N-CSR 1 dunhamncsr.htm N-CSR

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., 80Arkay Drive 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: 10/31/19

 

Item 1. Reports to Stockholders.

 

(COVER PAGE)

 

 

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

 

 

Dear Fellow Shareholders,

 

While the economic backdrop and company fundamentals generally did not waver during this fiscal year, rhetoric and headlines caused both equities and bonds to experience meaningful volatility. Whether the focus was on the Federal Reserve’s stance on monetary policy, a looming trade war with China, or the future of shale oil, the markets appeared to take note and responded fairly drastically. Over the 12-month period, investors that focused on the strength of the economy and the broadly positive earnings releases generally experienced a strong return regardless of their preference for bonds or equities. When considering these factors in broad strokes, U.S. bonds, as measured by the Bloomberg Barclays Aggregate Bond Index, increased 11.5 percent over the 12-month period, while U.S. equities, as measured by the S&P 500 Index, increased 14.3 percent. It is interesting that these results emerged despite persistent concerns during the period of an impending recession – clearly, the cooler heads prevailed.

 

This is not to say that all areas of the markets were capable of navigating the sea of headlines and end the fiscal year with such positive results. Some of the most precarious pockets of the equity and bond markets found this past fiscal year to be far less lucrative than their predominately blue-chip and investment-grade counterparts. Specifically, small cap stocks and the lowest quality tier of high-yield bonds each treaded into negative territory numerous times during the 12-month period. Small cap stocks, as measured by the Russell 2000 Index, managed a 4.9 percent return by the end of the fiscal year, despite battling between negative and positive status through early October. In the bottom rating tiers of the debt market, specifically bonds rated CCC and lower, measured by the BofA Merrill Lynch CCC and Lower Cash Pay High-Yield Index, positive performance was difficult to muster for most of the fiscal year. After briefly managing a positive fiscal year-to-date return in late-spring, these bonds with the highest estimated risk of default withered back into negative territory and eventually ended the fiscal year down 2.6 percent. While investors in general continually demand income, even the 12 percent yield offered by these lowest-rated bonds was not sufficient to attract enough capital to end the period with a positive return.

 

We are keenly aware of how it is often difficult to focus purely on the fundamental information as we comb through the deluge of headlines and “noise” that inundates our inboxes every day. As investors, you are the ultimate target of most of those fear-inducing diatribes. At Dunham, our focus will always be clarity of thought and consistency, especially in these turbulent markets, and we greatly appreciate the opportunity to provide that for each of you.

 

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

October 31, 2019

1

 

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

 

Asset Class Recap

 

Since the commencement of the fiscal year, interest rates generally declined, a trend that coincided with bank loans trailing lower. This is primarily attributable to investors using bank loans as a means to potentially hedge the adverse effects of a rising interest rate environment. Therefore, as rising rate fears have substantially subsided from 12 months ago, the bank loan market has generally seen bank loan principal values shrink. While LIBOR declined close to 66 basis points since the start of the fiscal year, the average yield on bank loans increased 69 basis points. This disparity helps to evidence how the reduction in bank loan principal value was in excess of the amount needed to maintain a similar yield. What may be even more interesting is that high-yield traditional bonds, as measured by the BofA Merrill Lynch High- Yield Bond Index, ended the fiscal year with an average yield only 12 basis points higher than the average bank loan. For context, the fiscal year started with the spread between traditional high- yield bonds and bank loans at 140 basis points. During the most recent fiscal quarter, bank loans declined 0.4 percent while traditional high-yield bonds increased 1.0 percent. When considering the full fiscal year, bank loans increased 2.6 percent while traditional high-yield bonds rose 8.4 percent.

 

Portfolio Review

 

Higher quality credit within the bank loan space has consistently out performed lower tier credit all year as repayments and less issuance shrinks the size of the quality cohort at a time when investors are seeking safety. At the same time, the increased supply of lower tier credit comes when investors are placing greater scrutiny on riskier transactions. These two correlated factors broadly helped the Fund, as the Sub- Adviser generally focuses on the higher-rated bank loans. The sector with the highest overweight in the Fund continued to be gaming and the largest underweights were to the information technology and financial services sectors. As bank loan prices on average declined and the yield slightly increased, the overall duration saw a slight decline. The average duration of the Fund ended the fiscal year at 0.35 years. This very small duration is primarily attributable to some traditional bonds that the Fund holds. Overall, those positions comprise less than 10 percent of the Fund assets.

 

Holdings Insights

 

While the vast majority of the bank loans in the Fund saw their values fluctuate by less than one percent during the decline of the final fiscal quarter, only a handful appreciated more than one percent and nearly one quarter of the bank loans saw valuations decline by more than one percent. This overstates the overall loss to the Fund, as these are simply price declines and do not include the positive impact of the accrued interest on those same bank loans. As the average coupon on the bank loans in the Fund was slightly higher than five percent, these slight price declines were generally offset by the positive contribution from the coupon. Some of the largest losses during the fiscal year came in the final months of the period. Bank loans that had some of the largest price declines included the Securus Technologies Adj% loan maturing in 2024 (BL2438150) (holding weight*: 0.07 percent), a communication solutions provider for prisons, the Fieldwood Energy Adj% loan maturing in 2023 (BL2684480) (holding weight*: 0.02 percent), one of the largest offshore oil operators in the Gulf of Mexico, and the McDermott International Adj% loan maturing in 2025 (BL2604710) (holding weight*: 0.35 percent), an energy-related engineering, procurement, construction and installation company. While the Securus, Fieldwood, and McDermott loans experienced price declines of 42.0 percent, 36.7 percent, and 36.6 percent, respectively, two of the positions comprised less than 0.1 percent of the Fund even when combined. In addition, amid some of these large sell-offs during the final fiscal quarter, the Sub-Adviser found opportunities to enter into loans related to these same companies. For example, the Sub- Adviser added the McDermott Technology Adj% loan maturing in 2021 (BL3199017) (holding weight*: 0.31 percent), the processing technologies arm of McDermott International. Since it was added near the end of the fiscal year, the loan value appreciated 4.0 percent.

 

In regard to positive contributors, one of the stronger performers was the 21st Century Oncology Adj% loan maturing in 2023 (BL2629725) (holding weight*: 0.07 percent), a cancer care service provider including radiation therapy and integrated cancer treatments. Although the loan’s value had slumped close to 9 percent between March and mid-May, the loan value surged nearly 14 percent during the second half of the fiscal year as it continued to make headway following emerging from bankruptcy in 2018. However, its small position size in the Fund resulted in it having a low impact on overall performance. Conversely, the Diversey Adj% loan maturing in 2024 (BL2482646) (holding weight*: 0.38 percent), a provider of cleaning and hygiene products, and the Bass Pro loan maturing in 2023 (BL2282806) (holding weight*: 0.47 percent), an owner and operator of outdoor recreation superstores, were more sizable positions in the Fund, so their total return increases of between 1 percent and 4 percent during the fiscal year were more impactful. Both loans were rattled in the first half of the fiscal year, dropping between 5 and 11 percent. However, between a partial rebound and coupons ranging between five and six percent, the bonds eked out positive contributions to the Fund for the fiscal year.

 

Sub-Adviser Outlook

 

Debt covenants have continued to become less and less restrictive, posing additional risks for bond investors as defaults eventually experience a meaning rise. While the Sub- Adviser generally sought to shift the Fund’s exposure away from the lower rated credit qualities to higher-rated loans, it is still concerned how an adverse event may ripple through the space. Different qualities are generally represented by different industry groups, such as a higher weighting of energy and retail bonds within the lowest credit tiers, which makes lateral shifts in credit quality more cumbersome. Overall, the Sub- Adviser is optimistic about the enhanced yield prospects within the bank loan market, but remains cautious that bank loans have been singularly labeled as a means to reduce the risk of rising interest rates and therefore is concerned with how a flat-to-lower rate outlook may affect bank loan investor sentiment.

 

*Holdings percentage(s) of total investments as of 10/31/2019.

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2019
      Annualized
    Annualized Since Inception
  One Year Five Years (11/1/13)
Class N 1.88% 2.80% 2.57%
Class C 1.24% 2.06% 1.82%
Class A with load of 4.50% (2.92)% 1.58% 1.53%
Class A without load 1.63% 2.53% 2.31%
Credit Suisse Leveraged Loan Total Return Index 2.59% 3.95% 3.93%
S&P/LSTA Leveraged Loan 100 Index ** 2.67% 3.45% 3.43%
Morningstar Bank Loan Category 1.99% 3.02% 2.93%

 

(a)Total Returns are calculated based on traded NAVs.

 

**Change in Fund’s benchmark due to the implementation of the Sub- Adviser’s investment strategy primarily using the new benchmark index. 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
Dunham Floating Rate Bond Fund
October 31, 2019

 

   Variable  Principal   Interest  Maturity    
Security  Rate  Amount   Rate %  Date  Value 
ASSET BACKED SECURITIES - 0.9%                   
Barclays Commercial Mortgage Securities  1 mo LIBOR + 0.722%  $470,000   2.635 + 3/15/2037  $469,624 
Drive Auto Receivables Trust - 144A      470,000   2.900  8/15/2025   476,654 
Ellington Financial Mortgage Trust - 144A      427,400   2.934  6/25/2059   431,127 
Pretium Mortgage Credit Partners - 144A      315,010   4.826  9/25/2058   317,544 
TOTAL ASSET BACKED SECURITIES (Cost - $1,683,720)                 1,694,949 
                    
BANK LOANS - 91.7%                   
BASIC MATERIALS - 3.3%                   
Acuity Specialty Products, Inc., Initial Term Loan (First Lien)  LIBOR + 4.000%   274,400   6.085 + 8/11/2024   212,888 
Ascend Performance Materials Operations LLC, Initial Term Loan  LIBOR + 5.250%   225,000   7.152 + 8/27/2026   225,984 
ClearWater Paper Corp., Initial Term Loan  LIBOR + 3.250%   135,000   5.152 + 7/26/2026   135,169 
Covia Holdings Corp., Initial Term Loan  LIBOR + 4.000%   562,875   6.012 + 6/01/2025   395,923 
Element Solutions, Inc., Initial Term Loan  LIBOR + 2.250%   729,488   4.152 + 1/31/2026   733,022 
Graftech International Ltd., Initial Term Loan  LIBOR + 3.500%   374,750   5.402 + 2/12/2025   361,165 
H.B. Fuller Co., Commitment Loan  LIBOR + 2.000%   624,645   3.934 + 10/20/2024   623,836 
Hexion, Inc., USD Term Loan  LIBOR + 3.500%   573,563   5.589 + 7/01/2026   572,487 
Ineos US Finance LLC, New 2024 Dollar Term Loan  LIBOR + 2.000%   1,886,400   3.902 + 3/31/2024   1,869,781 
Kraton Polymers LLC, Dollar Replacement Term Loan (2018)  LIBOR + 2.500%   355,351   4.402 + 3/08/2025   353,460 
Omnova Solutions, Inc., Term B-2 Loan  LIBOR + 3.250%   495,459   5.152 + 8/25/2023   495,305 
US Salt LLC, Initial Term Loan  LIBOR + 4.750%   273,625   6.652 + 1/16/2026   273,967 
                  6,252,987 
COMMUNICATIONS - 16.2%                   
Advantage Sales & Marketing, Inc., Initial Term Loan (First Lien)  LIBOR + 3.250%   386,253   5.152 + 7/25/2021   361,485 
Altice France SA, USD TLB-13 Incremental Term Loan  LIBOR + 4.000%   232,650   6.002 + 8/14/2026   229,659 
CenturyLink, Inc., Initial Term B Loan  LIBOR + 2.750%   1,004,946   4.652 + 1/31/2025   996,218 
Charter Communications Operating LLC, Term B-2 Loan  LIBOR + 1.750%   2,245,013   3.686 + 2/01/2027   2,256,238 
Clear Channel Outdoor Holdings, Inc., Term B Loan  LIBOR + 3.500%   575,000   5.402 + 8/21/2026   576,797 
Commscope, Inc., Initial Term Loan  LIBOR + 3.250%   615,000   5.152 + 4/04/2026   604,431 
Consolidated Communications, Inc., Initial Term Loan  LIBOR + 3.000%   673,274   4.902 + 10/05/2023   626,565 
CSC Holdings, LLC, March 2017 Refinancing Term Loan  LIBOR + 2.250%   1,747,339   4.252 + 7/17/2025   1,742,404 
CSC Holdings, LLC, October 2018 Incremental Term Loan  LIBOR + 2.250%   377,150   4.252 + 1/15/2026   375,170 
Diamond Sports Group, LLC, Term Loan  LIBOR + 3.250%   910,000   5.190 + 8/24/2026   915,574 
Frontier Communications Corp., Term B-1 Loan  LIBOR + 3.750%   1,532,932   5.652 + 6/15/2024   1,530,441 
Go Daddy Operating Co. LLC, Tranche B-2 Term Loan  LIBOR + 1.750%   563,854   3.652 + 2/15/2024   565,136 
Hoya Midco LLC., Initial Term Loan (First Lien)  LIBOR + 3.500%   867,936   5.402 + 6/30/2024   844,792 
iHeart Communications, Inc., Escrow Bond #      1,605,000   —  5/01/2023   — 
iHeart Communications, Inc., Initial Term Loan  LIBOR + 4.000%   332,924   6.089 + 5/01/2026   334,484 
Iridium Communications, Inc., Term Loan B  LIBOR + 3.750%   105,000   5.806 + 10/18/2026   105,738 
LCPR Loan Financing LLC, Initial Term Loan  LIBOR + 5.000%   205,000   6.928 + 10/22/2026   206,730 
Level 3 Financing, Inc., Tranche B 2024 Term Loan  LIBOR + 2.250%   2,410,000   4.152 + 2/22/2024   2,416,025 
MCC Iowa LLC, Tranche M Term Loan  LIBOR + 2.000%   779,212   3.935 + 1/15/2025   782,134 
Mcgraw-Hill Global Education Holdings LLC, Term B Loan (First Lien)  LIBOR + 4.000%   988,940   5.902 + 5/04/2022   907,970 
Mediacom Illinois LLC, Tranche N Term Loan  LIBOR + 1.750%   643,487   3.685 + 2/15/2024   644,292 
Meredith Corp., Tranche B-1 Term Loan  LIBOR + 2.750%   520,864   4.652 + 1/31/2025   523,224 
Nexstar Broadcasting, Inc., Term B-4 Loan  LIBOR + 2.750%   1,240,000   4.686 + 9/18/2026   1,246,113 
Numericable US LLC, USD TLB-11 Term Loan  LIBOR + 2.750%   633,750   4.652 + 7/31/2025   615,187 
Numericable US LLC, USD TLB-12 Term Loan  LIBOR + 3.688%   321,578   5.690 + 1/31/2026   314,744 
Radiate Holdco LLC, Closing Date Term Loan  LIBOR + 3.000%   1,159,693   4.902 + 2/01/2024   1,149,226 
Red Ventures LLC, Term B-1 Loan (First Lien)  LIBOR + 3.000%   726,953   4.909 + 11/08/2024   726,350 
Rodan & Fields LLC, Closing Date Term Loan  LIBOR + 4.000%   636,938   6.002 + 6/16/2025   522,289 
SBA Senior Finance II LLC, Initial Term Loan  LIBOR + 2.000%   1,145,041   3.902 + 4/11/2025   1,149,203 
Securus Technologies Holdings, Inc., Initial Term Loan (First Lien)  LIBOR + 4.500%   199,451   6.402 + 11/01/2024   158,421 
Securus Technologies Holdings, Inc., Initial Loan (Second Lien)  LIBOR + 8.250%   255,000   10.152 + 11/01/2025   134,194 
Sinclair Television Group, Inc., Tranche B Term Loan  LIBOR + 2.250%   359,217   4.152 + 1/03/2024   359,330 
Sprint Communications, Inc., Initial Term Loan  LIBOR + 2.500%   1,037,921   4.402 + 2/03/2024   1,027,977 
Sprint Communications, Inc., 2019 Incremental Term Loan  LIBOR + 3.000%   652,225   4.902 + 2/03/2024   649,372 
Telenet Financing USD LLC., Term Loan AN Facility  LIBOR + 2.250%   680,000   4.227 + 8/15/2026   680,187 
Univision Communications, Inc., 2017 Replacement Repriced First-Lien Term Loan  LIBOR + 2.750%   2,264,710   4.652 + 3/15/2024   2,190,813 
Virgin Media Bristol LLC, K Facility  LIBOR + 2.500%   690,000   4.477 + 1/31/2028   688,023 
West Corporation, Initial Term B Loan  LIBOR + 4.000%   442,901   5.902 + 10/10/2024   370,139 

 

See accompanying notes to financial statements.

