N-CSRS 1 dunhamncsrs.htm N-CSRS

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)

 

Richard Malinowski

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: 4/30/19

 

Item 1. Reports to Stockholders.

 

(COVER)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BEGINNING ON JANUARY 1, 2021, AS PERMITTED BY REGULATIONS ADOPTED BY THE SECURITIES AND EXCHANGE COMMISSION, PAPER COPIES OF THE DUNHAM FUNDS’ SHAREHOLDER REPORTS LIKE THIS ONE WILL NO LONGER BE SENT BY MAIL, UNLESS YOU SPECIFICALLY REQUEST PAPER COPIES OF THE REPORTS FROM THE DUNHAM FUNDS OR FROM YOUR FINANCIAL INTERMEDIARY, SUCH AS A BROKER-DEALER OR BANK. INSTEAD, THE REPORTS WILL BE MADE AVAILABLE ON A WEBSITE, AND YOU WILL BE NOTIFIED BY MAIL EACH TIME A REPORT IS POSTED AND PROVIDED WITH A WEBSITE LINK TO ACCESS THE REPORT.

 

IF YOU ALREADY ELECTED TO RECEIVE SHAREHOLDER REPORTS ELECTRONICALLY, YOU WILL NOT BE AFFECTED BY THIS CHANGE AND YOU NEED NOT TAKE ANY ACTION. YOU MAY ELECT TO RECEIVE SHAREHOLDER REPORTS AND OTHER COMMUNICATIONS FROM THE DUNHAM FUNDS ELECTRONICALLY BY CALLING (888)-3DUNHAM (338-6426) OR CONTACTING YOUR FINANCIAL INTERMEDIARY.

 

YOU MAY ELECT TO RECEIVE ALL FUTURE REPORTS IN PAPER FREE OF CHARGE. YOU CAN INFORM THE DUNHAM FUNDS OR YOUR FINANCIAL INTERMEDIARY THAT YOU WISH TO CONTINUE RECEIVING PAPER COPIES OF YOUR SHAREHOLDER REPORTS BY CALLING (888)-3DUNHAM (338-6426) OR CONTACTING YOUR FINANCIAL INTERMEDIARY. YOUR ELECTION TO RECEIVE REPORTS IN PAPER WILL APPLY TO ALL DUNHAM FUNDS HELD BY YOU OR THROUGH YOUR FINANCIAL INTERMEDIARY.

 

 

 

 

 

 

 

 

 

 

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 HERIN 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.

 

 

Dear Fellow Shareholders,

 

Volatility rocked global equity and bond markets during the six-month period as the Federal Reserve exhibited a hawkish stance in regards to monetary policy, trade tensions between the U.S and China escalated, China faced trouble in its own economy, and oil prices drastically declined. Nevertheless, global equities and bond markets ended the six-month period with gains, as these same key macro drivers reversed.

 

In December, the Federal Reserve bumped interest rates up 0.25 percent to a range of 2.25 percent to 2.50 percent. Even though the decision was planned months in advance, the move still unsettled markets. During the same month, the likelihood of a partial U.S government shutdown, deteriorating trade talks between the two largest economies, Brexit negotiations, and oil falling to around $40 a barrel were some events that pushed the S&P 500 Index approximately 16 percent lower within three weeks of December.

 

By January’s end, the S&P 500 had nearly climbed back to where it had started in December, as first quarter earnings season began to beat expectations and the Federal Reserve announced that it would not raise interest rates in the month of January. In addition, China announced in January that it would provide economic stimulus to its economy and oil prices rose to $54 a barrel.

 

By April’s end the largest surprise during the six-month period occurred when Chairman Jerome Powell announced the Federal Reserve would halt all interest rate hike plans in 2019 and end quantitative tightening of the balance sheet until further indication of inflation was seen. First quarter earnings season wound down with approximately 80 percent of companies, beating earnings. Furthermore, economic data of unemployment reaching a 50 year low, consumer sentiment reaching decade year highs, and first quarter GDP coming in better than expected at 3.2 percent all pointed to a heathy economy. Fears of a possible recession in 2019 were cast aside and markets roared to finish the six-month period ahead.

 

The rally in risk assets, lifted high-yield bonds higher as well, while many investors preferred corporate bonds with their fixed coupons over floating rate bonds due to fears of rising interest rates abating in the short term. Floating rates bonds, as measured by S&P / LSTA Leverage Loan Index, rose 2.1 percent, international bonds increased 3.3 percent, as measured by the Bloomberg Barclays Global Aggregate ex-U.S. bond index, corporate and government bonds rose by 5.5 percent, as measured by the Bloomberg Barclays Aggregate Bond Index, and high-yield bonds rose 6.2 percent, as measured by the Bloomberg Barclays High-Yield Ba/B 2% Issuer Cap Index. Dunham’s diversified fixed income stood strong, as the strategy remained balanced to corporate bonds, high yield bonds, and alternatives without overweighting low duration floating rate bonds.

 

During the six-month period, the Dow Jones Industrial Average rose 7.1 percent, the S&P increased 9.8 percent, and the NASDAQ Composite scaled 11.5 percent. The S&P’s impressive 10-year cumulative returns of 316 percent, a 15.3 percent annualized return, has most likely been on the minds of many investors due to their home-country bias. Much of this recent surge in 10-year performance has been caused by the extensive losses of the Great Financial Crisis rolling off, as March 2009 started the bull market. For perspective, the S&P 500 Index’s cumulative 10-year return as of the end of last year’s April 2018 (including the entire Great Financial Crisis in the 10-year history) was 163 percent – roughly a 10.2 percent annualized return. For these reasons, the concept of diversifying beyond large capitalization U.S. stocks is lost on many investors with the allure of these strong 10-year returns; however, Dunham remains steadfast in diversification beyond large capitalization U.S. stocks with international stocks and emerging markets stocks.

 

International diversification showed strength during the six-month period as, emerging market stocks, as measured by the MSCI ACWI Emerging Markets Index (Net), outperformed all U.S. markets by rising 13.8 percent, and international stocks, as measured by the MSCI ACWI ex US Index (Net), increased 9.1 percent, in-line with most broad U.S. markets.

 

We thank you for your continued trust and the confidence you have placed in us. We take that trust very seriously and look forward to servicing your investment needs for years to come.

 

Sincerely,

 

(-s- Jeffrey A. Dunham)

 

Jeffrey A. Dunham

President

Dunham & Associates

April 30, 2019

1

 

Dunham Floating Rate Bond Fund (Unaudited)
Message from the Sub-Adviser (Newfleet Asset Management, LLC)
 

Asset Class Recap

 

Retail investor outflows continued throughout the six-month period most likely driven by the Federal Reserve’s decision to not raise interest rates in 2019. Markets even began to price an interest rate cut by the end of 2019, which most likely caused investors to favor fixed-rate corporate bonds. Strong macroeconomic data and an acceptable earnings season all pointed to a lower probability of recession during 2019, which helped risk assets and may explain why equity sensitive high-yield bonds also rallied. However, during the last three months institutional CLO demand, loan repayments via high-yield issuance, and lower primary issuance supply offset retail redemptions and set up the market for loan price increases. By February 21, 2019, bank loans had regained previous losses and from that point on continued to rise through the end of April. During the six-month period, the bank loan space, as measured by the S&P LSTA Leveraged Loan Index, appreciated 2.1 percent. Corporate bonds in general, as measured by the ICE BofA Merrill Lynch Corporate Index, advanced 7.0 percent during the six-month period. High-yield bonds, as measured by the ICE BofA Merrill Lynch Cash Pay High-Yield Index, rose 5.6 percent during the six-month period.

 

The continued healthy backdrop was also attractive for credit spread portfolios and may have reduced investors’ default expectations. The loan market default rate stood at 1.01 percent in April, which was near a multi-year low. Loan market prices improved to 97.5 in April as investors sought opportunities in the secondary market, while the primary issuance market remained light. Loans rated BB were priced at 99.3, B rated loans were priced at 98.1, and CCC rated loans were priced at 86.6. Loan spreads to maturity closed at London Interbank Offered Rate LIBOR+389 in April, tighter by 78 basis points year-to-date, as investors and risk markets grew more comfortable with U.S. and global fundamental trends, specifically that economies were not entering a recession to start the year.

 

Allocation Review

 

During most of the six-month period, the Sub-Adviser was overweight the sector categories consumer non-durables, housing, and gaming, while underweight cyclical industries such as automotive and transportation. The Sub-Adviser was extremely underweight technology and retail companies. Security selection within the manufacturing, broadcasting, diversified media and food industries contributed to Fund performance, while security selection that detracted came from the consumer non-durables and energy industries during the second fiscal quarter.

 

Holdings Insights

 

During the six-month period, the top contributor to the Fund was CPI Card Group 8/17/2022 (BL1785619) (holding weight*: 0.54 percent). CPI Card Group manufactures physical debt and credit cards from Mastercard to Visa to dual interface to metal cards. Fourth quarter results marked the company’s third consecutive quarter of earnings stability, as card volumes recovered with cash flow up 55 percent year-over -year. The holding appreciated 18.9 percent during the six-month period. Another contributor to the Fund was IHeartCommunications, Inc. 9.0% 12/15/2019 (184502BL5) (holding weight*: 0.04 percent). IHeartCommunications, Inc. is the largest radio station owner in the U.S. and also has a substantial interest in the second largest outdoor advertising company in the world. A combination of better fourth quarter 2018 results and its pending exit from bankruptcy pushed the value of loans up over the six-month period. Overall, the holding gained 9.5 percent return during the time period. A third contributor to the Fund was PetSmart Inc. 3/11/2022 (BL226478) (holding weight*: 0.37 percent). The company is a retailer of pet animal products and services. The loan rose after the company announced it would seek an Initial Public Offering for its e-commerce website chewy.com. The holding climbed 16.1 percent during the six-month period.

 

The largest detractor from Fund performance was Ditech Holding 6/30/2022 (BL249813) (holding weight*: 0.35 percent) an independent originator and servicer of mortgage loans and reverse mortgage loans. The loan fell after the company declared Chapter 11 bankruptcy for the second time in 14 months and was considering strategic alternatives, which included selling the company. During the six-month period, the holding lost 28.6 percent. The second largest detractor to the Fund was Isagenix Worldwide LLC 5/26/2025 (BL2682096) (holding weight*: 0.24 percent). The company is a multi-level marketer of weight management products and nutritional supplements. Low unemployment, increasing competition for workers in the gig economy, fiercer competition in the weight loss industry, and a saturated social media ecosystem negatively weighed on the company’s ability to attract employees. In addition, company specific issues—poor marketing message, failed product introduction, and a weak overseas launch—led to two consecutive quarters of mediocre operating performance. During the six-month period, the holding fell 16.8 percent. Another detractor from Fund performance was Gavilan Resources LLC 2/23/2024 (BL2367672) (holding weight*: 0.19 percent), which is a petroleum exploration and production company located in the Texan Eagle Ford basin. The company revealed lower drilling output during the previous fiscal quarter and the holding slid 16.4 percent during the six-month period.

 

Sub-Adviser Outlook

 

Relative to the start of the year, the Sub-Adviser believes there are fewer cheap opportunities; however, improved CLO issuance, high yield issuance for loan repayments and lower supply, the Sub-Adviser believes, should lead to price stability in the secondary market. In addition, the Sub-Adviser believes the loan market yield -to-maturity of 6.5 percent compares favorably to the high-yield market of 6.1 percent. Despite the prospect of no further rate hikes and continued retail investors outflows, the Sub-Adviser believes investors may benefit from a higher yield while maintaining a senior position in the issuer’s capital structure and a secured interest in all assets of the issuer, which is important as the credit cycle matures. With a strong start to the year, the Sub-Adviser has de -risked slightly to take advantage of the improvement in loan prices. Moving forward, the Sub-Adviser believes return will be driven by coupon payments rather than price appreciation and default rates should remain low.

 

*Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2019.
 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns as of April 30, 2019

        Annualized
      Annualized Since Inception
  Six Months One Year Five Years (11/1/13)
Class N 1.78% 3.35% 2.85% 2.79%
Class C 1.42% 2.49% 2.11% 2.02%
Class A with load of 4.50% (2.89)% (1.57)% 1.67% 1.67%
Class A without load 1.66% 3.10% 2.61% 2.53%
Credit Suisse Leveraged Loan Total Return Index 2.17% 4.46% 4.11% 4.22%
S&P/LSTA Leveraged Loan 100 Index ** 2.09% 4.20% 3.55% 3.64%
Morningstar Bank Loan Category 1.88% 3.40% 3.12% 3.18%
         
**Change in Fund’s benchmark. As a result, the Fund’s performance is compared to both indices in the table above.

 

The Credit Suisse Leveraged Loan Total Return Index tracks the investable market of the U.S. dollar denominated leveraged loan market. It consists of issues rated “5B” or lower, meaning that the highest rated issues included in this index are Moody’s/S&P ratings of Baa1/BB+ or Ba1/BBB+. All loans are funded term loans with a tenor of at least one year and are made by issuers domiciled in developed countries.

 

The S&P/LSTA 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 0.98% for Class N, 1.73% for Class C and 1.23% 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

2

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Floating Rate Bond Fund
April 30, 2019

 

   Variable  Principal   Interest    Maturity    
Security  Rate  Amount   Rate %    Date  Value 
BANK LOANS - 92.1%                      
BASIC MATERIALS - 3.2%                      
Covia Holdings Corp., Initial Term Loan  LIBOR + 4.000%  $565,725    6.592  +  5/31/2025  $504,604 
Element Solutions, Inc., Initial Term Loan  LIBOR + 2.250%   733,163    4.826  +  1/30/2026   735,226 
Graftech International Ltd., Initial Term Loan  LIBOR + 3.500%   744,750    6.076  +  2/12/2025   745,681 
H.B. Fuller Co., Commitment Loan  LIBOR + 2.000%   678,227    4.580  +  10/20/2024   676,850 
Ineos US Finance LLC, New 2024 Dollar Term Loan  LIBOR + 2.000%   1,896,000    4.576  +  3/31/2024   1,890,179 
Kraton Polymers LLC, Dollar Replacement Term Loan (2018)  LIBOR + 2.500%   389,809    5.076  +  3/08/2025   389,727 
New Arclin US Holding Corp., Replacement Term Loan (First Lien)  LIBOR + 3.500%   262,530    6.076  +  2/14/2024   263,351 
Omnova Solutions, Inc., Term B-2 Loan  LIBOR + 3.250%   498,354    5.826  +  8/24/2023   499,599 
US Salt LLC, Initial Term Loan  LIBOR + 4.750%   275,000    7.326  +  1/16/2026   276,375 
                     5,981,592 
COMMUNICATIONS - 15.8%                      
Advantage Sales & Marketing, Inc., Initial Term Loan (First Lien)  LIBOR + 3.250%   388,286    5.826  +  7/24/2021   341,758 
Altice France SA, USD TLB-13 Incremental Term Loan  LIBOR + 4.000%   233,825    6.588  +  8/14/2026   229,649 
Centurylink, Inc., Initial Term B Loan  LIBOR + 2.750%   1,010,060    5.326  +  2/01/2025   1,005,222 
Charter Communications Operating LLC, Term B Loan  LIBOR + 2.000%   2,256,438    4.576  +  4/30/2025   2,264,549 
Commscope, Inc., Initial Term Loan  LIBOR + 3.250%   915,000    5.826  +  4/06/2026   924,292 
CSC Holdings, LLC, March 2017 Refinancing Term Loan  LIBOR + 2.250%   1,756,299    4.838  +  7/16/2025   1,752,883 
CSC Holdings, LLC, October 2018 Incremental Term Loan  LIBOR + 2.250%   379,050    4.838  +  1/16/2026   378,197 
CSC Holdings, LLC, January 2018 Incremental Term Loan  LIBOR + 2.500%   128,700    5.088  +  1/24/2026   128,861 
E.W. Scripps Co., Term Loan B  LIBOR + 2.750%   385,000    5.342  +  4/04/2026   386,444 
Frontier Communications Corp., Term B-1 Loan  LIBOR + 3.750%   1,140,263    6.326  +  6/16/2024   1,115,081 
Go Daddy Operating Co. LLC, Tranche B-1 Term Loan  LIBOR + 2.000%   751,686    4.576  +  2/16/2024   753,975 
Hoya Midco LLC., Initial Term Loan (First Lien)  LIBOR + 3.500%   867,936    6.076  +  6/30/2024   863,058 
iHeart Communications, Inc., Tranche D Term Loan  LIBOR + 8.750%   1,510,000    9.000  +  12/15/2019   1,125,426 
KSBR Holding Corp., Initial Term Loan  LIBOR + 4.500%   140,000    7.088  +  4/16/2026   141,487 
Level 3 Financing, Inc., Tranche B 2024 Term Loan  LIBOR + 2.250%   2,410,000    4.826  +  2/22/2024   2,414,217 
MCC Iowa LLC, Tranche M Term Loan  LIBOR + 2.000%   783,187    4.583  +  1/16/2025   784,820 
Mcgraw-Hill Global Education Holdings LLC, Term B Loan (First Lien)  LIBOR + 4.000%   1,475,136    6.576  +  5/04/2022   1,415,998 
Mediacom Illinois LLC, Tranche N Term Loan  LIBOR + 1.750%   646,754    4.333  +  2/15/2024   645,295 
Meredith Corp., Tranche B-1 Term Loan  LIBOR + 2.750%   613,750    5.326  +  2/01/2025   616,764 
Numericable US LLC, USD TLB-11 Term Loan  LIBOR + 2.750%   638,625    5.326  +  8/01/2025   619,070 
Numericable US LLC, USD TLB-12 Term Loan  LIBOR + 3.688%   323,219    6.275  +  2/01/2026   316,108 
Radiate Holdco LLC, Closing Date Term Loan  LIBOR + 3.000%   854,604    5.576  +  1/31/2024   853,309 
Red Ventures LLC, Term B-1 Loan (First Lien)  LIBOR + 3.000%   1,016,343    5.576  +  11/08/2024   1,021,424 
Rodan & Fields LLC, Closing Date Term Loan  LIBOR + 4.000%   640,163    6.588  +  6/16/2025   569,745 
SBA Senior Finance II LLC, Initial Term Loan  LIBOR + 2.000%   1,150,838    4.576  +  4/12/2025   1,145,803 
Securus Technologies Holdings, Inc., Initial Term Loan (First Lien)  LIBOR + 4.500%   370,900    7.076  +  10/31/2024   365,954 
Securus Technologies Holdings, Inc., Initial Loan (Second Lien)  LIBOR + 8.250%   255,000    10.826  +  10/31/2025   249,517 
Sinclair Television Group, Inc., Tranche B Term Loan  LIBOR + 2.250%   361,064    4.826  +  1/04/2024   361,741 
Sprint Communications, Inc., Initial Term Loan  LIBOR + 2.500%   1,043,243    5.076  +  2/02/2024   1,015,597 
Sprint Communications, Inc., 2019 Incremental Term Loan  LIBOR + 3.000%   369,075    5.576  +  2/02/2024   364,308 
Telenet Financing USD LLC., Term Loan AN Facility  LIBOR + 2.250%   680,000    4.888  +  8/16/2026   678,980 
Tribune Media Co., Term B Loan  LIBOR + 3.000%   22,405    5.576  +  12/28/2020   22,475 
Tribune Media Co., Term C Loan  LIBOR + 3.000%   279,252    5.576  +  1/26/2024   279,907 
Univision Communications, Inc., 2017 Replacement Repriced First-Lien Term Loan  LIBOR + 2.750%   2,264,710    5.326  +  3/16/2024   2,183,419 
Virgin Media Bristol LLC, K Facility  LIBOR + 2.500%   690,000    5.088  +  1/16/2026   692,763 
West Corporation, Initial Term B Loan  LIBOR + 4.000%   445,155    6.615  +  10/10/2024   431,914 
West Corporation, Incremental Term B-1 Loan  LIBOR + 3.500%   248,125    6.115  +  10/10/2024   239,751 
Ziggo Secured Finance Partnership, Term Loan E Facility  LIBOR + 2.500%   890,000    5.088  +  4/16/2025   883,418 
                     29,583,179 
CONSUMER, CYCLICAL - 19.0%                      
84 Lumber Co., Term B-1 Loan  LIBOR + 5.250%   412,919    7.832  +  10/24/2023   414,467 
Accuride Corp., 2017 Refinancing Term Loan  LIBOR + 5.250%   450,862    7.850  +  11/16/2023   399,013 
Affinity Gaming, Initial Term Loan  LIBOR + 3.250%   358,330    5.826  +  6/30/2023   342,804 
American Airlines, Inc., 2017 Class B Term Loan  LIBOR + 2.000%   87,220    4.579  +  4/28/2023   86,762 
American Airlines, Inc., 2017 Class B Term Loan  LIBOR + 2.000%   489,559    4.588  +  12/14/2023   487,163 
American Airlines, Inc., 2018 Replacement Term Loan  LIBOR + 1.750%   426,723    4.329  +  6/28/2025   421,686 
American Axle & Manufacturing, Inc., Tranche B Term Loan  LIBOR + 2.250%   666,675    4.832  +  4/06/2024   658,342 
American Builders & Contractors Supply Co., Inc., Term B-2 Loan  LIBOR + 2.000%   1,405,413    4.576  +  11/01/2023   1,396,334 
American Greetings Corp., Initial Term Loan  LIBOR + 4.500%   342,413    7.076  +  4/06/2024   343,911 
Aramark Intermediate HoldCo Corp., U.S. Term B-2 Loan  LIBOR + 1.750%   265,455    4.326  +  3/28/2024   265,754 
Aramark Intermediate HoldCo Corp., U.S. Term B-3 Loan  LIBOR + 1.750%   1,357,024    4.326  +  3/12/2025   1,357,024 
Aristocrat Leisure Ltd., Term B-3 Loan  LIBOR + 1.750%   1,553,214    4.330  +  10/20/2024   1,552,244 
Bass Pro Group LLC, Initial Term Loan  LIBOR + 5.000%   933,703    7.576  +  9/24/2024   933,900 
Boyd Gaming Corp., Refinancing Term B Loan  LIBOR + 2.250%   787,826    4.832  +  9/16/2023   789,303 
                       

 

 

See accompanying notes to financial statements.

3

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Floating Rate Bond Fund (Continued)
April 30, 2019

 

   Variable  Principal   Interest    Maturity    
Security  Rate  Amount   Rate %    Date  Value 
BANK LOANS - 92.1% (Continued)                      
CONSUMER, CYCLICAL - 19.0% (Continued)                      
Caesars Resort Collection LLC, Term B Loan  LIBOR + 2.750%  $1,950,313    5.326  +  12/24/2024  $1,958,640 
Carlisle FoodService Products, Inc., Initial Term Loan (First Lien)  LIBOR + 3.000%   452,110    5.576  +  3/20/2025   437,982 
Carlisle FoodService Products, Inc., Delayed Draw Term Loan (First Lien)  LIBOR + 3.000%   103,067    —  +  3/20/2025   100,426 
CBAC Borrower LLC, Term B Loan  LIBOR + 4.000%   231,475    6.576  +  7/08/2024   232,151 
CDS US Intermediate Holdings, Inc., Term B Loan (First Lien)  LIBOR + 3.750%   622,336    6.337  +  7/08/2022   605,614 
CEOC LLC, Term B Loan  LIBOR + 2.000%   1,397,313    4.576  +  10/08/2024   1,392,946 
CityCenter Holdings LLC., Term B Loan  LIBOR + 2.250%   1,173,815    4.826  +  4/18/2024   1,174,825 
Crown Finance US, Inc., Initial Dollar Tranche Term Loan  LIBOR + 2.250%   571,657    4.826  +  2/28/2025   569,990 
CSC SW Holdco, Inc., Term B-1 Loan (First Lien)  LIBOR + 3.250%   713,093    5.851  +  11/14/2022   706,112 
DexKo Global, Inc., Replacement U.S. Dollar Term B Loan (First Lien)  LIBOR + 3.500%   513,514    6.076  +  7/24/2024   513,514 
Eldorado Resorts, Inc., Term Loan  LIBOR + 2.250%   789,246    4.833  +  4/16/2024   790,067 
Formula One Management Ltd., Facility B3 (USD)  LIBOR + 2.500%   615,202    5.122  +  1/31/2024   607,896 
Gateway Casinos & Entertainment Ltd., Initial Term Loan  LIBOR + 3.000%   501,213    5.600  +  11/30/2023   504,345 
Global Appliance, Inc., Tranche B Term Loan  LIBOR + 4.000%   926,926    6.576  +  9/28/2024   930,402 
Golden Nugget, Inc., Initial B Term Loan  LIBOR + 2.750%   827,456    5.331  +  10/04/2023   829,615 
GVC Holdings PLC, Facility B2 (USD)  LIBOR + 2.500%   569,250    5.076  +  3/28/2024   569,748 
HD Supply, Inc., Term B-5 Loan  LIBOR + 1.750%   845,247    4.326  +  10/16/2023   848,417 
Hilton Worldwide Finance LLC, Series B-2 Term Loan  LIBOR + 1.750%   1,208,345    4.332  +  10/24/2023   1,213,571 
Isagenix International LLC, Senior Lien Term Loan  LIBOR + 5.750%   567,875    8.350  +  6/14/2025   457,139 
Libbey Glass, Inc., Initial Loan  LIBOR + 3.000%   555,242    5.581  +  4/08/2021   508,046 
Michaels Stores, Inc., 2018 New Replacement Term B Loan  LIBOR + 2.500%   515,943    5.077  +  1/30/2023   513,848 
Navistar, Inc., Tranche B Term Loan  LIBOR + 3.500%   930,600    6.097  +  11/06/2024   932,810 
Neiman Marcus Group Ltd. LLC, Other Term Loan  LIBOR + 3.250%   1,242,776    5.834  +  10/24/2020   1,154,228 
Panther BF Aggregator 2 LP, Term Loan B  LIBOR + 3.500%   850,000    6.133  +  3/18/2026   854,509 
Patriot Container Corp., Closing Date Term Loan (First Lien)  LIBOR + 3.500%   633,600    6.076  +  3/20/2025   632,412 
PetSmart, Inc., Amended Loan  LIBOR + 4.250%   722,456    6.834  +  3/12/2022   698,474 
Playa Resorts Holding BV, Initial Term Loan  LIBOR + 2.750%   839,722    5.326  +  4/28/2024   829,053 
Scientific Games International, Inc., Initial Term B-5 Loan  LIBOR + 2.750%   799,932    5.326  +  8/14/2024   799,040 
Serta Simmons Bedding LLC, Initial Term Loan (First Lien)  LIBOR + 3.500%   299,115    6.085  +  11/08/2023   219,208 
Siteone Landscape Supply LLC, Tranche E Term Loan  LIBOR + 2.750%   692,511    5.330  +  10/28/2024   690,637 
SRAM LLC, New Term Loan (2018) (First Lien)  LIBOR + 2.750%   501,834    5.386  +  3/16/2024   504,343 
Stars Group Holdings BV, USD Term Loan  LIBOR + 3.500%   576,417    6.100  +  7/10/2025   579,887 
Station Casinos LLC, Term B Facility Loan  LIBOR + 2.500%   868,895    5.076  +  6/08/2023   871,367 
Tenneco, Inc., Tranche B Term Loan  LIBOR + 2.750%   793,013    5.326  +  9/30/2025   776,906 
TI Group Automotive Systems LLC, Initial US Term Loan  LIBOR + 2.500%   356,576    5.076  +  6/30/2022   354,347 
Univar USA, Inc., Term B-3 Loan  LIBOR + 2.250%   718,439    4.826  +  6/30/2024   720,236 
                     35,531,458 
CONSUMER, NON-CYCLICAL - 20.3%                      
21st Century Oncology, Inc., Tranche B Term Loan  LIBOR + 6.125%   144,779    8.726  +  1/16/2023   120,746 
Accelerated Health Systems LLC, Initial Term Loan  LIBOR + 3.500%   463,838    6.089  +  11/01/2025   466,013 
Acuity Specialty Products, Inc., Initial Term Loan (First Lien)  LIBOR + 4.000%   275,800    6.600  +  8/12/2024   230,293 
Agiliti Health, Inc., Initial Term Loan  LIBOR + 3.000%   435,000    5.595  +  1/04/2026   435,000 
AHP Health Partners, Inc., Term Loan  LIBOR + 4.500%   580,613    7.076  +  6/30/2025   582,973 
Albertson’s LLC, 2017-1 Term B-5 Loan  LIBOR + 3.000%   644,688    5.601  +  12/20/2022   646,483 
Albertson’s LLC, 2018 Term B-7 Loan  LIBOR + 3.000%   1,142,772    5.576  +  11/16/2025   1,145,515 
AlixPartners LLP, 2017 Refinancing Term Loan  LIBOR + 2.750%   945,247    5.326  +  4/04/2024   947,535 
Allied Universal Holdco LLC, Incremental Term Loan (First Lien)  LIBOR + 4.250%   448,875    6.826  +  7/28/2022   444,499 
Amneal Pharmaceuticals LLC, Initial Term Loan  LIBOR + 3.500%   605,284    6.076  +  5/04/2025   608,235 
Atlantic Aviation FBO, Inc., Term Loan  LIBOR + 3.750%   129,675    6.326  +  12/06/2025   131,458 
Avantor, Inc., Initial B-1 Dollar Term Loan  LIBOR + 3.750%   624,449    6.326  +  11/20/2024   628,299 
Bausch Health Companies, Inc., Initial Term Loan  LIBOR + 3.000%   1,163,518    5.584  +  6/02/2025   1,170,126 
Bausch Health Companies, Inc., First Incremental Term Loan  LIBOR + 2.750%   204,250    5.334  +  11/28/2025   204,679 
Change Healthcare Holdings, Inc., Closing Date Term Loan  LIBOR + 2.750%   955,200    5.326  +  2/29/2024   956,308 
CHG Healthcare Services, Inc., New Term Loan (2017) (First Lien)  LIBOR + 3.000%   367,263    5.576  +  6/08/2023   367,915 
CHG PPC Parent LLC, Initial Term Loan (First Lien)  LIBOR + 2.750%   585,575    5.326  +  4/01/2025   586,676 
Chobani LLC, New Term Loan (First Lien)  LIBOR + 3.500%   843,429    6.076  +  10/10/2023   833,940 
Concordia International Corp., Initial Dollar Term Loan  LIBOR + 5.500%   90,090    8.097  +  9/06/2024   84,769 
CPI Acquisition, Inc., Term Loan (First Lien)  LIBOR + 4.500%   1,368,336    7.081  +  8/16/2022   1,022,831 
Diamond BV, Initial USD Term Loan  LIBOR + 3.000%   782,120    5.576  +  9/06/2024   755,723 
Dole Food Company, Inc., Tranche B Term Loan  LIBOR + 2.750%   916,375    5.331  +  4/06/2024   907,976 
Envision Healthcare Corp., Initial Term Loan  LIBOR + 3.750%   1,560,667    6.326  +  10/10/2025   1,510,655 
Explorer Holdings, Inc., Initial Term Loan  LIBOR + 3.750%   586,932    6.350  +  5/02/2023   587,759 
Fort Dearborn Holding Company, Inc., Initial Term Loan (First Lien)  LIBOR + 4.000%   392,602    6.589  +  10/20/2023   390,639 
Greatbatch Ltd., New Term B Loan (2017)  LIBOR + 3.000%   598,781    5.592  +  10/28/2022   601,916 
Greenrock Finance, Inc., Initial USD Term B Loan (First Lien)  LIBOR + 3.500%   251,813    6.100  +  6/28/2024   251,499 
GW Honos Security Corp., Term B Loan  LIBOR + 3.500%   227,198    6.108  +  5/24/2024   227,283 
Heartland Dental, LLC, Initial Term Loan  LIBOR + 3.750%   606,576    6.326  +  4/30/2025   598,615 
Heartland Dental, LLC, Delayed Term Loan  LIBOR + 3.750%   13,575    6.113  +  4/30/2025   13,397 
Herbalife Nutrition Ltd., Term Loan B  LIBOR + 3.250%   243,775    5.826  +  8/18/2025   245,512 

 

See accompanying notes to financial statements.

4

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Floating Rate Bond Fund (Continued)
April 30, 2019

 

   Variable  Principal   Interest    Maturity    
Security  Rate  Amount   Rate %    Date  Value 
BANK LOANS - 92.1% (Continued)                      
CONSUMER, NON-CYCLICAL - 20.3% (Continued)                      
H-Food Holdings LLC, Initial Term Loan  LIBOR + 3.688%  $471,438    6.263  +  5/24/2025  $462,989 
Hostess Brands LLC, November 2017 Refinancing Term B Loan  LIBOR + 2.250%   920,764    4.826  +  8/04/2022   920,764 
Jaguar Holding Company I LLC, 2018 Term Loan  LIBOR + 2.500%   934,743    5.076  +  8/18/2022   930,831 
JBS USA Lux S.A., Initial Term Loan  LIBOR + 2.500%   836,900    5.081  +  10/30/2022   838,428 
JBS USA Lux S.A., Term Loan B  LIBOR + 2.500%   740,000    5.082  +  4/24/2026   742,390 
Kronos Acquisition Intermediate, Inc., Initial Loan  LIBOR + 4.000%   956,837    6.579  +  5/16/2023   920,788 
Milk Specialties Company, New Term Loan  LIBOR + 4.000%   334,396    6.576  +  8/16/2023   335,650 
NAB Holdings LLC, 2018 Refinancing Term Loan  LIBOR + 3.000%   576,254    5.600  +  6/30/2024   565,449 
National Mentor Holdings, Inc., Initial Term Loan (First Lien)  LIBOR + 4.250%   127,105    6.826  +  3/08/2026   128,138 
National Mentor Holdings, Inc., Initial Term C Loan (First Lien)  LIBOR + 4.250%   7,895    6.826  +  3/08/2026   7,959 
NVA Holdings, Inc., Term B-3 Loan (First Lien)  LIBOR + 2.750%   772,220    5.326  +  2/02/2025   761,281 
NVA Holdings, Inc., Incremental Term B-4 Loan  LIBOR + 3.500%   20,000    6.081  +  2/02/2025   20,075 
Ortho-Clinical Diagnostics, Inc., Second Amendment New Term Loan  LIBOR + 3.250%   997,786    5.833  +  6/30/2025   999,158 
Parexel International Corp., Initial Term Loan  LIBOR + 2.750%   615,625    5.326  +  9/28/2024   604,790 
Parfums Holding Co., Inc., Initial Term Loan (First Lien)  LIBOR + 4.250%   637,041    6.865  +  6/30/2024   634,120 
PetVet Care Centers LLC, Initial Term Loan (First Lien)  LIBOR + 2.750%   462,825    5.332  +  2/14/2025   447,783 
PetVet Care Centers LLC, Delayed Draw Term Loan (First Lien)  LIBOR + 2.750%   136,879    4.622  +  2/14/2025   132,430 
Phoenix Guarantor, Inc., Initial Term Loan (First Lien)  LIBOR + 4.500%   123,750    7.092  +  3/04/2026   124,807 
Phoenix Guarantor, Inc., Delayed Draw Term Loan (First Lien)  LIBOR + 4.500%   11,250    7.107  +  3/05/2026   11,346 
Prime Security Services Borrower LLC, December 2018 Incremental Term B-1 Loan (First Lien)  LIBOR + 2.750%   790,010    5.326  +  5/02/2022   792,163 
Prospect Medical Holdings, Inc., Term B-1 Loan  LIBOR + 5.500%   253,088    8.084  +  2/22/2024   239,484 
Refinitiv US Holdings, Inc., Initial Dollar Term Loan  LIBOR + 3.750%   937,650    6.326  +  9/30/2025   929,056 
Regionalcare Hospital Partners Holdings, Inc., Term B Loan (First Lien)  LIBOR + 4.500%   802,988    7.080  +  11/16/2025   808,006 
Revlon Consumer Products Corp., Initial Term B Loan  LIBOR + 3.500%   650,045    6.115  +  9/08/2023   509,678 
Select Medical Corp., Tranche B Term Loan  LIBOR + 2.500%   563,789    5.080  +  3/06/2025   565,199 
Sigma Holdco BV, Facility B2  LIBOR + 3.000%   550,838    5.660  +  7/02/2025   546,106 
St. George’s University Scholastic Services LLC, Term Loan  LIBOR + 3.500%   893,796    6.076  +  7/16/2025   896,312 
Sterigenics-Nordion Holdings LLC, Incremental Term Loan  LIBOR + 3.000%   1,011,502    5.576  +  5/16/2022   1,006,065 
Surgery Center Holdings, Inc., Initial Term Loan  LIBOR + 3.250%   753,525    5.826  +  9/02/2024   745,914 
Trans Union LLC, 2017 Replacement Term B-3 Loan  LIBOR + 2.000%   1,489,492    4.576  +  4/10/2023   1,492,866 
U.S. Renal Care Inc., Initial Term Loan (First Lien)  LIBOR + 4.250%   616,612    6.850  +  12/30/2022   618,027 
Viant Medical Holdings, Inc., Initial Term Loan (First Lien)  LIBOR + 3.750%   174,125    6.350  +  7/02/2025   174,815 
Vizient, Inc., Term Loan B  LIBOR + 2.750%   150,000    5.341  +  5/16/2026   151,031 
Wellpath Holdings, Inc., Initial Term Loan (First Lien)  LIBOR + 5.500%   399,000    8.076  +  9/30/2025   386,531 
WEX, Inc., Term B-2 Loan  LIBOR + 2.250%   881,257    4.826  +  6/30/2023   884,289 
                     38,039,985 
ENERGY - 4.0%                      
California Resources Corp., Initial Loan  LIBOR + 4.750%   405,000    7.329  +  1/01/2023   393,964 
CITGO Petroleum Corp., 2019 Incremental Term B Loan  LIBOR + 5.000%   880,000    7.602  +  3/28/2024   880,365 
Fieldwood Energy LLC, Closing Date Loan (First Lien)  LIBOR + 5.250%   180,554    7.826  +  4/12/2022   174,724 
Fieldwood Energy LLC, Closing Date Loan 2018 (Second Lien)  LIBOR + 7.250%   81,748    9.826  +  4/12/2023   71,580 
Gavilan Resources LLC, Initial Term Loan (Second Lien)  LIBOR + 6.000%   490,000    8.582  +  2/29/2024   369,705 
McDermott International, Inc., Term Loan  LIBOR + 5.000%   707,850    7.576  +  5/12/2025   702,024 
Medallion Midland Acquisition LLC, Initial Term Loan  LIBOR + 3.250%   767,813    5.826  +  10/30/2024   764,695 
MRC Global Inc., 2018 Refinancing Term Loan  LIBOR + 3.000%   754,091    5.576  +  9/20/2024   757,394 
Paragon Offshore Finance Co., Term Loan  LIBOR + 2.750%   1,153    —  +  7/16/2021   — 
Seadrill Operating LP, Initial Term Loan  LIBOR + 6.000%   1,136,146    8.600  +  2/20/2021   912,166 
TerraForm Power Operating LLC, Specified Refinancing Term Loan  LIBOR + 2.000%   602,375    4.576  +  11/08/2022   601,622 
Traverse Midstream Partners LLC, Advance  LIBOR + 4.000%   651,725    6.576  +  9/28/2024   651,083 
Ultra Resources, Inc., Loan  LIBOR + 4.000%   665,000    6.580  +  4/12/2024   566,361 
Weatherford International Ltd., Loan  LIBOR + 1.425%   618,032    4.001  +  7/12/2020   607,025 
                     7,452,708 
FINANCIAL - 7.1%                      
Asurion LLC, Amendment No. 14 Replacement B-4 Term Loan  LIBOR + 3.000%   567,730    5.576  +  8/04/2022   570,660 
Asurion LLC, Replacement B-6 Term Loan  LIBOR + 3.000%   323,924    5.576  +  11/04/2023   325,417 
Asurion LLC, New B-7 Term Loan  LIBOR + 3.000%   387,075    5.576  +  11/04/2024   388,768 
Asurion LLC, Second Lien Replacement B-2 Term Loan  LIBOR + 6.500%   787,456    9.076  +  8/04/2025   805,091 
Blackhawk Network Holdings, Inc., Term Loan (First Lien)  LIBOR + 3.000%   570,688    5.576  +  6/16/2025   571,284 
Capital Automotive LP, Initial Tranche B-2 Term Loan (First Lien)  LIBOR + 2.500%   623,998    5.076  +  3/24/2024   623,480 
Capital Automotive LP, Initial Tranche B Term Loan (Second Lien)  LIBOR + 6.000%   572,573    8.576  +  3/24/2025   576,867 
Ditech Holding Corp., Tranche B Term Loan  LIBOR + 6.000%   1,048,106    10.500  +  6/30/2022   674,063 
Ellie Mae, Inc., Term Loan (First Lien)  LIBOR + 4.000%   705,000    6.591  +  4/16/2026   710,178 
FinCo I LLC, 2018 Replacement Loan  LIBOR + 2.000%   325,100    4.576  +  12/28/2022   326,997 
iStar, Inc., Loan  LIBOR + 2.750%   850,959    5.334  +  6/28/2023   852,002 
Lightstone Holdco LLC, Refinancing Term B Loan  LIBOR + 3.750%   470,678    6.326  +  1/30/2024   469,353 
Lightstone Holdco LLC, Refinancing Term C Loan  LIBOR + 3.750%   26,547    6.326  +  1/30/2024   26,472 
MGM Growth Properties Operating Partnership LP, Term B Loan  LIBOR + 2.000%   912,869    4.576  +  3/20/2025   913,851 
Pl UK Holdco II Ltd., Facility B1  LIBOR + 3.500%   1,460,250    6.076  +  1/04/2025   1,462,995 
                       

See accompanying notes to financial statements.

5

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Floating Rate Bond Fund (Continued)
April 30, 2019

 

   Variable  Principal   Interest    Maturity    
Security  Rate  Amount   Rate %    Date  Value 
BANK LOANS - 92.1% (Continued)                      
FINANCIAL - 7.1% (Continued)                      
Sedgwick Claims Management Services, Inc., Initial Term Loan  LIBOR + 3.250%  $1,010,000    5.826  +  1/01/2026  $1,365,208 
TKC Holdings, Inc., Initial Term Loan (First Lien)  LIBOR + 3.750%   908,237    6.326  +  1/31/2023   894,374 
UFC Holdings LLC, Term Loan (First Lien)  LIBOR + 3.250%   908,237    5.850  +  8/18/2023   971,606 
UFC Holdings LLC, Term B Loan  LIBOR + 3.250%   594,333    5.832  +  4/30/2026   95,467 
Uniti Group, Inc., Shortfall Term Loan  LIBOR + 5.000%   576,541    7.576  +  10/24/2022   567,882 
                     13,192,015 
INDUSTRIALS - 13.4%                      
Accuride Corp., 2017 Refinancing Term Loan  LIBOR + 5.250%   436,937    5.826  +  2/01/2025   386,689 
Anchor Glass Container Corp., July 2017 Additional Term Loan (First Lien)  LIBOR + 2.750%   428,075    5.332  +  12/08/2023   363,149 
Anchor Glass Container Corp., Term Loan (Second Lien)  LIBOR + 7.750%   244,000    10.334  +  12/08/2024   139,486 
Berlin Packaging LLC, Initial Term Loan (First Lien)  LIBOR + 3.000%   590,538    3.000  +  11/08/2025   584,387 
Berry Global, Inc., Term S Loan  LIBOR + 1.750%   226,743    4.353  +  2/08/2020   226,938 
Berry Global, Inc., Term T Loan  LIBOR + 1.750%   417,785    4.353  +  1/06/2021   417,843 
Berry Global, Inc., Term Q Loan  LIBOR + 2.000%   308,192    4.603  +  9/30/2022   308,176 
Berry Global, Inc., Term R Loan  LIBOR + 2.000%   521,370    4.603  +  1/20/2024   520,622 
Brand Energy & Infrastructure Services, Inc., Initial Term Loan  LIBOR + 4.250%   698,067    6.838  +  6/20/2024   686,521 
Brookfield WEC Holdings, Inc., Initial Term Loan (First Lien)  LIBOR + 3.500%   698,250    6.076  +  7/31/2025   703,487 
Brookfield WEC Holdings, Inc., Initial Term Loan (Second Lien)  LIBOR + 6.750%   280,000    9.326  +  8/04/2026   285,250 
BWay Holding Co., Initial Term Loan  LIBOR + 3.250%   481,425    5.851  +  4/04/2024   476,536 
Circor International, Inc., Initial Term Loan  LIBOR + 3.500%   656,177    6.101  +  12/12/2024   655,974 
CPG International LLC, New Term Loan  LIBOR + 3.750%   1,722,007    6.558  +  5/04/2024   1,720,578 
Deliver Buyer, Inc., Term Loan  LIBOR + 5.000%   306,966    7.600  +  4/30/2024   307,063 
Dynasty Acquisition Co., Inc., Initial Term B-1 Loan  LIBOR + 4.000%   399,965    6.589  +  4/06/2026   402,517 
Dynasty Acquisition Co., Inc., Initial Term B-2 Loan  LIBOR + 4.000%   215,035    6.589  +  4/06/2026   216,407 
Energizer Holdings, Inc., Term Loan B  LIBOR + 2.250%   303,600    4.826  +  12/16/2025   304,169 
Filtration Group Corp., Initial Dollar Term Loan  LIBOR + 3.000%   856,350    5.576  +  3/28/2025   859,831 
Fluidra SA, USD Term Loan  LIBOR + 2.250%   545,875    4.826  +  7/02/2025   546,102 
Gardner Denver, Inc., Tranche B-1 Dollar Term Loan  LIBOR + 2.750%   999,411    5.326  +  7/30/2024   1,003,014 
Gates Global LLC, Initial B-2 Dollar Term Loan  LIBOR + 2.750%   921,766    5.326  +  3/31/2024   924,596 
GFL Environmental, Inc., Effective Date Incremental Term Loan  LIBOR + 3.000%   611,917    5.576  +  5/30/2025   607,900 
Gopher Resource LLC, Initial Term Loan  LIBOR + 3.250%   477,038    5.826  +  3/06/2025   472,666 
Hexion, Inc., Initial Term Loan  LIBOR + 2.750%   210,000    5.348  +  9/30/2020   210,722 
Hillman Group, Inc., Initial Term Loan  LIBOR + 4.000%   704,675    6.576  +  5/30/2025   697,632 
Klockner Pentaplast Of America, Inc., Dollar Term Loan  LIBOR + 4.250%   861,875    6.826  +  6/30/2022   767,069 
NN, Inc., 2017 Incremental Term Loan  LIBOR + 3.250%   174,800    5.826  +  4/02/2021   171,141 
NN, Inc., Tranche B Term Loan  LIBOR + 3.750%   213,121    6.326  +  10/20/2022   210,457 
Quikrete Holdings, Inc., Initial Loan (First Lien)  LIBOR + 2.750%   786,538    5.326  +  11/16/2023   784,151 
RBS Global, Inc., Refinancing Term Loan  LIBOR + 2.000%   800,971    4.576  +  8/20/2024   802,809 
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan  LIBOR + 2.750%   1,181,607    5.326  +  2/04/2023   1,185,394 
Summit Materials LLC, New Term Loan  LIBOR + 2.000%   1,147,142    4.576  +  11/20/2024   1,147,503 
Titan Acquisition Ltd., Initial Term Loan  LIBOR + 3.000%   1,009,800    5.600  +  3/28/2025   973,195 
Transdigm, Inc., New Tranche F Term Loan (2018)  LIBOR + 2.500%   1,092,105    5.076  +  6/08/2023   1,090,057 
Transdigm, Inc., New Tranche G Term Loan  LIBOR + 2.500%   737,907    5.076  +  8/22/2024   735,811 
Transdigm, Inc., New Tranche E Term Loan (2018)  LIBOR + 2.500%   797,143    5.076  +  5/30/2025   794,819 
Tricorbraun Holdings, Inc., Closing Date Term Loan (First Lien)  LIBOR + 3.750%   637,833    6.350  +  11/30/2023   638,231 
Trident TPI Holdings, Inc., Tranche B-1 Term Loan  LIBOR + 3.250%   726,394    5.826  +  10/16/2024   710,733 
Tunnel Hill Partners LP, Initial Term Loan  LIBOR + 3.500%   655,000    6.076  +  2/06/2026   654,181 
US Farathane LLC, Term B-4 Loan  LIBOR + 3.500%   376,714    6.100  +  12/24/2021   371,063 
                     25,064,869 
TECHNOLOGY - 7.8%                      
Applied Systems, Inc., Closing Date Term Loan (First Lien)  LIBOR + 3.000%   690,147    5.576  +  9/20/2024   690,488 
Applied Systems, Inc., Initial Term Loan (Second Lien)  LIBOR + 7.000%   105,000    9.576  +  9/20/2025   107,152 
Blackboard, Inc., Term B-4 Loan (First Lien)  LIBOR + 5.000%   587,246    7.581  +  6/30/2021   584,751 
Boxer Parent Company, Inc., Initial Dollar Term Loan  LIBOR + 4.250%   1,436,400    6.850  +  10/02/2025   1,430,116 
Dell International LLC, Refinancing Term B Loan  LIBOR + 2.000%   1,456,939    4.576  +  9/08/2023   1,459,401 
Dun & Bradstreet Corp., Initial Term Borrowing  LIBOR + 5.000%   565,000    7.579  +  2/06/2026   569,947 
Everi Payments, Inc., Term B Loan  LIBOR + 3.000%   739,039    5.576  +  5/08/2024   741,574 
First Data Corporation, 2022D New Dollar Term Loan  LIBOR + 2.000%   861,265    4.586  +  7/08/2022   862,191 
Iqvia, Inc., Term B-1 Dollar Loan  LIBOR + 2.000%   144,019    4.600  +  3/08/2024   144,307 
Iqvia, Inc., Incremental Term B-2 Dollar Loan  LIBOR + 2.000%   73,875    4.600  +  1/16/2025   74,029 
Iqvia, Inc., Term B-3 Dollar Loan  LIBOR + 1.750%   744,375    4.326  +  6/12/2025   742,749 
Kronos, Inc., Incremental Term Loan (First Lien)  LIBOR + 3.000%   1,650,628    5.733  +  10/31/2023   1,655,134 
Kronos, Inc., Initial Term Loan (Second Lien)  LIBOR + 8.250%   120,000    10.983  +  10/31/2024   124,276 
Neustar, Inc., TLB4 (First Lien)  LIBOR + 3.500%   231,475    6.076  +  8/08/2024   226,942 
Presidio Holdings, Inc., Term B Loan  LIBOR + 2.750%   528,809    5.345  +  2/02/2024   529,306 
Rackspace Hosting, Inc., Term B Loan (First Lien)  LIBOR + 3.000%   564,349    5.734  +  11/04/2023   535,895 
                       

See accompanying notes to financial statements.

6

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Floating Rate Bond Fund (Continued)
April 30, 2019

 

   Variable  Principal   Interest    Maturity    
Security  Rate  Amount   Rate %    Date  Value 
BANK LOANS - 92.1% (Continued)                      
TECHNOLOGY - 7.8% (Continued)                      
SS&C Technologies Holdings, Inc., Term B-3 Loan  LIBOR + 2.250%  $585,057    4.826  +  4/16/2025  $586,157 
SS&C Technologies Holdings, Inc., Term B-4 Loan  LIBOR + 2.250%   420,654    4.826  +  4/16/2025   421,445 
SS&C Technologies Holdings, Inc., Term B-5 Loan  LIBOR + 2.250%   273,603    4.826  +  4/16/2025   274,049 
Tempo Acquisition LLC, Initial Term Loan  LIBOR + 3.000%   550,200    5.576  +  4/30/2024   551,575 
Ultimate Software Group, Inc., Term Loan B  LIBOR + 3.750%   410,000    6.334  +  4/08/2026   413,434 
Vertafore, Inc., Initial Term Loan (First Lien)  LIBOR + 3.250%   1,840,388    5.826  +  7/02/2025   1,828,683 
                     14,553,601 
UTILITIES - 1.5%                      
APLP Holdings LP, Term Loan  LIBOR + 2.750%   276,536    5.326  +  4/12/2023   278,654 
Calpine Construction Finance Co. LP, Term B Loan  LIBOR + 2.500%   715,109    5.076  +  1/16/2025   716,261 
Pacific Gas and Electric Company, Term Loan (DIP)  LIBOR + 2.250%   155,000    4.764  +  12/31/2020   155,969 
Pacific Gas and Electric Company, Delayed Draw Term Loan (DIP)  LIBOR + 2.250%   50,000    4.764  +  12/31/2020   50,312 
Talen Energy Supply LLC, Term B-1 Loan  LIBOR + 4.000%   195,510    6.576  +  7/16/2023   196,060 
Talen Energy Supply LLC, Initial Term Loan  LIBOR + 4.000%   326,290    6.576  +  4/16/2024   327,209 
Texas Competitive Electric Holdings Co. LLC Escrow Bonds      635,000    —    10/01/2020   445 
Vistra Operations Co. LLC, Initial Term Loan  LIBOR + 2.000%   227,418    4.576  +  8/04/2023   227,910 
Vistra Operations Co. LLC, 2018 Incremental Term Loan  LIBOR + 2.000%   868,438    4.587  +  1/01/2026   870,066 
                     2,822,886 
TOTAL BANK LOANS (Cost - $174,334,641)                    172,222,293 
                       
BONDS & NOTES - 3.9%                      
AUTO PARTS & EQUIPMENT - 0.0%                      
Panther BF Aggregator 2 LP - 144A      25,000    6.250    5/15/2026   26,094 
                       
CHEMICALS - 0.1%                      
Hexion, Inc.      105,000    6.625    4/15/2020   83,737 
NOVA Chemicals Corp. - 144A      65,000    4.875    6/01/2024   63,781 
NOVA Chemicals Corp. - 144A      40,000    5.000    5/01/2025   39,050 
                     186,568 
COMPUTERS - 0.3%                      
Exela Intermediate LLC - 144A      520,000    10.000    7/15/2023   526,334 
                       
DIVERSIFIED FINANCIAL SERVICES - 0.1%                      
Springleaf Finance Corp.      250,000    6.125    5/15/2022   265,325 
                       
FOOD - 0.1%                      
Dole Food Co., Inc. - 144A      175,000    7.250    6/15/2025   162,750 
                       
HEALTHCARE-SERVICES - 0.6%                      
Eagle Holding Co. II LLC - 144A      175,000    7.625    5/15/2022   176,312 
One Call Corp. - 144A      613,426    7.500    7/01/2024   531,380 
Tenet Healthcare Corp.      405,000    4.625    7/15/2024   407,660 
                     1,115,352 
HOME BUILDERS - 0.3%                      
Lennar Corp.      420,000    2.950    11/29/2020   416,850 
TRI Pointe Group, Inc.      70,000    4.375    6/15/2019   70,055 
TRI Pointe Group, Inc.      130,000    4.875    7/01/2021   132,275 
                     619,180 
INSURANCE - 0.1%                      
Acrisure LLC - 144A      90,000    8.125    2/15/2024   94,275 
                       
LODGING - 0.2%                      
Hilton Domestic Operating Co., Inc. - 144A      295,000    5.125    5/01/2026   302,744 
                       
MEDIA - 0.2%                      
CCO Holdings LLC - 144A      180,000    4.000    3/01/2023   180,900 
DISH DBS Corp.      175,000    5.875    7/15/2022   171,404 
iHeartCommunications, Inc.      95,000    9.000    12/15/2019   70,775 
                     423,079 
OIL & GAS - 0.1%                      
Denbury Resources, Inc. - 144A      60,000    9.250    3/31/2022   61,050 
Denbury Resources, Inc. - 144A      185,000    7.500    2/15/2024   171,125 
                     232,175 
                       

See accompanying notes to financial statements.

7

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Floating Rate Bond Fund (Continued)
April 30, 2019

 

   Principal   Interest   Maturity    
Security  Amount   Rate %   Date  Value 
BONDS & NOTES - 3.9% (Continued)                  
PACKAGING & CONTAINERS - 0.3%                  
Ardagh Packaging Finance PLC - 144A  $235,000    6.000   2/15/2025  $237,350 
BWAY Holding Co. - 144A   265,000    5.500   4/15/2024   264,178 
                 501,528 
PHARMACEUTICALS - 0.2%                  
Bausch Health Companies, Inc. - 144A   445,000    5.500   11/01/2025   457,100 
                   
PIPELINES - 0.1%                  
Energy Transfer Operating LP   190,000    4.250   3/15/2023   194,969 
                   
PRIVATE EQUITY - 0.2%                  
Icahn Enterprises LP   310,000    6.250   2/01/2022   320,162 
                   
REAL ESTATE INVESTMENT TRUSTS - 0.2%                  
iStar Financial, Inc.   60,000    6.000   4/01/2022   61,575 
iStar Financial, Inc.   335,000    5.250   9/15/2022   338,350 
                 399,925 
RETAIL - 0.1%                  
Cumberland Farms, Inc. - 144A   125,000    6.750   5/01/2025   132,188 
                   
SEMICONDUCTORS - 0.5%                  
Broadcom, Inc. - 144A   1,000,000    3.125   10/15/2022   995,544 
                   
SOFTWARE - 0.2%                  
First Data Corp. - 144A   190,000    5.375   8/15/2023   194,731 
First Data Corp. - 144A   90,000    5.000   1/15/2024   92,316 
First Data Corp. - 144A   25,000    5.750   1/15/2024   25,859 
                 312,906 
TELECOMMUNICATIONS - 0.0%                  
Frontier Communications Corp.   90,000    8.500   4/15/2020   86,175 
                   
TOTAL BONDS & NOTES (Cost - $7,467,472)                7,354,373 
                   
   Shares              
RIGHTS - 0.0%                  
TRA Rights   10,588            8,142 
TOTAL RIGHTS (Cost - $17,470)                  
   Principal              
   Amount              
U.S. GOVERNMENT - 1.0%                  
Treasury Bill  $1,885,000    2.360 +  9/05/2019   1,869,290 
TOTAL U.S. GOVERNMENT (Cost - $1,868,641)                  
                   
                   
   Shares              
SHORT-TERM INVESTMENT - 5.1%                  
MONEY MARKET FUND - 5.1%                  
Fidelity Investments Money Market Fund - Class I   9,483,324    2.310 +      9,483,324 
TOTAL SHORT-TERM INVESTMENT - (Cost - $9,483,324)                  
                   
TOTAL INVESTMENTS - 102.1% (Cost - $193,171,548)                190,937,422 
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.1)%                (3,931,807)
NET ASSETS - 100.0%               $187,005,615 
                   

LP - Limited Partnership.

 

LLC - Limited Liability Company.

 

LLP - Limited Liability Partnership

 

PLC - Public Limited Company

 

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. As of April 30, 2019 the total market value of 144A securities is $4,735,061 or 2.53% of net assets.

 

+Variable rate security. Interest rate is as of April 30, 2019.

 

See accompanying notes to financial statements.

8

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Floating Rate Bond Fund (Continued)
April 30, 2019

 

Portfolio Composition *- (Unaudited)
Bank Loans   90.2%  Financial   0.6%
Short-Term Investment   5.0%  Communications   0.3%
U.S. Government   1.0%  Industrial   0.2%
Technology   0.9%  Energy   0.2%
Consumer, Non-Cyclical   0.9%  Basic Materials   0.1%
Consumer, Cyclical   0.6%  Rights   0.0%
        Total   100.0%
              
*Based on total value of investments as of April 30, 2019

 

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

 

See accompanying notes to financial statements.

9

 

Dunham Long/Short Credit Fund (Unaudited)
Message from the Sub-Adviser (MetLife Investment Management)
 

Asset Class Recap

 

The start to 2019 was by many metrics the strongest start to the year for credit markets since 2003. The sharp selloff at the end of 2018 presented investors with more attractive valuations to begin the new year, while seemingly every macro headwind at year-end became a tailwind. This was primarily bolstered by comments from the Federal Reserve, which orchestrated a dovish pivot that culminated in a “pause” in the rate hiking cycle. While Treasuries and investment grade bonds generally appreciated in the tumultuous final months of 2018, high-yield bonds saw this recent gain as a welcomed swift reversal. Therefore, long/short credit strategies, as measured by the Morningstar MSCI Long/Short Credit Index, were generally tested by the whipsaw. Specifically, as many long/short credit strategies attempt to extract spreads between various bond sectors, credit qualities, and even individual securities, relatively large movements like those seen in the last six months can stress both the long positions and short positions in the strategy. During the primarily negative months of November and December, long/short credit strategies in general declined 0.8 percent. As the new year commenced with a rebound, long/short credit strategies broadly increased close to 5 percent in the first four months of the calendar year.

 

Allocation Review

 

As the Sub-Adviser implements multiple strategy types within the Fund, the largest allocations during the six-month period were to the long strategy and the rate hedging strategy. While interest rates generally fell and nearly all bond sectors experienced gains, the rate hedging strategy and other strategies with a short bias generally detracted from performance. However, since the majority of the Fund was investing in long-biased positions, the overall impact was positive. The short-biased strategies had helped to reduce volatility and drawdowns in the volatile end to 2018, where some of 2019’s strongest performers experienced sizeable declines.

 

The Fund’s exposure to pairs trades and catalyst driven positions generally provided stability during the six-month period and comprised close to 20 percent of the Fund. As the higher octane areas of the fixed income markets advanced during the fiscal quarter, the Sub-Adviser generally added to its short positions in those areas, paring back its long positions.

