized appreciation on Swap Contracts Unrealized appreciation on futures   Unrealized depreciation on Swap Contracts Unrealized depreciation on futures
    Receivable for open forward foreign currency contracts   Payable for open forward foreign currency contracts

 

The following table sets forth the fair value of each Fund’s derivative contracts by primary risk exposure as of April 30, 2016:

 

Asset Derivatives Investment value
   Equity   Currency   Commodity   Interest Rate   Total value at 
   Contracts   Contracts   Contracts   Contracts   April 30, 2016 
Monthly Distribution                         
Forward Foreign Currency Contra  $—   $24,068,465   $—   $—   $24,068,465 
Swaps   4,382,304    —    —    —    4,382,304 
Purchased Options   2,488,393    —    —    —    2,488,393 
International Opportunity Bond                         
Forward Foreign Currency Contra  $—   $283,346   $—   $—   $283,346 
Futures   —    7,170    —    108,142    115,312 
Dynamic Macro                         
Futures  $10,479   $(5,129)  $—   $102,668   $108,018 
Purchase Options   155,680    —    —    2,612,177    2,767,857 
International Stock                         
Forward Foreign Currency Contra  $—   $897,743   $—   $—   $897,743 

 

The following is a summary of the location of derivative investments of each Fund in the Statements of Assets and Liabilities for the year ended April 30, 2016.

 

Liability Derivatives Investment value
   Equity   Currency   Commodity   Interest Rate   Total value at 
   Contracts   Contracts   Contracts   Contracts   April 30, 2016 
Monthly Distribution                         
Forward Foreign Currency Contracts  $—   $24,513,923   $—   $—   $24,513,923 
Swaps   2,826,408    —    —    —    2,826,408 
Written Options   6,554,065    —    —    —    6,554,065 
International Opportunity Bond                         
Forward Foreign Currency Contracts  $—   $176,101   $—   $—   $176,101 
Futures   —    —    —    80,441    80,441 
Dynamic Macro                         
Written Options   25,180    —    —    —    25,180 
International Stock
Forward Foreign Currency Contracts		  $—   $1,066,025   $—   $—   $1,066,025 

99

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)

 

April 30, 2016 (Continued)

 

Derivative Investment Type   Location of Gain (Loss) on Derivatives
Equity/Currency/Commodity/Interest rate contracts   Net Realized gain (loss) from: Futures, Options purchased, Written options, Swap contracts, Foreign currency exchange contracts
    Net change in unrealized appreciation (depreciation) on: Futures, Options purchased, Written options, Swap contracts, Foreign currency exchange contracts

 

The following is a summary of each Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the six months ended April 30, 2016:

 

Realized gain/(loss) on derivatives recognized in the Statements of Operations
   Equity   Currency   Commodity   Interest Rate   Total value at 
Derivative Investment type  Contracts   Contracts   Contracts   Contracts   April 30, 2016 
Monthly Distribution                         
Forward Foreign Currency Contracts  $—   $856,359   $—   $—   $856,359 
Foreign Currency Transactions   —    183,425    —    —    183,425 
Swaps   (3,482,881)   —    —    —    (3,482,881)
Purchased Options   6,166,726    —    —    —    6,166,726 
Written Options   693,396    —    —    —    693,396 
International Opportunity Bond                         
Forward Foreign Currency Contracts  $—   $(30,221)  $—   $—   $(30,221)
Futures   —    —    —    (56,290)   (56,290)
Dynamic Macro                         
Futures  $(670,766)  $—   $—   $—   $(670,766)
Purchased Options   159,653    —    —    —    159,653 
Written Options   (48,795)   —    —    —    (48,795)
International Stock                         
Forward Foreign Currency Contracts  $—   $(816,147)  $—   $—   $(816,147)
Emerging Markets Stock                         
Forward Foreign Currency Contracts  $—   $(1,020,509)  $—   $—   $(1,020,509)

 

Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations
   Equity   Currency   Commodity   Interest Rate   Total value at 
Derivative Investment type  Contracts   Contracts   Contracts   Contracts   April 30, 2016 
Monthly Distribution                         
Forward Foreign Currency Contracts  $—   $(444,958)  $—   $—   $(444,958)
Foreign Currency Transactions   —    (2,703)   —    —    (2,703)
Swaps   1,264,970    —    —    —    1,264,970 
Purchased Options   212,565    —    —    —    212,565 
Written Options   2,036,766    —    —    —    2,036,766 
International Opportunity Bond                         
Forward Foreign Currency Contracts  $—   $45,715   $—   $—   $45,715 
Futures   —         —    (12,446)   (12,446)
Dynamic Macro                         
Futures   —    —    —    (232,566)   (232,566)
Purchased Options   196,070    —    —    —    196,070 
Written Options   (1,956)   —    —    —    (1,956)
International Stock                         
Forward Foreign Currency Contracts  $—   $(424,410)  $—   $—   $(424,410)
                          

100

 
NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)

 

i. Offsetting of Financial Assets and Derivative Assets – Monthly Distribution, International Opportunity Bond, Dynamic Macro and International Stock policies are to recognize a net asset or liability equal to the unrealized on futures contracts, forward foreign currency contracts, swaps and written options. During the six months ended April 30, 2016, the Funds are subject to a master netting arrangement for the swaps. The following table shows additional information regarding the offsetting of assets and liabilities at April 30, 2016.

 

Monthly Distribution

 

Assets:              Gross Amounts Not Offset in the
Statement of Assets & Liabilities		     
Description  Gross Amounts of
Recognized Assets		   Gross Amounts
Offset in the
Statement of Assets
& Liabilities		   Net Amounts of Assets
Presented in the
Statement of Assets &
Liabilities		   Financial
Instruments		   Cash
Collateral
Received		   Net Amount 
Equity Swap Contracts  $4,382,304   $—   $4,382,304   $(2,826,408)  $—   $1,555,896 
Forward Foreign Currency Contracts   24,068,965    —    24,068,965    (24,068,965)   —    — 
Total  $28,451,269   $—   $28,451,269   $(26,895,373)  $—   $1,555,896 

 

Liabilities:              Gross Amounts Not Offset in the
Statement of Assets & Liabilities		     
Description  Gross Amounts of
Recognized
Liabilities		   Gross Amounts
Offset in the
Statement of Assets
& Liabilities		   Net Amounts of
Liabilities Presented in
the Statement of
Assets & Liabilities		   Financial
Instruments		   Cash
Collateral
Pledged (1)		   Net Amount 
Written Options   (6,554,065)   —    (6,554,065)   6,554,065    —    — 
Equity Swap Contracts   (2,826,408)   —    (2,826,408)   2,826,408    —    — 
Forward Foreign Currency Contracts   (24,513,923)   —    (24,513,923)   24,068,965    —    (444,958)
Total  $(33,894,396)  $—   $(33,894,396)  $33,449,438   $—   $(444,958)

 

(1)The amount is limited to the derivative liability balance and accordingly, does not include excess collateral pledged.

 

Dynamic Macro

 

Assets:              Gross Amounts Not Offset in
the Statement of Assets &
Liabilities		     
Description  Gross
Amounts of
Recognized
Assets		   Gross Amounts
Offset in the
Statement of Assets
& Liabilities		   Net Amounts of
Assets Presented in
the Statement of
Assets & Liabilities		   Financial
Instruments		   Cash
Collateral
Pledged		   Net Amount 
Futures Contracts  $108,018   $—   $108,018   $—   $—   $108,018 
Total  $108,018   $—   $108,018   $—   $—   $108,018 

 

Liabilities:              Gross Amounts Not Offset in
the Statement of Assets &
Liabilities		     
Description  Gross
Amounts of
Recognized
Liabilities		   Gross Amounts
Offset in the
Statement of Assets
& Liabilities		   Net Amounts of
Liabilities Presented
in the Statement of
Assets & Liabilities		   Financial
Instruments		   Cash
Collateral
Pledged (1)		   Net Amount 
Written Options   (25,180)   —   $(25,180)   —    25,180    — 
Total  $(25,180)  $—   $(25,180)  $—   $25,180   $— 

101

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)

 

April 30, 2016 (Continued)

 

 International Opportunity Bond         
                     
Assets:              Gross Amounts Not Offset in
the Statement of Assets &
Liabilities		     
Description  Gross
Amounts of
Recognized
Assets		   Gross Amounts
Offset in the
Statement of Assets
& Liabilities		   Net Amounts of
Assets Presented in
the Statement of
Assets & Liabilities		   Financial
Instruments		   Cash
Collateral
Pledged		   Net Amount 
Forward Foreign Currency Contracts  $283,346        $283,346   $(176,101)       $107,245 
Futures Contracts   115,312   $—    115,312    (80,441)  $—    34,871 
Total  $398,658   $—   $398,658   $(256,542)  $—   $142,116 
                               
Liabilities:              Gross Amounts Not Offset in
the Statement of Assets &
Liabilities		     
Description  Gross
Amounts of
Recognized
Liabilities		   Gross Amounts
Offset in the
Statement of Assets
& Liabilities		   Net Amounts of
Liabilities Presented
in the Statement of
Assets & Liabilities		   Financial
Instruments		   Cash
Collateral
Pledged (1)		   Net Amount 
Forward Foreign Curency Contracts  $(176,101)  $—   $(176,101)  $176,101   $—   $— 
Futures Contracts  $(80,441)  $—   $(80,441)  $80,441   $—   $— 
Total  $(256,542)  $—   $(256,542)  $256,542   $—   $— 
                               

 

International Stock             
                     
Assets:              Gross Amounts Not Offset in
the Statement of Assets &
Liabilities		     
Description  Gross
Amounts of
Recognized
Assets		   Gross Amounts
Offset in the
Statement of Assets
& Liabilities		   Net Amounts of
Assets Presented in
the Statement of
Assets & Liabilities		   Financial
Instruments		   Cash
Collateral
Pledged		   Net Amount 
Forward Foreign Currency Contracts  $897,743   $(1,066,025)  $(168,282)  $168,282   $—   $— 
Total  $897,743   $(1,066,025)  $(168,282)  $168,282   $—   $— 
                               
Liabilities:              Gross Amounts Not Offset in
the Statement of Assets &
Liabilities		     
Description  Gross
Amounts of
Recognized
Liabilities		   Gross Amounts
Offset in the
Statement of Assets
& Liabilities		   Net Amounts of
Liabilities Presented
in the Statement of
Assets & Liabilities		   Financial
Instruments		   Cash
Collateral
Pledged (1)		   Net Amount 
Forward Foreign Currency Contracts  $(1,066,025)  $897,743   $(168,282)  $—   $168,282   $— 
Total  $(1,066,025)  $897,743   $(168,282)  $—   $168,282   $— 
                               

 

(1)The amount is limited to the derivative liability balance and accordingly, does not include excess collateral pledged.

102

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)

 

April 30, 2016 (Continued)

 

j. Exchange Traded Funds – The Funds may invest in exchange traded funds (“ETFs”). ETFs are a type of index fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities designed to track the performance and dividend yield of a particular domestic or foreign market index. A Fund may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market while awaiting purchase of underlying securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.

 

k. 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 and expense 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 cost 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.

 

l. 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. Investments in lower grade debt securities are subject to special risks, including greater price volatility and a greater risk of loss of principal and interest.

 

Certain Funds may invest in collateralized mortgage obligations which are secured by groups of individual mortgages, but are similar to a conventional bond where the investor looks only to the issuer for payment of principal and interest. Although the obligations are recourse obligations to the issuer, the issuer typically has no significant assets, other than assets pledged as collateral for the obligations, and the market value of the collateral, which is sensitive to interest rate movements, may affect the market value of the obligations. A public market for a particular collateralized mortgage obligation may or may not develop and thus, there can be no guarantee of liquidity of an investment in such obligations.

 

The risk in writing a call option is that a Fund may forgo the opportunity of profit if the market value of the underlying security increases and the option is exercised, although any potential loss is reduced by the amount of option premium received. The risk in writing a put option is that a Fund may be called on to pay the exercise price of the option for a security that has decreased (potentially to zero) in market price, although any potential loss is reduced by the amount of option premium received. Generally, option transactions also involve risks concerning liquidity of the options market. An illiquid market for an option may limit a Fund’s ability to write options or enter closing transactions. As the options written by the Funds are traded on a national exchange, counterparty and credit risk are limited to the failure of the exchange on which the options are traded.