3

 

SCHEDULE OF INVESTMENTS
Dunham Floating Rate Bond Fund (Continued)
October 31, 2019

 

   Variable  Principal   Interest  Maturity    
Security  Rate  Amount   Rate %  Date  Value 
BANK LOANS - 91.7% (Continued)                   
COMMUNICATIONS - 16.2% (Continued)                   
West Corporation, Incremental Term B-1 Loan  LIBOR + 3.500%  $246,875   5.402 +  10/10/2024  $205,215 
Ziggo Secured Finance Partnership, Term Loan E Facility  LIBOR + 2.500%   890,000   4.502 +  4/15/2025   880,575 
                  30,612,865 
CONSUMER, CYCLICAL - 19.7%                   
84 Lumber Co., Term B-1 Loan  LIBOR + 5.250%   412,919   4.178 +  10/25/2023   413,777 
Accuride Corp., 2017 Refinancing Term Loan  LIBOR + 5.250%   448,555   7.335 +  11/10/2023   374,544 
Affinity Gaming, Initial Term Loan  LIBOR + 3.250%   356,415   5.152 +  7/03/2023   341,846 
American Airlines, Inc., 2017 Class B Term Loan  LIBOR + 2.000%   86,330   3.927 +  4/28/2023   86,364 
American Airlines, Inc., 2017 Class B Term Loan  LIBOR + 2.000%   489,559   4.002 +  12/14/2023   489,559 
American Airlines, Inc., 2018 Replacement Term Loan  LIBOR + 1.750%   422,358   3.685 +  6/27/2025   419,006 
American Axle & Manufacturing, Inc., Tranche B Term Loan  LIBOR + 2.250%   552,236   4.178 +  4/06/2024   527,157 
American Builders & Contractors Supply Co., Inc., Restatement Effective Date Term Loan  LIBOR + 2.000%   1,480,000   3.927 +  1/15/2027   1,479,541 
American Greetings Corp., Initial Term Loan  LIBOR + 4.500%   630,688   6.402 +  4/06/2024   614,920 
Aramark Intermediate HoldCo Corp., U.S. Term B-2 Loan  LIBOR + 1.750%   195,170   3.652 +  3/28/2024   195,819 
Aramark Intermediate HoldCo Corp., U.S. Term B-3 Loan  LIBOR + 1.750%   1,357,024   3.652 +  3/11/2025   1,360,980 
Aristocrat Leisure Ltd., Term B-3 Loan  LIBOR + 1.750%   1,405,019   3.684 +  10/19/2024   1,409,965 
Bass Pro Group LLC, Initial Term Loan  LIBOR + 5.000%   928,964   6.902 +  9/25/2024   898,605 
Boyd Gaming Corp., Refinancing Term B Loan  LIBOR + 2.250%   724,513   4.152 +  9/15/2023   726,494 
Caesars Resort Collection LLC, Term B Loan  LIBOR + 2.750%   1,940,438   4.652 +  12/22/2024   1,914,562 
Carlisle FoodService Products, Inc., Initial Term Loan (First Lien)  LIBOR + 3.000%   552,389   4.902 +  3/20/2025   523,388 
CDS US Intermediate Holdings, Inc., Term B Loan (First Lien)  LIBOR + 3.750%   619,169   5.835 +  7/08/2022   560,156 
CEOC LLC, Term B Loan  LIBOR + 2.000%   1,154,404   3.902 +  10/06/2024   1,155,310 
CityCenter Holdings LLC, Term B Loan  LIBOR + 2.250%   1,167,842   4.152 +  4/18/2024   1,169,027 
Crown Finance US, Inc., Initial Dollar Tranche Term Loan  LIBOR + 2.250%   680,287   4.152 +  2/28/2025   672,171 
CSC SW Holdco, Inc., Term B-1 Loan (First Lien)  LIBOR + 3.250%   574,808   5.253 +  11/14/2022   559,205 
DexKo Global, Inc., Replacement U.S. Dollar Term B Loan (First Lien)  LIBOR + 3.500%   511,864   5.402 +  7/24/2024   505,625 
Eldorado Resorts, Inc., Term Loan  LIBOR + 2.250%   723,252   4.255 +  4/17/2024   723,401 
Formula One Management Ltd., Facility B3 (USD)  LIBOR + 2.500%   615,202   4.416 +  2/01/2024   607,641 
Gateway Casinos & Entertainment Ltd., Initial Term Loan  LIBOR + 3.000%   498,688   5.085 +  12/01/2023   488,714 
Global Appliance, Inc., Tranche B Term Loan  LIBOR + 4.000%   926,926   5.902 +  9/29/2024   899,118 
Golden Nugget, Inc., Initial B Term Loan  LIBOR + 2.750%   1,357,994   4.655 +  10/04/2023   1,357,145 
GVC Holdings PLC, Facility B2 (USD)  LIBOR + 2.250%   566,375   4.457 +  3/16/2024   567,703 
HD Supply, Inc., Term B-5 Loan  LIBOR + 1.750%   840,999   3.652 +  10/17/2023   845,310 
Hilton Worldwide Finance LLC, Refinanced Series B-2 Term loan  LIBOR + 1.750%   1,208,344   3.678 +  6/21/2026   1,214,712 
Isagenix International LLC, Senior Lien Term Loan  LIBOR + 5.750%   552,967   7.849 +  6/14/2025   425,094 
Libbey Glass, Inc., Initial Loan  LIBOR + 3.000%   552,019   4.984 +  4/09/2021   434,025 
Michaels Stores, Inc., 2018 New Replacement Term B Loan  LIBOR + 2.500%   885,515   4.417 +  1/28/2023   864,849 
Navistar, Inc., Tranche B Term Loan  LIBOR + 3.500%   923,550   5.503 +  11/06/2024   916,041 
Neiman Marcus Group Ltd. LLC, Cash Pay Extended Term Loan  LIBOR + 6.000%   997,620   8.012 +  10/25/2023   732,767 
Panther BF Aggregator 2 LP, Initial Dollar Term Loan (First Lien)  LIBOR + 3.500%   1,045,000   5.409 +  4/30/2026   1,033,244 
PCI Gaming Authority, Term B Facility Loan  LIBOR + 3.000%   583,849   4.902 +  5/31/2026   588,412 
PetSmart, Inc., Amended Loan  LIBOR + 4.000%   603,641   6.002 +  3/11/2022   589,933 
Playa Resorts Holding BV, Initial Term Loan  LIBOR + 2.750%   835,456   4.652 +  4/29/2024   816,395 
Scientific Games International, Inc., Initial Term B-5 Loan  LIBOR + 2.750%   795,892   4.652 +  8/14/2024   787,993 
Serta Simmons Bedding LLC, Initial Term Loan (First Lien)  LIBOR + 3.500%   297,585   5.487 +  11/08/2023   177,212 
Siteone Landscape Supply LLC, Tranche E Term Loan  LIBOR + 2.750%   689,022   4.652 +  10/29/2024   691,606 
Stars Group Holdings BV, USD Term Loan  LIBOR + 3.500%   514,921   5.585 +  7/10/2025   517,769 
Station Casinos LLC, Term B Facility Loan  LIBOR + 2.500%   864,389   4.402 +  6/08/2023   866,463 
Tenneco, Inc., Tranche B Term Loan  LIBOR + 3.000%   789,038   4.902 +  10/01/2025   720,656 
TI Group Automotive Systems LLC, Initial US Term Loan  LIBOR + 2.500%   356,576   4.402 +  6/30/2022   354,182 
TKC Holdings, Inc., Initial Term Loan (First Lien)  LIBOR + 3.750%   701,847   5.652 +  2/01/2023   681,796 
UFC Holdings LLC, Term Loan (First Lien)  LIBOR + 3.250%   1,275,843   5.152 +  4/29/2026   1,276,800 
Univar USA, Inc., Term B-3 Loan  LIBOR + 2.250%   718,439   4.152 +  7/01/2024   721,658 
WestJet Airlines Ltd., Term Loan B  LIBOR + 3.000%   780,000   5.181 +  10/08/2026   784,715 
                  37,083,375 
CONSUMER, NON-CYCLICAL - 19.4%                   
21st Century Oncology, Inc., Tranche B Term Loan  LIBOR + 6.125%   144,046   8.128 +  1/16/2023   136,124 
Accelerated Health Systems LLC, Initial Term Loan  LIBOR + 3.500%   461,513   5.484 +  10/31/2025   462,380 
Advanz Pharma Corp., Initial Dollar Term Loan  LIBOR + 5.500%   89,180   7.409 +  9/06/2024   84,084 
Agiliti Health, Inc., Initial Term Loan  LIBOR + 3.000%   432,825   5.089 +  1/04/2026   432,273 
AHP Health Partners, Inc., Term Loan  LIBOR + 4.500%   577,688   6.402 +  6/30/2025   578,626 
Albertson’s LLC, 2019-1 Term B-7 Loan  LIBOR + 2.750%   859,227   4.652 +  11/17/2025   864,464 

 

See accompanying notes to financial statements.

4

 

SCHEDULE OF INVESTMENTS
Dunham Floating Rate Bond Fund (Continued)
October 31, 2019

 

   Variable  Principal   Interest  Maturity    
Security  Rate  Amount   Rate %  Date  Value 
BANK LOANS - 91.7% (Continued)                   
CONSUMER, NON-CYCLICAL - 19.4% (Continued)                   
Albertson’s LLC, 2019 Term B-8 Loan  LIBOR + 2.750%  $383,826   4.652 +  8/17/2026  $386,169 
AlixPartners LLP, 2017 Refinancing Term Loan  LIBOR + 2.750%   940,424   4.652 +  4/04/2024   941,139 
Amneal Pharmaceuticals LLC, Initial Term Loan  LIBOR + 3.500%   602,234   5.402 +  5/04/2025   461,913 
Atlantic Aviation FBO, Inc., Initial Term Loan  LIBOR + 3.750%   129,025   5.652 +  12/06/2025   129,831 
Avantor, Inc., Initial B-2 Dollar Term Loan  LIBOR + 3.000%   252,868   4.902 +  11/21/2024   254,764 
Bausch Health Companies, Inc., Initial Term Loan  LIBOR + 3.000%   1,083,403   5.002 +  6/02/2025   1,088,425 
Bausch Health Companies, Inc., First Incremental Term Loan  LIBOR + 2.750%   188,125   4.752 +  11/27/2025   188,569 
Change Healthcare Holdings, Inc., Closing Date Term Loan  LIBOR + 2.500%   775,173   4.402 +  3/01/2024   771,541 
CHG Healthcare Services, Inc., New Term Loan (2017) (First Lien)  LIBOR + 3.000%   362,165   4.902 +  6/07/2023   362,197 
CHG PPC Parent LLC, Initial Term Loan (First Lien)  LIBOR + 2.750%   582,625   4.652 +  3/31/2025   581,168 
Chobani LLC, New Term Loan (First Lien)  LIBOR + 3.500%   1,039,118   5.402 +  10/10/2023   1,018,767 
CPI Acquisition, Inc., Term Loan (First Lien)  LIBOR + 4.500%   1,013,336   6.484 +  8/17/2022   788,644 
Diamond BV, Initial USD Term Loan  LIBOR + 3.000%   778,160   4.902 +  9/06/2024   727,385 
Dole Food Company, Inc., Tranche B Term Loan  LIBOR + 2.750%   904,396   4.677 +  4/06/2024   891,056 
Envision Healthcare Corp., Initial Term Loan  LIBOR + 3.750%   1,338,384   5.652 +  10/10/2025   1,087,015 
Explorer Holdings, Inc., Initial Term Loan  LIBOR + 3.750%   583,914   5.835 +  5/02/2023   583,914 
Fort Dearborn Holding Company, Inc., Initial Term Loan (First Lien)  LIBOR + 4.000%   390,594   5.986 +  10/19/2023   376,923 
Garda World Security Corp., Initial Term Loan  LIBOR + 4.750%   750,000   6.659 +  10/24/2026   747,031 
Gentiva Health Services, Inc., Closing Data Initial Term Loan (First Lien)  LIBOR + 3.750%   294,257   5.652 +  7/02/2025   294,257 
Greatbatch Ltd., New Term B Loan (2017)  LIBOR + 3.000%   551,763   5.010 +  10/27/2022   554,944 
Greenrock Finance, Inc., Initial USD Term B Loan (First Lien)  LIBOR + 3.500%   250,538   5.585 +  6/05/2024   251,007 
Heartland Dental, LLC, Initial Term Loan  LIBOR + 3.750%   603,522   5.652 +  4/30/2025   587,528 
Herbalife Nutrition Ltd., Term Loan B  LIBOR + 3.250%   242,550   5.152 +  8/16/2025   243,599 
H-Food Holdings LLC, Initial Term Loan  LIBOR + 3.688%   469,063   5.590 +  5/31/2025   436,130 
Hostess Brands LLC, 2019 Refinancing Term B Loan (First Lien)  LIBOR + 2.250%   916,102   4.152 +  8/03/2025   912,955 
Jaguar Holding Company I LLC, 2018 Term Loan  LIBOR + 2.500%   1,149,314   4.402 +  8/18/2022   1,148,464 
JBS USA Lux S.A., New Term Loan  LIBOR + 2.500%   736,300   4.402 +  5/01/2026   739,562 
Kronos Acquisition Intermediate, Inc., Initial Loan  LIBOR + 4.000%   1,186,837   5.936 +  5/15/2023   1,124,854 
Milk Specialties Company, New Term Loan  LIBOR + 4.000%   527,767   5.902 +  8/16/2023   491,895 
NAB Holdings LLC, 2018 Refinancing Term Loan  LIBOR + 3.000%   962,357   5.085 +  6/30/2024   956,342 
National Mentor Holdings, Inc., Initial Term Loan (First Lien)  LIBOR + 4.250%   201,469   6.335 +  3/08/2026   201,952 
National Mentor Holdings, Inc., Initial Term C Loan (First Lien)  LIBOR + 4.250%   7,895   6.152 +  3/08/2026   7,914 
NVA Holdings, Inc., Term B-3 Loan (First Lien)  LIBOR + 2.750%   768,339   4.652 +  2/02/2025   768,339 
NVA Holdings, Inc., Incremental Term B-4 Loan  LIBOR + 3.500%   19,950   5.402 +  2/02/2025   19,975 
Ortho-Clinical Diagnostics, Inc., Second Amendment New Term Loan  LIBOR + 3.250%   987,605   5.277 +  6/30/2025   946,046 
Parexel International Corp., Initial Term Loan  LIBOR + 2.750%   551,967   4.652 +  9/27/2024   528,114 
Parfums Holding Co., Inc., Initial Term Loan (First Lien)  LIBOR + 4.250%   637,041   6.388 +  6/30/2024   631,750 
PetVet Care Centers LLC, Initial Term Loan (First Lien)  LIBOR + 2.750%   896,122   4.652 +  2/14/2025   874,091 
Phoenix Guarantor, Inc., Initial Term Loan (First Lien)  LIBOR + 4.500%   134,663   6.512 +  3/05/2026   134,642 
Prime Security Services Borrower LLC, 2019 Refinancing Term B-1 Loan (First Lien)  LIBOR + 3.250%   783,582   5.277 +  9/23/2026   757,994 
Refinitiv US Holdings, Inc., Initial Dollar Term Loan  LIBOR + 3.750%   932,950   5.652 +  10/01/2025   938,725 
Regionalcare Hospital Partners Holdings, Inc., Term B Loan (First Lien)  LIBOR + 4.500%   798,963   6.436 +  11/16/2025   798,128 
Revlon Consumer Products Corp., Initial Term B Loan  LIBOR + 3.500%   646,712   5.637 +  9/07/2023   510,230 
Sage Borrowco LLC, Term B Loan (First Lien)  LIBOR + 4.750%   284,288   6.659 +  6/20/2026   285,709 
Select Medical Corp., Tranche B Term Loan  LIBOR + 2.500%   563,789   4.613 +  3/06/2025   562,146 
Shearer’s Foods LLC, Refinancing Term Loan (First Lien)  LIBOR + 4.250%   695,000   6.152 +  3/27/2022   694,569 
Sigma Holdco BV, Facility B2  LIBOR + 3.000%   852,292   5.017 +  7/02/2025   843,313 
Sotera Health Holdings LLC, Incremental Term Loan  LIBOR + 3.000%   1,006,341   4.902 +  5/15/2022   991,563 
Sotera Health Holdings LLC, Incremental Term Loan (2019)  LIBOR + 3.500%   438,900   5.402 +  5/16/2022   438,351 
St. George’s University Scholastic Services LLC, Term Loan  LIBOR + 3.500%   851,557   5.402 +  7/17/2025   853,332 
Surgery Center Holdings, Inc., Initial Term Loan  LIBOR + 3.250%   749,700   5.152 +  8/31/2024   725,961 
Trans Union LLC, 2017 Replacement Term B-3 Loan  LIBOR + 2.000%   1,273,572   3.909 +  4/09/2023   1,277,813 
Viant Medical Holdings, Inc., Initial Term Loan (First Lien)  LIBOR + 3.750%   173,250   5.835 +  7/02/2025   162,422 
WEX, Inc., Term B-3 Loan  LIBOR + 2.250%   876,851   4.152 +  5/17/2026   881,630 
                  36,520,648 
ENERGY - 3.2%                   
Buckeye Partners LP, Term Loan  LIBOR + 2.750%   265,000   4.753 +  10/16/2026   266,544 
California Resources Corp., Initial Loan  LIBOR + 4.750%   405,000   6.659 +  12/31/2022   350,528 
CITGO Holding, Inc., Term Loan  LIBOR + 7.000%   145,000   8.902 +  8/01/2023   146,662 
CITGO Petroleum Corp., 2019 Incremental Term B Loan  LIBOR + 5.000%   875,600   7.085 +  3/27/2024   877,789 
Fieldwood Energy LLC, Closing Date Loan (First Lien)  LIBOR + 5.250%   605,554   7.152 +  4/11/2022   489,893 
Fieldwood Energy LLC, Closing Date Loan 2018 (Second Lien)  LIBOR + 7.250%   81,748   9.152 +  4/11/2023   42,917 

 

See accompanying notes to financial statements.