 

Holdings Insights

 

Given the strength and breadth of positive performance in the most recent fiscal quarter, the short positions such as the SWAP on the iBoxx USD Liquid High-Yield Index (IBOXHY) (holding weight*: -7.22 percent) and Commonwealth Bank of Australia credit default SWAP (holding weight*: -0.06 percent) were some of the Fund’s largest detractors. During the most recent fiscal quarter, IBOXHY and Commonwealth Bank of Australia bond each increased, detracting 1.7 percent and 18.4 percent, respectively from the Fund. The Sub-Adviser had been increasing its short position in IBOXHY as the high-yield rally appeared to be pricing in the best outcomes from prevailing macro themes, including a successful trade deal with China. The Sub-Adviser believed that the real estate concerns in Australia would lead its central bank to additional monetary easing, but it simply maintained its historically low interest rates. Further easing was expected to put additional pressure on banks that primarily provide home loans, further compressing their already record-low interest rate spreads. Despite the bleak outlook for spread widening and a lack of additional stimulus for the suffering housing market, the Commonwealth Bank of Australia bonds appreciated during the fiscal quarter. Not all detractors were in short positions, as the Weight Watchers International, Inc. bank loan (BL2563049) (holding weight*: 1.62 percent) suffered a significant drop in subscriptions that many attributed to the material shift in their ad campaign. Since the Weight Watchers bank loan was added to the Fund at the end of January through the end of the second fiscal quarter, the bank loan’s price declined 4.3 percent.

 

One of the larger detractors in the November and December decline was Freeport-McMoran Inc.’s bond maturing in 2043 (35671DBC8) (holding weight*: 0.95 percent), one of the largest molybdenum and copper producers in the world. After the price of the bonds declined 10.6 percent during the first two months of the fiscal year, primarily due to global growth concerns, the Freeport-McMoran bonds surged 19.4 percent in the proceeding four months, bringing the overall total return for the first half of the fiscal year, including interest, to 10.0 percent. Another holding that experienced a similar decline and recovery was the Reynolds American Inc. bond maturing in 2037 (761713AT3) (holding weight*: 1.70 percent). As a potential ban on menthol cigarettes was weighed, the tobacco sector took a sizeable hit, and the Reynolds American bond’s price declined 8.4 percent in the first fiscal quarter. However, as additional information released showed signs that any ban’s implementation would be years away, the sector broadly rebounded and the Reynolds American bond recovered 9.2 percent in the second fiscal quarter. Since the beginning of the fiscal year through the end of the most recent fiscal quarter, the Reynolds American bond returned 3.1 percent when including the effect of the 7.25 percent coupon.

 

Sub-Adviser Outlook

 

The Sub-Adviser continues to believe that fundamentals and economic data may have peaked, using the increased valuations to generally exit long positions and allocate to sub-strategies that are less dependent on the market continuing upward. In addition, while the Sub-Adviser does not see the conditions in place for an impending recession, it believes the widespread bouts of bearishness warrants being cautious and selective - investing in credit situations where the Sub-Adviser can get comfortable that the valuations are not commensurate with the fundamentals. The Sub-Adviser anticipates maintaining a net exposure slightly below average and adding as opportunities arise.

 

*Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2019.
 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns as of April 30, 2019
      Annualized Annualized
  Six Months One Year Five Years Ten Years
Class N 2.70% 9.25% 4.30% 8.66%
Class C 2.18% 8.10% 3.25% 7.58%
Class A with load of 5.75% (3.32)% 2.64% 2.79% 7.75%
Class A without load 2.58% 8.92% 4.03% 8.39%
BofA Merrill Lynch US 3-Month Treasury Bill Index +3% 2.64% 5.24% 3.81% 3.46%
Morningstar Long-Short Credit Category 2.56% 2.21% 1.29% 5.11%
         

The BofA Merrill Lynch US 3-Month Treasury Bill Index +3% is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled in a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closet to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. Plus an annualized return of 3%.

 

The Morningstar Long-Short Credit Category is generally representative of funds that purchase or sell bonds, credit default swaps, or other credit derivatives to potentially benefit from changes in the credit markets and/or individual issuers.

 

 

As disclosed in the Trust’s latest registration statement as supplemented the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.66% for Class N, 2.66% for Class C and 1.91% 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 Long/Short Credit Fund
April 30, 2019

 

Security     Shares           Value 
COMMON STOCK - 0.0%                      
TELECOMMUNICATIONS - 0.0%                      
NII Holdings, Inc. *      10,000            $19,600 
TOTAL COMMON STOCK (Cost - $57,730)                      
   Variable  Principal   Interest    Maturity     
   Rate  Amount   Rate %    Date     
BONDS & NOTES - 29.8%                      
AGRICULTURE - 4.4%                      
Altria Group, Inc.     $915,000    4.800    2/14/2029   951,586 
Altria Group, Inc.      880,000    5.800    2/14/2039   942,993 
Reynolds American, Inc.      1,000,000    7.250    6/15/2037   1,199,910 
                     3,094,489 
BANKS - 1.3%                      
Wachovia Capital Trust II  3 mo. LIBOR + 0.500%   1,000,000    3.097  +  1/15/2027   923,390 
                       
COMPUTERS - 1.3%                      
Harland Clarke Holdings Corp. - 144A      1,000,000    8.375    8/15/2022   892,500 
                       
DIVERSIFIED FINANCIAL SERVICES - 2.1%                      
GE Capital International Funding Co. Unlimited Co.      325,000    2.342    11/15/2020   321,588 
GE Capital International Funding Co. Unlimited Co.      1,240,000    4.418    11/15/2023   1,163,550 
                     1,485,138 
ENTERTAINMENT - 1.7%                      
Enterprise Development Authority - 144A      1,175,000    12.000    7/15/2024   1,210,250 
                       
FOOD - 4.6%                      
JBS Investments GmbH - 144A      1,350,000    6.250    2/5/2023   1,375,312 
Mars, Inc. - 144A      965,000    3.600    4/1/2034   966,104 
Smithfield Foods, Inc. - 144A      835,000    5.200    4/1/2029   855,089 
                     3,196,505 
FOREST PRODUCTS & PAPER - 1.0%                      
Suzano Austria GmbH- 144A      655,000    7.000    3/16/2047   729,022 
                       
INSURANCE - 1.4%                      
United Insurance Holdings Corp.      1,000,000    6.250    12/15/2027   1,017,978 
                       
IRON/STEEL - 2.0%                      
CSN Resources      1,405,000    6.500    7/21/2020   1,433,100 
                       
MEDIA - 2.3%                      
American Media LLC - 144A      100,000    10.500    12/31/2026   103,750 
Viacom, Inc.  3 mo. LIBOR + 3.899%   1,500,000    6.250  +  2/28/2057   1,548,900 
                     1,652,650 
MINING - 2.1%                      
Freeport-McMoRan, Inc.      740,000    5.450    3/15/2043   671,550 
New Gold, Inc. - 144A      900,000    6.250    11/15/2022   821,250 
                     1,492,800 
OIL & GAS - 2.4%                      
Transocean Poseidon Ltd. - 144A      1,600,000    6.875    2/1/2027   1,708,000 
                       
PIPELINES - 1.0%                      
Rockies Express Pipeline LLC - 144A      725,000    4.950    7/15/2029   726,428 
                       

See accompanying notes to financial statements.

11

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Long/Short Credit Fund (Continued)
April 30, 2019

 

   Variable  Principal   Interest    Maturity    
Security  Rate  Amount   Rate %    Date  Value 
BONDS & NOTES - 29.8% (Continued)                      
TELECOMMUNICATIONS - 2.2%                      
Gogo Intermediate Holdings LLC - 144A     $500,000    9.875    5/1/2024  $512,355 
Sprint Spectrum Co. LLC - 144A      1,000,000    4.738    3/20/2025   1,021,250 
                     1,533,605 
TOTAL BONDS & NOTES (Cost - $20,178,932)                    21,095,855 
                       
BANK LOANS - 2.9%                      
HEALTHCARE PRODUCTS - 1.6%                      
Weight Watchers International, Inc.  LIBOR + 4.750%   1,184,211    0.000  +  11/29/2024   1,142,023 
                       
TECHNOLOGY - 1.3%                      
First Data Corp.  LIBOR + 2.000%   900,000    4.212  +  4/26/2024   900,846 
SS&C Technologies, Inc.  LIBOR + 2.250%   2,310    4.550  +  4/16/2025   2,314 
                     903,160 
TOTAL BANK LOANS (Cost - $2,075,429)                    2,045,183 
                       
U.S. GOVERNMENT - 53.3%                      
TREASURY BILLS - 43.2%                      
Treasury Bill      10,150,000    2.369  +  5/2/2019   10,149,332 
Treasury Bill      10,155,000    2.364  +  5/7/2019   10,150,842 
Treasury Bill      10,275,000    2.386  +  5/21/2019   10,260,864 
                     30,561,038 
TREASURY NOTES/BONDS - 10.1%                      
Treasury Note / Bond      1,575,000    2.625    12/31/2023   1,598,963 
Treasury Note / Bond      925,000    2.500    2/28/2026   931,468 
Treasury Note / Bond      790,000    2.625    2/15/2029   798,147 
Treasury Note / Bond      1,910,000    3.000    8/15/2048   1,931,786 
Treasury Note / Bond      1,710,000    3.375    11/15/2048   1,859,358 
                     7,119,722 
TOTAL U.S. GOVERNMENT (Cost - $37,594,441)                    37,680,760 
                       
      Shares               
SHORT-TERM INVESTMENT - 13.3%                      
MONEY MARKET FUND - 13.3%                      
First American Government Obligations Fund - Class Z      9,422,912    2.320  +      9,422,912 
TOTAL SHORT-TERM INVESTMENT (Cost - $9,422,912)                      
                       
TOTAL INVESTMENTS - 99.3% (Cost - $69,329,444)                   $70,264,310 
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7%                    481,137 
TOTAL NET ASSETS - 100.0%                   $70,745,447 
                       

LLC - Limited Liability Company

 

*Non-income producing security.

 

+Variable rate security. Interest rate is as of April 30, 2019.

 

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. As of April 30, 2019 the total market value of 144A securities is $10,921,310 or 15.5% of net assets.

 

See accompanying notes to financial statements.

12

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Long/Short Credit Fund (Continued)
April 30, 2019

 

             Unrealized 
   Short      Maturity  Appreciation/ 
Security  Contracts  Notional   Date  (Depreciation) 
OPEN SHORT FUTURES CONTRACTS - (0.2)%                
U.S. 5 Year Treasury Note  14  $1,618,969   June-19  $(13,562)
U.S 10 Year Treasury Note  46   5,688,906   June-19   (33,602)
U.S. Treasury Long Bond  58   8,553,188   June-19   (116,000)
NET UNREALIZED LOSS FROM OPEN SHORT FUTURE CONTRACTS  $(163,164)

 

CREDIT DEFAULT SWAPS
 
                 Unrealized 
      Notional at   Premium   Maturity  Appreciation/ 
Description (1)  Counterparty  April 30, 2019   Paid (Received)   Date  (Depreciation) 
To Buy Protection - Commonwealth Bank of Australia  Goldman Sachs  $2,000,000   $(15,499)  12/20/2023  $(28,595)
To Buy Protection - Xerox Corp.  JPMorgan   3,000,000    179,980   6/20/2024   2,042 
To Sell Protection - Dell, Inc.  JPMorgan   (3,000,000)   (170,136)  6/20/2024   13,581 
NET UNREALIZED LOSS FROM CREDIT DEFAULT SWAPS  $(12,972)

 

TOTAL RETURN SWAPS
                      
                    Unrealized 
          Notional Value at      Maturity  Appreciation/ 
Reference Entity  Shares   Counterparty  April 30, 2019   Interest Rate  Date  (Depreciation) 
iBoxx USD Liquid High Yield Index   (17,621)  JPMorgan   5,000,000   3 mo. LIBOR + 0.000%  6/20/2019  $(87,070)
NET UNREALIZED LOSS FROM TOTAL RETURN SWAPS  $(87,070)
                         
(1)If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising of the referenced index.

 

Portfolio Composition *- (Unaudited)
U.S. Government   53.7%
Bonds & Notes   30.0%
Short-Term Investment   13.4%
Bank Loans   2.9%
Common Stock   0.0%
Total   100.0%
      
*Based on total value of investments as of April 30, 2019.

 

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

 

See accompanying notes to financial statements.

13

 

Dunham Corporate/Government Bond Fund (Unaudited)
Message from the Sub-Adviser (Newfleet Asset Management, LLC)
 

Asset Class Recap

 

When yields fall, fixed-coupon bonds generally experience capital appreciation. This was the case during the first fiscal quarter when 10-year Treasury yields plummeted 0.5 percent. In the most recent fiscal quarter, the 10-year Treasury’s yield dropped, but by a more muted 0.1 percent. This decline in rates supported bond appreciation, as intermediate- term investment grade bonds, as measured by the Bloomberg Barclays Aggregate Bond Index, rose 1.9 percent during the second fiscal quarter after increasing 3.5 percent in the first fiscal quarter. Despite equity markets rallying, which historically alludes to a difficult backdrop for bonds, the rhetoric coming from the Federal Reserve regarding halts to interest rate increases as well as generally strong corporate fundamentals helped to provide tailwinds for equity and bond investors alike. Therefore, it is not surprising that fixed income instruments that have moderate interest rate sensitivity as well as moderate-to-high potential concerns for corporate health, such as high-yield bonds, saw the largest gains in the fixed income space. During the six-month period, investment grade corporate bonds rose 5.5 percent while high-yield bonds rose a comparable 5.6 percent. As yields dropped between 0.5 percent and 0.8 percent across the credit quality spectrum, yield spreads did not see the same magnitude of tightening due to the sizeable drop in Treasury yields.

 

Allocation Review

 

Almost two-thirds of the Bloomberg Barclays Aggregate Bond Index is comprised of U.S. Treasuries and mortgage-backed securities. Conversely, the Fund held less than 20 percent across these same bond sectors. Therefore, the Fund’s allocation is generally quite disparate from the index, with the Fund’s largest overweights in the asset backed securities, residential mortgage-backed securities, and investment grade corporate bond sectors. Historically, the Sub-Adviser has also opportunistically allocated to high-yield bonds and bank loans. However, the Fund’s allocation to these instruments is near an all-time low, with less than 15 percent allocated. These allocation exposures were partially offsetting for Fund performance during the six-month period. Mortgage-backed securities and U.S. Treasuries generally outperformed residential mortgage-backed securities, bank loans, and asset backed securities, but underperformed high-yield bonds and investment grade corporate bonds.

 

Holdings Insights

 

Although the sizeable differences in bond sector allocation drove a significant amount of the Fund’s relative performance, holdings such as the Government of Argentina 4.625% bond maturing in 2023 (040114HP8) (holding weight**: 0.48 percent) was one of the greatest detractors. Argentina has been highly volatile, as the country is undergoing an economic reform program to shore up its fiscal position. In addition to tighter fiscal policy, the central bank is tightening monetary policy. This tightening impaired these bonds primarily in the second fiscal quarter, leading to an overall price decline of 13.1 percent from their purchase date in January through when they were sold at the end of April. Another detractor included the Bristow Group Inc. 8.75% bonds maturing in 2023 (110394AG8) (holding weight**: 0.08 percent). Bristow primarily operates helicopters for the offshore oil and gas industry as well as search and rescue in the UK. The Sub-Adviser exited the bonds in early February after the company reported a menagerie of corporate troubles. The bonds had declined 16.6 percent since the beginning of the fiscal year through their sale date.

 

Contributors to Fund performance during the six-month period included the Springleaf Finance Corporation 6.875% bond maturing in 2025 (85172FAM1) (holding weight*: 0.19 percent), the Pultegroup, Inc. 6.375% bond maturing in 2033 (745867AP6) (holding weight*: 0.26 percent), and the William Lyon Homes 6.0% bond maturing in 2023 (96926DAU4) (holding weight*: 0.26 percent). All of these bonds experienced the majority of their gains in the second fiscal quarter. The Springleaf bonds jumped 10.8 percent in the six-month period as a result of the lender being upgraded by Moody’s and S&P. The Pultegroup’s long-dated bonds benefitted from declining rates, due to the higher duration, as well as market tailwinds arriving for homebuilders. Similar to Pultegroup, the William Lyon Homes bonds were also carried higher by positive homebuilder sentiment. During the six-month period, the Pultegroup and William Lyon Homes bonds rose 12.4 percent and 6.8 percent, respectively.

 

Sub-Adviser Outlook

 

The Sub-Adviser believes that sound fundamentals are supportive of stability in the investment grade bond arena. While current conditions have been conducive for appreciation in the high-yield market, the Sub-Adviser is cautious and believes that careful credit selection will be key. The Sub-Adviser also continues to believe that housing will benefit in the near-term from depressed interest rates. The Sub-Adviser believes that the prospect of renewed volatility in the bond market may present opportunities and believes a more cautious stance in the interim may allow for the Fund to take advantage of depressed prices as they arise.

 

*Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2019.

 

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

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns as of April 30, 2019
      Annualized Annualized
  Six Months One Year Five Years Ten Years
Class N 4.73% 4.08% 1.85% 3.94%
Class C 4.38% 3.33% 1.09% 3.16%
Class A with load of 4.50% (0.07)% (0.87)% 0.65% 3.19%
Class A without load 4.61% 3.83% 1.58% 3.67%
Barclays Aggregate Bond Index 5.49% 5.29% 2.57% 3.72%
Morningstar Intermediate Core Plus Bond Category 5.12% 4.94% 2.60% 4.92%
         

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 Core Plus 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 1.20% for Class N, 1.95% for Class C and 1.45% 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

14

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Corporate/Government Bond Fund
April 30, 2019

 

   Variable  Principal   Interest   Maturity    
Security  Rate  Amount   Rate %    Date  Value 
CORPORATE BONDS & NOTES - 64.6%                      
AEROSPACE / DEFENSE - 0.3%                      
Boeing Co.     $100,000    3.100    5/1/2026  $99,719 
TransDigm, Inc.      50,000    6.375    6/15/2026   50,313 
                     150,032 
AGRICULTURE - 0.2%                      
Bunge Ltd Finance Corp.      110,000    4.350    3/15/2024   111,908 
                       
APPAREL - 0.1%                      
Under Armour, Inc.      75,000    3.250    6/15/2026   69,265 
                       
AUTO MAUFACTURERS - 0.1%                      
Navistar International Corp. - 144A      55,000    6.625    11/1/2025   56,306 
                       
AUTO PARTS & EQUIPMENT - 0.5%                      
Lear Corp.      195,000    3.800    9/15/2027   190,024 
Panther BF Aggregator 2 LP / Panther Finance Co., Inc. - 144A   5,000    6.250    5/15/2026   5,219 
Tenneco, Inc.      65,000    5.000    7/15/2026   53,137 
                     248,380 
AUTOMOBILE ABS - 8.2%                      
American Credit Acceptance Receivables Trust 2017-2 - 144A   97,020    2.860    6/12/2023   96,952 
American Credit Acceptance Receivables Trust 2018-3 - 144A   165,000    3.750    10/15/2024   166,095 
Americredit Automobile Receivables Trust 2018-1   135,000    3.820    3/18/2024   137,691 
Avid Automobile Receivables Trust 2018-1 - 144A   113,795    2.840    8/15/2023   113,370 
Avis Budget Rental Car Funding AESOP LLC - 144A   150,000    3.070    9/20/2023   150,553 
Capital Auto Receivables Asset Trust 2017-1 - 144A   160,000    2.700    9/20/2022   158,411 
Carmax Auto Owner Trust 2019-1      140,000    3.740    1/15/2025   142,693 
Carnow Auto Receivables Trust - 144A      33,731    2.920    9/15/2022   33,693 
Carvana Auto Receivables Trust 2019-1 - 144A   145,000    3.880    10/15/2024   146,467 
Centre Point Funding LLC - 144A      70,022    2.610    8/20/2020   69,423 
CPS Auto Receivables Trust 2017-D - 144A      100,000    2.430    1/18/2022   99,760 
Drive Auto Receivables Trust 2017-3      127,645    2.800    7/15/2022   127,656 
Drive Auto Receivables Trust 2017-A - 144A      93,777    2.980    1/18/2022   93,831 
Drive Auto Receivables Trust 2019-1      165,000    3.780    4/15/2025   167,607 
DT Auto Owner Trust 2017-3 - 144A      160,000    3.010    5/15/2023   160,048 
DT Auto Owner Trust 2019-1 - 144A      120,000    3.610    11/15/2024   121,112 
Exeter Automobile Receivables Trust 2017-2 - 144A   160,000    2.820    5/16/2022   159,912 
Exeter Automobile Receivables Trust 2018-1 - 144A   170,000    3.030    1/17/2023   170,343 
Exeter Automobile Receivables Trust 2019-1 - 144A   165,000    3.820    12/16/2024   167,661 
First Investors Auto Owner Trust 2017-2 - 144A   135,000    2.650    11/15/2022   134,800 
First Investors Auto Owner Trust 2019-1 - 144A   150,000    3.260    3/17/2025   150,250 
Flagship Credit Auto Trust 2016-1 - 144A      199    2.770    12/15/2020   199 
Flagship Credit Auto Trust 2017-3 - 144A      160,000    2.910    9/15/2023   159,655 
GLS Auto Receivables Trust - 144A      160,000    2.980    12/15/2021   159,909 
Hertz Vehicle Financing II LP - 144A      135,000    2.670    9/25/2021   134,198 
Hyundai Auto Lease Securitization Trust 2018-A - 144A   101,506    2.550    8/17/2020   101,462 
OneMain Direct Auto Receivables Trust 2017-2 - 144A   135,000    2.820    7/15/2024   134,643 
OneMain Direct Auto Receivables Trust 2018-1 - 144A   125,000    3.850    10/14/2025   126,904 
Prestige Auto Receivables Trust 2017-1 - 144A   160,000    2.810    1/17/2023   159,539 
Santander Drive Auto Receivables Trust 2016-1   66,178    3.090    4/15/2022   66,232 
Santander Drive Auto Receivables Trust 2017-1   115,000    2.580    5/16/2022   114,837 
Tesla Auto Lease Trust 2018-A - 144A      75,833    2.320    12/20/2019   75,770 
Westlake Automobile Receivables Trust 2018-3 - 144A   150,000    3.610    10/16/2023   151,450 
                     4,153,126 
BANKS - 7.3%                      
Banco de Credito e Inversiones SA - 144A      370,000    3.500    10/12/2027   363,849 
Banco Santander Chile - 144A      150,000    3.875    9/20/2022   153,624 
Bank of America Corp.      361,000    4.200    8/26/2024   374,795 
Bank of Montreal  5 Year Swap Rate US + 1.432%   234,000    3.803  +  12/15/2032   227,867 
Bank of New York Mellon Corp.  3 Month LIBOR + 3.420%   190,000    4.950  +  12/29/2049   192,653 
BBVA Bancomer SA/Texas - 144A  5 Year Treasury Note + 2.650%   200,000    5.125  +  1/18/2033   190,250 
Citigroup, Inc.      160,000    4.050    7/30/2022   165,258 
Citigroup, Inc.      222,000    3.200    10/21/2026   217,591 
Goldman Sachs Group, Inc.      230,000    4.250    10/21/2025   237,033 
JPMorgan Chase & Co.  3 Month LIBOR + 3.800%   205,000    5.300  +  12/29/2049   208,968 
M&T Bank Corp.  3 Month LIBOR + 3.520%   109,000    5.125  +  12/29/2049   110,732 
Morgan Stanley      120,000    6.375    7/24/2042   157,265 
PNC Financial Services Group, Inc.  3 Month LIBOR + 3.300%   170,000    5.000  +  12/29/2049   170,717 
Santander Holdings USA, Inc.      65,000    4.400    7/13/2027   66,087 
                       

See accompanying notes to financial statements.

15

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Corporate/Government Bond Fund (Continued)
April 30, 2019

 

   Variable  Principal   Interest   Maturity    
Security  Rate  Amount   Rate %    Date  Value 
CORPORATE BONDS & NOTES - 64.6% (Continued)                   
BANKS - 7.3% (Continued)                      
Santander Holdings USA, Inc.     $133,000    3.700    3/28/2022  $134,407 
Santander Holdings USA, Inc.      80,000    4.450    12/3/2021   82,679 
Synovus Financial Corp.  5 Year Swap Rate US + 3.379%   70,000    5.900  +  2/7/2029   71,750 
Toronto-Dominion Bank  5 Year Swap Rate US + 2.205%   195,000    3.625  +  9/15/2031   192,644 
UBS AG/Stamford CT      250,000    7.625    8/17/2022   278,269 
Wells Fargo & Co.  3 Month LIBOR + 3.110%   115,000    5.900  +  Perpetual   119,559 
                     3,715,997 
BEVERAGES - 0.2%                      
Anheuser-Busch InBev Worldwide, Inc.      50,000    4.000    4/13/2028   51,039 
Anheuser-Busch InBev Worldwide, Inc.      40,000    4.750    1/23/2029   42,863 
                     93,902 
BUILDING MATERIALS - 1.0%                      
CRH America Finance, Inc. - 144A      200,000    3.400    5/9/2027   192,185 
Owens Corning      165,000    3.400    8/15/2026   157,036 
Vulcan Materials Co.      165,000    3.900    4/1/2027   163,844 
                     513,065 
CHEMICALS - 0.5%                      
NOVA Chemicals Corp. - 144A      55,000    4.875    6/1/2024   53,969 
SABIC Capital II BV - 144A      200,000    4.500    10/10/2028   211,493 
                     265,462 
COMMERCIAL MBS - 4.3%                      
Aventura Mall Trust 2013-AVM - 144A      155,000    3.867  ++  12/5/2032   156,943 
Aventura Mall Trust 2013-AVM - 144A      100,000    3.867  ++  12/5/2032   101,253 
BAMLL Commercial Mortgage Securities Trust 2015-200P - 144A   105,000    3.218    4/14/2033   106,395 
Caesars Palace Las Vegas Trust 2017-VICI - 144A   100,000    4.138    10/15/2034   102,733 
Citigroup Commercial Mortgage Trust 2013-375P - 144A   135,000    3.635  ++  5/10/2035   136,725 
Cold Storage Trust 2017-ICE3 - 144A  1 Month LIBOR + 1.000%   260,000    3.473  +  4/15/2024   261,136 
GAHR Commercial Mortgage Trust 2015-NRF - 144A   105,000    3.495  ++  12/15/2019   104,534 
GS Mortgage Securities Corp. Trust 2012-ALOHA - 144A   252,000    3.551    4/10/2022   258,351 
Hilton USA Trust 2016-SFP - 144A      185,000    3.323    11/5/2035   184,472 
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 - 144A   97,467    4.388    5/15/2021   100,206 
JPMBB Commercial Mortgage Securities Trust 2015-C31   125,000    4.106    8/15/2048   130,586 
Morgan Stanley Capital I Trust 2017-CLS - 144A  1 Month LIBOR + 0.700%   85,000    3.173  +  11/15/2034   84,992 
One Market Plaza Trust 2017-1MKT - 144A      105,000    3.614    2/10/2024   107,388 
Sutherland Commercial Mortgage Loans 2018-SBC7 - 144A   84,312    4.720  ++  5/25/2039   84,734 
Wells Fargo Commercial Mortgage Trust 2015-LC20   125,000    3.184    4/15/2050   126,293 
WFRBS Commercial Mortgage Trust 2014-C24   125,000    3.931    11/15/2047   128,415 
                     2,175,156 
COMMERCIAL SERVICES - 0.1%                      
Prime Security Services Borrower LLC / Prime Finance, Inc. - 144A   15,000    5.250    4/15/2024   15,075 
Prime Security Services Borrower LLC / Prime Finance, Inc. - 144A   10,000    5.750    4/15/2026   10,127 
                     25,202 
COMPUTERS - 0.5%                      
Dell International LLC / EMC Corp. - 144A      155,000    6.020    6/15/2026   168,070 
Hewlett Packard Enterprise Co.      100,000    4.900    10/15/2025   106,780 
                     274,850 
DIVERSIFIED FINANCIAL SERVICES - 2.3%                      
AerCap Ireland Capital DAC / AerCap Global Aviation Trust   150,000    3.650    7/21/2027   142,808 
Brookfield Finance LLC      174,000    4.000    4/1/2024   178,760 
Capital One Financial Corp.      120,000    4.200    10/29/2025   123,640 
Capital One Financial Corp.      165,000    3.750    7/28/2026   162,563 
E*TRADE Financial Corp.      175,000    4.500    6/20/2028   179,032 
Jefferies Group LLC      14,000    6.875    4/15/2021   14,963 
Navient Corp.      135,000    6.750    6/25/2025   138,038 
Springleaf Finance Corp.      90,000    6.875    3/15/2025   96,750 
Synchrony Financial      135,000    3.950    12/1/2027   129,382 
                     1,165,936 
ELECTRIC - 0.9%                      
DPL, Inc. - 144A      75,000    4.350    4/15/2029   75,598 
Duke Energy Corp.      170,000    2.650    9/1/2026   162,661 
Exelon Corp.      230,000    3.497    6/1/2022   233,329 
                     471,588 
ENERGY - ALTERNATE RESOURCES - 0.2%                      
TerraForm Power Operating LLC - 144A      90,000    5.000    1/31/2028   89,100 
                       
ENGINEERING & CONSTRUCTION - 0.1%                      
Frontdoor, Inc. - 144A      70,000    6.750    8/15/2026   73,588 
                       

See accompanying notes to financial statements.

16

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Corporate/Government Bond Fund (Continued)
April 30, 2019

 

   Variable  Principal   Interest   Maturity    
Security  Rate  Amount   Rate %    Date  Value 
CORPORATE BONDS & NOTES - 64.6% (Continued)                   
ENTERTAINMENT - 0.3%                      
Eldorado Resorts, Inc.     $35,000    6.000    9/15/2026  $36,488 
Gateway Casinos & Entertainment Ltd. - 144A   45,000    8.250    3/1/2024   47,250 
Scientific Games International, Inc. - 144A      50,000    8.250    3/15/2026   51,937 
                     135,675 
FOOD - 0.3%                      
Kraft Heinz Foods Co.      165,000    3.000    6/1/2026   155,768 
                       
HEALTHCARE PRODUCTS - 0.8%                      
Becton Dickinson and Co.      33,000    3.363    6/6/2024   33,095 
Becton Dickinson and Co.      120,000    3.700    6/6/2027   119,598 
Zimmer Biomet Holdings, Inc.      230,000    3.550    4/1/2025   229,563 
                     382,256 
HEALTHCARE - SERVICES - 0.5%                      
HCA, Inc.      120,000    5.375    2/1/2025   126,600 
Tenet Healthcare Corp.      135,000    4.625    7/15/2024   135,887 
                     262,487 
HOME BUILDERS - 0.7%                      
PulteGroup, Inc.      125,000    6.375    5/15/2033   131,250 
TRI Pointe Group, Inc.      85,000    5.875    6/15/2024   86,346 
William Lyon Homes, Inc.      135,000    6.000    9/1/2023   134,325 
                     351,921 
HOME EQUITY ABS - 0.7%                      
GSAA Trust 2005-1 AF4 (a)      69,074    5.619    11/25/2034   69,815 
NewResidential Mortgage Loan Trust 2018-1 - 144A   205,987    4.000  ++  12/25/2057   211,308 
NovaStar Mortgage Funding Trust Series 2004-4  1 Month LIBOR + 1.725%   83,469    4.202  +  3/25/2035   84,321 
                     365,444 
INSURANCE - 1.5%                      
Allstate Corp.  3 Month LIBOR + 2.938%   150,000    5.750  +  8/15/2053   154,757 
Athene Holding Ltd.      135,000    4.125    1/12/2028   131,231 
MetLife, Inc.  3 Month LIBOR + 2.959%   76,000    5.875  +  Perpetual   79,373 
Prudential Financial, Inc.  3 Month LIBOR + 3.920%   230,000    5.625  +  6/15/2043   241,319 
Teachers Insurance & Annuity Association of America - 144A  3 Month LIBOR + 2.661%   110,000    4.375  +  9/15/2054   112,870 
Trinity Acquisition PLC      60,000    4.400    3/15/2026   62,113 
                     781,663 
INTERNET - 0.4%                      
Tencent Holdings Ltd. - 144A      200,000    3.975    4/11/2029   201,751 
                       
INVESTMENT COMPANIES - 0.9%                      
Ares Capital Corp.      80,000    3.500    2/10/2023   79,204 
Ares Capital Corp.      105,000    4.250    3/1/2025   103,896 
BrightSphere Investment Group PLC      165,000    4.800    7/27/2026   161,125 
FS Investment Corp.      64,000    4.250    1/15/2020   64,148 
FS Investment Corp.      50,000    4.750    5/15/2022   49,959 
                     458,332 
IRON/STEEL - 0.4%                      
ArcelorMittal      170,000    6.125    6/1/2025   190,121 
                       
LODGING - 0.1%                      
Wyndham Destinations, Inc.      45,000    4.500    4/1/2027   45,394 
                       
MACHINERY- CONSTRUCTION & MINING - 0.4%                   
Oshkosh Corp.      183,000    4.600    5/15/2028   185,193 
                       
MACHINERY- DIVERSIFIED - 0.3%                      
CNH Industrial NV      137,000    4.500    8/15/2023   142,151 
                       
MEDIA - 1.0%                      
Charter Communications Operating LLC / Charter Communications Operating Capital   155,000    5.050    3/30/2029   164,264 
Discovery Communications LLC      160,000    3.950    3/20/2028   157,672 
DISH DBS Corp.      80,000    5.875    7/15/2022   78,356 
Entercom Media Corp. - 144A      5,000    6.500    5/1/2027   5,113 
Meredith Corp.      85,000    6.875    2/1/2026   88,825 
                     494,230 
MINING - 0.8%                      
BHP Billiton Finance USA Ltd. - 144A  5 Year Swap Rate USD + 5.093%   200,000    6.750  +  10/19/2075   225,343 
Glencore Funding LLC - 144A      165,000    4.000    3/27/2027   162,003 
                     387,346 
                       

See accompanying notes to financial statements.

17

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Corporate/Government Bond Fund (Continued)
April 30, 2019

 

   Variable  Principal   Interest   Maturity    
Security  Rate  Amount   Rate %    Date  Value 
CORPORATE BONDS & NOTES - 64.6% (Continued)                   
MISCELLANEOUS MANUFACTURING - 0.2%                      
General Electric Co.  3 Month LIBOR + 3.330%  $136,000    5.000  +  12/29/2049  $128,967 
                       
OIL & GAS - 1.0%                      
CrownRock LP / CrownRock Finance, Inc. - 144A      75,000    5.625    10/15/2025   74,344 
Helmerich & Payne, Inc.      100,000    4.650    3/15/2025   104,226 
Holly Frontier Corp.      165,000    5.875    4/1/2026   176,827 
Petroleos Mexicanos      90,000    6.500    1/23/2029   90,000 
Transocean Guardian Ltd. - 144A      37,800    5.875    1/15/2024   38,934 
                     484,331 
OIL & GAS SERVICES - 0.2%                      
USA Compression Partners LP / USA Compression Finance Corp.   105,000    6.875    4/1/2026   110,972 
                       
OTHER ABS - 9.1%                      
American Homes 4 Rent 2014-SFR2 Trust - 144A      230,000    4.705    10/17/2036   241,215 
American Homes 4 Rent 2015-SFR2 Trust - 144A      220,000    4.691    10/17/2045   231,998 
AXIS Equipment Finance Receivables VI LLC - 144A      140,000    3.890    7/20/2022   140,543 
Bayview Opportunity Master Fund IVa Trust 2017-RT1 - 144A   77,100    3.000  ++  3/28/2057   77,021 
Bayview Opportunity Master Fund IVa Trust 2017-SPL5 - 144A   100,000    4.000  ++  6/28/2057   103,178 
BRE Grand Islander Timeshare Issuer 2019-A LLC - 144A   150,000    3.280    9/26/2033   150,465 
CoreVest American Finance 2018-1 Trust - 144A      108,715    3.804    5/15/2023   110,822 
CoreVest American Finance 2018-2 Trust - 144A      233,355    4.026    11/15/2052   239,875 
Diamond Resorts Owner Trust - 144A      81,786    3.270    10/22/2029   82,190 
Foundation Finance Trust 2019-1 - 144A      145,000    3.860    11/15/2034   145,159 
Mill City Mortgage Loan Trust 2017-1 - 144A      87,601    2.750  ++  11/25/2058   86,559 
Mill City Mortgage Loan Trust 2018-4 - 144A      295,000    3.500  ++  4/25/2066   297,333 
MVW Owner Trust 2016-1 - 144A      62,907    2.250    12/20/2033   61,894 
MVW Owner Trust 2017-1 - 144A      96,493    2.420    12/20/2034   95,341 
Oak Hill Advisors Residential Loan Trust 2017-NPL2 - 144A (a)   127,540    3.000    7/25/2057   127,006 
PRPM 2019-2 LLC - 144A (a)      200,000    3.967    4/25/2024   200,000 
Sofi Consumer Loan Program 2017-5 LLC - 144A      105,000    2.780    9/25/2026   104,723 
Sofi Consumer Loan Program 2017-6 LLC - 144A      100,000    2.820    11/25/2026   99,826 
Towd Point Mortgage Trust - 144A      172,000    3.250  ++  10/25/2053   172,579 
Towd Point Mortgage Trust 2015-6 - 144A      130,000    3.750  ++  4/25/2055   132,941 
Towd Point Mortgage Trust 2017-1 - 144A      278,079    2.750  ++  10/25/2056   273,323 
Towd Point Mortgage Trust 2017-1 - 144A      115,000    3.750  ++  10/25/2056   115,717 
Towd Point Mortgage Trust 2018-4 - 144A      342,117    3.000  ++  6/25/2058   338,336 
Towd Point Mortgage Trust 2018-SJ1 - 144A      235,561    4.000  ++  10/25/2058   236,800 
Tricon American Homes 2017-SFR1 Trust - 144A      99,755    2.716    9/17/2022   98,673 
Trinity Rail Leasing 2019 LLC - 144A      125,000    3.820    4/17/2049   125,949 
TRIP Rail Master Funding LLC - 144A      127,575    2.709    8/15/2047   126,887 
VOLT LXXV LLC - 144A (a)      154,487    4.336    1/25/2049   156,101 
VSE 2017-A VOI Mortgage LLC - 144A      88,900    2.330    3/20/2035   87,451 
Wendy’s Funding LLC - 144A      139,925    4.080    6/15/2045   141,322 
                     4,601,227 
PACKAGING & CONTAINERS - 0.1%                      
Greif, Inc. - 144A      70,000    6.500    3/1/2027   72,275 
                       
PHARMACEUTICALS - 2.3%                      
AbbVie, Inc.      55,000    3.600    5/14/2025   55,370 
AbbVie, Inc.      100,000    3.200    5/14/2026   97,110 
Allergan Funding SCS      200,000    3.450    3/15/2022   201,096 
Bausch Health Cos, Inc. - 144A      70,000    5.500    11/1/2025   71,903 
Cigna Corp. - 144A      5,000    4.125    11/15/2025   5,172 
Cigna Corp. - 144A      138,000    4.375    10/15/2028   142,465 
CVS Health Corp.      199,000    4.300    3/25/2028   201,377 
Mylan NV      145,000    3.950    6/15/2026   139,759 
Par Pharmaceutical, Inc. - 144A      50,000    7.500    4/1/2027   51,990 
Takeda Pharmaceutical Co., Ltd. - 144A      200,000    4.000    11/26/2021   205,340 
                     1,171,582 
PIPELINES - 2.4%                      
Andeavor Logistics LP      135,000    4.250    12/1/2027   137,562 
Cheniere Energy Partners LP - 144A      55,000    5.625    10/1/2026   56,950 
Energy Transfer Partners LP      165,000    4.200    4/15/2027   166,053 
Kinder Morgan Inc/DE      45,000    7.750    1/15/2032   59,364 
Kinder Morgan Inc/DE      160,000    4.300    6/1/2025   167,873 
MPLX LP      135,000    4.875    12/1/2024   144,226 
NuStar Logistics LP      145,000    5.625    4/28/2027   145,500 
                       

See accompanying notes to financial statements.

18

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Corporate/Government Bond Fund (Continued)
April 30, 2019

 

   Variable  Principal   Interest   Maturity    
Security  Rate  Amount   Rate %    Date  Value 
CORPORATE BONDS & NOTES - 64.6% (Continued)                   
PIPELINES - 2.4% (Continued)                      
Sabine Pass Liquefaction LLC     $100,000    6.250    3/15/2022  $107,675 
Sabine Pass Liquefaction LLC      85,000    4.200    3/15/2028   86,170 
Valero Energy Partners LP      120,000    4.500    3/15/2028   125,659 
                     1,197,032 
PRIVATE EQUITY - 0.3%                      
Apollo Management Holdings LP - 144A      135,000    4.000    5/30/2024   136,306 
                       
REITS - 4.1%                      
Alexandria Real Estate Equities, Inc.      100,000    3.950    1/15/2027   101,656 
Corporate Office Properties LP      196,000    3.600    5/15/2023   194,042 
EPR Properties      220,000    4.750    12/15/2026   226,889 
GLP Capital LP / GLP Financing II, Inc.      155,000    5.750    6/1/2028   167,020 
Healthcare Realty Trust, Inc.      90,000    3.875    5/1/2025   90,498 
Healthcare Trust of America Holdings LP      150,000    3.750    7/1/2027   148,602 
Hospitality Properties Trust      165,000    4.950    2/15/2027   166,260 
iStar, Inc.      55,000    5.250    9/15/2022   55,550 
Kilroy Realty LP      165,000    4.375    10/1/2025   171,570 
Life Storage LP      65,000    3.875    12/15/2027   63,833 
LifeStorage LP/CA      205,000    3.500    7/1/2026   198,026 
MPT Operating Partnership LP / MPT Finance Corp.      85,000    5.000    10/15/2027   85,425 
Office Properties Income Trust      170,000    4.500    2/1/2025   164,397 
Physicians Realty LP      140,000    3.950    1/15/2028   135,044 
Retail Opportunity Investments Partnership LP      105,000    4.000    12/15/2024   101,940 
                     2,070,752 
RETAIL - 0.7%                      
Dollar Tree, Inc.      150,000    4.000    5/15/2025   153,102 
QVC, Inc.      195,000    4.375    3/15/2023   197,329 
                     350,431 
SEMICONDUCTORS - 0.3%                      
Broadcom Corp. / Broadcom Cayman Finance Ltd.      144,000    3.625    1/15/2024   143,055 
                       
SOFTWARE - 0.6%                      
Citrix Systems, Inc.      120,000    4.500    12/1/2027   120,130 
Vmware, Inc.      83,000    2.950    8/21/2022   82,642 
Vmware, Inc.      88,000    3.900    8/21/2027   85,749 
                     288,521 
TELECOMMUNICATIONS - 0.7%                      
AT&T, Inc.      71,000    4.100    2/15/2028   72,712 
CommScope, Inc. - 144A      25,000    8.250    3/1/2027   27,063 
Frontier Communications Corp. - 144A      70,000    8.500    4/1/2026   66,150 
Sprint Spectrum Co. LLC - 144A      125,000    3.360    9/20/2021   125,000 
ViaSat, Inc. - 144A      80,000    5.625    4/15/2027   81,800 
                     372,725 
TRUCKING & LEASING - 0.9%                      
Aviation Capital Group LLC - 144A      205,000    3.500    11/1/2027   196,280 
Avolon Holdings Funding Ltd. - 144A      125,000    4.375    5/1/2026   124,415 
Penske Truck Leasing Co. LP - 144A      140,000    4.125    8/1/2023   144,295 
                     464,990 
WHOLE LOAN COLLATERAL CMO - 5.8%                      
Angel Oak Mortgage Trust I LLC 2018-2 - 144A      44,338    3.674  ++  7/27/2048   44,701 
Angel Oak Mortgage Trust I LLC 2019-1 - 144A      205,850    3.920  ++  11/25/2048   208,436 
Banc of America Funding 2005-1 Trust      42,385    5.500    2/25/2035   42,522 
Bunker Hill Loan Depositary Trust 2019-1 - 144A (a)      98,882    3.613    10/26/2048   100,610 
Chase Home Lending Mortgage Trust 2019-ATR1 - 144A   125,000    4.000  ++  4/25/2049   127,012 
Chase Mortgage Finance Corp. - 144A      129,400    3.750  ++  4/25/2045   132,379 
Chase Mortgage Finance Corp. - 144A      87,964    3.750  ++  2/25/2044   89,891 
Citigroup Commercial Mortgage Trust - 144A  1 Month LIBOR + 0.920%   145,000    3.393  +  12/15/2036   145,367 
Citigroup Mortgage Loan Trust 2019-RP1 - 144A      100,000    3.500  ++  1/25/2066   100,815 
Citigroup Mortgage Loan Trust, Inc.      47,364    6.750    8/25/2034   51,516 
COLT 2018-1 Mortgage Loan Trust - 144A      45,544    2.930  ++  2/25/2048   45,517 
Deephaven Residential Mortgage Trust 2017-2 - 144A   65,747    2.453  ++  6/25/2047   64,781 
Galton Funding Mortgage Trust 2017-1 - 144A      105,800    3.500  ++  11/25/2057   105,566 
Homeward Opportunities Fund I Trust 2018-2 - 144A   228,354    3.985  ++  11/25/2058   232,087 
JP Morgan Mortgage Trust 2005-A5      105,409    4.244  ++  8/25/2035   107,503 
JP Morgan Mortgage Trust 2017-5 - 144A      284,040    3.175  ++  12/15/2047   284,653 
LHOME Mortgage Trust 2019-RTL1 - 144A (a)      145,000    4.580    10/25/2023   146,480 
MASTR Alternative Loan Trust 2004-4      47,976    5.500    4/25/2034   50,324 
                       

See accompanying notes to financial statements.

19

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Corporate/Government Bond Fund (Continued)
April 30, 2019

 

   Variable  Principal   Interest   Maturity    
Security  Rate  Amount   Rate %    Date  Value 
CORPORATE BONDS & NOTES - 64.6% (Continued)                   
WHOLE LOAN COLLATERAL CMO - 5.8% (Continued)                   
Metlife Securitization Trust - 144A     $100,000    3.717  ++  4/25/2055  $100,193 
Metlife Securitization Trust 2019-1 - 144A      150,000    3.750  ++  4/25/2058   152,724 
OBX 2019-INV1 Trust - 144A      153,308    4.500  ++  11/25/2048   157,175 
Residential Asset Securitization Trust 2005-A1      76,497    5.500    4/25/2035   77,997 
Structured Adjustable Rate Mortgage Loan Trust Series 2004-4   65,622    4.554  ++  4/25/2034   67,924 
Thornburg Mortgage Securities Trust 2004-2  1 Month LIBOR + 0.620%   99,195    3.097  +  6/25/2044   98,581 
Verus Securitization Trust 2018-1 - 144A      57,574    2.929  ++  2/25/2048   57,520 
Verus Securitization Trust 2018-3 - 144A      136,396    4.108  ++  10/25/2058   139,262 
                     2,931,536 
                       
TOTAL CORPORATE BONDS & NOTES (Cost - $32,352,547)                 32,717,297 
                       
FOREIGN GOVERNMENT BONDS - 2.6%                      
Dominican Republic International Bond - 144A      100,000    5.950    1/25/2027   105,750 
Dominican Republic International Bond - 144A      150,000    6.000    7/19/2028   158,625 
Indonesia Government International Bond - 144A      215,000    8.500    10/12/2035   310,094 
Oman Government International Bond - 144A      200,000    5.625    1/17/2028   190,653 
Saudi Government International Bond - 144A      200,000    4.375    4/16/2029   210,273 
Turkey Government International Bond      115,000    7.375    2/5/2025   114,011 
State Oil Co of the Azerbaijan Republic      200,000    6.950    3/18/2030   227,382 
TOTAL FOREIGN GOVERNMENT BONDS - (Cost - $1,292,667)                 1,316,788 
                       
MUNICIPAL BONDS - 5.4%                      
City of Bristol VA      340,000    4.210    1/1/2042   340,403 
Idaho Health Facilities Authority      135,000    5.020    3/1/2048   147,057 
Rockdale County Water & Sewerage Authority      305,000    3.060    7/1/2024   306,074 
San Diego County Regional Airport Authority      325,000    5.594    7/1/2043   358,111 
State of California      765,000    7.600    11/1/2040   1,194,276 
State of Texas      245,000    3.011    10/1/2026   246,563 
University of California      115,000    4.428    5/15/2048   120,310 
TOTAL MUNICIPAL - (Cost - $2,655,347)                    2,712,794 
                       
U.S. GOVERNMENT & AGENCY - 18.3%                      
U.S. GOVERNMENT AGENCY - 5.1%                      
Fannie Mae Pool      19,205    6.000    11/1/2034   21,496 
Fannie Mae Pool      16,413    6.000    3/1/2036   17,967 
Fannie Mae Pool      158,789    5.500    9/1/2036   174,727 
Fannie Mae Pool      61,668    6.500    5/1/2037   71,406 
Fannie Mae Pool      25,929    5.500    4/1/2038   28,535 
Fannie Mae Pool      23,966    5.000    4/1/2038   26,003 
Fannie Mae Pool      64,479    6.000    8/1/2038   71,893 
Fannie Mae Pool      139,613    5.000    6/1/2039   150,141 
Fannie Mae Pool      212,306    4.000    9/1/2044   219,256 
Fannie Mae Pool      187,158    3.500    1/1/2046   189,638 
Fannie Mae Pool      339,957    4.000    4/1/2046   350,871 
Fannie Mae Pool      512,161    4.000    4/1/2048   527,716 
Fannie Mae Pool      514,239    4.000    6/1/2048   529,336 
Freddie Mac Gold Pool      175,244    5.000    12/1/2035   190,384 
Freddie Mac Gold Pool      26,570    5.500    10/1/2039   29,012 
                     2,598,381 
U.S. TREASURY OBLIGATIONS - 13.2%                      
United States Treasury Bond      1,170,000    2.625    8/31/2020   1,174,319 
United States Treasury Bond      515,000    2.000    2/15/2025   505,585 
United States Treasury Bond      965,000    2.875    8/15/2028   995,345 
United States Treasury Bond      490,000    2.625    2/15/2029   495,053 
United States Treasury Bond      335,000    3.125    2/15/2043   348,092 
United States Treasury Bond      3,125,000    3.000    8/15/2048   3,160,645 
                     6,679,039 
                       
TOTAL U.S. GOVERNMENT & AGENCY (Cost - $9,143,370)                9,277,420 
                       
BANK LOANS - 5.6%                      
ADVERTISING - 0.2%                      
Red Ventures LLC Term B-1 Loan  1 Month LIBOR + 3.000%   89,618    5.315  +  11/8/2024   90,066 
                       

See accompanying notes to financial statements.

20

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Corporate/Government Bond Fund (Continued)
April 30, 2019

 

   Variable  Principal   Interest   Maturity    
Security  Rate  Amount   Rate %    Date  Value 
BANK LOANS - 5.6% (Continued)                      
AEROSPACE - 0.1%                      
Atlantic Aviation FBO, Inc. Term Loan  1 Month LIBOR + 3.750%  $14,963    —  +  11/30/2025  $15,168 
TransDigm, Inc. New Tranche E Term Loan  1 Month LIBOR + 2.500%   49,749    4.742  +  5/14/2025   49,604 
                     64,772 
AUTO MANUFACTURERS - 0.2%                      
Navistar, Inc. Tranche B Term Loan  1 Month LIBOR + 3.500%   89,100    5.640  +  11/2/2024   89,312 
                       
COMMERCIAL SERVICES - 0.1%                      
CHG Healthcare Services, Inc. New Term Loan  1 Month LIBOR + 3.000%   78,548    5.293  +  6/7/2023   78,687 
                       
DISTRIBUTION / WHOLESALE - 0.3%                      
American Builders & Contractors Supply Co, Inc. Term B-2 Loan  1 Month LIBOR + 2.000%   133,636    4.242  +  10/31/2023   132,773 
                       
DIVERSIFIED - FINANCIAL SERVICES - 0.6%                      
Capital Automotive LP Initial Tranche B-2 Term Loan  1 Month LIBOR + 2.500%   152,186    4.750  +  3/24/2024   152,060 
Refinitiv US Holdings, Inc. Initial Dollar Term Loan  1 Month LIBOR + 3.750%   134,663    6.006  +  10/1/2025   133,428 
                     285,488 
ENERGY - 0.1%                      
CITGO Petroleum Corporation 2019 Incremental Term B Loan  3 Month LIBOR + 5.000%   65,000    7.600  +  3/27/2024   65,027 
                       
ENTERTAINMENT - 0.3%                      
Crown Finance US, Inc. Initial Dollar Tranche Term Loan  1 Month LIBOR + 2.250%   70,867    4.742  +  2/7/2025   70,660 
Scientific Games International, Inc. Initial Term B-5 Loan  1 Month LIBOR + 2.750%   84,150    5.019  +  8/14/2024   84,056 
                     154,716 
FOOD - 0.3%                      
Aramark Intermediate HoldCo Corporation U.S. Term B-3 Loan  1 Month LIBOR + 1.750%   65,286    4.006  +  3/11/2025   65,286 
Hearthside Group Holdings LLC Initial Term Loan  1 Month LIBOR + 3.688%   14,888    5.242  +  5/17/2025   14,621 
Hearthside Group Holdings LLC 2018 Incremental Term B-2 Loan  1 Month LIBOR + 4.000%   59,850    6.315  +  5/31/2025   59,532 
                     139,439 
HEALTHCARE - 0.2%                      
NVA Holdings, Inc. Incremental Term B-4 Loan  1 Month LIBOR + 3.500%   10,000    —  +  2/2/2025   10,038 
Regionalcare Hospital Partners Holdings, Inc. Term B Loan  3 Month LIBOR + 4.500%   99,750    7.128  +  11/16/2025   100,373 
                     110,411 
HOME FURNISHINGS - 0.1%                      
SharkNinja Operating LLC Tranche B Term Loan  1 Month LIBOR + 4.000%   71,522    6.250  +  10/5/2024   71,790 
                       
HOUSEHOLD PRODUCTS / WARES - 0.2%                      
KIK Custom Products, Inc. Initial Loan  1 Month LIBOR + 4.000%   108,120    6.242  +  5/15/2023   104,047 
                       
HOUSING - 0.4%                      
CPG International LLC New Term Loan  3 Month LIBOR + 3.750%   94,758    6.251  +  5/4/2024   94,680 
Summit Materials, LLC New Term Loan  1 Month LIBOR + 2.000%   99,496    4.345  +  11/10/2024   99,527 
                     194,207 
INSURANCE - 0.0%                      
Sedgwick Holdings, Inc. Initial Term Loan  1 Month LIBOR + 3.250%   4,988    —  +  11/5/2025   4,983 
                       
INVESTMENT COMPANIES - 0.2%                      
TKC Holdings, Inc. Initial Term Loan  1 Month LIBOR + 3.750%   82,709    6.000  +  2/1/2023   82,606 
                       
LODGING - 0.3%                      
Station Casino LLC Term B Facility Loan  1 Month LIBOR + 2.500%   55,346    4.750  +  6/8/2023   55,503 
Wyndham Hotels & Resorts, Inc. Term B Loan  1 Month LIBOR + 1.750%   79,600    3.992  +  3/29/2025   79,643 
                     135,146 
MACHINERY - DIVERSIFIED - 0.1%                      
Brookfield WEC Holdings, Inc. Initial Term Loan  1 Month LIBOR + 3.500%   79,800    5.992  +  7/26/2025   80,398 
                       
MEDIA - 0.2%                      
Commscope, Inc. Initial Term Loan  1 Month LIBOR + 3.250%   90,000    —  +  2/7/2026   90,914 
                       
PHARMACEUTICALS - 0.1%                      
Valeant Pharmaceuticals International, Inc. Initial Term Loan  1 Month LIBOR + 3.000%   9,250    5.092  +  6/1/2025   9,302 
Valeant Pharmaceuticals International, Inc. First Incremental Term Loan  1 Month LIBOR + 2.750%   28,500    5.129  +  6/1/2025   28,560 
                     37,862 
REGIONAL - 0.2%                      
Seminole Indian Tribe of Florida 2018 Replacement Term B Loan  1 Month LIBOR + 1.750%   88,650    3.456  +  7/6/2024   89,107 
                       
RETAIL - 0.1%                      
84 Lumber Company Term B-1 Loan  1 Month LIBOR + 5.250%   74,677    7.466  +  10/25/2023   74,957 
                       

See accompanying notes to financial statements.

21

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Corporate/Government Bond Fund (Continued)
April 30, 2019

 

   Variable  Principal   Interest   Maturity    
Security  Rate  Amount   Rate %    Date  Value 
BANK LOANS - 5.6% (Continued)                
SERVICE - 0.2%                      
Dun & Bradstreet Corporation Initial Term Borrowing  1 Month LIBOR + 5.000%  $95,000    7.479  +  2/1/2026  $95,832 
                       
SOFTWARE - 0.6%                      
Boxer Parent Co., Inc. Initial Dollar Term Loan  3 Month LIBOR + 4.250%   109,725    6.648  +  6/28/2025   109,245 
IQVIA, Inc. Term B-3 Dollar Loan  1 Month LIBOR + 1.750%   109,175    4.136  +  6/8/2025   108,936 
Kronos, Inc. Incremental Term Loan  3 Month LIBOR + 3.000%   78,625    5.343  +  11/1/2023   78,840 
                     297,021 
TELECOMMUNICATIONS - 0.2%                  
CenturyLink, Inc. Initial Term B Loan  1 Month LIBOR + 2.750%   113,563    4.992  +  1/31/2025   113,019 
                       
TRANSPORTATION - AUTOMOTIVE - 0.1%                  
Panther BF Aggregator 2 L P Term Loan B  1 Month LIBOR + 3.500%   65,000    —  +  3/18/2026   65,345 
                       
UTILITY - 0.2%                      
Calpine Corporation Term Loan (2019)  3 Month LIBOR + 2.750%   100,000    5.340  +  4/1/2026   100,444 
                       
TOTAL BANK LOANS - (Cost - $2,839,707)              2,848,369 
                       
      Shares               
SHORT-TERM INVESTMENT - 3.7%                     
MONEY MARKET FUND - 3.7%                      
Fidelity Institutional Money Market Fund - Government Portfolio (Cost - $1,843,187)  1,843,187    2.310  +      1,843,187 
                       
TOTAL INVESTMENTS - 100.2% (Cost - $50,126,825)           $50,715,855 
LIABILITIES LESS OTHER ASSETS - (0.2)%             (88,609)
NET ASSETS - 100.0%               $50,627,246 
                       

LLC - Limited Liability Corporation

 

ABS - Asset Backed Security

 

MBS - Mortgage Backed Security

 

CMO - Collateralized Mortgage Obligation

 

LP - Limited Partnership

 

REITS - Real Estate Investment Trust

 

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

 

+Variable rate security. Interest rate is as of April 30, 2019.

 

++Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

 

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. The 144A securities amounted to $17,494,776 or 35.56% of net assets.

 

(a)Step-Up Bond; the interest rate shown is the rate in effect as of April 30, 2019.

 

Portfolio Composition *- (Unaudited)
Corporate Bonds & Notes   64.6%  Foreign Government Bonds   2.6%
U.S. Government & Agencies   18.3%  Short - Term   3.5%
Bank Loans   5.6%  Total   100.0%
Municipal   5.4%        
              

Based on total value of investments as of April 30, 2019.

 

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

 

See accompanying notes to financial statements.

22

 

Dunham Monthly Distribution Fund (Unaudited)
Message from the Sub-Adviser (Perella Weinberg Partners Capital Management LP)
 

Asset Class Recap

 

As the fiscal year began with lingering fears and uncertainty surrounding trade deals and interest rates, investors broadly approached each new headline with caution and even some trepidation. During the first fiscal quarter, the volatility reached levels seen only four other times in the last decade. Similar to those time-periods, these sell-offs and corresponding spikes in volatility were generally triggered by “concerns” and headlines rather than deteriorating fundamentals. Regardless of the cause, volatility spikes generally correspond with widening spreads on merger deals and other risk-arbitrage opportunities therefore, the fact that volatility levels subsided before the end of the first fiscal quarter allowed for these risk-arbitrage strategies to recover and rally through the end of the second fiscal quarter. From the beginning of the fiscal year through the most recent fiscal quarter, event driven strategies, as measured by the Credit Suisse Event Driven Liquid Index, rose 5.7 percent. While broader in scope, long/short equity strategies, as measured by the Credit Suisse Long/Short Liquid Index, increased 4.5 percent.

 

Allocation Review

 

Within the Fund, the event driven allocation is primarily represented in the form of announced mergers. The event driven holdings began the fiscal year at 60 percent of the Fund and fell to 44 percent at the end of the most recent fiscal quarter. Although the exposure to event driven briefly fell to 38 percent at the end of March, this was not indicative of a less favorable view of the opportunities in the event driven space. The lower than average event exposure was due to prominent positions coming to fruition during the fiscal six-month period.

 

Holdings Insights

 

The largest pharmaceutical deal ever, combining two of the world’s largest cancer drug businesses was announced near the beginning of the fiscal year and was a highlight of the event driven allocation over both fiscal quarters. The deal between Celgene Corp. (CELG) (holding weight*: 4.75 percent) and Bristol-Myers Squibb Co. (BMY) (holding weight*: -2.14 percent) faced concerns as BMY was believed to be a takeover target, and also faced concerns that its activist shareholders would block the deal. However, the Sub-Adviser believed that the $74 billion deal was too large for activist shareholders to influence, and BMY is too large to be a target. Ultimately, the deal received the backing from prominent proxy advisory firms. As such, the spread on the deal compressed from $18.54 to $1.40.