 

m. Federal Income Taxes – It is each Fund’s policy to continue 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. The Funds recognize the tax benefits of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed the tax positions in the open tax years of 2012 to 2014 (and July 31, 2013 for Alternative Strategy), and expected to be taken in tax year 2015 and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken in the above open tax years. The Funds identify their major tax jurisdictions as U.S. Federal. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties. Generally tax authorities can examine tax returns filed for the last three years.

103

 
NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)

 

n. Distributions to Shareholders – It is each Fund’s policy to distribute its respective net investment income and net capital gains, if any, annually except for Monthly Distribution, Corporate/Government Bond, High-Yield Bond, Floating Rate Bond and International Opportunity Bond which will distribute their respective net investment income, if any, monthly. For Dynamic Macro dividends attributable to earned income, if any, will be declared and paid quarterly. Distributions of net investment income and net capital gains are determined in accordance with income tax regulations which may differ from GAAP. Differences in dividends from net investment income per share between the classes are due to service and distribution related expenses. Dividends and distributions to shareholders are recorded on ex-date. The Monthly Distribution Fund’s distribution policy is to make twelve monthly distributions to shareholders. The level of monthly distributions (including any return of capital) is not fixed but is expected to be at or near the level of the prime interest rate (“Prime Rate”). Additionally, the Monthly Distribution Fund’s distribution policy is not designed to generate, and is not expected to result in distributions that equal a fixed percentage of the Monthly Distribution’s Fund’s current net asset value per share. Shareholders receiving periodic payments form the Monthly Distribution Fund may be under the impression that they are receiving net profits. However, all or a portion of a distribution may consist of a return of capital. Shareholders should not assume that the source of a distribution from the Monthly Distribution is net profit.

 

o. Indemnification – The Trust indemnifies its officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, each Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnities. A Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss due to these warranties and indemnities to be remote.

 

3.INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES

 

a.Management Fees – Dunham & Associates serves as each Fund’s investment adviser. Pursuant to an investment advisory agreement with the Trust, on behalf of 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. 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. As compensation for its services, each Fund pays the Adviser a fixed fee, accrued daily and paid monthly, based on each Fund’s respective average daily net assets. The Adviser has entered into a Sub-Advisory Agreement with each Sub-Adviser and the Trust, on behalf of each Fund. Under the Sub-Advisory Agreements, each Fund pays the Sub-Adviser a “Fulcrum Fee.” A Fulcrum Fee is a performance fee whereby the Sub-Adviser is rewarded when out-performing, or is penalized when under-performing, a Fund’s benchmark index. As a result of the Fulcrum Fee arrangement, the total annual management fee for a Fund will have a range as shown in the table below.

 

    Adviser’s Sub-Adviser’s
  Management Fee Portion Portion
Floating Rate Bond 0.80% – 1.20% 0.60% 0.20% – 0.60%
Monthly Distribution 0.90% – 1.90% 0.65% 0.25% – 1.25% *
Corporate/Government Bond 0.65% – 0.95% 0.50% 0.15% – 0.45%
Dynamic Macro 1.05% – 1.75% 0.65% 0.40% – 1.10%
High-Yield Bond 0.80% – 1.20% 0.60% 0.20% – 0.60%
International Opportunity Bond 0.80% – 1.30% 0.60% 0.20% – 0.70%
Appreciation & Income 0.85% – 1.35% 0.65% 0.20% – 0.70%
Alternative Strategy 0.95% – 1.35% 0.65% 0.30% – 0.70%
Large Cap Value 0.75% – 1.35% 0.65% 0.10% – 0.50%
Focused Large Cap Growth 0.85% – 1.15% 0.65% 0.20% – 0.50%
International Stock 0.95% – 1.65% 0.65% 0.30% – 1.00%
Real Estate Stock 0.75% – 1.35% 0.65% 0.10% – 0.70%
Small Cap Value 0.75% – 1.45% 0.65% 0.10% – 0.80%
Emerging Markets Stock 0.75% – 1.55% 0.65% 0.10% – 0.90%
Small Cap Growth 0.65% – 1.65% 0.65% 0.00% – 1.00%

 

*Effective April 1, 2013, the Sub-Adviser had contractually agreed to waive a portion of its sub-advisory fee (excluding 12b-1 fees) until at least February 29, 2017, so that such fees, on annual basis will have a range of 0.25%-1.05%, of the Fund’s aggregate average daily net assets of its Class N, Class A and Class C shares.

104

 
NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)

 

Each Fund’s Sub-Advisory Fulcrum Fee is calculated daily using an annual base Sub-Advisory fee of a specified amount of the average daily net assets of the Fund (the “Base Fee”), adjusted by the Fund’s Class N share performance relative to the Fund’s benchmark (the “Performance Fee”). Depending on a Fund’s net performance versus its benchmark, the Sub-Adviser will receive a fee adjustment in accordance with a formula that equates a percentage of out- or under-performance to a percentage of fee increases or decreases, respectively. In addition, most Fulcrum Fees employ a “null zone” around the base fee, whereby small differences in performance versus the benchmark will not trigger a fee increase or decrease. During the first 12 months of the Fulcrum Fee arrangement, the Performance Fee is calculated daily from inception date of the agreement to the calculation date and is applied to the average daily net assets of the Funds during the calculation period. After the initial 12 months, the Performance Fee is calculated on a daily basis based on comparative performance over a rolling 12-month period. All Funds, with the exception of Large Cap Value which is in its initial year of the Fulcrum Fee arrangement, are calculating Performance Fees on a rolling 12-month basis as of April 30, 2016.

 

Depending on the particular Sub-Advisory Agreement, the Performance Fee can adjust the Base Fee up or down by as much as 100% of the Base Fee, such that the Sub-Advisory fee can vary anywhere from 0.00% (the “Minimum Fee”) to twice the Base Fee (the “Maximum Fee”). However, because each such Sub-Advisory Agreement requires that the Sub-Adviser only be paid out the monthly Minimum Fee during the first year (in most cases, 0.10%), the Sub-Adviser, in most cases, will receive less compensation until the end of the first year. At the end of the first year of the agreement, the Sub-Adviser will be paid a lump sum that reflects the accrued Fulcrum Fee over the year, less any Minimum Fees paid out during the first year. Therefore, in the first year, the Fulcrum Fee methodology has three elements: 1) daily calculation of the Performance Fee and daily accrual of the Fulcrum Fee; 2) monthly payment of the Minimum Fee only (if any); and 3) a lump sum payment at the end of the initial 12-month period of the accrued Fulcrum Fee less the Minimum Fee.

 

By virtue of using average daily net assets over a “rolling” 12-month period for purposes of calculating the Performance Fee while using average daily net assets for the most recent month for purposes of calculating the Base Fee, the actual total Fulcrum Fee paid by the Fund to the Sub-Adviser may be higher or lower than the maximum or minimum annual rates described above if the average daily net assets do not remain constant during the rolling 12-month period. If the Fund is significantly underperforming versus the Index and the Fund’s net assets have declined significantly, the monthly total Fulcrum Fee can be a negative number (although the performance fee rate can never be negative, the Performance Fee can be negative). In such instances, if the negative Fulcrum Fee is not earned back or offset the following month, the Sub-Adviser must reimburse the Fund the amount of the negative Fulcrum Fee within an agreed upon time. Likewise, in the case where the Fund has significantly underperformed versus the Index but net assets have increased significantly, the monthly total Fulcrum Fee can be positive although the performance fee rate may be 0.00%. In such instances, the Fund will pay the Sub-Adviser the monthly Fulcrum Fee.

 

The table below lists the current Sub-Advisers along with their Fulcrum Fee arrangements.

105

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)

 

April 30, 2016 (Continued)

 

        Null Minimum Maximum
Fund Sub-Adviser Benchmark Base Fee Zone Fee Fee
Floating Rate Bond Newfleet Asset Management, LLC S&P/LSTA Leveraged Loan Index 0.40% +/- 0.00% 0.20% 0.60%
Monthly Distribution* Westchester Capital Management, LLC IQ Hedge Market Neutral Beta Index 0.75% +/- 0.15% 0.25% 1.25%
Corporate/Government Bond Newfleet Asset Management, LLC Barclays Aggregate Bond Index 0.30% +/- 0.10% 0.15% 0.45%
Dynamic Macro Mellon Capital Management Corporation IQ Hedge Global Macro Beta Index 0.75% +/- 0.00% 0.40% 1.10%
High-Yield Bond PENN Capital Management Co., Inc. BofA Merrill Lynch U.S. Non- Distressed BB-B High-Yield Index 0.40% +/- 0.20% 0.20% 0.60%
International Opportunity Bond Rogge Global Partners PLC Barclays Global ex US Aggregate Bond Index 0.45% +/- 0.00% 0.20% 0.70%
Appreciation & Income PENN Capital Management Co., Inc. Merrill Lynch All Convertibles All Qualities Index 0.45% +/- 0.25% 0.20% 0.70%
Alternative Strategy Market Concepts, LLC Dow Jones Credit Suisse Managed Futures Liquid Index 0.50% +/- 0.15% 0.30% 0.70%
Large Cap Value Rothschild Asset Management, Inc. Russell 1000 Value Index 0.30% +/- 0.00% 0.10% 0.50%
Focused Large Cap Growth The Ithaka Group, LLC Russell 1000 Growth Index 0.35% +/- 0.30% 0.20% 0.50%
International Stock Arrowstreet Capital L.P. MSCI All Country World Index ex USA (Net) 0.65% +/- 0.20% 0.30% 1.00%
Real Estate Stock Cornerstone Real Estate Advisers LLC FTSE NAREIT All REITs Index 0.40% +/- 0.00% 0.10% 0.70%
Small Cap Value Piermont Capital Management, LLC Russell 2000 Value Index 0.45% +/- 0.00% 0.10% 0.80%
Emerging Markets Stock Bailard, Inc. MSCI Emerging Markets Index USD (Net) 0.50% +/- 0.00% 0.10% 0.90%
Small Cap Growth Pier Capital, LLC Russell 2000 Growth Index 0.50% +/- 0.20% 0.00% 1.00%

 

*Effective April 1, 2013, the Sub-Adviser had contractually agreed to waive a portion of its fee (excluding 12b-1 fees) until at least February 29, 2016, so

 

b. Administration, Fund Accounting and Transfer Agency Fees – Gemini Fund Services, LLC (“GFS” or the “Administrator”) serves as the administrator, fund accountant and transfer agent for the Funds. GFS receives from each Fund a monthly fee based on the combined average daily net assets at the following annual rates: 0.07% on the first $250 million of average net assets; 0.06% on average net assets between $250 million and $500 million; 0.05% on average net assets over $500 million; 0.3% on average net assets over $1 billion. Such fees are subject to an annual minimum of $400,000 in total for the entire Trust. For providing fund accounting services, the Administrator receives from each Fund a monthly fee based on the combined average daily net assets at the following rates: 0.03% on the first $500 million of average net assets; 0.01% on average net assets over $500 million. Such fees are subject to an annual minimum $300,000 in total for the entire Trust. For providing transfer agent services, the Administrator receives from the Trust a minimum annual fee of $200,000.

 

Pursuant to the terms of a Custody Administration Agreement, Monthly Distribution pays GFS a monthly fee of $300.

 

Blu Giant, LLC, (“Blu Giant”), (formally “Gemcom”), an affiliate of GFS, provides EDGAR conversion and filing services as well as some print management services for the Funds on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Funds.

 

An officer of GFS is also an officer of the Trust and is not paid by the Trust.

 

c. Distributor – The Distributor of the Funds is Dunham & Associates (the “Distributor”). The Funds have adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act, for Class A and Class C shares. The Plan 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, and 0.25% of the average daily net assets attributable to Class A 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.

106

 
NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)

 

d. Trustees’ Fees – The Board has approved the following Trustee compensation schedule: Each Trustee who is not an interested person of the trust will receive $4,250 for each Board meeting attended in-person; $250 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 the Trustee will not be compensated. The Funds also reimburse each such Trustee for travel and other expenses incurred in attending meetings of the Board.