5

 

SCHEDULE OF INVESTMENTS
Dunham Floating Rate Bond Fund (Continued)
October 31, 2019

 

   Variable  Principal   Interest  Maturity    
Security  Rate  Amount   Rate %  Date  Value 
BANK LOANS - 91.7% (Continued)                   
ENERGY - 3.2% (Continued)                   
Gavilan Resources LLC, Initial Term Loan (Second Lien)  LIBOR + 6.000%  $490,000   7.902 +  3/01/2024  $218,150 
McDermott International, Inc., Term Loan  LIBOR + 10.000%   573,269   11.934 +  10/21/2021   596,200 
McDermott International, Inc., Term Loan  LIBOR + 5.000%   1,098,275   7.085 +  5/10/2025   667,477 
Medallion Midland Acquisition LLC, Initial Term Loan  LIBOR + 3.250%   763,925   5.152 +  10/30/2024   721,271 
MRC Global Inc., 2018 Refinancing Term Loan  LIBOR + 3.000%   750,273   4.902 +  9/22/2024   742,770 
Paragon Offshore Finance Co., Term Loan  LIBOR + 2.750%   1,153   4.752 +  7/16/2021   — 
Seadrill Operating LP, Initial Term Loan  LIBOR + 6.000%   466,172   8.085 +  2/21/2021   238,580 
Traverse Midstream Partners LLC, Advance  LIBOR + 4.000%   374,832   5.909 +  9/27/2024   330,789 
Ultra Resources, Inc., Loan  LIBOR + 4.000%   661,675   5.936 +  4/12/2024   397,713 
                  6,087,283 
FINANCIAL - 5.7%                   
Asurion LLC, Amendment No. 14 Replacement B-4 Term Loan  LIBOR + 3.000%   514,349   4.902 +  8/04/2022   515,220 
Asurion LLC, Replacement B-6 Term Loan  LIBOR + 3.000%   322,234   4.902 +  11/03/2023   323,011 
Asurion LLC, New B-7 Term Loan  LIBOR + 3.000%   385,125   4.902 +  11/03/2024   385,968 
Asurion LLC, Second Lien Replacement B-2 Term Loan  LIBOR + 6.500%   607,456   8.402 +  8/04/2025   611,632 
Blackhawk Network Holdings, Inc., Term Loan (First Lien)  LIBOR + 3.000%   866,301   4.902 +  6/16/2025   860,579 
Capital Automotive LP, Initial Tranche B-2 Term Loan (First Lien)  LIBOR + 2.500%   445,464   4.402 +  3/25/2024   445,861 
Capital Automotive LP, Initial Tranche B Term Loan (Second Lien)  LIBOR + 6.000%   439,812   7.902 +  3/24/2025   442,011 
Ellie Mae, Inc., Term Loan (First Lien)  LIBOR + 4.000%   1,045,000   5.902 +  4/16/2026   1,040,428 
FinCo I LLC, 2018 Replacement Loan  LIBOR + 2.000%   282,020   3.902 +  12/27/2022   282,814 
iStar, Inc., Loan  LIBOR + 2.750%   846,672   4.730 +  6/28/2023   848,789 
Lightstone Holdco LLC, Refinancing Term B Loan  LIBOR + 3.750%   470,678   5.652 +  1/30/2024   439,569 
Lightstone Holdco LLC, Refinancing Term C Loan  LIBOR + 3.750%   26,547   5.652 +  1/30/2024   24,793 
MGM Growth Properties Operating Partnership LP, Term B Loan  LIBOR + 2.000%   908,164   3.902 +  3/25/2025   912,074 
Pl UK Holdco II Ltd., Facility B1  LIBOR + 3.250%   1,846,875   5.152 +  1/03/2025   1,838,795 
Sedgwick Claims Management Services, Inc., Initial Term Loan  LIBOR + 3.250%   1,359,725   5.152 +  12/31/2025   1,322,013 
Sedgwick Claims Management Services, Inc., 2019 Term Loan  LIBOR + 4.000%   194,513   5.902 +  9/30/2026   193,378 
Uniti Group, Inc., Shortfall Term Loan  LIBOR + 5.000%   292,128   6.902 +  10/24/2022   281,942 
                  10,768,877 
INDUSTRIALS - 14.8%                   
Anchor Glass Container Corp., July 2017 Additional Term Loan (First Lien)  LIBOR + 2.750%   425,896   4.756 +  12/07/2023   321,978 
Anchor Glass Container Corp., Term Loan (Second Lien)  LIBOR + 7.750%   244,000   9.762 +  12/07/2024   138,318 
Berlin Packaging LLC, Initial Term Loan (First Lien)  LIBOR + 3.000%   587,563   5.721 +  11/07/2025   572,383 
Berry Global, Inc., Term W Loan  LIBOR + 2.000%   308,192   3.953 +  10/01/2022   309,511 
Berry Global, Inc., Term X Loan  LIBOR + 2.000%   518,710   3.953 +  1/19/2024   520,754 
Berry Global, Inc., Term U Loan  LIBOR + 2.500%   1,182,038   4.486 +  7/01/2026   1,187,410 
Brand Energy & Infrastructure Services, Inc., Initial Term Loan  LIBOR + 4.250%   694,515   6.224 +  6/21/2024   675,850 
Brookfield WEC Holdings, Inc., Initial Term Loan (First Lien)  LIBOR + 3.500%   839,386   5.402 +  8/01/2025   835,365 
BWay Holding Co., Initial Term Loan  LIBOR + 3.250%   818,108   5.251 +  4/03/2024   797,516 
Circor International, Inc., Initial Term Loan  LIBOR + 3.500%   578,886   5.502 +  12/11/2024   575,051 
CPG International LLC, New Term Loan  LIBOR + 3.750%   1,937,646   5.835 +  5/06/2024   1,913,425 
CPI Holdco LLC, Term Loan B  LIBOR + 4.250%   190,000   6.306 +  10/29/2026   190,000 
Crosby US Acquisition Corp., Initial Term Loan (First Lien)  LIBOR + 4.750%   428,925   6.686 +  6/27/2026   408,373 
Dynasty Acquisition Co., Inc., Initial Term B-1 Loan  LIBOR + 4.000%   399,965   6.085 +  4/06/2026   401,373 
Dynasty Acquisition Co., Inc., Initial Term B-2 Loan  LIBOR + 4.000%   215,035   6.085 +  4/06/2026   215,792 
Filtration Group Corp., Initial Dollar Term Loan  LIBOR + 3.000%   819,845   4.902 +  3/29/2025   820,230 
Fluidra SA, USD Term Loan  LIBOR + 2.250%   832,395   4.152 +  7/02/2025   833,955 
Gardner Denver, Inc., Tranche B-1 Dollar Term Loan  LIBOR + 2.750%   999,411   4.652 +  7/30/2024   1,002,709 
Gates Global LLC, Initial B-2 Dollar Term Loan  LIBOR + 2.750%   917,087   4.652 +  3/31/2024   900,552 
GFL Environmental, Inc., Effective Date Incremental Term Loan  LIBOR + 3.000%   608,835   4.902 +  5/30/2025   607,693 
Gopher Resource LLC, Initial Term Loan  LIBOR + 3.250%   465,182   5.152 +  3/06/2025   459,948 
Hillman Group, Inc., Initial Term Loan  LIBOR + 4.000%   701,125   5.902 +  5/31/2025   665,017 
Klockner Pentaplast Of America, Inc., Dollar Term Loan  LIBOR + 4.250%   1,057,500   6.152 +  6/30/2022   880,808 
KSBR Holding Corp., Initial Term Loan  LIBOR + 4.250%   562,175   6.184 +  4/15/2026   564,292 
NN, Inc., 2017 Incremental Term Loan  LIBOR + 3.250%   171,000   5.152 +  4/03/2021   166,475 
NN, Inc., Tranche B Term Loan  LIBOR + 3.750%   211,966   5.652 +  10/19/2022   206,844 
Patriot Container Corp., Closing Date Term Loan (First Lien)  LIBOR + 3.500%   630,400   5.402 +  3/20/2025   619,368 
Quikrete Holdings, Inc., Initial Loan (First Lien)  LIBOR + 2.750%   786,538   4.652 +  11/15/2023   784,450 
RBS Global, Inc., Refinancing Term Loan  LIBOR + 2.000%   800,971   3.902 +  8/21/2024   806,378 
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan  LIBOR + 2.750%   1,175,563   4.652 +  2/05/2023   1,176,838 
Spectrum Holdings III Corp., Clsing Date Term Loan (First Lien)  LIBOR + 3.250%   434,730   5.152 +  1/31/2025   369,883 
Summit Materials LLC, New Term Loan  LIBOR + 2.000%   1,325,397   3.902 +  11/21/2024   1,329,744 

 

See accompanying notes to financial statements.

6

 

SCHEDULE OF INVESTMENTS
Dunham Floating Rate Bond Fund (Continued)
October 31, 2019

 

   Variable  Principal   Interest  Maturity    
Security  Rate  Amount   Rate %  Date  Value 
BANK LOANS - 91.7% (Continued)                   
INDUSTRIALS - 14.8% (Continued)                   
Titan Acquisition Ltd., Initial Term Loan  LIBOR + 3.000%  $1,004,700   4.902 +  3/28/2025  $952,581 
Transdigm, Inc., New Tranche F Term Loan (2018)  LIBOR + 2.500%   1,286,083   4.402 +  6/09/2023   1,281,961 
Transdigm, Inc., New Tranche G Term Loan  LIBOR + 2.500%   734,171   4.402 +  8/22/2024   729,755 
Transdigm, Inc., New Tranche E Term Loan (2018)  LIBOR + 2.500%   793,117   4.402 +  5/30/2025   788,117 
Tricorbraun Holdings, Inc., Closing Date Term Loan (First Lien)  LIBOR + 3.750%   634,572   5.837 +  11/30/2023   621,288 
Trident TPI Holdings, Inc., Tranche B-1 Term Loan  LIBOR + 3.250%   722,716   5.152 +  10/05/2024   682,667 
Tunnel Hill Partners LP, Initial Term Loan  LIBOR + 3.500%   651,725   5.402 +  2/08/2026   650,506 
US Farathane LLC, Term B-4 Loan  LIBOR + 3.500%   366,532   5.402 +  12/23/2021   335,377 
Vertiv Group Corp., Term B Loan  LIBOR + 4.000%   565,000   5.902 +  11/15/2023   534,137 
                  27,834,672 
TECHNOLOGY - 7.8%                   
Applied Systems, Inc., Closing Date Term Loan (First Lien)  LIBOR + 3.000%   686,643   5.085 +  9/19/2024   683,643 
Applied Systems, Inc., Initial Term Loan (Second Lien)  LIBOR + 7.000%   105,000   9.085 +  9/19/2025   106,531 
Astin Finco SARL, Dollar Term Loan (First Lien)  LIBOR + 4.250%   240,000   6.234 +  10/09/2026   238,500 
Azalea TopCo, Inc., Initial Term Loan (First Lien)  LIBOR + 3.500%   300,000   5.402 +  7/26/2026   295,875 
Boxer Parent Company, Inc., Initial Dollar Term Loan  LIBOR + 4.250%   1,314,200   6.152 +  10/02/2025   1,221,739 
Dell International LLC, Refinancing Term B-1 Loan  LIBOR + 2.000%   1,401,612   3.902 +  9/19/2025   1,408,781 
Dun & Bradstreet Corp., Initial Term Borrowing  LIBOR + 5.000%   565,000   6.936 +  2/06/2026   567,294 
DynCorp International, Inc., Term Loan  LIBOR + 6.000%   310,000   8.003 +  8/15/2025   303,995 
Everi Payments, Inc., Term B Loan  LIBOR + 3.000%   724,661   4.902 +  5/09/2024   725,024 
Iqvia, Inc., Term B-1 Dollar Loan  LIBOR + 2.000%   144,019   4.085 +  3/07/2024   144,664 
Iqvia, Inc., Incremental Term B-2 Dollar Loan  LIBOR + 2.000%   73,500   4.085 +  1/18/2025   73,791 
Iqvia, Inc., Term B-3 Dollar Loan  LIBOR + 1.750%   1,138,610   3.835 +  6/11/2025   1,139,413 
Kronos, Inc., Incremental Term Loan (First Lien)  LIBOR + 3.000%   2,250,628   5.287 +  11/01/2023   2,249,042 
Kronos, Inc., Initial Term Loan (Second Lien)  LIBOR + 8.250%   120,000   10.537 +  11/01/2024   121,328 
Navircure, Inc., Initial Term Loan (First Lien)  LIBOR + 4.000%   165,000   5.936 +  10/22/2026   164,773 
NCR Corp., Initial Term Loan (2019)  LIBOR + 2.500%   136,813   4.402 +  8/08/2026   137,012 
Neustar, Inc., TLB4 (First Lien)  LIBOR + 3.500%   230,300   5.402 +  8/08/2024   220,915 
Presidio Holdings, Inc., Term B Loan  LIBOR + 2.750%   504,823   4.833 +  2/02/2024   505,587 
Rackspace Hosting, Inc., Term B Loan (First Lien)  LIBOR + 3.000%   561,477   5.209 +  11/03/2023   501,233 
SS&C Technologies Holdings, Inc., Term B-3 Loan  LIBOR + 2.250%   582,086   4.152 +  4/16/2025   584,342 
SS&C Technologies Holdings, Inc., Term B-4 Loan  LIBOR + 2.250%   379,974   4.152 +  4/16/2025   381,465 
SS&C Technologies Holdings, Inc., Term B-5 Loan  LIBOR + 2.250%   272,218   4.152 +  4/16/2025   273,325 
Tempo Acquisition LLC, Initial Term Loan  LIBOR + 3.000%   547,400   4.902 +  5/01/2024   548,541 
Vertafore, Inc., Initial Term Loan (First Lien)  LIBOR + 3.250%   1,541,639   5.152 +  7/02/2025   1,499,244 
Zelis Cost Management Buyer, Inc., Initial Term Loan  LIBOR + 4.750%   590,000   6.652 +  9/30/2026   584,838 
                  14,680,895 
UTILITIES - 1.6%                   
APLP Holdings LP, Term Loan  LIBOR + 2.750%   254,286   4.652 +  4/13/2023   254,710 
Calpine Construction Finance Co. LP, Term B Loan  LIBOR + 2.500%   711,489   4.402 +  1/15/2025   712,887 
Calpine Corp., Term Loan  LIBOR + 2.500%   374,036   4.402 +  8/12/2026   373,978 
Pacific Gas and Electric Company, Initial Term Loan (DIP)  LIBOR + 2.250%   155,000   4.190 +  12/31/2020   154,903 
Talen Energy Supply LLC, Initial Term Loan  LIBOR + 3.750%   515,000   5.734 +  7/08/2026   509,850 
Texas Competitive Electric Holdings Co. LLC Escrow Bonds #      635,000   —     10/01/2049   445 
Vistra Operations Co. LLC, Initial Term Loan  LIBOR + 2.000%   154,827   3.902 +  8/04/2023   155,512 
Vistra Operations Co. LLC, 2018 Incremental Term Loan  LIBOR + 2.000%   811,563   3.928 +  12/31/2025   815,219 
                  2,977,504 
TOTAL BANK LOANS (Cost - $177,563,176)                 172,819,106 
                    
BONDS & NOTES - 3.8%                   
AUTO PARTS & EQUIPMENT - 0.0%                   
Panther BF Aggregator 2 LP - 144A      25,000   6.250     5/15/2026   26,492 
                    
COMPUTERS - 0.1%                   
Exela Intermediate LLC - 144A      520,000   10.000     7/15/2023   250,900 
                    
DIVERSIFIED FINANCIAL SERVICES - 0.1%                   
Springleaf Finance Corp.      250,000   6.125     5/15/2022   270,000 
                    
ELECTRIC - 0.3%                   
Vistra Operations Co. LLC - 144A      460,000   3.550     7/15/2024   471,603 

 

See accompanying notes to financial statements.

7

 

SCHEDULE OF INVESTMENTS
Dunham Floating Rate Bond Fund (Continued)
October 31, 2019

 

   Principal   Interest  Maturity    
Security  Amount   Rate %  Date  Value 
BONDS & NOTES - 3.8% (Continued)                
FOOD - 0.1%                
Dole Food Co., Inc. - 144A  $175,000   7.250  6/15/2025  $167,562 
                 
HEALTHCARE-SERVICES - 0.7%                
Eagle Holding Co. II LLC - 144A   175,000   4.625  5/15/2022   176,969 
Eagle Holding Co. II LLC - 144A   280,000   7.750  5/15/2022   284,900 
One Call Corp. - 144A   638,167   7.500  7/01/2024   480,221 
Tenet Healthcare Corp.   405,000   4.625  7/15/2024   418,669 
               1,360,759 
HOME BUILDERS - 0.3%                
Lennar Corp.   420,000   2.950  11/29/2020   421,575 
TRI Pointe Group, Inc.   130,000   4.875  7/01/2021   134,225 
               555,800 
INSURANCE - 0.1%                
Acrisure LLC - 144A   90,000   8.125  2/15/2024   95,654 
                 
MEDIA - 0.6%                
CCO Holdings LLC - 144A   180,000   4.000  3/01/2023   183,600 
Clear Channel Worldwide Holdings, Inc. - 144A   65,000   5.125  8/15/2027   67,823 
Diamond Sports Group LLC - 144A   210,000   5.375  8/15/2026   219,975 
DISH DBS Corp.   175,000   5.875  7/15/2022   183,673 
iHeartCommunications, Inc.   96,514   6.375  5/01/2026   103,994 
iHeartCommunications, Inc.   174,933   8.375  5/01/2027   188,490 
Sirius XM Radio, Inc. - 144A   85,000   4.625  7/15/2024   89,038 
               1,036,593 
OIL & GAS - 0.1%                
Denbury Resources, Inc. - 144A   60,000   9.250  3/31/2022   49,500 
Denbury Resources, Inc. - 144A   185,000   7.750  2/15/2024   136,900 
               186,400 
PACKAGING & CONTAINERS - 0.1%                
Ardagh Packaging Finance PLC - 144A   235,000   6.000  2/15/2025   247,338 
                 
PHARMACEUTICALS - 0.2%                
Bausch Health Companies, Inc. - 144A   445,000   5.500  11/01/2025   466,698 
                 
PIPELINES - 0.1%                
Energy Transfer Operating LP   190,000   4.250  3/15/2023   199,308 
                 
PRIVATE EQUITY - 0.2%                
Icahn Enterprises LP   310,000   6.250  2/01/2022   318,137 
                 
REAL ESTATE INVESTMENT TRUSTS - 0.2%                
iStar, Inc.   60,000   6.000  4/01/2022   61,725 
iStar, Inc.   335,000   5.250  9/15/2022   343,794 
               405,519 
RETAIL - 0.1%                
Cumberland Farms, Inc. - 144A   125,000   6.750  5/01/2025   134,037 
                 
SEMICONDUCTORS - 0.5%                
Broadcom, Inc. - 144A   1,000,000   3.125  10/15/2022   1,018,765 
                 
TELECOMMUNICATIONS - 0.0%                
Frontier Communications Corp.   90,000   8.500  4/15/2020   52,200 
                 
TOTAL BONDS & NOTES (Cost - $7,657,330)              7,263,765 

 

See accompanying notes to financial statements.