 

Another contributor from the event driven allocation came from Chevron Corp.’s (CVX) (holding weight*: -1.24%) announcement that they intend to acquire Anadarko Petroleum Corp. (APC) (holding weight*: 2.30 percent). Although the spread was not initially attractive, the prospect of another suitor was intriguing enough for the Sub-Adviser to enter the deal. On April 29, 2019, Occidental Petroleum Corp. (OXY) (holding weight*: 1.58 percent) made an offer to acquire all outstanding shares of APC. Additionally, over $16 billion worth of mergers closed within the Fund over the fiscal quarter, as well as a number of new deals announced. The Sub-Adviser believes that the event environment will continue to be robust, but will remain selective about the deals by employing their rigorous fundamental approach.

 

The contribution from the long / short equity allocation of the Fund was well distributed with no large outliers. Danaher Corp. (DHR) (holding weight*: 1.53 percent), and PepsiCo Inc. (PEP) (holding weight*: 1.51 percent) were among the best performing positions. Conversely, the short positions within the allocation generally detracted during the market rally that commenced at the end of December. Detractors were also well distributed with no large outliers. Boeing Co. (BA) (holding weight*: 1.00 percent) contributed to performance the first fiscal quarter but detracted in the most recent fiscal quarter. BA experienced volatility due to the Ethiopian plane crash and associated safety concerns on the 737 Max 8 jet. However, the negative impact to the Fund was tempered as the Sub-Adviser had purchased put options to hedge the position. The Sub-Adviser believes that moving forward; sector rotation will continue to produce a large opportunity set for the long / short equity allocation.

 

Sub-Adviser Outlook

 

Throughout the volatility of the first fiscal quarter and subsequent rally in the second fiscal quarter, the Sub-Adviser continued to reiterate its commitment to its investment approach and philosophy, focusing on capital preservation and opportunistically looking to deploy capital as appropriate. The Sub-Adviser’s multi-lens approach served the Fund during the volatile 2018 period, and the Sub-Adviser is optimistic that its approach is well-suited for additional volatility that may arise in 2019.

 

*Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2019.
 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns as of April 30, 2019
      Annualized Annualized
  Six Months One Year Five Years Ten Years
Class N 2.55% 4.42% 1.91% 4.26%
Class C 2.02% 3.39% 0.88% 3.22%
Class A with load of 5.75% (3.46)% (1.82)% 0.45% 3.37%
Class A without load 2.42% 4.17% 1.65% 3.98%
IQ Hedge Market Neutral Total Return Index 2.94% 3.17% 1.94% 3.37%
Morningstar Multialternative Category 3.06% 1.19% 1.02% 2.83%
         

IQ Hedge Market Neutral Total Return Index seeks to replicate the risk-adjusted return characteristics of the collective hedge funds using a market neutral hedge fund investment style. Market Neutral hedge funds typically invest in both long and short positions in asset classes while minimizing exposure to systematic risk.

 

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 2.17% for Class N, 3.17% for Class C and 2.42% 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.

23

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund
April 30, 2019

 

Security  Shares   Value 
COMMON STOCKS - 75.0%          
AEROSPACE/DEFENSE - 3.6%          
Boeing Co.   7,399   $2,794,528 
Harris Corp.   22,745    3,832,532 
United Technologies Corp.   22,077    3,148,401 
         9,775,461 
AIRLINES - 0.1%          
American Airlines Group, Inc. *   101,283    126,604 
           
APPAREL - 1.1%          
Nike, Inc.   33,108    2,907,876 
           
BANKS - 2.7%          
Bank of America Corp.   136,285    4,167,595 
Citigroup, Inc.   41,896    2,962,047 
SunTrust Banks, Inc.   3,744    245,157 
         7,374,799 
BEVERAGES - 1.2%          
PepsiCo., Inc.   25,131    3,218,025 
           
BIOTECHNOLOGY - 5.1%          
Celgene Corp. *   140,083    13,260,257 
Pacific Biosciences of California, Inc. *   127,838    944,723 
         14,204,980 
CHEMICALS - 3.2%          
A. Schulman, Inc. *   44,665    33,499 
Dow, Inc. *   20,144    1,142,769 
International Flavors & Fragrances, Inc.   7,726    1,064,574 
Versum Materials, Inc.   128,492    6,704,713 
         8,945,555 
COAL - 0.3%          
SunCoke Energy Partners LP   60,582    759,698 
           
COMMERCIAL SERVICES - 2.9%          
Nielsen Holdings PLC   27,814    710,091 
Worldpay, Inc. *   63,443    7,436,154 
         8,146,245 
COMPUTERS - 3.0%          
Apple, Inc.   18,204    3,652,997 
Luxoft Holding, Inc. *   80,024    4,675,002 
         8,327,999 
COSMETICS - 0.8%          
Colgate-Palmolive Co.   18,628    1,355,932 
Coty, Inc.   83,000    898,060 
         2,253,992 
ELECTRIC - 0.5%          
PG&E Corp. *   64,897    1,461,480 
           
ELECTRONICS - 1.4%          
Honeywell International, Inc.   18,087    3,140,446 
Resideo Technologies, Inc. *   34,070    773,389 
         3,913,835 
ENGINEERING & CONSTRUCTION - 0.9%          
Jacobs Engineering Group, Inc.   30,263    2,358,698 
           
ENTERTAINMENT - 0.7%          
Marriott Vacations Worldwide Corp.   17,234    1,820,427 
           
FOOD - 0.9%          
Mondelez International, Inc.   51,088    2,597,825 
           

See accompanying notes to financial statements.

24

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund (Continued)
April 30, 2019

 

Security  Shares   Value 
COMMON STOCKS - 74.9% (Continued)          
GAS - 0.9%          
AmeriGas Partners LP   66,877   $2,424,960 
           
HEALTHCARE - PRODUCTS - 2.0%          
Danaher Corp.   32,192    4,263,509 
Thermo Fisher Scientific, Inc.   4,382    1,215,786 
         5,479,295 
HEALTHCARE - SERVICES - 0.9%          
HCA Healthcare, Inc.   11,396    1,449,913 
WellCare Health Plans, Inc. *   4,195    1,083,778 
         2,533,691 
HOLDING COMPANIES - DIVERSIFIED - 0.4%          
CM Seven Star Acquisition Corp. *   105,264    1,087,377 
           
HOME BUILDERS - 0.7%          
Lennar Corp.   39,168    2,037,911 
           
INSURANCE - 0.4%          
Navigators Group, Inc.   14,191    992,519 
           
INTERNET - 1.4%          
Amazon.com, Inc. *   2,067    3,982,117 
           
INVESTMENT COMPANIES - 0.5%          
Oaktree Capital Group LLC   28,006    1,417,664 
           
LEISURE PRODUCTS - 0.5%          
Royal Caribbean Cruises Ltd.   11,300    1,366,622 
           
LODGING - 1.3%          
Caesars Entertainment Corp. *   193,932    1,815,203 
Wyndham Hotels & Resorts, Inc.   31,072    1,731,332 
         3,546,535 
MEDIA - 4.0%          
CBS Corp.   40,588    2,080,947 
Fox Corp. *   1    26 
Tribune Media Co.   124,703    5,761,279 
Walt Disney Co.   22,722    3,112,213 
         10,954,465 
MINING - 1.7%          
Newmont Goldcorp Corp.   148,807    4,621,957 
           
MISCELLANEOUS MANUFACTURING- 0.8%          
Eaton Corp. PLC   10,157    841,203 
General Electric Co.   126,749    1,289,037 
         2,130,240 
OIL & GAS - 6.3%          
Anadarko Petroleum Corp.   88,082    6,416,774 
Marathon Petroleum Corp.   33,301    2,027,032 
Occidental Petroleum Corp.   75,007    4,416,412 
Royal Dutch Shell PLC - ADR   30,906    1,963,458 
Valero Energy Corp.   27,838    2,523,793 
         17,347,469 
PACKAGING & CONTAINERS - 3.2%          
Bemis Co., Inc.   154,728    8,884,482 
           

See accompanying notes to financial statements.

25

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund (Continued)
April 30, 2019

 

Security  Shares   Value 
COMMON STOCKS - 74.9% (Continued)          
PHARMACEUTICALS - 1.9%          
CVS Health Corp.   19,087   $1,037,951 
Johnson & Johnson   18,622    2,629,426 
Zoetis, Inc.   14,729    1,500,001 
         5,167,378 
PIPELINES - 0.0%          
Columbia Pipeline Group, Inc. *   84,102    — 
           
REAL ESTATE INVESTMENT TRUSTS - 2.3%          
Digital Realty Trust, Inc.   8,512    1,001,947 
Equinix, Inc.   4,634    2,107,080 
InfraREIT, Inc. *   67,384    1,418,433 
MedEquities Realty Trust, Inc.   162,884    1,744,488 
Winthrop Realty Trust *   102,617    80,041 
         6,351,989 
RETAIL - 2.5%          
Home Depot, Inc.   14,414    2,936,132 
O’Reilly Automotive, Inc. *   3,549    1,343,545 
Walmart, Inc.   25,004    2,571,411 
         6,851,088 
SEMICONDUCTORS - 3.3%          
Broadcom, Inc.   8,868    2,823,571 
Mellanox Technologies, Inc. *   51,971    6,252,111 
         9,075,682 
SOFTWARE - 9.7%          
Borqs Technologies, Inc. *   93,231    372,924 
First Data Corp. *   481,139    12,442,255 
Microsoft Corp.   36,103    4,715,052 
Red Hat, Inc. *   51,133    9,333,306 
         26,863,537 
TELECOMMUNICATIONS - 1.9%          
Quantenna Communications, Inc. *   56,839    1,384,030 
T-Mobile US, Inc. *   38,610    2,818,144 
Zayo Group Holdings, Inc. *   33,675    1,053,691 
         5,255,865 
           
TOTAL COMMON STOCKS (Cost - $197,459,308)        206,566,342 
           
CLOSED-END FUND - 0.7%          
Altaba, Inc. *   26,113    1,968,659 
TOTAL CLOSED-END FUND (Cost - $1,923,127)          
           
EXCHANGE TRADED FUNDS - 2.5%          
Invesco Senior Loan ETF   56,315    1,293,556 
iShares MBS ETF   14,364    1,522,440 
SPDR Blackstone / GSO Senior Loan ETF   85,456    4,003,614 
TOTAL EXCHANGE TRADED FUNDS - (Cost - $6,859,669)        6,819,610 
           
RIGHTS - 0.0%          
Nexstar Broadcasting Group, Inc. *   87,600    4,380 
TOTAL RIGHTS (Cost - $26,280)          
           
WARRANTS - 0.0%          
Borqs Technologies, Inc. *   105,552    6,333 
TOTAL WARRANTS (Cost - $8,254)          

 

See accompanying notes to financial statements.

26

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund (Continued)
April 30, 2019

 

              Exercise        
Security  Counterparty  Contracts**   Notional   Price   Expiration Date  Value 
PURCHASED OPTIONS - 0.2%                       
PURCHASED CALL OPTIONS - 0.0%                          
Bristol-Myers Squibb Co.  JP Morgan   453   $2,378,250   $52.50   6/21/2019  $7,248 
TOTAL PURCHASED CALL OPTIONS (Cost - $165,528)                  
                           
PURCHASED PUT OPTIONS - 0.2%                    
Coty, Inc.  JP Morgan   1,165    1,747,500    15.00   5/17/2019   483,475 
Russel 2000 Index  JP Morgan   46    7,268,000    1,580.00   6/21/2019   134,320 
TOTAL PURCHASED PUT OPTIONS (Cost - $726,469)                617,795 
TOTAL PURCHASED OPTIONS (Cost - $891,997)                625,043 

 

       Interest    
   Shares   Rate    
SHORT-TERM INVESTMENT - 42.2%             
MONEY MARKET FUND - 42.2%             
Fidelity Investments Money Market Fund - Class I   116,335,567   2.28% +   116,335,567 
TOTAL SHORT-TERM INVESTMENT (Cost - $116,335,567)             
              
TOTAL INVESTMENTS - 120.6% (Cost - $323,504,202)          $332,325,934 
LIABILITIES IN EXCESS OF OTHER ASSETS - (20.6)%           (56,795,280)
NET ASSETS - 100.0%          $275,530,654 
              

ADR - American Depositary Receipt.

 

ETF - Exchange Traded Fund

 

LLC - Limited Liability Company

 

LP - Limited Partnership

 

PLC - Public Limited Company

 

*Non-Income producing security.

 

**Each Purchased Option contract allows the option holder to buy/sell 100 shares of the underlying security at the exercise price.

 

+Variable rate security. Interest rate is as of April 30, 2019.

 

              Exercise        
Security  Counterparty  Contracts**   Notional   Price   Expiration Date  Value 
WRITTEN OPTIONS - (0.1)%                
WRITTEN CALL OPTIONS - (0.1)%                    
Bristol-Myers Squibb Co.  JP Morgan   453   $2,831,250   $62.50   6/21/2019  $1,133 
Coty, Inc.  JP Morgan   2,408    2,648,800    11.00   5/17/2019   142,072 
Russell 2000 Index  JP Morgan   46    7,268,000    1,580.00   6/21/2019   210,910 
TOTAL WRITTEN CALL OPTIONS - (Premiums Received - $435,882)           354,115 
                           
WRITTEN PUT OPTIONS - (0.0)%               
Bristol-Myers Squibb Co.  JP Morgan   453    2,038,500    45.00   6/21/2019   39,864 
TOTAL WRITTEN PUT OPTIONS - (Premiums Received - $112,033)             
TOTAL WRITTEN OPTIONS (Premiums Received - $547,915)             393,979 
                           
                Shares        
SECURITIES SOLD SHORT * - (41.5)%                  
AEROSPACE/DEFENSE - (0.3)%                  
Lockheed Martin Corp.                2,166       721,993 
                           
AIRLINES - (0.6)%                          
American Airlines Group, Inc.     1,426       48,741 
Delta Air Lines, Inc.                27,729       1,616,323 
                         1,665,064 
AUTO MANUFACTURERS - (1.0)%                  
General Motors Co.          52,014       2,025,945 
Tesla, Inc.                3,745       893,894 
                         2,919,839 
AUTO PARTS & EQUIPMENT - (0.3)%               
Autoliv, Inc.                10,759       844,474 
                           

See accompanying notes to financial statements.

27

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund (Continued)
April 30, 2019

 

Security  Shares   Value 
SECURITIES SOLD SHORT* - (41.5)% (Continued)          
BANKS - (0.1)%          
BB&T Corp.   4,848   $248,218 
           
BUILDING MATERIALS - (0.4)%          
Johnson Controls International PLC   33,078    1,240,425 
           
CHEMICALS - (0.4)%          
PPG Industries, Inc.   8,922    1,048,335 
           
COAL - (0.3)%          
SunCoke Energy, Inc.   84,815    730,257 
           
COMMERCIAL SERVICES - (0.8)%          
PayPal Holdings, Inc.   19,447    2,193,038 
           
EQUITY EXCHANGE TRADED FUNDS - (11.9)%          
Communication Services Select Sector SPDR Fund   30,449    1,524,581 
Consumer Staples Select Sector SPDR Fund   157,941    9,114,775 
Energy Select Sector SPDR Fund   89,654    5,927,026 
Health Care Select Sector SPDR Fund   33,128    2,957,005 
Industrial Select Sector SPDR Fund   9,312    726,429 
iShares Russell 2000 ETF   36,405    5,762,548 
iShares U.S. Real Estate ETF   27,839    2,421,993 
SPDR S&P 500 ETF Trust   10,036    2,950,785 
Utilities Select Sector SPDR Fund   25,616    1,503,915 
         32,889,057 
GAS - (0.7)%          
UGI Corp.   33,439    1,822,760 
           
HEALTHCARE - SERVICES - (0.3)%          
Centene Corp.   14,180    731,121 
Tivity Health, Inc.   2    43 
         731,164 
INTERNET - (0.3)%          
Netflix, Inc.   1,946    721,071 
           
IRON / STEEL - (0.6)%          
Nucor Corp.   27,442    1,566,115 
           
MACHINERY - DIVERSIFIED - (0.6)%          
Rockwell Automation, Inc.   9,349    1,689,458 
           
MINING - (1.6)%          
Newmont Goldcorp Corp.   147,092    4,568,678 
           
MISCELLANEOUS MANUFACTURERS - (0.6)%          
3M Co.   8,486    1,608,182 
           
OIL & GAS - (2.3)%          
Chevron Corp.   28,860    3,464,932 
Exxon Mobil Corp.   36,793    2,953,742 
         6,418,674 
PACKAGING & CONTAINERS - (2.9)%          
Amcor Ltd.   704,043    7,943,518 
           
PHARMACEUTICALS - (2.2)%          
Bristol-Myers Squibb Co.   128,826    5,981,391 
           

See accompanying notes to financial statements.

28

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund (Continued)
April 30, 2019

 

Security  Shares   Value 
SECURITIES SOLD SHORT* - (41.5)% (Continued)          
PRIVATE EQUITY - (0.3)%          
Brookfield Asset Management, Inc.   15,081   $726,753 
           
REAL ESTATE INVESTMENT TRUSTS - (1.2)%          
Kimco Realty Corp.   77,396    1,345,916 
Macerich Co.   16,716    670,980 
Omega Healthcare Investors, Inc.   38,290    1,355,083 
         3,371,979 
RETAIL - (0.7)%          
Starbucks Corp.   25,918    2,013,310 
           
SEMICONDUCTORS - (1.0)%          
Intel Corp.   12,812    653,925 
Texas Instruments, Inc.   18,445    2,173,374 
         2,827,299 
SOFTWARE - (7.9)%          
Fidelity National Information Services, Inc.   58,505    6,782,485 
Fiserv, Inc.   139,495    12,169,544 
Oracle Corp.   51,742    2,862,885 
         21,814,914 
TELECOMMUNICATIONS - (0.9)%          
AT&T, Inc.   79,114    2,449,369 
           
TRANSPORTATION - (1.3)%          
FedEx Corp.   11,165    2,115,321 
United Parcel Service, Inc.   15,340    1,629,415 
         3,744,736 
           
TOTAL SECURITIES SOLD SHORT - (Proceeds - $110,884,419)       $114,500,071 
           

ETF - Exchange Traded Fund

 

PLC - Public Limited Company

 

*Non-Income producing security.

 

**Each Written Option contract allows the option holder to buy/sell 100 shares of the underlying security at the exercise price.

 

Portfolio Composition * - (Unaudited)
Short-Term Investment   35.0%  Basic Materials   4.1%
Technology   13.3%  Exchange Traded Funds   2.1%
Consumer, Non-Cyclical   13.1%  Utilities   1.2%
Industrial   8.1%  Closed-End Fund   0.6%
Communications   6.1%  Diversified   0.3%
Consumer, Cyclical   5.6%  Options   0.2%
Energy   5.4%  Warrants   0.0%
Financial   4.9%  Rights   0.0%
        Total   100.0%
              
*Based on total value of investments as of April 30, 2019

 

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

 

See accompanying notes to financial statements.

29

 

Dunham Dynamic Macro Fund (Unaudited)
Message from the Sub-Adviser (Mellon Investments Corporation)
 

Asset Class Recap

 

It was a volatile beginning to the fiscal year for most asset classes around the globe. Over the first fiscal quarter, investors dealt with rising interest rates, a slowdown in Eurozone business confidence, weaker Chinese growth, and increasing geopolitical tension across the globe. Asset classes rose slightly in November as Fed Chairman Powell changed his tune indicating that rates were just below the range of estimates for neutral. This statement was a much more dovish stance than what was previously conveyed in October. However, once the 10- year U.S. Treasury rose above 3.2 percent for the second time, equity markets began to decline. In December, concerns that the U.S. is late in its economic cycle heightened, and with the Democrats winning the House, the likelihood of further meaningful fiscal stimulus was significantly reduced. Equity markets precipitously declined in December, while government bonds filled their more traditional role as a defensive portion of a balanced portfolio. Equities strongly rebounded through the most recent fiscal quarter ended April 30 as the 10-year U.S Treasury precipitously declined over 80 basis points amid investor optimism. The positive sentiment was also supported by strong economic releases, satisfactory earnings releases from U.S. companies, and progress in the U.S./China trade talks. Global macro strategies, as measured by the IQ Hedge Global Macro Beta Index, increased 3.0 percent during the fiscal six-month period ended April 30, 2019.

 

Allocation Review

 

As volatility spiked and equity markets tumbled in the first fiscal quarter, the defensive asset strategy fared well by providing a positive return while most asset classes across the globe precipitously declined. The Sub-Adviser viewed this as an opportunity to reduce the allocation to the defensive asset strategy and increase the exposure to the growth asset strategy. This shift benefitt ed the Fund as equity prices rallied off their lows in late December. As equity markets continued to rally through the end of the most recent fiscal quarter, the Sub-Adviser methodically took profits from the growth strategy and moved back into the defensive asset strategy. At the conclusion of the most recent fiscal quarter, the growth strategy’s allocation reached a low for the fiscal year, while the defensive strategy reached a high.

 

Holdings Insights

 

The growth asset and real asset strategies detracted from Fund performance in the first fiscal quarter but strongly contributed in the most recent fiscal quarter. Positions within this strategy included the iShares Currency Hedged MSCI Japan ETF (HEWJ) (holding weight*: 12.62 percent), the iShares Hedged MSCI Germany ETF (HEWG) (holding weight*: 4.16 percent), and the SPDR S&P 500 ETF Trust (SPY) (holding weight*: 11.83 percent). During the six-month period, these positions increased by 1.4 percent, 8.5 percent, and 9.8 percent, respectively. The exposure within the growth asset strategy has shifted through the first half of the fiscal year. To begin the fiscal year, the allocation to U.S. equities was approximately 40 percent of the allocation. Due to the rapid increase in U.S. equities, the Sub-Adviser believes that their prices had outstripped the underlying earnings and more value could be found overseas. As a result of this view, the exposure to use U.S. equities stood at a quarter of its original representation by the end of the most recent fiscal quarter. The exposure to the real asset strategy remained consistent through the first fiscal quarter. However, in the most recent fiscal quarter, the Sub-Adviser eliminated the exposure to TIPS. The Sub-Adviser did not believe that a rapid rise in inflation is an immediate concern. One position within the real asset strategy that detracted from Fund performance was the iShares Commodities Select Strategy ETF (COMT) (holding weight*: 5.88 percent). Over the fiscal six-month period, COMT declined 1.5 percent.

 

The defensive asset strategy achieved its goal of attempting to provide downside protection for the Fund in the first fiscal quarter. In December alone, equity markets, as measured by the MSCI ACWI Index, declined over 7 percent, while U.S. bonds, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, increased 1.8 percent. The largest portion of the defensive asset strategy is dedicated to U.S. bonds. In the most recent fiscal quarter, this strategy relatively detracted from Fund performance as risk assets rallied. Throughout the most recent fiscal quarter, the Sub-Adviser reduced the exposure to U.S. bonds and increased the exposure to cash as a strategic hedge to lower the overall risk of the Fund as markets reach all-time highs. The Sub-Adviser also increased the exposure to bonds in the UK and Japan, while also maintaining short positions in Australian bonds and German bunds, as these two countries are experiencing compressed yields and small term premiums.

 

Sub-Adviser Outlook

 

The Sub-Adviser is optimistic for opportunities within the asset categories the Fund invests in for the rest of 2019, albeit with continued volatility. The Sub-Adviser remains steadfast in its belief 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 systematic risk and lower correlation than traditional equity investments.

 

*Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2019.
 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns as of April 30, 2019
        Annualized
      Annualized Since Inception
  Six Months One Year Five Years (4/30/10)
Class N 6.41% 2.75% 1.31% 1.42%
Class C 5.85% 1.68% 0.28% 0.40%
Class A with load of 5.75% 0.07% (3.49)% (0.17)% 0.48%
Class A without load 6.21% 2.42% 1.03% 1.14%
IQ Hedge Global Macro Beta Index 2.97% 4.24% 0.94% 1.79%
Morningstar Multialternative Category 3.06% 1.19% 1.02% 1.46%
         

The IQ Hedge Global Macro Beta Index seeks to replicate the risk-adjusted return characteristics of the collective hedge funds using a global macro 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 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 1.97% for Class N, 2.97% for Class C and 2.22% 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

30

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Dynamic Macro Fund
April 30, 2019

 

Security  Shares   Value 
EXCHANGE TRADED FUNDS - 39.3%          
COMMODITY EXCHANGE TRADED FUNDS - 5.9%          
iShares Commodities Select Strategy ETF   71,252   $2,363,429 
           
DEBT EXCHANGE TRADED FUNDS - 4.8%          
SPDR Bloomberg Barclays High Yield Bond ETF   53,653    1,945,994 
           
EQUITY EXCHANGE TRADED FUNDS - 28.6%          
iShares Currency Hedged MSCI Germany ETF   60,045    1,672,854 
iShares Currency Hedged MSCI Japan ETF   161,357    5,071,451 
SPDR S&P 500 ETF Trust   16,163    4,752,245 
         11,496,550 
TOTAL EXCHANGE TRADED FUNDS (Cost - $13,076,802)        15,805,973 

 

            Exercise  Expiration    
   Counter Party  Contracts  Notional  Price  Date    
PURCHASED OPTIONS * + - 3.9%       
CALL OPTION ON FUTURES PURCHASED - 3.8%             
US 10 Year Future  Goldman Sachs  112  153,125  US $110  5/28/2019   1,531,250 
Swiss Market Index Option  Morgan Stanley  10  140,408  CHF $9,675  6/24/2019   1,404 
                   1,532,654 
PUT OPTIONS ON FUTURES PURCHASED - 0.1%              
S&P 500 E-Mini Option  Goldman Sachs  41  16,605  US $2,515  6/24/2019   8,302 
S&P 500 E-Mini Option  Goldman Sachs  41  45,920  US $2,600  7/22/2019   22,960 
                   31,262 
TOTAL PURCHASED OPTIONS (Cost - $1,458,278)            1,563,916 

 

   Principal  Discount       
   Amount ($)  Rate (%)  Maturity    
SHORT-TERM INVESTMENTS - 56.8%           
U.S. GOVERNMENT SECURITIES - 50.5%           
US Treasury Bill ^^  1,090,000  0.9294  6/6/2019   1,087,411 
US Treasury Bill  19,273,000  1.1271  6/13/2019   19,218,090 
             20,305,501 
               
   Shares  Interest
Rate (%)		        
MONEY MARKET - 6.3%              
Morgan Stanley Institutional Liquidity Fund  2,506,834  2.3400 ^     2,506,834 
               
TOTAL SHORT-TERM INVESTMENTS - (Cost - $22,812,432)      22,812,335 
         
TOTAL INVESTMENTS - 100.0% (Cost - $37,347,512)  $40,182,224 
LIABILITIES LESS OTHER ASSETS - (0.0)%      (3,111)
NET ASSETS - 100.0%     $40,179,113 
               

See accompanying notes to financial statements.

31

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Dynamic Macro Fund (Continued)
April 30, 2019

 

                    Unrealized 
                 Expiration  Appreciation 
Open Futures Contracts  Counter Party  Contracts   Notional      Date  (Depreciation) 
LONG FUTURES CONTRACTS ** - 0.7%                  
10 Year Mini JGB Future  Goldman Sachs   8   $1,096,979      6/12/2019  $(181)
Amsterdam Index Future  Goldman Sachs   7    891,542      5/17/2019   16,072 
CAC 40 10 Euro Future  Goldman Sachs   12    745,916      5/17/2019   11,992 
CAN 10 Year Bond Future  Goldman Sachs   5    513,604      6/19/2019   73 
FTSE 100 Index Future  Goldman Sachs   44    4,228,340      6/21/2019   147,058 
FTSE/MIB Index Future  Goldman Sachs   14    1,683,281      6/21/2019   72,978 
IBEX 35 Index Future  Goldman Sachs   2    214,285      5/17/2019   1,362 
Long Gilt Future  Goldman Sachs   32    5,311,387      6/26/2019   1,977 
MSCI Emerging Markets Future  Goldman Sachs   15    810,150      6/21/2019   25,425 
S&P/TSX 60 IX Future  Goldman Sachs   8    1,181,564      6/20/2019   17,597 
SPI 200 Futures  Goldman Sachs   1    110,927      6/20/2019   1,263 
TOTAL FUTURES CONTRACTS PURCHASED                  295,616 
                     
SHORT FUTURES CONTRACTS ** - (0.1)%                  
AUST 10 Year Bond Future  Goldman Sachs   (36)   (3,503,821)     6/17/2019   (28,586)
DAX Index Future  Goldman Sachs   (1)   (346,044)     6/21/2019   (4,340)
Euro-Bond Future  Goldman Sachs   (25)   (4,631,575)     6/6/2019   7,542 
Hang Seng Index Future  Goldman Sachs   (6)   (1,126,826)     5/30/2019   3,305 
S&P 500 E-mini Future  Goldman Sachs   (10)   (1,474,250)     6/21/2019   (12,240)
Topix Index Future  Goldman Sachs   (6)   (870,034)     6/13/2019   2,309 
US 10 Year Note (CBT)  Goldman Sachs   (4)   (494,688)     6/19/2019   (375)
TOTAL FUTURES CONTRACTS SOLD                (32,385)
                         
                         
                Exercise Price     Value 
OPTIONS WRITTEN *+ - (0.1)%                
WRITTEN CALL FUTURE OPTIONS - (0.0)%                
S&P 500 E-Mini Option  Goldman Sachs   (27)   (24,300)  US $2,985  5/20/2019   (12,150)
S&P 500 E-Mini Option  Goldman Sachs   (27)   (17,280)  US $3,035  6/10/2019   (8,640)
                       (20,790)
                         
                Exercise Price     Value 
WRITTEN PUT FUTURE OPTIONS - (0.1)%                 
S&P 500 E-Mini Option  Goldman Sachs   (27)   (8,235)  US $2,750  5/20/2019   (4,118)
S&P 500 E-Mini Option  Goldman Sachs   (27)   (31,860)  US $2,800  6/10/2019   (15,930)
Swiss Market Index Option  Morgan Stanley   (10)   (140,408)  CHF $9,675  6/24/2019   (1,404)
                       (21,452)
TOTAL WRITTEN FUTURE OPTIONS - (Premiums Received - $44,146)      (42,242)
                         

CHF - Swiss Franc

 

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.

 

^Variable rate security. Interest rate is as of April 30, 2019.

 

^^All of this security is segregated as collateral for futures contracts.

 

**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.

 

See accompanying notes to financial statements.

32

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Dynamic Macro Fund (Continued)
April 30, 2019
 

As of April 30, 2019 the following Forward Currency Exchange contracts were open:

 

Forward Currency Contracts
                  
   Settlement     Local Currency  U.S. Dollar   Unrealized 
Foreign Currency  Date  Counterparty  Amount Purchased  Market Value   Appreciation 
To Sell USD and To Buy:                   
Swiss Franc  5/6/2019  Morgan Stanley Smith Barney  7,290  $7,157   $7 
Net Unrealized Gain on Forward Currency Contracts    $7 
                    

See accompanying notes to financial statements.

33

 

Dunham High-Yield Bond Fund (Unaudited)
Message from the Sub-Adviser (PineBridge Investments LLC)
 

Asset Class Recap

 

High-yield spreads came under pressure at the beginning of the first fiscal quarter amid signs of slowing growth in China and Europe, sharp declines in oil and other commodity prices, the weakest December equity market performance since the Great Depression and a disappointing Fed meeting that offered no flexibility with respect to balance sheet runoff. However, spreads rallied sharply in January, benefitting from progress on U.S. China trade talks, stable or better than expected earnings and, most importantly, a dovish pivot from Jerome Powell and the Fed. Spreads continued to tighten in the most recent fiscal quarter as the Fed continued to reiterate their dovish stance. In the March meeting, they announced that they did not expect to raise rates through 2021. High-yield bonds, as measured by the ICE BofA ML US Cash Pay High-Yield Index, increased 4.1 percent over the most recent fiscal six-month period.

 

Allocation Review

 

The Fund’s relative performance was a tale of two halves , specifically, the first two quarters of the fiscal year. The Fund’s sector allocation and security selection detracted in the first fiscal quarter as lower quality bonds rallied. However, in the second fiscal quarter, the majority of the outperformance was attributable to security selection. Sector selection had a small negative contribution during the most recent fiscal quarter because of the small allocation to cash. Positions in the communications and consumer cyclical sectors were the largest contributors, while positions in the industrial and energy sectors detracted slightly. From a sector selection standpoint, an overweight allocation to finance companies and an underweight allocation to insurance were some of the largest contributors. In the first fiscal quarter, the allocation to banking and basic industry companies detracted, while the cash position and an overweight allocation to REITs were the largest detractors in the most recent fiscal quarter. As markets rose strongly since the start of 2019, the Sub-Adviser viewed valuation to be nearing fair value. At that time, the Sub-Adviser lowered the risk of the portfolio by reducing the exposure to single B bonds and increasing the exposure to BB-rated bonds.

 

Holdings Insights

 

As previously mentioned, t he best performer within the consumer cyclical sector that has contributed positively to Fund performance over the first two fiscal quarters was a protein company, Pilgrim’s Pride Corp. 5.87% due 09/30/27 (72147KAE8) (holding weight*: 0.85 percent). This credit increased 16.9 percent over the fiscal six-month period on continued solid performance and market consensus that there is a reasonable path to achieve an investment grade rating in the next few years. Another contributor within this sector came from the same parent and is also a protein producer. JBS USA/Food/Finance 6.50% due 04/15/2029 (46590XAA4) (holding weight*: 0.28 percent) increased 4.9 percent since being initiated into the portfolio in early April. Strong contributors from the fiscal six-month period and most recent fiscal quarter came from the communications sector. Altice Luxembourg SA 7.625% 02/15/2025 (02154VAB7) (holding weight*: 1.09 percent) increased 14.8 percent over the most six month period. The Sub-Adviser attributes the positive performance to the company doing a partial refinance on some of their outstanding debt which the Sub-Adviser views as a good sign that they are worthy of doing primary deals. Another contributor was McGraw-Hill Global Education Holdings LLC (580638AC8) (holding weight*: 0.52 percent). The credit increased 5.7 percent as the company announced a deal to merge with a large competitor.

 

The price of West Texas Intermediate Crude Oil drastically fell over 21 percent during the first fiscal quarter, adversely affecting the energy sector. Although the price of West Texas Intermediate Crude Oil rebounded in the second fiscal quarter, an exploration and production (E&P) company in the Fund displayed weakness. Chaparral Energy Inc. 8.75% 7/15/2023 (15942RAF6) (holding weight*: 0.64 percent). This credit fell 17.6 percent in the first fiscal quarter and another 3 percent in the most recent fiscal quarter ended April 30, 2019.

 

Sub-Adviser Outlook

 

The Sub-Adviser continues to monitor four important factors when evaluating what it believes the most attractive risk/reward opportunities: credit fundamentals, future Fed actions, the macroeconomic environment, and corporate earnings. Credit fundamentals generally remained solid, and spreads continue to be attractive versus other fixed income alternatives. Spreads are trading in the 350-400 range, which implies a default rate of 2 percent. The Sub-Adviser believes valuations at the current level are fair, but unlikely to tighten further on a relative basis, as loans remain historically wide at 400 basis points. The Fed’s new dovish tone could be favorable across U.S. fixed income this year, as it is now indicating that it will be patient with further monetary tightening unless warranted by an uptick in growth or inflation. Although the Fed continues to see favorable growth and a strong labor market ahead, it also has acknowledged the risk increase for a less favorable outlook. The Sub-Adviser continues to see relatively low odds for a US recession this year, though a few macro indicators are flashing subtle warnings. Low sovereign rates globally and flat yield curves suggest reasons for caution. However, recent equity-linked weakness and CCC underperformance indicate that the positive technical environment may reverse quickly.

 

*Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2019.
 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns as of April 30, 2019
      Annualized Annualized
  Six Months One Year Five Years Ten Years
Class N 5.97% 6.29% 3.34% 7.50%
Class C 5.62% 5.54% 2.62% 6.73%
Class A with load of 4.50% 1.19% 1.35% 2.16% 6.75%
Class A without load 5.90% 6.09% 3.10% 7.24%
Barclays U.S. Corporate High-Yield Bond Ba/B 2% Issuer Capped Index 6.22% 7.20% 4.59% 8.85%
Morningstar High-Yield Bond Category 4.67% 5.22% 3.46% 8.53%
         

Barclays U.S. Corporate High- Yield Bond Ba/B 2% Issuer Capped Index is an issuer-constrained version of the flagship US Corporate High Yield Index, which measures the USD-denominated, high yield, fixed-rate corporate bond market.

 

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.

 

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 the cost of underlying funds, are 1.13% for Class N, 1.88% for Class C and 1.38% 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

34

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund
April 30, 2019

 

   Principal   Interest  Maturity    
Security  Amount   Rate%  Date  Value 
BONDS & NOTES - 94.0%                
AEROSPACE/DEFENSE - 0.2%                
UAL 2007-1 Pass Through Trust  $229,519   6.636  7/2/2022  $242,303 
                 
AUTO MANUFACTURERS - 1.0%                
Allison Transmission, Inc. - 144A   551,000   5.000  10/1/2024   559,359 
JB Poindexter & Co., Inc. - 144A   528,000   7.125  4/15/2026   541,200 
               1,100,559 
AUTO PARTS & EQUIPMENT - 0.6%                
Delphi Technologies PLC - 144A   690,000   5.000  10/1/2025   634,800 
                 
BUILDING MATERIALS - 0.7%                
Standard Industries, Inc. - 144A   750,000   6.000  10/15/2025   786,720 
                 
CHEMICALS - 2.9%                
Consolidated Energy Finance SA - 144A   685,000   6.875  6/15/2025   708,975 
Neon Holdings, Inc. - 144A   464,000   10.125  4/1/2026   479,080 
NOVA Chemicals Corp. - 144A   750,000   5.000  5/1/2025   732,188 
OCI NV -144A   563,000   6.625  4/15/2023   589,179 
Rayonier AM Products, Inc. - 144A   700,000   5.500  6/1/2024   670,250 
               3,179,672 
COAL - 0.7%                
SunCoke Energy Partners LP - 144A   791,000   7.500  6/15/2025   800,888 
                 
COMMERCIAL SERVICES - 2.9%                
Ahern Rentals, Inc. - 144A   585,000   7.375  5/15/2023   523,575 
Garda World Security Corp. - 144A   715,000   8.750  5/15/2025   677,606 
Jurassic Holdings III, Inc. - 144A   575,000   6.875  2/15/2021   575,000 
Prime Security Services Borrower LLC - 144A   131,000   5.250  4/15/2024   131,655 
Prime Security Services Borrower LLC - 144A   447,000   5.750  4/15/2026   452,677 
Refinitiv US Holdings, Inc. - 144A   799,000   8.250  11/15/2026   811,728 
               3,172,241 
COMPUTERS - 2.2%                
Dell International LLC - 144A   1,215,000   6.020  6/15/2026   1,317,455 
Diebold Nixdorf, Inc.   693,000   8.500  4/15/2024   582,120 
Seagate HDD Cayman   525,000   4.875  3/1/2024   526,766 
               2,426,341 
COSMETICS/PERSONAL CARE - 1.1%                
Coty, Inc. - 144A ^   575,000   6.500  4/15/2026   568,531 
First Quality Finance Co., Inc. - 144A   600,000   5.000  7/1/2025   598,500 
               1,167,031 
DISTRIBUTION/WHOLESALE - 0.6%                
H&E Equipment Services, Inc.   655,000   5.625  9/1/2025   667,281 
                 
DIVERSIFIED FINANCIAL SERVICES - 5.5%                
Alliance Data Systems Corp. - 144A   700,000   5.875  11/1/2021   716,625 
Credit Acceptance Corp. - 144A   542,000   6.625  3/15/2026   571,810 
Enova International, Inc. - 144A   765,000   8.500  9/1/2024   738,225 
Enova International, Inc. - 144A   349,000   8.500  9/15/2025   342,100 
LPL Holdings, Inc. - 144A   775,000   5.750  9/15/2025   790,500 
Navient Corp.   1,075,000   5.625  8/1/2033   870,750 
Quicken Loans, Inc. - 144A   875,000   5.750  5/1/2025   892,500 
Springleaf Finance Corp.   800,000   6.875  3/15/2025   860,000 
Springleaf Finance Corp.   238,000   7.125  3/15/2026   255,999 
               6,038,509 
                 

See accompanying notes to financial statements.

35

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund (Continued)
April 30, 2019

 

   Principal   Interest  Maturity    
Security  Amount   Rate%  Date  Value 
BONDS & NOTES - 94.0% (Continued)                
ELECTRICAL COMPONENTS & EQUIPMENT - 1.3%                
Energizer Holdings, Inc. - 144A  $640,000   6.375  7/15/2026  $662,200 
EnerSys - 144A   794,000   5.000  4/30/2023   805,910 
               1,468,110 
ELECTRONICS - 1.2%                
ADT Security Corp.   556,000   4.125  6/15/2023   545,225 
Ingram Micro, Inc.   817,000   5.450  12/15/2024   814,013 
               1,359,238 
ENERGY - 0.8%                
Pattern Energy Group, Inc. - 144A   839,000   5.875  2/1/2024   868,541 
                 
ENGINEERING & CONSTRUCTION - 2.0%                
Frontdoor, Inc. - 144A   560,000   6.750  8/15/2026   588,700 
Great Lakes Dredge & Dock Corp.   535,000   8.000  5/15/2022   566,431 
Tutor Perini Corp. - 144A   650,000   6.875  5/1/2025   652,438 
Weekley Homes LLC   423,000   6.000  2/1/2023   416,655 
               2,224,224 
ENTERTAINMENT - 1.5%                
Cirsa Finance International SARL - 144A   340,000   7.875  12/20/2023   353,624 
Eldorado Resorts, Inc.   660,000   6.000  9/15/2026   688,050 
Scientific Games International, Inc. - 144A   545,000   8.250  3/15/2026   566,119 
               1,607,793 
FOOD - 3.5%                
Albertsons Companies LLC   562,000   5.750  3/15/2025   560,595 
JBS USA LLC - 144A   508,000   5.875  7/15/2024   524,510 
JBS USA LLC - 144A   525,000   5.750  6/15/2025   538,781 
JBS USA LLC - 144A   283,000   6.500  4/15/2029   300,688 
Land O’Lakes Capital Trust - 144A   484,000   7.450  3/15/2028   525,745 
Pilgrim’s Pride Corp. - 144A   880,000   5.875  9/30/2027   910,800 
Post Holdings, Inc. - 144A   430,000   5.500  3/1/2025   441,825 
               3,802,944 
FOREST PRODUCTS & PAPER - 0.7%                
Cascades, Inc. - 144A   183,000   5.500  7/15/2022   185,288 
Cascades, Inc. - 144A ^   527,000   5.750  7/15/2023   536,222 
               721,510 
HEALTHCARE-PRODUCTS - 1.0%                
Hologic, Inc. - 144A   525,000   4.375  10/15/2025   522,703 
Ortho-Clinical Diagnostics, Inc. - 144A   525,000   6.625  5/15/2022   515,484 
               1,038,187 
HEALTHCARE-SERVICES - 3.8%                
Centene Corp.   174,000   4.750  1/15/2025   176,958 
Centene Corp. - 144A   547,000   5.375  6/1/2026   570,373 
DaVita, Inc.   825,000   5.125  7/15/2024   827,063 
HCA, Inc.   1,100,000   5.375  2/1/2025   1,160,500 
MEDNAX, Inc. - 144A   857,000   5.250  12/1/2023   874,140 
MPH Acquisition Holdings LLC - 144A   500,000   7.125  6/1/2024   503,850 
               4,112,884 
HOUSEHOLD PRODUCTS - 0.5%                
Central Garden & Pet Co.   600,000   5.125  2/1/2028   571,500 
                 
INTERNET - 1.3%                
Cogent Communications Group, Inc. - 144A   505,000   5.375  3/1/2022   523,938 
Netflix, Inc.   655,000   5.875  2/15/2025   709,037 
Netflix, Inc.   202,000   4.375  11/15/2026   200,232 
               1,433,207 
                 

See accompanying notes to financial statements.

36

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund (Continued)
April 30, 2019

 

   Variable  Principal   Interest   Maturity    
Security  Rate  Amount   Rate%   Date  Value 
BONDS & NOTES - 94.0% (Continued)                     
INVESTMENT COMPANIES - 0.6%                     
FS Energy & Power Fund - 144A     $592,000    7.500   8/15/2023  $612,850 
                      
IRON/STEEL - 2.0%                     
Cleveland-Cliffs, Inc. - 144A      325,000    4.875   1/15/2024   325,813 
Cleveland-Cliffs, Inc.      402,000    5.750   3/1/2025   401,075 
Commercial Metals Co.      462,000    5.750   4/15/2026   467,775 
Mineral Resources Ltd. - 144A      525,000    8.125   5/1/2027   539,805 
United States Steel Corp.      445,000    6.875   8/15/2025   419,813 
                    2,154,281 
LODGING - 0.8%                     
Hilton Grand Vacations Borrower LLC      298,000    6.125   12/1/2024   313,645 
Wyndham Destinations, Inc.      346,000    4.150   4/1/2024   356,380 
Wyndham Destinations, Inc.      175,000    4.500   4/1/2027   176,531 
                    846,556 
MACHINERY-CONSTRUCTION/MINING - 0.5%          
Terex Corp. - 144A      559,000    5.625   2/1/2025   566,686 
MEDIA - 9.9%                     
Altice Financing SA - 144A      1,090,000    7.500   5/15/2026   1,109,075 
Altice Luxembourg SA - 144A      1,235,000    7.625   2/15/2025   1,168,619 
Belo Corp.      735,000    7.750   6/1/2027   810,337 
Belo Corp.      210,000    7.250   9/15/2027   226,275 
Block Communications, Inc. - 144A      778,000    6.875   2/15/2025   811,065 
CCO Holdings LLC - 144A      232,000    5.875   4/1/2024   242,953 
CCO Holdings LLC - 144A      275,000    5.375   5/1/2025   285,312 
CCO Holdings LLC - 144A      478,000    5.500   5/1/2026   494,491 
CCO Holdings LLC - 144A      378,000    5.000   2/1/2028   378,472 
Charter Communications Operating LLC  3 mo LIBOR + 1.650%   545,000    4.386  + 2/1/2024   548,495 
CSC Holdings LLC - 144A      225,000    5.375   7/15/2023   230,625 
CSC Holdings LLC - 144A      1,800,000    5.500   4/15/2027   1,858,734 
EW Scripps Co. - 144A      350,000    5.125   5/15/2025   333,375 
Gray Television, Inc. - 144A      428,000    5.125   10/15/2024   436,560 
Gray Television, Inc. - 144A      103,000    5.875   7/15/2026   106,412 
McGraw-Hill Global Education Holdings LLC - 144A   643,000    7.875   5/15/2024   552,176 
Sirius XM Radio, Inc. - 144A      692,000    5.375   7/15/2026   714,490 
UPCB Finance IV Ltd. - 144A  500,000    5.375   1/15/2025   512,350 
                    10,819,816 
METAL FABRICATE - 0.6%                     
Novelis Corp. - 144A      650,000    6.250   8/15/2024   678,438 
                      
MINING - 1.5%                     
First Quantum Minerals Ltd. - 144A      473,000    7.250   4/1/2023   470,280 
FMG Resources (August 2006) Pty Ltd. - 144A   600,000    5.125   3/15/2023   612,600 
Freeport-McMoRan, Inc.      525,000    3.875   3/15/2023   521,063 
                    1,603,943 
OIL & GAS - 6.1%                     
Brazos Valley Longhorn LLC      639,000    6.875   2/1/2025   644,591 
Callon Petroleum Co.      565,000    6.375   7/1/2026   580,537 
Centennial Resource Production LLC - 144A      525,000    6.875   4/1/2027   545,344 
Chaparral Energy, Inc. - 144A      926,000    8.750   7/15/2023   687,555 
Extraction Oil & Gas, Inc. - 144A      725,000    5.625   2/1/2026   598,125 
Hilcorp Energy I LP - 144A      842,000    5.000   12/1/2024   839,895 
Lonestar Resources America, Inc. - 144A      521,000    11.250   1/1/2023   521,000 
                      

See accompanying notes to financial statements.

37

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund (Continued)
April 30, 2019

 

   Principal   Interest  Maturity    
Security  Amount   Rate%  Date  Value 
BONDS & NOTES - 94.0% (Continued)                
OIL & GAS - 6.1% (Continued)                
MEG Energy Corp. - 144A  $725,000   6.500  1/15/2025  $731,344 
Noble Holding International Ltd. - 144A   495,000   7.875  2/1/2026   480,769 
Shelf Drilling Holdings Ltd. - 144A   550,000   8.250  2/15/2025   541,750 
Southwestern Energy Co.   525,000   7.500  4/1/2026   535,500 
               6,706,410 
OIL & GAS SERVICES - 3.9%                
Apergy Corp.   500,000   6.375  5/1/2026   518,750 
Calfrac Holdings LP - 144A   565,000   8.500  6/15/2026   471,775 
Forum Energy Technologies, Inc.   605,000   6.250  10/1/2021   571,725 
Hi-Crush Partners LP - 144A   996,000   9.500  8/1/2026   771,900 
KCA Deutag UK Finance PLC - 144A   490,000   9.875  4/1/2022   428,750 
Nine Energy Service, Inc. - 144A   265,000   8.750  11/1/2023   274,937 
Pioneer Energy Service, Inc.   652,000   6.125  3/15/2022   436,840 
SESI LLC   140,000   7.750  9/15/2024   103,950 
USA Compression Partners LP   528,000   6.875  4/1/2026   558,033 
USA Compression Partners LP - 144A   113,000   6.875  9/1/2027   119,497 
               4,256,157 
PACKAGING & CONTAINERS - 2.1%                
Crown Americas LLC   300,000   4.500  1/15/2023   307,128 
Crown Cork & Seal Co., Inc.   392,000   7.375  12/15/2026   441,000 
Intertape Polymer Group, Inc. - 144A   664,000   7.000  10/15/2026   680,600 
Owens-Brockway Glass Container, Inc. - 144A   739,000   5.375  1/15/2025   756,551 
Sealed Air Corp. - 144A   106,000   5.125  12/1/2024   110,505 
               2,295,784 
PHARMACEUTICALS - 1.6%                
Bausch Health Companies, Inc. - 144A   1,150,000   5.875  5/15/2023   1,163,168 
Par Pharmaceutical, Inc. - 144A   529,000   7.500  4/1/2027   550,054 
               1,713,222 
PIPELINES - 4.6%                
Antero Midstream Partners LP - 144A   375,000   5.750  3/1/2027   383,438 
Cheniere Corpus Christi Holdings LLC   600,000   7.000  6/30/2024   674,250 
Cheniere Corpus Christi Holdings LLC   350,000   5.875  3/31/2025   378,000 
Cheniere Energy Partners LP   432,000   5.250  10/1/2025   442,260 
Genesis Energy LP.   275,000   6.000  5/15/2023   278,696 
Genesis Energy LP.   625,000   5.625  6/15/2024   623,828 
Holly Energy Partners LP - 144A   525,000   6.000  8/1/2024   550,084 
SemGroup Corp.   875,000   5.625  7/15/2022   871,719 
SemGroup Corp.   145,000   5.625  11/15/2023   138,475 
Summit Midstream Holdings LLC   675,000   5.500  8/15/2022   669,937 
               5,010,687 
REAL ESTATE - 2.1%                
Greystar Real Estate Partners LLC - 144A   641,000   5.750  12/1/2025   645,807 
Kennedy-Wilson, Inc.   935,000   5.875  4/1/2024   949,025 
Newmark Group, Inc.   679,000   6.125  11/15/2023   713,037 
               2,307,869 
REAL ESTATE INVESTMENT TRUSTS - 6.4%                
CTR Partnership LP   604,000   5.250  6/1/2025   625,249 
ESH Hospitality, Inc. - 144A   865,000   5.250  5/1/2025   870,406 
GEO Group, Inc.   275,000   5.125  4/1/2023   258,500 
GEO Group, Inc.   310,000   5.875  10/15/2024   285,200 
GLP Capital LP   550,000   5.375  4/15/2026   582,208 
Iron Mountain, Inc. - 144A   980,000   4.875  9/15/2027   953,662 
                 

See accompanying notes to financial statements.

38

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund (Continued)
April 30, 2019

 

   Principal   Interest  Maturity    
Security  Amount   Rate%  Date  Value 
BONDS & NOTES - 94.0% (Continued)                
REAL ESTATE INVESTMENT TRUSTS - 6.4% (Continued)                
iStar, Inc.  $250,000   6.000  4/1/2022  $256,562 
iStar, Inc.   733,000   5.250  9/15/2022   740,330 
MGM Growth Properties Operating Partnership LP - 144A   261,000   5.750  2/1/2027   275,029 
MPT Operating Partnership LP   569,000   5.000  10/15/2027   571,845 
Sabra Health Care LP   717,000   5.125  8/15/2026   711,819 
Starwood Property Trust, Inc.   794,000   4.750  3/15/2025   797,970 
               6,928,780 
RETAIL - 2.2%                
Brinker International, Inc. - 144A   547,000   5.000  10/1/2024   548,367 
Conn’s, Inc.   784,000   7.250  7/15/2022   787,920 
FirstCash, Inc. - 144A   450,000   5.375  6/1/2024   462,375 
Lithia Motors, Inc. - 144A   586,000   5.250  8/1/2025   592,593 
               2,391,255 
SEMICONDUCTORS - 0.5%                
Amkor Technology, Inc. - 144A   494,000   6.625  9/15/2027   504,343 
                 
SOFTWARE - 2.3%                
CDK Global, Inc.   539,000   5.875  6/15/2026   569,993 
Donnelley Financial Solutions, Inc.   723,000   8.250  10/15/2024   737,460 
Rackspace Hosting, Inc. - 144A ^   625,000   8.625  11/15/2024   584,375 
SS&C Technologies, Inc. - 144A   557,000   5.500  9/30/2027   572,318 
               2,464,146 
TELECOMMUNICATIONS - 9.5%                
Altice France SA - 144A   875,000   7.375  5/1/2026   888,672 
Altice France SA - 144A   213,000   8.125  2/1/2027   223,118 
Anixter, Inc. - 144A   319,000   6.000  12/1/2025   339,735 
C&W Senior Financing Designated Activity Co. - 144A   633,000   6.875  9/15/2027   636,792 
CenturyLink, Inc.   1,435,000   7.500  4/1/2024   1,544,419 
CommScope Finance LLC - 144A   577,000   6.000  3/1/2026   612,341 
Frontier Communications Corp.   700,000   7.125  1/15/2023   439,250 
Frontier Communications Corp.   199,000   7.625  4/15/2024   110,942 
Frontier Communications Corp. - 144A   305,000   8.500  4/1/2026   288,225 
Hughes Satellite Systems Corp.   553,000   6.625  8/1/2026   560,604 
Intelsat Jackson Holdings SA   769,000   5.500  8/1/2023   699,790 
Sprint Corp.   3,362,000   7.875  9/15/2023   3,510,600 
Telesat LLC - 144A   491,000   8.875  11/15/2024   533,349 
               10,387,837 
TRUCKING & LEASING - 0.8%                
Avolon Holdings Funding Ltd. - 144A   725,000   5.125  10/1/2023   753,319 
Avolon Holdings Funding Ltd. - 144A   145,000   5.250  5/15/2024   151,663 
               904,982 
TOTAL BONDS & NOTES (Cost - $101,868,101)              102,578,525 
                 
   Shares            
EXCHANGE TRADED FUND - 1.0%                
DEBT FUND - 1.0%                
iShares iBoxx High Yield Corporate Bond ETF ^   12,149          1,056,234 
TOTAL EXCHANGE TRADED FUND (Cost - $1,030,477)                
                 

See accompanying notes to financial statements.

39

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund (Continued)
April 30, 2019

 

       Interest      
Security  Shares   Rate%    Value 
SHORT-TERM INVESTMENT - 3.2%           
MONEY MARKET FUND - 3.2%            
First American Government Obligations Fund - Class Z   3,495,668    2.280  +  $3,495,668 
TOTAL SHORT-TERM INVESTMENT (Cost - $3,495,668)           
                 
COLLATERAL FOR SECURITIES LOANED - 2.2%                
HSBC US Government Money Market Fund - Class Institutional #   360,160    2.426  +   360,160 
Morgan Stanley Institutional Liquidity Fund Prime Portfolio - Class Institutional #   2,000,000    2.526  +   2,000,000 
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $2,360,160)      2,360,160 
                 
TOTAL INVESTMENTS - 100.4% (Cost - $108,754,406)       $109,490,587 
OTHER ASSETS IN EXCESS OF LIABILITIES - (0.4)%      (396,591)
NET ASSETS - 100.0%        $109,093,996 
                 

LLC - Limited Liability Corporation

 

LP - Limited Partnership

 

PLC - Public Limited Company

 

SARL - Société à responsabilité limitée

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $2,313,378 at April 30, 2019.

 

+Variable rate security. Interest rate is as of April 30, 2019.

 

#The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

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. As of April 30, 2019 the total market value of 144A securities is $62,867,716 or 57.63% of net assets.

 

Portfolio Composition ** - (Unaudited)
Ba3   18.8%  Caa2   3.9%
B3   17.1%  Short-Term Investment   3.2%
B2   14.3%  Baa3   2.2%
B1   12.6%  Collateral For Securities Loaned   2.2%
Ba2   11.5%  Exchange Traded Fund   1.0%
Ba1   6.8%  Other   0.6%
Caa1   5.3%  Caa3   0.5%
        Total   100.0%
              
**Based on total value of investments as of April 30, 2019. Bond Ratings provided by Moody’s Ratings.

 

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

 

See accompanying notes to financial statements.

40

 

Dunham International Opportunity Bond Fund (Unaudited)
Message from the Sub-Adviser (Allianz Global Investors U.S. LLC)
 

Asset Class Recap

 

During the first fiscal quarter, the U.S. Federal Reserve continued to reduce the balance sheet, albeit at a slower pace, and raised interest rates by 0.25 percent. In addition, China faced troubles in their economy. The collapse of oil prices to approximately $40 a barrel also hurt investor sentiment. During the second fiscal quarter, these three key macro drivers stabilized economies, according to the Sub-Adviser. The first key macroeconomic driver was the Unites States Federal Reserve’s decision to end interest rate hikes for the rest of the 2019 year and stop their balance sheet’s quantitative tightening. The second macroeconomic driver involved China responding to its economic slowdown with targeted fiscal and monetary stimulus. The third macroeconomic driver was attributed to oil prices stabilizing.

 

During the first fiscal quarter, foreign bonds, as measured by the Bloomberg Barclays Global Aggregate ex US Index, increased 4.3 percent. During the second fiscal quarter, foreign bonds decreased 1.0 percent. For the six-month period, foreign bonds rose 3.3 percent. Detracting from overall returns was the strength of the U.S. dollar, which rose 1.4 percent versus a broad basket of foreign currencies, as measured by the Deutsche Bank US Dollar Index.

 

Allocation Review

 

During the six-month period, foreign corporate and sovereign debt contributed to Fund performance relative to the benchmark index, while currency selection was flat. For example, country contributions were the result of the Sub-Adviser’s highly selective overweight exposure to emerging markets debt in the Middle East, Middle Asia, and South America. The relative effects of currency was basically flat due to the Sub-Adviser being underweight a strong U.S. Dollar and going long the appreciating emerging market currencies. Spread contributions were due to the Sub-Adviser overweighting corporate bonds in the financials and utilities sectors while underweighting bonds in the industrial sector.

 

Holdings Insights

 

Country selection within emerging markets contributed to Fund performance. For example, an emerging market government bond was the Republic of Indonesia Bond 2.15% 7/18/24 (BF41YJ0) (holding weight*: 1.26 percent). The bond returned 5.9 percent in Euros during the six-month period. However, since the bond was issued in Euros, it did not benefit from the appreciation that the Indonesian Rupiah experienced during the six-month period. Another emerging market government bond that contributed to relative and absolute performance was the Republic of Kazakhstan 5.125% 7/21/2025 (Y7276LDE5) (holding weight*: 1.18 percent). This U.S. dollar denominated issue returned 6.9 percent. Another emerging market government bond that contributed to performance was the Saudi International Bond 4.000% 4/17/2025 (BFNF0Z1) (holding weight*: 1.10 percent). This U.S. dollar denominated issue returned 7.6 percent. In addition, corporate bond sector selection had a significant contribution to Fund performance, as well. For example, from the financial sector, Enel Finance International 1.966% 1/27/25 (BVL8RV9) (holding weight*: 0.64 percent) rose 6.4 percent in Euros, but was slightly lower when converted to U.S. Dollars.

 

Security selection in Japan and a large allocation to Japanese government bonds detracted from Fund performance. For example, the Japan Government Bond 2.100% 12/20/27 (B2B35B7) (holding weight*: 7.31 percent) increased 1.5 percent in Japanese Yen, and when converted to U.S. dollars, performance was only slightly higher. Another detractor was the Japan Government Bond 1.900% 9/20/23 (6708557) (holding weight*: 5.84 percent), which increased 0.3 percent in Japanese Yen but was still relatively flat when measured in U.S dollars. In addition, the Japan Government Bond) 0.1% 11/01/2020 (BGXQKV7 (holding weight*: 0.98 percent) detracted from the Fund, as local currency performance was flat and performance in U.S. dollars was slightly positive.