 

With the exception of the Trust’s Chief Compliance Officer as discussed below, officers of the Trust and Trustees who are interested persons of the Trust do not receive any compensation from the Trust or any other Funds managed by the Adviser. The Trust has agreed to pay the Adviser a fee in the amount of $142,000 per annum plus an annual discretionary bonus as may be awarded as compensation for providing an officer or employee of the Adviser to serve as Chief Compliance Officer for the Funds (each Fund bearing its pro rata share of the fee), plus the cost of reasonable expenses related to the performance of the Chief Compliance Officer’s duties, including travel expenses, and may compensate the Adviser for the time of other officers or employees of the Adviser who serve in other compliance capacities for the Funds.

 

e. Other Affiliates – During the six months ended April 30, 2016, Gar Wood Securities, LLC a registered broker/dealer and an affiliate of the Market Concepts, LLC, Alternative Strategy’s Sub-Adviser, executed trades on behalf of Alternative Strategy. The affiliated broker for Alternative Strategy received $148,018 in trade commissions for the six months ended April 30, 2016.

 

4.INVESTMENT TRANSACTIONS

 

The cost of purchases and the proceeds from sales of investments, other than short-term investments, for the six months ended April 30, 2016 were as follows:

 

   Purchases   Sale Proceeds       Proceeds of 
   (excluding U.S.   (excluding U.S.   Purchases of   U.S. 
   Government   Government   U.S. Government   Government 
Fund  Securities)   Securities)   Securities   Securities 
Floating Rate Bond  $19,621,839   $18,936,398   $—   $— 
Monthly Distribution   322,500,030    326,246,999    —    — 
Corporate/Government Bond   17,890,325    22,766,816    6,313,547    3,743,287 
Dynamic Macro   13,731,822    7,065,527    —    — 
High-Yield Bond   23,586,933    34,196,100    —    — 
International Opportunity Bond   8,550,921    16,652,578    —    — 
Appreciation & Income   5,683,935    7,871,438    —    — 
Alternative Strategy   726,997,490    732,748,690    —    — 
Large Cap Value   15,915,494    17,587,934    —    — 
Focused Large Cap Growth   13,906,033    9,585,081    —    — 
International Stock   54,114,449    56,611,073    —    — 
Real Estate Stock   16,680,102    22,646,788    —    — 
Small Cap Value   15,786,425    16,057,135    —    — 
Emerging Markets Stock   28,575,180    28,149,043    —    — 
Small Cap Growth   24,888,757    22,220,409    —    — 

107

 
NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)

 

Transactions in option contracts purchased/written during the six months ended April 30, 2016 were as follows:

 

Monthly Distribution

 

   Options Purchased   Options Written 
   Contracts   Premium   Contracts   Premium 
Outstanding at October 31, 2015   29,327   $3,546,892    42,025   $8,570,827 
Options purchased/written during period   75,572    11,592,244    88,021    17,307,001 
Options exercised during period   (4,571)   (2,266,417)   (8,996)   (1,550,793)
Options expired during period   (37,056)   (2,784,178)   (20,763)   (2,620,985)
Options closed during period   (37,304)   (6,615,253)   (75,469)   (15,497,469)
Outstanding at April 30, 2016   25,968   $3,473,288    24,818   $6,208,581 

 

Dynamic Macro

 

   Options Purchased   Options Written 
   Contracts   Premium   Contracts   Premium 
Outstanding at October 31, 2015   351   $1,883,439    70   $18,703 
Options purchased/written during period   1,545    5,425,036    320    80,279 
Options exercised during period   —    —    —    — 
Options expired during period   (1,113)   (4,498,307)   (210)   (56,791)
Options closed during period   (274)   (200,909)   (30)   (7,507)
Outstanding at April 30, 2016   509   $2,609,259    150   $34,684 

 

5.AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

 

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, 2016, were as follows:

 

       Gross   Gross   Net Unrealized 
   Tax   Unrealized   Unrealized   Appreciation 
Fund  Cost   Appreciation   Depreciation   (Depreciation) 
Floating Rate Bond  $90,683,918   $379,956   $(1,932,053)  $(1,552,097)
Monthly Distribution   297,891,731    9,796,848    (28,408,146)   (18,611,298)
Corporate/Government Bond   53,928,789    1,404,268    (485,685)   918,583 
Dynamic Macro   36,180,912    983,919    (304,430)   679,489 
High-Yield Bond   93,601,420    2,062,060    (1,366,533)   695,527 
International Opportunity Bond   38,963,131    142,690    (2,979,318)   (2,836,628)
Appreciation & Income   29,060,672    293,967    (3,065,624)   (2,771,657)
Alternative Strategy   22,409,849    57,898    (359,734)   (301,836)
Large Cap Value   59,357,383    7,177,139    (2,613,491)   4,563,648 
Focused Large Cap Growth   52,697,568    13,036,169    (1,531,245)   11,504,924 
International Stock   94,147,836    3,846,293    (8,148,548)   (4,302,255)
Real Estate Stock   41,216,457    7,981,858    (35,045)   7,946,813 
Small Cap Value   31,239,050    1,781,836    (1,694,570)   87,266 
Emerging Markets Stock   53,807,670    4,586,255    (2,496,916)   2,089,339 
Small Cap Growth   30,393,643    2,988,579    (926,501)   2,062,078 

108

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)

 

6.FORWARD FOREIGN CURRENCY CONTRACTS

 

At April 30, 2016, Monthly Distribution, International Opportunity Bond, Dynamic Macro and International Stock had the following open forward foreign currency contracts:

 

Monthly Distribution:

 

                 Unrealized 
   Settlement     Local   U.S. Dollar   Appreciation 
Foreign Currency  Date  Counterparty  Currency   Value   (Depreciation) 
To Sell:                     
British Pound  4/20/2016  JP Morgan   2,141   $2,191   $51 
Euro  5/4/2016  JP Morgan   2,140,474    2,154,150    13,676 
Australian Dollar  6/7/2016  JP Morgan   5,338    5,606    268 
              $2,161,947   $13,995 

 

Monthly Distribution:

 

                 Unrealized 
   Settlement     Local   U.S. Dollar   Appreciation 
Foreign Currency  Date  Counterparty  Currency   Value   (Depreciation) 
To Sell:                     
Euro  5/4/2016  JP Morgan   1,880,988   $2,130,652   $(23,498)
British Pound  4/20/2016  JP Morgan   1,503    2,134    (62)
Australian Dollar  6/7/2016  JP Morgan   3,735,370    2,731,829    (103,652)
Euro  6/14/2016  JP Morgan   595,440    671,144    (11,659)
Hong Kong Dollar  6/15/2016  JP Morgan   40,576,420    5,236,037    2,707 
British Pound  7/21/2016  JP Morgan   107,644    153,492    (3,834)
Swedish Krona  8/10/2016  JP Morgan   23,411,766    2,800,771    (125,833)
British Pound  10/4/2016  JP Morgan   5,727,127    8,044,388    (193,234)
              $21,770,447   $(459,065)

 

International Opportunity Bond:

 

                 Unrealized 
   Settlement     Local   U.S. Dollar   Appreciation 
Foreign Currency  Date  Counterparty  Currency   Value   (Depreciation) 
To Buy:                     
Australian Dollar  6/20/2016  Barclays   810,000   $616,800   $(3,127)
Australian Dollar  6/20/2016  Citigroup   52,626    40,074    478 
British Pound  6/20/2016  Barclays   87,300    127,906    3,519 
British Pound  6/20/2016  Citigroup   516,321    756,481    24,656 
Canadian Dollar  6/20/2016  Barclays   429,995    343,283    16,759 
Canadian Dollar  6/20/2016  Citigroup   657,274    524,729    25,617 
Czech Koruna  6/14/2016  Barclays   1,780,000    75,459    3,895 
Euro  6/20/2016  Barclays   352,732    404,659    3,429 
Euro  6/20/2016  Citigroup   392,696    450,510    3,655 
Indonesian Rupiah  6/14/2016  Citigroup   4,080,000,000    307,057    (844)
Israeli Shekel  6/14/2016  Citigroup   380,000    101,893    3,913 
Japanese Yen  6/20/2016  Barclays   199,245,587    1,864,928    57,763 
Japanese Yen  6/20/2016  Citigroup   51,572,671    482,717    13,363 
Malaysian Ringgit  6/14/2016  Citigroup   680,000    173,439    10,728 
New Zealand Dollar  6/20/2016  Barclays   140,863    98,224    2,904 
Norwegian Krone  6/20/2016  Citigroup   650,053    80,707    2,745 
Polish Zloty  6/14/2016  Barclays   220,000    57,537    2,482 
Russian Ruble  6/14/2016  Citigroup   68,459,000    1,045,123    77,651 
Singapore Dollar  6/14/2016  Barclays   120,000    89,191    3,794 
Singapore Dollar  6/14/2016  Citigroup   40,000    29,730    1,267 
South African Rand  6/14/2016  Barclays   70,000    4,889    536 
South African Rand  6/14/2016  Citigroup   1,930,000    134,809    14,768 
Turkish Lira New  6/14/2016  Citigroup   300,000    105,993    7,035 
              $7,916,138   $276,986 

109

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)

 

International Opportunity Bond:

 

                 Unrealized 
   Settlement     Local   U.S. Dollar   Appreciation 
Foreign Currency  Date  Counterparty  Currency   Value   (Depreciation) 
To Sell:                     
British Pound  6/20/2016  Barclays   (434,504)  $(636,606)  $(23,207)
British Pound  6/20/2016  Citigroup   (180,476)   (264,421)   (9,125)
Canadian Dollar  6/20/2016  Deutsche   (40,000)   (31,934)   (657)
Danish Krone  6/20/2016  Barclays   (1,058,202)   (163,106)   (1,099)
Euro  6/14/2016  Barclays   (116,263)   (133,350)   (6,731)
Euro  6/20/2016  Barclays   (649,910)   (745,591)   (6,215)
Euro  6/20/2016  Citigroup   (412,697)   (473,455)   (3,758)
Israeli Shekel  6/14/2016  Barclays   (110,000)   (29,495)   (1,138)
Japanese Yen  6/20/2016  Citigroup   (28,843,296)   (269,972)   (4,111)
Malaysian Ringgit  6/14/2016  Deutsche   (1,410,000)   (359,630)   2,373 
Mexican Peso  6/14/2016  Barclays   (11,965,991)   (695,365)   (32,771)
Mexican Peso  6/14/2016  Citigroup   (2,225,834)   (129,347)   (3,305)
Polish Zloty  6/14/2016  Barclays   (60,000)   (15,692)   (727)
Russian Ruble  6/14/2016  Barclays   (2,510,000)   (38,319)   (2,021)
Russian Ruble  6/14/2016  Citigroup   (43,040,000)   (657,066)   (21,803)
South African Rand  6/14/2016  Citigroup   (440,000)   (30,734)   (2,461)
South Korean Won  6/14/2016  Barclays   (159,375,000)   (139,778)   (8,526)
Swedish Krona  6/20/2016  Barclays   (1,820,836)   (227,403)   (3,145)
Swiss Franc  6/20/2016  Citigroup   (130,647)   (136,623)   17 
Taiwan Dollar  6/14/2016  Citigroup   (41,366,000)   (1,283,124)   (41,331)
              $(6,461,011)  $(169,741)

110

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)

 

International Stock:

 