8

 

SCHEDULE OF INVESTMENTS
Dunham Floating Rate Bond Fund (Continued)
October 31, 2019

 

Security  Shares         Value 
COMMON STOCK - 0.1%                
ADVERTISING - 0.1%                
Clear Channel Outdoor Holdings, Inc. *   40,131         $93,506 
                 
MEDIA - 0.0%                
iHeartMedia, Inc. - Class A *   2,133          30,587 
iHeartMedia, Inc. - Class B *   29          377 
               30,964 
                 
TOTAL COMMON STOCK (Cost - $271,898)              124,470 
                 
EXCHANGE TRADED FUNDS - 0.8%                
iShares iBoxx High Yield Corporate Bond ETF   5,000          434,050 
SPDR Bloomberg Barclays High Yield Bond ETF   5,000          540,950 
SPDR Bloomberg Barclays Short Term High Yield Bond ETF   20,000          535,800 
TOTAL EXCHANGE TRADED FUNDS - (Cost - $1,520,623)              1,510,800 
                 
           Expiration     
           Date     
RIGHTS - 0.0%                
TRA Rights   10,588      11/22/2049   9,370 
TOTAL RIGHTS (Cost - $17,470)                
                 
WARRANTS - 0.1%                
iHeartMedia, Inc.   14,905      5/01/2039   208,329 
TOTAL WARRANTS (Cost - $287,609)                
                 
   Principal   Interest  Maturity     
   Amount   Rate %  Date     
U.S. GOVERNMENT - 1.1%                
Treasury Bill  $2,000,000   1.471 +  12/05/2019   1,997,190 
TOTAL U.S. GOVERNMENT (Cost - $1,996,355)                
                 
SHORT-TERM INVESTMENT - 1.0%  Shares            
MONEY MARKET FUND - 1.0%                
Fidelity Investments Money Market Fund - Class I   1,812,679   1.720 +      1,812,679 
TOTAL SHORT-TERM INVESTMENT - (Cost - $1,812,679)                
                 
TOTAL INVESTMENTS - 99.5% (Cost - $192,810,860)              187,440,658 
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5%              967,198 
NET ASSETS - 100.0%             $188,407,856 

 

ETF - Exchange Traded Fund

 

LIBOR - London Inter-bank Offered Rate

 

LP - Limited Partnership

 

LLC - Limited Liability Company

 

LLP - Limited Liability Partnership

 

PLC - Public Limited Company

 

SARL - Société à Responsabilité Limitée

 

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 October 31, 2019 the total market value of 144A securities is $5,793,300 or 3.07% of net assets.

 

*Non-Income producing security.

 

+Variable rate security. Interest rate is as of October 31, 2019.

 

#Fair Value estimated using fair value procedures adopted by Board of Trustees. Total Value of such securities is $445 or 0.0% of net assets as of October 31, 2019.

 

See accompanying notes to financial statements.

9

 

SCHEDULE OF INVESTMENTS
Dunham Floating Rate Bond Fund (Continued)
October 31, 2019

 

Portfolio Composition * - (Unaudited) 
Bank Loans   92.2%  Financial   0.6%
U.S. Government   1.1%  Consumer, Cyclical   0.4%
Consumer, Non-Cyclical   1.0%  Utilities   0.3%
Short-Term Investment   1.0%  Energy   0.2%
Assets Backed Securities   0.9%  Industrial   0.1%
Exchange Traded Funds   0.8%  Warrants   0.1%
Technology   0.7%  Rights   0.0%
Communications   0.6%  Total   100.0%

 

*Based on total value of investments as of October 31, 2019.

 

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

 

See accompanying notes to financial statements.

10

 

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

 

Asset Class Recap

 

Although the magnitude of yield curve inversion dissipated since the start of the fiscal year, Treasury yields across maturities remained extremely flat. Therefore, opportunities to capitalize on yield spreads were primarily through corporate bonds and other debt securities. Treasury yields broadly fell during the fiscal year, as intermediate-term Treasuries, as measured by the BofA Merrill Lynch 5-7 Year Treasury Index, saw its yield decline 146 basis points during the fiscal year. During the most recent fiscal quarter, the decline in yields was 31 basis points. While intermediate -term corporate bond yields, as measured by the BofA Merrill Lynch 5-7 Year BBB U.S. Corporate Index, declined in lock-step during the fiscal quarter, during the fiscal year, intermediate-term corporate bonds experienced an approximate 20 basis points in spread contraction versus Treasuries. When comparing this to high-yield debt, spreads on single-B bonds, as measured by the BofA Merrill Lynch 5-7 Year B U.S. Cash Pay High-Yield Index, and CCC-rated bonds, as measured by the BofA Merrill Lynch 5-7 Year CCC & Lower U.S. Cash Pay High-Yield Index, both saw spreads widen during the most recent fiscal quarter by 20 to 40 basis points. This contributed to the fiscal year’s overall wide ning spreads on high-yield bonds, which widened by 70 to 270 basis points, with CCC-rated bond spreads widening the most.

 

Allocation Review

 

As yield spreads for high-yield bonds generally widened, this generally detracted from long/short credit strategies that benefit from taking long positions in higher-yielding bonds and short positions in Treasuries or lower-yielding bonds. Therefore, the Sub-Adviser’s arsenal of strategies that it implements were broadly tested during the most recent fiscal quarter and the fiscal year. For example, the Sub-Adviser retained meaningful weights in catalyst driven and opportunistic trades that have traditionally been short-term in nature. Opportunistic trading generally seeks to capitalize on short-term pricing anomalies that occasionally appear in the bond market. While these strategies generally comprise close to half of the Fund, credit shorts and rate hedging broadly comprise the other half. As the rate hedge provided neither benefit nor detriment, the credit shorts generally detracted as bonds overall rallied. The strongest contributors during the fiscal year were generally found within the long positions with underlying catalysts and in the opportunistic trades that allowed for short-term financing as they were brought to market.

 

Holdings Insights

 

As short credit positions broadly detracted, short positions such as the SWAPs on the iBoxx USD Liquid High-Yield Index (IBOXHY) (holding weight*: -15.00 percent) was one of the Fund’s poorest performers during the fiscal year. The IBOXHY increased 9.1 percent during the 12-month period, detracting a similar amount from the Fund due to the short position accessed through the SWAPs. Some short positions, such as the Dell Inc. SWAP contributed positively to Fund performance since the position was added in March. The Dell Inc. SWAP (holding weight*: -3.33 percent) was part of a pairs trade including a long position in the Xerox Corp. SWAP (holding weight*: 3.35 percent). Therefore, as the Dell Inc. SWAP increased 2.4 percent, the Xerox Corp. SWAP declined 1.6 percent. While the spread between these positions had widened during the fiscal year, generally detracting from performance, this overall spread compression between the two positions in the final fiscal quarter provided an overall net benefit to the Fund to end the fiscal year.

 

Within the Fund, the opportunistic bucket was diversified across multiple holdings, but one of the stronger contributors during the fiscal year was the participation in a new issue from Petroleos Mexicanos (aka “Pemex”) (71654QCW0) (holding weight**: 1.10 percent), the Mexican state-owned petroleum company. Pemex tendered for bonds during the final fiscal quarter and issued new long-term debt which came at a significant concession and rallied sharply in the secondary market. The Pemex bond in the Fund increased 5.3 percent from when it was added to the Fund in September until it was sold in Mid-October. The Fund’s position in the General Electric Capital International Funding Co. (36164QNA2) (holding weight*: 1.51 percent) also enjoyed the catalyst of disposing of part of its s take in Baker Hughes (holding weight: not held) and using the proceeds to tender for debt. Similar to Pemex, this action drove strong total returns in the bonds, as they surged 35.4 percent during the fiscal year. The catalyst driven strategy also benefitted from the materialization of a few credit positive events. For example, the Sprint Capital Corp. (852060AT9) (holding weight*: 1.04 percent) benefitted since it was added to the Fund in May as Sprint continued to make progress on its combination with T-Mobile U.S. Inc. (holding weight: not held), receiving merger approval from the DOJ near the end of the fiscal year. Although volatile, this news lifted the Sprint bonds higher to end the fiscal year with a 17.8 percent gain since it was added to the Fund. Similarly, the Viacom Inc. bond (92553PBC5) (holding weight*: 1.89 percent) enjoyed positive news on the merger front, agreeing to re-combine with CBS (holding weight: not held). This provided a lift to the Fund’s position in the hybrid bonds, which increased 22.7 percent since the position was added to the Fund in January.

 

Sub-Adviser Outlook

 

The Sub-Adviser believes that there is a broad risk-off bias amongst bond market participants. The Sub-Adviser sees this sentiment driving dispersion amongst risk assets, creating what it views as interesting opportunities. This dispersion is not solely exhibited amongst the quality and maturity spectrum, but is evident in the sector and single name dispersion, as well. While yields are depressed globally, there are many individual bonds and sectors where the Sub-Adviser can find high yielding, short dated assets that complement the strategies that it implements. The Sub-Adviser anticipates that this type of environment of elevated volatility will be particularly conducive to implementing non-directional strategies such as pairs trades. Ultimately, the Sub-Adviser has retained a more conservative approach to its selection across investment-grade and high-yield opportunities.

 

*Holdings percentage(s) of total investments as of 10/31/2019.

 

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

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2019
    Annualized Annualized
  One Year Five Years Ten Years
Class N 5.31% 3.92% 6.82%
Class C 4.23% 2.89% 5.75%
Class A with load of 5.75% (0.99)% 2.45% 5.92%
Class A without load 5.06% 3.66% 6.55%
BofA Merrill Lynch US 3-Month Treasury Bill Index +3% 5.47% 4.05% 3.57%
Morningstar Long-Short Credit Category 3.55% 1.39% 3.14%

 

(a) Total Returns are calculated based on traded NAVs.

 

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 closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. 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

11

 

SCHEDULE OF INVESTMENTS
Dunham Long/Short Credit Fund
October 31, 2019

 

   Variable  Principal   Interest  Maturity    
Security  Rate  Amount   Rate %  Date  Value 
BANK LOANS - 1.3%                   
HEALTHCARE PRODUCTS - 1.3%                   
Weight Watchers International, Inc.  LIBOR + 4.750%  $1,070,608   7.249 + 11/29/2024  $1,070,908 
TOTAL BANK LOANS (Cost - $1,060,521)                   
                    
BONDS & NOTES - 38.5%                   
AGRICULTURE - 0.9%                   
Bat Capital Corp.      735,000   3.215  9/6/2026   731,657 
                    
AIRLINES - 1.3%                   
American Airlines 2019-1 Class A Pass Through Trust      990,000   3.500  8/15/2033   1,026,949 
                    
BANKS - 3.0%                   
Goldman Sachs Capital I      1,150,000   6.345  2/15/2034   1,494,202 
Wachovia Capital Trust II  3 mo. LIBOR + 0.500%   1,000,000   2.501 + 1/15/2027   936,955 
                  2,431,157 
CHEMICALS - 1.2%                   
Braskem Netherlands Finance BV - 144A      1,000,000   4.500  1/31/2030   992,000 
                    
COMPUTERS - 1.0%                   
Harland Clarke Holdings Corp. - 144A      1,000,000   8.375  8/15/2022   802,500 
                    
DIVERSIFIED FINANCIAL SERVICES - 5.0%                   
Citadel LP - 144A      985,000   4.875  1/15/2027   1,031,707 
GE Capital International Funding Co. Unlimited Co.      325,000   2.342  11/15/2020   324,878 
GE Capital International Funding Co. Unlimited Co.      1,240,000   4.418  11/15/2035   1,310,953 
Global Aircraft Leasing Co. Ltd. - 144A      1,455,000   6.500  9/15/2024   1,492,757 
                  4,160,295 
ENTERTAINMENT - 1.6%                   
Enterprise Development Authority - 144A      1,175,000   12.000  7/15/2024   1,292,500 
                    
FOOD - 2.3%                   
JBS Investments GmbH - 144A      258,000   6.250  2/5/2023   263,650 
JBS USA LLC - 144A      700,000   5.875  7/15/2024   722,750 
Smithfield Foods, Inc. - 144A      835,000   5.200  4/1/2029   922,576 
                  1,908,976 
FOREST PRODUCTS & PAPER - 0.9%                   
Suzano Austria GmbH- 144A      655,000   7.000  3/16/2047   762,666 
                    
HEALTHCARE-SERVICES - 2.8%                   
CommonSpirit Health      1,500,000   4.187  10/1/2049   1,543,244 
HCA, Inc.      710,000   5.250  6/15/2049   788,779 
                  2,332,023 
INSURANCE - 3.1%                   
Hallmark Financial Services, Inc.      1,500,000   6.250  8/15/2029   1,554,375 
United Insurance Holdings Corp.      1,000,000   6.250  12/15/2027   1,039,088 
                  2,593,463 
IRON/STEEL - 1.7%                   
CSN Resources      1,351,000   6.500  7/21/2020   1,381,398 
                    
LODGING - 0.9%                   
Las Vegas Sands Corp.      730,000   3.500  8/18/2026   745,132 
                    
MEDIA - 2.0%                   
Viacom, Inc.  3 mo. LIBOR + 3.899%   150,000   6.250 + 2/28/2057   1,640,625 
                    
OIL & GAS - 5.7%                   
Occidental Petroleum Corp.  3 mo. LIBOR + 1.450%   1,500,000   3.637 + 8/15/2022   1,509,453 
Transocean Poseidon Ltd. - 144A      1,600,000   6.875  2/1/2027   1,621,232 
Transocean Sentry Ltd. - 144A      1,570,000   5.375  5/15/2023   1,560,187 
                  4,690,872 

 

See accompanying notes to financial statements.

12

 

SCHEDULE OF INVESTMENTS
Dunham Long/Short Credit Fund (Continued)
October 31, 2019

 

   Principal   Interest  Maturity    
Security  Amount   Rate %  Date  Value 
BONDS & NOTES - 38.5% (Continued)                
SOVEREIGN - 0.4%                
Abu Dhabi Government International - 144A  $310,000   3.125  9/30/2049  $299,116 
                 
TELECOMMUNICATIONS - 4.7%                
Gogo Intermediate Holdings LLC - 144A   500,000   9.875  5/1/2024   527,500 
New Cingular Wireless Services, Inc.   600,000   8.750  3/1/2031   850,795 
Sprint Capital Corp.   740,000   8.750  3/15/2032   904,191 
Sprint Spectrum Co. LLC - 144A   1,000,000   4.738  3/20/2025   1,068,760 
Verizon Communications, Inc.   420,000   6.000  4/1/2041   566,085 
               3,917,331 
TOTAL BONDS & NOTES (Cost - $30,307,579)              31,708,660 
                 
   Shares            
COMMON STOCK - 0.0%                
TELECOMMUNICATIONS - 0.0%                
NII Holdings, Inc. *   10,000          18,900 
TOTAL COMMON STOCK (Cost - $57,730)                
                 
   Principal   Interest  Maturity     
   Amount   Rate %  Date     
U.S. GOVERNMENT - 52.1%                
TREASURY BILLS - 44.8%                
Treasury Bill  $12,300,000   1.481 + 11/21/2019   12,289,630 
Treasury Bill   12,310,000   1.471 + 12/5/2019   12,292,703 
Treasury Bill   12,360,000   1.520 + 12/24/2019   12,329,328 
               36,911,661 
TREASURY NOTES/BONDS - 7.3%                
Treasury Note / Bond   2,475,000   1.625  8/15/2029   2,460,595 
Treasury Note / Bond   2,195,000   2.875  5/15/2049   2,529,909 
Treasury Note / Bond   1,050,000   2.250  8/15/2049   1,066,878 
               6,057,382 
TOTAL U.S. GOVERNMENT (Cost - $43,057,262)              42,969,043 
                 
   Shares            
SHORT-TERM INVESTMENT - 8.2%                
MONEY MARKET FUND - 8.2%                
First American Government Obligations Fund - Class Z   6,756,790   1.740 +     6,756,790 
TOTAL SHORT-TERM INVESTMENT (Cost - $6,756,790)                
                 
TOTAL INVESTMENTS - 100.1% (Cost - $81,239,882)             $82,524,301 
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)%              (84,274)
TOTAL NET ASSETS - 100.0%             $82,440,027 

 

LIBOR - London Inter-Bank Offered Rate

 

LLC - Limited Liability Company

 

LP - Limited Partnership

 

*Non-income producing security.

 

+Variable rate security. Interest rate is as of October 31, 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 October 31, 2019 the total market value of 144A securities is $13,359,901 or 16.2% of net assets.

 

   Short   Notional Value at  Maturity  Unrealized 
Security  Contracts   October 31, 2019  Date  Appreciation 
OPEN SHORT FUTURES CONTRACTS - (0.3)%                
U.S. 10 Year Treasury Note   84   $ 10,944,938  December-19  $33,297 
U.S. Treasury Long Bond   69     11,134,875  December-19   247,968 
NET UNREALIZED GAIN FROM OPEN SHORT FUTURE CONTRACTS             $281,265 

 

See accompanying notes to financial statements.