 

Sub-Adviser Outlook

 

Although financial conditions appear to have loosened due to accommodative monetary policy, the Sub-Adviser believes narrow money supply indicators are running below their long-term averages, suggesting weak global growth ahead. The Sub-Adviser remains cautious and has a preference for higher quality bonds. In addition, the Sub-Adviser believes investment grade spreads should remain range bound but may be accompanied by increased dispersion among sectors returns. For example, the Sub-Adviser believes the financial sector has less risky business models, while the outlook for investment grade industrials is deteriorating due to leverage fueled by significant M&A activity. Thus, the Sub-Adviser continues to favor sovereign issuers over corporate issuers due to the near term refinancing risks of corporate issuers. Moving forward, the Sub-Adviser expects the U.S. dollar strength to eventually abate as growth trends lower, with the possibility of emerging market countries benefiting.

 

*Holdings percentage(s) of total investments as of 4/30/2019.
 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns as of April 30, 2019
        Annualized
      Annualized Since Inception
  Six Months One Year Five Years (11/1/13)
Class N 2.23% (4.51)% (1.86)% (1.29)%
Class C 1.78% (5.23)% (2.59)% (2.04)%
Class A with load of 4.50% (2.61)% (9.18)% (3.01)% (2.36)%
Class A without load 2.01% (4.87)% (2.11)% (1.54)%
Barclays Global ex-US Aggregate Bond Index Unhedged 3.25% (2.51)% (0.64)% (0.03)%
Morningstar World Bond Category 4.13% 1.31% 1.21% 1.61%
         

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.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.35% for Class N, 2.10% for Class C and 1.60% 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.

41

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham International Opportunity Bond Fund
April 30, 2019

 

      Principal     Interest   Maturity    
Security  Variable Rate  Amount     Rate%   Date  Value 
CORPORATE BONDS & NOTES - 36.4%                      
APPAREL - 1.4%                      
LVMH Moet Hennessy Louis Vuitton SE     450,000  EUR   0.3750   5/26/2022  $511,402 
                       
AUTO MANUFACTURERS - 0.6%                      
BMW Finance NV     200,000  EUR   0.7500   4/15/2024   229,143 
                       
BANKS - 17.2%                      
ABN AMRO Bank NV     200,000  EUR   6.3750   4/27/2021   252,309 
AIB Group PLC     150,000  EUR   2.2500   7/3/2025   176,761 
Banco Santander SA  3M Euro LIBOR + 0.75%  200,000  EUR   0.4410 +  3/28/2023   224,378 
Banque Federative du Credit Mutuel SA     200,000  EUR   2.6250   3/18/2024   249,334 
Bayerische Landesbank     500,000  EUR   0.2500   9/4/2024   567,147 
BNP Paribas SA  3M Euro LIBOR + 0.62%  250,000  EUR   0.3120 +  5/22/2023   280,418 
BPCE SA     200,000  EUR   4.6250   7/18/2023   261,187 
CaixaBank SA     400,000  EUR   0.6250   11/12/2020   454,304 
Cooperatieve Rabobank UA     200,000  EUR   1.3750   2/3/2027   240,141 
Credit Agricole SA/London     200,000  EUR   1.8750   12/20/2026   239,907 
HSBC Holdings PLC     200,000  EUR   6.0000   6/10/2019   225,539 
ING Bank NV  Euro 5 Year Swap Rate + 2.25%  200,000  EUR   3.6250 +  2/25/2026   236,736 
KBC Group NV  Euro 5 Year Swap Rate + 1.98%  200,000  EUR   2.3750 +  11/25/2024   226,580 
Landesbank Hessen-Thueringen Girozentrale     500,000  EUR   0.5000   9/25/2025   573,255 
Landesbank Baden-Wuerttemberg     500,000  EUR   0.3750   2/27/2025   569,933 
Lloyds Bank PLC     200,000  EUR   6.5000   3/24/2020   236,624 
Mitsubishi UFJ Financial Group Inc  3 Month LIBOR + 0.86%  400,000  USD   3.4464 +  7/26/2023   401,947 
Sumitomo Mitsui Financial Group Inc  3 Month LIBOR + 0.74%  250,000  USD   3.3280 +  1/17/2023   250,430 
UBS Group Funding Switzerland AG     200,000  EUR   1.2500   9/1/2026   231,900 
Westpac Banking Corp     500,000  EUR   0.3750   3/5/2023   565,288 
                     6,464,118 
BEVERAGES - 2.2%                      
Anheuser-Busch InBev SA/NV     300,000  EUR   0.8750   3/17/2022   345,178 
Heineken NV     200,000  EUR   3.5000   3/19/2024   259,981 
Pernod Richard SA     200,000  EUR   1.5000   5/18/2026   236,959 
                     842,118 
CHEMICALS - 1.5%                      
Air Liquide Finance SA     500,000  EUR   0.7500   6/13/2024   580,467 
                       
ELECTRIC - 3.0%                      
Enel Finance International NV     200,000  EUR   1.9660   1/27/2025   240,234 
Engie SA     300,000  EUR   2.3750   5/19/2026   385,466 
Iberdrola Finanzas SAU     200,000  EUR   1.0000   3/7/2025   232,876 
Innogy Finance BV     250,000  EUR   1.0000   4/13/2025   289,918 
                     1,148,494 
ENGINEERING & CONSTRUCTION - 0.4%                      
Heathrow Funding Ltd.     100,000  GBP   7.1250   2/14/2024   157,698 
                       
FOOD - 0.6%                      
Danone SA     200,000  EUR   0.7090   11/3/2024   230,382 
                       

See accompanying notes to financial statements.

42

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham International Opportunity Bond Fund (Continued)
April 30, 2019

 

      Principal         Maturity    
Security  Variable Rate  Amount     Interest Rate%   Date  Value 
CORPORATE BONDS & NOTES - 36.4% (Continued)                   
INSURANCE - 2.0%                      
Great-West Lifeco, Inc.     300,000  EUR   2.5000   4/18/2023  $364,956 
Willow No 2 Ireland PLC for Zurich Insurance Co., Ltd.  300,000  EUR   3.3750   6/27/2022   371,822 
                     736,778 
MINING - 0.6%                      
Anglo American Capital PLC     200,000  EUR   3.2500   4/3/2023   246,677 
                       
OIL & GAS - 2.7%                      
BG Energy Capital PLC     350,000  EUR   0.8300   9/19/2024   402,974 
BP Capital Markets PLC     350,000  EUR   1.2500   11/21/2022   409,610 
Saudi Arabian Oil Co. - 144A     200,000  USD   3.5000   4/16/2029   196,827 
                     1,009,411 
PHARMACEUTICALS - 1.4%                      
GlaxoSmithKline Capital PLC     350,000  EUR   1.2500   5/21/2026   411,325 
Teva Pharmaceutical Finance Netherlands II BV     100,000  EUR   3.2500   4/15/2022   116,669 
                     527,994 
REAL ESTATE - 1.0%                      
DEMIRE Deutsche Mittelstand Real Estate AG  100,000  EUR   2.8750   7/15/2022   114,031 
Westfield America Management Ltd.     200,000  GBP   2.1250   3/30/2025   258,977 
                     373,008 
SAVINGS & LOANS - 0.4%                      
Nationwide Building Society     100,000  EUR   5.6250   9/9/2019   132,457 
                       
TELECOMMUNICATIONS - 0.8%                      
Deutsche Telekom International Finance BV     250,000  EUR   0.6250   4/3/2023   285,694 
                       
WATER - 0.6%                      
Veolia Environnement SA     200,000  EUR   1.4960   11/30/2026   239,112 
                       
TOTAL CORPORATE BONDS & NOTES (Cost - $13,787,141)              13,714,953 
                       
FOREIGN GOVERNMENT BONDS - 59.9%                   
Bundesrepublik Deutschland Bundesanleihe  250,000  EUR   2.5000   8/15/2046   412,696 
Bundesrepublik Deutschland Bundesanleihe  75,000  EUR   4.7500   7/4/2040   156,827 
Bundesrepublik Deutschland Bundesanleihe  370,000  EUR   2.5000   7/4/2044   600,627 
Bundesrepublik Deutschland Bundesanleihe  320,000  EUR   0.2500   8/15/2028   368,266 
Bundesschatzanweisungen  450,000  EUR   3.5000   12/13/2019   506,076 
Canadian Government Bond  160,000  CAD   5.0000   6/1/2037   173,830 
Canadian Government Bond  280,000  CAD   3.5000   12/1/2045   271,705 
Colombia Government International Bond  200,000  EUR   3.8750   3/22/2026   262,860 
Denmark Government Bond  1,420,000  DKK   3.0000   11/15/2021   232,814 
Dominican Republic International Bond  150,000  USD   6.0000   7/19/2028   158,625 
French Republic Government Bond OAT  290,000  EUR   4.5000   4/25/2041   544,211 
French Republic Government Bond OAT  70,000  EUR   1.2500   5/25/2034   83,736 
Indonesia Government International Bond - 144A  400,000  EUR   2.1500   7/18/2024   472,078 
Indonesia Treasury Bond     5,400,000,000  IDR   7.0000   5/15/2027   362,421 
Indonesia Treasury Bond     2,450,000,000  IDR   6.1250   5/15/2028   154,737 
Ireland Government Bond     130,000  EUR   5.4000   3/13/2025   191,730 
Ireland Government Bond     50,000  EUR   0.9000   5/15/2028   58,498 
Ireland Government Bond     130,000  EUR   1.3000   5/15/2033   152,810 
Italy Buoni Poliennali Del Tesoro - 144A     235,000  EUR   5.0000   9/1/2040   329,359 
Italy Buoni Poliennali Del Tesoro     240,000  EUR   4.5000   3/1/2024   305,263 
Italy Buoni Poliennali Del Tesoro     625,000  EUR   2.8000   12/1/2028   724,218 
                       

See accompanying notes to financial statements.

43

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham International Opportunity Bond Fund (Continued)
April 30, 2019

 

      Principal         Maturity    
Security  Variable Rate  Amount     Interest Rate%   Date  Value 
FOREIGN GOVERNMENT BONDS - 59.9% (Continued)                
Italy Buoni Poliennali Del Tesoro      180,000  EUR   3.7500   9/1/2024  $222,445 
Japan Government Forty Year Bond  9,850,000  JPY   0.8000   3/20/2058   94,056 
Japan Government Ten Year Bond  77,650,000  JPY   0.8000   9/20/2022   720,294 
Japan Government Ten Year Bond  33,400,000  JPY   0.1000   12/20/2028   304,799 
Japan Government Ten Year Bond  24,000,000  JPY   0.1000   6/20/2026   219,630 
Japan Government Thirty Year Bond  53,800,000  JPY   0.5000   9/20/2046   482,041 
Japan Government Thirty Year Bond  53,450,000  JPY   1.5000   3/20/2045   598,234 
Japan Government Twenty Year Bond  224,150,000  JPY   1.9000   9/20/2023   2,196,540 
Japan Government Twenty Year Bond  256,900,000  JPY   2.1000   12/20/2027   2,749,071 
Japan Government Twenty Year Bond  122,150,000  JPY   1.7000   9/20/2033   1,339,162 
Japan Government Twenty Year Bond  9,800,000  JPY   0.7000   9/20/2038   93,685 
Japan Government Two Year Bond  40,700,000  JPY   0.1000   11/1/2020   366,877 
Kazakhstan Government International Bond  400,000  USD   5.1250   7/21/2025   441,954 
Kingdom of Belgium Government Bond - 144A  130,000  EUR   5.0000   3/28/2035   233,638 
Kingdom of Belgium Government Bond - 144A  130,000  EUR   4.2500   9/28/2022   169,197 
Mexican Bonos     3,270,000  MXN   5.7500   3/5/2026   151,444 
Norway Government Bond - 144A  7,400,000  NOK   2.0000   4/26/2028   878,347 
Paraguay Government International Bond  200,000  USD   5.0000   4/15/2026   212,000 
Portugal Obrigacoes do Tesouro OT - 144A  100,000  EUR   4.1250   4/14/2027   140,797 
Province of Ontario Canada  280,000  CAD   2.4000   6/2/2026   210,160 
Qatar Government International Bond - 144A  350,000  USD   4.0000   3/14/2029   365,067 
Republic of Austria Government Bond - 144A  190,000  EUR   2.4000   5/23/2034   265,638 
Republic of Austria Government Bond - 144A  270,000  EUR   1.2000   10/20/2025   328,687 
Republic of Austria Government Bond - 144A  250,000  EUR   0.7500   2/20/2028   293,849 
Republic of Poland Government Bond  360,000  PLN   5.7500   9/23/2022   105,529 
Saudi Government International Bond  400,000  USD   4.0000   4/17/2025   414,878 
Spain Government Bond - 144A  140,000  EUR   4.2000   1/31/2037   218,946 
Spain Government Bond - 144A  600,000  EUR   4.0000   4/30/2020   701,587 
Swiss Confederation Government Bond  480,000  CHF   4.0000   2/11/2023   556,428 
United Kingdom Gilt  185,000  GBP   4.5000   12/7/2042   374,265 
United Kingdom Gilt  20,000  GBP   4.0000   1/22/2060   44,869 
United Kingdom Gilt     70,000  GBP   4.2500   12/7/2055   157,700 
United Kingdom Gilt     125,000  GBP   3.2500   1/22/2044   213,967 
United Kingdom Gilt     70,000  GBP   3.5000   7/22/2068   151,007 
TOTAL FOREIGN GOVERNMENT BONDS (Cost - $22,535,731)              22,540,175 
                 
WHOLE LOAN COLLATERAL - 1.0%                
Bankinter 10 FTA  3M Euro LIBOR + 0.16%  86,376  EUR   0.0001 +  6/21/2043   96,107 
Dutch Property Finance 2017-1 BV  3M Euro LIBOR + 0.68%  223,887  EUR   0.3680 +  1/28/2048   251,933 
Fondo de Titulizacion de Activos Santander Hipotecario 2  3M Euro LIBOR + 0.15%  37,824  EUR   0.0001 +  1/18/2049   41,805 
TOTAL WHOLE LOAN COLLATERAL (Cost - $389,890)              389,845 
                       
      Shares                
SHORT - TERM INVESTMENT - 1.5%                
MONEY MARKET FUND - 1.5%                   
Fidelity Institutional Money Market Fund - Government Portfolio - Institutional Class  557,191      2.3100 +      557,191 
TOTAL SHORT-TERM INVESTMENT (Cost - $557,191)                
                       
TOTAL INVESTMENTS - 98.8% (Cost - $37,269,953)          $37,202,164 
OTHER ASSETS LESS LIABILITIES - 1.2%              463,161 
NET ASSETS - 100.0%                   $37,665,325 

 

CAD - Canadian Dollar GBP - United Kingdom Pound NOK - Norwegian Krone
CHF - Swiss Franc IDR - Indonesian Rupiah PLN - Polish Zloty
DKK - Danish Krone JPY - Japanese Yen USD - US Dollar
EUR - Euro MXN - Mexican Peso  
     
+Variable rate security. Interest rate is as of April 30, 2019.

 

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. The 144A securities amounted to $4,594,017 or 12.2% of net assets.

 

See accompanying notes to financial statements.

44

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham International Opportunity Bond Fund (Continued)
April 30, 2019

 

                 Unrealized 
                 Appreciation 
Futures Contracts *  Counterparty  Contracts   Notional   Expiration  (Depreciation) 
FUTURES CONTRACTS PURCHASED - 0.0%             
Australian 10 Year Bond Future  Credit Suisse   7   $681,299   6/17/2019  $1,123 
Canadian 10 Year Bond Future  Credit Suisse   1    103,177   6/19/2019   — 
EURO-SCHATZ Future  Credit Suisse   10    1,254,288   6/6/2019   1,231 
Long Gilt Future  Credit Suisse   5    829,904   6/26/2019   (657)
NET UNREALIZED GAIN FROM FUTURES CONTRACTS PURCHASED      1,697 
                      
FUTURES CONTRACTS SOLD - 0.0%               
EURO-BOBL Future  Credit Suisse   (5)   (744,874)  6/6/2019   554 
NET UNREALIZED GAIN FROM FUTURES CONTRACTS SOLD        554 
                      
NET UNREALIZED GAIN FROM FUTURES CONTRACTS          $2,251 
                      
*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. Instrument is non-income producing.

 

Portfolio Composition ** - (Unaudited)
Japan   26.4%  Italy   4.3%
Germany   10.4%  Canada   2.7%
France   10.3%  Indonesia   2.7%
Britain   8.1%  Belgium   2.6%
Netherlands   6.5%  Other Countries   20.7%
Spain   5.3%  Total   100.00%
              
**Based on total value of investments as of April 30, 2019.

 

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

 

See accompanying notes to financial statements.

45

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham International Opportunity Bond Fund (Continued)
April 30, 2019
 

As of April 30, 2019 the following Forward Currency Exchange contracts were open:

 

Forward Currency Contracts
                            Unrealized 
      Settlement     Local Currency       U.S. Dollar       Appreciation 
Foreign Currency     Date  Counterparty  Amount Purchased       Market Value       (Depreciation) 
To Sell USD and To Buy:                               
Australian Dollar  6/12/2019  Citigroup  $1,245,707        $877,706        $(6,660)
British Pound  6/12/2019  Citigroup   1,188,681         1,553,141         (8,020)
Canadian Dollar  6/12/2019  Citigroup   1,513,628         1,126,437         (7,996)
Euro  6/12/2019  Citigroup   4,082,757         4,592,228         (43,548)
Japanese Yen  6/12/2019  Citigroup   332,740,335         2,997,995         (27,260)
New Zealand Dollar  6/12/2019  Citigroup   946,510         631,727         (12,078)
Swedish Krona  6/12/2019  Citigroup   1,320,725         139,398         (4,331)
Brazilian Real  7/17/2019  Citigroup   4,524,000         1,138,166         (25,133)
China Yuan Renminbi  7/17/2019  Citigroup   1,437,000         213,157         (1,809)
Czech Koruna  7/17/2019  Citigroup   1,121,861         49,128         (373)
Hungary Forint  7/17/2019  Citigroup   14,302,000         49,772         (1,099)
Indonesian Rupiah  7/17/2019  Citigroup   11,250,290,000         781,344         (12,523)
Mexican Peso  7/17/2019  Citigroup   920,708         47,791         (382)
Polish Zloty  7/17/2019  Citigroup   150,000         39,275         (483)
Russian Ruble  7/17/2019  Citigroup   5,860,000         89,742         (713)
Singapore Dollar  7/17/2019  Citigroup   165,000         121,385         (799)
South Korean Won  7/17/2019  Citigroup   992,743,000         852,360         (25,427)
Thai Baht  7/17/2019  Citigroup   6,706,000         210,433         (598)
                                $(179,232)
                                   
                                Unrealized 
      Settlement     Local Currency        U.S. Dollar        Appreciation 
Foreign Currency    Date  Counterparty  Amount Sold        Market Value        (Depreciation) 
To Buy USD and To Sell:                               
Australian Dollar  6/12/2019  Citigroup  $(23,881)       $(16,826)       $135 
British Pound  6/12/2019  Citigroup   (93,354)        (121,977)        1,329 
Canadian Dollar  6/12/2019  Citigroup   (42,558)        (31,672)        (97)
Euro  6/12/2019  Citigroup   (7,359,915)        (8,278,330)        64,177 
Japanese Yen  6/12/2019  Citigroup   (78,283,191)        (705,333)        3,765 
New Zealand Dollar  6/12/2019  Citigroup   (782,148)        (522,027)        15,966 
Norwegian Krone  6/12/2019  Citigroup   (7,768,402)        (899,860)        14,233 
Indonesian Rupiah Total  7/17/2019  Citigroup   (5,339,238,000)        (370,815)        94 
                                $99,602 
                                   
            Local Currency   Local Currency   U.S. Dollar   U.S. Dollar   Unrealized 
      Settlement     Amount Purchased   Amount Purchased   Market Value   Market Value   Appreciation 
Foreign Currency     Date  Counterparty  Buy   Sell   Buy   Sell   (Depreciation) 
To Buy:  To Sell:                               
British Pound  Euro  6/12/2019  Citigroup  $265,919   $(307,484)  $347,452   $(345,854)  $1,597 
Danish Krone  Euro  6/12/2019  Citigroup   825,984    (110,746)   124,480    (124,566)   (86)
Euro  Danish Krone  6/12/2019  Citigroup   187,182    (1,396,127)   210,540    (210,403)   137 
Euro  Norwegian Kron  6/12/2019  Citigroup   3,936    (38,138)   4,427    (4,418)   9 
Euro  Swiss Franc  6/12/2019  Citigroup   183,719    (206,625)   206,644    (203,602)   3,042 
Norwegian Krone  Euro  6/12/2019  Citigroup   651,448    (67,233)   75,461    (75,623)   (162)
Swedish Krona  Euro  6/12/2019  Citigroup   1,517,066    (144,705)   160,122    (162,762)   (2,640)
Swiss Franc  Euro  6/12/2019  Citigroup   35,000    (30,794)   34,488    (34,637)   (149)
                                $1,748 
                                   
Net Unrealized Loss on Forward Currency Contracts         $(77,882)
                                   

See accompanying notes to financial statements.

46

 

Dunham Large Cap Value Fund (Unaudited)
Message from the Sub-Adviser (Rothschild & Co. Asset Management US Inc.)

 

Asset Class Recap

 

Over long periods of time, value and growth stocks are often compared to one another. In the heat of bull markets, growth historically advances its lead, but as the cool down commences and volatility erodes the markets, value has historically seen a relative recovery. This fiscal year has represented a microcosm of this long- term phenomenon. At the beginning of the fiscal year, volatility, as measured by the CBOE Volatility Index, was relatively high. Volatility oscillated through November and into December, before skyrocketing into Christmas Eve. During these spikes, large cap value stocks, as measured by the Russell 1000 Value Index, generally outperformed large cap growth stocks, as measured by the Russell 1000 Growth Index. However, as volatility subsided to historically low levels, the gains of growth over value rebounded. During the most recent fiscal quarter, amid the lower volatility, large cap value stocks increased 7.5 percent, losing more than 4 percent versus their growth stock peers and bringing overall performance of large cap value stocks to 7.9 percent for the six-month period ended April 30, 2019.

 

Allocation Review

 

While the Fund generally maintained a similar weighting in the two largest large cap value sectors, financials and health care, the Sub-Adviser over weighted the industrials, communication services, and information technology sectors. These overweights generally added positive performance during the first half of the fiscal year, as the information technology and industrials sectors proved to be the best performing sectors among large cap value stocks, up 18.8 percent and 14.7 percent, respectively. The communication services sector generally performed in-line with other large cap value stocks, increasing nearly 7.1 percent. While overweights to the highest performing sectors was generally beneficial, the primary underweights were in some of the underperforming sectors, such as consumer staples. During the fiscal quarter, the consumer staples sector increased 5.8 percent.

 

Holdings Insights

 

Although the Sub-Adviser’s sector allocation was a meaningful contributor to relative performance, two of the sectors that had relatively neutral exposures contained some of the poorest Fund performers during the six- month fiscal period. The Sub-Adviser’s security selection struggled within the health care and energy sectors. Specifically, holdings such as Biogen Inc. (BIIB) (holding weight*: 0.68 percent), a drug manufacturer focused on neurology, oncology, and immunology, and health insurer Cigna Corp. (CI) (holding weight*: 0.90 percent), each tumbled during the first half of the fiscal year. While the health care sector increased 2.9 percent during the period, BIIB and CI declined 24.7 percent and 25.7 percent, respectively. BIIB experienced the majority of its decline in the second fiscal quarter as an Alzheimer’s disease drug failed and wiped out more than $18 billion in market capitalization. CI experienced its drawdown from increased concerns surrounding the political posturing of the emerging democratic presidential field and the potential ramifications of “health care for all.”

 

Within the energy sector, oil exploration and drilling company ConocoPhillips (COP) (holding weight*: 1.45 percent), and global oil refiner Marathon Petroleum (MPC) (holding weight*: 1.41 percent), also struggled during the six-month period. As concerns loomed surrounding various energy spreads, potentially disruptive mergers, and geopolitical uncertainty, COP and MPC fell 9.3 percent and 12.3 percent, respectively. One of the companies involved in a merger disrupting the energy space, Chevron Corp. (CVX) (holding weight*: 2.43 percent), was one of the strongest performers for the Fund within the energy sector. CVX has sought to expand its presence in the Permian Basin through a strategic acquisition of Anadarko Petroleum Corp. (APC) (holding weight: not held), which has been entertaining multiple potential suitors. Despite a rapid increase in the bid price for APC, CVX has seen its own value leap 9.7 percent, outpacing the return of the energy sector as a whole.

 

Within the consumer staples and materials sectors, the Sub-Adviser uncovered some of the Fund’s strongest performers for the fiscal period. Global frozen chicken and beef supplier Tyson Foods Inc. (TSN) (holding weight*: 1.15 percent) soared 26.8 percent during the six-month period as the stock rebounded from a devastating 2018 decline plagued by falling chicken prices. Similarly, in the materials sector, Air Products and Chemicals Inc. (APD) (holding weight*: 1.51 percent), a natural gas and industry chemical supplier, expanded 35.1 percent during the period. APD benefitted from a strong project pipeline and a strong earnings report in the second fiscal quarter.

 

Sub-Adviser Outlook

 

As markets continued to head to higher levels, the Sub-Adviser was encouraged by the strong earnings releases and positive economic data. The Sub-Adviser remains focused on identifying companies with what it believes are attractive valuations relative to peers.

 

*Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2019.

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

  Total Returns as of April 30, 2019  
           Annualized  Annualized  
     Six Months  One Year  Five Years  Ten Years  
  Class N  8.25%  7.49%  6.92%  11.93%  
  Class C  7.68%  6.41%  5.86%  10.83%  
  Class A with load of 5.75%  1.88%  1.07%  5.40%  11.00%  
  Class A without load  8.08%  7.25%  6.65%  11.67%  
  Russell 1000 Value Index  7.90%  9.06%  8.27%  13.76%  
  Morningstar Large Cap Value Category  6.89%  7.41%  7.53%  12.46%  

 

The Russell 1000 Value 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 Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.

 

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.

 

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 1.30% for Class N, 2.30% for Class C and 1.55% 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 Large Cap Value Fund
April 30, 2019

 

Security  Shares   Value 
COMMON STOCKS - 97.3%          
AEROSPACE/DEFENSE - 2.5%          
Boeing Co.   2,096   $791,638 
Northrop Grumman Corp.   2,995    868,280 
Raytheon Co.   2,164    384,305 
         2,044,223 
AIRLINES - 1.5%          
Delta Air Lines, Inc.   20,355    1,186,493 
           
APPAREL - 1.1%          
PVH Corp.   6,674    860,879 
           
AUTO PARTS & EQUIPMENT - 0.5%          
BorgWarner, Inc.   9,640    402,663 
           
BANKS - 10.4%          
Bank of America Corp.   88,142    2,695,383 
JPMorgan Chase & Co.   27,227    3,159,693 
State Street Corp.   13,565    917,808 
SunTrust Banks, Inc.   15,871    1,039,233 
Wells Fargo & Co.   12,234    592,248 
         8,404,365 
BEVERAGES - 1.5%          
PepsiCo, Inc.   9,483    1,214,298 
           
BIOTECHNOLOGY - 1.6%          
Biogen, Inc. *   2,408    552,010 
Gilead Sciences, Inc.   11,852    770,854 
         1,322,864 
BUILDING MATERIALS - 0.7%          
Owens Corning   10,897    558,689 
           
CHEMICALS - 1.5%          
Air Products & Chemicals, Inc.   5,939    1,222,187 
           
COSMETICS / PERSONAL CARE - 2.3%          
Procter & Gamble Co.   17,625    1,876,710 
           
DIVERSIFIED FINANCIAL SERVICES - 5.9%          
American Express Co.   9,616    1,127,284 
Charles Schwab Corp.   12,891    590,150 
Discover Financial Services   14,359    1,170,115 
E*TRADE Financial Corp.   18,023    913,045 
Intercontinental Exchange, Inc.   12,191    991,738 
         4,792,332 
ELECTRIC - 5.0%          
American Electric Power Co., Inc.   14,681    1,255,960 
DTE Energy Co.   8,863    1,114,168 
Xcel Energy, Inc.   29,125    1,645,562 
         4,015,690 
ELECTRONICS - 1.1%          
Honeywell International, Inc.   5,110    887,249 
           
ENVIRONMENTAL CONTROL - 1.8%          
Waste Management, Inc.   13,734    1,474,208 
           
FOOD - 1.1%          
Tyson Foods, Inc.   12,324    924,423 
           
HEALTHCARE-PRODUCTS - 4.8%          
Danaher Corp.   5,533    732,790 
Hill-Rom Holdings, Inc.   5,228    530,224 
Medtronic PLC   18,025    1,600,800 
Thermo Fisher Scientific, Inc.   3,744    1,038,773 
         3,902,587 

  

Security  Shares   Value 
HEALTHCARE-SERVICES - 0.7%          
UnitedHealth Group, Inc.   2,564   $597,591 
           
INSURANCE - 5.7%          
Allstate Corp.   7,369    729,973 
Berkshire Hathaway, Inc. *   4,615    1,000,117 
Hartford Financial Services Group, Inc.   21,768    1,138,684 
Prudential Financial, Inc.   9,846    1,040,821 
Travelers Cos., Inc.   5,124    736,575 
         4,646,170 
INTERNET - 1.2%          
Alphabet, Inc. *   823    986,744 
           
IRON / STEEL - 0.5%          
Nucor Corp.   7,157    408,450 
           
LEISURE TIME - 1.3%          
Royal Caribbean Cruises Ltd.   8,981    1,086,162 
           
MACHINERY- DIVERSIFIED - 1.0%          
Caterpillar, Inc.   5,538    772,108 
           
MEDIA - 4.2%          
Comcast Corp.   49,331    2,147,379 
Walt Disney Co.   9,388    1,285,874 
         3,433,253 
MISCELLANEOUS MANUFACTURING - 2.6%          
Ingersoll-Rand PLC   9,815    1,203,417 
Parker-Hannifin Corp.   5,164    935,097 
         2,138,514 
OIL & GAS - 9.5%          
Chevron Corp.   16,334    1,961,060 
ConocoPhillips   18,552    1,171,002 
Diamondback Energy, Inc.   8,220    874,526 
EOG Resources, Inc.   10,075    967,704 
Helmerich & Payne, Inc.   11,935    698,436 
Marathon Petroleum Corp.   18,653    1,135,408 
Phillips 66   9,013    849,656 
         7,657,792 
PHARMACEUTICALS - 7.8%          
Allergan PLC   3,978    584,766 
Cigna Corp.   4,548    722,404 
Eli Lilly & Co.   6,639    777,029 
Merck & Co., Inc.   25,230    1,985,853 
Pfizer, Inc.   55,296    2,245,571 
         6,315,623 
REITS - 4.1%          
Alexandria Real Estate Equities, Inc.   3,264    464,761 
AvalonBay Communities, Inc.   3,032    609,220 
Equity LifeStyle Properties, Inc.   6,214    725,174 
Highwoods Properties, Inc.   9,917    442,100 
Prologis, Inc.   13,483    1,033,741 
         3,274,996 
SEMICONDUCTORS - 3.7%          
Broadcom Ltd.   4,554    1,449,994 
Intel Corp.   13,914    710,170 
NXP Semiconductors NV   8,087    854,149 
         3,014,313 
SOFTWARE - 3.3%          
Microsoft Corp.   11,694    1,527,236 
Oracle Corp.   20,156    1,115,232 
         2,642,468 

 


See accompanying notes to financial statements.

48

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Large Cap Value Fund (continued)
April 30, 2019

 

Security  Shares   Value 
COMMON STOCKS - 97.3% (Continued)          
TELECOMMUNICATIONS - 8.4%          
AT&T, Inc.   51,261   $1,587,041 
Cisco Systems, Inc.   51,469    2,879,690 
Verizon Communications, Inc.   40,359    2,308,131 
         6,774,862 
TOTAL COMMON STOCKS (Cost - $61,022,634)        78,838,906 
           
SHORT - TERM INVESTMENT - 2.3%      
MONEY MARKET FUND - 2.3%          
Invesco STIT-Treasury Portfolio Institutional Class - 2.32% +   1,875,265    1,875,265 
(Cost - $1,875,265)          
   Value 
     
TOTAL INVESTMENTS - 99.6% (Cost - $62,897,899)  $80,714,171 
OTHER ASSETS LESS LIABILITIES - 0.4%   297,388 
NET ASSETS - 100.0%  $81,011,559 

 

PLC - Public Limited Company

 

REITS - Real Estate Investment Trust

 

*Non-income producing security.

 

+Variable rate security. Interest rate is as of April 30, 2019.


Portfolio Composition * - (Unaudited)
Financial   26.2%  Technology   7.0%
Consumer, Non-cyclical   20.0%  Utilities   5.0%
Communications   13.9%  Consumer, Cyclical   4.4%
Industrial   9.7%  Basic Materials   2.0%
Energy   9.5%  Others   2.3%
        Total   100.0%

 

*Based on total value of investments as of April 30, 2019.

 

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

 

See accompanying notes to financial statements.

49

 

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

 

Asset Class Recap

 

One of the most consistent themes since the end of the Global Financial Crisis has been the tremendous performance of U.S. large cap growth stocks. Large cap growth stocks, as measured by the Russell 1000 Growth Index, have outpaced nearly every other broad asset class over the past 10-plus year period. Since the market low on March 9, 2009 through the end of the most recent fiscal quarter, large cap growth stocks increased more than 500 percent. Since the beginning of the fiscal year, large cap growth stocks have surged 12.1 percent. Nearly all of this positive performance came in the most recent fiscal quarter, as the first fiscal quarter was primarily represented by a drawdown and a subsequent recovery that brought the asset class back to break-even.

 

Allocation Review

 

Given the focus on bottom-up stock selection implemented by the Fund’s Sub-Adviser, the sector allocation of the Fund is solely a result of this process. Therefore, the Fund’s ultimate sector exposures are generally indicative of where the Sub-Adviser found the most compelling growth stocks. For example, close to 48 percent of the Fund was allocated to the information technology sector. Similarly, as the Sub-Adviser did not select any stocks within the consumer staples sector, the roughly 6 percent exposure in the benchmark was unrepresented in the Fund. Overall, the Fund’s sector allocation provided a wash in regard to relative performance, as the Fund’s largest sector overweight, information technology, was one of the strongest performers during the fiscal quarter, and the Fund’s largest sector underweight, industrials, slightly outperformed the benchmark as a whole, increasing 12.4 percent.

 

Holdings Insights

 

The Fund’s mandate to have no more than 35 stocks generally results in the Fund’s exposure to each stock being higher than that of the benchmark index. However, holdings such as Microsoft Corp. (MSFT) (holding weight*: 5.43 percent) was a relative underweight compared to the benchmark index. As MSFT surged 23.3 percent during the six-month period, it contributed to absolute performance, but the 1.4 percent underweight detracted from relative performance. Conversely, Veeva Systems Inc. (VEEV) (holding weight*: 3.65 percent), a cloud-based service provider for biotech and pharmaceutical companies, was a 3 percent overweight versus the benchmark index. Therefore, as VEEV rose 53.1 percent since the start of the fiscal year, it aided both absolute and relative performance.

 

Software as a service (SAAS) companies generally provided strong results during the six-month period, as Salesforce.com Inc. (CRM) (holding weight*: 5.98 percent) rose 20.5 percent, outperforming the information technology sector as a whole by close to 5 percent. Another peer in the SAAS space, Workday Inc. (WDAY) (holding weight*: 3.18 percent) also performed strongly, as it increased 54.6 percent during the same six-month period. Following suit, ServiceNow Inc. (NOW) (holding weight*: 4.69 percent), an enterprise information technology management software provider, jumped 50.0 percent as subscriptions surged, including subscriptions from U.S. federal agencies.

 

The health care sector was home to some of the best and worst performers during the first half of the fiscal year. Vertex Pharmaceuticals Inc. (VRTX) (holding weight*: 1.30 percent), a biotech company dominant in the cystic fibrosis market, fell 0.3 percent as a pricing standoff with UK parliament resulted in negative press. Align Technology Inc. (ALGN) (holding weight*: 2.09 percent), the producer of the Invisalign system, boasted a 46.8 percent return for the same period as orthodontic treatments returned to the spotlight.

 

Payment processing continues to provide ample growth opportunities, allowing for the adaptive credit card processors Visa Inc. (V) (holding weight*: 6.56 percent) and Mastercard Inc. (MA) (holding weight*: 6.61 percent) to thrive alongside the internet-born Paypal Holdings Inc. (PYPL) (holding weight*: 4.19 percent). As these companies have expanded their digital presence, earnings and growth prospects increased, leading to V, MA, and PYPL increasing 19.7 percent, 29.0 percent, and 34.0 percent, respectively since the start of the fiscal year.

 

Sub-Adviser Outlook

 

The Sub-Adviser continues to believe that the stocks in the Fund not only have strong balance sheets, but also garner free cash flow even in a stressed U.S. economic environment. Therefore, the Sub-Adviser is less concerned regarding temporary market displacements, so long as the strong growth characteristics that led them to the concentrated group of stocks in the Fund are unhindered.

 

*Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2019.

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

  Total Returns as of April 30, 2019  
              Annualized  
           Annualized  Since Inception  
     Six Months  One Year  Five Years  (12/8/11)  
  Class N  18.98%  25.39%  15.15%  14.68%  
  Class C  18.39%  24.19%  14.01%  13.56%  
  Class A with load of 5.75%  11.97%  17.90%  13.51%  13.48%  
  Class A without load  18.81%  25.09%  14.86%  14.39%  
  Russell 1000 Growth Index  12.09%  17.43%  14.50%  16.50%  
  Morningstar Large Cap Growth Category  12.17%  14.76%  12.35%  14.62%  

 

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 1.30% for Class N, 2.30% for Class C and 1.55% 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 

50

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Focused Large Cap Growth Fund
April 30, 2019

 

Security  Shares   Value 
COMMON STOCKS - 98.4%          
BIOTECHNOLOGY - 4.6%          
Illumina, Inc. *   11,317   $3,530,904 
Vertex Pharmaceuticals, Inc. *   8,242    1,392,733 
         4,923,637 
COMMERCIAL SERVICES - 10.2%          
PayPal Holdings, Inc. *   39,885    4,497,831 
S&P Global, Inc.   9,911    2,186,961 
Square, Inc. *   32,579    2,372,403 
TransUnion   26,372    1,836,810 
         10,894,005 
DIVERSIFIED FINANCIAL SERVICES - 13.2%          
Mastercard, Inc.   27,914    7,096,855 
Visa, Inc.   42,826    7,041,879 
         14,138,734 
HEALTHCARE-PRODUCTS - 8.0%          
Align Technology, Inc. *   6,922    2,247,435 
Edwards Lifesciences Corp. *   17,403    3,064,146 
Intuitive Surgical, Inc. *   6,293    3,213,395 
         8,524,976 
INTERNET - 17.5%          
Alibaba Group Holding Ltd. - ADR *   11,884    2,205,314 
Alphabet, Inc. *   4,892    5,814,044 
Amazon.com, Inc. *   4,055    7,812,039 
Facebook, Inc. *   15,244    2,948,190 
         18,779,587 
PHARMACEUTICALS - 1.7%          
DexCom, Inc. *   15,479    1,874,043 
           
RETAIL - 6.6%          
Burlington Stores, Inc. *   21,737    3,671,597 
Ulta Beauty, Inc. *   9,898    3,454,204 
         7,125,801 

  

Security  Shares   Value 
SEMICONDUCTORS - 2.5%          
NVIDIA Corp.   14,624   $2,646,944 
           
SOFTWARE - 34.1%          
Adobe, Inc. *   15,505    4,484,821 
Autodesk, Inc. *   26,812    4,778,166 
Microsoft Corp.   44,638    5,829,723 
Salesforce.com, Inc. *   38,867    6,426,658 
ServiceNow, Inc. *   18,566    5,040,855 
Splunk, Inc. *   18,736    2,586,317 
Veeva Systems, Inc. *   27,988    3,914,682 
Workday, Inc. *   16,588    3,410,990 
         36,472,212 
           
TOTAL COMMON STOCKS (Cost - $56,236,924)        105,379,939 
           
SHORT-TERM INVESTMENT - 1.9%          
MONEY MARKET FUND - 1.9%          
Treasury Obligations Portfolio - Institutional Class 2.29% +   2,010,454    2,010,454 
TOTAL SHORT-TERM INVESTMENT (Cost - $2,010,454)          
           
TOTAL INVESTMENTS - 100.3% (Cost - $58,247,378)       $107,390,393 
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3)%        (292,304)
NET ASSETS - 100.0%       $107,098,089 

 

ADR - American Depositary Receipt.

 

*Non-Income producing security.

 

+Variable rate security. Interest rate is as of April 30, 2019.

 


Portfolio Composition * - (Unaudited)
Technology   36.4%  Financial   13.2%
Consumer, Non-Cyclical   24.4%  Consumer, Cyclical   6.6%
Communications   17.5%  Short-Term Investments   1.9%
        Total   100.0%

 

*Based on total value of investments as of April 30, 2019.

 

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

 

See accompanying notes to financial statements.

51

 

Dunham International Stock Fund (Unaudited)
Message from the Sub-Adviser (Arrowstreet Capital, L.P.)

 

Asset Class Recap

 

International equity markets, as measured by the MSCI All Country World ex USA Index (Net) (referred to as the “Index”), gained 9.12 percent during the six-month period ending April 30, 2019. Across sectors, gains were led by real estate, IT, and communication services.

 

The best performing developed market countries as measured by the Index during the period were Hong Kong, up 25.61 percent, and New Zealand, up 19.62 percent. The worst performing developed market countries were Norway, down 3.18 percent, and Austria, down 2.27 percent. The best performing emerging market countries over the trailing six-months as measured by the Index were Egypt, up 22.65 percent and South Africa, up 21.82 percent. The worst performing emerging market countries were Pakistan, down 12.87 percent, and Malaysia, up 0.02 percent.

 

Portfolio Review

 

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 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 returns relative to the Index during the trailing six-month period were: The UK, primarily due to positive selection and an underweight to consumer staples along with strong selection in materials; and Israel, primarily due to an overweight to IT and an underweight to health care. Countries contributing most to underperformance relative to the Index included: China, primarily due to underweights and poor stock selection in both communication services and consumer discretionary sectors; and Australia, primarily due to poor stock selection within the real estate sector along with an underweight to energy.

 

The sector contributing most to returns relative to the Index during the trailing six-month period were: Utilities, primarily due to an overweight in Italy. The sector contributing the most to underperformance relative to the Index was energy, primarily due to overweights and poor stock selection across both China and Italy.

 

Holdings Insights

 

The stocks contributing most to returns relative to the Index during the period included: Enel SPA (ENEL IM) (holding weight*: 1.31 percent), an Italian utilities company; British American Tobacco (BTI) (holding weight*: 0.002 percent), a UK consumer staples company; and Rio Tinto (RIO) (holding weight*: 1.40 percent), a UK materials company. Stocks contributing most to underperformance relative to the Index on a relative basis due to not being held included: Tencent Holdings (700 HK) (holding weight: not held), a Chinese communication services company; Alibaba (BABA) (holding weight: not held), a Chinese consumer discretionary company; and Naspers (NPN SJ) (holding weight: not held), a South African consumer discretionary company.

 

Sub-Adviser Outlook

 

The Sub-Adviser generally constructs its portfolios by using proprietary econometric models and a proprietary optimization process that balances the trade-off between a stock’s expected return, its contribution to portfolio level risk, portfolio specific restrictions, and its opportunity costs relative to trading costs. As this is performed quantitatively, the Sub-Adviser’s outlook does not play a role in the disciplined investment process.

 

*Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2019.

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

  Total Returns as of April 30, 2019  
           Annualized  Annualized  
     Six Months  One Year  Five Years  Ten Years  
  Class N  5.15%  (6.26)%  2.75%  8.52%  
  Class C  4.65%  (7.18)%  1.73%  7.43%  
  Class A with load of 5.75%  (1.03)%  (11.86)%  1.29%  7.60%  
  Class A without load  5.04%  (6.49)%  2.49%  8.24%  
  MSCI All Country World ex US Index (net)  9.12%  (3.23)%  2.83%  7.75%  
  Morningstar Foreign Large Cap Blend Category  7.78%  (3.60)%  2.48%  7.58%  
                 

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 1.67% for Class N, 2.67% for Class C and 1.92% 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

52

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham International Stock Fund
April 30, 2019

  

Security  Shares   Value 
COMMON STOCKS - 97.7%          
AEROSPACE / DEFENSE - 1.0%          
Airbus SE   3,311   $453,010 
BAE Systems PLC - ADR ^   10,458    268,457 
Bombardier, Inc. *   60,100    106,332 
IHI Corp.   4,300    102,674 
Leonardo SpA   7,050    81,467 
Safran SA   1,991    289,978 
         1,301,918 
AGRICULTURE - 0.3%          
British American Tobacco PLC - ADR   77    3,019 
Imperial Brands PLC   6,138    195,248 
Japan Tobacco, Inc.   3,500    80,891 
Swedish Match AB   2,569    125,136 
         404,294 
AIRLINES - 0.6%          
Deutsche Lufthansa AG   5,684    137,407 
International Consolidated Airlines Group SA - ADR   3,800    54,074 
International Consolidated Airlines Group SA   19,902    140,519 
International Consolidated Airlines Group SA   15,197    107,363 
Qantas Airways Ltd.   74,134    292,796 
Turk Hava Yollari AO *   1    2 
         732,161 
APPAREL - 1.5%          
adidas AG   3,064    788,617 
Gildan Activewear, Inc.   17,100    630,477 
Kering SA   454    268,441 
Pou Chen Corp. *   92,000    111,922 
         1,799,457 
AUTO MANUFACTURERS - 1.5%          
Bayerische Motoren Werke AG   3,597    306,608 
Chongqing Changan Automobile Co Ltd. *   112,500    58,985 
Dongfeng Motor Group Co Ltd.   268,000    260,347 
Hino Motors Ltd.   21,100    200,074 
Kia Motors Corp.   11,634    450,980 
Porsche Automobil Holding SE - ADR   21,800    150,638 
Porsche Automobil Holding SE   3,193    221,792 
Renault SA   3,188    217,331 
         1,866,755 
AUTO PARTS & EQUIPMENT - 2.3%          
Aisin Seiki Co Ltd.   1,200    46,430 
Cie Generale des Etablissements Michelin SCA   1,588    205,180 
Continental AG   3,829    634,686 
Faurecia SA   4,654    236,613 
Hankook Tire Co Ltd. *   7,314    248,866 
Hyundai Mobis Co Ltd.   553    110,310 
Magna International, Inc.   8,385    466,541 
NGK Spark Plug Co Ltd.   18,000    351,028 
Nokian Renkaat OYJ   10,280    344,307 
Schaeffler AG   12,065    103,343 
Weichai Power Co Ltd.   61,000    99,870 
         2,847,174 
BANKS - 4.4%          
Agricultural Bank of China Ltd.   369,000    170,534 
Akbank T.A.S. *   141,161    145,065 
Banco do Brasil SA *   16,900    212,068 
Banco Santander Mexico SA   110,300    184,559 
Bank CIMB Niaga Tbk PT *   243,700    18,226 
Bank of China Ltd. - ADR   1,468    17,440 
Bank of China Ltd.   1,784,000    851,804 
Bank of Communications Co Ltd.   384,000    323,851 
China Construction Bank Corp. - ADR   13,669    240,574 
China Everbright Bank Co., Ltd.   475,000    234,594 
China Minsheng Banking Corp Ltd.   288,500    216,806 

 

Security  Shares   Value 
BANKS - 4.4% (continued)          
Danske Bank A/S   9,033   $160,422 
Erste Group Bank AG - ADR   5,100    102,281 
Grupo Financiero Banorte SAB de CV - ADR   1,828    57,655 
Grupo Financiero Banorte SAB de CV   7,500    47,359 
Industrial & Commercial Bank of China Ltd. - ADR ^   20,230    303,753 
Nordea Bank Abp - ADR   13,200    105,534 
Royal Bank of Canada ^   2,000    159,380 
Sberbank of Russia PJSC - ADR *   38,755    554,003 
Shinsei Bank Ltd. *   14,100    196,650 
Societe Generale SA   9,676    306,594 
Turkiye Garanti Bankasi AS   66,475    91,230 
Turkiye Is Bankasi AS *   81,167    73,059 
UniCredit SpA   26,976    373,159 
VTB Bank PJSC - ADR   207,083    231,105 
Yapi ve Kredi Bankasi AS *   184,313    64,043 
         5,441,748 
BEVERAGES - 1.3%          
Asahi Group Holdings Ltd.   5,000    218,056 
Carlsberg A/S   4,757    614,590 
Coca-Cola HBC AG   3,447    124,176 
Cia Cervecerias Unidas SA   13,622    187,591 
Davide Campari-Milano SpA   13,931    140,423 
Tsingtao Brewery Co., Ltd.   60,000    382,713 
         1,667,549 
BUILDING MATERIALS - 1.2%          
AGC, Inc.   20,700    706,366 
Asia Cement Corp.   44,000    59,555 
Cie de Saint-Gobain   4,573    187,342 
HeidelbergCement AG   1,507    121,848 
Imerys SA   7,701    410,017 
Titan Cement Co SA   958    20,754 
         1,505,882 
CHEMICALS - 2.4%          
Akzo Nobel NV - ADR   1,100    31,202 
Braskem SA *   30,100    364,678 
Covestro AG   7,604    417,486 
Evonik Industries AG   3,187    95,064 
Hanwha Chemical Corp. *   6,809    120,333 
JSR Corp.   9,700    148,034 
KCC Corp.   920    279,601 
Kingboard Holdings Ltd.   21,000    68,465 
Koninklijke DSM NV   2,643    302,042 
Mitsubishi Chemical Holdings Corp.   37,900    270,262 
Nitto Denko Corp.   3,200    173,046 
Shin-Etsu Chemical Co., Ltd.   6,800    644,242 
         2,914,455 
COAL - 0.3%          
China Shenhua Energy Co., Ltd. - ADR   7,400    65,490 
China Shenhua Energy Co., Ltd.   70,500    156,037 
Indo Tambangraya Megah Tbk PT   90,900    122,756 
         344,283 
COMMERCIAL SERVICES - 2.8%          
Ashtead Group PLC   11,360    315,351 
Brambles Ltd.   25,057    212,594 
Cielo SA   48,300    94,392 
COSCO SHIPPING Ports Ltd.   70,000    69,811 
Experian PLC   20,616    599,949 
Guangdong Provincial Expressway Development Co., Ltd. *   185,600    170,896 
Randstad NV   10,654    607,982 
RELX PLC   8,912    204,704 
RELX PLC *   42,562    974,423 
Sichuan Expressway Co Ltd.   400,000    133,620 
Wirecard AG   613    92,530 
         3,476,252 

 


See accompanying notes to financial statements.

53

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham International Stock Fund (Continued)
April 30, 2019

  

Security  Shares   Value 
COMMON STOCKS - 97.7% (Continued)          
COMPUTERS - 2.2%          
Capgemini SE   1,436   $174,125 
CGI Group, Inc. *   3,300    237,039 
Check Point Software Technologies Ltd. *   2,581    311,682 
Compal Electronics, Inc.   276,000    178,410 
Computershare Ltd.   25,961    326,086 
NTT Data Corp. *   49,000    571,492 
Otsuka Corp. *   5,300    208,502 
Phison Electronics Corp. *   25,000    235,450 
Quanta Computer, Inc.   224,000    429,557 
         2,672,343 
COSMETICS / PERSONAL CARE - 2.4%          
Kao Corp.   4,900    378,335 
L’Oreal SA   2,925    803,884 
Shiseido Co., Ltd.   3,900    306,821 
Unilever NV - ADR   20,357    1,230,704 
Unilever PLC   4,648    281,664 
         3,001,408 
DISTRIBUTION / WHOLESALE - 1.0%          
Ferguson PLC - ADR   11,100    78,255 
Hanwha Corp. *   12,423    315,199 
Marubeni Corp.   9,000    64,502 
Mitsubishi Corp.   14,700    405,024 
Sumitomo Corp.   22,200    318,246 
         1,181,226 
DIVERSIFIED FINANCIAL SERVICES - 3.2%          
ASX Ltd.   9,208    483,017 
B3 SA - Brasil Bolsa Balcao   35,500    310,489 
BNK Financial Group, Inc.   31,712    190,306 
Central China Securities Co., Ltd.   156,000    40,220 
China Galaxy Securities Co., Ltd.   120,500    78,951 
China International Capital Corp., Ltd. *   144,800    311,422 
China Merchants Securities Co., Ltd.   91,200    124,831 
CI Financial Corp.   21,600    309,420 
CITIC Securities Co., Ltd.   78,500    170,138 
Deutsche Boerse AG   3,126    417,368 
Everbright Securities Co., Ltd.   86,400    82,996 
Hana Financial Group, Inc.   10,225    322,504 
Hargreaves Lansdown PLC   7,275    214,838 
Huatai Securities Co., Ltd.   52,200    98,370 
Investec Ltd. *   7,551    48,213 
Japan Exchange Group, Inc.   14,200    231,922 
ORIX Corp.   11,800    167,187 
Yuanta Financial Holding Co., Ltd. *   498,000    288,844 
         3,891,036 
ELECTRIC - 4.3%          
Centrais Eletricas Brasileiras SA *   37,200    308,878 
China Resources Power Holdings Co., Ltd.   42,000    58,767 
Chubu Electric Power Co., Inc.   3,500    50,783 
Cia Energetica de Minas Gerais - ADR   10,314    38,162 
E.ON SE   63,103    677,922 
EDP Renovaveis SA   7,350    73,028 
Enel Americas SA   2,067,826    361,584 
Enel Chile SA   829,780    83,322 
Enel SpA *   254,343    1,609,250 
Huaneng Power International, Inc. - ADR   249    6,332 
Iberdrola SA   49,219    446,914 
Interconexion Electrica SA ESP   86,852    424,650 
Kansai Electric Power Co., Inc.   2,400    29,041 
RWE AG   25,926    664,469 
Terna Rete Elettrica Nazionale SpA   31,819    190,734 
Tokyo Electric Power Co. Holdings, Inc. *   55,800    314,634 
         5,338,470 
ELECTRICAL COMPONENTS & EQUIPMENT - 0.2%          
Brother Industries Ltd.   10,100    199,460 
Dongfang Electric Corp., Ltd. *   125,800    96,049 
         295,509 
ELECTRONICS - 2.2%          
AU Optronics Corp. *   103,000    36,837 
Hoya Corp.   10,600    748,787 
Kyocera Corp. - ADR   400    25,840 
Kyocera Corp.   12,800    831,950 
LG Display Co., Ltd. *   11,340    192,834 

  

Security  Shares   Value 
ELECTRONICS - 2.2% (Continued)          
Micro-Star International Co., Ltd. *   112,000   $311,100 
Omron Corp.   1,400    75,213 
Yokogawa Electric Corp.   21,900    458,692 
         2,681,253 
ENERGY-ALTERNATE SOURCES - 0.1%          
TPI Polene Power PCL   252,500    49,037 
Xinyi Solar Holdings Ltd. *   88,000    50,178 
         99,215 
ENGINEERING & CONSTRUCTION - 0.2%          
China Communications Services Corp., Ltd.   80,000    64,518 
Enka Insaat ve Sanayi AS   1    1 
Sydney Airport   26,607    142,793 
         207,312 
ENTERTAINMENT - 0.3%          
Aristocrat Leisure Ltd.   13,075    240,317 
OPAP SA   9,772    105,366 
         345,683 
FOOD - 2.4%          
Associated British Foods PLC - ADR   2,400    81,012 
Cencosud SA   62,617    118,383 
CJ CheilJedang Corp. *   362    42,949 
Koninklijke Ahold Delhaize NV   8,613    207,421 
Nestle SA   11,762    1,132,362 
Orkla ASA   43,983    344,402 
Seven & i Holdings Co., Ltd.   15,200    526,126 
Uni-President China Holdings Ltd.   137,000    125,447 
WH Group Ltd.   167,500    198,173 
Wm Morrison Supermarkets PLC   29,595    83,395 
Yakult Honsha Co., Ltd.   1,700    116,089 
         2,975,759 
FOOD SERVICE - 0.3%          
Compass Group PLC - ADR   16,490    382,403 
           
FOREST PRODUCTS & PAPER- 0.3%          
Shandong Chenming Paper Holdings Ltd. *   191,300    97,351 
UPM-Kymmene OYJ   10,279    289,993 
         387,344 
GAS - 0.4%          
National Grid PLC - ADR   4,852    265,502 
Tokyo Gas Co., Ltd.   11,200    285,003 
         550,505 
HAND / MACHINE TOOLS - 0.3%          
Fuji Electric Co., Ltd.   4,400    156,012 
Techtronic Industries Co., Ltd. - ADR   5,200    188,240 
         344,252 
HEALTHCARE - PRODUCTS - 3.2%          
Alcon, Inc. *   4,276    246,237 
EssilorLuxottica SA   2,247    273,552 
Getinge AB   12,450    175,232 
Hengan International Group Co., Ltd. - ADR   6,759    297,017 
Koninklijke Philips NV *   24,762    1,062,520 
Lifco AB   4,207    200,181 
Olympus Corp.   27,600    309,827 
Shimadzu Corp.   3,400    91,216 
Smith & Nephew PLC - ADR   8,738    341,219 
Smith & Nephew PLC   27,710    535,560 
Sonova Holding AG - ADR   5,600    226,016 
Terumo Corp.   4,400    132,810 
         3,891,387 
HEALTHCARE - SERVICES - 0.2%          
Fresenius Medical Care AG & Co. KGaA   2,425    204,223 
           
HOLDING COMPANIES-DIVERSIFIED - 0.1%          
Financiere de Tubize SA   1,315    92,041 
Haci Omer Sabanci Holding AS *   1    1 
         92,042 
HOME BUILDERS - 0.1%          
Taylor Wimpey PLC   36,241    85,897 
           
HOME FURNISHINGS - 0.7%          
Arcelik AS *   1    3 
Electrolux AB   12,061    295,295 
LG Electronics, Inc.   2,286    148,526 

 


See accompanying notes to financial statements.