                 Unrealized 
   Settlement     Local   U.S. Dollar   Appreciation 
Foreign Currency  Date  Counterparty  Currency   Value   (Depreciation) 
To Buy:                     
Australian Dollar  6/15/2016  Bank of New York/Mellon  $34,971   $26,636   $— 
Australian Dollar  6/15/2016  Royal Bank of Scotland   6,549,774    4,988,625    116,850 
Australian Dollar  6/15/2016  Royal Bank of Scotland   339,762    258,779    (2,527)
Australian Dollar  6/15/2016  UBS   17,800    13,557    — 
Brazilian Real  5/2/2016  USB   1,420,987    411,785    — 
British Pound  6/15/2016  Bank of New York/Mellon   5,440,109    7,970,357    241,285 
British Pound  6/15/2016  Royal Bank of Scotland   6,240    9,142    — 
British Pound  6/15/2016  UBS   27,434    40,194    — 
Canadian Dollar  6/15/2016  Bank of New York/Mellon   498,591    398,046    22,710 
Canadian Dollar  6/15/2016  UBS   4,376,284    3,493,768    — 
Danish Krone  6/15/2016  UBS   9,758,275    1,503,830    41,829 
Euro  6/15/2016  Bank of New York/Mellon   2,824,062    3,239,179    66,052 
Euro  6/15/2016  Royal Bank of Scotland   280,038    321,209    7,974 
Euro  6/15/2016  UBS   217,030    248,938    1,704 
Hong Kong Dollar  6/15/2016  Bank of New York/Mellon   1,079,215    139,185    281 
Hong Kong Dollar  6/15/2016  Bank of New York/Mellon   1,686,273    217,476    (114)
Hong Kong Dollar  6/15/2016  Royal Bank of Scotland   13,539,833    1,746,215    — 
Hong Kong Dollar  6/15/2016  UBS   870,298    112,241    4 
Israeli Shekel  6/15/2016  Bank of New York/Mellon   206,872    55,472    — 
Israeli Shekel  6/15/2016  UBS   932,519    250,052    10,674 
Japanese Yen  5/6/2016  Bank of New York/Mellon   14,770,780    138,070    — 
Japanese Yen  6/15/2016  Bank of New York/Mellon   197,389,176    1,847,215    87,010 
Japanese Yen  5/9/2016  Citigroup   21,472,310    200,727    — 
Japanese Yen  6/15/2016  UBS   41,659,560    389,860    22,261 
Mexican Peso  5/2/2016  Citigroup   584,271    34,110    — 
New Zealand Dollar  6/15/2016  Bank of New York/Mellon   41,056    28,636    685 
New Zealand Dollar  6/15/2016  Royal Bank of Scotland   259,819    181,221    — 
Norwegian Krone  6/15/2016  Bank of New York/Mellon   1,319,676    163,848    — 
Norwegian Krone  6/15/2016  Royal Bank of Scotland   73,711    9,152    — 
Singapore Dollar  6/15/2016  Bank of New York/Mellon   1,026,746    763,129    19,838 
Singapore Dollar  6/15/2016  Royal Bank of Scotland   11,935    8,871    — 
Singapore Dollar  6/15/2016  UBS   12,406    9,221    — 
Singapore Dollar  6/15/2016  UBS   16,412    12,198    — 
South African Rand  5/5/2016  Bank of New York/Mellon   424,238    29,883    — 
South African Rand  5/3/2016  Royal Bank of Scotland   792,331    55,836    — 
South African Rand  5/4/2016  Royal Bank of Scotland   961,589    67,749    — 
South Korean Won  5/2/2016  USB   69,878,696    61,329    — 
Swedish Krona  6/15/2016  Bank of New York/Mellon   2,288,309    285,728    3,120 
Swedish Krona  6/15/2016  UBS   2,013,955    251,471    — 
Swiss Franc  6/15/2016  Bank of New York/Mellon   603,935    631,404    5,219 
Swiss Franc  6/15/2016  UBS   38,812    40,577    — 
Swiss Franc  6/15/2016  USB   30,733    32,131    6 
              $30,687,055   $644,861 

111

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)

 

International Stock:

 

                 Unrealized 
   Settlement     Local   U.S. Dollar   Appreciation 
Foreign Currency  Date  Counterparty  Currency   Value   (Depreciation) 
To Sell:                     
Australian Dollar  6/15/2016  Bank of New York/Mellon   (63,193)  $(48,131)  $(979)
Australian Dollar  6/15/2016  Bank of New York/Mellon   (137,080)   (104,407)   421 
Australian Dollar  6/15/2016  UBS   (255,695)   (194,750)   (3,333)
Brazilian Real  5/2/2016  USB   (47,851)   (13,867)   (355)
British Pound  6/15/2016  Bank of New York/Mellon   (759,974)   (1,113,445)   (31,369)
British Pound  6/15/2016  UBS   (41,414)   (60,676)   (1,830)
Canadian Dollar  5/2/2016  Bank of New York/Mellon   (16,171)   (12,910)   (38)
Canadian Dollar  6/15/2016  Bank of New York/Mellon   (1,578,201)   (1,259,941)   (69,799)
Canadian Dollar  6/15/2016  USB   (93,903)   (74,967)   (3,053)
Danish Krone  6/15/2016  Bank of New York/Mellon   (20,400,632)   (3,143,905)   (128,476)
Euro  6/15/2016  Bank of New York/Mellon   (184,999)   (212,198)   (9,695)
Euro  6/15/2016  Royal Bank of Scotland   (6,476,101)   (7,428,219)   (294,426)
Hong Kong Dollar  6/15/2016  Bank of New York/Mellon   (78,674)   (10,146)   (13)
Hong Kong Dollar  6/15/2016  UBS   (136,969)   (17,665)   (1)
Israeli Shekel  6/15/2016  Royal Bank of Scotland   (2,350,140)   (630,183)   (26,393)
Japanese Yen  5/2/2016  Bank of New York/Mellon   (34,552,287)   (322,934)   (12,393)
Japanese Yen  6/15/2016  Bank of New York/Mellon   (286,730,399)   (2,683,292)   (144,817)
Japanese Yen  5/6/2016  Citigroup   (21,102,362)   (197,255)   (2,920)
Japanese Yen  6/15/2016  UBS   (11,641,494)   (108,944)   (2,701)
New Zealand Dollar  6/15/2016  Royal Bank of Scotland   (13,186)   (9,197)   (180)
New Zealand Dollar  6/15/2016  UBS   (12,892)   (8,992)   (222)
Norwegian Krone  6/15/2016  Bank of New York/Mellon   (9,685,409)   (1,202,522)   (63,527)
Norwegian Krone  6/15/2016  UBS   (571,827)   (70,997)   (3,994)
Singapore Dollar  6/15/2016  UBS   (25,869)   (19,227)   (320)
South Korean Won  5/2/2016  USB   (14,296,649)   (12,548)   (97)
Swedish Krona  6/15/2016  Bank of New York/Mellon   (10,636,523)   (1,328,122)   (69,376)
Swedish Krona  6/15/2016  UBS   (9,400,853)   (1,173,832)   (62,456)
Swedish Krona  6/15/2016  USB   (334,056)   (41,712)   (506)
Swiss Franc  6/15/2016  Bank of New York/Mellon   (597,702)   (624,888)   (22,391)
Swiss Franc  6/15/2016  UBS   (2,720,396)   (2,844,130)   (107,451)
              $(24,974,002)  $(1,062,690)

 

7.SHARES OF BENEFICIAL INTEREST

 

At April 30, 2016, 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 six months ended April 30, 2016 and the year ended and October 31, 2015, respectively:

112

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)
 

For the Six Months Ended April 30, 2016:

 

   Class N Shares   Class A Shares 
               Net Increase               Net Increase 
       Distributions       (Decrease) in       Distributions       (Decrease) in 
Fund  Issued   Reinvested   Redeemed   Shares   Issued   Reinvested   Redeemed   Shares 
Floating Rate Bond   1,026,178    123,862    (1,099,294)   50,746    221,375    12,590    (167,937)   66,028 
Monthly Distribution   415,269    71,996    (777,347)   (290,082)   168,519    27,384    (664,005)   (468,102)
Corporate/Government Bond   490,242    46,254    (445,404)   91,092    157,154    4,830    (105,442)   56,542 
Dynamic Macro   621,947    —    (308,913)   313,034    206,861    —    (156,603)   50,258 
High-Yield Bond   671,503    212,105    (953,637)   (70,029)   173,282    22,125    (153,611)   41,796 
International Opportunity Bond   207,572    2,986    (930,749)   (720,191)   59,873    159    (129,793)   (69,761)
Appreciation & Income   276,644    145,362    (326,820)   95,186    45,733    23,349    (31,085)   37,997 
Alternative Strategy   94,509    —    (61,010)   33,499    13,956    —    (7,020)   6,936 
Large Cap Value   308,796    968,124    (367,094)   909,826    78,947    138,870    (79,711)   138,106 
Focused Large Cap Growth   445,051    17,116    (300,944)   161,223    216,455    3,304    (83,849)   135,910 
International Stock   239,451    3,084    (304,510)   (61,975)   113,221    —    (86,293)   26,928 
Real Estate Stock   118,855    184,156    (400,790)   (97,779)   41,331    57,555    (76,979)   21,907 
Small Cap Value   97,528    52,868    (136,751)   13,645    43,010    8,834    (46,841)   5,003 
Emerging Markets Stock   704,872    25,824    (486,499)   244,197    110,557    1,850    (75,370)   37,037 
Small Cap Growth   290,028    124,708    (122,170)   292,566    55,173    24,091    (56,076)   23,188 
                                         
   Class C Shares                                 
               Net Increase                                 
       Distributions       (Decrease)                                 
Fund  Issued   Reinvested   Redeemed   in Shares                                 
Floating Rate Bond   72,755    4,719    (49,647)   27,827                                 
Monthly Distribution   133,217    26,541    (354,079)   (194,321)                                
Corporate/Government Bond   31,524    2,841    (43,853)   (9,488)                                
Dynamic Macro   69,976    —    (26,804)   43,172                                 
High-Yield Bond   57,532    17,460    (174,903)   (99,911)                                
International Opportunity Bond   13,371    12    (65,776)   (52,393)                                
Appreciation & Income   106,227    28,776    (193,121)   (58,118)                                
Alternative Strategy   8,562    —    (7,024)   1,538                                 
Large Cap Value   31,762    136,802    (64,211)   104,353                                 
Focused Large Cap Growth   96,452    1,886    (62,357)   35,981                                 
International Stock   45,230    —    (54,339)   (9,109)                                
Real Estate Stock   19,226    20,451    (51,431)   (11,754)                                
Small Cap Value   16,667    7,074    (18,822)   4,919                                 
Emerging Markets Stock   41,333    —    (40,273)   1,060                                 
Small Cap Growth   24,868    24,004    (23,227)   25,645                                 

113 

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)
 

Year Ended October 31, 2015:

 

   Class N Shares   Class A Shares 
               Net Increase               Net Increase 
       Distributions       (Decrease) in       Distributions       (Decrease) in 
Fund  Issued   Reinvested   Redeemed   Shares   Issued   Reinvested   Redeemed   Shares 
Floating Rate Bond   2,743,474    235,935    (1,738,796)   1,240,613    762,696    27,014    (1,278,597)   (488,887)
Monthly Distribution   1,565,620    133,194    (1,305,539)   393,275    877,718    55,831    (959,070)   (25,521)
Corporate/Government Bond   845,565    103,425    (998,123)   (49,133)   196,543    8,530    (117,162)   87,911 
Dynamic Macro   1,956,574    —    (267,309)   1,689,265    224,440    —    (67,122)   157,318 
High-Yield Bond   1,563,647    443,465    (3,951,501)   (1,944,389)   792,543    58,311    (2,010,978)   (1,160,124)
International Opportunity Bond   1,385,937    2,121    (2,208,993)   (820,935)   499,486    115    (503,468)   (3,867)
Appreciation & Income   708,844    362,827    (471,083)   600,588    175,495    65,318    (174,098)   66,715 
Alternative Strategy   407,011    —    (164,945)   242,066    88,643    —    (100,328)   (11,685)
Large Cap Value   620,117    19,465    (491,285)   148,297    166,148    2,513    (239,724)   (71,063)
Alternative Income   113,565    7,349    (157,679)   (36,765)   20,645    4,600    (20,095)   5,150 
Focused Large Cap Growth   1,177,969    —    (625,830)   552,139    626,283    —    (1,443,105)   (816,822)
International Stock   2,084,717    92,841    (543,221)   1,634,337    302,319    10,011    (195,629)   116,701 
Real Estate Stock   525,476    100,754    (817,583)   (191,353)   476,856    27,523    (167,669)   336,710 
Small Cap Value   348,595    101,946    (443,428)   7,113    96,740    13,178    (54,638)   55,280 
Emerging Markets Stock   1,440,620    33,977    (327,502)   1,147,095    197,080    3,384    (87,560)   112,904 
Small Cap Growth   363,216    107,442    (309,334)   161,324    111,426    24,863    (127,706)   8,583 
                                         