13

 

SCHEDULE OF INVESTMENTS
Dunham Long/Short Credit Fund (Continued)
October 31, 2019

 

CREDIT DEFAULT SWAPS

                 Unrealized 
      Notional Value at   Premium   Maturity  Appreciation/ 
Description  Counterparty  October 31, 2019   Paid (Received)   Date  (Depreciation) 
To Buy Protection - Commonwealth Bank of Australia  Goldman Sachs  $2,000,000   $(13,815)  12/20/2023  $(45,009)
To Buy Protection - CDX NA IG. 32  HSBC Securities, Inc.   1,000,000    (19,527)  6/20/2024   40,289 
To Buy Protection - Prudential Financial, Inc.  JPMorgan   3,000,000    (43,017)  6/20/2024   (16,592)
To Buy Protection - Xerox Corp.  JPMorgan   3,000,000    162,334   6/20/2024   (102,529)
To Sell Protection - Dell, Inc. (1)  JPMorgan   (3,000,000)   (153,458)  6/20/2024   112,098 
To Buy Protection - Kraft Heinz Food  JPMorgan   2,000,000    (31,954)  6/20/2023   (3,974)
To Sell Protection - Kraft Heinz Food (1)  Goldman Sachs   (2,000,000)   14,987   12/20/2023   19,878 
To Buy Protection - Newell Brands  Goldman Sachs   2,000,000    22,030   12/20/2023   (51,771)
To Sell Protection - Newell Brands (1)  JPMorgan   (2,000,000)   (32,614)  6/20/2023   63,418 
NET UNREALIZED GAIN (LOSS) FROM CREDIT DEFAULT SWAPS  $15,808 
      
TOTAL RETURN SWAPS
      
Reference Entity         Variable Rate        
iBoxx USD Liquid High Yield Index  JPMorgan   3,000,000   3 mo LIBOR + 1.90%   12/20/2019   935 
iBoxx USD Liquid High Yield Index  Goldman Sachs   5,000,000   3 mo LIBOR + 1.90%   12/26/2019   13,137 
iBoxx USD Liquid High Yield Index  JPMorgan   5,000,000   3 mo LIBOR + 1.90%   3/20/2020   13,154 
NET UNREALIZED GAIN (LOSS) FROM TOTAL RETURN SWAPS  $27,226 

 

LIBOR - London Inter-bank Offered Rate

 

(1)If the Fund is a seller of protection and if 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   52.1%
Bonds & Notes   38.4%
Short-Term Investment   8.2%
Bank Loans   1.3%
Common Stock   0.0%
Total   100.0%

 

*Based on total value of investments as of October 31, 2019.

 

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

 

See accompanying notes to financial statements.

14

 

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

 

Asset Class Recap

 

With interest rates declining, rather than increasing, the investment-grade fixed income market, as measured by the Bloomberg Barclays US Aggregate Bond Index, received yet another injection of life. The 10-year Treasury yield fell 32 basis points during the final fiscal quarter, bringing the total decline since the beginning of the fiscal year to 137 basis points. As investment-grade fixed bonds in general have an average duration of 5.8 years, this significant decline in rates generally translated to meaningful principal appreciation. During the most recent fiscal quarter, broad bonds advanced 2.4 percent. This healthy advance brought the performance since the start of the fiscal year into double-digits, finishing at 11.5 percent. Corporate bonds in general, as measured by the BofA Merrill Lynch Corporate Bond Index, surged 15.1 percent during the fiscal year while government bonds, as measured by the BofA Merrill Lynch Treasury & Agency Index, rose 11.3 percent. The significant decline in yields broadly supported most of these gains. Additionally, the Fed’s comments after each of its decisions to reduce rates has also been accommodative toward holders of higher duration bonds, as Fed Chair Powell has avoided using language that preempted the rate increases seen in previous years.

 

Allocation Review

 

The vast majority of the benchmark index is comprised of U.S. Treasuries and agency bonds, mortgage-backed securities, and investment-grade corporate bonds, with the Treasury and agency bonds making up 40 percent of the index alone. As the Sub-Adviser generally seeks to benefit from spread exposure and security selection, the Fund’s largest underweight is generally in the area of Treasury and agency bonds. Investment-grade corporate bonds were one of the best performing bond sectors during the fiscal year and also made up the largest allocation in the Fund, contributing positively to overall performance. Although the underweight to Treasuries generally detracted from absolute performance, the Fund’s exposure tended to be in longer maturities, which out performed and offset a significant portion of the adverse effect of the underweight. While the overall allocation across bond sectors remained fairly static during the past six months, since the start fiscal year the largest changes were represented by an overall decrease in the Fund’s exposure to high-yield and investment-grade corporate bonds, bank loans, and mortgage-backed securities. These reductions primarily coincided with increases in allocations to residential and commercial mortgage-backed securities and Treasuries.

 

Holdings Insights

 

The performance differences across bond sectors was fairly muted during the past six-month period. Therefore, the performance of individual holdings had a more meaningful impact on the Fund’s relative performance. For example, although the overall high-yield bond exposure in the Fund only slightly contributed to excess performance, high-yield holdings such as PulteGroup, Inc. 6.375% maturing in 2033 (745867AP6) (holding weight*: 0.27 percent), the third largest home construction company in the United States based on the number of homes closed, increased 30.8 percent during the fiscal year. The Pulte bond benefitted two-fold from the decline in interest rates, not only benefitting from the bond’s higher duration but also receiving a tailwind from increased housing affordability and buying activity due to lower mortgage rates. Within high-yield, the Fund also held Alliance Resource Operating Partners LP 7.5% maturing in 2025 (01879NAA3) (holding weight*: 0.11 percent), the largest coal producer in the Illinois Basin and the second largest coal producer in the eastern United States. The Alliance bond holding was one of the more significant detractors for the Fund since it was added in May, as it declined 18.6 percent along with a sharp sell-off in the value of coal and natural gas.

 

Residential mortgage-backed securities (RMBS) continued to be the Fund’s largest overweight during the fiscal year. While the RMBS exposure in the Fund provided positive overall performance, it slightly detracted on a relative basis. RMBS holdings in the Fund included the American Homes 4 Rent 4.691% maturing in 2045 (02666BAC0) (holding weight*: 0.46 percent) and the Mill City Mortgage Trust Adj% maturing in 2066 (59980YAB1) (holding weight*: 0.59 percent). Since each of these bonds’ addition to the Fund earlier in the fiscal year, the American Homes 4 Rent and Mill City Mortgage Trust appreciated 7.8 percent and 4.7 percent, respectively. Despite the moderate detraction from relative returns, the Sub-Adviser remains constructive on the space, as low unemployment, strong consumer confidence, and a growing economy continue to provide a positive backdrop to consumer credit and housing/residential credit. The Sub-Adviser also believes that stable underlying deal performance and spread give non-agency RMBS attractive metrics versus U.S. Treasuries and other short duration alternatives, which may serve the Fund well during periods of rising rates.

 

Sub-Adviser Outlook

 

The Sub-Adviser continues to believe that technicals are favorable for both high-yield and investment-grade corporate bonds. This view is also supported by the moderately growing economy and generally positive earnings releases. In addition, default rates have remained low, but the Sub-Adviser is cautious about credit conditions deteriorating. Specifically, credit downgrades saw a recent spike with single-B downgrades reaching a decade-high rate in September. There are also individual industries that concern the Sub-Adviser, particularly those tied to global commodities. Therefore, the Sub-Adviser believes that a risk-off environment could produce significant headwinds and has been careful to reduce exposures it believes are most prone to those significant declines.

 

*Holdings percentage(s) of total investments as of 10/31/2019.

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2019
    Annualized Annualized
  One Year Five Years Ten Years
Class N 10.27% 2.61% 3.64%
Class C 9.53% 1.84% 2.87%
Class A with load of 4.50% 5.10% 1.40% 2.90%
Class A without load 10.01% 2.34% 3.37%
Bloomberg Barclays US Aggregate Bond Index 11.51% 3.24% 3.73%
Morningstar Intermediate Core Plus Bond Category 10.37% 3.18% 4.29%

 

(a)Total Returns are calculated based on traded NAVs.

 

The Bloomberg Barclays US 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. Funds in this category also invest in high-yield and foreign bonds.

 

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

15

 

SCHEDULE OF INVESTMENTS
Dunham Corporate/Government Bond Fund
October 31, 2019

 

   Variable  Principal   Interest  Maturity    
Security  Rate  Amount   Rate %  Date  Value 
CORPORATE BONDS & NOTES - 66.7%                   
AEROSPACE / DEFENSE - 0.2%                   
TransDigm, Inc. - 144A     $55,000   6.250  3/15/2026  $59,056 
TransDigm, Inc. - 144A      35,000   5.500  11/15/2027   34,972 
                  94,028 
AGRICULTURE - 0.2%                   
Bunge Ltd Finance Corp.      110,000   4.350  3/15/2024   116,454 
                    
APPAREL - 0.1%                   
Under Armour, Inc.      75,000   3.250  6/15/2026   72,480 
                    
AUTO PARTS & EQUIPMENT - 0.6%                   
American Axle & Manufacturing, Inc.      80,000   6.500  4/1/2027   76,100 
Lear Corp.      165,000   3.800  9/15/2027   167,257 
Panther BF Aggregator 2 LP / Panther Finance Co., Inc. - 144A      5,000   6.250  5/15/2026   5,298 
Tenneco, Inc.      65,000   5.000  7/15/2026   51,675 
                  300,330 
AUTOMOBILE ABS - 5.9%                   
American Credit Acceptance Receivables Trust 2017-2 - 144A      41,032   2.860  6/12/2023   41,092 
American Credit Acceptance Receivables Trust 2018-3 - 144A      165,000   3.750  10/15/2024   166,581 
American Credit Acceptance Receivables Trust 2019-2 - 144A      125,000   3.170  6/12/2025   126,721 
Americredit Automobile Receivables Trust 2018-1      135,000   3.820  3/18/2024   140,509 
Avid Automobile Receivables Trust 2018-1 - 144A      69,008   2.840  8/15/2023   69,110 
Avis Budget Rental Car Funding AESOP LLC - 144A      150,000   3.070  9/20/2023   153,601 
Capital Auto Receivables Asset Trust 2017-1 - 144A      160,000   2.700  9/20/2022   161,629 
Carmax Auto Owner Trust 2019-1      140,000   3.740  1/15/2025   145,980 
Carnow Auto Receivables Trust - 144A      9,703   2.920  9/15/2022   9,704 
Carvana Auto Receivables Trust 2019-1 - 144A      145,000   3.880  10/15/2024   149,620 
Carvana Auto Receivables Trust 2019-3 - 144A      185,000   2.710  10/15/2024   185,636 
Centre Point Funding LLC - 144A      32,456   2.610  8/20/2020   32,369 
CPS Auto Receivables Trust 2017-D - 144A      56,516   2.430  1/18/2022   56,540 
Drive Auto Receivables Trust 2017-3      49,321   2.800  7/15/2022   49,366 
Drive Auto Receivables Trust 2017-A - 144A      28,823   2.980  1/18/2022   28,848 
Drive Auto Receivables Trust 2019-1      165,000   3.780  4/15/2025   168,446 
Drive Auto Receivables Trust 2019-4      135,000   2.510  11/17/2025   135,328 
DT Auto Owner Trust 2017-3 - 144A      71,121   3.010  5/15/2023   71,209 
DT Auto Owner Trust 2019-1 - 144A      120,000   3.610  11/15/2024   122,530 
First Investors Auto Owner Trust 2017-2 - 144A      135,000   2.650  11/15/2022   135,399 
First Investors Auto Owner Trust 2019-1 - 144A      150,000   3.260  3/17/2025   153,477 
Flagship Credit Auto Trust 2017-3 - 144A      160,000   2.910  9/15/2023   161,149 
Hertz Vehicle Financing II LP - 144A      135,000   2.670  9/25/2021   135,581 
Hyundai Auto Lease Securitization Trust 2018-A - 144A      4,414   2.550  8/17/2020   4,415 
OneMain Direct Auto Receivables Trust 2017-2 - 144A      135,000   2.820  7/15/2024   135,471 
OneMain Direct Auto Receivables Trust 2018-1 - 144A      125,000   3.850  10/14/2025   128,628 
Santander Drive Auto Receivables Trust 2016-1      18,012   3.090  4/15/2022   18,026 
Santander Drive Auto Receivables Trust 2017-1      72,805   2.580  5/16/2022   72,888 
Westlake Automobile Receivables Trust 2018-3 - 144A      150,000   3.610  10/16/2023   152,565 
                  3,112,418 
BANKS - 6.5%                   
Banco de Credito e Inversiones SA - 144A      370,000   3.500  10/12/2027   385,564 
Bank of America Corp.      106,000   4.200  8/26/2024   114,196 
Bank of Montreal  5 Year Swap Rate US + 1.432%   234,000   3.803 + 12/15/2032   242,986 
Bank of New York Mellon Corp.  3 Month LIBOR + 3.420%   190,000   4.950 + 12/29/2049   191,944 
BBVA Bancomer SA/Texas - 144A  5 Year Treasury Note + 2.650%   200,000   5.125 + 1/18/2033   195,502 
Citigroup, Inc.      160,000   4.050  7/30/2022   167,955 
Citigroup, Inc.      222,000   3.200  10/21/2026   230,435 
Goldman Sachs Group, Inc.      230,000   4.250  10/21/2025   247,941 
JPMorgan Chase & Co.  3 Month LIBOR + 3.800%   205,000   5.300 + 12/29/2049   208,119 
M&T Bank Corp.  3 Month LIBOR + 3.520%   109,000   5.125 + 12/29/2049   116,456 
Morgan Stanley      120,000   6.375  7/24/2042   176,257 
PNC Financial Services Group, Inc.  3 Month LIBOR + 3.300%   170,000   5.000 + 12/29/2049   180,151 
Santander Holdings USA, Inc.      133,000   3.700  3/28/2022   136,766 

 

See accompanying notes to financial statements.

16

 

SCHEDULE OF INVESTMENTS
Dunham Corporate/Government Bond Fund (Continued)
October 31, 2019

 

   Variable  Principal   Interest  Maturity    
Security  Rate  Amount   Rate %  Date  Value 
CORPORATE BONDS & NOTES - 66.7% (Continued)                   
BANKS - 6.5% (Continued)                   
Santander Holdings USA, Inc.     $105,000   3.500  6/7/2024  $108,058 
Santander Holdings USA, Inc.      65,000   4.400  7/13/2027   70,024 
Synovus Financial Corp.  5 Year Swap Rate US + 3.379%   70,000   5.900 + 2/7/2029   75,075 
Toronto-Dominion Bank  5 Year Swap Rate US + 2.205%   195,000   3.625 + 9/15/2031   203,724 
UBS AG/Stamford CT      250,000   7.625  8/17/2022   281,849 
Wells Fargo & Co.  3 Month LIBOR + 3.110%   115,000   5.900 + Perpetual   124,282 
                  3,457,284 
BEVERAGES - 0.6%                   
Anheuser-Busch InBev Worldwide, Inc.      50,000   4.000  4/13/2028   55,238 
Anheuser-Busch InBev Worldwide, Inc.      40,000   4.750  1/23/2029   46,524 
Bacardi Ltd. - 144A      200,000   4.700  5/15/2028   219,094 
                  320,856 
BUILDING MATERIALS - 1.1%                   
CRH America Finance, Inc. - 144A      200,000   3.400  5/9/2027   208,165 
Owens Corning      165,000   3.400  8/15/2026   166,609 
Owens Corning      25,000   3.950  8/15/2029   25,756 
Vulcan Materials Co.      165,000   3.900  4/1/2027   175,463 
                  575,993 
CHEMICALS - 0.9%                   
Celanese US Holdings LLC      130,000   3.500  5/8/2024   134,300 
Olin Corp.      120,000   5.625  8/1/2029   124,892 
SABIC Capital II BV - 144A      200,000   4.500  10/10/2028   221,989 
                  481,181 
COAL - 0.1%                   
Alliance Resource Operating Partners LP - 144A      70,000   7.500  5/1/2025   59,500 
                    
COMMERCIAL MBS - 4.5%                   
Aventura Mall Trust 2013-AVM - 144A      155,000   3.743 ++ 12/5/2032   156,702 
Aventura Mall Trust 2013-AVM - 144A      100,000   3.867 ++ 12/5/2032   101,044 
BAMLL Commercial Mortgage Securities Trust 2015-200P - 144A      105,000   3.218  4/14/2033   110,631 
Caesars Palace Las Vegas Trust 2017-VICI - 144A      100,000   4.138  10/15/2034   104,763 
CHC Commercial Mortgage Trust 2019 - CHC - 144A  1 Month LIBOR + 1.120%   235,000   3.034 + 6/15/2034   235,564 
Citigroup Commercial Mortgage Trust 2013-375P - 144A      135,000   3.518 ++ 5/10/2035   139,885 
Citigroup Commercial Mortgage Trust 2019-SST2 - 144A  1 Month LIBOR + 0.920%   145,000   2.841 + 12/15/2036   144,876 
Credit Suisse Mortgage Capital Certificates 2019-ICE4 - 144A  1 Month LIBOR + 0.980%   205,000   2.894 + 5/15/2036   205,449 
GS Mortgage Securities Corp. Trust 2012-ALOHA - 144A      252,000   3.551  4/10/2022   259,446 
Hilton USA Trust 2016-SFP - 144A      185,000   3.323  11/5/2035   185,627 
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 - 144A      90,418   4.388  5/15/2021   92,662 
JPMBB Commercial Mortgage Securities Trust 2015-C31      125,000   4.106  8/15/2048   135,258 
Morgan Stanley Capital I Trust 2017-CLS - 144A  1 Month LIBOR + 0.700%   85,000   2.613 + 11/15/2034   85,009 
One Market Plaza Trust 2017-1MKT - 144A      105,000   3.614  2/10/2024   108,472 
Sutherland Commercial Mortgage Loans 2018-SBC7 - 144A      69,858   4.720 ++ 5/25/2039   71,028 
Wells Fargo Commercial Mortgage Trust 2015-LC20      125,000   3.184  4/15/2050   130,932 
WFRBS Commercial Mortgage Trust 2014-C24      125,000   3.931  11/15/2047   133,118 
                  2,400,466 
COMMERCIAL SERVICES - 0.2%                   
DP World PLC - 144A      100,000   6.850  7/2/2037   131,738 
                    
COMPUTERS - 0.5%                   
Dell International LLC / EMC Corp. - 144A      155,000   6.020  6/15/2026   177,046 
Hewlett Packard Enterprise Co.      100,000   4.900  10/15/2025   112,024 
                  289,070 
DISTRIBUTION / WHOLESALE - 0.0%                   
American Builders & Contractors Supply Co., Inc. - 144A      15,000   4.000  1/15/2028   15,000 
                    
DIVERSIFIED FINANCIAL SERVICES - 3.0%                   
AerCap Ireland Capital DAC / AerCap Global Aviation Trust      150,000   3.650  7/21/2027   154,707 
Avolon Holdings Funding Ltd. - 144A      125,000   4.375  5/1/2026   132,399 
Brightsphere Investment Group, Inc.      165,000   4.800  7/27/2026   172,149 
Brookfield Finance LLC      174,000   4.000  4/1/2024   185,549 
Capital One Financial Corp.      120,000   4.200  10/29/2025   129,468 
Capital One Financial Corp.      165,000   3.750  7/28/2026   174,259 
Citadel LP - 144A      105,000   4.875  1/15/2027   109,979 
E*TRADE Financial Corp.      175,000   4.500  6/20/2028   190,939 
Jefferies Group LLC      14,000   6.875  4/15/2021   14,869 
Navient Corp.      95,000   6.750  6/25/2025   100,434 
Springleaf Finance Corp.      70,000   6.875  3/15/2025   79,450 
Synchrony Financial      135,000   3.950  12/1/2027   140,764 
                  1,584,966 

 

See accompanying notes to financial statements.