54

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham International Stock Fund (Continued)
April 30, 2019

 

Security  Shares   Value 
COMMON STOCKS - 97.7% (Continued)          
HOME FURNISHINGS - 0.7% (Continued)          
Nien Made Enterprise Co., Ltd.   16,000   $125,545 
Panasonic Corp.   30,200    278,138 
         847,507 
HOUSEHOLD PRODUCTS/WARES - 0.3%          
Henkel AG & Co. KGaA   1,172    111,671 
Henkel AG & Co. KGaA   2,593    262,380 
         374,051 
INSURANCE - 5.1%          
Aegon NV - ADR ^   50,350    261,820 
Aegon NV   7,354    38,358 
Allianz SE   2,859    690,507 
Assicurazioni Generali SpA   30,414    589,620 
AXA SA   30,706    818,166 
China Life Insurance Co., Ltd. *   108,607    90,427 
China Reinsurance Group Corp.   221,000    45,090 
China Taiping Insurance Holdings Co., Ltd.   57,600    175,155 
Dai-ichi Life Holdings, Inc.   17,800    256,986 
iA Financial Corp., Inc.   4,725    187,356 
Japan Post Holdings Co., Ltd.   27,900    312,526 
MS&AD Insurance Group Holdings, Inc.   20,500    637,330 
Muenchener Rueckversicherungs-Gesellschaft AG   1,737    431,913 
NN Group NV   8,370    364,971 
People’s Insurance Co. Group of China Ltd.   206,000    84,348 
Porto Seguro SA   5,500    75,699 
Shin Kong Financial Holding Co., Ltd. *   642,115    181,935 
Sompo Holdings, Inc.   6,000    226,500 
Sony Financial Holdings, Inc.   1,300    26,734 
Tokio Marine Holdings, Inc.   15,400    780,386 
         6,275,827 
INTERNET - 1.3%          
Auto Trader Group PLC   48,367    357,451 
Kakaku.com, Inc.   10,200    210,183 
Shopify, Inc. * ^   1,972    480,241 
Trend Micro, Inc.   5,400    270,005 
Wix.com Ltd. * ^   2,000    268,320 
         1,586,200 
INVESTMENT COMPANIES - 0.4%          
Grupo de Inversiones Suramericana SA   6,016    64,816 
Grupo de Inversiones Suramericana SA   22,070    245,556 
Itausa - Investimentos Itau SA *   50,738    153,358 
         463,730 
IRON / STEEL - 0.2%          
POSCO   1,122    245,587 
           
LEISURE TIME - 0.1%          
Giant Manufacturing Co., Ltd.   23,000    175,413 
           
LODGING - 0.4%          
InterContinental Hotels Group PLC - ADR   4,862    321,427 
NagaCorp., Ltd.   66,000    84,748 
Shanghai Jinjiang International Hotels Development Co., Ltd. *   48,300    106,646 
         512,821 
MACHINERY CONSTRUCTION & MINING - 1.5%          
Hitachi Ltd. - ADR   1,793    119,459 
Hitachi Ltd.   21,200    705,201 
Komatsu Ltd.   12,700    328,105 
Mitsubishi Electric Corp.   49,500    708,469 
         1,861,234 
MACHINERY - DIVERSIFIED - 1.4%          
Amada Holdings Co., Ltd.   19,900    223,121 
Atlas Copco AB   19,231    547,185 
CNH Industrial NV   11,883    129,087 
GEA Group AG - ADR   1,000    28,230 
Hexagon AB   6,960    379,854 
Kone OYJ   3,869    212,424 
Shanghai Mechanical and Electrical Industry Co., Ltd. *   25,400    47,117 
THK Co., Ltd.   6,600    174,561 
         1,741,579 
MEDIA - 1.4%          
Pearson PLC - ADR ^   17,000    184,280 
ProSiebenSat.1 Media SE - ADR   11,700    45,689 

 

Security  Shares   Value 
MEDIA - 1.4% (Continued)          
Vivendi SA   21,438   $621,757 
Wolters Kluwer NV *   12,437    867,375 
         1,719,101 
MINING - 5.7%          
Anglo American PLC   46,438    1,204,730 
AngloGold Ashanti Ltd.   7,298    86,641 
BHP Group Ltd.   46,457    1,227,443 
BHP Group PLC - ADR   8,300    391,179 
BHP Group PLC   10,980    259,109 
Boliden AB   11,569    343,943 
China Molybdenum Co., Ltd.   579,000    218,420 
Glencore PLC - ADR ^   8,716    68,769 
Glencore PLC   116,121    460,594 
Gold Fields Ltd. - ADR   54,096    202,860 
MMC Norilsk Nickel PJSC - ADR   3,591    79,720 
Rio Tinto Ltd. ^   5,811    391,064 
Rio Tinto PLC - ADR   29,192    1,719,409 
South32 Ltd.   26,158    61,684 
Teck Resources Ltd. ^   13,985    329,353 
         7,044,918 
MISCELLANEOUS MANUFACTURING - 1.0%          
Doosan Corp.   914    60,098 
Siemens AG   10,094    1,209,322 
         1,269,420 
OFFICE / BUSINESS EQUIPMENT - 0.2%          
Canon, Inc.   7,300    202,597 
Seiko Epson Corp. - ADR   7,800    62,712 
         265,309 
OIL & GAS - 6.5%          
China Petroleum & Chemical Corp.   1,550,000    1,191,409 
CNOOC Ltd. - ADR   2,441    443,481 
CNOOC Ltd.   371,000    673,809 
Cosan SA *   4,200    49,663 
Drilling Co of 1972 A/S *   328    25,160 
Eni SpA   79,423    1,352,373 
Equinor ASA - ADR ^   10,861    241,006 
Galp Energia SGPS SA   10,367    173,676 
Gazprom PJSC - ADR   30,800    154,616 
Gazprom PJSC - ADR   67,456    336,875 
LUKOIL PJSC - ADR   14,183    1,202,435 
Petrobras Distribuidora SA   42,700    253,802 
PetroChina Co., Ltd. - ADR *   8,450    534,800 
PetroChina Co., Ltd.   328,000    207,901 
Polski Koncern Naftowy ORLEN SA *   6,490    166,338 
Polskie Gornictwo Naftowe i Gazownictwo SA *   48,396    73,467 
PTT Exploration & Production PCL   13,200    55,075 
Repsol SA   35,758    606,280 
Tourmaline Oil Corp.   21,648    322,338 
         8,064,504 
PHARMACEUTICALS - 10.4%          
Astellas Pharma, Inc.   39,200    531,015 
AstraZeneca PLC - ADR ^   21,482    809,012 
Bayer AG   13,466    895,239 
Eisai Co., Ltd.   1,800    104,834 
Eisai Co., Ltd. - ADR   800    46,640 
GlaxoSmithKline PLC - ADR   30,000    1,233,900 
Grifols SA   12,969    249,470 
Kalbe Farma Tbk PT   1,474,300    159,954 
Kobayashi Pharmaceutical Co., Ltd.   1,200    95,716 
Kyowa Hakko Kirin Co., Ltd.   700    13,620 
Merck KGaA   2,996    319,089 
Novartis AG   21,381    1,751,875 
Novo Nordisk A/S - ADR   3,302    161,831 
Novo Nordisk A/S   16,055    785,976 
Ono Pharmaceutical Co., Ltd.   11,400    214,190 
Orion Oyj   11,009    366,795 
Otsuka Holdings Co., Ltd.   4,700    168,053 
Roche Holding AG - ADR ^   13,300    439,698 
Roche Holding AG   10,718    2,827,949 
Sanofi   7,170    625,076 
Shionogi & Co., Ltd.   8,000    467,388 
Takeda Pharmaceutical Co., Ltd. - ADR   19,445    355,455 
UCB SA   3,051    242,296 
         12,865,071 

 


See accompanying notes to financial statements.

55

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham International Stock Fund (Continued)
April 30, 2019

 

Security  Shares   Value 
COMMON STOCKS - 97.7% (Continued)          
PRIVATE EQUITY - 0.6%          
3i Group PLC   51,117   $715,059 
           
REAL ESTATE - 0.9%          
CK Asset Holdings Ltd.   32,500    261,297 
Guangzhou R&F Properties Co., Ltd.   76,000    151,182 
Hang Lung Group Ltd.   37,000    110,341 
Hysan Development Co., Ltd.   49,000    274,611 
Shanghai Jinqiao Export Processing Zone Development Co., Ltd. *   91,900    113,129 
SOHO China Ltd. *   140,500    50,958 
Wharf Real Estate Investment Co., Ltd.   17,000    130,283 
Wheelock & Co., Ltd.   3,000    21,377 
         1,113,178 
REIT - 0.7%          
H&R REAL ESTATE INV-REIT UTS *   22,400    381,160 
Link REIT   38,000    443,956 
Scentre Group   34,108    91,863 
         916,979 
RETAIL - 0.9%          
HUGO BOSS AG   7,560    527,825 
Kingfisher PLC - ADR   1,800    12,456 
Kingfisher PLC   130,026    448,234 
Lao Feng Xiang Co., Ltd.   18,100    62,517 
         1,051,032 
SEMICONDUCTORS - 5.4%          
ASML Holding NV   1,930    402,681 
Nanya Technology Corp.   126,000    267,591 
Renesas Electronics Corp. *   25,800    138,202 
Rohm Co., Ltd.   5,400    398,269 
Samsung Electronics Co., Ltd. - ADR   126    124,236 
Samsung Electronics Co., Ltd. - ADR   375    296,250 
Samsung Electronics Co., Ltd.   67,400    2,649,981 
Samsung Electronics Co., Ltd.   8,550    272,755 
SK Hynix, Inc. *   14,214    961,873 
STMicroelectronics NV   12,375    227,687 
STMicroelectronics NV - ADR ^   7,300    133,955 
STMicroelectronics NV   21,978    403,296 
Taiwan Semiconductor Manufacturing Co., Ltd. *   35,000    293,861 
United Microelectronics Corp. *   185,000    80,669 
         6,651,306 
SOFTWARE - 3.3%          
Amadeus IT Group SA   7,687    612,137 
Constellation Software, Inc.   300    263,620 
Dassault Systemes SE - ADR   1,011    160,587 
Micro Focus International PLC   20,549    520,763 
Oracle Corp. Japan   2,500    171,450 
Sage Group PLC   6,798    64,422 
SAP SE   11,373    1,464,898 
Ubisoft Entertainment SA *   3,683    351,585 
Xero Ltd. *   13,351    512,712 
         4,122,174 
TELECOMMUNICATIONS - 4.2%          
China Mobile Ltd. - ADR   6,600    314,622 
China Telecom Corp., Ltd. - ADR   5,000    259,200 
China Unicom Hong Kong Ltd. - ADR   22,552    267,692 
Deutsche Telekom AG *   54,760    916,763 
Elisa OYJ   2,402    101,927 
KDDI Corp.   12,300    283,536 
Koninklijke KPN NV   19,522    59,950 
Nice Ltd. - ADR * ^   1,319    181,837 
Nippon Telegraph & Telephone Corp.   14,800    615,915 
Nokia OYJ - ADR ^   31,100    164,208 
Nokia OYJ *   96,562    506,989 
Telecom Italia SpA - ADR *   48,078    265,391 
Telecom Italia SpA - ADR ^   7,800    40,014 
Telefonaktiebolaget LM Ericsson *   12,773    126,919 
Telefonaktiebolaget LM Ericsson   13,184    130,286 
Telefonica SA   103,506    862,274 
TELUS Corp.   4,100    150,352 
         5,247,875 

 

Security  Shares   Value 
TRANSPORTATION - 1.9%          
AP Moller - Maersk A/S   164   $200,448 
Canadian National Railway Co.   6,832    632,006 
Canadian Pacific Railway Ltd. ^   800    179,256 
China Railway Signal & Communication Corp., Ltd.   236,000    173,284 
DSV A/S - ADR   2,300    107,203 
East Japan Railway Co.   6,100    574,979 
Guangshen Railway Co., Ltd.   266,000    95,394 
West Japan Railway Co.   5,800    431,446 
         2,394,016 
WATER - 0.2%          
Aguas Andinas SA   456,664    262,027 
           
TOTAL COMMON STOCKS (Cost - $112,615,961)        120,715,113 
           
EXCHANGE TRADED FUND - 0.6%          
EQUITY FUND - 0.6%          
iShares MSCI EAFE ETF   11,048    737,565 
TOTAL EXCHANGE TRADED FUND (Cost - $631,015)          
           
WARRANT- 0.0%          
Barito Pacific TBK PT * ++   35,722    3,760 
TOTAL WARRANTS (Cost - $0)          

 

       Principal     
   Interest Rate   Amount     
PREFERRED STOCKS - 0.5%     
OIL & GAS - 0.5%               
PETROLEO BRASILEIRO SA - PETROBRAS   0.000    83,800    575,312 
TOTAL PREFERRED STOCKS (Cost - $641,656)      
                
        Shares      
SHORT-TERM INVESTMENT - 0.4%         
MONEY MARKET FUND - 0.4%          
Fidelity Institutional Money Market Fund - Government Portfolio - Institutional Class   2.310+    447,624    447,624 
TOTAL SHORT-TERM INVESTMENT (Cost - $447,624) 
                
COLLATERAL FOR SECURITIES LOANED - 3.9%     
Mount Vernon Prime Portfolio, 2.61% + # (Cost - $4,874,737)    4,874,737    4,874,737 
                
TOTAL INVESTMENTS - 103.1% (Cost - $119,210,993)   $127,354,111 
LIABILITIES LESS OTHER ASSETS - (3.1)%    (3,822,533)
NET ASSETS - 100.0%   $123,531,578 

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $4,782,574 at April 30, 2019.

 

*Non-income producing security.

 

ADR - American Depositary Receipt.

 

NV - Non-Voting

 

REIT - Real Estate Investment Trust.

 

+Variable rate security. Interest rate is as of April 30, 2019.

 

++The Advisor or Trustees have determined these securities to be illiquid. On April 30, 2019, these securities amounted to $3,760 or 0.0% of net assets.

 

#The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

See accompanying notes to financial statements.

56

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham International Stock Fund (Continued)
April 30, 2019

 

Portfolio Composition * - (Unaudited)
Japan   16.4%  France   5.2%
Britain   11.7%  Canada   3.9%
Germany   9.7%  Italy   3.8%
China   7.9%  Netherlands   3.4%
Switzerland   6.6%  Other Countries **   25.7%
South Korea   5.7%  Total   100.0%

 

*Based on total value of investments as of April 30, 2019.

 

**Includes collateral for securities loaned as of April 30, 2019.

 

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

 

See accompanying notes to financial statements.

57

 

Dunham Real Estate Stock Fund (Unaudited)
Message from the Sub-Adviser (Barings LLC)

 

Asset Class Recap

 

In December, the Federal Open Market Committee raised base rates by 25 basis points, moving the Fed Funds rate to 2.50 percent. However, Jerome Powell’s reversal from his hawkish stance was announced in December and sought to reduce the expected interest rate hikes in 2019 from three to two. With inflation remaining stubbornly low and trade war tensions escalating, Fed Chairman Jerome Powell announced to halt the interest rate hike plans in 2019 until further indication of inflation was seen. In addition, the Federal Open Market Committee ended quantitative tightening of the balance sheet, which was a large reversal of its previous stance.

 

REITs, as measured by the FTSE NAREIT All REITs Index, increased 12.4 percent during the six-month period ending April 30, 2019 and outperformed both broad equity indexes and bonds. Broad equity indexes, as measured by the S&P 500 Index, increased 9.8 percent. Bonds, as measured by the Bloomberg Barclays U.S. Aggregate Total Return Bond Index, rose 5.5 percent during the six-month period.

 

Portfolio Review

 

During the first fiscal quarter, concerns about a slowing economy had the defensive REIT sectors such as net lease, healthcare and manufactured housing outperform. However, during the second fiscal quarter concerns about a slowing economy evaporated and cyclical sectors such as data centers, hotels, and offices outperformed. Overall, security selection contributed more than sector allocation during the second fiscal quarter. Security selection and sector allocation within the office sector contributed positively to Fund performance during the second fiscal quarter. Within the data center and hotel sectors, sector allocation detracted while security selection contributed to positive performance during the second fiscal quarter. The Sub-Adviser exited the self-storage sector due to supply concerns.

 

Holdings Insights

 

The largest contributor within the Fund was American Tower Corporation (AMT) (holding weight*: 5.63 percent), an owner and operator of wireless and broadcast communications infrastructure. AMT continued to post solid cash flow and the Sub-Adviser believes it is poised to benefit from investment in 5G tower infrastructure. Although the Sub-Adviser sold the holding during the first fiscal quarter, the Fund reinitiated the holding during the second fiscal quarter. The holding rose 26.6 percent during the six-month period. The second top contributor to the Fund was Prologis Inc. (PLD) (holding weight*: 5.09 percent), which operates and invests in industrial properties. The company had better-than-expected earnings during both fiscal quarters; however, it faced weakness from its 2018 merger. Over the six-month period, PLD increased 20.7 percent. Another contributor within the Fund was UDR Inc. (UDR) (holding weight*: 1.96 percent). UDR owns, operates, acquires, renovates, develops, and manages multifamily apartment homes across the U.S. The Sub-Adviser believes that UDR has a strong portfolio of apartment complexes with a diverse exposure to large and small markets. The Sub-Adviser believes these smaller markets are less competitive and are a consistent source of revenue. This is one of the Sub-Adviser’s largest positions due to an easing supply of apartments and the possibility of earnings from rent raises. Over the six-month period, UDR increased 16.5 percent.

 

The top detractor to the Fund during the six-month period was Acadia Realty Trust (AKR) (holding weight**: 0.34 percent), which owns shopping centers and declined 12.5 percent. The Sub-Adviser sold the holding on December 26, 2018 due to weakness in the shopping center sector. The second largest detractor from Fund performance was the Fund’s allocation to Chesapeake Lodging Trust (CHSP) (holding weight**: 0.09 percent), a position from the hotel sector. CHSP owns hotels in San Francisco and has exhibited solid fundamentals. This position declined drastically amid the selloff of the hotel sector during the first fiscal quarter, as investors became fearful that the end of the real estate cycle was near. CHSP dropped 16.5 percent by the time it was sold at the beginning of January 2019. Another detractor from performance came from the regional mall sector. Macerich Company (MAC) (holding weight**: 0.46 percent) was sold during the first fiscal quarter, near the end of December 2018, after decreasing 18.0 percent. The Sub-Adviser attributes the decline to continued store closures in the regional mall space.

 

Sub-Adviser Outlook

 

Going forward, the Sub-Adviser is optimistic about earnings expansion through 2019, as it sees growth opportunity or catalysts in several sectors. The Sub-Adviser believes that demand still outpaces supply; for example, accelerating earnings growth in apartments and single family homes is encouraging to the Sub-Adviser. However, near peak occupancy and completed balance sheet refinancing has made it difficult to find ways to grow. The Sub-Adviser believes lower supply and rising rental rates are how earnings can grow moving forward.

 

*Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2019.

 

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

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

  Total Returns as of April 30, 2019  
           Annualized  Annualized  
     Six Months  One Year  Five Years  Ten Years  
  Class N  12.73%  16.92%  7.50%  14.59%  
  Class C  12.20%  15.78%  6.43%  13.46%  
  Class A with load of 5.75%  6.11%  9.93%  5.98%  13.63%  
  Class A without load  12.56%  16.63%  7.24%  14.31%  
  FTSE NAREIT All REITs Index  12.45%  18.78%  9.15%  15.33%  
  Morningstar Real Estate Category  11.86%  16.27%  7.53%  14.26%  

 

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 1.10% for Class N, 2.10% for Class C and 1.35% 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

58

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Real Estate Stock Fund
April 30, 2019

 

Security  Shares   Value 
REITS - 98.9%          
APARTMENTS - 23.8%          
American Homes 4 Rent   93,880   $2,251,242 
AvalonBay Communities, Inc.   14,130    2,839,141 
Equity Residential   41,100    3,140,862 
Invitation Homes, Inc.   59,830    1,487,374 
Mid-America Apartment Communities, Inc.   21,610    2,364,350 
UDR, Inc.   24,080    1,082,396 
         13,165,365 
DIVERSIFIED - 25.5%          
American Tower Corp.   15,950    3,115,035 
Cousins Properties, Inc.   123,160    1,178,641 
Crown Castle International Corp.   19,530    2,456,483 
Equinix, Inc.   5,340    2,428,098 
Gaming and Leisure Properties, Inc.   25,720    1,038,573 
New Residential Investment Corp.   92,940    1,562,321 
VICI Properties, Inc.   63,250    1,442,100 
Weyerhaeuser Co.   33,470    896,996 
         14,118,247 
FINANCE - MORTGAGE LOAN/BANKER - 2.3%          
TPG RE Finance Trust, Inc.   65,460    1,290,217 
           
HEALTHCARE - 9.6%          
Medical Properties Trust, Inc.   54,860    957,856 
National Health Investors, Inc.   9,200    693,956 
Physicians Realty Trust   59,250    1,070,055 
Welltower, Inc.   34,730    2,588,427 
         5,310,294 
HOTELS - 4.6%          
Host Hotels & Resorts, Inc.   81,850    1,574,794 
Park Hotels & Resorts, Inc.   31,172    999,998 
         2,574,792 
OFFICE - 8.3%          
Boston Properties, Inc.   19,370    2,665,699 
Kilroy Realty Corp.   24,993    1,922,212 
         4,587,911 

 

Security  Shares   Value 
REGIONAL MALLS - 2.3%          
Simon Property Group, Inc.   7,541   $1,309,872 
           
SHOPPING CENTERS - 5.9%          
Regency Centers Corp.   31,784    2,134,931 
Weingarten Realty Investors   38,600    1,117,084 
         3,252,015 
SINGLE FAMILY - 8.9%          
Agree Realty Corp.   20,570    1,346,718 
National Retail Properties, Inc.   36,070    1,898,004 
STORE Capital Corp.   50,220    1,673,330 
         4,918,052 
WAREHOUSE/INDUSTRIAL - 7.7%          
First Industrial Realty Trust, Inc.   40,830    1,440,074 
Prologis, Inc.   36,720    2,815,322 
         4,255,396 
TOTAL REITS (Cost - $46,139,791)        54,782,161 
           
SHORT-TERM INVESTMENT - 1.0%          
MONEY MARKET FUND - 1.0%          
Fidelity Investments Money Market - Class I, 2.31% +   565,428    565,428 
TOTAL SHORT-TERM INVESTMENT (Cost - $565,428)          
           
TOTAL INVESTMENTS - 99.9% (Cost - $46,705,219)       $55,347,589 
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1%        56,287 
TOTAL NET ASSETS - 100.00%       $55,403,876 

 

REITS - Real Estate Investment Trusts.

 

+Variable rate security. Interest rate is as of April 30, 2019.

 



Portfolio Composition * - (Unaudited)
Diversified   25.5%  Shopping Centers   5.9%
Apartments   23.8%  Hotels   4.6%
Healthcare   9.6%  Regional Malls   2.4%
Single Family   8.9%  Finance - Mortgage Loan/Banker   2.3%
Office   8.3%  Short-Term Investment   1.0%
Warehouse/Industrial   7.7%  Total   100.0%

 

*Based on total value of investments as of April 30, 2019.

 

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

 

See accompanying notes to financial statements.

59

 

Dunham Small Cap Value Fund (Unaudited)
Message from the Sub-Adviser (Ziegler Capital Management LLC)

 

Asset Class Recap

 

Small cap value stocks, as measured by the Russell 2000 Value Index, rose 3.7 percent since the start of the fiscal year. Although a roughly 4 percent return in a six-month period is decent by most measures, small cap stocks in general, as measured by the Russell 2000 index, saw an even stronger 6.0 percent return. As investors juggled narratives surrounding trade talks, earnings releases, and potential Fed actions, the underlying theme that prevailed was that of economic optimism. This broadly drove returns and helped assuage, or at least delay fears that his bull market may be out of steam. Small cap stocks are generally represented by companies with limited number of business lines – in some cases a single product. Within the value style, there is generally a tilt toward lower share prices per unit of earnings. However, it is important to delineate that risks are not easily defined and that everything in the small cap value universe is not necessarily trading at a discount. To the contrary, these businesses vie for their market share and margins each day, requiring small cap value active managers to carefully select what they believe to be the best stocks within the broad space.

 

Allocation Review

 

As the aforementioned themes of Fed actions and trade talks often broadly impact individual sectors (i.e. a flat yield curve generally adversely affects banks that rely heavily on lending activity), shifts in these themes are difficult to predict, so the Fund’s Sub-Adviser maintains a neutral sector exposure in order to attempt to focused on selecting what it believes are the best stocks. Therefore, the Fund’s exposure to the worst performing sectors, healthcare and energy, was not a meaningful detractor from relative performance. Conversely, the Fund’s allocation to the strongest performing sectors, information technology and utilities, also was not a primary driver of relative performance. Instead, the Sub-Adviser’s quantitatively-driven stock selection within each of these sectors was the primary driver of relative performance.

 

Holdings Insights

 

As the second-worst performing sector during the first half of the fiscal year, health care broadly dropped close to 16.8 percent. Due to strong stock selection within the sector, some of these losses were mitigated. For example, the Fund held Integer Holdings Corp. (ITGR) (holding weight*: 0.87 percent), a leading provider of batteries for pacemakers and implantable cardioverter defibrillators. From mid-November when it was initially added to the Fund through the end of the most recent fiscal quarter, ITGR declined 17.9 percent as political concerns in the health care field threatened these primary business lines. However, the Fund also held Providence Service Corp (PRSC) (holding weight*: 0.64 percent), a non-emergency transportation service provider, and Magellan Health Inc. (MGLN) (holding weight*: 0.56 percent), a manager of behavioral health care services. During the same time period, PRSC and MGLN increased 0.4 percent and 7.6 percent, respectively.

 

When the strongest performing sector, information technology, boasts an overall return over 18 percent, individual stocks within the sector require an even higher return or they result in a detraction from relative performance. For example, Tech Data Corp. (TECD) (holding weight*: 1.63 percent), a global wholesale distributor of technology products, rose 50.9 percent during the six-month period, outperforming the sector as a whole and contributing strongly to the Fund’s relative performance. The Fund also held Electronics for Imaging Inc. (EFII) (holding weight*: 1.70 percent), a systems provider for commercial and enterprise digital printing. During the six-month period, EFII 22.1 percent as private equity firm Siris Capital Group LLC offered $1.7 billion to buyout the company, contributing to relative and absolute performance. Conversely, the Fund held MTS Systems Corp. (MTSC) (holding weight*: 0.68 percent), a company that specializes in running tests and simulations on mechanical systems. Despite producing a 17.5 percent return over the six-month period, it detracted from relative performance due to lagging the sector’s return by more than 1 percent.

 

Although the financials sector’s overall performance was closer to that of the benchmark index as a whole, it provided an extremely diverse set of underlying stock performance. For example, one of the poorest performers in the Fund during the six-month period was On Deck Capital, Inc. (ONDK) (holding weight*: 0.41 percent), a capital financing service provider. In the same sector, the Fund held Essent Group Ltd. (ESNT) (holding weight*: 1.19 percent), a mortgage insurance and reinsurance services provider. Although ONDK fell 22.8 percent, ESNT’s 20.4 percent increase more than offset the detriment from ONDK due to the Fund having more than double the exposure to ESNT.

 

Sub-Adviser Outlook

 

The Sub-Adviser remains optimistic that its quantitatively-driven approach will continue to benefit from the current economic environment. Although volatility has been subdued, the Sub-Adviser believes that the approach it applies to the Fund will be rewarded as volatility moderates. This belief corresponds with what the Sub-Adviser observes as the markets currently underappreciating some of the factors that he Sub-Adviser focuses on in its valuation-oriented signals.

 

*Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2019.

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

  Total Returns as of April 30, 2019  
           Annualized  Annualized  
     Six Months  One Year  Five Years  Ten Years  
  Class N  5.06%  5.73%  7.30%  12.75%  
  Class C  4.48%  4.63%  6.23%  11.63%  
  Class A with load of 5.75%  (1.14)%  (0.60)%  5.77%  11.83%  
  Class A without load  4.90%  5.44%  7.03%  12.49%  
  Russell 2000 Value Index  3.77%  2.19%  6.94%  12.87%  
  Morningstar Small Cap Value Category  3.50%  0.23%  5.37%  12.51%  

 

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.

 

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.

 

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 1.54% for Class N, 2.54% for Class C and 1.79% 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.

60

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Small Cap Value Fund
April 30, 2019

 

Security  Shares   Value 
COMMON STOCKS - 99.3%          
AUTO PARTS & EQUIPMENT - 0.6%          
Tower International, Inc.   13,138   $306,641 
           
BANKS - 18.5%          
BancFirst Corp.   4,660    262,824 
Bancorp, Inc. *   31,318    319,757 
BankUnited, Inc.   15,452    565,234 
Banner Corp.   9,940    527,019 
CenterState Bank Corp.   17,000    419,560 
Central Pacific Financial Corp.   13,420    402,734 
First Citizens BancShares, Inc.   1,580    708,235 
First Interstate BancSystem, Inc.   11,970    505,852 
Flagstar Bancorp, Inc.   18,012    643,929 
Franklin Financial Network, Inc.   6,360    175,854 
Hancock Whitney Corp.   11,500    503,010 
Heartland Financial USA, Inc.   10,210    458,429 
Independent Bank Corp.   10,280    221,328 
International Bancshares Corp.   14,000    580,580 
National Bank Holdings Corp.   10,610    405,726 
Simmons First National Corp.   21,200    538,268 
Texas Capital Bancshares, Inc. *   9,750    631,118 
TriCo Bancshares   7,833    312,615 
TrustCo Bank Corp. NY   23,000    184,000 
United Community Banks, Inc.   23,300    654,264 
Wintrust Financial Corp.   6,980    531,876 
         9,552,212 
BIOTECHNOLOGY - 0.4%          
AMAG Pharmaceuticals, Inc. *   17,900    199,764 
           
CHEMICALS - 2.1%          
Minerals Technologies, Inc.   8,298    520,865 
Stepan Co.   6,025    557,554 
         1,078,419 
COMMERCIAL SERVICES - 5.8%          
Aaron’s, Inc.   14,740    820,871 
CBIZ, Inc. *   13,320    257,209 
FTI Consulting, Inc. *   7,200    611,856 
Graham Holdings Co.   860    639,350 
K12, Inc. *   22,120    666,254 
         2,995,540 
COMPUTERS - 2.4%          
Electronics For Imaging, Inc. *   23,552    875,899 
MTS Systems Corp.   6,410    352,422 
         1,228,321 
COSMETICS/PERSONAL CARE - 1.0%          
Edgewell Personal Care Co.*   13,268    547,040 
           
DISTRIBUTION/WHOLESALE - 1.3%          
WESCO International, Inc.*   11,371    650,876 
           
DIVERSIFIED FINANCIAL SERVICES - 2.4%          
Boston Private Financial Holdings, Inc.   33,500    383,575 
On Deck Capital, Inc. *   38,800    211,848 
Piper Jaffray Cos.   7,740    623,844 
         1,219,267 
ELECTRIC - 2.7%          
PNM Resources, Inc.   14,780    686,383 
Portland General Electric Co.   13,980    731,294 
         1,417,677 

 

Security  Shares   Value 
ELECTRONICS - 5.0%          
Coherent, Inc. *   1,400   $207,214 
Comtech Telecommunications Corp.   14,000    329,420 
Control4 Corp. *   17,700    308,157 
Jabil, Inc.   22,000    664,620 
Tech Data Corp. *   7,900    842,219 
Vishay Intertechnology, Inc. *   5,574    211,087 
         2,562,717 
FOOD - 0.9%          
Fresh Del Monte Produce, Inc.   16,300    481,013 
           
GAS - 2.3%          
Southwest Gas Holdings, Inc.   7,020    583,994 
Spire, Inc.   7,450    627,216 
         1,211,210 
HAND / MACHINE TOOLS - 1.0%          
Regal Beloit Corp.   6,400    544,512 
           
HEALTHCARE - PRODUCTS - 1.7%          
Integer Holdings Corp.*   6,500    449,085 
Lantheus Holdings, Inc.*   18,000    434,880 
         883,965 
HEALTHCARE - SERVICES - 1.2%          
Magellan Health, Inc. *   4,121    288,470 
Providence Service Corp. *   5,010    332,313 
         620,783 
HOME BUILDERS- 1.2%          
Taylor Morrison Home Corp. *   31,210    604,226 
           
HOME FURNISHINGS - 0.8%          
Ethan Allen Interiors, Inc.   17,790    393,159 
           
HOUSEHOLD PRODUCTS/WARES - 0.8%          
ACCO Brands Corp.   46,227    422,515 
           
INSURANCE - 4.6%          
Assured Guaranty Ltd.   12,430    592,911 
Essent Group Ltd.*   12,920    613,054 
Mercury General Corp.   11,033    593,355 
Selective Insurance Group, Inc.   7,900    563,349 
         2,362,669 
IRON / STEEL - 0.8%          
Schnitzer Steel Industries, Inc.   16,527    392,020 
           
LODGING - 0.8%          
Marcus Corp.   10,620    399,524 
           
MEDIA - 2.2%          
Gannett Co., Inc.   39,940    372,640 
Gray Television, Inc. *   32,270    756,086 
         1,128,726 
METAL FABRICATE / HARDWARE - 1.8%          
Rexnord Corp. *   21,000    600,600 
TriMas Corp. *   10,330    319,507 
         920,107 
MISCELLANEOUS MANUFACTURING - 1.3%          
ITT, Inc.   10,900    659,995 


 

See accompanying notes to financial statements.

61

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Small Cap Value Fund (Continued)
April 30, 2019

 

Security  Shares   Value 
COMMON STOCKS - 99.3% (Continued)          
OIL & GAS - 2.0%          
Bonanza Creek Energy Inc *   14,000   $336,980 
Gulfport Energy Corp *   36,230    237,306 
Whiting Petroleum Corp. *   16,900    462,891 
         1,037,177 
OIL & GAS SERVICES - 2.1%          
Exterran Corp. *   16,272    231,388 
Helix Energy Solutions Group, Inc. *   56,700    443,394 
Newpark Resources, Inc. *   54,207    395,711 
         1,070,493 
PACKAGING & CONTAINERS - 1.1%          
Silgan Holdings, Inc.   18,800    562,872 
           
PHARMACEUTICALS - 0.5%          
Anika Therapeutics, Inc. *   8,033    255,851 
           
REITS - 14.6%          
Arbor Realty Trust, Inc.   34,000    464,440 
Brandywine Realty Trust   45,200    695,628 
Columbia Property Trust, Inc.   29,128    661,497 
Corporate Office Properties Trust   21,900    610,572 
Global Net Lease, Inc.   30,223    576,353 
Hersha Hospitality Trust   27,920    518,474 
Ladder Capital Corp.   30,520    531,048 
Lexington Realty Trust   56,489    512,355 
Preferred Apartment Communities, Inc.   26,022    406,984 
QTS Realty Trust, Inc.   15,195    689,093 
Rexford Industrial Realty, Inc.   19,500    738,855 
RLJ Lodging Trust   31,400    578,074 
STAG Industrial, Inc.   19,100    549,698 
         7,533,071 
RETAIL - 1.9%          
Conn’s, Inc. *   13,136    339,828 
Denny’s Corp. *   22,200    413,364 
Habit Restaurants, Inc. *   24,000    255,840 
         1,009,032 
SAVINGS & LOANS - 2.1%          
Washington Federal, Inc.   16,500    546,810 
WSFS Financial Corp.   13,023    562,333 
         1,109,143 
SEMICONDUCTORS - 2.4%          
Axcelis Technologies, Inc.*   13,500    287,415 
Diodes, Inc. *   14,987    545,826 
Rambus, Inc. *   37,480    429,521 
         1,262,762 

 

Security  Shares   Value 
SOFTWARE - 3.1%          
ManTech International Corp.   6,523   $404,361 
MicroStrategy, Inc. *   3,960    592,812 
Progress Software Corp.   13,641    622,166 
         1,619,339 
TELECOMMUNICATIONS - 2.9%          
ADTRAN, Inc.   29,032    497,608 
Consolidated Communications Holdings, Inc.   18,000    92,880 
LogMeIn, Inc.   6,500    535,600 
United States Cellular Corp. *   8,040    386,724 
         1,512,812 
TRANSPORTATION - 2.1%          
ArcBest Corp.   12,201    372,863 
Covenant Transportation Group, Inc. *   12,120    236,704 
Echo Global Logistics, Inc. *   20,195    463,273 
         1,072,840 
WATER - 0.9%          
SJW Group   7,635    473,828 
           
TOTAL COMMON STOCKS - (Cost - $49,158,954)        51,302,118 
           
SHORT-TERM INVESTMENT - 0.7%          
MONEY MARKET FUND - 0.7%          
Invesco STIT-Treasury Portfolio Institutional Class - 2.32% +   366,407    366,407 
(Cost - $366,407)          
           
TOTAL INVESTMENTS - 100.0% (Cost - $49,525,361)       $51,668,525 
LIABILITIES LESS OTHER ASSETS - (0.0)%        (2,063)
NET ASSETS - 100.0%       $51,666,462 


REITS - Real Estate Investment Trust

 

*Non Income producing security.

 

+Variable rate security - interest rate is as of April 30, 2019.

 



Portfolio Composition * - (Unaudited)
Financial   42.2%  Utilities   6.0%
Consumer, Non-cyclical   12.4%  Communications   5.1%
Industrial   12.2%  Energy   4.1%
Technology   8.0%  Basic Materials   2.8%
Consumer, Cyclical   6.5%  Other   0.7%
        Total   100.0%

 

*Based on total value of investments as of April 30, 2019.

 

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

 

See accompanying notes to financial statements.

62

 

Dunham Small Cap Growth Fund (Unaudited)
Message from the Sub-Adviser (Pier Capital, LLC)

 

Asset Class Recap

 

Small cap growth stocks, as measured by the Russell 2000 Growth Index, ended up 0.4 percent in the first fiscal quarter. On the surface, it may seem like an uneventful start to the fiscal year, however, if you dig deeper; it reveals a significant spike and decline of volatility resulting in a “V shaped” trajectory for the asset class. Concerns that the Fed was raising rates too quickly came to a precipice early in the first fiscal quarter as small cap growth stocks fell over 16 percent. To the surprise of many, the Federal Reserve drastically changed its stance by announcing their intention to be patient with future rate rises. Small cap growth stocks reacted positively to the news as they rebounded over 20 percent to finish the first fiscal quarter. The rally continued the most recent fiscal quarter as concerns regarding rates moved to the backburner, trade tensions somewhat dissipated with hints towards progress, and an impressive earnings season highlighted the resilience of American companies in the face of multiple headwinds. Over the most recent fiscal quarter ended April 30, 2019, small cap growth stocks increased 8.2 percent bringing performance over the first six months of the fiscal year to 8.3 percent.

 

Allocation Review

 

The sector allocation within the Fund is predominately a result of the bottom-up stock selection. With that being said, both the Sub-Adviser’s stock selection and sector allocation strongly contributed to Fund performance. The Fund’s largest overweight by a significant margin was the information technology sector. This overweight strongly contributed to Fund performance. During the fiscal six-month period, the Sub-Adviser shifted the allocation of the communication services and energy sectors from underweights to slight overweights, which also positively impacted the Fund. Due to the substantial weight in the information technology sector, the Fund was underweight all other sectors. Although the underweight in the health care and financials sectors detracted from Fund performance, the Sub-Adviser’s stock selection more than made up for the adverse allocation effect. In the first fiscal quarter, sector contribution was evenly mixed, while only one sector detracted the second fiscal quarter.

 

Holdings Insights

 

Two of the largest positive contributors to Fund performance during the fiscal six-month period came from the information technology sector. Within that sector, Bandwidth Inc. (BAND) (holding weight*: 0.89 percent), a cloud-based software communications platform-as-a-service provider in the U.S. that enables enterprises to create voice or text communication services, was one of the top contributors to Fund performance over the fiscal period. The Sub-Adviser believes that BAND has recently traded at a reduced value relative to their one major competitor, Twilio, Inc. (TWLO) (holding weight*: 1.38 percent), and is just beginning to close the gap. Over the period, BAND increased 41.3 percent. Another contributor from the information technology sector was Roku Inc. (ROKU) (holding weight*: 0.47 percent). ROKU manufactures digital media players that allows customers to access internet streamed video or audio services through television. ROKU increased 14.4 percent over the fiscal period. Despite the strong performance, the Sub-Adviser has lowered the exposure to this position due to increased competition within the industry. Although the Fund was underweight the health care sector, a position within this sector was one of the top performing positions within the Fund. Guardant Health Inc. (GH) (holding weight*: 0.93 percent), a company that is revolutionizing cancer testing with noninvasive liquid biopsy tests, increased 79.5 percent since its initiation into the Fund. GH has won many accolades in the health care industry, leading to it being upgraded by analyst coverage over the most recent fiscal quarter.

 

One of the worst performing positions over the fiscal period came from the best performing sector, the information technology sector. Benefitfocus Inc. (BNFT) (holding weight*: 0.98 percent), a provider of cloud-based benefits management platforms for consumers, employers, and insurance carriers, was the worst performing position within the Fund over the fiscal six-month period. BNFT declined 26.2 percent since it was added to the Fund. The Sub-Adviser attributes the recent decline to executive turnover, making investors question whether the rally could continue. Other detractors over the fiscal period included Orasure Technologies Inc. (OSUR) (holding weight**: 0.56 percent) and NV5 Global Inc. (NVEE) (holding weight**: 0.99 percent). Granted both positions warranted their own idiosyncratic concerns, but both positons experienced large selloffs due to disappointing earnings releases. Prior to being eliminated from the Fund, OSUR declined 24.0 percent and NVEE fell 33.2 percent.

 

Sub-Adviser Outlook

 

The Sub-Adviser does not forecast. The Sub-Adviser’s investment approach involves a thorough understanding of each stock’s value proposition and risk. However, the Sub-Adviser perpetually monitors the effects of these macro themes on each underlying position within the Fund. The Sub-Adviser is keeping a close eye on updates to tariffs, health care policies, and infrastructure spending to evaluate current positions and identify future opportunities.

 

*Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2019.

 

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

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

  Total Returns as of April 30, 2019  
           Annualized  Annualized  
     Six Months  One Year  Five Years  Ten Years  
  Class N  8.90%  16.30%  12.26%  15.40%  
  Class C  8.36%  15.20%  11.15%  14.25%  
  Class A with load of 5.75%  2.52%  9.31%  10.65%  14.44%  
  Class A without load  8.75%  15.97%  11.97%  15.12%  
  Russell 2000 Growth Index  8.27%  6.91%  10.22%  15.24%  
  Morningstar Small Cap Growth Category  8.74%  11.12%  10.14%  14.62%  

 

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 1.95% for Class N, 2.95% for Class C and 2.20% 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

63

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Small Cap Growth Fund
April 30, 2019

  

Security  Shares   Value 
COMMON STOCKS - 95.3%          
ADVERTISING - 0.9%          
Trade Desk, Inc. *   2,215   $490,578 
           
AIRLINES - 1.0%          
Spirit Airlines, Inc. *   9,266    503,885 
           
APPAREL - 1.7%          
Canada Goose Holdings, Inc. * ^   8,657    462,197 
Farfetch Ltd. *   17,364    430,280 
         892,477 
BANKS - 1.9%          
First Merchants Corp.   12,244    448,988 
United Community Banks, Inc.   19,805    556,124 
         1,005,112 
BIOTECHNOLOGY - 5.2%          
Biohaven Pharmaceutical Holding Co. Ltd. *   6,921    414,222 
Emergent BioSolutions, Inc. *   7,344    379,538 
Exact Sciences Corp. *   6,044    596,482 
Guardant Health, Inc. *   7,386    483,857 
REGENXBIO, Inc. *   5,132    258,653 
Stemline Therapeutics, Inc. *   26,818    402,270 
Veracyte, Inc. *   10,374    237,253 
         2,772,275 
BUILDING MATERIALS - 0.8%          
Trex Co., Inc. *   6,378    441,804 
           
CHEMICALS - 1.0%          
Rogers Corp. *   3,190    534,389 
           
COMMERICAL SERVICES - 2.9%          
Avalara, Inc. *   9,490    558,676 
HealthEquity, Inc. *   6,760    457,990 
LiveRamp Holdings, Inc. *   8,606    501,988 
         1,518,654 
COMPUTERS - 7.0%          
Cubic Corp.   10,831    614,984 
Elastic NV * ^   6,039    516,637 
Globant SA *   7,104    596,665 
Mercury Systems, Inc. *   7,278    531,440 
Rapid7, Inc. *   7,858    427,004 
Virtusa Corp. *   9,079    504,338 
WNS Holdings Ltd. - ADR *   9,332    533,324 
         3,724,392 
DISTRIBUTION/WHOLESALE - 0.7%          
SiteOne Landscape Supply, Inc. * ^   5,409    364,026 
           
DIVERSIFIED FINANCIAL SERVICES - 3.9%          
Evercore, Inc.   5,625    548,044 
Houlihan Lokey, Inc.   12,593    621,087 
LendingTree, Inc. *   1,420    546,444 
Moelis & Co.   8,992    368,222 
         2,083,797 

 

Security  Shares   Value 
ELECTRICAL COMPONENTS & EQUIPMENT - 1.2%          
Littelfuse, Inc.   2,838   $570,580 
nLight, Inc. *   2,829    73,922 
         644,502 
ELECTRONICS - 1.1%          
Woodward, Inc.   5,226    569,111 
           
ENGINEERING & CONSTRUCTION - 1.9%          
Granite Construction, Inc.   9,213    413,572 
Primoris Services Corp.   26,926    590,218 
         1,003,790 
ENTERTAINMENT - 0.6%          
Red Rock Resorts, Inc.   12,464    336,279 
           
HEALTHCARE-PRODUCTS - 9.4%          
CareDx, Inc. *   8,203    223,204 
Cerus Corp. *   58,473    358,439 
Inspire Medical Systems, Inc. *   7,543    389,898 
Insulet Corp. * ^   2,852    245,985 
iRhythm Technologies, Inc. *   4,769    363,922 
Merit Medical Systems, Inc. *   7,658    430,226 
Repligen Corp. *   7,903    532,504 
Shockwave Medical, Inc. * ^   6,265    266,952 
Tandem Diabetes Care, Inc. *   9,102    558,954 
ViewRay, Inc. * ^   60,384    420,273 
West Pharmaceutical Services, Inc.   4,514    558,788 
Wright Medical Group NV *   20,285    599,827 
         4,948,972 
HEALTHCARE-SERVICES - 4.0%          
Addus HomeCare Corp. *   8,059    547,206 
Catalent, Inc. *   11,343    508,393 
LHC Group, Inc. *   4,615    512,773 
Neuronetics, Inc. *   31,499    525,088 
         2,093,460 
HOME BUILDERS - 3.0%          
Century Communities, Inc. *   20,531    522,103 
LGI Homes, Inc. * ^   6,023    417,454 
Skyline Corp.   25,234    532,690 
         1,472,247 
INTERNET - 8.5%          
Eventbrite, Inc. *   19,700    492,500 
Lyft, Inc. * ^   4,571    273,346 
Mimecast, Inc. *   10,626    547,345 
Pinterest, Inc. * ^   26,055    807,184 
Roku, Inc. *   3,878    246,602 
Spotify Technology *   3,358    455,916 
Wix.com Ltd. *   4,309    578,095 
Zendesk, Inc. *   6,330    555,647 
Zscaler, Inc. *   7,518    513,555 
         4,470,190 
LODGING - 0.9%          
Boyd Gaming Corp.   17,191    494,757 
           
MACHINERY-CONSTRUCTION/MINING - 0.9%          
BWX Technologies, Inc.   9,662    493,728 

 



See accompanying notes to financial statements.

64

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Small Cap Growth Fund (Continued)
April 30, 2019

 

Security  Shares   Value 
COMMON STOCKS - 95.3% (Continued)          
MISCELLANEOUS MANUFACTURING - 0.7%          
ESCO Technologies, Inc.   4,790   $359,250 
           
OIL & GAS - 2.0%          
Matador Resources Co. * ^   27,686    545,137 
PDC Energy, Inc. *   12,183    529,839 
         1,074,976 
PHARMACEUTICALS - 2.1%          
Coherus Biosciences, Inc. *   40,635    646,909 
DexCom, Inc . *   1,792    216,957 
Heron Therapeutics, Inc. *   11,338    245,808 
         1,109,674 
REAL ESTATE - 2.0%          
Marcus & Millichap, Inc. *   13,284    572,540 
Redfin Corp. * ^   22,973    475,082 
         1,047,622 
RETAIL - 6.4%          
At Home Group, Inc. * ^   15,373    361,112 
Casey’s General Stores, Inc.   4,791    634,089 
Floor & Décor Holdings, Inc. * ^   7,625    366,153 
Hudson Ltd. *   27,506    421,942 
National Vision Holdings, Inc. *   18,752    506,304 
Ollie’s Bargain Outlet Holdings, Inc. *   6,573    628,642 
Wingstop, Inc.   6,379    480,147 
         3,398,389 
SEMICONDUCTORS - 1.5%          
Lattice Semiconductor Corp. *   20,852    270,033 
Silicon Laboratories, Inc. *   4,884    525,811 
         795,844 
SOFTWARE - 16.8%          
Alteryx, Inc. *   5,925    525,192 
Appfolio, Inc. *   3,941    382,711 
Atlassian Corp. PLC *   4,504    496,116 
Bandwidth, Inc. *   6,172    465,492 
Benefitfocus, Inc. *   12,539    510,713 
Coupa Software, Inc. *   3,866    399,474 
Everbridge, Inc. *   5,454    402,996 
Evolent Health, Inc. *   28,442    385,389 
Five9, Inc. *   10,853    575,969 
Omnicell, Inc. *   7,684    617,486 
Pivotal Software, Inc. *   24,794    538,030 
Pluralsight, Inc. *   15,709    557,512 
ServiceNow, Inc. *   1,101    298,933 
Smartsheet, Inc. *   12,706    537,845 
Tabula Rasa HealthCare, Inc. * ^   11,251    599,228 
Talend SA - ADR *   6,906    342,400 
Security  Shares   Value 
SOFTWARE - 16.8% (Continued)          
Twilio, Inc. *   5,255   $720,671 
Yext, Inc. *   22,629    495,801 
         8,851,958 
TELECOMMUNICATIONS - 1.6%          
8x8, Inc. * ^   22,392    535,617 
Pagerduty, Inc. *   6,464    303,162 
         838,779 
TRANSPORTATION - 3.7%          
Air Transport Services Group, Inc. *   25,144    591,638 
Atlas Air Worldwide Holdings, Inc. *   8,210    396,461 
CryoPort, Inc. * ^   33,706    474,244 
Saia, Inc. *   7,857    505,912 
         1,968,255 
           
TOTAL COMMON STOCKS (Cost - $41,707,567)        50,303,172 
           
SHORT-TERM INVESTMENT - 3.4%          
MONEY MARKET FUND - 3.4%          
Fidelity Investment Money Market Fund - Class I 2.31% +   1,812,514    1,812,514 
TOTAL SHORT-TERM INVESTMENT (Cost - $1,812,514)          
           
COLLATERAL FOR SECURITIES LOANED - 13.7%          
HSBC US Government Money Market Fund - Class Institutional 2.43% + #   1,334,422    1,334,422 
Morgan Stanley Institutional Liquidity Fund Prime Portfolio - Class Institutional 2.53% + #   5,917,350    5,917,350 
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $7,251,772)    7,251,772 
           
TOTAL INVESTMENTS - 112.4% (Cost - $50,771,853)   $59,367,458 
LIABILITIES IN EXCESS OF OTHER ASSETS - (12.4)%    (6,568,913)
NET ASSETS - 100.0%   $52,798,545 

 

ADR - American Depositary Receipt

 

PLC - Public Limited Company

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $7,089,805 at April 30, 2019.

 

#The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

*Non-Income producing security.

 

+Variable rate security. Interest rate is as of April 30, 2019.


Portfolio Composition * - (Unaudited)
Technology   22.5%  Industrial   9.2%
Consumer, Non-Cyclical   21.0%  Financial   7.0%
Consumer, Cyclical   12.6%  Short-Term Investment   3.0%
Collateral For Securities Loaned   12.2%  Energy   1.8%
Communications   9.8%  Basic Materials   0.9%
        Total   100.0%

 

*Based on total value of investments as of April 30, 2019.

 

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

 

See accompanying notes to financial statements.

65

 

Dunham Emerging Markets Stock Fund (Unaudited)
Message from the Sub-Adviser (NS Partners Ltd.)

 

Asset Class Recap

 

Emerging markets stocks, as measured by the MSCI Emerging Markets Index, rose 3.2 percent during the most recent fiscal quarter, after increasing 10.2 percent in the first fiscal quarter. The surge started the fiscal year with most emerging markets countries in positive territory, some up as much as 26 percent. Only Taiwan, United Arab Emirates, Pakistan, and Greece failed to end the most recent fiscal quarter in the black. Three of these four countries comprise only one percent of the index when combined. However, Taiwan is the third largest country weighting in the index, so its detraction from overall performance was much more meaningful, however not impactful enough to outweigh nearly half of the emerging markets countries boasting positive returns in the double- digits. In the most recent fiscal quarter, negative performing countries outnumbered countries in positive territory. Fortunately, two of the three largest constituents, China and Taiwan, helped drive the index higher. These two countries make up over 40 percent of the index and increased 8.3 and 11.4 percent, respectively.

 

Allocation Review

 

During the first five months of the fiscal six- month period, the largest country overweights, namely Brazil and Columbia, provided mixed relative results for the Fund as Columbia increased 18.0 percent while Brazil only increased 4.1 percent. The largest country underweights in the Fund during the period were Thailand and South Africa. These relative underweights provided mixed results to relative performance, as Thailand increased 4.0 percent and South Africa increased 12.8 percent. While the largest underweights and overweights broadly detracted from Fund performance, the more moderate underweights and overweights generally detracted, leaving the country selection as a detractor to relative Fund performance. Effective April 1, 2019, the Fund was managed by a new Sub-Adviser. This change was the catalyst for larger than normal turnover, and a shift in country allocation to reflect the Sub-Adviser’s conviction. During the final month of the most recent fiscal quarter, the largest country overweights were India and Mexico, while the largest country underweights were Taiwan and Korea. Over the full three months of the most recent fiscal quarter, country selection was a contributor to relative Fund performance.

 

Holdings Insights

 

As the largest country represented in the index, China’s 21.4 percent increase was a large driver of the strong first fiscal quarter’s performance. The Sub-Adviser maintained close to a 30 percent allocation to China, in line with the index’s weighting. Stock selection within China produced strong relative value-adds during the fiscal six-month period, as holdings such as Weichai Power Co., Ltd. (2338 HK) (holding weight**: 1.13 percent), a diesel engine manufacturer, and Shimao Property Holdings Ltd. (813 HK) (holding weight**: 0.86 percent), a real estate developer, increased 81.7 percent and 67.5 percent, respectively. Another strong contributor from China was Li Ning Co. LTD (2331 HK) (holding weight*: 2.50 percent), a leading sports brand company, mainly providing sporting goods including footwear, apparel, and equipment. The Sub-Adviser believes that this is the best local sportswear brand in China. The original founder has regained control of the company, instilled good brand awareness while improving cash flow and inventory controls. Additionally, the average Chinese consumer is becoming wealthier, and they are spending a portion of that income on “athleisure.” 2331 HK increased 65.4 percent over the most recent fiscal quarter.

 

The allocation to India began the fiscal six-month period slightly overweight but finished the period as the largest country overweight. This country increased 11.7 percent over the fiscal six-month period, but some positions from India detracted from Fund performance. Lemon Tree Hotels Ltd (BF2LSQ7 IN) (holding weight*: 2.54 percent) a mid-priced hotel chain, declined 10.9 percent since it was initiated into the portfolio in early April. The Sub-Adviser believes that this position sold off as investors sold off positions with relatively larger amounts of debt. The Sub-Adviser is optimistic for the position moving forward. In India, mid-priced hotels have been undersupplied for the last 10 years and demand for this segment has been surging due to the increase in business travelers in India. A position from India that relatively detracted from Fund performance in the first fiscal quarter but strongly contributed during the most recent fiscal quarter was Housing Development Finance Corp Ltd (HDFC IN) (holding weight*: 2.01 percent), an Indian banking and financial service company. HDFC IN increased 4.0 percent over the most recent fiscal quarter, after increasing 8.7 percent the first fiscal quarter of the year.

 

Sub-Adviser Outlook

 

The Sub-Adviser expects that global economic weakness will extend. The Chinese economy has stabilized but they do not believe it will lead to a rally reminiscent of 2016. The Sub-Adviser believes that U.S. inventories will adjust resulting in a delay in the emerging market exports recovery. The Sub-Adviser finished the most recent fiscal quarter underweight Taiwan and Korea, but will add to the positions if they believe the recovery in exports will come to fruition. The Sub-Adviser will continue to focus on economic profitability rather than accounting profitability and places an emphasis on companies that are beneficiaries of the structural changes occurring in emerging market countries.

 

*Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2019.

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

  Total Returns as of April 30, 2019  
           Annualized  Annualized  
     Six Months  One Year  Five Years  Ten Years  
  Class N  12.65%  (9.24)%  2.02%  5.98%  
  Class C  12.00%  (10.20)%  0.98%  4.92%  
  Class A with load of 5.75%  6.00%  (14.62)%  0.58%  5.09%  
  Class A without load  12.50%  (9.43)%  1.77%  5.72%  
  MSCI Emerging Markets Index (net)  13.76%  (5.04)%  4.04%  7.50%  
  Morningstar Diversified Emerging Markets Category  13.03%  (6.02)%  2.80%  6.90%  

 

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 1.21% for Class N,2.21% for Class C and 1.46% 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.

66

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Emerging Markets Stock Fund
April 30, 2019

 

Security  Shares   Value 
COMMON STOCKS - 96.1%          
AGRICULTURE - 0.6%          
Hanjaya Mandala Sampoerna Tbk PT   1,831,500   $450,290 
           
APPAREL - 1.7%          
Makalot Industrial Co. Ltd. *   74,000    510,557 
Shenzhou International Group Holdings Ltd.   55,100    740,533 
         1,251,090 
AUTO MANUFACTURERS - 0.9%          
Geely Automobile Holdings Ltd.   338,000    680,809 
           
BANKS - 17.0%          
Agricultural Bank of China Ltd.   1,250,000    577,688 
Banco Bradesco SA - ADR ^   75,200    681,312 
Banco Santander Brasil SA - ADR ^   60,000    687,000 
Banco Santander Chile - ADR   34,000    952,000 
Bank Negara Indonesia Persero Tbk PT *   750,000    506,144 
Bank of China Ltd.   700,000    334,228 
Bank Rakyat Indonesia Persero Tbk PT   1,886,200    579,922 
China Construction Bank Corp.   1,600,000    1,410,397 
FirstRand Ltd.   111,732    530,578 
Grupo Financiero Banorte SAB de CV   105,600    666,811 
ICICI Bank Ltd. - ADR ^   64,900    743,105 
Industrial & Commercial Bank of China Ltd.   1,300,000    977,733 
Itau Unibanco Holding SA - ADR   50,000    432,500 
Komercni banka as   8,378    317,412 
OTP Bank Nyrt   18,000    800,045 
Sberbank of Russia PJSC - ADR *   55,000    786,225 
Standard Bank Group Ltd.   53,135    740,458 
TCS Group Holding PLC   28,344    564,046 
         12,287,604 
BEVERAGES - 2.7%          
Fomento Economico Mexicano SAB de CV - ADR ^   7,800    761,202 
Varun Beverages Ltd.   93,455    1,178,110 
         1,939,312 
BUILDING MATERIALS - 0.6%          
Anhui Conch Cement Co. Ltd.   71,500    436,390 
           
CHEMICALS - 1.0%          
LG Chem Ltd.   2,388    740,766 
           
COMMERCIAL SERVICES - 2.3%          
China Education Group Holdings Ltd.   709,000    1,100,106 
New Oriental Education & Technology Group, Inc. - ADR * ^   6,000    572,760 
         1,672,866 
DIVERSIFIED FINANCIAL SERVICES - 4.6%          
B3 SA - Brasil Bolsa Balcao   35,000    306,116 
Hana Financial Group, Inc.   22,500    709,667 
Housing Development Finance Corp. Ltd.   50,826    1,458,141 
Investec Ltd. *   50,000    319,250 
KB Financial Group, Inc.   13,033    514,613 
         3,307,787 
ENGINEERING & CONSTRUCTION - 0.7%          
Mytilineos Holdings SA   48,863    528,690 
           
FOOD - 2.2%          
China Mengniu Dairy Co. Ltd.   301,000    1,111,929 
Uni-President Enterprises Corp. *   190,000    451,569 
         1,563,498 
INSURANCE - 8.2%          
AIA Group Ltd.   194,600    1,992,442 
China Life Insurance Co Ltd. *   1,162,000    967,486 
IRB Brasil Resseguros S/A   30,000    717,287 
Odontoprev SA *   86,400    368,320 
Ping An Insurance Group Co. of China Ltd.   157,500    1,906,339 
         5,951,874 

 

Security  Shares   Value 
INTERNET- 12.0%          
Alibaba Group Holding Ltd. - ADR * ^   21,000   $3,896,970 
Naspers Ltd.   3,500    898,414 
Tencent Holdings Ltd.   69,200    3,410,445 
Yandex NV *   12,000    449,160 
         8,654,989 
IRON/STEEL 1.2%          
Kumba Iron Ore Ltd.   11,000    330,092 
POSCO   2,500    547,209 
         877,301 
LODGING - 5.3%          
Lemon Tree Hotels Ltd.- 144A *   1,707,583    1,841,690 
Minor International PCL   1,021,700    1,201,264 
Wynn Macau Ltd.   286,400    823,959 
         3,866,913 
OIL & GAS - 8.8%          
China Petroleum & Chemical Corp.   620,000    476,564 
LUKOIL PJSC - adr   13,000    1,102,140 
MOL Hungarian Oil & Gas PLC   35,000    402,831 
Oil & Natural Gas Corp. Ltd.   552,260    1,343,770 
PetroChina Co. Ltd. - ADR   7,700    487,333 
PTT Exploration & Production PCL   217,300    906,647 
Reliance Industries Ltd. *   64,663    1,295,425 
Rosneft Oil Co. PJSC - ADR *   50,000    332,600 
         6,347,310 
PHARMACEUTICALS - 1.3%          
TCI Co. Ltd.   61,000    910,695 
           
REAL ESTATE - 3.3%          
Ayala Corp.   40,780    707,364 
China Overseas Land & Investment Ltd.   284,000    1,063,969 
Pakuwon Jati Tbk PT   12,770,200    640,588 
         2,411,921 
RETAIL - 6.2%          
Atacadao SA   141,000    757,773 
Jollibee Foods Corp.   95,070    555,719 
Li Ning Co. Ltd. *   990,000    1,798,412 
Lojas Renner SA *   64,700    758,652 
Wal-Mart de Mexico SAB de CV   200,000    585,610 
         4,456,166 
SEMICONDUCTORS - 10.1%          
Samsung Electronics Co. Ltd. - ADR - 144A   511    503,846 
Samsung Electronics Co. Ltd.   78,000    3,066,744 
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR   60,000    2,629,200 
Taiwan Semiconductor Manufacturing Co. Ltd. *   136,000    1,141,860 
         7,341,650 
SOFTWARE - 1.9%          
CD Projekt SA *   11,097    623,396 
HCL Technologies Ltd. *   45,767    778,937 
         1,402,333 
TELECOMMUNICATIONS - 1.9%          
China Mobile Ltd.   100,000    954,067 
Telekomunikasi Indonesia Persero Tbk PT   1,690,000    450,026 
         1,404,093 
WATER - 1.6%          
Guangdong Investment Ltd.   600,000    1,122,315 
           
TOTAL COMMON STOCKS (Cost - $65,104,065)        69,606,662 
           
CLOSED END FUND - 0.8%          
Vietnam Enterprise Investments Limited   96,445    560,325 
TOTAL CLOSED END FUND (Cost - $548,616)          
           
WARRANT - 0.0%          
Minor International PCL - NVDR - Warrant ++   51,085    — 
TOTAL WARRANT (Cost - $0)          

 



See accompanying notes to financial statements.