   Class C Shares                                 
               Net Increase                                 
       Distributions       (Decrease) in                                 
Fund  Issued   Reinvested   Redeemed   Shares                                 
Floating Rate Bond   134,346    9,176    (114,562)   28,960                                 
Monthly Distribution   660,112    50,517    (542,015)   168,614                                 
Corporate/Government Bond   71,275    6,301    (69,409)   8,167                                 
Dynamic Macro   68,579    —    (46,093)   22,486                                 
High-Yield Bond   147,503    39,862    (377,837)   (190,472)                                
International Opportunity Bond   74,858    —    (84,776)   (9,918)                                
Appreciation & Income   243,786    75,929    (120,326)   199,389                                 
Alternative Strategy   16,033    —    (24,003)   (7,970)                                
Large Cap Value   69,089    —    (59,967)   9,122                                 
Alternative Income   66,949    3,224    (38,172)   32,001                                 
Focused Large Cap Growth   75,706    —    (54,770)   20,936                                 
International Stock   133,023    6,655    (56,755)   82,923                                 
Real Estate Stock   56,624    10,900    (82,900)   (15,376)                                
Small Cap Value   27,913    11,766    (31,345)   8,334                                 
Emerging Markets Stock   85,900    1,420    (59,863)   27,457                                 
Small Cap Growth   41,709    21,228    (50,521)   12,416                                 

114 

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)
 
8.DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

The tax character of dividends paid during the year ended October 31, 2015 and October 31, 2014 was as follows:

 

   For the period year October 31, 2015       For the period ended October 31, 2014     
   Ordinary   Long-Term   Return of       Ordinary   Long-Term   Return of     
Fund  Income   Capital Gains   Capital   Total   Income   Capital Gains   Capital   Total 
Floating Rate Bond  $2,676,918   $—   $—   $2,676,918   $1,836,066   $—   $—   $1,836,066 
Monthly Distribution   6,276,573    —    3,563,401    9,839,974    6,127,602    4,836,787    1,672,242    12,636,631 
Corporate/Government Bond   1,657,557    —    —    1,657,557    1,609,392    223,663    —    1,833,055 
Dynamic Macro   —    —    —    —    171,273    —    —    171,273 
High- Yield Bond   5,267,075    —    —    5,267,075    6,632,924    —    —    6,632,924 
International Opportunity Bond   —    —    21,370    21,370    —    —    236,377    236,377 
Appreciation & Income   821,516    3,916,874    —    4,738,390    300,034    —    —    300,034 
Alternative Strategy   —    —    —    —    —    —    —    — 
Large Cap Value   365,644    —    —    365,644    488,166    —    —    488,166 
Alternative Income   112,295    93,728    —    206,023    42,433    191,793    —    234,226 
Focused Large Cap Growth   —    —    —    —    156,567    22,778    —    179,345 
International Stock   1,350,442    267,504    —    1,617,946    986,428    —    —    986,428 
Real Estate Stock   1,742,000    1,031,723    —    2,773,723    441,893    935,096    —    1,376,989 
Small Cap Value   1,508,308    390,462    —    1,898,770    20,015    1,033,666    —    1,053,681 
Emerging Markets Stock   537,526    —    —    537,526    —    —    —    — 
Small Cap Growth   407,082    2,332,537    —    2,739,619    3,200,033    1,364,027    —    4,564,060 
                                         

Permanent book and tax differences, primarily attributable to the reclass of net operating losses and short-term capital gains, and fund distributions and adjustments for non-deductible expenses, book/tax treatment of foreign currency exchange gains (losses), section 305(c) deemed dividend distributions, paydown gains (losses), C Corp return of capital, swap gains (losses), passive foreign investment companies, reclassifications of gains on contingent payment debt securities, real estate investment trusts, partnerships, grantor trusts, royalty trusts, corporation mergers, and the capitalization of in lieu dividend payments made in connection with short sales of stock that have not been held open for more than 45 days resulted in reclassification for the tax year ended October 31, 2015 as follows:

 

   Paid   Accumulated   Accumulated 
   In   Net Investment   Net Realized 
Fund    Capital     Income (Loss)     Gains (Loss) 
Floating Rate Bond  $—   $24,517   $(24,517)
Monthly Distribution   (647,128)   (667,232)   1,314,360 
Corporate/Government Bond   —    80,502    (80,502)
Dynamic Macro   —    324,935    (324,935)
High-Yield Bond   —    —    — 
International Opportunity Bond   (2,610,135)   (362,263)   2,972,398 
Appreciation & Income   —    303,984    (303,984)
Alternative Strategy   (206,092)   168,574    37,518 
Large Cap Value   —    —    — 
Alternative Income   —    (44,208)   44,208 
Focused Large Cap Growth   (456,232)   456,232    — 
International Stock   —    214,103    (214,103)
Real Estate Stock   —    —    — 
Small Cap Value   —    80,269    (80,269)
Emerging Markets Stock   —    (110,189)   110,189 
Small Cap Growth   —    481,979    (481,979)
                

Net assets were unaffected by the above reclassifications.

 

As of each of the Fund’s tax year-ended October 31, 2015, the components of distributable earnings on a tax basis were as follows:

115 

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)

 

 

   Undistributed   Undistributed   Capital Loss   Other       Unrealized   Total 
   Ordinary   Long-Term   Carry   Book/Tax       Appreciation   Accumulated 
Fund   Income    Capital Gains    Forwards    Differences    Late Year Loss    (Depreciation)    Earnings(Deficits 
Floating Rate Bond  $27,400   $—   $(1,082,415)  $—   $—   $(2,394,107)  $(3,449,122)
Monthly Distribution   —    —    —    (737,546)   (1,099,608)   (20,826,636)   (22,663,790)
Corporate/Government Bond   17,268    —    (1,348,743)   (926)   —    37,350    (1,295,051)
Dynamic Macro   —    —    (1,327,645)   —    (42,659)   970,234    (400,070)
High-Yield Bond   108,995    —    (8,071,244)   —    —    (1,801,140)   (9,763,389)
International Opportunity Bond   —    —    (70,916)   —    —    (2,895,223)   (2,966,139)
Appreciation & Income   1,513,898    6,372    —    —    —    (1,472,919)   47,351 
Alternative Strategy   —    —    (1,198,728)   —    (126,022)   294,623    (1,030,127)
Large Cap Value   373,351    14,258,077    —    —    —    4,756,579    19,388,007 
Alternative Income   81,323    —    (140,427)   —    —    (116,082)   (175,186)
Focused Large Cap Growth   —    381,547    —    —    (612,912)   14,663,002    14,431,637 
International Stock   43,150    —    (747,547)   —    —    820,919    116,522 
Real Estate Stock   1,880,234    2,657,565    —    —    —    6,819,972    11,357,771 
Small Cap Value   51,644    847,192    —    —    —    646,264    1,545,100 
Emerging Markets Stock   117,530    —    (8,131,742)   —    —    (903,187)   (8,917,399)
Small Cap Growth   911,397    1,784,747    —    —    —    1,896,146    4,592,290 
                                    

The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income/(loss) and accumulated net realized gain (loss) from security transactions are primarily attributable to the tax deferral of losses on wash sales and straddles, adjustments for gains on contingent convertible debt securities, the mark-to-market treatment of open forward foreign currency contracts, options, futures and swap contracts, and adjustments for section 305(c) deemed dividend distributions, accrued dividend payable, real estate investment trusts, partnerships, passive foreign investment companies, royalty trusts, constructive sales of securities held short, straddles and C Corporation return of capital distributions. In addition, the amount listed under other book/tax differences for the Monthly Distribution Fund is primarily attributable to the tax deferral of losses on straddles and constructive sales.

 

Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Funds incurred and elected to defer such late year losses as follows:

 

   Late Year 
Fund  Losses 
Floating Rate Bond   — 
Monthly Distribution   1,099,608 
Corporate/Government Bond   — 
Dynamic Macro   42,659 
High-Yield Bond   — 
International Opportunity Bond   — 
Appreciation & Income   — 
Alternative Strategy   126,022 
Large Cap Value   — 
Alternative Income   — 
Focused Large Cap Growth   612,912 
International Stock   — 
Real Estate Stock   — 
Small Cap Value   — 
Emerging Markets Stock   — 
Small Cap Growth   — 

116 

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)
 

At October 31, 2015, the following Funds had capital loss carryforwards for federal income tax purposes available to offset future capital gains through the indicated expiration date as follows:

 

   Expiring October 31,   Non-Expiring   Non-Expiring     
Fund  2017   2019   Short-Term   Long-Term   Total 
Floating Rate Bond            $476,057   $606,358   $1,082,415 
Monthly Distribution             —    —    — 
Corporate/Government Bond             637,440    711,303    1,348,743 
Dynamic Macro        152,058    1,009,210    166,377    1,327,645 
High-Yield Bond   3,403,542         1,925,789    2,741,913    8,071,244 
International Opportunity Bond             70,916    —    70,916 
Appreciation & Income                       — 
Alternative Strategy             1,198,728         1,198,728 
Large Cap Value                       — 
Alternative Income             140,427         140,427 
Focused Large Cap Growth             —    —    — 
International Stock             747,547         747,547 
Real Estate Stock                       — 
Small Cap Value                       — 
Emerging Markets Stock   3,386,845    351,019    3,996,932    396,946    8,131,742 
Small Cap Growth                       — 
                          

For Monthly Distribution, $674,128 of capital loss carryforward expired in the current fiscal year.

 

9.LINE OF CREDIT

 

Currently, the Funds have a $40,000,000 uncommitted line of credit provided by U.S. Bank National Association (the “Bank”) under an agreement (the “Uncommitted Line”). Any advance under the Uncommitted Line is contemplated primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable on an annualized basis. The Uncommitted Line is not a “committed” line of credit, which is to say that the Bank is not obligated to lend money to a Fund. Accordingly, it is possible that a Fund may wish to borrow money for a temporary or emergency purpose but may not be able to do so.

 

10.SECURITIES LENDING

 

The Funds have entered into a Securities Lending Agreement (“Agreement”) with the Bank. Each participating fund can lend their securities to brokers, dealers and other financial institutions approved by the Board to earn additional income. Loans are collateralized at a value at least equal to 105% of the then current Market Value of any loaned security that are foreign, or 102% of the then current market value of any other loaned security. All interest and dividend payments received on securities which are held as collateral, provided that there is no material default, will be paid to the respective Fund. A portion of the income generated by the investment in the collateral, net of any rebates paid by the Bank to the borrowers is remitted to the Bank as lending agent and the remainder is paid to the Fund(s).

 

Securities lending income, if any, is disclosed in the Fund’s Statement of Operations. Although risk is mitigated by the collateral, the Fund could experience a delay in recovering its securities and possible loss of income or value if the Borrower fails to return them. Should the borrower of the securities fail financially, each Fund has the right to repurchase the securities using the collateral in the open market.

117 

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2016 (Continued)
 

The following table presents financial instruments that are subject to enforceable netting arrangements as of April 30, 2016.

 

Gross Amounts of Assets Presented in the Statements of Assets and Liabilities
   Market Value of   Market Value of   Percentage of Total 
Fund  Loaned Securities   collateral (1)   Investment Income 
Floating Rate Bond  $103,583   $103,583    0.00%
Monthly Distribution   8,949,290    8,949,290    0.00%
Corporate/Government Bond   2,333,746    2,333,746    0.00%
Dynamic Macro   —    —    0.00%
High-Yield Bond   13,672,961    13,672,961    0.00%
International Opportunity Bond   —    —    0.00%
Appreciation & Income   2,688,014    2,688,014    0.00%
Alternative Strategy   —    —    0.00%
Large Cap Value   16,460,333    16,460,333    0.00%
Focused Large Cap Growth   12,339,117    12,339,117    0.00%
International Stock   4,425,130    4,425,130    0.00%
Real Estate Stock   6,928,648    6,928,648    0.00%
Small Cap Value   3,990,033    3,990,033    0.00%
Emerging Markets Stock   1,695,275    1,695,275    0.00%
Small Cap Growth   11,617,520    11,617,520    0.00%
                
(1)   The amount is limited to the loaned securities and accordingly, does not include excess collateral pledged
                
12.SUBSEQUENT EVENTS

 

Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has concluded that there is no impact requiring adjustment or disclosure in the financial statements relating to the Funds presented in this report.