17

 

SCHEDULE OF INVESTMENTS
Dunham Corporate/Government Bond Fund (Continued)
October 31, 2019

 

   Variable  Principal   Interest  Maturity    
Security  Rate  Amount   Rate %  Date  Value 
CORPORATE BONDS & NOTES - 66.7% (Continued)                   
ELECTRIC - 1.6%                   
CenterPoint Energy, Inc.     $150,000   4.250  11/1/2028  $165,799 
DPL, Inc. - 144A      155,000   4.350  4/15/2029   154,961 
Exelon Corp.      175,000   3.497  6/1/2022   180,142 
Pennsylvania Electric Co. - 144A      140,000   3.600  6/1/2029   149,774 
Talen Energy Supply LLC - 144A      60,000   6.625  1/15/2028   58,200 
Vistra Operations Co. LLC - 144A      130,000   4.300  7/15/2029   135,276 
                  844,152 
ENERGY - ALTERNATE SOURCES - 0.2%                   
TerraForm Power Operating LLC - 144A      90,000   5.000  1/31/2028   95,373 
                    
ENTERTAINMENT - 0.3%                   
Eldorado Resorts, Inc.      35,000   6.000  9/15/2026   38,544 
Gateway Casinos & Entertainment Ltd. - 144A      45,000   8.250  3/1/2024   46,462 
Scientific Games International, Inc. - 144A      50,000   8.250  3/15/2026   53,000 
                  138,006 
FOOD - 0.3%                   
Kraft Heinz Foods Co.      165,000   3.000  6/1/2026   164,524 
                    
HEALTHCARE PRODUCTS - 0.4%                   
Zimmer Biomet Holdings, Inc.      230,000   3.550  4/1/2025   243,421 
                    
HEALTHCARE - SERVICES - 0.7%                   
Anthem, Inc.      105,000   2.875  9/15/2029   104,222 
Catalent Pharma Solutions, Inc. - 144A      15,000   5.000  7/15/2027   15,712 
Charles River Laboratories International, Inc. - 144A      25,000   4.250  5/1/2028   25,534 
HCA, Inc.      65,000   5.375  2/1/2025   71,581 
HCA, Inc.      135,000   4.125  6/15/2029   143,299 
                  360,348 
HOME BUILDERS - 0.9%                   
Brookfield Residential Properties, Inc. - 144A      110,000   6.250  9/15/2027   112,475 
PulteGroup, Inc.      125,000   6.375  5/15/2033   142,813 
TRI Pointe Group, Inc.      85,000   5.875  6/15/2024   91,800 
William Lyon Homes, Inc.      135,000   6.000  9/1/2023   140,400 
                  487,488 
HOME EQUITY ABS - 0.2%                   
GSAA Trust 2005-1 AF4 (a)      36,546   5.619  11/25/2034   36,590 
NovaStar Mortgage Funding Trust Series 2004-4  1 Month LIBOR + 1.725%   71,717   3.548 + 3/25/2035   72,512 
                  109,102 
INSURANCE - 1.5%                   
Allstate Corp.  3 Month LIBOR + 2.938%   150,000   5.750 + 8/15/2053   161,532 
Athene Holding Ltd.      135,000   4.125  1/12/2028   140,479 
MetLife, Inc.  3 Month LIBOR + 2.959%   76,000   5.875 + Perpetual   82,947 
Prudential Financial, Inc.  3 Month LIBOR + 3.920%   230,000   5.625 + 6/15/2043   249,404 
Teachers Insurance & Annuity Association of America - 144A  3 Month LIBOR + 2.661%   110,000   4.375 + 9/15/2054   115,130 
Trinity Acquisition PLC      60,000   4.400  3/15/2026   65,049 
                  814,541 
INTERNET - 0.1%                   
Expedia Group, Inc. - 144A      80,000   3.250  2/15/2030   80,229 
                    
INVESTMENT COMPANIES - 0.4%                   
FS KKR Capital Corp.      64,000   4.250  1/15/2020   64,103 
Icahn Enterprises LP / Icahn Enterprises Finance Corp.      130,000   6.250  5/15/2026   138,125 
                  202,228 
LODGING - 0.1%                   
Wyndham Destinations, Inc.      45,000   5.750  4/1/2027   49,331 
                    
MACHINERY- CONSTRUCTION & MINING - 0.4%                   
Oshkosh Corp.      183,000   4.600  5/15/2028   195,810 
                    
MACHINERY- DIVERSIFIED - 0.3%                   
CNH Industrial NV      137,000   4.500  8/15/2023   145,972 

 

See accompanying notes to financial statements.

18

 

SCHEDULE OF INVESTMENTS
Dunham Corporate/Government Bond Fund (Continued)
October 31, 2019

 

   Variable  Principal   Interest  Maturity    
Security  Rate  Amount   Rate %  Date  Value 
CORPORATE BONDS & NOTES - 66.7% (Continued)                   
MEDIA - 0.9%                   
Diamond Sports Group LLC / Diamond Sports Finance Co. - 144A     $55,000   5.375  8/15/2026  $57,613 
Diamond Sports Group LLC / Diamond Sports Finance Co. - 144A      30,000   6.625  8/15/2027   30,975 
Discovery Communications LLC      160,000   3.950  3/20/2028   168,646 
DISH DBS Corp.      80,000   5.875  7/15/2022   83,965 
iHeartCommunications, Inc. - 144A      10,000   5.250  8/15/2027   10,342 
Meredith Corp.      85,000   6.875  2/1/2026   88,037 
Sirius XM Radio, Inc. - 144A      35,000   5.500  7/1/2029   37,921 
                  477,499 
MINING - 0.8%                   
BHP Billiton Finance USA Ltd. - 144A  5 Year Swap Rate USD + 5.093%   200,000   6.750 + 10/19/2075   234,794 
Glencore Funding LLC - 144A      165,000   4.000  3/27/2027   171,285 
                  406,079 
                    
MISCELLANEOUS MANUFACTURING - 0.9%                   
General Electric Co.  3 Month LIBOR + 3.330%   136,000   5.000 + 12/29/2049   131,277 
Hillenbrand, Inc.      135,000   4.500  9/15/2026   139,391 
Pentair Finance Sarl      180,000   4.500  7/1/2029   187,877 
                  458,545 
OIL & GAS - 1.9%                   
CrownRock LP / CrownRock Finance, Inc. - 144A      75,000   5.625  10/15/2025   73,595 
Helmerich & Payne, Inc.      100,000   4.650  3/15/2025   108,702 
Holly Frontier Corp.      165,000   5.875  4/1/2026   184,950 
Pertamina Persero PT - 144A      200,000   6.450  5/30/2044   255,624 
Petroleos Mexicanos - 144A      100,000   7.690  1/23/2050   108,914 
State Oil Co. of the Azerbaijan Republic      200,000   6.950  3/18/2030   240,771 
Transocean Guardian Ltd. - 144A      35,600   5.875  1/15/2024   35,778 
                  1,008,334 
OIL & GAS SERVICES - 0.2%                   
USA Compression Partners LP / USA Compression Finance Corp.      105,000   6.875  4/1/2026   106,575 
                    
OTHER ABS - 10.5%                   
Ajax Mortgage Loan Trust 2019-D - 144A (a)      193,247   2.956  9/25/2065   193,299 
American Homes 4 Rent 2014-SFR2 Trust - 144A      230,000   4.705  10/17/2036   247,619 
American Homes 4 Rent 2015-SFR2 Trust - 144A      220,000   4.691  10/17/2045   240,755 
Amur Equipment Finance Receivables VI LLC - 144A      134,341   3.890  7/20/2022   136,663 
Aqua Finance Trust 2019-A - 144A      160,000   3.140  7/16/2040   160,795 
Bayview Opportunity Master Fund IVa Trust 2017-RT1 - 144A      65,524   3.000 ++ 3/28/2057   66,656 
Bayview Opportunity Master Fund IVa Trust 2017-SPL5 - 144A      100,000   4.000 ++ 6/28/2057   104,411 
BRE Grand Islander Timeshare Issuer 2019-A LLC - 144A      133,365   3.280  9/26/2033   136,874 
CoreVest American Finance 2018-1 Trust - 144A      200,592   3.804  5/15/2023   209,004 
CoreVest American Finance 2018-2 Trust - 144A      230,592   4.026  11/15/2052   244,527 
Diamond Resorts Owner Trust - 144A      63,540   3.270  10/22/2029   64,277 
Foundation Finance Trust 2019-1 - 144A      117,235   3.860  11/15/2034   119,406 
Marlette Funding Trust 2019-4 - 144A      155,000   2.390  12/17/2029   155,494 
Mill City Mortgage Loan Trust 2017-1 - 144A      74,212   2.750 ++ 11/25/2058   74,530 
Mill City Mortgage Loan Trust 2018-4 - 144A      295,000   3.500 ++ 4/25/2066   304,481 
MVW 2019-2 LLC - 144A      160,000   2.220  10/20/2038   160,013 
MVW Owner Trust 2016-1 - 144A      51,552   2.250  12/20/2033   51,333 
MVW Owner Trust 2017-1 - 144A      76,166   2.420  12/20/2034   76,431 
Orange Lake Timeshare Trust 2019-A - 144A      135,088   3.360  4/9/2038   137,406 
PRPM 2019-2 LLC - 144A (a)      184,289   3.967  4/25/2024   185,244 
Small Business Lending Trust 2019-A - 144A      127,231   2.850  7/15/2026   127,601 
Sofi Consumer Loan Program 2017-5 LLC - 144A      88,772   2.780  9/25/2026   89,132 
Sofi Consumer Loan Program 2017-6 LLC - 144A      85,422   2.820  11/25/2026   85,791 
SoFi Consumer Loan Program 2019-3 Trust - 144A      124,599   2.900  5/25/2028   125,525 
Towd Point Mortgage Trust - 144A      172,000   3.250 ++ 10/25/2053   173,027 
Towd Point Mortgage Trust 2015-6 - 144A      130,000   3.750 ++ 4/25/2055   139,070 
Towd Point Mortgage Trust 2017-1 - 144A      246,741   2.750 ++ 10/25/2056   249,103 
Towd Point Mortgage Trust 2017-1 - 144A      115,000   3.750 ++ 10/25/2056   120,749 
Towd Point Mortgage Trust 2018-4 - 144A      204,952   3.000 ++ 6/25/2058   211,749 
Towd Point Mortgage Trust 2018-6 - 144A      185,000   3.750 ++ 3/25/2058   197,245 
Towd Point Mortgage Trust 2018-SJ1 - 144A      173,696   4.000 ++ 10/25/2058   175,569 
Towd Point Mortgage Trust 2019-MH1 - 144A      156,028   3.000 ++ 11/25/2058   158,243 
Tricon American Homes 2017-SFR1 Trust - 144A      99,552   2.716  9/17/2022   100,183 
Trinity Rail Leasing 2019 LLC - 144A      122,968   3.820  4/17/2049   128,206 
TRIP Rail Master Funding LLC - 144A      106,064   2.709  8/15/2047   106,234 
VOLT LXIV LLC - 144A (a)      64,189   3.375  10/25/2047   64,472 
VOLT LXXV LLC - 144A (a)      137,363   4.336  1/25/2049   138,708 
VSE 2017-A VOI Mortgage LLC - 144A      73,260   2.330  3/20/2035   73,325 
                  5,533,150 

 

See accompanying notes to financial statements.

19

 

SCHEDULE OF INVESTMENTS
Dunham Corporate/Government Bond Fund (Continued)
October 31, 2019

 

   Variable  Principal   Interest  Maturity    
Security  Rate  Amount   Rate %  Date  Value 
CORPORATE BONDS & NOTES - 66.7% (Continued)                   
PACKAGING & CONTAINERS - 0.1%                   
Greif, Inc. - 144A     $70,000   6.500  3/1/2027  $75,425 
                    
PHARMACEUTICALS - 0.7%                   
AbbVie, Inc.      55,000   3.600  5/14/2025   57,760 
AbbVie, Inc.      100,000   3.200  5/14/2026   102,490 
Mylan NV      145,000   3.950  6/15/2026   150,980 
Par Pharmaceutical, Inc. - 144A      50,000   7.500  4/1/2027   47,625 
                  358,855 
PIPELINES - 2.2%                   
Cheniere Energy Partners LP      55,000   5.625  10/1/2026   58,369 
Energy Transfer Partners LP      165,000   4.200  4/15/2027   172,739 
Kinder Morgan Inc/DE      160,000   4.300  6/1/2025   173,185 
Kinder Morgan Inc/DE      45,000   7.750  1/15/2032   62,007 
MPLX LP      55,000   4.875  12/1/2024   59,942 
MPLX LP - 144A      135,000   4.250  12/1/2027   142,198 
NuStar Logistics LP      145,000   5.625  4/28/2027   151,343 
Sabine Pass Liquefaction LLC      100,000   6.250  3/15/2022   107,797 
Sabine Pass Liquefaction LLC      85,000   4.200  3/15/2028   89,745 
Valero Energy Partners LP      120,000   4.500  3/15/2028   131,632 
                  1,148,957 
PRIVATE EQUITY - 0.3%                   
Apollo Management Holdings LP - 144A      135,000   4.000  5/30/2024   142,147 
                    
REITS - 4.7%                   
Alexandria Real Estate Equities, Inc.      100,000   3.950  1/15/2027   107,752 
Corporate Office Properties LP      196,000   3.600  5/15/2023   201,267 
EPR Properties      220,000   4.750  12/15/2026   239,873 
ESH Hospitality, Inc. - 144A      80,000   4.625  10/1/2027   80,408 
GLP Capital LP / GLP Financing II, Inc.      155,000   5.750  6/1/2028   176,037 
Healthcare Realty Trust, Inc.      90,000   3.875  5/1/2025   94,831 
Healthcare Trust of America Holdings LP      150,000   3.750  7/1/2027   158,185 
Iron Mountain, Inc. - 144A      110,000   4.875  9/15/2029   112,887 
Kilroy Realty LP      165,000   4.375  10/1/2025   178,893 
Life Storage LP      65,000   3.875  12/15/2027   69,010 
LifeStorage LP/CA      205,000   3.500  7/1/2026   212,050 
MPT Operating Partnership LP / MPT Finance Corp.      85,000   5.000  10/15/2027   89,675 
MPT Operating Partnership LP / MPT Finance Corp.      25,000   4.625  8/1/2029   26,125 
Office Properties Income Trust      170,000   4.500  2/1/2025   176,326 
Physicians Realty LP      140,000   3.950  1/15/2028   147,533 
Retail Opportunity Investments Partnership LP      105,000   4.000  12/15/2024   107,521 
SBA Tower Trust - 144A      135,000   2.836  1/15/2025   136,529 
Service Properties Trust      165,000   4.950  2/15/2027   169,769 
                  2,484,671 
RETAIL - 0.7%                   
Dollar Tree, Inc.      150,000   4.000  5/15/2025   161,418 
QVC, Inc.      195,000   4.375  3/15/2023   202,682 
                  364,100 
SEMICONDUCTORS - 0.3%                   
Broadcom Corp. / Broadcom Cayman Finance Ltd.      144,000   3.625  1/15/2024   148,343 
                    
SOFTWARE - 0.4%                   
Citrix Systems, Inc.      120,000   4.500  12/1/2027   131,380 
Vmware, Inc.      88,000   3.900  8/21/2027   90,914 
                  222,294 
TELECOMMUNICATIONS - 1.1%                   
AT&T, Inc.  3 Month LIBOR + 1.180%   50,000   3.312 + 6/12/2024   50,903 
AT&T, Inc.      71,000   4.100  2/15/2028   77,452 
Frontier Communications Corp. - 144A      70,000   8.500  4/1/2026   70,350 
Juniper Networks, Inc.      120,000   3.750  8/15/2029   122,207 
Motorola Solutions, Inc.      96,429   4.600  2/23/2028   105,228 
Motorola Solutions, Inc.      50,000   4.600  5/23/2029   54,968 
Sprint Spectrum Co. LLC - 144A      100,000   3.360  9/20/2021   100,875 
                  581,983 
TRUCKING & LEASING - 0.7%                   
Aviation Capital Group LLC - 144A      205,000   3.500  11/1/2027   206,013 
Penske Truck Leasing Co. LP - 144A      140,000   4.125  8/1/2023   148,773 
                  354,786 

 

See accompanying notes to financial statements.