67

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Emerging Markets Stock Fund (Continued)
April 30, 2019

 

Security  Shares   Value 
SHORT- TERM INVESTMENT - 0.4%          
MONEY MARKET - 0.4%          
First American Government Obligations Fund 2.36% +   302,569   $302,569 
(Cost - $302,569)          
           
COLLATERAL FOR SECURITIES LOANED - 9.5%   6,891,678    6,891,678 
Mount Vernon Prime Portfolio, 2.61% + # (Cost - $6,891,678)          
           
TOTAL INVESTMENTS - 106.8% (Cost - $72,846,928)    77,361,234 
LIABILITIES IN EXCESS OF OTHER ASSETS - (6.8)%    (4,952,271)
NET ASSETS - 100.0%    72,408,963 

 

ADR - American Depositary Receipt

 

*Non-income producing security

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $6,714,473 at April 30, 2019.

 

+Variable rate security. Interest rate is as of April 30, 2019.

 

++The value of this security has been determined in good faith under policies of the Board of Trustees. The total of these securities is $0 or 0.0% of net assets.

 

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. The 144A securities amounted to $2,345,536 or 3.2% of net assets.

 

#The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.


Portfolio Composition * - (Unaudited)
China   20.8%  Brazil   7.9%
India   11.2%  South Africa   3.6%
Hong Kong   9.5%  Russia   3.5%
Taiwan   8.5%  Other Countries **   27.1%
South Korea   7.9%  Total   100.0%

 

*Based on total value of investments as of April 30, 2019.

 

**Includes Collateral for Securities Loaned as of April 30, 2019.

 

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

 

See accompanying notes to financial statements.

68

 

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
April 30, 2019

 

           Dunham   Dunham           Dunham 
   Dunham   Dunham   Corporate /   Monthly   Dunham   Dunham   International 
   Floating Rate   Long/Short   Government   Distribution   Dynamic Macro   High-Yield   Opportunity 
   Bond Fund   Credit Fund   Bond Fund   Fund   Fund   Bond Fund   Bond Fund 
Assets:                            
Investments in securities, at cost  $193,171,548   $69,329,444   $50,126,825   $323,504,202   $37,347,512   $108,754,406   $37,269,953 
Investments in securities, at value  $190,937,422   $70,264,310   $50,715,855   $332,325,934   $40,182,224   $109,490,587   $37,202,164 
Cash   —    6,689    —    —    11,125    —    — 
Foreign currency, at value (cost $9,121,348, $13,270, and $684,947 respectively)   —    —    —    8,851,125    13,219    —    685,825 
Deposits with brokers for futures   —    413,164    —    52,642,553    —    —    153,632 
Unrealized appreciation on forward foreign currency exchange contracts   —    —    —    —    7    —    104,484 
Unrealized appreciation on futures   —    —    —    —    308,953    —    2,908 
Receivable for securities sold   —    —    82,376    14,177,875    1,404    681,339    1,995,828 
Interest and dividends receivable   912,694    377,669    350,497    336,706    4,366    1,575,919    223,802 
Receivable for Fund shares sold   8,352    76,256    35,779    123,284    35,507    3,391    23,211 
Prepaid expenses and other assets   33,694    49,809    37,570    64,373    31,826    41,621    31,689 
Total Assets   191,892,162    71,187,897    51,222,077    408,521,850    40,588,631    111,792,857    40,423,543 
                                    
Liabilities:                                   
Option contracts written (premiums received $547,915 and $44,146, respectively)   —    —    —    393,979    42,242    —    — 
Payable upon return of securities loaned   —    —    —    —    —    2,360,160    — 
Securities sold short (proceeds $110,884,419)   —    —    —    114,500,071    —    —    — 
Unrealized depreciation on forward foreign currency exchange contracts   —    —    —    —    —    —    182,366 
Unrealized depreciation on futures   —    163,164    —    —    45,722    —    657 
Unrealized depreciation on swaps   —    100,042    —    —    —    —    — 
Payable for dividends on short sales   —    —    —    285,452    —    —    — 
Payable for interest on short sales   —    —    —    175,816    —    —    — 
Payable for securities purchased   4,692,249    —    536,096    16,920,890    8,558    170,762    2,145,794 
Payable for Fund shares redeemed   19,133    1,016    728    102,634    —    38,368    460 
Premiums paid on swaps   —    5,655    —    24    —    —    — 
Distributions payable   4,345    9,913    1,212    92,228    —    6,753    — 
Payable to adviser   90,637    36,200    20,484    145,771    21,286    52,965    18,367 
Payable to sub-adviser   31,439    111,191    7,264    206,328    18,561    23,618    13,162 
Payable for distribution fees   6,534    9,138    4,668    40,624    2,058    17,879    1,680 
Payable for administration fees   15,633    1,377    11,795    9,065    2,331    9,648    5,833 
Payable for fund accounting fees   2,639    933    886    4,178    660    1,733    533 
Payable for transfer agent fees   2,095    1,813    1,599    6,200    2,013    1,696    1,769 
Payable for custody fees   11,282    987    4,247    4,117    2,225    3,320    5,439 
Payable for third party administrative servicing fees   519    225    82    5,411    1,935    637    — 
Payable to broker   —    —    —    80,814    253,123    —    376,639 
Payable for line of credit   6,289    —    —    —    —    —    — 
Accrued expenses and other liabilities   3,753    796    5,770    17,594    8,804    11,322    5,519 
Total Liabilities   4,886,547    442,450    594,831    132,991,196    409,518    2,698,861    2,758,218 
                                    
Net Assets  $187,005,615   $70,745,447   $50,627,246   $275,530,654   $40,179,113   $109,093,996   $37,665,325 
                                    
Net Assets:                                   
Paid in capital  $192,775,841   $69,908,902   $53,501,506   $280,431,176   $40,133,113   $115,752,277   $38,107,152 
Accumulated earnings (loss)   (5,770,226)   836,545    (2,874,260)   (4,900,522)   46,000    (6,658,281)   (441,827)
Net Assets  $187,005,615   $70,745,447   $50,627,246   $275,530,654   $40,179,113   $109,093,996   $37,665,325 
                                    
Net Asset Value Per Share                                   
Class N Shares:                                   
Net Assets  $158,029,310   $58,195,600   $42,372,010   $196,471,288   $31,167,160   $89,948,298   $32,304,728 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   16,529,865    6,299,200    3,141,627    5,649,968    3,148,946    10,002,260    3,562,985 
Net asset value, offering and redemption price per share  $9.56   $9.24   $13.49   $34.77   $9.90   $8.99   $9.07 
                                    
Class A Shares:                                   
Net Assets  $21,309,055   $8,979,170   $5,649,380   $44,320,455   $7,243,777   $11,907,458   $4,014,716 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   2,231,212    973,966    419,424    1,317,232    736,599    1,311,174    446,421 
Net asset value and redemption price per share *  $9.55   $9.22   $13.47   $33.65   $9.83   $9.08   $8.99 
Front-end sales charge factor   0.9550    0.9425    0.9550    0.9425    0.9425    0.9550    0.9550 
Offering price per share (Net asset value per share / front-end sales charge factor)  $10.00   $9.78   $14.10   $35.70   $10.43   $9.52   $9.41 
                                    
Class C Shares:                                   
Net Assets  $7,667,250   $3,570,677   $2,605,856   $34,738,911   $1,768,176   $7,238,240   $1,345,881 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   802,509    397,641    194,805    1,304,448    187,705    809,072    153,015 
Net asset value, offering and redemption price per share  $9.55   $8.98   $13.38   $26.63   $9.42   $8.95   $8.80 

 

*

 

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.

69

 

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) (Continued)
April 30, 2019

 

       Dunham                   Dunham 
   Dunham   Focused   Dunham   Dunham   Dunham   Dunham   Emerging 
   Large Cap   Large Cap   International   Real Estate   Small Cap   Small Cap   Markets 
   Value Fund   Growth Fund   Stock Fund   Stock Fund   Value Fund   Growth Fund   Stock Fund 
Assets:                            
Investments in securities, at cost  $62,897,899   $58,247,378   $119,210,993   $46,705,219   $49,525,361   $50,771,853   $72,846,928 
Investments in securities, at value  $80,714,171   $107,390,393   $127,354,111   $55,347,589   $51,668,525   $59,367,458   $77,361,234 
Cash   —    —    142,498    —    —    —    — 
Foreign currency, at value (cost $158,138 and 1,989,738 respectively)   —    —    157,592    —    —    —    1,984,398 
Receivable for securities sold   195,673    —    913,703    —    —    755,221    — 
Interest and dividends receivable   90,508    12,724    891,659    29,344    12,557    9,754    113,285 
Receivable for Fund shares sold   61,756    80,425    117,735    31,642    28,103    26,423    65,160 
Prepaid expenses and other assets   45,755    41,380    73,558    38,530    35,198    50,496    46,334 
Total Assets   81,107,863    107,524,922    129,650,856    55,447,105    51,744,383    60,209,352    79,570,411 
                                    
Liabilities:                                   
Payable upon return of securities loaned   —    —    4,874,737    —    —    7,251,772    6,891,678 
Payable for securities purchased   —    305,033    1,069,400    —    —    72,516    167,953 
Payable for Fund shares redeemed   12,631    1,217    1,477    661    537    362    671 
Payable to adviser   42,582    55,368    66,147    29,580    27,445    27,698    38,815 
Payable to sub-adviser   15,217    40,957    58,849    1,990    32,485    40,605    33,490 
Payable for distribution fees   8,102    10,904    12,416    —    4,663    9,853    7,834 
Payable for administration fees   3,480    3,868    2,983    1,768    2,387    1,731    3,539 
Payable for fund accounting fees   1,388    1,660    1,936    986    728    862    1,238 
Payable for transfer agent fees   520    1,220    528    1,419    1,098    1,400    673 
Payable for custody fees   3,267    384    23,560    1,123    1,870    1,552    9,379 
Payable for third party administrative servicing fees   121    55    867    80    1,158    —    839 
Accrued expenses and other liabilities   8,996    6,167    6,378    5,622    5,550    2,456    5,339 
Total Liabilities   96,304    426,833    6,119,278    43,229    77,921    7,410,807    7,161,448 
                                    
Net Assets  $81,011,559   $107,098,089   $123,531,578   $55,403,876   $51,666,462   $52,798,545   $72,408,963 
                                    
Net Assets:                                   
Paid in capital  $63,508,572   $57,556,691   $117,266,210   $45,550,642   $50,076,450   $45,423,596   $69,266,961 
Accumulated earnings   17,502,987    49,541,398    6,265,368    9,853,234    1,590,012    7,374,949    3,142,002 
Net Assets  $81,011,559   $107,098,089   $123,531,578   $55,403,876   $51,666,462   $52,798,545   $72,408,963 
                                    
Net Asset Value Per Share                                   
Class N Shares:                                   
Net Assets  $60,328,673   $74,674,749   $96,913,354   $43,677,972   $40,170,273   $38,961,785   $56,696,573 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   4,148,257    3,034,093    6,362,471    2,575,503    2,767,219    2,266,867    3,995,919 
Net asset value, offering and redemption price per share  $14.54   $24.61   $15.23   $16.96   $14.52   $17.19   $14.19 
Class A Shares:                                   
Net Assets  $15,603,917   $24,113,822   $20,604,880   $9,149,268   $8,790,889   $11,195,579   $12,467,776 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   1,077,667    1,000,030    1,361,918    535,095    613,869    689,828    898,519 
Net asset value, and redemption price per share *  $14.48   $24.11   $15.13   $17.10   $14.32   $16.23   $13.88 
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)  $15.36   $25.59   $16.05   $18.14   $15.19   $17.22   $14.73 
Class C Shares:                                   
Net Assets  $5,078,969   $8,309,518   $6,013,344   $2,576,636   $2,705,300   $2,641,181   $3,244,614 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   366,883    365,916    418,799    159,678    217,455    212,181    246,864 
Net asset value, offering and redemption price per share  $13.84   $22.71   $14.36   $16.14   $12.44   $12.45   $13.14 

 

*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 OPERATIONS (Unaudited)
For the Six Months Ended April 30, 2019

 

           Dunham   Dunham           Dunham 
   Dunham   Dunham   Corporate /   Monthly   Dunham   Dunham   International 
   Floating Rate   Long/Short   Government   Distribution   Dynamic Macro   High-Yield   Opportunity 
   Bond Fund   Credit Fund   Bond Fund   Fund   Fund   Bond Fund   Bond Fund 
Investment Income:                                   
Interest income  $5,098,528   $1,192,902   $1,004,964   $1,224,904   $198,933   $3,367,124   $213,686 
Dividend income   —    —    —    1,927,400    421,592    23,759    — 
Securities lending income   1,065    3,996    925    4,255    17,514    19,357    — 
Less: Foreign withholding taxes   —    —    —    (18,956)   —    —    (19,291)
Total Investment Income   5,099,593    1,196,898    1,005,889    3,137,603    638,039    3,410,240    194,395 
                                    
Operating Expenses:                                   
Investment advisory fees   548,197    189,888    125,322    856,198    130,613    319,639    107,897 
Sub-advisory fees   272,879    175,282    75,194    790,336    150,707    170,474    80,923 
Sub-advisory performance fees   (118,760)   (78,666)   (40,127)   148,820    (70,792)   4,058    (45,203)
Fund accounting fees   18,682    5,987    5,122    26,933    4,105    10,895    3,677 
Distribution fees- Class C Shares   27,322    16,516    9,951    170,251    8,405    27,038    5,058 
Distribution fees- Class A Shares   24,655    8,842    6,532    52,302    8,771    14,737    4,678 
Administration fees   79,645    22,274    52,771    69,036    17,559    50,092    30,087 
Registration fees   16,934    24,626    24,611    18,554    22,851    25,031    16,061 
Transfer agent fees   14,251    8,547    9,152    17,772    8,810    11,545    8,588 
Custodian fees   21,170    2,989    17,644    86,500    3,932    5,869    20,828 
Professional fees   10,011    7,985    8,652    15,031    8,070    10,701    7,931 
Chief Compliance Officer fees   12,709    2,864    3,306    18,935    3,031    7,694    2,520 
Printing and postage expense   12,410    7,792    6,770    41,454    3,944    10,137    4,587 
Trustees’ fees   5,653    1,035    2,004    8,665    1,515    3,708    1,289 
Insurance expense   1,045    273    488    1,782    367    970    348 
Security borrowing fees   —    —    —    1,034,394    —    —    — 
Interest expense   —    —    135    48,509    3,610    —    — 
Third party administrative servicing fees   2,689    1,576    1,017    16,760    985    2,706    461 
Dividend expense on short sales   —    —    —    1,181,584    —    —    — 
Miscellaneous expenses   5,515    2,584    2,179    7,496    2,265    3,610    1,658 
Net Operating Expenses   955,007    400,394    310,723    4,611,312    308,748    678,904    251,388 
                                    
Net Investment Income (Loss)   4,144,586    796,504    695,166    (1,473,709)   329,291    2,731,336    (56,993)
                                    
Realized and Unrealized Gain (Loss) on Investments, Futures, Purchased Options, Securities Sold Short, Written Options, Swap Contracts, Foreign Currency Transactions, and Foreign Currency Exchange Contracts:                  8                
Net realized gain (loss) from:                                   
Investments   (642,300)   690,516    (213,404)   (3,414,266)   2,055,819    (1,763,027)   28,335 
Futures   —    (302,525)   —    —    (253,936)   —    91,319 
Purchased Options   —    —    —    3,734,023    173,644    —    — 
Securities sold short   —    —    —    439,932    —    —    — 
Written options   —    —    —    (2,455,940)   21,624    —    — 
Swap contracts   —    19,487    —    669,451    —    —    — 
Foreign currency transactions   —    —    —    53,647    (9,243)   —    — 
Foreign currency exchange contracts   —    —    —    —    —    —    (169,558)
Net realized gain (loss)   (642,300)   407,478    (213,404)   (973,153)   1,987,908    (1,763,027)   (49,904)
Net change in unrealized appreciation (depreciation) on:                                   
Investments   (733,568)   1,124,817    1,897,646    16,866,450    (1,622,212)   4,814,688    1,023,663 
Futures   —    (285,321)   —    —    970,210    —    7,855 
Purchased Options   —    —    —    (1,408,975)   498,906    —    — 
Securities sold short   —    —    —    (6,311,647)   —    —    — 
Written options   —    —    —    (466,251)   2,446    —    — 
Swap contracts   —    (103,858)   —    —    —    —    — 
Foreign currency translations   —    —    —    (38,726)   2,939    —    (5,740)
Foreign currency exchange contracts   —    —    —    —    —    —    (160,077)
Net change in unrealized appreciation (depreciation)   (733,568)   735,638    1,897,646    8,640,851    (147,711)   4,814,688    865,701 
Net Realized and Unrealized Gain (Loss)   (1,375,868)   1,143,116    1,684,242    7,667,698    1,840,197    3,051,661    815,797 
                                    
Net Increase in Net Assets Resulting From Operations  $2,768,718   $1,939,620   $2,379,408   $6,193,989   $2,169,488   $5,782,997   $758,804 

 

See accompanying notes to financial statements.

71

 

STATEMENTS OF OPERATIONS (Unaudited) (Continued)
For the Six Months Ended April 30, 2019

 

       Dunham                   Dunham 
   Dunham   Focused   Dunham   Dunham   Dunham   Dunham   Emerging 
   Large Cap   Large Cap   International   Real Estate   Small Cap   Small Cap   Markets 
   Value Fund   Growth Fund   Stock Fund   Stock Fund   Value Fund   Growth Fund   Stock Fund 
Investment Income:                                   
Interest income  $17,136   $7,747   $7,071   $8,253   $6,154   $22,826   $8,099 
Dividend income   911,990    130,023    2,218,427    1,098,175    480,468    99,506    768,221 
Securities lending income   2,022    3,152    13,572    2,448    3,703    11,141    5,275 
Less: Foreign withholding taxes   —    —    (269,691)   —    —    —    (85,297)
Total Investment Income   931,148    140,922    1,969,379    1,108,876    490,325    133,473    696,298 
                                    
Operating Expenses:                                   
Investment advisory fees   241,238    297,733    376,511    175,964    156,271    156,768    220,485 
Sub-advisory fees   111,341    160,318    376,511    108,285    108,188    120,591    166,618 
Sub-advisory performance fees   (60,270)   65,083    (61,405)   (80,827)   59,524    111,725    (114,625)
Fund accounting fees   7,596    9,388    11,856    5,539    4,921    4,940    6,942 
Distribution fees- Class C Shares   22,024    36,460    29,353    12,180    11,665    13,130    16,017 
Distribution fees- Class A Shares   17,416    23,403    23,574    10,917    10,064    12,992    13,840 
Administration fees   24,207    28,031    53,862    19,680    19,155    19,051    29,016 
Registration fees   24,227    20,886    26,503    24,851    22,196    37,811    25,263 
Transfer agent fees   9,986    10,490    11,695    9,303    8,991    9,021    9,644 
Custodian fees   7,165    3,296    57,230    4,843    3,363    8,427    35,554 
Professional fees   9,372    9,620    10,612    8,931    8,270    8,325    9,875 
Chief Compliance Officer fees   5,269    5,524    7,793    3,751    3,186    3,147    4,653 
Printing and postage expense   5,847    6,454    9,002    4,770    4,274    6,481    5,625 
Trustees’ fees   2,480    2,776    3,775    1,771    1,377    1,466    2,232 
Insurance expense   591    453    869    430    277    306    536 
Third party administrative servicing fees   1,860    3,755    2,062    1,701    1,538    3,182    2,308 
Miscellaneous expenses   2,702    2,868    4,666    2,484    2,431    2,225    4,307 
Total Operating Expenses   433,051    686,538    944,469    314,573    425,691    519,588    438,290 
Less: Fees paid indirectly   (2,170)   (896)   —    —    —    (3,530)   — 
Net Operating Expenses   430,881    685,642    944,469    314,573    425,691    516,058    438,290 
                                    
Net Investment Income (Loss)   500,267    (544,720)   1,024,910    794,303    64,634    (382,585)   258,008 
                                    
Realized and Unrealized Gain (Loss) on Investments, and Foreign Currency Transactions:                                   
Net realized gain (loss) from:                                   
Investments   (62,847)   2,166,542    (2,666,020)   1,361,666    (563,424)   (188,986)   20,076 
Foreign currency transactions   —    —    (51,429)   —    —    —    (135,022)
Net realized gain (loss)   (62,847)   2,166,542    (2,717,449)   1,361,666    (563,424)   (188,986)   (114,946)
Net change in unrealized appreciation (depreciation) on:   —                             — 
Investments   5,776,833    15,795,917    7,947,308    4,366,593    3,158,946    5,450,934    7,807,025 
Foreign currency translations   —    —    (3,573)   —    —    —    (6,188)
Net change in unrealized appreciation   5,776,833    15,795,917    7,943,735    4,366,593    3,158,946    5,450,934    7,800,837 
Net Realized and Unrealized Gain   5,713,986    17,962,459    5,226,286    5,728,259    2,595,522    5,261,948    7,685,891 
                                    
Net Increase in Net Assets Resulting From Operations  $6,214,253   $17,417,739   $6,251,196   $6,522,562   $2,660,156   $4,879,363   $7,943,899 

 

See accompanying notes to financial statements.

72

 

STATEMENTS OF CHANGES IN NET ASSETS

 

   Dunham   Dunham   Dunham   Dunham   Dunham 
   Floating Rate   Long/Short   Corporate/Government   Monthly Distribution   Dynamic Macro 
   Bond Fund   Credit Fund   Bond Fund   Fund       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 
   April 30, 2019   Oct. 31, 2018   April 30, 2019   Oct. 31, 2018   April 30, 2019   Oct. 31, 2018   April 30, 2019   Oct. 31, 2018   April 30, 2019   Oct. 31, 2018 
   (Unaudited)       (Unaudited)       (Unaudited)       (Unaudited)       (Unaudited)     
Operations:                                                  
Net investment income (loss)  $4,144,586   $7,513,198   $796,504   $590,638   $695,166   $1,551,962   $(1,473,709)  $277,888   $329,291   $56,596 
Net realized gain (loss) from investments, futures, purchased options, securities sold short, written options, swap contracts, foreign currency transactions and foreign currency exchange contracts   (642,300)   (331,695)   407,478    2,210,212    (213,404)   (1,340,800)   (973,153)   5,972,173    1,987,908    (1,621,185)
Net change in unrealized appreciation (depreciation) on investments, futures, purchased options, securities sold short, written options, foreign currency translations, and foreign currency exchange contracts   (733,568)   (1,770,479)   735,638    (1,199,986)   1,897,646    (2,180,187)   8,640,851    (8,557,186)   (147,711)   (1,415,776)
Net Increase (Decrease) in Net Assets Resulting From Operations   2,768,718    5,411,024    1,939,620    1,600,864    2,379,408    (1,969,025)   6,193,989    (2,307,125)   2,169,488    (2,980,365)
                                                   
Distributions to Shareholders From:                                                  
Distributions From Paid In Capital:                                                  
Class N   —    —    —    —    —    —    (5,095,328)   (7,909,457)   —    — 
Class A   —    —    —    —    —    —    (1,184,779)   (1,741,683)   —    — 
Class C   —    —    —    —    —    —    (1,204,883)   (1,667,572)   —    — 
Total Distributions Paid                                                  
Class N   (3,685,234)   (6,592,532)   (1,120,765)   (364,941)   (602,509)   (1,401,772)   —    (1,898,259)   (810,524)   — 
Class A   (451,621)   (741,771)   (138,167)   (72,290)   (66,829)   (146,528)   —    (415,753)   (165,669)   — 
Class C   (148,774)   (226,608)   (59,131)   (42,412)   (27,167)   (59,070)   —    (402,623)   (24,138)   — 
Total Distributions to Shareholders   (4,285,629)   (7,560,911)   (1,318,063)   (479,643)   (696,505)   (1,607,370)   (7,484,990)   (14,035,347)   (1,000,331)   — 
                                                   
Share Transactions of Beneficial Interest:                                                  
Net proceeds from shares sold                                                  
Class N   25,923,295    53,805,879    37,136,875    24,690,679    13,857,526    26,102,884    36,703,397    79,596,658    2,064,486    10,438,482 
Class A   3,144,985    9,607,696    3,232,930    4,941,263    914,161    2,745,411    7,044,370    16,902,262    1,156,871    4,198,213 
Class C   1,374,003    2,552,475    599,247    966,403    191,500    776,525    3,941,812    9,988,079    209,072    534,780 
Reinvestment of distributions                                                  
Class N   3,679,136    6,585,506    1,104,074    364,087    599,464    1,400,755    4,918,039    9,579,318    809,407    — 
Class A   435,698    714,614    123,425    60,330    64,262    139,151    1,037,237    1,880,728    163,798    — 
Class C   144,829    223,666    58,134    38,665    26,106    57,080    1,030,433    1,747,942    24,111    — 
Cost of shares redeemed                                                  
Class N   (35,167,288)   (51,103,375)   (16,640,013)   (2,712,641)   (14,666,383)   (46,043,475)   (45,934,347)   (88,657,959)   (8,244,477)   (8,552,847)
Class A   (2,344,346)   (6,113,143)   (706,470)   (2,061,767)   (806,811)   (3,493,266)   (6,574,743)   (14,526,312)   (2,194,735)   (2,009,156)
Class C   (1,044,894)   (1,675,351)   (249,774)   (729,306)   (457,033)   (1,102,595)   (4,392,759)   (9,085,236)   (230,881)   (673,743)
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest   (3,854,582)   14,597,967    24,658,428    25,557,713    (277,208)   (19,417,530)   (2,226,561)   7,425,480    (6,242,348)   3,935,729 
                                                   
Total Increase (Decrease) in Net Assets   (5,371,493)   12,448,080    25,279,985    26,678,934    1,405,695    (22,993,925)   (3,517,562)   (8,916,992)   (5,073,191)   955,364 
                                                   
Net Assets:                                                  
Beginning of Period   192,377,108    179,929,028    45,465,462    18,786,528    49,221,551    72,215,476    279,048,216    287,965,208    45,252,304    44,296,940 
End of Period  $187,005,615   $192,377,108   $70,745,447   $45,465,462   $50,627,246   $49,221,551   $275,530,654   $279,048,216   $40,179,113   $45,252,304 

 

See accompanying notes to financial statements.

73

 

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

   Dunham   Dunham   Dunham   Dunham   Dunham 
   High-Yield   International Opportunity   Large Cap   Focused Large Cap   International 
   Bond Fund   Bond Fund   Value Fund   Growth Fund   Stock 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 
   April 30, 2019   Oct. 31, 2018   April 30, 2019   Oct. 31, 2018   April 30, 2019   Oct. 31, 2018   April 30, 2019   Oct. 31, 2018   April 30, 2019   Oct. 31, 2018 
   (Unaudited)       (Unaudited)       (Unaudited)       (Unaudited)       (Unaudited)     
Operations:                                                  
Net investment income (loss)  $2,731,336   $5,633,847   $(56,993)  $(148,640)  $500,267   $635,854   $(544,720)  $(966,560)  $1,024,910   $1,350,212 
Net realized gain (loss) from investments, futures, and foreign currency transactions   (1,763,027)   (321,233)   (49,904)   322,454    (62,847)   2,733,977    2,166,542    6,846,462    (2,717,449)   6,533,665 
Net change in unrealized appreciation (depreciation) on investments, swap contracts, futures, foreign currency transactions, and foreign currency exchange contracts   4,814,688    (6,315,823)   865,701    (1,574,463)   5,776,833    (1,893,243)   15,795,917    7,268,219    7,943,735    (16,664,110)
Net Increase (Decrease) in Net Assets Resulting From Operations   5,782,997    (1,003,209)   758,804    (1,400,649)   6,214,253    1,476,588    17,417,739    13,148,121    6,251,196    (8,780,233)
                                                   
Distributions to Shareholders From:                                                  
Total Distributions Paid                                                  
Class N   (2,399,630)   (4,663,689)   (206,819)   (37,115)   (2,696,551)   (1,037,225)   (4,430,347)   (529,592)   (5,927,318)   (3,839,253)
Class A   (309,298)   (548,313)   (16,011)   (3,597)   (634,655)   (179,080)   (1,226,758)   (125,188)   (1,198,236)   (663,334)
Class C   (173,311)   (308,033)   (2,165)   (1,630)   (174,020)   (54,544)   (564,922)   (67,305)   (358,199)   (254,735)
Total Distributions to Shareholders   (2,882,239)   (5,520,035)   (224,995)   (42,342)   (3,505,226)   (1,270,849)   (6,222,027)   (722,085)   (7,483,753)   (4,757,322)
                                                   
Share Transactions of Beneficial Interest:                                                  
Net proceeds from shares sold                                                  
Class N   11,978,374    25,839,703    3,942,816    8,552,449    5,314,753    11,276,861    13,032,376    14,557,522    10,397,526    20,225,562 
Class A   1,474,609    4,933,144    684,363    1,815,069    3,244,611    5,983,202    9,139,991    6,139,307    3,338,286    9,177,700 
Class C   372,592    1,222,617    140,131    438,364    817,974    770,794    1,290,904    1,148,834    630,976    1,236,899 
Reinvestment of distributions                                                  
Class N   2,387,676    4,624,638    206,756    37,090    2,688,416    1,034,573    4,369,570    527,415    5,919,259    3,736,841 
Class A   291,516    500,869    15,700    3,538    612,304    174,869    1,096,111    119,002    1,172,202    644,219 
Class C   159,009    277,641    2,165    1,630    171,204    53,746    513,630    63,642    355,855    250,970 
Cost of shares redeemed                                                  
Class N   (21,364,169)   (34,003,205)   (4,140,441)   (7,995,121)   (5,118,241)   (12,244,072)   (10,286,983)   (21,393,431)   (7,863,142)   (14,178,501)
Class A   (2,585,030)   (4,450,345)   (542,989)   (809,868)   (1,284,650)   (3,792,405)   (3,482,642)   (6,326,125)   (1,942,994)   (4,944,496)
Class C   (903,129)   (1,476,839)   (183,002)   (333,168)   (263,301)   (1,312,478)   (1,070,727)   (2,135,494)   (659,230)   (1,547,611)
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest   (8,188,552)   (2,531,777)   125,499    1,709,983    6,183,070    1,945,090    14,602,230    (7,299,328)   11,348,738    14,601,583 
                                                   
Total Increase (Decrease) in Net Assets   (5,287,794)   (9,055,021)   659,308    266,992    8,892,097    2,150,829    25,797,942    5,126,708    10,116,181    1,064,028 
                                                   
Net Assets:                                                  
Beginning of Period   114,381,790    123,436,811    37,006,017    36,739,025    72,119,462    69,968,633    81,300,147    76,173,439    113,415,397    112,351,369 
End of Period  $109,093,996   $114,381,790   $37,665,325   $37,006,017   $81,011,559   $72,119,462   $107,098,089   $81,300,147   $123,531,578   $113,415,397 

 

See accompanying notes to financial statements.

74

 

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

   Dunham   Dunham   Dunham   Dunham 
   Real Estate   Small Cap   Small Cap   Emerging Markets 
   Stock Fund   Value Fund   Growth Fund   Stock Fund 
   Six Months       Six Months       Six Months       Six Months     
   Ended   Year Ended   Ended   Year Ended   Ended   Year Ended   Ended   Year Ended 
   April 30, 2019   Oct. 31, 2018   April 30, 2019   Oct. 31, 2018   April 30, 2019   Oct. 31, 2018   April 30, 2019   Oct. 31, 2018 
   (Unaudited)       (Unaudited)       (Unaudited)       (Unaudited)     
Operations:                                        
Net investment income (loss)  $794,303   $899,505   $64,634   $(45,684)  $(382,585)  $(590,382)  $258,008   $1,152,940 
Net realized gain (loss) from investments and foreign currency transactions   1,361,666    (174,994)   (563,424)   5,105,140    (188,986)   9,207,612    (114,946)   1,431,468 
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations   4,366,593    (546,360)   3,158,946    (5,420,545)   5,450,934    (3,717,938)   7,800,837    (16,889,852)
Net Increase (Decrease) in Net Assets Resulting From Operations   6,522,562    178,151    2,660,156    (361,089)   4,879,363    4,899,292    7,943,899    (14,305,444)
                                         
Distributions to Shareholders From:                                        
Total Distributions Paid                                        
Class N   (798,931)   (545,647)   (3,953,207)   (2,382,575)   (6,275,235)   (3,540,224)   (1,006,872)   (510,282)
Class A   (140,920)   (80,421)   (859,290)   (495,340)   (2,133,326)   (1,070,104)   (167,073)   (67,957)
Class C   (23,866)   (19,495)   (272,184)   (301,971)   (652,365)   (474,106)   (29,750)   (13,160)
Total Distributions to Shareholders   (963,717)   (645,563)   (5,084,681)   (3,179,886)   (9,060,926)   (5,084,434)   (1,203,695)   (591,399)
                                         
Share Transactions of Beneficial Interest:                                        
Net proceeds from shares sold                                        
Class N   1,973,009    18,420,383    4,480,265    17,353,604    8,861,441    12,088,512    4,370,061    20,915,714 
Class A   1,168,197    4,483,032    1,475,433    4,612,064    2,394,729    5,475,767    2,757,475    6,171,549 
Class C   215,607    555,329    653,296    433,472    365,984    468,765    339,326    1,090,420 
Reinvestment of distributions                                        
Class N   797,852    544,150    3,947,325    2,312,130    5,929,101    3,415,609    997,722    494,306 
Class A   138,429    78,284    796,270    445,163    1,888,425    959,794    162,685    64,832 
Class C   23,724    19,299    272,184    264,864    648,129    474,106    28,819    13,079 
Cost of shares redeemed                                        
Class N   (6,651,299)   (9,723,240)   (3,640,740)   (2,502,809)   (7,195,564)   (6,253,725)   (7,140,126)   (7,511,939)
Class A   (1,504,906)   (2,038,975)   (929,019)   (1,141,557)   (2,644,394)   (2,475,581)   (1,314,237)   (2,670,093)
Class C   (230,814)   (661,776)   (220,442)   (868,985)   (669,026)   (777,346)   (618,774)   (659,386)
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest   (4,070,201)   11,676,486    6,834,572    20,907,946    9,578,825    13,375,901    (417,049)   17,908,482 
                                         
Total Increase in Net Assets   1,488,644    11,209,074    4,410,047    17,366,971    5,397,262    13,190,759    6,323,155    3,011,639 
                                         
Net Assets:                                        
Beginning of Period   53,915,232    42,706,158    47,256,415    29,889,444    47,401,283    34,210,524    66,085,808    63,074,169 
End of Period  $55,403,876   $53,915,232   $51,666,462   $47,256,415   $52,798,545   $47,401,283   $72,408,963   $66,085,808 

 

See accompanying notes to financial statements.

75

 

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

 

   Class N                                                 
   Six Months Ended   Year Ended October 31,                                                 
   April 30, 2019   2018   2017   2016   2015   2014*                                                 
   (Unaudited)                                                                     
Net asset value, beginning of period/year  $9.62   $9.73   $9.70   $9.60   $9.87   $10.00                                                 
Income from investment operations:                                                                              
Net investment income**   0.22    0.40    0.35    0.33    0.32    0.29                                                 
Net realized and unrealized gain (loss)   (0.06)   (0.11)   0.03    0.10    (0.27)   (0.15)                                                
Total income from investment operations   0.16    0.29    0.38    0.43    0.05    0.14                                                 
Less distributions:                                                                              
Distributions from net investment income   (0.22)   (0.40)   (0.35)   (0.33)   (0.32)   (0.27)                                                
Total distributions   (0.22)   (0.40)   (0.35)   (0.33)   (0.32)   (0.27)                                                
Net asset value, end of period/year  $9.56   $9.62   $9.73   $9.70   $9.60   $9.87                                                 
Total return +#   1.78%   3.02%   4.01%   4.63%   0.51%   1.43%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period/year (in 000s)  $158,029   $164,936   $157,485   $94,219   $73,316   $63,120                                                 
Ratios of expenses to average net assets: ^   0.99%   0.97%   1.03%   1.34%   1.27%   1.27%                                                
Ratios of net investment income to average net assets: ^   4.59%   4.08%   3.60%   3.24%   3.24%   2.87%                                                
Portfolio turnover rate (1)   18%   79%   91%   62%   51%   50%                                                
                                                                               
   Class A       Class C 
   Six Months Ended   Year Ended October 31,   Six Months Ended   Year Ended October 31, 
   April 30, 2019   2018   2017   2016   2015   2014*   April 30, 2019   2018   2017   2016   2015   2014* 
   (Unaudited)                       (Unaudited)                     
Net asset value, beginning of period/year  $9.61   $9.72   $9.70   $9.59   $9.87   $10.00   $9.62   $9.73   $9.69   $9.59   $9.86   $10.00 
Income (loss) from investment operations:                                                            
Net investment income**   0.20    0.37    0.32    0.31    0.30    0.28    0.18    0.33    0.28    0.26    0.24    0.22 
Net realized and unrealized gain (loss)   (0.05)   (0.11)   0.03    0.11    (0.28)   (0.16)   (0.06)   (0.11)   0.04    0.10    (0.26)   (0.16)
Total income (loss) from investment operations   0.15    0.26    0.35    0.42    0.02    0.12    0.12    0.22    0.32    0.36    (0.02)   0.06 
Less distributions:                                                            
Distributions from net investment income   (0.21)   (0.37)   (0.33)   (0.31)   (0.30)   (0.25)   (0.19)   (0.33)   (0.28)   (0.26)   (0.25)   (0.20)
Total distributions   (0.21)   (0.37)   (0.33)   (0.31)   (0.30)   (0.25)   (0.19)   (0.33)   (0.28)   (0.26)   (0.25)   (0.20)
Net asset value, end of period/year  $9.55   $9.61   $9.72   $9.70   $9.59   $9.87   $9.55   $9.62   $9.73   $9.69   $9.59   $9.86 
Total return +#   1.66%   2.77%   3.64%   4.49%   0.16%   1.20%   1.42%   2.26%   3.31%   3.87%   (0.23)%   0.63%
Ratios/Supplemental Data:                                                            
Net assets, end of period/year (in 000s)  $21,309   $20,205   $16,229   $10,923   $8,598   $13,664   $7,667   $7,236   $6,215   $4,545   $3,573   $3,888 
Ratios of expenses to average net assets: ^   1.24%   1.22%   1.28%   1.59%   1.52%   1.52%   1.74%   1.72%   1.78%   2.10%   2.02%   2.02%
Ratios of net investment income to average net assets: ^   4.35%   3.84%   3.33%   3.49%   2.99%   2.84%   3.85%   3.43%   2.89%   2.74%   2.49%   2.24%
Portfolio turnover rate (1)   18%   79%   91%   62%   51%   50%   18%   79%   91%   62%   51%   50%
                                                             
*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/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 and does not reflect the impact of any sales charge.

 

^Annualized for periods less than one year.

 

(1)Not annualized for periods less than one year.

 

#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. Adjustments may apply to some but not all years and classes.

 

See accompanying notes to financial statements.

76

 

FINANCIAL HIGHLIGHTS
Dunham Long/Short Credit Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each period/year.

 

   Class N                                                 
   Six Months Ended   Year Ended October 31,                                                 
   April 30, 2019   2018   2017   2016   2015   2014                                                 
   (Unaudited)                                                                     
Net asset value, beginning of period/year  $9.19   $8.68   $8.05   $8.75   $10.88   $10.09                                                 
Income (loss) from investment operations:                                                                              
Net investment income*   0.13    0.23    0.16    0.23    0.27    0.11                                                 
Net realized and unrealized gain (loss)   0.11    0.49    0.72    (0.39)   (0.51)   0.83                                                 
Total income (loss) from investment operations   0.24    0.72    0.88    (0.16)   (0.24)   0.94                                                 
Less distributions:                                                                              
Distributions from net investment income   (0.19)   (0.21)   (0.25)   (0.36)   (0.17)   (0.15)                                                
Distributions from net realized gains   —    —    —    (0.18)   (1.72)   —                                                 
Total distributions   (0.19)   (0.21)   (0.25)   (0.54)   (1.89)   (0.15)                                                
Net asset value, end of period/year  $9.24   $9.19   $8.68   $8.05   $8.75   $10.88                                                 
Total return + #   2.70%   8.42%   11.20%   (1.92)%   (2.67)%   9.37%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period/year (in 000s)  $58,196   $36,055   $12,953   $16,929   $20,210   $18,576                                                 
Ratios of expenses to average net assets: ^   1.29%   1.44%   1.41%   1.42%   1.34%   1.44%                                                
Ratios of net investment income to average net assets: ^   2.80%   2.52%   1.90%   2.83%   2.83%   1.07%                                                
Portfolio turnover rate (1)   228%   275%   106%   96%   82%   129%                                                
                                                                               
   Class A       Class C 
   Six Months Ended   Year Ended October 31,   Six Months Ended   Year Ended October 31, 
   April 30, 2019   2018   2017   2016   2015   2014   April 30, 2019   2018   2017   2016   2015   2014 
   (Unaudited)                       (Unaudited)                     
Net asset value, beginning of period/year  $9.17   $8.66   $8.03   $8.73   $10.85   $10.06   $8.94   $8.46   $7.86   $8.56   $10.66   $9.90 
Income (loss) from investment operations:                                                            
Net investment income*   0.12    0.19    0.14    0.20    0.24    0.09    0.08    0.11    0.07    0.14    0.18    0.01 
Net realized and unrealized gain (loss)   0.11    0.50    0.72    (0.39)   (0.50)   0.82    0.12    0.49    0.71    (0.39)   (0.50)   0.80 
Total income (loss) from investment operations   0.23    0.69    0.86    (0.19)   (0.26)   0.91    0.20    0.60    0.78    (0.25)   (0.32)   0.81 
Less distributions:                                                            
Distributions from net investment income   (0.18)   (0.18)   (0.23)   (0.33)   (0.14)   (0.12)   (0.16)   (0.12)   (0.18)   (0.27)   (0.06)   (0.05)
Distributions from net realized gains   —    —    —    (0.18)   (1.72)   —    —    —    —    (0.18)   (1.72)   — 
Total distributions   (0.18)   (0.18)   (0.23)   (0.51)   (1.86)   (0.12)   (0.16)   (0.12)   (0.18)   (0.45)   (1.78)   (0.05)
Net asset value, end of period/year  $9.22   $9.17   $8.66   $8.03   $8.73   $10.85   $8.98   $8.94   $8.46   $7.86   $8.56   $10.66 
Total return + #   2.58%   8.10%   10.92%   (2.19)%   (2.84)%   9.10%   2.18%   7.21%   10.08%   (2.95)%   (3.53)%   8.21%
Ratios/Supplemental Data:                                                            
Net assets, end of period/year (in 000s)  $8,979   $6,265   $3,125   $3,638   $4,211   $4,509   $3,571   $3,145   $2,708   $3,181   $4,956   $4,046 
Ratios of expenses to average net assets: ^   1.50%   1.69%   1.66%   1.67%   1.59%   1.69%   2.24%   2.44%   2.41%   2.44%   2.34%   2.44%
Ratios of net investment income to average net assets: ^   2.59%   2.13%   1.66%   2.57%   2.56%   0.83%   1.86%   1.22%   0.93%   1.81%   1.91%   0.08%
Portfolio turnover rate (1)   228%   275%   106%   96%   82%   129%   228%   275%   106%   96%   82%   129%
                                                             
*The net investment income per share data was determined using the average shares outstanding throughout each period/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 and does not reflect the impact of any sales charge.

 

#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. Adjustments may apply to some but not all years and classes.

 

^Annualized for periods less than one year.

 

(1)Not annualized for periods less than one year.

 

See accompanying notes to financial statements.

77

 

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

 

   Class N                                                 
   Six Months Ended   Year Ended October 31,                                                 
   April 30, 2019   2018   2017   2016   2015   2014                                                 
   (Unaudited)                                                                     
Net asset value, beginning of period/year  $13.06   $13.82   $13.92   $13.75   $14.14   $14.07                                                 
Income (loss) from investment operations:                                                                              
Net investment income*   0.19    0.34    0.31    0.36    0.42    0.38                                                 
Net realized and unrealized gain (loss)   0.42    (0.74)   (0.08)   0.19    (0.37)   0.16                                                 
Total income (loss) from investment operations   0.61    (0.40)   0.23    0.55    0.05    0.54                                                 
Less distributions:                                                                              
Distributions from net investment income   (0.18)   (0.36)   (0.33)   (0.38)   (0.44)   (0.42)                                                
Distributions from net realized gains   —    —    —    —    —    (0.05)                                                
Total distributions   (0.18)   (0.36)   (0.33)   (0.38)   (0.44)   (0.47)                                                
Net asset value, end of period/year  $13.49   $13.06   $13.82   $13.92   $13.75   $14.14                                                 
Total return +#   4.73%   (2.93)%   1.72%   4.09%   0.36%   3.85%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period/year (in 000s)  $42,372   $41,151   $62,757   $48,025   $41,989   $43,888                                                 
Ratios of expenses to average net assets: ^   1.17%   1.20%   1.35%   1.13%   1.06%   1.37%                                                
Ratios of net investment income to average net assets: ^   2.84%   2.53%   2.27%   2.61%   3.00%   2.69%                                                
Portfolio turnover rate (1)   49%   92%   61%   58%   54%   60%                                                
                                                                               
   Class A       Class C 
   Six Months Ended   Year Ended October 31,   Six Months Ended   Year Ended October 31, 
   April 30, 2019   2018   2017   2016   2015   2014   April 30, 2019   2018   2017   2016   2015   2014 
   (Unaudited)                       (Unaudited)                     
Net asset value, beginning of period/year  $13.04   $13.80   $13.90   $13.73   $14.13   $14.06   $12.95   $13.71   $13.81   $13.65   $14.05   $13.98 
Income (loss) from investment operations:                                                            
Net investment income*   0.17    0.31    0.28    0.33    0.38    0.35    0.14    0.24    0.21    0.26    0.31    0.27 
Net realized and unrealized gain (loss)   0.43    (0.74)   (0.08)   0.19    (0.37)   0.15    0.42    (0.74)   (0.08)   0.18    (0.37)   0.16 
Total income (loss) from investment operations   0.60    (0.43)   0.20    0.52    0.01    0.50    0.56    (0.50)   0.13    0.44    (0.06)   0.43 
Less distributions:                                                            
Distributions from net investment income   (0.17)   (0.33)   (0.30)   (0.35)   (0.41)   (0.38)   (0.13)   (0.26)   (0.23)   (0.28)   (0.34)   (0.31)
Distributions from net realized gains   —    —    —    —    —    (0.05)   —    —    —    —    —    (0.05)
Total distributions   (0.17)   (0.33)   (0.30)   (0.35)   (0.41)   (0.43)   (0.13)   (0.26)   (0.23)   (0.28)   (0.34)   (0.36)
Net asset value, end of period/year  $13.47   $13.04   $13.80   $13.90   $13.73   $14.13   $13.38   $12.95   $13.71   $13.81   $13.65   $14.05 
Total return +#   4.61%   (3.17)%   1.47%   3.86%   0.04%   3.59%   4.38%   (3.67)%   0.98%   3.27%   (0.45)%   3.08%
Ratios/Supplemental Data:                                                            
Net assets, end of period/year (in 000s)  $5,649   $5,311   $6,260   $4,832   $4,788   $3,684   $2,606   $2,760   $3,199   $3,364   $3,698   $3,690 
Ratios of expenses to average net assets: ^   1.42%   1.45%   1.60%   1.38%   1.31%   1.62%   1.92%   1.95%   2.10%   1.88%   1.81%   2.12%
Ratios of net investment income to average net assets: ^   2.57%   2.31%   2.01%   2.40%   2.74%   2.44%   2.09%   1.81%   1.52%   1.89%   2.27%   1.94%
Portfolio turnover rate (1)   49%   92%   61%   58%   54%   60%   49%   92%   61%   58%   54%   60%
                                                             
*The net investment income per share data was determined using the average shares outstanding throughout each period/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 and does not reflect the impact of any sales charge.

 

#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. Adjustments may apply to some but not all years and classes.

 

^Annualized for periods less than one year.

 

(1)Not annualized for periods less than one year.

 

See accompanying notes to financial statements.

78

 

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

 

   Class N                                                 
   Six Months Ended   Year Ended October 31,                                                 
   April 30, 2019   2018   2017   2016   2015   2014                                                 
   (Unaudited)                                                                     
Net asset value, beginning of period/year  $34.84   $36.71   $35.74   $36.36   $38.16   $38.47                                                 
Income (loss) from investment operations:                                                                              
Net investment income (loss)*   (0.16)   0.09    (0.36)   0.14    (0.18)   0.17                                                 
Net realized and unrealized gain (loss)   1.01    (0.25)   2.79    0.49    (0.39)   1.35                                                 
Total income (loss) from investment operations   0.85    (0.16)   2.43    0.63    (0.57)   1.52                                                 
Less distributions:                                                                              
Distributions from net investment income   —    —    —    (0.55)   —    —                                                 
Distributions from net realized gains   —    (0.35)   —    —    (0.80)   (1.59)                                                
Tax return of capital   (0.92)   (1.36)   (1.46)   (0.70)   (0.43)   (0.24)                                                
Total distributions   (0.92)   (1.71)   (1.46)   (1.25)   (1.23)   (1.83)                                                
Net asset value, end of period/year  $34.77   $34.84   $36.71   $35.74   $36.36   $38.16                                                 
Total return + #   2.55%   (0.45)%   6.92%   1.79%   (1.53)%   4.01%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period/year (in 000s)  $196,471   $201,405   $212,178   $153,084   $163,843   $156,964                                                 
Ratios of expenses to average net assets:                                                                              
After waivers ^   3.30%   2.16%   2.73%   1.85%   2.09%   2.53%                                                
Dividends/borrowings on short sales ^   1.68%   1.10%   1.17%   0.61%   0.47%   0.59%                                                
Excluding dividends/borrowings on short sales:                                                                              
Before fee waivers ^   1.62%   1.06%   1.59%   1.26%   2.17%   2.11%                                                
After fee waivers ^   1.62%   1.06%   1.56%   1.24%   1.62%   1.94%                                                
Ratios of net investment income (loss) to average net assets:                                                                              
Before fee waivers ^   (0.95)%   0.25%   (1.06)%   0.39%   (0.56)%   0.26%                                                
After fee waivers ^   (0.95)%   0.25%   (1.03)%   0.40%   (0.48)%   0.43%                                                
Portfolio turnover rate (1)   205%   453%   382%   208%   155%   229%                                                
                                                                               
   Class A       Class C 
   Six Months Ended   Year Ended October 31,   Six Months Ended   Year Ended October 31, 
   April 30, 2019   2018   2017   2016   2015   2014   April 30, 2019   2018   2017   2016   2015   2014 
   (Unaudited)                       (Unaudited)                     
Net asset value, beginning of period/year  $33.77   $35.73   $34.90   $35.63   $37.52   $37.95   $27.02   $29.15   $28.94   $29.99   $32.01   $32.87 
Income (loss) from investment operations:                                                            
Net investment income (loss)*   (0.20)   0.00(a)   (0.40)   0.13    (0.27)   0.07    (0.26)   (0.21)   (0.55)   (0.14)   (0.46)   (0.20)
Net realized and unrealized gain (loss)   1.00    (0.25)   2.69    0.39    (0.39)   1.33    0.79    (0.21)   2.22    0.34    (0.33)   1.17 
Total income (loss) from investment operations   0.80    (0.25)   2.29    0.52    (0.66)   1.40    0.53    (0.42)   1.67    0.20    (0.79)   0.97 
Less distributions:                                                            
Distributions from net investment income   —    —    —    (0.55)   —    —    —    —    —    (0.55)   —    — 
Distributions from net realized gains   —    (0.35)   —    —    (0.80)   (1.59)   —    (0.35)   —    —    (0.80)   (1.59)
Tax return of capital   (0.92)   (1.36)   (1.46)   (0.70)   (0.43)   (0.24)   (0.92)   (1.36)   (1.46)   (0.70)   (0.43)   (0.24)
Total distributions   (0.92)   (1.71)   (1.46)   (1.25)   (1.23)   (1.83)   (0.92)   (1.71)   (1.46)   (1.25)   (1.23)   (1.83)
Net asset value, end of period/year  $33.65   $33.77   $35.73   $34.90   $35.63   $37.52   $26.63   $27.02   $29.15   $28.94   $29.99   $32.01 
Total return + #   2.42%   (0.72)%   6.64%   1.54%   (1.80)%   3.74%   2.02%   (1.48)%   5.82%   0.75%   (2.53)%   2.99%
Ratios/Supplemental Data:                                                            
Net assets, end of period/year (in 000s)  $44,320   $42,980   $41,186   $45,552   $74,247   $79,132   $34,739   $34,664   $34,601   $39,118   $50,215   $48,193 
Ratios of expenses to average net assets:                                                            
After waivers ^   3.54%   2.41%   2.93%   2.06%   2.33%   2.78%   4.29%   3.16%   3.68%   2.83%   3.09%   3.53%
Dividends/borrowings on short sales ^   1.68%   1.10%   1.12%   0.59%   0.47%   0.59%   1.68%   1.10%   1.12%   0.60%   0.47%   0.59%
Excluding dividends/borrowings on short sales:                                                            
Before fee waivers ^   1.86%   1.31%   1.83%   1.49%   2.42%   2.36%   2.61%   2.06%   2.58%   2.24%   3.16%   3.11%
After fee waivers ^   1.86%   1.31%   1.81%   1.48%   1.86%   2.19%   2.61%   2.06%   2.56%   2.23%   2.62%   2.94%
Ratios of net investment income (loss) to average net assets:                                                            
Before fee waivers ^   (1.19)%   0.01%   (1.14)%   0.36%   (0.79)%   0.01%   (1.94)%   (0.73)%   (1.89)%   (0.50)%   (1.54)%   (0.74)%
After fee waivers ^   (1.19)%   0.01%   (1.11)%   0.37%   (0.71)%   0.18%   (1.94)%   (0.73)%   (1.86)%   (0.48)%   (1.46)%   (0.57)%
Portfolio turnover rate (1)   205%   453%   382%   208%   155%   229%   205%   453%   382%   208%   155%   229%
                                                             
*The net investment income per share data was determined using the average shares outstanding throughout each period/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 and does not reflect the impact of any sales charge.

 

#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. Adjustments may apply to some but not all years and classes.

 

(a)Represents less than $0.01 per share.

 

^Annualized for periods less than one year.

 

(1)Not annualized for periods less than one year.

 

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 period/year.

 

   Class N                                                 
   Six Months Ended   Year Ended October 31,                                                 
   April 30, 2019   2018   2017   2016   2015   2014                                                 
   (Unaudited)                                                                     
Net asset value, beginning of period/year  $9.53   $10.18   $9.55   $9.81   $9.65   $9.67                                                 
Income (loss) from investment operations:                                                                              
Net investment income (loss) *   0.08    0.02    (0.03)   (0.00) (a)   (0.14)   0.19                                                 
Net realized and unrealized gain (loss) **   0.51    (0.67)   0.66    (0.26)   0.30    (0.02)                                                
Total income (loss) from investment operations   0.59    (0.65)   0.63    (0.26)   0.16    0.17                                                 
Less distributions:                                                                              
Distributions from net investment income   (0.22)   —    —    —    —    (0.19)                                                
Net asset value, end of period/year  $9.90   $9.53   $10.18   $9.55   $9.81   $9.65                                                 
Total return + #   6.41%   (6.39)%   6.60%   (2.68)%   1.66%   1.80%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period/year (in 000s)  $31,167   $35,638   $36,104   $28,650   $28,518   $11,758                                                 
Ratios of expenses to average net assets: ^   1.44%   1.80%   1.83%   1.63%   2.15%   1.90%                                                
Ratios of net investment income (loss) to average net assets: ^   1.73%   0.20%   (0.32)%   (0.03)%   (1.37)%   1.96%                                                
Portfolio turnover rate (1)   23%   11%   7%   54%   70%   238%                                                
                                                                               
   Class A       Class C 
   Six Months Ended   Year Ended October 31,   Six Months Ended   Year Ended October 31, 
   April 30, 2019   2018   2017   2016   2015   2014   April 30, 2019   2018   2017   2016   2015   2014 
   (Unaudited)                       (Unaudited)                     
Net asset value, beginning of period/year  $9.46   $10.12   $9.52   $9.81   $9.68   $9.70   $9.03   $9.74   $9.23   $9.58   $9.52   $9.56 
Income (loss) from investment operations:                                                            
Net investment income (loss) *   0.07    0.00(a)   (0.06)   (0.02)   (0.14)   0.18    0.03    (0.08)   (0.12)   (0.09)   (0.26)   0.11 
Net realized and unrealized gain (loss) **   0.50    (0.66)   0.66    (0.27)   0.27    (0.04)   0.49    (0.63)   0.63    (0.26)   0.32    (0.04)
Total income (loss) from investment operations   0.57    (0.66)   0.60    (0.29)   0.13    0.14    0.52    (0.71)   0.51    (0.35)   0.06    0.07 
Less distributions:                                                            
Distributions from net investment income   (0.20)   —    —    —    —    (0.16)   (0.13)   —    —    —    —    (0.11)
Net asset value, end of period/year  $9.83   $9.46   $10.12   $9.52   $9.81   $9.68   $9.42   $9.03   $9.74   $9.23   $9.58   $9.52 
Total return + #   6.21%   (6.52)%   6.30%   (2.95)%   1.34%   1.52%   5.85%   (7.29)%   5.53%   (3.66)%   0.63%   0.78%
Ratios/Supplemental Data:                                                            
Net assets, end of period/year (in 000s)  $7,244   $7,918   $6,224   $3,897   $3,296   $1,729   $1,768   $1,696   $1,969   $2,131   $1,938   $1,712 
Ratios of expenses to average net assets: ^   1.69%   2.05%   2.08%   1.88%   2.40%   2.15%   2.44%   2.80%   2.83%   2.63%   3.15%   2.90%
Ratios of net investment income (loss) to average net assets: ^   1.49%   0.00%(b)   (0.58)%   (0.26)%   (1.63)%   1.92%   0.59%   (0.84)%   (1.34)%   (1.02)%   (2.35)%   1.19%
Portfolio turnover rate (1)   23%   11%   7%   54%   70%   238%   23%   11%   7%   54%   70%   238%
                                                             
*The net investment income (loss) per share data was determined using the average shares outstanding throughout each period/year.

 

**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 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. 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 and does not reflect the impact of any sales charge.

 

#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. Adjustments may apply to some but not all years and classes.

 

(a)Represents less than $0.01 per share. (b) Represents less than 0.01%.

 

(1)Not annualized for periods less than one year.

 

^Annualized for periods less than one year.

 

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/year.

 

   Class N                                                 
   Six Months Ended   Year Ended October 31,                                                 
   April 30, 2019   2018   2017   2016   2015   2014                                                 
   (Unaudited)                                                                     
Net asset value, beginning of period/year  $8.72   $9.22   $8.94   $8.92   $9.51   $9.61                                                 
Income (loss) from investment operations:                                                                              
Net investment income*   0.22    0.44    0.42    0.44    0.44    0.46                                                 
Net realized and unrealized gain (loss)   0.29    (0.51)   0.30    0.02    (0.59)   (0.10)                                                
Total income (loss) from investment operations   0.51    (0.07)   0.72    0.46    (0.15)   0.36                                                 
Less distributions:                                                                              
Distributions from net investment income   (0.24)   (0.43)   (0.44)   (0.44)   (0.44)   (0.46)                                                
Total distributions   (0.24)   (0.43)   (0.44)   (0.44)   (0.44)   (0.46)                                                
Net asset value, end of period/year  $8.99   $8.72   $9.22   $8.94   $8.92   $9.51                                                 
Total return +#   5.97%   (0.80)%   8.19%   5.39%   (1.63)%   3.77%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period/year (in 000s)  $89,948   $94,596   $103,567   $78,194   $78,654   $102,412                                                 
Ratios of expenses to average net assets: ^   1.20%   1.12%   1.19%   1.08%   1.02%   1.09%                                                
Ratios of net investment income to average net assets: ^   5.21%   4.84%   4.62%   5.09%   4.77%   4.72%                                                
Portfolio turnover rate (1)   31%   101%   142%   62%   51%   62%                                                
                                                                               
   Class A       Class C 
   Six Months Ended   Year Ended October 31,   Six Months Ended   Year Ended October 31, 
   April 30, 2019   2018   2017   2016   2015   2014   April 30, 2019   2018   2017   2016   2015   2014 
   (Unaudited)                       (Unaudited)                     
Net asset value, beginning of period/year  $8.81   $9.29   $9.02   $8.99   $9.58   $9.68   $8.68   $9.17   $8.88   $8.86   $9.46   $9.55 
Income (loss) from investment operations:                                                            
Net investment income*   0.22    0.42    0.40    0.42    0.41    0.44    0.19    0.37    0.35    0.37    0.37    0.38 
Net realized and unrealized gain (loss)   0.28    (0.49)   0.28    0.03    (0.59)   (0.10)   0.29    (0.50)   0.30    0.02    (0.60)   (0.08)
Total income (loss) from investment operations   0.50    (0.07)   0.68    0.45    (0.18)   0.34    0.48    (0.13)   0.65    0.39    (0.23)   0.30 
Less distributions:                                                            
Distributions from net investment income   (0.23)   (0.41)   (0.41)   (0.42)   (0.41)   (0.44)   (0.21)   (0.36)   (0.36)   (0.37)   (0.37)   (0.39)
Total distributions   (0.23)   (0.41)   (0.41)   (0.42)   (0.41)   (0.44)   (0.21)   (0.36)   (0.36)   (0.37)   (0.37)   (0.39)
Net asset value, end of period/year  $9.08   $8.81   $9.29   $9.02   $8.99   $9.58   $8.95   $8.68   $9.17   $8.88   $8.86   $9.46 
Total return +#   5.90%   (0.82)%   7.70%   5.21%   (1.88)%   3.49%   5.62%   (1.43)%   7.45%   4.65%   (2.47)%   3.13%
Ratios/Supplemental Data:                                                            
Net assets, end of period/year (in 000s)  $11,907   $12,393   $12,085   $10,478   $10,224   $22,022   $7,238   $7,392   $7,785   $7,687   $9,231   $11,652 
Ratios of expenses to average net assets: ^   1.45%   1.37%   1.44%   1.33%   1.27%   1.34%   1.95%   1.87%   1.94%   1.83%   1.77%   1.84%
Ratios of net investment income to average net assets: ^   4.96%   4.60%   4.38%   4.84%   4.52%   4.47%   4.46%   4.09%   3.88%   4.34%   4.02%   3.97%
Portfolio turnover rate (1)   31%   101%   142%   62%   51%   62%   31%   101%   142%   62%   51%   62%
                                                             
*The net investment income per share data was determined using the average shares outstanding throughout each period/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 and does not reflect the impact of any sales charge.