118 

 

FACTORS CONSIDERED BY THE INDEPENDENT TRUSTEES IN APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS

 

Meeting of the Board of Trustees Held on December 15, 2015

 

At a regular meeting of the Board of Trustees (the “Board”) of the Trust held on December 15, 2015 (the “Meeting”), the Board, including all of the Trustees who are not interested persons of the Trust (the “Independent Trustees”), considered the renewal of an investment advisory agreement between the Trust, on behalf of each series of the Trust, and the Adviser (the “Investment Advisory Agreement”) and continuance of certain Sub-Advisory Agreements (the “Sub-Advisory Agreements”) among the Trust, the Adviser and the following Sub-Advisers for the indicated Funds: 1) Newfleet Asset Management LLC (“Newfleet”) with respect to Corporate/Government Bond and Floating Rate Bond; 2) Westchester Capital Management, LLC (“Westchester”) with respect to Monthly Distribution; 3) PENN Capital Management Co., Inc. (“PENN”) with respect to High-Yield Bond; 4) Market Concepts, LLC (“Market Concepts”) with respect to Alternative Strategy; 5) The Ithaka Group, LLC (“Ithaka”) with respect to Focused Large Cap Growth; 6) Cornerstone Real Estate Advisers LLC (“Cornerstone”) with respect to Real Estate Stock; 7) Arrowstreet Capital, L.P. (“Arrowstreet”) with respect to International Stock; 8) Piermont Capital Management, LLC (“Piermont”) with respect to Small Cap Value; 9) Bailard, Inc. (“Bailard”) with respect to Emerging Markets Stock; 11) Pier Capital, LLC (“Pier”) with respect to Small Cap Growth; 10) Rogge Global Partners PLC (“Rogge”) with respect to International Opportunity Bond.

 

Continuance of Investment Advisory Agreement for each of Monthly Distribution, Corporate/Government Bond, High-Yield Bond, Dynamic Macro, Appreciation & Income, Large Cap Value, Floating Rate Bond, International Opportunity Bond, Focused Large Cap Growth, International Stock, Real Estate Stock, Small Cap Value, Small Cap Growth, Emerging Markets Stock and Alternative Strategy

 

The Trustees reviewed information related to the proposed renewal of the Investment Advisory Agreement with the Trust, including (a) the investment performance of each Fund, a peer group of funds and appropriate indices; (b) the Adviser’s personnel and resources; and (c) comparative fees and expenses of a peer group of funds. The Board relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Investment Advisory Agreement and the weight to be given to each factor. The conclusions reached by the Board were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Matters considered by the Board, including the Independent Trustees, in connection with its approval of the continuance of the Investment Advisory Agreement included the following:

 

Nature, Extent and Quality of Services. The Independent Trustees considered the nature, extent and quality of services provided to the Funds by the Adviser. Among other things, the Board discussed the Adviser’s investment in the hiring, and retention, of high quality personnel, including the addition of an in-house CCO with in-depth knowledge of the 1940 Act and mutual funds, which it considered reflective of the Adviser’s strong emphasis on compliance. In this regard, the Board noted that while there was one minor litigation issue during the past year, there have been no material compliance or regulatory issues involving the Adviser or the Dunham Funds. The Independent Trustees agreed that the Adviser is accessible, encourages open discussion and provides the Board with thorough and meaningful reports. The Trustees considered the Adviser’s very active monitoring of the Funds’ Sub-Advisers and other service providers, the Adviser’s consistent focus on managing expenses and for vetting and negotiating with Sub-Advisers and other service providers for the benefit of shareholders. The Independent Trustees noted that the Adviser continues to demonstrate that it has the skills, experience, and quality and depth of personnel, resources, investment methods and compliance policies and procedures for performing its duties under the Advisory Agreement and that the nature, overall quality and extent of the management services provided by the Adviser to the Funds is consistent and satisfactory.

 

Performance. As to investment performance, the Board reviewed the performance of each Fund as compared to the average performance of its respective peer group (the “Peer Group”) and Morningstar category (“Morningstar Average”) (collectively, the “Comparison Groups”) for 1-year, 3-year, 5-year and since inception time periods (as applicable) through September 30, 2015:

 

With respect to Monthly Distribution the Board noted that the Fund has outperformed its Peer Group and Morningstar Average across all the time periods since its inception in 2008, except for the last 1-year period. The Trustees noted the negative impact on the Fund of declines in oil and energy prices and other market factors during the last year and concluded that the Fund’s performance is satisfactory.

 

With respect to Corporate/Government Bond the Board noted that since the Fund’s inception in 2004, it has outperformed or performed in-line with its Peer Group and Morningstar Average with the exception of the most recent 1-year period where it underperformed both the Peer Group and Morningstar Average, as well as the 3-year period where it underperformed the Morningstar Average. The Trustees considered that the Fund has consistently performed

119 

 

well since inception, especially compared to the Peer Group. The Independent Trustees considered the Adviser’s explanation that the Fund’s recent underperformance was primarily due to lower allocation to Treasuries and higher allocation to high-yield bonds and positioning for Federal interest rate increases that did not materialize. The Independent Trustees concluded that the Fund’s performance is satisfactory.

 

With respect to High-Yield Bond the Board noted that the Fund has underperformed its Peer Group and Morningstar Average across the relevant time periods with the exception of performing in-line with its Peer Group over the past 5-year period. The Board noted that the Fund’s short-term performance was impaired by its significant exposure to the energy market’s decline. A representative of the Adviser noted that the Fund’s strategy is generally more conservative in nature than a majority of the funds in its Morningstar Average, which had benefited from significantly higher exposure to CCC-rated bonds than the Fund. The Trustees agreed that in light of the risk characteristics of the Fund, they were satisfied with the Fund’s performance.

 

With respect to Dynamic Macro, the Board noted that there was a change in sub-adviser and investment strategy as of October 1, 2014 and that the Fund outperformed its Peer Group and Morningstar Average over the past 1-year period. The Board further noted that the Fund’s underperformance in the 3-, 5- and since inception time periods was tied to its former sub-adviser. The Trustees concluded that the Fund’s short-term performance is satisfactory and expressed optimism for continuing improvement.

 

With respect to Appreciation & Income, the Board noted that the Fund had performed in-line with or outperformed its Morningstar Average for the 1-, 10- and since inception time periods, and outperformed its Peer Group for the 3-year period, but underperformed over the one-year period. The Board further noted that the Fund’s Sub-Adviser and strategy was changed on October 1, 2014 and expressed optimism for the Fund’s longer-term track record.

 

With respect to Large Cap Value, the Board noted that the Fund outperformed or was in-line with its Peer Group for the 1- 3-, 5 -, 10- and since inception time periods and outperformed or was in-line with its Morningstar Average for the 1-year, 5-year and since inception time periods. The Board further noted that the Fund’s Sub-Adviser was changed on July 1, 2015 and that most of the Fund’s underperformance versus the Morningstar Average over the 3- and 10-year periods may be attributed to the previous Sub-Adviser’s track record. The Trustees considered information from the Adviser that over the two-month period ended September 30, 2015, the Fund’s outperformance was enough to put the 1-year performance ahead of the Peer Group and in-line with the Category Average. Overall, the Trustees were satisfied with the Fund’s performance and expressed optimism for the Fund’s longer-term track record under the new Sub-Adviser.

 

With respect to International Opportunity Bond the Board, noted that the Fund underperformed its Peer Group and Morningstar Average over the 1-year and since inception time periods. The Trustees considered the Adviser’s explanation that the Fund invests strictly in international bonds and, therefore, did not benefit from the performance of U.S. Bonds. The Trustees agreed performance was satisfactory, but also agreed to monitor the Fund’s performance as it would be more meaningful to re-evaluate the Fund over longer time periods.

 

With respect to Focused Large Cap Growth, the Board noted that Fund outperformed or was in-line with its Peer Group and Morningstar Average for the 1-year, 3-year and since inception time periods with the exception of underperforming the Morningstar Average during the since inception timeframe when it returned 12.52% versus 14.06% for the Morningstar Average. The Trustees noted that this underperformance was primarily attributable to the first few months of initial operations and were gratified that the outperformance of the Fund over the other time periods has helped to reduce this adverse performance differential.

 

With respect to International Stock, the Board noted that the Fund outperformed its Comparison Groups across all the time periods with the exception of the most recent 1-year period, when it returned -10.91% versus -7.72% and -8.05% for the Peer Group and Morningstar Average, respectively. The Trustees noted that the Sub-Adviser maintained the same strategy and process over the past 1-year period as it did on the longer-term periods and expressed satisfaction with the Fund’s overall performance.

 

With respect to Real Estate Stock, the Board noted that the Fund outperformed its Comparison Groups for the 1-, 3-, 5- and 10-years and since inception time periods, with the exception of slight underperformance of 6.68% versus the Morningstar Average’s return of 7.05% for the since inception timeframe. The Trustees indicated that they were pleased with the Fund’s performance.

 

With respect to Small Cap Value, the Board noted that the Fund outperformed its Comparison Groups over the one-year period at -0.69% versus -4.08% and -2.99% for the Peer Group and Morningstar Average, respectively. The Trustees further noted that for the 3-year period, the Fund slightly underperformed the Comparison Groups, while the Fund’s performance for the 5- and 10 years was in-line with the Peer Group and slightly under the Morningstar Average. The Trustees considered that the current Sub-Adviser took over management of the Fund on July 1, 2013 and were satisfied with the Fund’s performance since that time.

120 

 

With respect to Small Cap Growth the Board noted that the Fund outperformed its Comparison Groups for the 1-, 3-, 5- and 10-years and since inception time periods. The Trustees were satisfied with the Fund’s performance.

 

With respect to Emerging Markets Stock, the Board noted that the Fund outperformed its Morningstar Average and Peer Group over the past 1-year period, but underperformed during the longer-term time periods and considered that the underperformance was primarily attributable to the previous Sub-Adviser that managed the Fund prior to July 1, 2013 when the current Sub-Adviser took over management of the Fund. The Trustees further noted that the Fund’s 3-year performance indicates that the current Sub-Adviser is gaining ground and while overall performance was satisfactory, they look forward to an improvement in the Fund’s longer-term performance.

 

With respect to Alternative Strategy, the Board noted that the Fund outperformed its Morningstar Average since inception and underperformed the Morningstar Average for the 1-, 3- and 5-year periods and underperformed its Peer Group for the 1- and 3-year periods provided. The Trustees considered the Adviser’s explanation that the Fund’s most recent underperformance is primarily attributable to the significant downturn in oil and energy prices that occurred in the final quarters of 2014. The Trustees also noted the recent changes to the Fund’s investment strategy and the flexibility it gives the Sub-Adviser, which was aimed at improving performance. The Trustees noted that the Fund’s long-term performance is satisfactory and agreed to monitor the Fund for continued improvement.

 

With respect to Floating Rate Bond the Board noted that the Fund outperformed its Morningstar Average and Peer Group over the past 1-year time period, but underperformed its Category Average and Peer Group since inception. The Trustees considered the Adviser’s explanation that the underperformance was primarily attributable to the first few months of operations when the Sub-Adviser was initially implementing its strategy and the longer settlement timeframe for bank loans hindered performance. The Trustees considered the Fund’s recent relative performance and the specialized nature of the Fund and concluded that the Fund’s performance was satisfactory.

 

As a result of their review, the Independent Trustees concluded that the Adviser, through its Sub-Advisers, had generally provided acceptable returns to shareholders.

 

Cost of Services and Profitability. As to the costs of the services provided and profits realized by DAIC, the Board discussed the management fees and total operating expense data and reviewed each Fund’s fees and overall expenses as compared to the Peer Group and Morningstar Average.