20

 

SCHEDULE OF INVESTMENTS
Dunham Corporate/Government Bond Fund (Continued)
October 31, 2019

 

   Variable  Principal   Interest  Maturity    
Security  Rate  Amount   Rate %  Date  Value 
CORPORATE BONDS & NOTES - 66.7% (Continued)                   
WHOLE LOAN COLLATERAL CMO - 8.5%                   
Angel Oak Mortgage Trust 2019-3 - 144A     $140,657   2.930 ++ 5/25/2059  $142,607 
Angel Oak Mortgage Trust I LLC 2018-2 - 144A      33,941   3.674 ++ 7/27/2048   34,384 
Angel Oak Mortgage Trust I LLC 2019-1 - 144A      166,874   3.920 ++ 11/25/2048   169,795 
Arroyo Mortgage Trust 2019-2 - 144A      91,294   3.347 ++ 4/25/2049   93,022 
Banc of America Funding 2005-1 Trust      38,712   5.500  2/25/2035   39,868 
Bunker Hill Loan Depositary Trust 2019-1 - 144A (a)      84,059   3.613  10/26/2048   87,681 
Chase Home Lending Mortgage Trust 2019-ATR1 - 144A      85,321   4.000 ++ 4/25/2049   88,794 
Chase Mortgage Finance Corp. - 144A      80,555   3.750 ++ 2/25/2044   84,650 
Chase Mortgage Finance Corp. - 144A      119,051   3.750 ++ 4/25/2045   123,771 
Citigroup Mortgage Loan Trust 2019-IMC1 - 144A      126,085   2.720 ++ 7/25/2049   126,780 
Citigroup Mortgage Loan Trust 2019-RP1 - 144A      183,857   3.500 ++ 1/25/2066   189,707 
Citigroup Mortgage Loan Trust, Inc.      43,166   6.750  8/25/2034   47,864 
COLT 2018-1 Mortgage Loan Trust - 144A      28,146   2.930 ++ 2/25/2048   28,237 
COLT 2019-3 Mortgage Loan Trust - 144A      208,232   2.764 ++ 8/25/2049   210,349 
Deephaven Residential Mortgage Trust 2017-2 - 144A      46,761   2.453 ++ 6/25/2047   46,765 
Ellington Financial Mortgage Trust 2017-1 - 144A      117,603   2.687 ++ 10/25/2047   117,460 
Ellington Financial Mortgage Trust 2019-1 - 144A      96,510   2.934 ++ 6/25/2059   97,351 
Galton Funding Mortgage Trust 2017-1 - 144A      89,210   3.500 ++ 11/25/2057   90,173 
Galton Funding Mortgage Trust 2018-2 - 144A      66,819   4.500 ++ 10/25/2058   68,609 
Homeward Opportunities Fund I Trust 2018-2 - 144A      200,754   3.985 ++ 11/25/2058   205,298 
JP Morgan Mortgage Trust 2005-A5      83,052   4.080 ++ 8/25/2035   84,961 
JP Morgan Mortgage Trust 2017-5 - 144A      249,066   3.178 ++ 12/15/2047   252,857 
LHOME Mortgage Trust 2019-RTL1 - 144A (a)      145,000   4.580  10/25/2023   148,266 
MASTR Alternative Loan Trust 2004-4      43,537   5.500  4/25/2034   46,182 
Metlife Securitization Trust - 144A      100,000   3.716 ++ 4/25/2055   104,918 
Metlife Securitization Trust 2019-1 - 144A      136,595   3.750 ++ 4/25/2058   141,003 
New Residential Mortgage Loan Trust 2016-4 - 144A      93,086   3.750 ++ 11/25/2056   97,707 
New Residential Mortgage Loan Trust 2018-1 - 144A      187,511   4.000 ++ 12/25/2057   196,682 
New Residential Mortgage Loan Trust 2019-NQM4 - 144A      128,986   2.492 ++ 9/25/2059   130,128 
OBX 2018-EXP2 Trust - 144A      116,129   4.000 ++ 11/25/2048   117,692 
OBX 2019-INV1 Trust - 144A      131,892   4.500 ++ 11/25/2048   136,925 
RCO V Mortgage LLC 2019-1 - 144A (a)      94,943   3.721  5/24/2024   95,319 
Residential Asset Securitization Trust 2005-A1      70,666   5.500  4/25/2035   73,596 
Residential Mortgage Loan Trust 2019-2 - 144A      177,683   2.913 ++ 5/25/2059   178,320 
Structured Adjustable Rate Mortgage Loan Trust Series 2004-4      58,549   4.608 ++ 4/25/2034   61,393 
Thornburg Mortgage Securities Trust 2004-2  1 Month LIBOR + 0.620%   88,823   2.443 + 6/25/2044   89,570 
Towd Point HE Trust 2019-HE1 - 144A  1 Month LIBOR + 0.900%   180,221   2.723 + 4/25/2048   180,914 
Verus Securitization Trust 2018-1 - 144A      42,971   2.929 ++ 2/25/2048   43,121 
Verus Securitization Trust 2018-2 - 144A      105,000   4.426 ++ 6/1/2058   106,751 
Verus Securitization Trust 2018-3 - 144A      106,298   4.108 ++ 10/25/2058   107,872 
                  4,487,342 
                    
TOTAL CORPORATE BONDS & NOTES (Cost - $33,950,956)                 35,301,374 
                    
FOREIGN GOVERNMENT BONDS - 0.7%                   
Dominican Republic International Bond - 144A      150,000   6.000  7/19/2028   166,314 
Turkey Government International Bond      200,000   7.375  2/5/2025   214,944 
TOTAL FOREIGN GOVERNMENT BONDS - (Cost - $359,252)                 381,258 
                    
MUNICIPAL BONDS - 6.0%                   
City of Bristol VA      340,000   4.210  1/1/2042   355,866 
Idaho Health Facilities Authority      135,000   5.020  3/1/2048   168,895 
New York City Transitional Finance Authority Future Tax Secured Revenue      265,000   4.000  5/1/2042   299,428 
Rockdale County Water & Sewerage Authority      305,000   3.060  7/1/2024   314,269 
San Diego County Regional Airport Authority      325,000   5.594  7/1/2043   372,312 
State of California      765,000   7.600  11/1/2040   1,292,456 
State of Texas      245,000   3.011  10/1/2026   260,523 
University of California      115,000   4.428  5/15/2048   126,605 
TOTAL MUNICIPAL - (Cost - $2,955,354)                 3,190,354 
                    
U.S. GOVERNMENT & AGENCY - 18.1%                   
U.S. GOVERNMENT AGENCY - 4.0%                   
Fannie Mae Pool      17,369   6.000  11/1/2034   19,995 
Fannie Mae Pool      15,184   6.000  3/1/2036   17,451 
Fannie Mae Pool      146,178   5.500  9/1/2036   164,493 
Fannie Mae Pool      60,530   6.500  5/1/2037   71,841 
Fannie Mae Pool      25,549   5.500  4/1/2038   28,736 
Fannie Mae Pool      22,367   5.000  4/1/2038   24,974 
Fannie Mae Pool      63,565   6.000  8/1/2038   73,000 

 

See accompanying notes to financial statements.

21

 

SCHEDULE OF INVESTMENTS
Dunham Corporate/Government Bond Fund (Continued)
October 31, 2019

 

   Variable  Principal   Interest  Maturity    
Security  Rate  Amount   Rate %  Date  Value 
U.S. GOVERNMENT & AGENCY - 18.1% (Continued)                   
U.S. GOVERNMENT AGENCY - 4.0% (Continued)                   
Fannie Mae Pool     $137,304   5.000  6/1/2039  $151,716 
Fannie Mae Pool      190,306   4.000  9/1/2044   201,229 
Fannie Mae Pool      172,603   3.500  1/1/2046   179,982 
Fannie Mae Pool      290,148   4.000  4/1/2046   306,396 
Fannie Mae Pool      454,176   4.000  4/1/2048   474,809 
Fannie Mae Pool      178,209   3.000  9/1/2049   181,431 
Freddie Mac Gold Pool      159,447   5.000  12/1/2035   178,173 
Freddie Mac Gold Pool      24,864   5.500  10/1/2039   27,963 
                  2,102,189 
U.S. TREASURY OBLIGATIONS - 14.1%                   
United States Treasury Bond      1,170,000   1.375  4/30/2020   1,168,674 
United States Treasury Bond      105,000   2.625  8/31/2020   105,887 
United States Treasury Bond      850,000   2.000  2/15/2025   869,225 
United States Treasury Bond      1,165,000   2.875  8/15/2028   1,280,021 
United States Treasury Bond      160,000   2.625  2/15/2029   173,022 
United States Treasury Bond      3,290,000   3.000  8/15/2048   3,868,384 
                  7,465,213 
                    
TOTAL U.S. GOVERNMENT & AGENCY (Cost - $8,859,745)                 9,567,402 
                    
BANK LOANS - 4.3%                   
AEROSPACE - 0.1%                   
Atlantic Aviation FBO, Inc. Term Loan  1 Month LIBOR + 3.750%   14,888   5.652 + 12/06/2025   14,981 
TransDigm, Inc. New Tranche E Term Loan  1 Month LIBOR + 2.500%   49,497   4.402 + 5/30/2025   49,185 
                  64,166 
CONSUMER NON-DURABLES - 0.2%                   
Kronos Acquisition Intermediate, Inc. Initial Loan  1 Month LIBOR + 4.000%   108,120   5.936 + 5/15/2023   102,473 
                    
ENERGY - 0.2%                   
Buckeye Partners, L.P. Term Loan  1 Month LIBOR + 2.750%   25,000   4.753 + 10/16/2026   25,145 
CITGO Petroleum Corporation 2019 Incremental Term B Loan  3 Month LIBOR + 5.000%   64,675   7.085 + 3/27/2024   64,837 
                  89,982 
FOREST PROD/CONTAINERS - 0.1%                   
Berry Global, Inc. Term U Loan  1 Month LIBOR + 2.500%   54,863   4.486 + 7/01/2026   55,112 
                    
GAMING / LEISURE - 0.3%                   
Seminole Tribe of Florida 2018 Replacement Term B Loan  1 Month LIBOR + 1.750%   98,175   3.652 + 7/08/2024   98,780 
Station Casinos LLC Term B Facility Loan  1 Month LIBOR + 2.500%   55,059   4.402 + 6/08/2023   55,191 
                  153,971 
HEALTHCARE - 0.6%                   
Bausch Health Companies, Inc. Initial Term Loan  1 Month LIBOR + 3.000%   8,613   5.002 + 6/02/2025   8,653 
Bausch Health Companies, Inc. First Incremental Term Loan  1 Month LIBOR + 2.750%   26,250   4.752 + 11/27/2025   26,312 
CHG Healthcare Services, Inc. New Term Loan (2017)  1 Month LIBOR + 3.000%   77,457   4.902 + 6/07/2023   77,464 
Iqvia, Inc. Term B-3 Dollar Loan  3 Month LIBOR + 1.750%   108,625   3.835 + 6/11/2025   108,702 
Regionalcare Hospital Partners Holdings, Inc. Term B Loan  1 Month LIBOR + 4.500%   99,250   6.436 + 11/16/2025   99,146 
                  320,277 
HOUSING - 0.9%                   
84 Lumber Company Term B-1 Loan  1 Month LIBOR + 5.250%   74,677   7.178 + 10/25/2023   74,832 
American Builders & Contractors Supply Co., Inc. Term B2  1 Month LIBOR + 2.000%   105,000   3.927 + 1/15/2027   104,968 
Capital Automotive L.P. Initial Tranche B-2 Term Loan  1 Month LIBOR + 2.500%   108,644   4.402 + 3/25/2024   108,740 
CPG International LLC New Term Loan  3 Month LIBOR + 3.750%   94,275   5.835 + 5/06/2024   93,097 
Summit Materials, LLC New Term Loan  1 Month LIBOR + 2.000%   98,992   3.902 + 11/21/2024   99,317 
                  480,954 
INFORMATION TECHNOLOGY - 0.2%                   
Boxer Parent Company, Inc. Initial Dollar Term Loan  1 Month LIBOR + 4.250%   44,175   6.152 + 10/02/2025   41,067 
Kronos Incorporated Incremental Term Loan  3 Month LIBOR + 3.000%   78,625   5.287 + 11/01/2023   78,570 
                  119,637 

 

See accompanying notes to financial statements.

22

 

SCHEDULE OF INVESTMENTS
Dunham Corporate/Government Bond Fund (Continued)
October 31, 2019

 

   Variable  Principal   Interest  Maturity    
Security  Rate  Amount   Rate %  Date  Value 
BANK LOANS - 4.3% (Continued)                   
MEDIA / TELECOMMUNICATIONS - 0.5%                   
CenturyLink, Inc. Initial Term B Loan  1 Month LIBOR + 2.750%  $112,988   4.652 + 1/31/2025  $112,006 
Commscope, Inc. Initial Term Loan  1 Month LIBOR + 3.250%   40,000   5.152 + 4/04/2026   39,313 
Nexstar Broadcasting, Inc. Term Loan B  1 Month LIBOR + 2.750%   85,000   4.686 + 9/18/2026   85,419 
                  236,738 
SERVICE - 0.5%                   
Dun & Bradstreet Corporation Initial Term Borrowing  1 Month LIBOR + 5.000%   95,000   6.936 + 2/06/2026   95,386 
Sedgwick Claims Management Services, Inc. Initial Term Loan  1 Month LIBOR + 3.250%   104,461   5.152 + 12/31/2025   101,564 
TKC Holdings, Inc. Initial Term Loan  1 Month LIBOR + 3.750%   82,282   5.652 + 2/01/2023   79,931 
                  276,881 
TRANSPORTATION - AUTOMOTIVE - 0.3%                   
Navistar, Inc. Tranche B Term Loan  1 Month LIBOR + 3.500%   88,650   5.503 + 11/06/2024   87,930 
Panther BF Aggregator 2 L P Initial Dollar Term Loan  1 Month LIBOR + 3.500%   65,000   5.409 + 4/30/2026   64,269 
                  152,199 
UTILITY - 0.4%                   
Brookfield WEC Holdings, Inc. Initial Term Loan  1 Month LIBOR + 3.500%   119,300   5.402 + 8/01/2025   118,728 
Calpine Corporation Term Loan (2019)  3 Month LIBOR + 2.750%   99,750   4.835 + 4/05/2026   99,975 
                  218,703 
                    
TOTAL BANK LOANS - (Cost - $2,276,379)                 2,271,093 
                    
TOTAL INVESTMENTS - 95.8% (Cost - $48,401,686)                $50,711,481 
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.2%                 2,200,651 
NET ASSETS - 100.0%                $52,912,132 

 

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 October 31, 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 $19,403,904 or 36.67% of net assets.

 

(a)Step-Up Bond; the interest rate shown is the rate in effect as of October 31, 2019.

 

Portfolio Composition * - (Unaudited) 
Corporate Bonds & Notes   69.4%  Foreign Government Bonds   0.8%
U.S. Government & Agencies   18.8%  Total   100.0%
Municipal   6.3%        
Bank Loans   4.7%        

 

*Based on total value of investments as of October 31, 2019.

 

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

 

See accompanying notes to financial statements.

23

 

Dunham Monthly Distribution Fund (Unaudited)
Message from the Sub-Adviser (Weiss Multi-Strategy Advisers LLC)

 

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. Volatility relatively subsided through the second and third fiscal quarters, but meaningfully spiked once again to begin the most recent fiscal quarter, as heightened concerns regarding trade between the U.S. and both China and the European Union weighed on investors. Similar to the beginning of the fiscal year, 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 fiscal quarter allowed for these risk-arbitrage strategies to recover and rally. During the fiscal year, event driven strategies, as measured by the Credit Suisse Event Driven Liquid Index, rose 9.7 percent. While bro ader in scope, long/short equity strategies, as measured by the Credit Suisse Long/Short Liquid Index, increased 5.3 percent.

 

Allocation Review

 

Within the Fund, the event driven allocation is primarily represented in the form of announced mergers. The event driven holdings allocation fell to a low of 38 percent in the second fiscal quarter as prominent positions came to fruition. As predicted by the Sub-Adviser, this allocation rose to approximately 47 percent by the end of the most recent fiscal quarter as the Sub-Adviser was able to identify above average spreads in strategic deals with manageable regulatory hurdles. Despite the increase in the event allocation, announcements for new deals have slowed. The Sub-Adviser attributes the lack of new deals to uncertainty around both the economic outlook and the predicted regulatory framework. Executives are unlikely to make transformational mergers. With that being said, the Fund finished the fiscal year with a l ower than average gross exposure, giving the Sub-Adviser the ability to easily capitalize on alpha generating opportunities when they present themselves.

 

Holdings Insights

 

The largest pharmaceutical deal ever, combining two of the world’s largest cancer drug businesses, was announced in the first fiscal quarter of this year and has been a highlight of the Fund’s event driven allocation ever since. The deal spread between Celgene Corp. (CELG) (holding weight: 9.25 percent) and Bristol-Myers Squibb Co. (BMY) (holding weight*: -5.23 percent) has compressed over the fiscal year following the deal receiving the backing from a prominent proxy advisory firm. The Sub-Adviser is confident that the deal will close. Over the previous fiscal quarter, BMY reported impressive earnings, and reiterated the target of completion and timing for the deal’s approval. Another contributor from the event driven allocation originally came from Chevron Corp.’s (CVX) (holding weight**: -1.24 percent) announcement that they intend to acquire Anadarko Petroleum Corp. (APC) (holding weight**: 6.73 percent) in the second fiscal quarter. 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*: 0.29 percent) made an offer to acquire all outstanding shares of APC. The spread on this deal tightened from a high of $3.94 to closing in the beginning of this most recent fiscal quarter.

 

Many other mergers closed within the Fund over the fiscal year including Nexstar Media Group’s (NXST) (not held) acquisition of Tribune Media Company (TRCO) (holding weight**: 2.12 percent), Salesforce.com Inc.’s (CRM) (holding weight**: 1.21 percent) acquisition of Tableau Software Inc. (DATA) (holding weight**: 3.47 percent), UGI Corps (UGI) (holding weight**: -0.56 percent) acquisition of AmeriGas Partners (APU) (holding weight**: 0.75percent), and Health Equity Inc.’s (HQY) (not held) acquisition of WageWorks, Inc. (WAGE) (holding weight**: 0.50 percent).