 

#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. Adjustments may apply to some but not all years and classes.

 

^Annualized for periods less than one year.

 

(1)Not 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 throughout each period/year.

 

   Class N                                                 
   Six Months Ended   Year Ended October 31,                                                 
   April 30, 2019   2018   2017   2016   2015   2014                                                 
   (Unaudited)                                                                     
Net asset value, beginning of period/year  $8.93   $9.32   $9.37   $8.92   $9.64   $10.00                                                 
Income (loss) from investment operations:                                                                              
Net investment income (loss)*   (0.01)   (0.03)   (0.03)   0.04    0.05    0.07                                                 
Net realized and unrealized gain (loss)   0.20    (0.35)   0.07    0.42    (0.77)   (0.37)                                                
Total income (loss) from investment operations   0.19    (0.38)   0.04    0.46    (0.72)   (0.30)                                                
Less distributions:                                                                              
Distributions from net investment income   (0.04)   —    —    (0.01)   —    —                                                 
Distributions from net realized gains   (0.01)   (0.01)   (0.09)   —    —    —                                                 
Tax return of capital   —    —    —    —    —    (0.06)                                                
Total distributions   (0.05)   (0.01)   (0.09)   (0.01)   —    (0.06)                                                
Net asset value, end of period/year  $9.07   $8.93   $9.32   $9.37   $8.92   $9.64                                                 
Total return + #   2.23%   (4.08)%   0.57%   5.14%   (7.42)%   (2.99)%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period/year (in 000s)  $32,305   $31,838   $32,441   $24,728   $31,935   $42,440                                                 
Ratios of expenses to average net assets: ^   1.34%   1.35%   1.54%   1.28%   1.38%   1.38%                                                
Ratios of net investment income (loss) to average net assets: ^   (0.26)%   (0.35)%   (0.37)%   0.41%   0.52%   0.66%                                                
Portfolio turnover rate (1)   46%   45%   56%   64%   52%   60%                                                
                                                                               
   Class A       Class C 
   Six Months Ended   Year Ended October 31,   Six Months Ended   Year Ended October 31, 
   April 30, 2019   2018   2017   2016   2015   2014   April 30, 2019   2018   2017   2016   2015   2014 
   (Unaudited)                       (Unaudited)                     
Net asset value, beginning of period/year  $8.85   $9.26   $9.32   $8.90   $9.64   $10.00   $8.66   $9.10   $9.22   $8.84   $9.62   $10.00 
Income (loss) from investment operations:                                                            
Net investment income (loss)*   (0.02)   (0.06)   (0.06)   0.01    0.02    0.04    (0.04)   (0.10)   (0.10)   (0.03)   (0.02)   (0.01)
Net realized and unrealized gain (loss)   0.19    (0.34)   0.09    0.41    (0.76)   (0.36)   0.19    (0.33)   0.07    0.41    (0.76)   (0.36)
Total income (loss) from investment operations   0.17    (0.40)   0.03    0.42    (0.74)   (0.32)   0.15    (0.43)   (0.03)   0.38    (0.78)   (0.37)
Less distributions:                                                            
Distributions from net investment income   (0.02)   —    —    (0.00) (a)   —    —    —    —    —    (0.00) (a)   —    — 
Distributions from net realized gains   (0.01)   (0.01)   (0.09)   —    —    —    (0.01)   (0.01)   (0.09)   —    —    — 
Tax return of capital   —    —    —    —    —    (0.04)   —    —    —    —    —    (0.01)
Total distributions   (0.03)   (0.01)   (0.09)   (0.00) (a)   —    (0.04)   (0.01)   (0.01)   (0.09)   (0.00) (a)   —    (0.01)
Net asset value, end of period/year  $8.99   $8.85   $9.26   $9.32   $8.90   $9.64   $8.80   $8.66   $9.10   $9.22   $8.84   $9.62 
Total return + #   2.01%   (4.32)%   0.46%   4.77%   (7.65)%   (3.22)%   1.78%   (4.72)%   (0.19)%   4.31%   (8.11)%   (3.72)%
Ratios/Supplemental Data:                                                            
Net assets, end of period/year (in 000s)  $4,015   $3,802   $2,968   $2,118   $3,208   $3,513   $1,346   $1,366   $1,330   $1,204   $1,638   $1,879 
Ratios of expenses to average net assets: ^   1.59%   1.60%   1.79%   1.53%   1.63%   1.63%   2.09%   2.10%   2.29%   2.03%   2.13%   2.13%
Ratios of net investment income (loss) to average net assets: ^   (0.51)%   (0.59)%   (0.63)%   0.10%   0.29%   0.41%   (1.01)%   (1.10)%   (1.11)%   (0.33)%   (0.24)%   (0.09)%
Portfolio turnover rate (1)   46%   45%   56%   64%   52%   60%   46%   45%   56%   64%   52%   60%
                                                             
*The net investment income (loss) per share data was determined using the average shares outstanding throughout the period/year.

 

(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 and does not reflect the impact of any sales charge.

 

#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. Adjustments may apply to some but not all years and classes.

 

^Annualized for periods less than one year.

 

(1)Not annualized for periods less than one year.

 

See accompanying notes to financial statements.

82

 

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

 

   Class N                                                 
   Six Months Ended   Year Ended October 31,                                                 
   April 30, 2019   2018   2017   2016   2015   2014                                                 
   (Unaudited)                                                                     
Net asset value, beginning of period/year  $14.18   $14.16   $12.22   $16.32   $16.21   $14.55                                                 
Income from investment operations:                                                                              
Net investment income *   0.10    0.14    0.15    0.22    0.17    0.13                                                 
Net realized and unrealized gain (loss)   0.95    0.15    2.01    (0.04)   0.06    1.70                                                 
Total income from investment operations   1.05    0.29    2.16    0.18    0.23    1.83                                                 
Less distributions:                                                                              
Distributions from net investment income   (0.15)   (0.13)   (0.22)   (0.18)   (0.12)   (0.17)                                                
Distributions from net realized gains   (0.54)   (0.14)   —    (4.10)   —    —                                                 
Total distributions   (0.69)   (0.27)   (0.22)   (4.28)   (0.12)   (0.17)                                                
Net asset value, end of period/year  $14.54   $14.18   $14.16   $12.22   $16.32   $16.21                                                 
Total return + #   8.25%   1.98%   17.84%   1.73%   1.41%   12.64%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period/year (in 000s)  $60,329   $55,428   $55,155   $45,026   $44,620   $41,917                                                 
Ratios of expenses to average net assets:                                                                              
After fee Waivers   1.26%                                                                         
Before fees paid indirectly ^   1.06%   1.30%   1.13%   0.93%   1.12%   1.26%                                                
After fees paid indirectly ^   1.05%   1.30%   1.12%   0.93%   1.12%   1.26%                                                
Ratios of net investment income to average net assets:                                                                              
After fee Waivers   0.82%                                                                         
Before fees paid indirectly ^   1.45%   0.94%   1.12%   1.81%   1.03%   0.82%                                                
After fees paid indirectly ^   1.46%   0.94%   1.13%   1.81%   1.03%   0.82%                                                
Portfolio turnover rate (1)   23%   45%   61%   59%   101%   22%                                                
                                                                               
   Class A       Class C 
   Six Months Ended   Year Ended October 31,   Six Months Ended   Year Ended October 31, 
   April 30, 2019   2018   2017   2016   2015   2014   April 30, 2019   2018   2017   2016   2015   2014 
   (Unaudited)                       (Unaudited)                     
Net asset value, beginning of period/year  $14.11   $14.10   $12.16   $16.26   $16.16   $14.52   $13.45   $13.47   $11.65   $15.74   $15.68   $14.09 
Income from investment operations:                                                            
Net investment income (loss)*   0.08    0.10    0.11    0.19    0.13    0.09    0.03    (0.01)   0.02    0.10    0.00(a)   (0.03)
Net realized and unrealized gain (loss)   0.95    0.15    2.02    (0.05)   0.06    1.69    0.91    0.15    1.92    (0.06)   0.06    1.65 
Total income from investment operations   1.03    0.25    2.13    0.14    0.19    1.78    0.94    0.14    1.94    0.04    0.06    1.62 
Less distributions:                                                            
Distributions from net investment income   (0.12)   (0.10)   (0.19)   (0.14)   (0.09)   (0.14)   (0.01)   (0.02)   (0.12)   (0.03)   —    (0.03)
Distributions from net realized gains   (0.54)   (0.14)   0.00    (4.10)   —    —    (0.54)   (0.14)   —    (4.10)   —    — 
Total distributions   (0.66)   (0.24)   (0.19)   (4.24)   (0.09)   (0.14)   (0.55)   (0.16)   (0.12)   (4.13)   —    (0.03)
Net asset value, end of period/year  $14.48   $14.11   $14.10   $12.16   $16.26   $16.16   $13.84   $13.45   $13.47   $11.65   $15.74   $15.68 
Total return + #   8.08%   1.71%   17.66%   1.43%   1.15%   12.31%   7.68%   1.00%   16.72%   0.66%   0.38%   11.49%
Ratios/Supplemental Data:                                                            
Net assets, end of period/year (in 000s)  $15,604   $12,525   $10,174   $6,544   $6,577   $7,685   $5,079   $4,167   $4,640   $4,850   $5,805   $5,639 
Ratios of expenses to average net assets:                                                            
After fee Waivers   1.51%   2.26%                                                  
Before fees paid indirectly ^   1.31%   1.55%   1.38%   1.18%   1.37%   1.51%   2.06%   2.30%   2.13%   1.93%   2.12%   2.26%
After fees paid indirectly ^   1.30%   1.55%   1.37%   1.18%   1.37%   1.51%   2.05%   2.30%   2.12%   1.93%   2.12%   2.26%
Ratios of net investment income (loss) to average net assets:                                                            
After fee Waivers   0.57%   (0.18)%                                                  
Before fees paid indirectly ^   1.20%   0.70%   0.84%   1.57%   0.78%   0.57%   0.44%   (0.07)%   0.14%   0.83%   0.03%   (0.18)%
After fees paid indirectly ^   1.21%   0.70%   0.85%   1.57%   0.78%   0.57%   0.45%   (0.07)%   0.15%   0.83%   0.03%   (0.18)%
Portfolio turnover rate (1)   23%   45%   61%   59%   101%   22%   23%   45%   61%   59%   101%   22%
                                                             
*The net investment income (loss) per share data was determined using the average shares outstanding throughout each period/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 and does not reflect the impact of any sales charge.

 

(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. Adjustments may apply to some but not all years and classes.

 

^Annualized for periods less than one year.

 

(1)Not annualized for periods less than one year.

 

See accompanying notes to financial statements.

83

 

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

 

   Class N                                                 
   Six Months Ended   Year Ended October 31,                                                 
   April 30, 2019   2018   2017   2016   2015   2014                                                 
   (Unaudited)                                                                     
Net asset value, beginning of period/year  $22.50   $19.37   $15.92   $16.97   $15.01   $14.02                                                 
Income (loss) from investment operations:                                                                              
Net investment loss*   (0.12)   (0.22)   (0.14)   (0.10)   (0.16)   (0.11)                                                
Net realized and unrealized gain (loss)   3.93    3.53    3.59    (0.86)   2.12    1.29                                                 
Total income (loss) from investment operations   3.81    3.31    3.45    (0.96)   1.96    1.18                                                 
Less distributions:                                                                              
Distributions from net realized gains   (1.70)   (0.18)   —    (0.09)   —    (0.19)                                                
Total distributions   (1.70)   (0.18)   —    (0.09)   —    (0.19)                                                
Net asset value, end of period/year  $24.61   $22.50   $19.37   $15.92   $16.97   $15.01                                                 
Total return +#   18.98%   17.24%   21.67%   (5.66)%   13.06%   8.48%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period/year (in 000s)  $74,675   $59,424   $56,472   $51,242   $51,312   $37,106                                                 
Ratios of expenses to average net assets:                                                                              
Before fee waivers and fees paid indirectly ^   1.37%   1.30%   1.16%   1.20%   1.34%   1.16%                                                
After fee waivers and fees paid indirectly ^   1.36%   1.29%   1.14%   1.20%   1.34%   1.16%                                                
Ratios of net investment loss to average net assets:                                                                              
Before fee waivers and fees paid indirectly ^   (1.06)%   (1.01)%   (0.79)%   (0.64)%   (1.00)%   (0.76)%                                                
After fee waivers and fees paid indirectly ^   (1.06)%   (1.01)%   (0.77)%   (0.64)%   (1.00)%   (0.76)%                                                
Portfolio turnover rate (1)   18%   25%   38%   29%   45%   29%                                                
                                                                               
   Class A       Class C 
   Six Months Ended   Year Ended October 31,   Six Months Ended   Year Ended October 31, 
   April 30, 2019   2018   2017   2016   2015   2014   April 30, 2019   2018   2017   2016   2015   2014 
   (Unaudited)                       (Unaudited)                     
Net asset value, beginning of period/year  $22.11   $19.08   $15.73   $16.80   $14.91   $13.96   $21.00   $18.27   $15.17   $16.33   $14.59   $13.76 
Income (loss) from investment operations:                                                            
Net investment loss*   (0.14)   (0.28)   (0.18)   (0.14)   (0.19)   (0.21)   (0.21)   (0.42)   (0.30)   (0.25)   (0.31)   (0.26)
Net realized and unrealized gain (loss)   3.84    3.49    3.53    (0.84)   2.08    1.35    3.62    3.33    3.40    (0.82)   2.05    1.28 
Total income (loss) from investment operations   3.70    3.21    3.35    (0.98)   1.89    1.14    3.41    2.91    3.10    (1.07)   1.74    1.02 
Less distributions:                                                            
Distributions from net realized gains   (1.70)   (0.18)   —    (0.09)   —    (0.19)   (1.70)   (0.18)   —    (0.09)   —    (0.19)
Total distributions   (1.70)   (0.18)   —    (0.09)   —    (0.19)   (1.70)   (0.18)   —    (0.09)   —    (0.19)
Net asset value, end of period/year  $24.11   $22.11   $19.08   $15.73   $16.80   $14.91   $22.71   $21.00   $18.27   $15.17   $16.33   $14.59 
Total return +#   18.81%   16.98%   21.30%   (5.84)%   12.68%   8.23%   18.39%   16.08%   20.44%   (6.56)%   11.93%   7.47%
Ratios/Supplemental Data:                                                            
Net assets, end of period/year (in 000s)  $24,114   $15,031   $12,944   $9,620   $8,762   $19,949   $8,310   $6,844   $6,758   $4,988   $5,222   $4,361 
Ratios of expenses to average net assets:                                                            
Before fee waivers and fees paid indirectly ^   1.61%   1.55%   1.41%   1.45%   1.59%   1.41%   2.37%   2.30%   2.16%   2.20%   2.34%   2.16%
After fee waivers and fees paid indirectly ^   1.61%   1.54%   1.39%   1.45%   1.59%   1.41%   2.36%   2.29%   2.14%   2.20%   2.34%   2.16%
Ratios of net investment loss to average net assets:                                                            
Before fee waivers and fees paid indirectly ^   (1.31)%   (1.26)%   (1.05)%   (0.91)%   (1.20)%   (1.48)%   (2.05)%   (2.01)%   (1.80)%   (1.67)%   (2.00)%   (1.87)%
After fee waivers and fees paid indirectly ^   (1.31)%   (1.26)%   (1.03)%   (0.91)%   (1.20)%   (1.48)%   (2.05)%   (2.01)%   (1.78)%   (1.67)%   (2.00)%   (1.87)%
Portfolio turnover rate (1)   18%   25%   38%   29%   45%   29%   18%   25%   38%   29%   45%   29%
                                                             
*The net investment income per share data was determined using the average shares outstanding throughout each period/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 and does not reflect the impact of any sales charge.

 

^Annualized for periods less than one year.

 

#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. Adjustments may apply to some but not all years and classes.

 

(1)Not annualized for periods less than one year.

 

See accompanying notes to financial statements.

84

 

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

 

   Class N                                                 
   Six Months Ended   Year Ended October 31,                                                 
   April 30, 2019   2018   2017   2016   2015   2014                                                 
   (Unaudited)                                                                     
Net asset value, beginning of period/year  $15.61   $17.54   $14.24   $14.24   $15.21   $15.22                                                 
Income (loss) from investment operations:                                                                              
Net investment income *   0.14    0.21    0.21    0.16    0.00(a)   0.15                                                 
Net realized and unrealized gain (loss)   0.54    (1.39)   3.09    (0.15)   (0.61)   0.10                                                 
Total income (loss) from investment operations   0.68    (1.18)   3.30    0.01    (0.61)   0.25                                                 
Less distributions:                                                                              
Distributions from net investment income   (0.18)   (0.26)   —    (0.01)   (0.30)   (0.26)                                                
Distributions from net realized gains   (0.88)   (0.49)   —    —    (0.06)   —                                                 
Total distributions   (1.06)   (0.75)   —    (0.01)   (0.36)   (0.26)                                                
Net asset value, end of period/year  $15.23   $15.61   $17.54   $14.24   $14.24   $15.21                                                 
Total return + #   5.15%   (7.08)%   23.17%   0.06%   (4.10)%   1.66%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period/year (in 000s)  $96,913   $89,401   $90,257   $78,640   $76,992   $57,359                                                 
Ratios of expenses to average net assets:                                                                              
Before fees paid indirectly ^   1.52%   1.67%   1.56%   1.63%   2.04%   2.04%                                                
After fees paid indirectly ^   1.52%   1.67%   1.55%   1.63%   2.04%   2.04%                                                
Ratios of net investment income to average net assets:                                                                              
Before fees paid indirectly ^   1.86%   1.24%   1.34%   1.17%   0.03%   0.99%                                                
After fees paid indirectly ^   1.86%   1.24%   1.35%   1.17%   0.03%   0.99%                                                
Portfolio turnover rate (1)   55%   113%   119%   143%   125%   117%                                                
                                                                               
   Class A       Class C 
   Six Months Ended   Year Ended October 31,   Six Months Ended   Year Ended October 31, 
   April 30, 2019   2018   2017   2016   2015   2014   April 30, 2019   2018   2017   2016   2015   2014 
   (Unaudited)                       (Unaudited)                     
Net asset value, beginning of period/year  $15.49   $17.42   $14.17   $14.21   $15.16   $15.19   $14.68   $16.59   $13.60   $13.73   $14.68   $14.70 
Income (loss) from investment operations:                                                            
Net investment income (loss)*   0.12    0.17    0.17    0.13    (0.03)   0.15    0.06    0.04    0.04    0.03    (0.14)   (0.00) (a)
Net realized and unrealized gain (loss)   0.54    (1.38)   3.08    (0.17)   (0.60)   0.06    0.52    (1.31)   2.95    (0.16)   (0.59)   0.10 
Total income (loss) from investment operations   0.66    (1.21)   3.25    (0.04)   (0.63)   0.21    0.58    (1.27)   2.99    (0.13)   (0.73)   0.10 
Less distributions:                                                            
Distributions from net investment income   (0.14)   (0.23)   —    —    (0.26)   (0.24)   (0.02)   (0.15)   —    —    (0.16)   (0.12)
Distributions from net realized gains   (0.88)   (0.49)   —    —    (0.06)   —    (0.88)   (0.49)   —    —    (0.06)   — 
Total distributions   (1.02)   (0.72)   —    —    (0.32)   (0.24)   (0.90)   (0.64)   —    —    (0.22)   (0.12)
Net asset value, end of period/year  $15.13   $15.49   $17.42   $14.17   $14.21   $15.16   $14.36   $14.68   $16.59   $13.60   $13.73   $14.68 
Total return + #   5.04%   (7.30)%   22.94%   (0.28)%   (4.26)%   1.35%   4.65%   (8.03)%   21.99%   (0.95)%   (5.06)%   0.67%
Ratios/Supplemental Data:                                                            
Net assets, end of period/year (in 000s)  $20,605   $18,250   $15,524   $10,305   $9,032   $7,871   $6,013   $5,764   $6,570   $6,483   $7,268   $6,551 
                                                             
Ratios of expenses to average net assets:                                                            
Before fees paid indirectly ^   1.77%   1.92%   1.81%   1.88%   2.29%   2.29%   2.52%   2.67%   2.56%   2.63%   3.04%   3.04%
After fees paid indirectly ^   1.77%   1.92%   1.80%   1.88%   2.29%   2.29%   2.52%   2.67%   2.55%   2.63%   3.04%   3.04%
Ratios of net investment income (loss) to average net assets:                                                            
Before fees paid indirectly ^   1.63%   1.01%   1.07%   0.93%   (0.19)%   0.97%   0.84%   0.22%   0.30%   0.20%   (0.94)%   (0.02)%
After fees paid indirectly ^   1.63%   1.01%   1.08%   0.93%   (0.19)%   0.97%   0.84%   0.22%   0.31%   0.20%   (0.94)%   (0.02)%
Portfolio turnover rate (1)   55%   113%   119%   143%   125%   117%   55%   113%   119%   143%   125%   117%
                                                             
*The net investment income (loss) per share data was determined using the average shares outstanding throughout each period/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 and does not reflect the impact of any sales charge.

 

#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. Adjustments may apply to some but not all years and classes.

 

(a)Represents less than $0.01 per share.

 

^Annualized for periods less than one year.

 

(1)Not annualized for periods less than one year.

 

See accompanying notes to financial statements.

85

 

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

 

   Class N                                                 
   Six Months Ended   Year Ended October 31,                                                 
   April 30, 2019   2018   2017   2016   2015   2014                                                 
   (Unaudited)                                                                     
Net asset value, beginning of period/year  $15.35   $15.66   $18.31   $19.23   $19.27   $16.53                                                 
Income (loss) from investment operations:                                                                              
Net investment income *   0.24    0.28    0.13    0.32    0.15    0.13                                                 
Net realized and unrealized gain (loss)   1.66    (0.35)   0.40    0.73    0.85    3.20                                                 
Total income (loss) from investment operations   1.90    (0.07)   0.53    1.05    1.00    3.33                                                 
Less distributions:                                                                              
Distributions from net investment income   (0.29)   (0.12)   (0.36)   (0.21)   (0.11)   (0.20)                                                
Distributions from net realized gains   —    (0.12)   (2.82)   (1.76)   (0.93)   (0.39)                                                
Total distributions   (0.29)   (0.24)   (3.18)   (1.97)   (1.04)   (0.59)                                                
Net asset value, end of period/year  $16.96   $15.35   $15.66   $18.31   $19.23   $19.27                                                 
Total return +#   12.73%   (0.48)%   3.63%   5.77%   5.13%   21.09%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period/year (in 000s)  $43,678   $43,163   $34,256   $25,479   $33,379   $37,143                                                 
Ratios of expenses to average net assets: ^   1.08%   1.10%   1.17%   1.21%   1.64%   1.59%                                                
Ratios of net investment income to average net assets: ^   3.02%   1.82%   0.79%   1.74%   0.80%   0.77%                                                
Portfolio turnover rate (1)   40%   74%   101%   110%   110%   97%                                                
                                                                               
   Class A       Class C 
   Six Months Ended   Year Ended October 31,   Six Months Ended   Year Ended October 31, 
   April 30, 2019   2018   2017   2016   2015   2014   April 30, 2019   2018   2017   2016   2015   2014 
   (Unaudited)                       (Unaudited)                     
Net asset value, beginning of period/year  $15.46   $15.78   $18.35   $19.26   $19.33   $16.55   $14.54   $14.88   $17.55   $18.50   $18.65   $16.02 
Income (loss) from investment operations:                                                            
Net investment income (loss) *   0.22    0.24    0.10    0.27    0.10    0.08    0.15    0.12    (0.02)   0.13    (0.04)   (0.04)
Net realized and unrealized gain (loss)   1.68    (0.35)   0.41    0.74    0.85    3.22    1.60    (0.34)   0.38    0.70    0.82    3.11 
Total income (loss) from investment operations   1.90    (0.11)   0.51    1.01    0.95    3.30    1.75    (0.22)   0.36    0.83    0.78    3.07 
Less distributions:                                                            
Distributions from net investment income   (0.26)   (0.09)   (0.26)   (0.16)   (0.09)   (0.13)   (0.15)   —    (0.21)   (0.02)   0.00    (0.05)
Distributions from net realized gains   —    (0.12)   (2.82)   (1.76)   (0.93)   (0.39)   —    (0.12)   (2.82)   (1.76)   (0.93)   (0.39)
Total distributions   (0.26)   (0.21)   (3.08)   (1.92)   (1.02)   (0.52)   (0.15)   (0.12)   (3.03)   (1.78)   (0.93)   (0.44)
Net asset value, end of period/year  $17.10   $15.46   $15.78   $18.35   $19.26   $19.33   $16.14   $14.54   $14.88   $17.55   $18.50   $18.65 
Total return +#   12.56%   (0.74)%   3.44%   5.54%   4.85%   20.73%   12.20%   (1.50)%   2.61%   4.73%   4.08%   19.88%
Ratios/Supplemental Data:                                                            
Net assets, end of period/year (in 000s)  $9,149   $8,444   $6,002   $9,376   $10,386   $3,913   $2,577   $2,308   $2,448   $3,211   $3,847   $4,166 
Ratios of expenses to average net assets: ^   1.33%   1.35%   1.42%   1.45%   1.89%   1.84%   2.08%   2.10%   2.17%   2.21%   2.64%   2.59%
Ratios of net investment income (loss) to average net assets: ^   2.78%   1.57%   0.60%   1.45%   0.53%   0.48%   2.02%   0.85%   (0.11)%   0.70%   (0.21)%   (0.24)%
Portfolio turnover rate (1)   40%   74%   101%   110%   110%   97%   40%   74%   101%   110%   110%   97%
                                                             
*The net investment income per share data was determined using the average shares outstanding throughout each period/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 and does not reflect the impact of any sales charge.

 

^Annualized for periods less than one year.

 

#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. Adjustments may apply to some but not all years and classes.

 

(1)Not annualized for periods less than one year.

 

See accompanying notes to financial statements.

86

 

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

 

   Class N                                                 
   Six Months Ended   Year Ended October 31,                                                 
   April 30, 2019   2018   2017   2016   2015   2014                                                 
   (Unaudited)                                                                     
Net asset value, beginning of period/year  $15.72   $17.47   $14.41   $14.27   $15.45   $14.65                                                 
Income (loss) from investment operations:                                                                              
Net investment income (loss) *   0.03    0.00(a)   0.07    0.09    (0.01)   0.04                                                 
Net realized and unrealized gain (loss)   0.47    0.10(b)   3.57    0.54    (0.18)   1.45                                                 
Total income (loss) from investment operations   0.50    0.10    3.64    0.63    (0.19)   1.49                                                 
Less distributions:                                                                              
Distributions from net investment income   —    (0.04)   (0.10)   (0.01)   (0.04)   (0.02)                                                
Distributions from net realized gains   (1.70)   (1.81)   (0.48)   (0.48)   (0.95)   (0.67)                                                
Total distributions   (1.70)   (1.85)   (0.58)   (0.49)   (0.99)   (0.69)                                                
Net asset value, end of period/year  $14.52   $15.72   $17.47   $14.41   $14.27   $15.45                                                 
Total return + #   5.06%   0.37%   25.55%   4.58%   (1.59)%   10.30%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period/year (in 000s)  $40,170   $37,248   $22,710   $22,254   $22,068   $23,783                                                 
Ratios of expenses to average net assets: ^   1.68%   1.54%   1.32%   1.48%   1.79%   1.45%                                                
Ratios of net investment income (loss) to average net assets: (c) ! ^   0.36%   0.01%   0.45%   0.64%   (0.10)%   0.27%                                                
Portfolio turnover rate (1)   48%   101%   100%   129%   122%   106%                                                
                                                                               
   Class A       Class C 
   Six Months Ended   Year Ended October 31,   Six Months Ended   Year Ended October 31, 
   April 30, 2019   2018   2017   2016   2015   2014   April 30, 2019   2018   2017   2016   2015   2014 
   (Unaudited)                       (Unaudited)                     
Net asset value, beginning of period/year  $15.55   $17.31   $14.29   $14.18   $15.36   $14.59   $13.81   $15.67   $13.02   $13.06   $14.32   $13.74 
Income (loss) from investment operations:                                                            
Net investment income (loss)*   0.01    (0.04)   0.03    0.05    (0.05)   (0.00) (a)   (0.04)   (0.15)   (0.08)   (0.05)   (0.15)   (0.10)
Net realized and unrealized gain (loss)   0.46    0.09(b)   3.54    0.54    (0.18)   1.44    0.37    0.10(b)   3.21    0.49    (0.16)   1.35 
Total income (loss) from investment operations   0.47    0.05    3.57    0.59    (0.23)   1.44    0.33    (0.05)   3.13    0.44    (0.31)   1.25 
Less distributions:                                                            
Distributions from net investment income   —    (0.00) (a)   (0.07)   —    —    —    —    —    —    —    —    — 
Distributions from net realized gains   (1.70)   (1.81)   (0.48)   (0.48)   (0.95)   (0.67)   (1.70)   (1.81)   (0.48)   (0.48)   (0.95)   (0.67)
Total distributions   (1.70)   (1.81)   (0.55)   (0.48)   (0.95)   (0.67)   (1.70)   (1.81)   (0.48)   (0.48)   (0.95)   (0.67)
Net asset value, end of period/year  $14.32   $15.55   $17.31   $14.29   $14.18   $15.36   $12.44   $13.81   $15.67   $13.02   $13.06   $14.32 
Total return + #   4.90%   0.08%   25.26%   4.33%   (1.83)%   10.02%   4.48%   (0.63)%   24.29%   3.52%   (2.56)%   9.22%
Ratios/Supplemental Data:                                                            
Net assets, end of period/year (in 000s)  $8,791   $7,869   $4,569   $3,802   $3,801   $3,268   $2,705   $2,139   $2,611   $2,241   $2,383   $2,494 
Ratios of expenses to average net assets: ^   1.93%   1.79%   1.57%   1.73%   2.04%   1.70%   2.68%   2.54%   2.32%   2.48%   2.79%   2.45%
Ratios of net investment income (loss) to average net assets: (c) ! ^   0.11%   (0.26)%   0.19%   0.40%   (0.36)%   (0.06)%   (0.63)%   (1.04)%   (0.57)%   (0.36)%   (1.11)%   (0.70)%
Portfolio turnover rate (1)   48%   101%   100%   129%   122%   106%   48%   101%   100%   129%   122%   106%
                                                             
*The net investment income (loss) per share data was determined using the average shares outstanding throughout each period/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 and does not reflect the impact of any sales charge.

 

(a)Represents less than $0.01 per share.

 

(b)The amount of net realized and unrealized gain (loss) on investment per share for the year ended October 31, 2018 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.

 

(c)Does not Include the expenses of other 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. Adjustments may apply to some but not all years and classes.

 

!Recognition of net investment income (loss) is affected by the timing and declaration of dividends by underlying funds in which the Fund invests.

 

^Annualized for periods less than one year.

 

(1)Not annualized for periods less than one year.

 

See accompanying notes to financial statements.

87

 

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

 

   Class N                                                 
   Six Months Ended   Year Ended October 31,                                                 
   April 30, 2019   2018   2017   2016   2015   2014                                                 
   (Unaudited)                                                                     
Net asset value, beginning of period/year  $20.28   $20.31   $15.34   $17.08   $17.71   $20.62                                                 
Income (loss) from investment operations:                                                                              
Net investment loss*   (0.12)   (0.27)   (0.15)   (0.06)   (0.24)   (0.29)                                                
Net realized and unrealized gain (loss) (a)   0.83    3.20    5.12    (0.24)   1.19    1.11                                                 
Total income (loss) from investment operations   0.71    2.93    4.97    (0.30)   0.95    0.82                                                 
Less distributions:                                                                              
Distributions from net investment income                                                                              
Distributions from net realized gains   (3.80)   (2.96)   —    (1.40)   (1.58)   (3.73)                                                
Tax return of capital   —    —    —    (0.04)   —    —                                                 
Total distributions   (3.80)   (2.96)   —    (1.44)   (1.58)   (3.73)                                                
Net asset value, end of period/year  $17.19   $20.28   $20.31   $15.34   $17.08   $17.71                                                 
Total return + #   8.90%   16.02%   32.40%   (1.88)%   5.36%   3.64%                                                
Ratios/Supplemental Data:                                                                              
Ratios/Supplemental Data: Net assets, end of period/year (in 000s)  $38,962   $33,882   $24,641   $26,010   $23,152   $21,153                                                 
Ratios of expenses to average net assets:                                                                              
Before fees paid indirectly ^   2.04%   1.94%   1.36%   1.23%   1.58%   1.84%                                                
After fees paid indirectly ^   2.03%   1.93%   1.35%   1.23%   1.58%   1.84%                                                
Ratios of net investment loss to average net assets:                                                                              
Before fees paid indirectly ^   (1.49)%   (1.31)%   (0.86)%   (0.38)%   (1.30)%   (1.61)%                                                
After fees paid indirectly ^   (1.48)%   (1.28)%   (0.85)%   (0.38)%   (1.30)%   (1.61)%                                                
Portfolio turnover rate (1)   93%   190%   174%   181%   138%   192%                                                
                                                                               
   Class A       Class C 
   Six Months Ended   Year Ended October 31,   Six Months Ended   Year Ended October 31, 
   April 30, 2019   2018   2017   2016   2015   2014   April 30, 2019   2018   2017   2016   2015   2014 
   (Unaudited)                       (Unaudited)                     
Net asset value, beginning of period/year  $19.42   $19.62   $14.85   $16.62   $17.31   $20.28   $16.00   $16.77   $12.79   $14.61   $15.51   $18.66 
Income (loss) from investment operations:                                                            
Net investment loss*   (0.13)   (0.31)   (0.19)   (0.10)   (0.27)   (0.34)   (0.15)   (0.37)   (0.28)   (0.18)   (0.36)   (0.42)
Net realized and unrealized gain (loss) (a)   0.74    3.07    4.96    (0.23)   1.16    1.10    0.40    2.56    4.26    (0.20)   1.04    1.00 
Total income (loss) from investment operations   0.61    2.76    4.77    (0.33)   0.89    0.76    0.25    2.19    3.98    (0.38)   0.68    0.58 
Less distributions:                                                            
Distributions from net investment income                                                            
Distributions from net realized gains   (3.80)   (2.96)   —    (1.40)   (1.58)   (3.73)   (3.80)   (2.96)   —    (1.40)   (1.58)   (3.73)
Tax return of capital   —    —    —    (0.04)   —    —    —    —    —    (0.04)   —    — 
Total distributions   (3.80)   (2.96)   —    (1.44)   (1.58)   (3.73)   (3.80)   (2.96)   —    (1.44)   (1.58)   (3.73)
Net asset value, end of period/year  $16.23   $19.42   $19.62   $14.85   $16.62   $17.31   $12.45   $16.00   $16.77   $12.79   $14.61   $15.51 
Total return + #   8.75%   15.69%   32.12%   (2.12)%   5.12%   3.36%   8.36%   14.84%   31.12%   (2.82)%   4.29%   2.56%
Ratios/Supplemental Data:                                                            
Net assets, end of period/year (in 000s)  $11,196   $10,799   $6,925   $5,540   $6,326   $6,443   $2,641   $2,720   $2,644   $2,155   $3,163   $3,165 
Ratios of expenses to average net assets:                                                            
Before fees paid indirectly ^   2.29%   2.19%   1.61%   1.48%   1.83%   2.09%   3.05%   2.94%   2.36%   2.23%   2.58%   2.84%
After fees paid indirectly ^   2.28%   2.18%   1.60%   1.48%   1.83%   2.09%   3.03%   2.93%   2.35%   2.23%   2.58%   2.84%
Ratios of net investment loss to average net assets:                                                            
Before fees paid indirectly ^   (1.73)%   (1.56)%   (1.13)%   (0.69)%   (1.53)%   (1.86)%   (2.48)%   (2.30)%   (1.89)%   (1.45)%   (2.29)%   (2.61)%
After fees paid indirectly ^   (1.72)%   (1.55)%   (1.12)%   (0.69)%   (1.53)%   (1.86)%   (2.47)%   (2.29)%   (1.88)%   (1.45)%   (2.29)%   (2.61)%
Portfolio turnover rate (1)   93%   190%   174%   181%   138%   192%   93%   190%   174%   181%   138%   192%
                                                             
*The net investment income per share data was determined using the average shares outstanding throughout each period/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 and does not reflect the impact of any sales charge.

 

#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. Adjustments may apply to some but not all years and classes.

 

(a)The amount of net realized and unrealized gain (loss) on investment per share for the year ended October 31, 2016 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.

 

^Annualized for periods less than one year.

 

(1)Not annualized for periods less than one year.

 

See accompanying notes to financial statements.

88

 

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

 

   Class N                                                 
   Six Months Ended   Year Ended October 31,                                                 
   April 30, 2019   2018   2017   2016   2015   2014                                                 
   (Unaudited)                                                                     
Net asset value, beginning of period/year  $12.85   $15.94   $12.73   $11.97   $14.75   $14.66                                                 
Income (loss) from investment operations:                                                                              
Net investment income *   0.06    0.27    0.17    0.20    0.08    0.20                                                 
Net realized and unrealized gain (loss) **   1.53    (3.20)   3.28    0.64    (2.67)   (0.11)                                                
Total income (loss) from investment operations   1.59    (2.93)   3.45    0.84    (2.59)   0.09                                                 
Less distributions:                                                                              
Distributions from net investment income   (0.25)   (0.16)   (0.24)   (0.08)   (0.19)   —                                                 
Total distributions   (0.25)   (0.16)   (0.24)   (0.08)   (0.19)   —                                                 
Net asset value, end of period/year  $14.19   $12.85   $15.94   $12.73   $11.97   $14.75                                                 
Total return + #   12.62%   (18.57)%   27.69%   7.13%   (17.73)%   0.61%                                                
Ratios/Supplemental Data:                                                                              
Net assets, end of period/year (in 000s)  $56,697   $53,261   $51,365   $46,481   $42,831   $35,872                                                 
Ratios of expenses to average net assets: ^   1.20%   1.19%   1.75%   1.27%   1.76%   1.29%                                                
Ratios of net investment income to average net assets: ^   0.85%   1.79%   1.18%   1.73%   0.59%   1.39%                                                
Portfolio turnover rate (1)   93%   66%   74%   97%   137%   108%                                                
                                                                               
   Class A       Class C 
   Six Months Ended   Year Ended October 31,   Six Months Ended   Year Ended October 31, 
   April 30, 2019   2018   2017   2016   2015   2014   April 30, 2019   2018   2017   2016   2015   2014 
   (Unaudited)                       (Unaudited)                     
Net asset value, beginning of period/year  $12.56   $15.58   $12.45   $11.71   $14.44   $14.39   $11.85   $14.74   $11.82   $11.14   $13.76   $13.82 
Income (loss) from investment operations:                                                            
Net investment income (loss)*   0.04    0.23    0.14    0.17    0.05    0.16    (0.01)   0.11    0.02    0.08    (0.06)   0.04 
Net realized and unrealized gain (loss) **   1.50    (3.13)   3.20    0.62    (2.62)   (0.11)   1.42    (2.94)   3.04    0.60    (2.49)   (0.10)
Total income (loss) from investment operations   1.54    (2.90)   3.34    0.79    (2.57)   0.05    1.41    (2.83)   3.06    0.68    (2.55)   (0.06)
Less distributions:                                                            
Distributions from net investment income   (0.22)   (0.12)   (0.21)   (0.05)   (0.16)   —    (0.12)   (0.06)   (0.14)   —    (0.07)   — 
Total distributions   (0.22)   (0.12)   (0.21)   (0.05)   (0.16)   —    (0.12)   (0.06)   (0.14)   —    (0.07)   — 
Net asset value, end of period/year  $13.88   $12.56   $15.58   $12.45   $11.71   $14.44   $13.14   $11.85   $14.74   $11.82   $11.14   $13.76 
Total return + #   12.51%   (18.73)%   27.36%   6.84%   (17.94)%   0.35%   12.03%   (19.30)%   26.31%   6.10%   (18.60)%   (0.43)%
Ratios/Supplemental Data:                                                            
Net assets, end of period/year (in 000s)  $12,468   $9,662   $8,242   $6,348   $4,594   $4,036   $3,245   $3,163   $3,467   $3,380   $3,216   $3,593 
Ratios of expenses to average net assets: ^   1.45%   1.44%   2.00%   1.52%   2.01%   1.54%   2.20%   2.19%   2.75%   2.27%   2.76%   2.29%
Ratios of net investment income (loss) to average net assets: ^   0.58%   1.54%   0.98%   1.46%   0.40%   1.14%   (0.16)%   0.77%   0.10%   0.77%   (0.48)%   0.34%
Portfolio turnover rate (1)   93%   66%   74%   97%   137%   108%   93%   66%   74%   97%   137%   108%
                                                             
*The net investment income (loss) per share data was determined using the average shares outstanding throughout each period/year.

 

**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. 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 and does not reflect the impact of any sales charge.

 

#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. Adjustments may apply to some but not all years and classes.

 

^Annualized for periods less than one year.

 

(1)Not annualized for periods less than one year.

 

See accompanying notes to financial statements.

89

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019

 

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 fourteen funds: Dunham Floating Rate Bond Fund; Dunham Long/Short Credit Fund; Dunham Corporate/Government Bond Fund; Dunham Monthly Distribution Fund; Dunham Dynamic Macro Fund; Dunham High-Yield Bond Fund ; Dunham International Opportunity Bond Fund; Dunham Large Cap Value Fund; Dunham Focused Large Cap Growth Fund; Dunham International Stock Fund; Dunham Real Estate Stock Fund; Dunham Small Cap Value Fund; Dunham Small Cap Growth Fund; and Dunham Emerging Markets Stock Fund. With the exception of Dunham Focused Large Cap Growth Fund, Dunham International Opportunity Bond Fund, and Dunham Real Estate Stock Fund, the remaining Funds are diversified funds within the meaning of the 1940 Act.

 

Fund Primary Objective
Dunham Floating Rate Bond Fund (“Floating Rate Bond”) High level of current income
Dunham Long/Short Credit Fund (“Long/Short Credit”) Maximize total return under varying market conditions through both current income and capital appreciation
Dunham Corporate/Government Bond Fund (“Corporate/Government Bond”) Current income and capital appreciation
Dunham Monthly Distribution Fund (“Monthly Distribution”) Positive returns in rising and falling market environments
Dunham Dynamic Macro Fund (“Dynamic Macro”) Maximize total return from capital appreciation and dividends
Dunham High-Yield Bond Fund (“High-Yield Bond”) High level of current income
Dunham International Opportunity Bond Fund (“International Opportunity Bond”) High level of current income
Dunham Large Cap Value Fund (“Large Cap Value”) Maximize total return from capital appreciation and dividends
Dunham Focused Large Cap Growth Fund (“Focused Large Cap Growth”) Maximize capital appreciation
Dunham International Stock Fund (“International Stock”) Maximize total return from capital appreciation and dividends
Dunham Real Estate Stock Fund (“Real Estate Stock”) Maximize total return from capital appreciation and dividends
Dunham Small Cap Value Fund (“Small Cap Value”) Maximize total return from capital appreciation and income
Dunham Small Cap Growth Fund (“Small Cap Growth”) Maximize capital appreciation
Dunham Emerging Markets Stock Fund (“Emerging Markets Stock”) 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, 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, 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. 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 decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies” including FASB Accounting Standard Update ASU 2013-08.

90

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)

 

The following is a summary of significant accounting policies followed by the Funds 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.

 

Futures and future options are valued daily 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.

 

Swap transactions are valued through an independent pricing service or at fair value based on daily price reporting from the swap counterparty issuing the swap. Total return swaps on securities listed on an exchange shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices.

 

Trading in securities on Far East 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 East 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 the 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, management 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. Both International Stock and Emerging Markets Stock utilize 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 investment companies.

91

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)

 

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

 

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, 2019 for the Funds’ assets and liabilities measured at fair value:

 

Floating Rate Bond                
                 
Assets  Level 1   Level 2   Level 3   Total 
Bank Loans *  $—   $172,222,293   $—   $172,222,293 
Bonds & Notes *   —    7,354,373    —    7,354,373 
Rights   —    8,142    —    8,142 
U.S. Government   —    1,869,290    —    1,869,290 
Short-Term Investment   9,483,324    —    —    9,483,324 
Total  $9,483,324   $181,454,098   $—   $190,937,422 
                     
Long/Short Credit                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stock *  $19,600   $—   $—   $19,600 
Bonds & Notes *   —    21,095,855    —    21,095,855 
Bank Loans   —    2,045,183    —    2,045,183 
U.S. Government   —    37,680,760    —    37,680,760 
Short-Term Investment   9,422,912    —    —    9,422,912 
Total Assets  $9,442,512   $60,821,798   $—   $70,264,310 
Assets - Derivatives                    
Swap Contracts  $—   $15,623   $—   $15,623 
Total Asset Derivatives  $—   $15,623   $—   $15,623 
Liabilities - Derivatives                    
Futures  $163,164   $—   $—   $163,164 
Swap Contracts   —    115,665    —    115,665 
Total Liability Derivatives  $163,164   $115,665   $—   $278,829 
                     
Corporate/Government Bond                
                 
Assets  Level 1   Level 2   Level 3   Total 
Corporate Bonds & Notes *  $—   $32,717,297   $—   $32,717,297 
Foreign Government Bonds   —    1,316,788    —    1,316,788 
Municipal Bonds   —    2,712,794    —    2,712,794 
U.S. Government & Agency   —    9,277,420    —    9,277,420 
Bank Loans *   —    2,848,369    —    2,848,369 
Short-Term Investment   1,843,187    —    —    1,843,187 
Total  $1,843,187   $48,872,668   $—   $50,715,855 

92

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)

 

Monthly Distribution                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $206,359,697   $206,645   $—   $206,566,342 
Closed-End Fund   1,968,659    —    —    1,968,659 
Exchange Traded Funds   6,819,610    —    —    6,819,610 
Rights   —    4,380    —    4,380 
Warrants   —    6,333    —    6,333 
Options Purchased   625,043    —    —    625,043 
Short-Term Investment   116,335,567    —    —    116,335,567 
Total Assets  $332,108,576   $217,358   $—   $332,325,934 
Liabilities-Derivatives                    
Written Options  $181,936   $212,043   $—   $393,979 
Total Liability Derivatives  $181,936   $212,043   $—   $393,979 
Liabilities                    
Liabilities-Securities Sold Short  $114,500,071   $—   $—   $114,500,071 
Total Liabilities  $114,500,071   $—   $—   $114,500,071 
                     
Dynamic Macro                
                 
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds *  $15,805,973   $—   $—   $15,805,973 
Options Purchased   1,562,512    1,404    —    1,563,916 
Short-Term Investments   2,506,834    20,305,501    —    22,812,335 
Total Assets  $19,875,319   $20,306,905   $—   $40,182,224 
Assets - Derivatives                    
Futures  $308,953   $—   $—   $308,953 
Foreign Currency Exchange Contracts   —    7    —    7 
Total Asset Derivatives  $308,953   $7   $—   $308,960 
Liabilities - Derivatives                    
Futures  $45,722   $—   $—   $45,722 
Written Options   40,838    1,404    —    42,242 
Total Liability Derivatives  $86,560   $1,404   $—   $87,964 
                     
High-Yield Bond                
                 
Assets  Level 1   Level 2   Level 3   Total 
Bonds & Notes *  $—   $102,578,525   $—   $102,578,525 
Exchange Traded Funds   1,056,234    —    —    1,056,234 
Short-Term Investment   3,495,668    —    —    3,495,668 
Collateral for Securities Loaned   2,360,160    —    —    2,360,160 
Total  $6,912,062   $102,578,525   $—   $109,490,587 
                     
International Opportunity Bond                
                 
Assets  Level 1   Level 2   Level 3   Total 
Corporate Bonds & Notes *  $—   $13,714,953   $—   $13,714,953 
Foreign Government Bonds *   —    22,540,175    —    22,540,175 
Whole Loan Collateral   —    389,845    —    389,845 
Short-Term Investment   557,191    —    —    557,191 
Total Assets  $557,191   $36,644,973   $—   $37,202,164 
Assets - Derivatives                    
Futures Contracts  $2,908   $—   $—   $2,908 
Foreign Currency Exchange Contracts   —    104,484    —    104,484 
Total Asset Derivatives  $2,908   $104,484   $—   $107,392 
Liabilities - Derivatives                    
Futures Contracts  $657   $—   $—   $657 
Foreign Currency Exchange Contracts   —    182,366    —    182,366 
Total Liability Derivatives  $657   $182,366   $—   $183,023 

93

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)

 

Large Cap Value                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $78,838,906   $—   $—   $78,838,906 
Short-Term Investment   1,875,265    —    —    1,875,265 
Total  $80,714,171   $—   $—   $80,714,171 
                     
Focused Large Cap Growth                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $105,379,939   $—   $—   $105,379,939 
Short-Term Investment   2,010,454    —    —    2,010,454 
Total  $107,390,393   $—   $—   $107,390,393 
                     
International Stock                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $26,825,217   $93,889,896   $—   $120,715,113 
Exchange Traded Fund   737,565    —    —    737,565 
Warrant   3,760    —    —    3,760 
Preferred Stocks *   575,312    —    —    575,312 
Short-Term Investment   447,624    —    —    447,624 
Collateral for Securities Loaned   4,874,737    —    —    4,874,737 
Total  $33,464,215   $93,889,896   $—   $127,354,111 
                     
Real Estate Stock                
                 
Assets  Level 1   Level 2   Level 3   Total 
REITs *  $54,782,161   $—   $—   $54,782,161 
Short-Term Investment   565,428    —    —    565,428 
Total  $55,347,589   $—   $—   $55,347,589 
                     
Small Cap Value                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $51,302,118   $—   $—   $51,302,118 
Short-Term Investment   366,407    —    —    366,407 
Total  $51,668,525   $—   $—   $51,668,525 
                     
Small Cap Growth                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $50,303,172   $—   $—   $50,303,172 
Short-Term Investment   1,812,514    —    —    1,812,514 
Collateral for Securities Loaned   7,251,772    —    —    7,251,772 
Total  $59,367,458   $—   $—   $59,367,458 
                     
Emerging Markets Stock                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $19,741,987   $49,864,675   $—   $69,606,662 
Closed End Fund   —    560,325    —    560,325 
Warrant   —    —    —    — 
Short-Term Investment   302,569    —    —    302,569 
Collateral for Securities Loaned   6,891,678    —    —    6,891,678 
Total  $26,936,234   $50,425,000   $—   $77,361,234 

 

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

 

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

94

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)

 

b. Foreign Currency Translations – The accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency, and income receipts and expense payments, are translated into U.S. dollars using the prevailing exchange rates 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 realize a capital gain or loss (long-term or short-term, depending on the holding period of the 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 – Long/Short Credit and Monthly Distribution are subject to stock market risk and fixed income risk in the normal course of pursuing its investment objectives. The Funds may enter into various swap transactions for investment purposes to manage equity risk and credit risk. These are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined 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 Statements 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 Statements of Assets and Liabilities and may be referred to as upfront payments. The Funds amortize 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 Statements 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 Statements of Operations. The Funds segregate 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 Funds’ 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.

95

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)
 

f. Futures Contracts – Long/Short Credit, Dynamic Macro, and International Opportunity Bond are subject to equity risk, 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, interest rates, and foreign exchange 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 Statements 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, 2019 as disclosed in the Schedules of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the year then ended within the Statements 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, 2019:

 

Location on the Statements of Assets and Liabilities
Derivatives Investment Type  Asset Derivatives  Liability Derivatives
Equity/Currency/Commodity Interest rate contracts  Investments in securities  Option contracts written
   Unrealized appreciation on futures  Unrealized depreciation on futures
   Unrealized appreciation on swap contracts  Unrealized depreciation on forward foreign currency exchange contracts
   Unrealized appreciation on forward foreign currency exchange contracts   
       

The following table sets forth the fair value of each Fund’s derivative contracts by primary risk exposure as of April 30, 2019:

 

Asset Derivatives Investment Value
                     
   Equity   Currency   Commodity   Interest Rate   Total value at 
   Contracts   Contracts   Contracts   Contracts   April 30, 2019 
Long/Short Credit                         
Swap Contracts  $15,623   $—   $—   $—   $15,623 
Monthly Distribution                         
Purchased Options  $625,043   $—   $—   $—   $625,043 
Dynamic Macro                         
Forward Foreign Currency Contracts  $—   $7   $—   $—   $7 
Futures   299,361    —    —    9,592    308,953 
Purchased Options   32,666    —    —    1,531,250    1,563,916 
International Opportunity Bond                         
Forward Foreign Currency Contracts  $—   $104,484   $—   $—   $104,484 
Futures   —    —    —    2,908    2,908 

96

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)

 

Liability Derivatives Investment Value
                     
   Equity   Currency   Commodity   Interest Rate   Total value at 
   Contracts   Contracts   Contracts   Contracts   April 30, 2019 
Long/Short Credit                         
Futures  $—   $—   $—   $163,164   $163,164 
Swap Contracts   28,595    —    —    87,070    115,665 
Monthly Distribution                         
Written Options  $393,979   $—   $—   $—   $393,979 
Dynamic Macro                         
Futures  $16,580   $—   $—   $29,142   $45,722 
Written Options   42,242    —    —    —    42,242 
International Opportunity Bond                         
Forward Foreign Currency Contracts  $—   $182,366   $—   $—   $182,366 
Futures   —    —    —    657    657 

 

The following is a summary of the location of derivative investments of each Fund in the Statements of Operations for the year ended April 30, 2019.

 

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, and 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 year ended April 30, 2019:

 

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, 2019 
Long/Short Credit                         
Futures  $—   $—   $—   $(302,525)  $(302,525)
Swaps   16,601    —    —    2,886    19,487 
Monthly Distribution                         
Purchased Options  $3,734,023   $—   $—   $—   $3,734,023 
Written Options   (2,455,940)   —    —    —    (2,455,940)
Swaps   669,451    —    —    —    669,451 
Forward Foreign Currency Contracts   —    53,647    —    —    53,647 
Dynamic Macro                         
Futures  $(456,069)  $—   $—   $202,133   $(253,936)
Forward Foreign Currency Contracts   —    (9,243)   —    —    (9,243)
Purchased Options   (292,551)   —    —    466,195    173,644 
Written Options   21,624    —    —    —    21,624 
International Opportunity Bond                         
Futures  $—   $—   $—   $91,319   $91,319 
Forward Foreign Currency Contracts  $—   $(169,558)  $—   $—   $(169,558)

 

97

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)

 

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, 2019 
Long/Short Credit                         
Futures  $—   $—   $—   $(285,321)  $(285,321)
Swaps   (16,788)   —    —    (87,070)   (103,858)
Monthly Distribution                         
Purchased Options  $(1,408,975)  $—   $—   $—   $(1,408,975)
Written Options   (466,251)   —    —    —    (466,251)
Dynamic Macro                         
Forward Foreign Currency Contracts  $—   $2,939   $—   $—   $2,939 
Futures   929,213    —    —    40,997    970,210 
Purchased Options   (120,232)   —    —    619,138    498,906 
Written Options   2,446    —    —    —    2,446 
International Opportunity Bond                         
Futures  $—   $—   $—   $7,855   $7,855 
Forward Foreign Currency Contracts   —    (160,077)   —    —    (160,077)

 

i. Offsetting of Financial Assets & Liabilities and Derivative Assets & Liabilities – Long/Short Credit, Monthly Distribution, International Opportunity Bond, and Dynamic Macro policies are to recognize a gross asset or liability equal to the unrealized on futures contracts, forward foreign currency exchange contracts, swaps and written options. During the six months ended April 30, 2019, Long/Short Credit is subject to a master netting arrangement for swaps. The following table shows additional information regarding the offsetting of assets and liabilities at April 30, 2019.

 

  Long/Short Credit             
                
                    Gross Amounts Not Offset in the     
  Assets:                 Statement of Assets & Liabilities     
                          
            Gross Amounts   Net Amounts of             
        Gross Amounts of   Offset in the   Assets Presented in             
        Recognized   Statement of Assets   the Statement of   Financial   Cash Collateral     
  Description  Counterparty  Assets   & Liabilities   Assets & Liabilities   Instruments   Received   Net Amount 
  Credit Default Swaps  JP Morgan  $15,623   $—   $15,623   $—   $—   $15,623 
  Total     $15,623   $—   $15,623   $—   $—   $15,623 
                                    
                    Gross Amounts Not Offset in the     
  Liabilities:                 Statement of Assets & Liabilities     
            Gross Amounts   Net Amounts of             
        Gross Amounts of   Offset in the   Liabilities Presented             
        Recognized   Statement of Assets   in the Statement of   Financial   Cash Collateral     
  Description  Counterparty  Liabilities   & Liabilities   Assets & Liabilities   Instruments   Pledged (1)   Net Amount 
  Futures  HSBC  $(163,164)  $—   $(163,164)  $—   $163,164   $— 
  Credit Default Swaps  Goldman Sachs   (28,595)   —    (28,595)   —    —    (28,595)
  Total Return Swap  JP Morgan   (87,070)   —    (87,070)   —    —    (87,070)
  Total     $(87,070)  $—   $(87,070)  $—   $—   $(115,665)
                                    
                                    
  Monthly Distribution             
                
                    Gross Amounts Not Offset in the     
  Assets:                 Statement of Assets & Liabilities     
            Gross Amounts   Net Amounts of             
        Gross Amounts   Offset in the   Assets Presented in             
        of Recognized   Statement of Assets   the Statement of   Financial   Cash Collateral     
  Description  Counterparty  Assets   & Liabilities   Assets & Liabilities   Instruments   Received   Net Amount 
  Purchased Options  JP Morgan  $625,043   $—   $625,043   $—   $—   $625,043 
  Total     $625,043   $—   $625,043   $—   $—   $625,043 
                                    
                    Gross Amounts Not Offset in the     
  Liabilities:                 Statement of Assets & Liabilities     
            Gross Amounts   Net Amounts of             
        Gross Amounts   Offset in the   Liabilities Presented             
        of Recognized   Statement of Assets   in the Statement of   Financial   Cash Collateral     
  Description  Counterparty  Liabilities   & Liabilities   Assets & Liabilities   Instruments   Pledged (1)   Net Amount 
  Written Options  JP Morgan  $(393,979)  $—   $(393,979)  $—   $393,979   $— 
  Total     $(393,979)  $—   $(393,979)  $—   $393,979   $— 
                                    

 

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

98

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)

 

  Dynamic Macro             
                    Gross Amounts Not Offset in     
                    the Statement of Assets &     
  Assets:                 Liabilities     
        Gross   Gross Amounts   Net Amounts of             
        Amounts of   Offset in the   Assets Presented in       Cash     
        Recognized   Statement of Assets   the Statement of   Financial   Collateral     
  Description  Counterparty  Assets   & Liabilities   Assets & Liabilities   Instruments   Received   Net Amount 
  Futures Contracts  Goldman Sachs  $308,953   $—   $308,953   $—   $—   $308,953 
  Purchased Options ^      1,563,916    —    1,563,916    —    —    1,563,916 
  Forward Foreign  Morgan                              
  Currency Contracts  Stanley   7    —    7    —    —    7 
  Total     $1,872,876   $—   $1,872,876   $—   $—   $1,872,876 
                                    
                    Gross Amounts Not Offset in     
                    the Statement of Assets &     
  Liabilities:                 Liabilities     
        Gross   Gross Amounts   Net Amounts of             
        Amounts of   Offset in the   Liabilities Presented       Cash     
        Recognized   Statement of Assets   in the Statement of   Financial   Collateral     
  Description  Counterparty  Liabilities   & Liabilities   Assets & Liabilities   Instruments   Pledged (1)   Net Amount 
  Futures Contracts  Goldman Sachs  $(45,722)  $—   $(45,722)  $308,953   $(263,231)  $— 
  Written Options  Morgan Stanley   (42,242)   —    (42,242)   —    42,242    — 
  Total     $(87,964)  $—   $(87,964)  $308,953   $(220,989)  $— 
                                    
  ^      Counterparties used: Goldman Sachs and Morgan Stanley. 
    