 

The Board reviewed for each Fund the fee paid to the Adviser, as well as the total of the advisory fee and sub-advisory fee (the “Management Fees”). They observed that in the case of Corporate/Government Bond, Dynamic Macro, Large Cap Value, International Opportunity Bond, Focused Large Cap Growth and Small Cap Growth, the Management Fees were higher than the peer group and Morningstar category averages, but within the range of advisory fees paid by the funds in the peer group. They discussed the impact of the performance fee on various Funds’ Management Fees. They noted that Large Cap Value’s current sub-adviser began managing the Fund in July 2015, and the Fund’s superior performance resulted in higher Management Fees. They also discussed the impact of the performance fee on Small Cap Growth, where strong performances resulted in a significant performance fee.

 

The Trustees noted that the Management Fees of International Stock, Real Estate Stock and Monthly Distribution were higher than the Morningstar average fees, and higher than the peer funds. With respect to International Stock and Real Estate Stock, the Board considered that each Sub-Adviser is earning close to its maximum performance fee due to very good performance, which results in higher than average fees. With respect to Monthly Distribution, the Trustees noted that the Adviser is negotiating with the Sub-Adviser for a continuation of the fee waiver agreement that is in place through the end of February 2016 and that the funds in the Comparison Group generally have significant waivers. The Board considered that the Fund’s investment strategy of short-selling, option writing, etc., requires more resources.

 

The Trustees then discussed the Management Fees paid by the High Yield Bond, Appreciation & Income, Small Cap Value and Floating Rate Bond, noting that in each case the Management Fees are lower than or equal to the peer group average and, while higher than the Morningstar average, well within the range of its peer group. They also discussed Emerging Markets and Alternative Strategy, each of which pays Management Fees lower than the applicable peer group and Morningstar averages. They discussed the impact of each Fund’s performance on the fees paid, and reviewed a chart provided by the Adviser that demonstrated the relationship between fees and performance.

 

The Trustees discussed the advisory fee relative to the sub-adviser fees, as well as each Fund’s expense ratio. They considered the impact of Fund net assets on total expenses, and where expense caps are in place. The Trustees also considered the underwriting and 12b-1 fees paid to DAIC. The Trustees reviewed an analysis of profitability provided by the Adviser. The Trustees took into account possible related benefits derived by the Adviser from its relationship with the Funds. The Trustees acknowledged that the Adviser, in its capacity as a broker, receives commissions and

121 

 

distribution fees when its customers purchase the Funds, but the Adviser does not execute trades on behalf of the Funds and therefore receives no compensation on portfolio trades. They concluded that profits from the Adviser’s relationship with each Fund was not unreasonable and is at a level to adequately incentivize DAIC to continue to provide high quality services. It was the consensus of the Board that, based on DAIC’s expertise, the fees charged by the Adviser and its Sub-Advisers were reasonable.

 

Economies of Scale. As to economies of scale, the Trustees noted that the Advisory Agreement does not contain breakpoints that reduce the fee rate on assets above specified levels. The Trustees agreed that breakpoints may be an appropriate way for the Adviser to share its economies of scale with the Funds and the shareholders if the Funds experience a substantial growth in assets, however, the Trustees recognized that no Fund had yet reached an asset level where the Adviser could realize significant economies of scale. The Trustees noted that economies of scale would need to be considered in the future as net asset levels of the Funds grow. The Trustees further noted that at a previous contracts renewal meeting, the Adviser explained that it is prepared to offer concessions to the Funds at appropriate asset levels, and in anticipation of such, had discussed a proposed breakpoint schedule that reflects the economies of scale that the Adviser anticipates realizing. The Trustees concluded that the absence of breakpoints was still acceptable under the current circumstances, and they agreed to continue to evaluate the issue with respect to each Fund as assets increase, and to work with the Adviser to negotiate reasonable breakpoints when appropriate

 

Continuance of Sub-Advisory Agreements for each of Corporate/Government Bond, Floating Rate Bond, Monthly Distribution, High-Yield Bond, Alternative Strategy, Focused Large Cap Growth, Real Estate Stock, International Stock, Small Cap Value, Emerging Markets Stock and Small Cap Growth, International Opportunity Bond

 

The Trustees relied upon the advice of legal counsel and their own business judgment in evaluating the Sub-Advisory Agreements and the weight to be given to each factor considered. The conclusions reached by the Board were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions. Matters considered by the Board, including the Independent Trustees, in connection with its approval of the continuance of each of the Sub-Advisory Agreements included the following:

 

Nature, Extent and Quality of Services. As to the nature, extent and quality of the services provided by the Sub-Advisers, the Board reviewed and discussed at length each Sub-Adviser’s presentation materials, including reviews and information regarding any changes to professional staffing, advisory services, compliance monitoring, regulatory or legal matters, insurance coverage, cost of services, and profitability. The Trustees noted that the Sub-Adviser to International Stock does not provide a profitability analysis and reported to the Board that it believes that the fees it charges to all clients are reasonable and consistent with industry averages and that it reassesses fees periodically. In addition, representatives of the Adviser reviewed their working relationship with each Sub-Adviser, including the observation of the Trust’s CCO with respect to compliance matters. The Trustees noted that the Adviser actively and continuously evaluates quality of service delivered by the Sub-Advisers and is generally satisfied with the current line-up of Sub-Advisers. The Trustees concluded that each of the Sub-Advisers provides a level of service that is consistent with the Board’s expectations.

 

Performance. As to the performance of each Sub-Adviser, the Trustees noted its thorough review and discussion of each Fund’s performance during its earlier evaluation of the Advisory Agreement and their conclusion that the performance was satisfactory or, where less than satisfactory, the Adviser is carefully monitoring the Sub-Adviser and is considering alternatives, including a possible change in sub-adviser.

 

Cost of Services. As to the cost of the services provided and the profits realized by each Sub-Adviser, the Board considered the Base Fee (as defined in the Sub-Advisory Agreements) paid to each Sub-Adviser when the performance of the Fund is equal to that of the Index plus or minus a “null” zone. Where provided, the Trustees compared advisory (and sub-advisory) fees (both flat fee rates and performance fee rates) charged by each Sub-Adviser to its other accounts, and concluded that each Sub-Adviser’s base fee compared favorably. The Trustees also discussed at length the operation of the Performance Fee and the impact on fees and expenses based on various performance results. They discussed the unique nature of the performance fee, which results in higher fees when the sub-adviser delivers results, and how this fact must be integrated into their analysis of fees. The Board noted its thorough review and discussion of each Fund’s fees and expenses during its earlier evaluation of the Advisory Agreement and their conclusion the fees were within a reasonable range.

 

Profitability. The Board then considered the potential fee adjustments to be made to each Fund’s Base Fee based on performance. The Trustees affirmed their belief that the 12-month period over which performance is computed is sufficiently long to provide a reasonable basis for indicating performance. The Trust officers confirmed that the performance adjustment to the Base Fee had been calculated daily during the first twelve months, based on

122 

 

the average net assets of each Fund from inception of the contract to date, and the comparative performance of each Fund (based on Class N shares) to the relevant Index. The Trustees confirmed their belief that the method by which the Performance Fee is calculated under the Sub-Advisory Agreements ensures that any significant fee adjustments are attributable to Sub-Adviser’s skill or lack thereof, rather than to random fluctuations, and the performance fee clearly aligns the Sub-Advisers’ interest with those of the shareholders. It was the consensus of the Board that the maximum performance adjustment under each Sub-Advisory Agreement continues to reflect performance differences that could reasonably be considered meaningful and significant taking into account each Fund’s size, volatility, diversification and variability of performance differences. After consideration, the Board was satisfied that in each case, the relationship of the fee adjustments to the Base Fee was not disproportionately large and that each Fund’s sub-advisory fee was acceptable in light of all of the factors discussed. The Board reviewed a profit analysis provided by each Sub-Adviser and agreed that no Sub-Adviser was excessively profitable. Where profitability information was not provided by the Sub-Adviser, the Board noted the arm’s length negotiations over fees between the Adviser and Sub-Adviser.

 

Economies of Scale. The Trustees discussed the relevance of economies of scale in the context of Sub-Advisers that receive a performance based fee. They agreed that the Adviser had successfully negotiated a favorable Base Fee with each Sub-Adviser, and noted the Adviser’s negotiation of a new reduced fee schedule during the past year with respect to Alternative Strategy and the Adviser’s continued monitoring to effect similar fee reductions when warranted.

 

Conclusion. Having requested and received such information from the Adviser and Sub-Advisers as the Board believed to be reasonably necessary to evaluate the terms of the proposed Advisory Agreements, and as assisted by the advice of counsel, the Board, including all of the Independent Trustees, unanimously concluded that (a) the terms of each of the Advisory Agreements are fair and reasonable; (b) that the Advisory fee and Sub-Advisory fees were for services different than those provided by any underlying Fund’s adviser and are not duplicative; and (c) renewal of the Advisory Agreement and Sub-Advisory Agreements is in the best interests of the Funds, their shareholders and their prospective shareholders.

 

Meeting of the Board of Trustees Held on March 23, 2016

 

At a meeting held on December 15, 2015, the Board of Trustees of the Dunham Funds (the “Board”), including a majority of the trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940 (the “1940 Act”) (the “Independent Trustees”), renewed the sub-advisory agreement with Rogge Global Partners PLC (“Rogge” or the “Sub-Adviser”) as Sub-Adviser to International Opportunity Bond. Subsequent to that meeting, the Board was informed of a planned change of control that is expected to occur during the second quarter of 2016 whereby Rogge will be 100% owned by Allianz Global Investors. Because Rogge’s expected ownership change may be deemed to be a “change in control,” at a meeting held on March 23, 2016 (the “Meeting’), the Independent Trustees unanimously elected to approve a new sub-advisory agreement with Rogge to take effect concurrent with Rogge’s change of control (the “New Sub-Advisory Agreement”) on materially identical terms, including the schedule of fees and compensation, which was last approved by the Board at its meeting held on December 15, 2015 (the “Prior Sub-Advisory Agreement”). In connection with their review and approval of the New Sub-Advisory Agreement with Rogge at the Meeting, the Independent Trustees considered materials furnished by Rogge, including information about, but not limited to, Rogge’s personnel and operations. The Independent Trustees discussed that the terms of the New Sub-Advisory Agreement and the performance goals and fulcrum fee arrangements set forth in the New Sub-Advisory Agreement were not being changed. After reviewing the materials in light of the New Sub-Advisory Agreement, it was the consensus of the Independent Trustees that their conclusions with respect to approving continuation of the Sub-Advisory Agreement with Rogge that were discussed at the Board meeting held on December 15, 2015 were largely unchanged and pertinent to approving the New Sub-Advisory Agreement with Rogge:

 

Nature, Extent and Quality of Services. The Trustees reviewed the nature, extent and quality of the services provided by Rogge and evaluated the nature, quality and extent of the services to be provided by Rogge after the change of control that was scheduled to take effect in the second quarter of 2016 and pursuant to the New Sub-Advisory Agreement. They considered, among other things, the expected impact of the change of control on the operations, facilities, organization and personnel of Rogge and how it would affect the Fund, the ability of Rogge to perform its duties after the change of control and any anticipated changes to the current investment practices and related services provided to the Fund. The Trustees noted that it was anticipated that the change of control would not result in a change in the portfolio management of the Fund, or to Rogge’s compliance or investment processes. The Trustees concluded that it was satisfied with the nature, quality and extent of the services currently provided by Rogge under the current Sub-Advisory Agreement and expected to be provided by Rogge under the New Sub-Advisory Agreement, and such services were reasonable and appropriate in relation to the Sub-Advisory fee.

123 

 

Performance. As to investment performance, the Board reviewed the performance of the Fund as compared to a peer group, benchmark index, and its Morningstar category average (“Morningstar Average”) (collectively, the “Comparison Groups”) for the 1-year and since inception (November 5, 2013) through December 31, 2015 time periods. The Board noted that the Fund underperformed the Comparison Groups over the 1-year period. The Board further noted that although the Fund underperformed its benchmark index net of fees over the same period, it outperformed the benchmark index gross of fees and that the benchmark index does not include fees. The Trustees considered the Adviser’s explanation that the Fund’s underperformance versus its Morningstar Average was primarily due to the fact that the Fund invests strictly in international bonds and, therefore, did not benefit from the performance of U.S. bonds. The Trustees agreed performance was satisfactory, but also agreed to monitor the Fund’s performance as it would be more meaningful to re-evaluate the Fund over longer time periods.