  High-Yield Bond         
            
                    Gross Amounts Not Offset in the     
  Liabilities:                 Statement of Assets & Liabilities     
        Gross Amounts   Net Amounts of                 
        Gross Amounts   Offset in the   Liabilities Presented       Cash     
        of Recognized   Statement of   in the Statement of   Financial   Collateral     
  Description  Counterparty  Liabilities   Assets & Liabilities   Assets & Liabilities   Instruments   Pledged (1)   Net Amount 
  Securities Loaned  HSBC  $(360,160)  $—   $(360,160)  $360,160   $—   $— 
  Securities Loaned  Morgan Stanley   (2,000,000)   —    (2,000,000)   2,000,000    —    — 
  Total     $(2,360,160)  $—   $(2,360,160)  $2,360,160   $—   $— 
                                    
                                    
  International Opportunity Bond     
                    Gross Amounts Not Offset in     
                    the Statement of Assets &     
  Assets:                 Liabilities     
            Gross                 
            Amounts                 
        Gross   Offset in the   Net Amounts of             
        Amounts of   Statement of   Assets Presented in       Cash     
        Recognized   Assets &   the Statement of   Financial   Collateral     
  Description  Counterparty  Assets   Liabilities   Assets & Liabilities   Instruments   Received   Net Amount 
  Forward Foreign                                 
  Currency Contracts  Citigroup  $104,484   $—   $104,484   $(182,366)  $—   $(77,882)
  Futures Contracts  Credit Suisse   2,908    —    2,908    (2,908)   —    — 
  Total     $107,392   $—   $107,392   $(185,274)  $—   $(77,882)
                                    
                    Gross Amounts Not Offset in     
                    the Statement of Assets &     
  Liabilities:                 Liabilities     
            Gross                 
        Gross   Amounts   Net Amounts of             
        Amounts of   Offset in the   Liabilities Presented       Cash     
        Recognized   Statement of   in the Statement of   Financial   Collateral     
  Description  Counterparty  Liabilities   Assets &   Assets & Liabilities   Instruments   Pledged (1)   Net Amount 
  Forward Foreign                                 
  Currency Contracts  Citigroup  $(182,366)  $—   $(182,366)  $104,484   $—   $(77,882)
  Futures Contracts  Credit Suisse   (657)   —    (657)   2,908    (2,251)   — 
  Total     $(183,023)  $—   $(183,023)  $107,392   $(2,251)  $(77,882)
                                    

 

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

99

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)

 

  International Stock         
                              
                    Gross Amounts Not Offset in the     
  Liabilities:                 Statement of Assets & Liabilities     
            Gross Amounts   Net Amounts of             
        Gross Amounts   Offset in the   Liabilities Presented             
        of Recognized   Statement of Assets   in the Statement of   Financial   Cash Collateral     
  Description  Counterparty  Liabilities   & Liabilities   Assets & Liabilities   Instruments   Pledged (1)   Net Amount 
  Securities Loaned  US Bank  $(4,874,737)  $—   $(4,874,737)  $4,874,737   $—   $— 
  Total     $(4,874,737)  $—   $(4,874,737)  $4,874,737   $—   $— 
                                    
                                    
  Small Cap Growth         
                              
                    Gross Amounts Not Offset in the     
  Liabilities:                 Statement of Assets & Liabilities     
            Gross Amounts   Net Amounts of             
        Gross Amounts   Offset in the   Liabilities Presented             
        of Recognized   Statement of Assets   in the Statement of   Financial   Cash Collateral     
  Description  Counterparty  Liabilities   & Liabilities   Assets & Liabilities   Instruments   Pledged (1)   Net Amount 
  Securities Loaned  HSBC  $(1,334,422)  $—   $(1,334,422)  $1,334,422   $—   $— 
  Securities Loaned  Morgan Stanley   (5,917,350)   —    (5,917,350)   5,917,350    —    — 
  Total     $(7,251,772)  $—   $(7,251,772)  $7,251,772   $—   $— 
                                    
                                    
  Emerging Markets         
                    Gross Amounts Not Offset in the     
  Liabilities:                 Statement of Assets & Liabilities     
            Gross Amounts   Net Amounts of             
        Gross Amounts   Offset in the   Liabilities Presented             
        of Recognized   Statement of Assets   in the Statement of   Financial   Cash Collateral     
  Description  Counterparty  Liabilities   & Liabilities   Assets & Liabilities   Instruments   Pledged (1)   Net Amount 
  Securities Loaned  US Bank  $(6,891,678)  $—   $(6,891,678)  $6,891,678   $—   $— 
  Total     $(6,891,678)  $—   $(6,891,678)  $6,891,678   $—   $— 
                                    

 

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

 

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. 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 that 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.

100

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)

 

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 2016 to 2018 and expected to be taken in tax year 2019 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 jurisdiction 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.

 

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 Long/Short Credit, 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. 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. Monthly Distribution’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, Monthly Distribution’s distribution policy is not designed to generate, and is not expected to result in, distributions that equal a fixed percentage of Monthly Distribution’s current net asset value per share. Shareholders receiving periodic payments from Monthly Distribution may be under the impression that they are receiving net income. 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 Monthly Distribution is net income.

 

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.

101

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)

 

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*  0.70% – 1.06%  0.60%  0.10% – 0.46%
Long/Short Credit  0.70% – 1.80%  0.65%  0.05% – 1.15%
Corporate/Government Bond  0.65% – 0.95%  0.50%  0.15% – 0.45%
Monthly Distribution  0.87% – 1.63%  0.65%  0.22% – 0.98%
Dynamic Macro  1.05% – 1.75%  0.65%  0.40% – 1.10%
High-Yield Bond  0.82% – 1.02%  0.60%  0.22% – 0.42%
International Opportunity Bond  0.80% – 1.30%  0.60%  0.20% – 0.70%
Large Cap Value  0.75% – 1.15%  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%
Small Cap Growth  0.65% – 1.65%  0.65%  0.00% – 1.00%
Emerging Markets Stock **  0.70% – 1.50%  0.65%  0.05% – 0.85%

 

*Prior to March 1, 2019, the Sub-Adviser’s portion for Floating Rate Bond was 0.10%-0.50% and the Management Fee was 0.70%-1.10%.

 

**Prior to April 1, 2019, the Sub-Adviser’s portion for Emerging Markets was 0.10%-0.90% and the Management Fee was 0.75%-1.55%.

 

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, some 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 Long/Short Credit and Emerging Markets which are in their initial year of a new Fulcrum Fee arrangement, are calculating Performance Fees on a rolling 12-month basis as of April 30, 2019.

 

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.

102

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)

 

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

 

        Null Minimum Maximum
Fund Sub-Adviser Benchmark Base Fee Zone Fee Fee
Floating Rate Bond Newfleet Asset Management, LLC Credit Suisse Leveraged Loan Index 0.28% +/- 0.00% 0.10% 0.46%
Long/Short Credit Metlife Investment Management BofA Merrill Lynch US 3-month Treasury Bill300 bps (3.00%) Index PLUS 0.60% +/- 0.00% 0.05% 1.15%
Corporate/Government Bond Newfleet Asset Management, LLC Barclays Aggregate Bond Index 0.30% +/- 0.15% 0.15% 0.45%
Monthly Distribution Perella Weinberg Partners Capital Management LP IQ Hedge Market Neutral Total Return Index 0.60% +/- 0.00% 0.22% 0.98%
Dynamic Macro Mellon Capital Management Corporation IQ Hedge Global Macro Beta Index 0.75% +/- 0.00% 0.40% 1.10%
High-Yield Bond PineBridge Investments LLC Barclays U.S. Corporate High Yield Ba/B 2% Issuer Capped Index 0.32% +/- 0.00% 0.22% 0.42%
International Opportunity Bond Allianz Global Investors U.S. LLC Barclays Global ex US Aggregate Bond Index 0.45% +/- 0.00% 0.20% 0.70%
Large Cap Value Rothschild & Co. Asset Management US 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 Barings, LLC FTSE NAREIT All REITs Index 0.40% +/- 0.00% 0.10% 0.70%
Small Cap Value Ziegler Capital Management LLC Russell 2000 Value Index 0.45% +/- 0.00% 0.10% 0.80%
Small Cap Growth Pier Capital, LLC Russell 2000 Growth Index 0.50% +/- 0.20% 0.00% 1.00%
Emerging Markets Stock * NS Partners Ltd. MSCI Emerging Markets Index (Net) 0.45% +/- 0.00% 0.05% 0.85%

 

 

*Effective April 1, 2019 NS Partners Ltd. replaced Bailard, Inc. as the sub-adviser to Emerging Markets Stock. Bailard, Inc. had a Base fee of 0.50%, a Minimum fee of 0.10% and a Maximum Fee of 0.90%.

 

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. For providing administration services, 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; 0.04% on average net assets over $500 million; and 0.02% on average net assets over $1 billion. Such fees are subject to an annual minimum of $403,200 in total for the entire Trust. Effective July 1, 2017, for providing fund accounting services, GFS received from the Trust a minimum annual fee of $262,500. For providing transfer agent services, GFS 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”), 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 individual from GFS serves as an officer for the Trust and receives no additional compensation from the Trust for serving in that role.

 

Effective February 1, 2019, NorthStar Financial Services Group, LLC, the parent company of GFS and its affiliated companies including Blu Giant (collectively, the “Gemini Companies”), sold its interest in the Gemini Companies to a third party private equity firm that contemporaneously acquired Ultimus Fund Solutions, LLC (an independent mutual fund administration firm) and its affiliates (collectively, the “Ultimus Companies”). As a result of these separate transactions, the Gemini Companies and the Ultimus Companies are now indirectly owned through a common parent entity, The Ultimus Group, LLC.

 

c. Distributor – The Distributor of the Funds is Dunham & Associates (the “Distributor”). The Funds have adopted an Amended and Restated Rule 12b-1 Plan (the “Plan”) in accordance with Rule 12b-1 under the 1940 Act for Class A and Class C shares. The Plan for Class A shares authorizes the Funds to pay distribution fees to the Distributor or other entities on a monthly basis at an annualized rate of up to 0.25% of the average daily net assets attributable to Class A shares. The Plan for Class C shares authorizes the Funds to pay distribution fees at the annualized rate of 0.75% for the equity Funds and 0.50% for the fixed income Funds and shareholder servicing fees at the annualized rate of 0.25% to the Distributor or other entities on a monthly basis based on the average daily net assets attributable to Class C shares. Class N shares do not pay distribution fees or shareholder servicing fees.

103

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (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 $6,250 for each Board meeting attended in-person; $1,000 for all telephonic Board meetings; $1,000 for in-person committee meetings and $500 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 for the committee meeting. 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 $150,000 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. Commission Recapture – During the six months ended April 30, 2019, certain Funds had portfolio trades executed with a certain broker pursuant to a commission recapture agreement under which the broker returned a portion of the Fund’s brokerage commissions on the Fund’s behalf. Such amounts, under such commission recapture agreement, are included in fees paid indirectly in the Funds’ Statements of Operations and were paid directly by the broker to the Administrator. For the six months ended April 30, 2019, the amounts received by the Administrator on behalf of certain participating Funds under this arrangement were: Large Cap Value - $2,170, Focused Large Cap Growth - $896, International Stock - $440 and Small Cap Growth - $3,530.

 

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, 2019 were as follows:

 

   Purchases   Sale Proceeds       Proceeds of 
   (excluding U.S.   (excluding U.S.   Purchases   U.S. 
   Government   Government   U.S. Government   Government 
Fund  Securities)   Securities)   Securities   Securities 
Floating Rate Bond  $32,459,469   $34,679,455   $—   $— 
Long/Short Credit   226,281,457    70,725,658    —    — 
Corporate/Government Bond   14,947,106    16,857,301    8,960,365    7,392,169 
Monthly Distribution   542,446,605    449,753,388    —    — 
Dynamic Macro   4,910,693    14,302,040    —    — 
High-Yield Bond   31,854,788    41,325,790    —    — 
International Opportunity Bond   16,524,517    20,566,986    —    — 
Large Cap Value   19,737,003    16,987,480    —    — 
Focused Large Cap Growth   23,212,722    16,265,101    —    — 
International Stock   68,580,102    64,346,562    —    — 
Real Estate Stock   21,697,185    25,562,302    —    — 
Small Cap Value   25,079,374    23,222,812    —    — 
Small Cap Growth   43,476,604    43,561,324    —    — 
Emerging Markets Stock   62,685,556    65,699,746    —    — 

104

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)

 

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, 2019, were as follows:

 

       Gross   Gross   Net Unrealized 
   Tax   Unrealized   Unrealized   Appreciation/ 
   Cost   Appreciation   Depreciation   (Depreciation) 
Floating Rate Bond  $193,172,305   $744,508   $(2,979,391)  $(2,234,883)
Long/Short Credit   69,446,939    1,074,718    (257,347)   817,371 
Corporate/Government Bond   50,160,527    802,039    (246,711)   555,328 
Monthly Distribution   217,758,976    15,553,218    (15,880,310)   (327,092)
Dynamic Macro   37,304,481    3,470,380    (371,641)   3,098,739 
High-Yield Bond   108,783,609    2,182,280    (1,475,302)   706,978 
International Opportunity Bond   37,278,027    582,225    (733,719)   (151,494)
Large Cap Value   63,435,809    19,000,775    (1,722,413)   17,278,362 
Focused Large Cap Growth   58,632,061    49,439,307    (680,975)   48,758,332 
International Stock   119,211,024    12,804,473    (4,661,386)   8,143,087 
Real Estate Stock   47,324,650    8,967,452    (944,513)   8,022,939 
Small Cap Value   49,534,266    4,456,769    (2,322,510)   2,134,259 
Small Cap Growth   51,382,276    9,596,374    (1,611,192)   7,985,182 
Emerging Markets Stock   72,846,928    5,786,793    (1,272,487)   4,514,306 

 

6.SHARES OF BENEFICIAL INTEREST

 

Following is a summary of shareholder transactions for each Fund for the year ended October 31, 2018 and the six months ended April 30, 2019, respectively:

 

For the six months ended April 30, 2019:

 

   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   2,737,973    390,986    (3,739,637)   (610,678)   332,673    46,349    (249,502)   129,520 
Long/Short Credit   4,070,859    121,535    (1,817,708)   2,374,686    354,175    13,592    (77,210)   290,557 
Corporate/Government Bond   1,054,836    45,254    (1,109,935)   (9,845)   68,848    4,855    (61,496)   12,207 
Monthly Distribution   1,056,861    141,849    (1,329,227)   (130,517)   209,627    30,899    (195,996)   44,530 
Dynamic Macro   215,381    89,536    (895,465)   (590,548)   121,072    18,240    (239,859)   (100,547)
High-Yield Bond   1,374,044    275,414    (2,491,293)   (841,835)   166,876    33,328    (296,187)   (95,983)
International Opportunity Bond   434,495    22,947    (457,944)   (502)   75,911    1,757    (60,698)   16,970 
Large Cap Value   396,849    214,901    (371,968)   239,782    233,817    49,142    (93,284)   189,675 
Focused Large Cap Growth   627,726    225,236    (460,155)   392,807    426,246    57,629    (163,821)   320,054 
International Stock   724,151    435,240    (523,119)   636,272    228,306    86,701    (131,043)   183,964 
Real Estate Stock   122,910    55,368    (414,904)   (236,626)   72,462    9,521    (93,265)   (11,282)
Small Cap Value   333,246    319,621    (255,152)   397,715    108,218    65,268    (65,676)   107,810 
Small Cap Growth   609,000    444,127    (457,305)   595,822    172,529    149,638    (188,497)   133,670 
Emerging Markets Stock   319,476    80,396    (547,632)   (147,760)   215,740    13,390    (99,964)   129,166 

105

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)

 

   Class C Shares 
               Net Increase 
       Distributions       (Decrease) 
Fund  Issued   Reinvested   Redeemed   in Shares 
Floating Rate Bond   145,118    15,408    (110,413)   50,113 
Long/Short Credit   67,306    6,581    (27,918)   45,969 
Corporate/Government Bond   14,627    1,987    (34,905)   (18,291)
Monthly Distribution   147,407    38,609    (164,290)   21,726 
Dynamic Macro   23,004    2,794    (25,973)   (175)
High-Yield Bond   43,541    18,450    (104,334)   (42,343)
International Opportunity Bond   15,951    248    (20,937)   (4,738)
Large Cap Value   62,565    14,327    (19,849)   57,043 
Focused Large Cap Growth   62,870    28,599    (51,525)   39,944 
International Stock   45,139    27,671    (46,616)   26,194 
Real Estate Stock   14,253    1,724    (15,010)   967 
Small Cap Value   54,389    25,629    (17,506)   62,512 
Small Cap Growth   32,083    66,749    (56,842)   41,990 
Emerging Markets Stock   27,751    2,497    (50,337)   (20,089)

 

For the year ended October 31, 2018:

 

   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   5,544,126    680,867    (5,269,356)   955,637    990,916    73,952    (632,403)   432,465 
Long/Short Credit   2,695,549    41,172    (304,528)   2,432,193    544,088    6,854    (228,544)   322,398 
Corporate/Government Bond   1,912,073    104,386    (3,405,957)   (1,389,498)   204,083    10,399    (260,731)   (46,249)
Monthly Distribution   2,204,120    268,595    (2,471,857)   858    484,297    54,294    (418,482)   120,109 
Dynamic Macro   1,045,881    —    (854,490)   191,391    424,021    —    (201,583)   222,438 
High-Yield Bond   2,859,505    516,584    (3,764,538)   (388,449)   541,122    55,424    (489,836)   106,710 
International Opportunity Bond   918,537    3,921    (838,505)   83,953    194,919    376    (86,308)   108,987 
Large Cap Value   774,929    70,716    (831,786)   13,859    412,732    11,986    (258,513)   166,205 
Focused Large Cap Growth   652,409    27,172    (953,801)   (274,220)   281,769    6,227    (286,311)   1,685 
International Stock   1,185,724    219,814    (823,998)   581,540    538,029    38,097    (289,098)   287,028 
Real Estate Stock   1,215,646    34,637    (625,212)   625,071    292,170    4,939    (131,144)   165,965 
Small Cap Value   1,077,210    144,058    (151,459)   1,069,809    284,243    27,980    (70,164)   242,059 
Small Cap Growth   574,078    186,952    (303,103)   457,927    273,170    54,752    (124,818)   203,104 
Emerging Markets Stock   1,385,394    31,305    (495,926)   920,773    412,227    4,193    (176,092)   240,328 

 

   Class C Shares 
               Net Increase 
       Distributions       (Decrease) 
Fund  Issued   Reinvested   Redeemed   in Shares 
Floating Rate Bond   263,265    23,134    (172,957)   113,442 
Long/Short Credit   110,059    4,514    (83,122)   31,451 
Corporate/Government Bond   58,106    4,299    (82,611)   (20,206)
Monthly Distribution   355,558    62,509    (322,392)   95,675 
Dynamic Macro   56,142    —    (70,500)   (14,358)
High-Yield Bond   135,855    31,188    (164,632)   2,411 
International Opportunity Bond   48,016    177    (36,571)   11,622 
Large Cap Value   55,368    3,842    (93,744)   (34,534)
Focused Large Cap Growth   54,856    3,483    (102,259)   (43,920)
International Stock   76,579    15,569    (95,633)   (3,485)
Real Estate Stock   38,155    1,286    (45,238)   (5,797)
Small Cap Value   30,003    18,626    (60,317)   (11,688)
Small Cap Growth   28,475    32,629    (48,775)   12,329 
Emerging Markets Stock   77,471    891    (46,538)   31,824 

106

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)

 

7.DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

The tax character of dividends paid during the year or period ended October 31, 2018 and October 31, 2017 was as follows:

 

   For the year or period ended October 31, 2018   For the year or period ended October 31, 2017 
   Ordinary   Long-Term   Return of   Tax-Exempt       Ordinary   Long-Term   Return of   Tax-Exempt     
Fund  Income   Capital Gains   Capital   Income   Total   Income   Capital Gains   Capital   Income   Total 
Floating Rate Bond  $7,558,793   $—   $—   $—   $7,558,793   $4,705,002   $—   $—   $—   $4,705,002 
Long/Short Credit   479,171    —    —    —    479,171    689,953    —    —    —    689,953 
Corporate/Government Bond   1,586,252    —    21,031    —    1,607,283    1,264,680    —    24,527    59,502    1,348,709 
Monthly Distribution   2,716,635    —    11,318,712    —    14,035,347    —    —    10,191,212    —    10,191,212 
Dynamic Macro   —    —    —    —    —    —    —    —    —    — 
High-Yield Bond   5,523,745    —    —    —    5,523,725    4,756,447    —    —    —    4,756,447 
International Opportunity Bond   —    42,342    —    —    42,342    —    281,876    —    —    281,876 
Large Cap Value   557,584    713,265    —    —    1,270,849    953,600    —    —    —    953,600 
Focused Large Cap Growth   —    722,085    —    —    722,085    —    —    —    —    — 
International Stock   1,605,505    3,151,817    —    —    4,757,322    —    —    —    —    — 
Real Estate Stock   344,955    300,608    —    —    645,563    1,820,717    3,749,295    —    —    5,570,012 
Small Cap Value   1,593,661    1,586,225    —    —    3,179,886    1,012,034    144,516    —    —    1,156,550 
Small Cap Growth   1,842,122    3,242,312    —    —    5,084,434    —    —    —    —    — 
Emerging Markets Stock *   824,337    —    —    —    824,337    1,153,950    —    —    —    1,153,950 

 

*The difference between ordinary distributions paid from book and ordinary distributions paid from tax for the Emerging Markets Fund relates to allowable foreign tax credits of $232,938 for fiscal year ended October 31, 2018, and $222,500 for the fiscal year ended October 31, 2017, which have been passed through to the Fund’s underlying shareholders and are deemed dividends for tax purposes.

 

**Differences in distributions between the Statement of Changes paid from book and tax on the income funds relate to the adjustments for dividends payable for tax purposes.

 

Permanent book and tax differences, primarily attributable to the reclass of net operating losses and fund distributions, resulted in reclassification for the tax year ended October 31, 2018 as follows:

 

   Paid     
   In   Accumulated 
Fund  Capital   Earnings (Loss) 
Floating Rate Bond  $—   $— 
Long/Short Credit   —    — 
Corporate/Government Bond   (21,031)   21,031 
Monthly Distribution   44,493    (44,493)
Dynamic Macro   —    — 
High-Yield Bond   —    — 
International Opportunity Bond   —    — 
Large Cap Value   —    — 
Focused Large Cap Growth   (176,944)   176,944 
International Stock   —    — 
Real Estate Stock   —    — 
Small Cap Value   —    — 
Small Cap Growth   (1)   1 
Emerging Markets Stock   —    — 
           

Net assets were unaffected by the above reclassifications.

107

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)
 

As of each of the Fund’s tax year-ended October 31, 2018, the components of distributable earnings on a tax basis were as follows:

 

   Undistributed   Undistributed   Post October Loss   Capital Loss   Other   Unrealized   Total 
   Ordinary   Long-Term   and   Carry   Book/Tax   Appreciation/   Accumulated 
Fund  Income   Capital Gains   Late Year Loss   Forwards   Differences   (Depreciation)   Earnings/(Deficits) 
Floating Rate Bond  $203,858   $—   $—   $(2,952,242)  $(3,616)  $(1,501,315)  $(4,253,315)
Long/Short Credit   463,415    —    —    (66,482)   (472)   (181,473)   214,988 
Corporate/Government Bond   —    —    —    (3,242,763)   (930)   (1,313,470)   (4,557,163)
Monthly Distribution   —    —    —    —    (144,337)   (10,950,174)   (11,094,511)
Dynamic Macro   462,652    —    —    (5,443,173)   —    3,857,364    (1,123,157)
High-Yield Bond   116,902    —    —    (5,560,146)   (8,085)   (4,107,710)   (9,559,039)
International Opportunity Bond   78,557    50,420    —    —    —    (1,104,613)   (975,636)
Large Cap Value   817,314    2,475,117    —    —    —    11,501,529    14,793,960 
Focused Large Cap Growth   —    6,221,713    (838,442)   —    —    32,962,415    38,345,686 
International Stock   1,148,335    6,332,594    —    —    —    16,996    7,497,925 
Real Estate Stock   650,188    —    —    (12,145)   —    3,656,346    4,294,389 
Small Cap Value   1,842,665    3,196,559    —    —    —    (1,024,687)   4,014,537 
Small Cap Growth   3,935,267    5,086,997    —    —    —    2,534,248    11,556,512 
Emerging Markets Stock   1,023,407    —    —    (1,129,268)   —    (3,492,341)   (3,598,202)

 

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, dividend payable and swap contracts, and adjustments for section 305(c) deemed dividend distributions, real estate investment trusts, partnerships, preferred securities, perpetual bonds, passive foreign investment companies, constructive sales of securities held short, straddles and C Corporation return of capital distributions. In addition, the amount listed under other book/tax differences are primarily attributable to the tax deferral of losses on straddles and constructive sales, and tax adjustments for accrued dividend payable.

 

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  $— 
Long/Short Credit   — 
Corporate/Government Bond   — 
Monthly Distribution   — 
Dynamic Macro   — 
High-Yield Bond   — 
International Opportunity Bond   — 
Large Cap Value   — 
Focused Large Cap Growth   838,442 
International Stock   — 
Real Estate Stock   — 
Small Cap Value   — 
Small Cap Growth   — 
Emerging Markets Stock   — 

108

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)
 

At October 31, 2018, 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:

 

       Non-Expiring   Non-Expiring       Capital Loss Carry 
Fund  Expiring 2019   Short-Term   Long-Term   Total   Forward Utilized 
Floating Rate Bond  $—   $784,995   $2,167,247   $2,952,242   $— 
Long/Short Credit   —    —    66,482    66,482    2,170,783 
Corporate/Government Bond   —    1,274,459    1,968,304    3,242,763    — 
Monthly Distribution   —    —    —    —    6,585,099 
Dynamic Macro   152,059    2,371,512    2,919,602    5,443,173    — 
High-Yield Bond   —    3,224,149    2,335,997    5,560,146    — 
International Opportunity Bond   —    —    —    —    — 
Large Cap Value   —    —    —    —    — 
Focused Large Cap Growth   —    —    —    —    — 
International Stock   —    —    —    —    — 
Real Estate Stock   —    12,145    —    12,145    — 
Small Cap Value   —    —    —    —    — 
Small Cap Growth   —    —    —    —    — 
Emerging Markets Stock   351,019    778,249    —    1,129,268    1,377,534 

 

8.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. During the six months ended April 30, 2019, Corporate/Government Bond, Monthly Distribution, Dynamic Macro, High-Yield Bond, International Opportunity Bond, Focused Large Cap Growth, International Stock, Small Cap Value, and Emerging Markets Stock accessed the line of credit. Based only on the days borrowed, the average amount of borrowings outstanding were $3,741,667, $9,903,267, $461,000, $2,483,000, $532,000, $2,629,000, $135,500, $81,333, and $989,500, respectively. The interest expense for all of the Funds listed above is immaterial. As of April 30, 2019, all of the Funds listed above had no outstanding borrowings on the Uncommitted Line.

 

9.SECURITIES LENDING

 

The Funds have entered into a Securities Lending Agreement (“Agreement”) with the two separate lending agents. 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. The following Fund is below the 102% threshold due to market fluctuation, International Stock. All interest and dividend payments received on securities which are held on loan, 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 Funds’ Statements of Operations. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their 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. The remaining contractual maturity of all securities lending transactions are overnight and continuous.

109

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)

 

The following table presents financial instruments that are subject to enforceable netting arrangements as of April 30,2019.

 

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  $—   $—    0.02%
Long/Short Credit   —    —    0.34%
Corporate/Government Bond   —    —    0.09%
Monthly Distribution   —    —    0.14%
Dynamic Macro   —    —    2.76%
High-Yield Bond   2,360,160    2,360,160    0.57%
International Opportunity Bond   —    —    0.00%
Large Cap Value   —    —    0.22%
Focused Large Cap Growth   —    —    2.24%
International Stock *   4,782,574    4,782,574    0.69%
Real Estate Stock   —    —    0.22%
Small Cap Value   —    —    0.76%
Small Cap Growth   7,251,772    7,251,772    8.35%
Emerging Markets Stock *   6,714,473    6,714,473    0.76%

 

*Securities collateralized below 102%. The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

10.UNDERLYING INVESTMENTS IN OTHER INVESTMENT COMPANIES

 

The Funds invest in other investment companies. Each underlying fund, including each ETF, is subject to specific risks, depending on the nature of the underlying fund. These risks could include liquidity risk, sector risk, foreign and related currency risk and high yield risk. Investors in the Funds will indirectly bear fees and expenses charged by the underlying investment companies in which the Funds invest in addition to the Funds’ direct fees and expenses. All the Funds may invest in investment companies. Such investments would subject the Funds to similar risks.

 

The performance of the Monthly Distribution Fund will be directly affected by the performance of the Fidelity Investments Money Market Fund – Class I. The financial statements of this Fund, including the portfolio of investments, can be found at the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Monthly Distribution Fund’s financial statements. As of April 30, 2019, the percentage of the Monthly Distribution Fund invested in the Fidelity Investments Money Market Fund- Class I was 42.2%.

 

11.RECENT ACCOUNTING PRONOUNCEMENTS

 

In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.

 

In August 2018, the FASB issued Accounting Standards Update (“ASU”) No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the policy for the timing of transfers between levels. For investment companies, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. Early adoption is allowed. These amendments have been adopted with these financial statements.

110

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2019 (Continued)

 

In August 2018, the Securities and Exchange Commission adopted amendments to certain disclosure requirements under Regulation S-X to conform to US GAAP, including: (i) an amendment to require presentation of the total, rather than the components, of distributable earnings on the Statement of Assets and Liabilities; and (ii) an amendment to require presentation of the total, rather than the components, of distributions to shareholders, except for tax return of capital distributions, if any, on the Statement of Changes in Net Assets. The amendments also removed the requirement for parenthetical disclosure of undistributed net investment income on the Statement of Changes in Net Assets. These amendments have been adopted with these financial statements.

 

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 determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.

111

 

Meeting of the Board of Trustees Held on December 17-18, 2018

 

On December 17-18, 2018, the Board of Trustees (the “Board”) of Dunham Funds (the “Trust”), a Delaware business trust, met to consider, among other things, (i) the renewal of the investment advisory agreement between the Trust and Dunham & Associates Investment Counsel, Inc. (the “Adviser”) and (ii) the renewal of the sub-advisory agreements with various sub-advisers for certain Trust series (the “Funds”). The investment advisory agreement and the sub-advisory agreements are collectively referred to as the “Advisory Agreements.” The Funds and the relevant sub-advisers with sub-advisory agreements up for renewal include:

 

Fund Sub-Advisory Agreement
Dunham Alternative Dividend Fund Sungarden Fund Management, LLC
Dunham Appreciation & Income Fund [Not up for renewal]
Dunham Corporate/Government Bond Fund Newfleet Asset Management, LLC
Dunham Dynamic Macro Fund Mellon Capital Management
Dunham Emerging Markets Stock Fund Bailard, Inc.
Dunham Floating Rate Bond Fund Newfleet Asset Management, LLC
Dunham Focused Large Cap Growth Fund The Ithaka Group, LLC
Dunham High-Yield Bond Fund PineBridge Investments LLC
Dunham International Opportunity Bond Fund Allianz Global Investors U.S. LLC
Dunham International Stock Fund Arrowstreet Capital, Limited Partnership
Dunham Large Cap Value Fund Rothschild & Co. Asset Management US Inc.
Dunham Monthly Distribution Fund Perella Weinberg Partners Capital Management LP
Dunham Real Estate Stock Fund Barings Asset Management Limited
Dunham Small Cap Growth Fund Pier Capital, LLC
Dunham Small Cap Value Fund Piermont Capital Management, Inc.

 

The Independent Trustees had requested and reviewed materials the Adviser and the sub-advisers provided prior to and during the meetings and had reviewed a memorandum from Fund counsel that reviewed their fiduciary duties pertaining to renewal of investment management and sub-advisory agreements and the factors they should consider in evaluating the Advisory agreements.

 

Among other information, the Adviser and the sub-advisers provided information to assist the Independent Trustees in assessing the nature, extent and quality of services provided, information comparing the investment performance, advisory fees and operating expense ratio of each Fund to other funds, information about estimated profitability and/or financial condition and compliance and regulatory matters. The Board determined that, given the totality of the information provided with respect to each Advisory Agreement, the Board had received sufficient information to approve the Advisory Agreements.

 

The Independent Trustees and Fund counsel met in executive sessions to consider the renewal of the Advisory Agreements. The Board also received information about the Funds throughout the year in connection with the regular quarterly Board meetings from the Adviser and various Fund sub-advisers.

112

 

Based upon its review, the Board concluded that it was in the best interests of each Fund that the Advisory Agreements be renewed. In considering the renewal of the Advisory Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, and considered a variety of factors in its analysis, including those discussed below. The Board did not allot a particular weight to any one factor or group of factors.

 

Investment Advisory Agreement

 

Nature, Extent and Quality of Services. In considering the renewal of the investment advisory agreement with the Adviser, the Board considered the nature, extent and quality of services that the Adviser provided to the Funds, including the Adviser’s personnel and resources and the Adviser’s criteria for reviewing a sub-adviser’s performance. The Board reviewed the services the Adviser provided in serving as investment adviser, including the backgrounds of the personnel providing the investment management services and compliance staff. They also reviewed information provided regarding risk management and compliance and regulatory matters. The Board concluded that the services the Adviser provided were satisfactory.

 

Performance. The Board reviewed performance information the Adviser provided for Class N of each Fund compared to the performance of (a) funds in a peer group (the “Peer Group”) (which is a relevant sub-set of funds in a Fund’s Morningstar category), (b) a Morningstar category average and (c) a benchmark index for the one, three, five and ten year periods or since a Fund’s inception, as applicable, ended September 30, 2018. The Board considered that the Adviser had delegated day-to-day portfolio management of each Fund strategy to a sub-adviser and noted the ongoing oversight activities the Adviser performed, including review of returns on a relative and absolute basis, evaluation of brokerage execution quality and on-site compliance reviews. The Board concluded that the Adviser had appropriately reviewed and monitored each sub-adviser’s investment performance.

 

Advisory Fee. The Board reviewed each Fund’s advisory fee and expense ratio, taking into account the Fund’s average net assets, and reviewed information comparing the advisory fee and expense ratio to those of the Peer Group and a Morningstar category. The Board discussed that while the advisory fees do not necessarily have to be the lowest compared to the Peer Groups, it is their duty to evaluate whether the advisory fees are reasonable. The Board noted that the Adviser’s fees range from 0.50% to 0.65%, which, when combined with the sub-adviser fees, are generally higher than the Peer Group averages when a Fund is performing well, but in some cases lower than the Peer Group averages when a Fund is underperforming. It noted that the Adviser’s fee ranges are reasonably applied based on the nature of a Fund (i.e., bond vs. equity, or alternative vs. traditional). The Board noted that currently four Funds are considered “alternative” and generally require enhanced oversight compared to more traditional asset classes. The Board discussed the level of work involved in the Adviser’s oversight of the Funds and the Adviser’s ongoing quantitative and qualitative analysis of each sub-adviser.

 

The Board also noted:

 

●Dunham Alternative Dividend Fund: The Board noted that the advisory fee was lower than the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range.

 

●Dunham Appreciation & Income Fund: The Board noted that the advisory fee was in line with the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range.

 

●Dunham Corporate/Government Bond Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range.

 

●Dunham Dynamic Macro Fund: The Board noted that the advisory fee was in line with the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range.

113

 

●Dunham Emerging Markets Stock Fund: The Board noted that the advisory fee was lower than the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range.

 

●Dunham Floating Rate Bond Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range.

 

●Dunham Focused Large Cap Growth Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range.

 

●Dunham High-Yield Bond Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range.

 

●Dunham International Opportunity Bond Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range.

 

●Dunham International Stock Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range.

 

●Dunham Large Cap Value Fund: The Board noted that the advisory fee was lower than or in line with the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range.

 

●Dunham Monthly Distribution Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range.

 

●Dunham Real Estate Stock Fund: The Board noted that the advisory fee was in line with the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range.

 

●Dunham Small Cap Growth Fund: The Board noted that the advisory fee was lower than the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range.

 

●Dunham Small Cap Value Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range.

 

In light of the nature, quality and extent of services the Adviser provided, the Board concluded that each Fund’s advisory fee was reasonable.

 

Economies of Scale. The Board considered the extent to which economies of scale would be realized as each Fund grows and whether fee levels reflect a reasonable sharing of economies of scale for the benefit of Fund investors. The Board noted that breakpoints may be an appropriate way for the Adviser to share its economies of scale if a Fund experiences substantial asset growth; however, the Board recognized that no Fund had yet reached an asset level where the Adviser could realize significant economies of scale. The Board observed that economies of scale will be considered in the future as Fund asset levels grow.

 

Profitability. The Board also reviewed the estimated profitability of the Adviser with respect to each Fund. The Board concluded that the estimated profitability of the Adviser in connection with the management of each Fund was reasonable, and at a level to adequately incentivize the Adviser to continue to provide high quality services.

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Fallout Benefits. Because of its relationship with the Funds, the Adviser and its affiliates may receive certain benefits. The Board reviewed materials provided by the Adviser as to any such benefits.

 

Sub-Advisory Agreements

 

Nature, Extent and Quality of Services. In considering the renewal of the sub-advisory agreement between each Fund and the Fund’s respective sub-adviser, the Board considered the nature, extent and quality of services the sub-adviser provided under the sub-advisory agreement. The Board reviewed the services the sub-adviser provided, the background of the investment professionals servicing the Fund, and the sub-adviser’s reputation, resources and investment approach. The Board also reviewed information provided regarding the structure of portfolio manager compensation, trading and brokerage practices, soft dollar usage, risk management and compliance matters.

 

Performance. The Board reviewed each Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board also noted:

 

●Dunham Alternative Dividend Fund: The Board noted that Sungarden Fund Management, LLC (“Sungarden”), has served as the Fund’s sub-adviser since August 31, 2016 (the inception date of the Fund). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund underperformed its Peer Group, Morningstar category, and its benchmark index over the one-year period and since the Fund’s inception. The Board considered the Adviser’s observation that the Fund’s strategy of investing in dividend-paying stocks and purchasing put options on the broad equity market generally detracted from performance. While the put options generally provided some support during the sharp market downturns experienced during the past year, the benefit was outweighed by the underperformance during the strong run-up periods. The Board considered that the Adviser would continue to closely monitor performance. The Board concluded that the services Sungarden provided were satisfactory.

 

●Dunham Appreciation & Income Fund: The Fund’s sub-advisory agreement is not up for renewal at this time.

 

●Dunham Corporate/Government Bond Fund: The Board noted that Newfleet Asset Management, LLC (“Newfleet”), has served as the Fund’s sub-adviser since December 10, 2004 (the inception date of the Fund). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund’s total return was in line with or ahead of the Peer Group, the Morningstar category and the return of the benchmark index for the one-year, five-year and ten-year periods. The Board concluded that the services Newfleet provided were satisfactory.

 

●Dunham Dynamic Macro Fund: The Board noted that Mellon Capital Management (“Mellon”), has served as the Fund’s sub-adviser since October 1, 2014 (while the Fund’s inception date was April 30, 2010). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund underperformed the Peer Group and the Morningstar category over the one-year, five-year and ten-year periods. The Fund additionally underperformed the benchmark index over the one-year period and since the Fund’s inception. The Board considered that the underperformance was primarily attributable to the previous sub-adviser and the strategy that was implemented prior to 2014. The Board considered that the Fund has outperformed its Peer Group, the Morningstar category and benchmark index since Mellon began managing the Fund’s investments. The Board concluded that the services Mellon provided were satisfactory.

 

●Dunham Emerging Markets Stock Fund: The Board noted that Bailard, Inc. (“Bailard”), has served as the Fund’s sub-adviser since July 1, 2013 (while the Fund’s inception date was December 10, 2004). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund underperformed the Peer Group over the one-year and five-year periods, and since Bailard began managing the

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 Fund’s investments. The Fund underperformed the Morningstar category and the benchmark index over the one-year and five-year periods. The Board noted that the Fund was currently on the watch-list and management would recommend a replacement at the March 2019 Board meeting. The Board concluded that Bailard would continue to provide services to the Fund until a replacement sub-adviser was approved.

 

●Dunham Floating Rate Bond Fund: The Board noted that Newfleet Asset Management, LLC (“Newfleet”), has served as the Fund’s sub-adviser since November 4, 2013 (the inception date of the Fund). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund underperformed its benchmark index over the one-year period and since the Fund’s inception. The Board also considered that the Adviser believes that Newfleet should be able to identify and take advantage of inefficiencies in the bank loan market. The Board considered that the Adviser would continue to closely monitor performance. The Board concluded that the services Newfleet provided were satisfactory.

 

●Dunham Focused Large Cap Growth Fund: The Board noted that The Ithaka Group, LLC (“Ithaka”), has served as the Fund’s sub-adviser since December 8, 2011 (the inception date of the Fund), and the Fund may hold a maximum of 35 stocks. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund underperformed the benchmark index over the five-year period and since the Fund’s inception. The Board considered that when the Fund has historically outperformed its Peer Group, Morningstar category average and benchmark index, it has done so by a significant amount. The Board considered that the Adviser continues to believe that Ithaka’s long-term performance should be reasonable. The Board concluded that the services Ithaka provided were satisfactory.

 

●Dunham High-Yield Bond Fund: The Board noted that PineBridge Investments LLC (“PineBridge”), has served as the Fund’s sub-adviser since July 1, 2017 (while the Fund’s inception date is July 1, 2005). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund underperformed the Morningstar category and the current benchmark index over the one-year, five-year and ten-year periods. The Board considered that this underperformance was primarily achieved by the previous sub-adviser. Since the commencement of PineBridge, the Fund performed in line with the Morningstar category and the benchmark index. The Board considered that the Adviser is optimistic that PineBridge should achieve reasonable long-term performance. The Board concluded that the services PineBridge provided were satisfactory.

 

●Dunham International Opportunity Bond Fund: The Board noted that Allianz Global Investors U.S. LLC (“Allianz”), and, formerly Rogge Global Partners PLC before it was merged into Allianz in June 2017, has served as the Fund’s sub-adviser since November 4, 2013 (the inception date of the Fund). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board considered that the Peer Group contained a limited number of funds, and noted that the Fund underperformed its Peer Group, its Morningstar category and benchmark index over the one-year time period and since the Fund’s inception. The Board considered that the Fund’s underperformance relative to its Morningstar category was primarily attributable to the few funds in the category that are foreign bond funds with little exposure to the U.S. bond market. The Fund performed substantially similar to the benchmark index, which does have a similar country and regional exposure compared to the Fund, over each of the time periods measured. The Board concluded that the services Allianz provided were satisfactory.

 

●Dunham International Stock Fund: The Board noted that Arrowstreet Capital (“Arrowstreet”), has served as the Fund’s sub-adviser since July 1, 2008 (while the Fund’s inception date is December 10, 2004). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund’s total return was higher than or in line with the Peer Group, the Morningstar category and the return of the benchmark index for the one -year, five-year, and ten-year periods. The Board concluded that the services Arrowstreet provided were satisfactory.

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●Dunham Large Cap Value Fund: The Board noted that Rothschild & Co. Asset Management US Inc. (“Rothschild”), has served as the Fund’s sub-adviser since July 1, 2015 (while the Fund’s inception date is December 10, 2004). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund underperformed its Peer Group and Morningstar category over the one-year and five-year periods and since Rothschild began managing the Fund’s investments, and underperformed the benchmark index over the five-year period and since Rothschild began managing the Fund’s investments. The Board considered that the Adviser believes that Rothschild will provide reasonable performance over the long-term. The Board concluded that the services Rothschild provided were satisfactory.

 

●Dunham Monthly Distribution Fund: The Board noted that Perella Weinberg Partners Capital Management LP (“Perella”), has served as the Fund’s sub-adviser since April 4, 2017 (while the Fund’s inception date is September 29, 2008). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund’s total return was in line with the Peer Group, the Morningstar category and the return of the benchmark index for the one-year period since Perella began managing the Fund’s investments. The Board concluded that the services Perella provided were satisfactory.

 

●Dunham Real Estate Stock Fund: The Board noted that Barings Asset Management Limited (“Barings”), has served as the Fund’s sub-adviser since May 1, 2012 (while the Fund’s inception date is December 10, 2004). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted the Fund underperformed its Peer Group and the Morningstar category over the one-year period. The Fund underperformed the benchmark index over the one-year and five-year period and since Barings began managing the Fund’s investments. The Board considered that the Adviser believes that Barings’ strategy has the potential to produce reasonable returns for the Fund. The Board concluded that the services Barings provided were satisfactory.

 

●Dunham Small Cap Growth Fund: The Board noted that Pier Capital, LLC (“Pier”), has served as the Fund’s sub-adviser since December 10, 2004 (the inception date of the Fund). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund’s total return was higher than or in line with the Peer Group, the Morningstar category and the return of the benchmark index for the one-year, five-year, and ten-year periods, and since Pier began managing the Fund’s investments. The Board concluded that the services Pier provided were satisfactory.

 

●Dunham Small Cap Value Fund: The Board noted that Piermont Capital Management, Inc. (“Piermont”), has served as the Fund’s sub-adviser since July 1, 2013 (while the Fund’s inception date is December 10, 2004). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted the Fund underperformed the Morningstar average over the ten-year period. However, since Piermont began managing the Fund, the Fund has performed in line with or outperformed its Peer Group, the Morningstar category and the benchmark index. The Board concluded that the services Piermont provided were satisfactory.

 

Sub-Advisory Fees and Economies of Scale. The Board considered each Fund’s sub-advisory fee schedule and noted the fees charged to comparable portfolios, if any, that the sub-adviser managed. The Board considered that the fee schedule was negotiated between the Adviser and each sub-adviser, an unaffiliated third party.

 

The Board considered the base fee paid to each sub-adviser when the performance of a Fund is equal to that of a specific index plus or minus a “null” zone. The Board also reviewed the operation of the

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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 a sub-adviser delivers results, and how performance fees should be integrated into their analysis.

 

The Board confirmed its belief that performance fees help ensure that any significant fee adjustments are attributable to a sub-adviser’s skill, rather than to random performance fluctuations, and the performance fee aligns a sub-adviser’s interest with those of Fund shareholders. The Board concluded that each sub-adviser’s fees were in a reasonable range.

 

The Board reviewed the relevance of economies of scale in the context of a sub-adviser that receives a performance based fee. The Board agreed that the Adviser had successfully negotiated a favorable base fee with each sub-adviser, and that reductions based on asset growth, when coupled with the possibility of fee reductions based on performance, could hinder the Adviser’s ability to attract top sub-advisory talent. The Board agreed that pursuing breakpoints with any of the sub-advisers would not be in the best interests of Fund shareholders at this time.

 

Profitability and Fallout Benefits. The Board considered information provided regarding each sub-adviser’s estimated profitability from providing sub-advisory services to its respective Fund. The Board noted that the sub-advisory fee schedule was negotiated between the Adviser and each sub-adviser, an unaffiliated third party. The Board reviewed materials provided as to any additional benefits each sub-adviser receives.

 

All Agreements

 

Conclusion. Based on all of the information considered and the conclusions reached, the Board determined that the terms of the Advisory Agreements for each Fund are fair and reasonable, and that the continuation of the Advisory Agreements are in the best interests of each Fund.

 

Meeting of the Board of Trustees Held on March 19, 2019

 

On March 19, 2019, the Board of Trustees (the “Board”) of Dunham Funds (the “Trust”), a Delaware business trust, met to consider, among other things, new sub-advisory agreements with two sub-advisers for certain Trust series (the “Funds”). The sub-advisory agreements are collectively referred to as the “Sub-Advisory Agreements.” The Funds and the relevant sub-advisers with new sub-advisory agreements include:

 

Fund Sub-Advisory Agreement
Dunham Emerging Markets Stock Fund NS Partners Ltd. (“NS Partners”)1
Dunham Small Cap Value Fund Ziegler Capital Management LLC2

 

The Independent Trustees had requested and reviewed materials that Dunham & Associates Investment Counsel, Inc. (the “Adviser”) and the sub-advisers provided prior to and during the meeting and had reviewed a memorandum from Fund counsel that reviewed their fiduciary duties pertaining to the new Sub-Advisory Agreements and the factors they should consider in evaluating the Sub-Advisory Agreements.

 

Among other information, the Adviser and the sub-advisers provided information to assist the Independent Trustees in assessing the nature, extent and quality of services provided, information comparing the investment performance, advisory fees and operating expense ratio of each Fund to other funds, information about estimated profitability and/or financial condition and compliance and regulatory matters.

 

 

1NS Partners’ sub-advisory agreement would take effect on or about April 1, 2019. NS Partners would take over sub-advisory responsibilities from Bailard, Inc.

 

2This sub-advisory agreement would take effect upon the change of control of Piermont Capital Management, Inc., when Piermont Capital merges with Ziegler Capital.

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The Board determined that, given the totality of the information provided with respect to each Sub-Advisory Agreement, the Board had received sufficient information to approve the Sub-Advisory Agreements. The Independent Trustees and Fund counsel also met to consider the Sub-Advisory Agreements.

 

Based upon its review, the Board concluded that it was in the best interests of each Fund that the Sub-Advisory Agreements be approved. In considering the approval of the Sub-Advisory Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, and considered a variety of factors in its analysis, including those discussed below. The Board did not allot a particular weight to any one factor or group of factors.

 

I.              Sub-Advisory Agreements

 

Nature, Extent and Quality of Services. In considering the approval of the Sub-Advisory Agreement between each Fund and the Fund’s respective sub-adviser, the Board considered the nature, extent and quality of services the sub-adviser would provide under the Sub-Advisory Agreement. The Board reviewed the background of the investment professionals that would service the Fund, and the sub-adviser’s reputation, resources and investment approach. The Board also reviewed information provided regarding the structure of portfolio manager compensation, trading and brokerage practices, soft dollar usage, risk management and compliance matters.

 

The Board noted in particular:

 

●Dunham Emerging Markets Stock Fund: NS Partners Ltd. (“NS Partners”) was founded in 1988 and is an independent investment management firm specializing in actively managed global equity portfolios on behalf of major companies, pension funds, foundations and high net worth individuals. NS Partners is a wholly owned subsidiary of NS Partners UK LLP. CC&L Financial Group is a 50% owner in NS Partners with the NS Partners team of senior managers owning the remaining 50%. While NS Partners does not currently advise or sub-advise a mutual fund, NS Partners and the CC&L Financial Group have considerable experience in managing mutual fund assets in the U.S. and Canada. In total across all affiliates, CC&L Financial Group is sub-adviser to over U.S. $9 billion in mutual fund assets in Canada and the U.S. The Board concluded that the services of NS Partners should be satisfactory.

 

●Dunham Small Cap Value Fund: Ziegler Capital Management LLC (“Ziegler Capital”) plans to acquire Piermont on or about April 1, 2019. The entire Piermont investment team, including all team members providing advisory services to the Fund, will remain in place and continue to provide the same investment advisory services to the Fund. The investment discipline, process, tools and models also will remain unchanged. The Board further considered that the business combination will allow Ziegler Capital to provide additional compliance and operations services resources to the Fund. The Board concluded that the services Piermont would provide as part of the Ziegler Capital organization should be satisfactory.

 

Performance. The Board reviewed each Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board also noted in particular:

 

●Dunham Emerging Markets Stock Fund: NS Partners Master Global Emerging Market Composite (US-Net) performed as follows relative to its composite benchmark (which is 56.62% MSCI Emerging Markets Net & 43.38% MSCI Emerging Markets): -15.04%, 8.99%, 3.09% and 10.17% for the composite over a 1-, 3-, 5-, and 10-year period respectively, compared to its composite benchmark of -14.44%, 9.57%, 1.98% and 8.36% over the same periods. The Board concluded that the services of NS Partners should be satisfactory.

 

●Dunham Small Cap Value Fund: At the December 2018 Board meeting, the Board had noted that Piermont Capital Management, Inc. (“Piermont”), has served as the Fund’s sub-adviser since July 1, 2013 (while the Fund’s inception date is December 10, 2004). The Board noted that since Piermont began managing the Fund, the Fund has performed in line with or outperformed its Peer

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Group, the Morningstar category and the benchmark index. The Board concluded that the services Piermont provided were satisfactory.

 

At the March meeting, given Ziegler Capital’s planned acquisition of Piermont, the Board considered that the entire Piermont investment team, including all team members providing advisory services to the Fund, will remain in place and continue to provide the same investment advisory services to the Fund. The Board, moreover, considered that the Fund’s investment discipline, process, tools and models will remain unchanged. The Board concluded that the services Piermont would provide as part of the Ziegler Capital organization should be satisfactory.

 

Sub-Advisory Fees and Economies of Scale. The Board considered each Fund’s sub-advisory fee schedule and noted the fees charged to comparable portfolios, if any, that the sub-adviser managed. The Board considered that the fee schedule was negotiated between the Adviser and each sub-adviser, an unaffiliated third party.

 

The Board considered the base fee paid to each sub-adviser when the performance of a Fund is equal to that of a specific index plus or minus a “null” zone. The Board also reviewed 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 a sub-adviser delivers results, and how performance fees should be integrated into their analysis.

 

The Board confirmed its belief that performance fees help ensure that any significant fee adjustments are attributable to a sub-adviser’s skill, rather than to random performance fluctuations, and the performance fee aligns a sub-adviser’s interest with those of Fund shareholders.

 

The Board also noted in particular:

 

●Dunham Emerging Markets Stock Fund: The Board considered the new sub-advisory fee schedule with NS Partners. The Board noted that the proposed base fee had been reduced from 50 basis points with the previous sub-adviser to 45 basis points with NS Partners. In addition, the Board noted that the proposed performance fee amount remained the same at plus or minus 40 basis points, resulting in the overall fulcrum fee rate ranging from 5 basis points up to 85 basis points. The Board compared this to the fulcrum fee range with the previous sub-adviser of 10 basis points to 90 basis points.

 

●Dunham Small Cap Value Fund: The Board considered that the Fund’s sub-advisory fee schedule will remain the same after Piermont merges with Ziegler Capital on or about April 1, 2019.

 

The Board concluded that each sub-adviser’s fees were in a reasonable range.

 

The Board reviewed the relevance of economies of scale in the context of a sub-adviser that receives a performance based fee. The Board agreed that the Adviser had successfully negotiated a favorable base fee with each sub-adviser, and that reductions based on asset growth, when coupled with the possibility of fee reductions based on performance, could hinder the Adviser’s ability to attract top sub-advisory talent. The Board agreed that pursuing breakpoints with any of the sub-advisers would not be in the best interests of Fund shareholders at this time.

 

Profitability and Fallout Benefits. The Board considered any information provided regarding each sub-adviser’s estimated profitability from providing sub-advisory services to its respective Fund. The Board noted that the sub-advisory fee schedule was negotiated between the Adviser and each sub-adviser, an unaffiliated third party. The Board reviewed materials provided as to any additional benefits each sub-adviser receives.

 

II.             All Agreements

 

Conclusion. Based on all of the information considered and the conclusions reached, the Board determined that the terms of the Sub-Advisory Agreements for each Fund are fair and reasonable, and that the approval of the Sub-Advisory Agreements are in the best interests of each Fund.

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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.

 

         Actual  Hypothetical
   Fund’s  Beginning  Ending     Ending   
   Annualized  Account  Account  Expenses  Account  Expenses
   Expense  Value  Value  Paid During  Value  Paid During
   Ratio  11/1/18  4/30/19  Period*  4/30/19  Period*
Class N:                  
Floating Rate Bond Fund  0.99%  $1,000.00  $1,017.80  $4.95  $1,019.89  $4.96
Long/Short Credit Fund  1.29%  $1,000.00  $1,027.00  $6.48  $1,018.40  $6.46
Corporate/Government Bond Fund  1.17%  $1,000.00  $1,047.30  $5.94  $1,018.99  $5.86
Monthly Distribution Fund  1.62%  $1,000.00  $1,025.50  $8.14  $1,016.76  $8.10
Dynamic Macro Fund  1.44%  $1,000.00  $1,064.10  $7.37  $1,017.65  $7.20
High-Yield Bond Fund  1.20%  $1,000.00  $1,059.70  $6.13  $1,018.84  $6.01
International Opportunity Bond Fund  1.34%  $1,000.00  $1,022.30  $6.72  $1,018.15  $6.71
Large Cap Value Fund  1.06%  $1,000.00  $1,082.50  $5.47  $1,019.54  $5.31
Focused Large Cap Growth Fund  1.36%  $1,000.00  $1,189.80  $7.38  $1,018.05  $6.81
International Stock Fund  1.52%  $1,000.00  $1,051.50  $7.73  $1,017.26  $7.60
Real Estate Stock Fund  1.08%  $1,000.00  $1,127.30  $5.70  $1,019.44  $5.41
Small Cap Value Fund  1.68%  $1,000.00  $1,050.60  $8.54  $1,016.46  $8.40
Small Cap Growth Fund  2.03%  $1,000.00  $1,089.00  $10.51  $1,014.73  $10.14
Emerging Markets Stock Fund  1.20%  $1,000.00  $1,126.20  $6.33  $1,018.84  $6.01
Class A:                  
Floating Rate Bond Fund  1.24%  $1,000.00  $1,016.60  $6.20  $1,018.65  $6.21
Long/Short Credit Fund  1.50%  $1,000.00  $1,025.80  $7.53  $1,017.36  $7.50
Corporate/Government Bond Fund  1.42%  $1,000.00  $1,046.10  $7.20  $1,017.75  $7.10
Monthly Distribution Fund  1.86%  $1,000.00  $1,024.20  $9.34  $1,015.57  $9.30
Dynamic Macro Fund  1.69%  $1,000.00  $1,062.10  $8.64  $1,016.41  $8.45
High-Yield Bond Fund  1.45%  $1,000.00  $1,059.00  $7.40  $1,017.60  $7.25
International Opportunity Bond Fund  1.59%  $1,000.00  $1,020.10  $7.96  $1,016.91  $7.95
Large Cap Value Fund  1.31%  $1,000.00  $1,088.00  $6.78  $1,018.30  $6.56
Focused Large Cap Growth Fund  1.61%  $1,000.00  $1,188.10  $8.73  $1,016.81  $8.05
International Stock Fund  1.77%  $1,000.00  $1,050.40  $9.00  $1,016.02  $8.85
Real Estate Stock Fund  1.33%  $1,000.00  $1,125.60  $7.01  $1,018.20  $6.66
Small Cap Value Fund  1.93%  $1,000.00  $1,049.00  $9.81  $1,015.22  $9.64
Small Cap Growth Fund  2.28%  $1,000.00  $1,087.50  $11.80  $1,013.49  $11.38
Emerging Markets Stock Fund  1.45%  $1,000.00  $1,125.10  $7.64  $1,017.60  $7.25

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DUNHAM FUNDS’ EXPENSES (Unaudited)

 

         Actual  Hypothetical
   Fund’s  Beginning  Ending     Ending   
   Annualized  Account  Account  Expenses  Account  Expenses
   Expense  Value  Value  Paid During  Value  Paid During
   Ratio  11/1/18  4/30/19  Period*  4/30/19  Period*
Class C:                  
Floating Rate Bond Fund  1.74%  $1,000.00  $1,014.20  $8.69  $1,016.17  $8.70
Long/Short Credit Fund  2.24%  $1,000.00  $1,021.80  $11.23  $1,013.69  $11.18
Corporate/Government Bond Fund  1.92%  $1,000.00  $1,043.80  $9.73  $1,015.27  $9.59
Monthly Distribution Fund  2.61%  $1,000.00  $1,020.20  $13.07  $1,011.85  $13.02
Dynamic Macro Fund  2.44%  $1,000.00  $1,058.50  $12.45  $1,012.69  $12.18
High-Yield Bond Fund  1.95%  $1,000.00  $1,056.20  $9.94  $1,015.12  $9.74
International Opportunity Bond Fund  2.09%  $1,000.00  $1,017.80  $10.46  $1,014.43  $10.44
Large Cap Value Fund  2.06%  $1,000.00  $1,076.80  $10.61  $1,014.58  $10.29
Focused Large Cap Growth Fund  2.36%  $1,000.00  $1,183.90  $12.78  $1,013.09  $11.78
International Stock Fund  2.52%  $1,000.00  $1,046.50  $12.79  $1,012.30  $12.57
Real Estate Stock Fund  2.08%  $1,000.00  $1,122.00  $10.94  $1,014.48  $10.39
Small Cap Value Fund  2.68%  $1,000.00  $1,044.80  $13.59  $1,011.50  $13.37
Small Cap Growth Fund  3.03%  $1,000.00  $1,083.60  $15.65  $1,009.77  $15.10
Emerging Markets Stock Fund  2.20%  $1,000.00  $1,120.30  $11.57  $1,013.88  $10.99

 

*Expenses Paid During Period are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181 days and divided by 365 (to reflect the number of days in the six month period ending April 30, 2019).

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NOTICE OF PRIVACY POLICY & PRACTICES

Privacy Notice

 

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

123

 

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

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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 Commision’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).

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(DUNHAM FUNDS)

 

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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. Not Applicable to open-end investment companies.

 

Item 13. 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 7/9/2019

 

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 7/9/2019

 

By (Signature and Title)

/s/ Denise Iverson

Denise Iverson, Principal Financial Officer/Treasurer

 

Date 7/9/2019