 

Cost of Services. The Trustees noted that the schedule of fees and compensation in the New Sub-Advisory Agreement is the same as in the current Sub-Advisory Agreement. As to the cost of the services provided and the profits realized by the Sub-Adviser, the Board considered the Base Fee and Performance Fee components of the fulcrum fee. They noted that the fulcrum fee results in a +/-25 basis points adjustment to the Base Fee of 45 basis points based on the performance of the Fund’s Class N share versus the performance of the benchmark. The Trustees compared the Base Fee to the Sub-Adviser’s fee for two other accounts with similar strategies and discussed the Sub-Adviser’s explanation for fee differences. The Trustees also discussed at length the operation of the Performance Fee and the impact on fees and expenses based on various performance results. They discussed the unique nature of the Performance Fee, which results in higher fees when the Sub-Adviser delivers results, and how this fact must be integrated into their analysis of fees. The Independent Trustees concluded that the sub-advisory fee is within a reasonable range.

 

Profitability. The Board then considered the potential fee adjustments to be made to the Fund’s Base Fee based on performance. The Trustees affirmed their belief that the 12-month period over which performance is computed is sufficiently long to provide a reasonable basis for indicating performance. The Trust officers confirmed that the performance adjustment to the Base Fee had been calculated daily during the first twelve months, based on the average net assets of the Fund from inception of the Sub-Advisory Agreement to date, and the comparative performance of the Fund (based on Class N shares) to the Fund’s performance benchmark. The Trustees confirmed their belief that the method by which the Performance Fee is calculated under the New Sub-Advisory Agreement ensures that any significant fee adjustments are attributable to the Sub-Adviser’s skill or lack thereof, rather than to random fluctuations, and the Performance Fee clearly aligns the Sub-Adviser’s interest with those of the shareholders. After consideration, the Board was satisfied that the relationship of the fee adjustments to the Base Fee was not disproportionately large and that the Fund’s sub-advisory fee was acceptable in light of all of the factors discussed. The Board reviewed a profit analysis provided by the Sub-Adviser and agreed that the Sub-Adviser’s profits were not excessive.

 

Economies of Scale. As to the extent to which the Fund will realize economies of scale, the Board, including he Independent Trustees, concurred that any material economies of scale would not be achieved by the Fund in the near term. The Independent Trustees further considered that the Adviser had successfully negotiated a reasonable Base Fee with the Sub-Adviser and monitors sub-advisory fees to effect reductions when warranted.

 

Conclusion. Having requested and received such information from the Adviser and Sub-Adviser as the Board believed to be reasonably necessary to evaluate the terms of the proposed New Sub-Advisory Agreement, and as assisted by the advice of counsel, the Board, including all of the Independent Trustees, unanimously concluded that (a) the terms of the of the New Sub-Advisory Agreement is fair and reasonable and approval of the New Sub-Advisory Agreement is in the best interests of International Opportunity Bond, its shareholders and prospective shareholders.

124 

 

DUNHAM FUNDS’ EXPENSES (Unaudited)
 
Example
 

Shareholders of mutual funds will pay (1) transitional costs, such as sales load, and (2) 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.

 

            Hypothetical
      Actual   (5% return before expenses)
  Fund’s Beginning Ending Expenses   Ending Expenses
  Annualized Account Value Account Value Paid During   Account Value Paid During
  Expense Ratio 11/1/15 4/30/16 Period*   4/30/16 Period*
Class N:              
Floating Rate Bond Fund 1.44% $1,000.00 $1,015.80 $7.18   $1,017.16 $7.77
Monthly Distribution Fund 1.40% $1,000.00 $   996.80 $6.95   $1,018.35 $6.07
Corporate/Government Bond Fund 1.09% $1,000.00 $1,017.90 $5.47   $1,019.44 $5.47
Dynamic Macro Fund 1.73% $1,000.00 $   962.30 $8.44   $1,016.26 $8.67
High-Yield Bond Fund 1.13% $1,000.00 $   996.20 $5.61   $1,019.24 $5.67
International Opportunity Bond Fund 1.33% $1,000.00 $1,073.80 $6.86   $1,018.25 $6.67
Appreciation & Income Fund 1.55% $1,000.00 $   935.80 $7.46   $1,017.16 $7.77
Alternative Strategy Fund 1.44% $1,000.00 $   891.20 $6.76   $1,017.71 $7.21
Large Cap Value Fund 1.05% $1,000.00 $   990.70 $5.22   $1,019.62 $5.29
Focused Large Cap Growth Fund 1.21% $1,000.00 $   910.20 $5.75   $1,018.85 $6.07
International Stock Fund 1.68% $1,000.00 $   974.60 $8.25   $1,016.51 $8.42
Real Estate Stock Fund 1.24% $1,000.00 $1,034.60 $6.27   $1,018.70 $6.22
Small Cap Value Fund 1.72% $1,000.00 $   987.00 $8.48   $1,016.33 $8.60
Emerging Markets Stock Fund 1.30% $1,000.00 $   995.60 $6.45   $1,018.40 $6.52
Small Cap Growth Fund 1.35% $1,000.00 $   924.30 $6.46   $1,018.15 $6.77
Class A:              
Floating Rate Bond Fund 1.69% $1,000.00 $1,015.70 $8.42   $1,015.91 $9.02
Monthly Distribution Fund 1.65% $1,000.00 $   995.60 $8.19   $1,017.70 $7.22
Corporate/Government Bond Fund 1.34% $1,000.00 $1,016.60 $6.72   $1,018.20 $6.72
Dynamic Macro Fund 1.98% $1,000.00 $   961.20 $9.65   $1,015.02 $9.92
High-Yield Bond Fund 1.38% $1,000.00 $   995.10 $6.85   $1,018.00 $6.92
International Opportunity Bond Fund 1.58% $1,000.00 $1,072.40 $8.14   $1,017.01 $7.92
Appreciation & Income Fund 1.80% $1,000.00 $   933.00 $8.65   $1,015.91 $9.02
Alternative Strategy Fund 1.69% $1,000.00 $   889.90 $7.96   $1,016.44 $8.49
Large Cap Value Fund 1.30% $1,000.00 $   989.20 $6.42   $1,018.41 $5.51
Focused Large Cap Growth Fund 1.44% $1,000.00 $   909.30 $6.84   $1,017.70 $7.22
International Stock Fund 1.93% $1,000.00 $   973.30 $9.47   $1,015.27 $9.67
Real Estate Stock Fund 1.49% $1,000.00 $1,033.50 $7.53   $1,017.45 $7.47
Small Cap Value Fund 1.97% $1,000.00 $   984.80 $9.72   $1,015.07 $9.87
Emerging Markets Stock Fund 1.55% $1,000.00 $   994.50 $7.69   $1,017.16 $7.77
Small Cap Growth Fund 1.60% $1,000.00 $   923.40 $7.65   $1,016.91 $8.02

125 

 

YOUR FUNDS’ EXPENSES (Unaudited) (Continued)

 

            Hypothetical
      Actual   (5% return before expenses)
  Fund’s Beginning Ending Expenses   Ending Expenses
  Annualized Account Value Account Value Paid During   Account Value Paid During
  Expense Ratio 11/1/15 4/30/16 Period*   4/30/16 Period*
Class C:              
Floating Rate Bond Fund 2.19% $1,000.00 $1,012.10 $10.90   $1,012.08 $12.86
Monthly Distribution Fund 2.40% $1,000.00 $   991.40 $11.88   $1,013.72 $11.22
Corporate/Government Bond Fund 1.84% $1,000.00 $1,014.30 $  9.33   $1,015.70 $  9.23
Dynamic Macro Fund 2.73% $1,000.00 $   958.20 $13.29   $1,011.29 $13.65
High-Yield Bond Fund 1.88% $1,000.00 $   993.70 $  9.32   $1,015.51 $  9.42
International Opportunity Bond Fund 2.08% $1,000.00 $1,069.10 $10.70   $1,014.52 $10.42
Appreciation & Income Fund 2.57% $1,000.00 $   929.80 $12.33   $1,012.08 $12.86
Alternative Strategy Fund 2.44% $1,000.00 $   886.60 $11.46   $1,012.72 $12.22
Large Cap Value Fund 2.05% $1,000.00 $   985.90 $10.25   $1,014.66 $10.28
Alternative Income Fund 1.83% $1,000.00 $   995.50 $  9.05   $1,015.72 $  9.15
Focused Large Cap Growth Fund 2.24% $1,000.00 $   905.40 $10.61   $1,013.72 $11.22
International Stock Fund 2.68% $1,000.00 $   970.10 $13.13   $1,011.54 $13.40
Real Estate Stock Fund 2.24% $1,000.00 $1,029.40 $11.30   $1,013.72 $11.22
Small Cap Value Fund 2.72% $1,000.00 $   981.20 $13.54   $1,011.34 $13.60
Emerging Markets Stock Fund 2.30% $1,000.00 $   991.00 $11.39   $1,013.43 $11.51
Small Cap Growth Fund 2.35% $1,000.00 $   920.10 $11.20   $1,013.18 $11.76
               
*Expenses Paid During Period are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182 days and divided by 366 (to reflect the number of days in the six month period ending April 30, 2016).
 

126 

 

Privacy Notice

 

 March 2011

 

FACTS WHAT DO THE DUNHAM FUNDS DO WITH YOUR PERSONAL INFORMATION?
   
Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
   
What?

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

■         Social Security number and wire transfer instructions

 

■         account transactions and transaction history

 

■         investment experience and purchase history

 

When you are no longer a customer, we continue to share your information as described in this notice.

   
How? All financial companies need to share customers’ personal information to run their everyday business.  In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons the Dunham Funds chooses to share; and whether you can limit this sharing.

 

Reasons we can share your personal information Do Dunham Funds share? Can you limit this sharing?
For our everyday business purposes - such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus Yes No
For our marketing purposes - to offer our products and services to you Yes No
For joint marketing with other financial companies No We don’t share
For our affiliates’ everyday business purposes - information about your transactions and experiences No We don’t share
For our affiliates’ everyday business purposes - information about your creditworthiness No We don’t share
For nonaffiliates to market to you No We don’t share

 

Questions?   Call (800) 442-4358 or go to www.dunham.com

127 

 

What we do
How do Dunham Funds protect my personal information?

To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.

 

We permit only authorized parties and affiliates (as permitted by law) who have signed an agreement (which protects your personal information) with us to have access to customer information.

How do Dunham Funds collect my personal information? We collect your personal information, for example, when you

■     open and account or deposit money

 

■     direct us to buy securities or direct us to sell your securities

 

■     seek advice about your investments

 

We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.

Why can’t I limit all sharing? Federal law gives you the right to limit only

■     sharing for affiliates’ everyday business purposes-information about your creditworthiness

 

■     affiliates from using your information to market to you

 

■     sharing for nonaffiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

■     Our affiliates include financial companies, such as Dunham & Associates Investment Counsel, Inc.

Nonaffiliates

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

■     Dunham Funds do not share with nonaffiliates so they can market to you.

Joint marketing

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

■     Dunham Funds doesn’t jointly market

128 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 (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 (800)-SEC-0330. The information on Form N-Q is available without charge, upon request, by calling (888)-3DUNHAM (338-6426).

 

129 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(DUNHAM FUNDS LOGO)

 

P.O. Box 910309
San Diego, California 92191

(800) 442-4358

 

Distributed by Dunham & Associates Investment Counsel, Inc. Member FINRA/SIPC

 

 

 

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 required for semi-annual reports.

 

(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.

 

(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) Dunham Funds

 

By (Signature and Title)

/s/ Jeffrey Dunham

Jeffrey Dunham, Principal Executive Officer/President

 

Date 7/9/2016

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)

/s/ Jeffrey Dunham

Jeffrey Dunham, Principal Executive Officer/President

 

Date 7/9/2016

 

By (Signature and Title)

/s/ Denise Iverson

Denise Iverson, Principal Financial Officer/Treasurer

 

Date 7/9/2016