 

The low net profile of the long / short equity allocation within the Fund resulted in a negative contribution to Fund performance over the most recent fiscal year. The market hedges were, as expected, a positive contributor to Fund performance during the heightened volatility. However, as markets rallied, these hedges acted as a headwind to performance. For example, the short positions in the iShares U.S. Real Estate ETF (IYR) (holding weight*: -0.75 percent) and the SPDR S&P 500 ETF Trust (SPY) (holding weight*: -2.54) detracted from Fund performance during the fiscal year as these positions increased 24.1 percent and 14.3 percent, respectively. The exposure to the financial sector within the long / short equity allocation also detracted from Fund performance as macro headlines, yield curve inversion, and recession concerns weighed on the sector. Overall, the derivative exposure had a muted impact on performance. Some broad market options had mea ningful moves during the fiscal year but were generally offsetting due to the structure of the trade.

 

Sub-Adviser Outlook

 

Throughout the spikes in volatility and subsequent rallies throughout the fiscal year, 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 volatility throughout the beginning of 2019, and the Sub-Adviser is optimistic that its approach is well suited for additional volatility that may arise through the end of the calendar year.

 

*Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 10/31/2019.

 

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

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2019
    Annualized Annualized
  One Year Five Years Ten Years
Class N 2.55% 1.82% 3.87%
Class C 1.52% 0.80% 2.84%
Class A with load of 5.75% (3.58)% 0.37% 2.99%
Class A without load 2.30% 1.56% 3.60%
IQ Hedge Market Neutral Total Return Index 5.32% 2.38% 2.95%
Morningstar Multialternative Category 3.91% 0.99% 1.86%

 

(a)Total Returns are calculated based on traded NAVs.

 

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.

24

 

SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund
October 31, 2019

 

Security  Shares   Value 
COMMON STOCKS - 69.4%          
AEROSPACE/DEFENSE - 2.5%          
Boeing Co.   3,762   $1,278,741 
Harris Corp.   18,355    3,786,820 
United Technologies Corp.   9,421    1,352,667 
         6,418,228 
AIRLINES - 0.1%          
American Airlines Group, Inc.   2,410    72,445 
AMR Corp. * #   101,283    126,604 
         199,049 
APPAREL - 1.3%          
Nike, Inc.   36,493    3,267,948 
           
AUTO MANUFACTURERS - 1.1%          
Fiat Chrysler Automobiles   60,216    922,509 
General Motors Co.   55,138    2,048,928 
         2,971,437 
BANKS - 2.4%          
Citigroup, Inc.   42,254    3,036,372 
SunTrust Banks, Inc.   47,925    3,275,195 
         6,311,567 
BIOTECHNOLOGY - 10.6%          
Alder BioPharmaceuticals, Inc. * #   10,079    20,158 
Cambrex Corp. *   18,529    1,106,737 
Celgene Corp. *   234,872    25,373,222 
Corteva, Inc.   38,024    1,003,073 
         27,503,190 
BUILDING MATERIALS - 0.5%          
Masco Corp.   28,901    1,336,671 
           
CHEMICALS - 1.5%          
A. Schulman, Inc. * #   44,665    33,499 
Axalta Coating Systems Ltd. *   39,621    1,168,423 
Huntsman Corp.   117,393    2,597,907 
International Flavors & Fragrances, Inc.   -~    7 
         3,799,836 
COMPUTERS - 0.8%          
Apple, Inc.   8,880    2,208,989 
           
COSMETICS - 1.0%          
Procter & Gamble Co.   21,022    2,617,449 
           
DIVERSIFIED FINANCIAL SERVICES - 0.2%          
Alliance Data Systems Corp.   5,264    526,400 
           
ELECTRIC - 0.5%          
El Paso Electric Co.   20,674    1,379,163 
           
GAMING & LEISURE - 2.4%          
Stars Group, Inc. *   282,718    6,151,944 
           
HEALTHCARE - PRODUCTS - 0.8%          
Danaher Corp.   15,132    2,085,492 
           
HEALTHCARE - SERVICES - 0.5%          
Centene Corp. *   24,112    1,279,865 
           
HOLDING COMPANIES - DIVERSIFIED - 1.9%          
8I Enterprises Acquisition Corp. *   42,550    424,224 
Alberton Acquisition Corp. *   84,727    868,452 
Boxwood Merger Corp. *   111,882    1,131,127 
Legacy Acquisition Corp. *   124,493    1,274,808 

 

See accompanying notes to financial statements.

25

 

SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2019

 

Security  Shares   Value 
COMMON STOCKS - 69.4% (Continued)          
HOLDING COMPANIES - DIVERSIFIED - 1.9% (Continued)          
Mosaic Acquisition Corp. * ^   65,697   $674,708 
Pure Acquisition Corp. *   42,906    441,932 
         4,815,251 
INTERNET - 0.5%          
InterActiveCorp. *   5,759    1,308,733 
           
IRON/STEEL - 0.1%          
Allegheny Technologies, Inc. *   18,611    391,017 
           
LODGING - 2.9%          
Caesars Entertainment Corp. *   424,291    5,210,293 
Hilton Grand Vacations, Inc. *   11,054    383,905 
Wyndham Hotels & Resorts, Inc.   36,663    1,978,702 
         7,572,900 
MEDIA - 0.6%          
Discovery, Inc.* ^   48,092    1,296,320 
Viacom, Inc.   8,438    181,923 
         1,478,243 
MINING - 0.2%          
Freeport-McMoRan, Inc.   58,971    579,095 
           
MISCELLANEOUS MANUFACTURERS - 0.3%          
Siemens AG   7,037    811,620 
           
OIL & GAS - 2.8%          
Marathon Petroleum Corp.   79,330    5,073,154 
Valero Energy Corp.   22,546    2,186,511 
         7,259,665 
OIL & GAS SERVICES - 0.1%          
TechnipFMC PLC   17,500    345,275 
           
PACKAGING & CONTAINERS - 0.3%          
Berry Global Group, Inc. *   18,536    769,429 
           
PHARMACEUTICALS - 9.2%          
Allergan PLC   105,085    18,506,519 
Cigna Corp.   12,920    2,305,703 
Elanco Animal Health, Inc. *   64,493    1,742,601 
Mylan NV *   61,615    1,179,927 
         23,734,750 
PIPELINES - 6.2%          
Buckeye Partners LP   297,256    12,324,234 
Columbia Pipeline Group, Inc. * #   84,102    — 
SemGroup Corp.   80,880    1,302,168 
Tallgrass Energy LP   127,653    2,382,005 
         16,008,407 
PRIVATE EQUITY - 0.1%          
Brookfield Asset Management, Inc.   2,207    121,937 
           
REAL ESTATE INVESTMENT TRUSTS - 1.3%          
CyrusOne, Inc.   12,775    910,602 
Rayonier, Inc.   18,460    498,051 
Weyerhaeuser Co.   61,811    1,805,499 
Winthrop Realty Trust #   102,617    80,041 
         3,294,193 
RETAIL - 1.9%          
Best Buy Co., Inc.   21,677    1,557,059 
Gap, Inc.   36,187    588,401 
O’Reilly Automotive, Inc. *   2,680    1,167,167 
Tiffany & Co.   13,691    1,704,666 
         5,017,293 

 

See accompanying notes to financial statements.

26

 

SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2019

 

Security            Shares      Value 
COMMON STOCKS - 69.4% (Continued)                        
SEMICONDUCTORS - 6.8%                        
Cypress Semiconductor Corp.              266,866      $6,209,972 
Micron Technology, Inc. *              70,150       3,335,633 
NVIDIA Corp.              6,433       1,293,162 
NXP Semiconductors NV              24,956       2,836,998 
QUALCOMM, Inc.              48,935       3,936,331 
                       17,612,096 
SOFTWARE - 1.6%                        
Borqs Technologies, Inc. *              93,231       167,816 
Microsoft Corp.              27,896       3,999,450 
                       4,167,266 
TELECOMMUNICATIONS - 4.8%                        
T-Mobile US, Inc. *              11,109       918,270 
Zayo Group Holdings, Inc. *              339,247       11,581,893 
                       12,500,163 
TRANSPORTATION - 1.6%                        
Genesee & Wyoming, Inc. *              37,606       4,175,394 
                         
TOTAL COMMON STOCKS (Cost - $171,995,448)                      180,019,955 
                         
CLOSED END FUNDS - 1.5%                        
Altaba, Inc. #              193,882       3,805,903 
TOTAL CLOSED END FUNDS (Cost - $3,805,238)                        
                         
EXCHANGE TRADED FUNDS - 3.3%                        
Invesco Senior Loan ETF ^              56,315       1,262,019 
SPDR Blackstone / GSO Senior Loan ETF              85,456       3,919,867 
SPDR S&P Regional Banking ETF              64,373       3,469,705 
TOTAL EXCHANGE TRADED FUNDS - (Cost - $8,833,588)                      8,651,591 
                         
                   Expiration Date     
RIGHTS - 0.0%                        
Nexstar Broadcasting Group, Inc. * #              87,600   Perpetual   4,380 
TOTAL RIGHTS (Cost - $26,280)                        
                         
WARRANTS - 0.0%                        
Borqs Technologies, Inc. * #              105,552   10/28/2020   2,375 
TOTAL WARRANTS (Cost - $8,254)                        
                         
   Counterparty  Contracts**  Notional   Exercise Price         
PURCHASED OPTIONS - 0.0%                        
PURCHASED CALL OPTIONS - 0.0%                        
Boeing Co.  JP Morgan  50  $1,950,000   $390.00   11/15/2019   150 
L3Harris Technologies, Inc.  JP Morgan  50   1,050,000    210.00   11/15/2019   11,050 
TOTAL PURCHASED CALL OPTIONS (Cost - $80,262)                      11,200 
                         
PURCHASED PUT OPTIONS - 0.0%                        
PayPal Holdings, Inc.  JP Morgan  150   1,500,000    100.00   11/15/2019   9,900 
S&P 500 Index  JP Morgan  75   22,275,000    2,970.00   11/15/2019   67,500 
TOTAL PURCHASED PUT OPTIONS (Cost - $276,683)                      77,400 
TOTAL PURCHASED OPTIONS (Cost - $356,945)                      88,600 
                         
                   Interest     
              Shares   Rate %     
SHORT-TERM INVESTMENT - 33.3%                        
MONEY MARKET FUND - 33.3%                        
Fidelity Investments Money Market Fund - Class I              86,209,639   1.720 +  86,209,639 
TOTAL SHORT-TERM INVESTMENT (Cost - $86,209,639)                        
                         
COLLATERAL FOR SECURITIES LOANED - 1.3%                        
HSBC US Government Money Market Fund - Class I !              2,935,000   1.719 +  2,935,000 
Morgan Stanley Institutional Liquidity Fund Prime Portfolio - Class Institutional !              349,250   1.940 +  349,494 
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $3,284,250)                      3,284,494 

 

See accompanying notes to financial statements.

27

 

SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2019

 

   Value 
     
TOTAL INVESTMENTS - 108.8% (Cost - $274,519,642)  $282,066,937 
LIABILITIES IN EXCESS OF OTHER ASSETS - (8.8)%   (22,783,710)
NET ASSETS - 100.0%  $259,283,227 

 

ETF - Exchange Traded Fund

 

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 October 31, 2019.

 

#Fair Value estimated using fair value procedures adopted by Board of Trustees. Total value of such securities is $4,072,960 or 1.57% of net assets as of October 31, 2019.

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $3,216,350 at October 31, 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%.

 

~Less than 0.5 shares.

 

Security  Counterparty  Contracts**  Notional Value   Exercise Price   Expiration Date  Value 
WRITTEN OPTIONS - (0.3)%                        
WRITTEN CALL OPTIONS - (0.3)%                        
Best Buy Co., Inc.  JP Morgan  217  $1,519,000   $70.00   12/20/2019  $103,726 
Boeing Co.  JP Morgan  100   4,100,000    410.00   11/15/2019   250 
Elanco Animal Health, Inc.  JP Morgan  639   1,789,200    28.00   11/15/2019   28,755 
General Motors Co.  JP Morgan  250   925,000    37.00   11/15/2019   20,000 
Marathon Petroleum Corp.  JP Morgan  717   4,481,250    62.50   11/15/2019   173,514 
Masco Corp.  JP Morgan  282   1,297,200    46.00   12/20/2019   47,940 
Micron Technology, Inc.  JP Morgan  701   3,154,500    45.00   11/15/2019   199,785 
NXP Semiconductors NV  JP Morgan  136   1,523,200    112.00   11/15/2019   53,040 
NXP Semiconductors NV  JP Morgan  117   1,357,200    116.00   11/15/2019   18,135 
QUALCOMM, Inc.  JP Morgan  251   1,945,250    77.50   11/15/2019   110,440 
QUALCOMM, Inc.  JP Morgan  128   1,024,000    80.00   11/15/2019   36,224 
Valero Energy Corp.  JP Morgan  225   2,115,000    94.00   11/15/2019   88,875 
TOTAL WRITTEN CALL OPTIONS - (Premiums Received - $826,157)                      880,684 
                         
WRITTEN PUT OPTIONS - (0.0)%                        
L3Harris Technologies, Inc.  JP Morgan  50   975,000    195.00   11/15/2019   5,000 
PayPal Holdings, Inc.  JP Morgan  150   1,350,000    90.00   11/15/2019   900 
S&P 500 Index  JP Morgan  75   21,825,000    2,910.00   11/15/2019   31,125 
TOTAL WRITTEN PUT OPTIONS - (Premiums Received - $156,172)                      37,025 
TOTAL WRITTEN OPTIONS (Premiums Received - $982,329)                     $917,709 
                         
              Shares         
SECURITIES SOLD SHORT * - (30.0)%                       
AIRLINES - (0.0)%                        
American Airlines Group, Inc.              3,836      $115,310 
                         
BANKS - (1.3)%                        
BB&T Corp.              61,927       3,285,227 
                         
CHEMICALS - (0.7)%                        
DuPont de Nemours, Inc.              13,765       907,251 
International Flavors & Fragrances, Inc.              6,743       822,714 
                       1,729,965 
ENTERTAINMENT - (0.7)%                        
Eldorado Resorts, Inc.              38,483       1,722,884 

 

See accompanying notes to financial statements.

28

 

SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2019

 

Security  Shares      Value 
SECURITIES SOLD SHORT * - (30.0)% (Continued)             
EQUITY EXCHANGE TRADED FUNDS - (9.9)%             
Consumer Staples Select Sector SPDR Fund   106,844      $6,534,579 
Energy Select Sector SPDR Fund   11,097       643,182 
Health Care Select Sector SPDR Fund   42,510       4,027,823 
Industrial Select Sector SPDR Fund   58,045       4,557,113 
iShares Russell 2000 ETF   9,232       1,435,114 
iShares U.S. Real Estate ETF   20,567       1,938,646 
SPDR S&P 500 ETF Trust   21,772       6,604,101 
            25,740,558 
HEALTHCARE - PRODUCTS - (0.3)%             
Envista Holdings Corp.   23,206       680,632 
              
HEALTHCARE - SERVICES - (0.2)%             
UnitedHealth Group, Inc.   2,087       527,385 
              
INTERNET - (0.2)%             
Roku, Inc.   4,357       641,350 
              
LODGING - (0.6)%             
Marriott International, Inc.   12,398       1,568,967 
              
MACHINERY - DIVERSIFIED - (0.5)%             
Deere & Co.   4,798       835,524 
IDEX Corp.   3,332       518,226 
            1,353,750 
MEDIA - (0.1)%             
CBS Corp.   5,640       203,266 
              
MISCELLANEOUS MANUFACTURERS - (0.9)%             
Illinois Tool Works, Inc.   7,467       1,258,787 
Parker-Hannifin Corp.   5,391       989,195 
            2,247,982 
OIL & GAS - (0.3)%             
Exxon Mobile Corp.   13,493       911,722 
              
PHARMACEUTICALS - (9.1)%             
AbbVie, Inc.   76,424       6,079,529 
Bristol-Myers Squibb Co.   249,225       14,298,038 
Cigna Corp.   12,920       2,305,703 
CVS Health Corp.   15,731       1,044,381 
            23,727,651 
PIPELINES - (0.3)%             
Energy Transfer LP   58,710       739,159 
              
REAL ESTATE INVESTMENT TRUSTS - (1.3)%             
American Tower Corp.   8,561       1,866,983 
Equinix, Inc.   1,597       905,148 
Kimco Realty Corp.   24,134       520,329 
            3,292,460 
RETAIL - (0.6)%             
Starbucks Corp.   18,640       1,576,198 
              
        Expiration Date     
RIGHTS - (0.1)%             
Celgene Corp. #   89,152   Perpetual   200,592 
              
SEMICONDUCTORS - (1.3)%             
Broadcom, Inc.   3,320       972,262 
Taiwan Semiconductor Manufacturing Co. Ltd.   18,219       940,647 
Texas Instruments, Inc.   11,930       1,407,621 
            3,320,530 

 

See accompanying notes to financial statements.

29

 

SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2019

 

Security  Shares   Value 
SECURITIES SOLD SHORT * - (30.0)% (Continued)          
SOFTWARE - (0.6)%          
Fiserv, Inc.   16,031   $1,701,530 
           
TELECOMMUNICATIONS - (1.0)%          
Cisco Systems, Inc.   27,950    1,327,904 
Comcast Corp. - Class A   28,949    1,297,494 
         2,625,398 
           
TOTAL SECURITIES SOLD SHORT - (Proceeds - $72,637,494)       $77,912,516 

 

ETF - Exchange Traded Fund

 

LP - Limited Partnership

 

*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.

 

#Fair Value estimated using fair value procedures adopted by Board of Trustees. Total value of such securities is $200,592 or 0.08% of net assets as of October 31, 2019.

 

TOTAL RETURN SWAPS 
                Unrealized 
      Notional Value at      Maturity  Appreciation/ 
Reference Entity  Counterparty  October 31, 2019   Interest Rate  Date  (Depreciation) 
LONG TOTAL RETURN SWAPS                   
Airbus SE  JPMorgan  $846,775   3 mo. LIBOR + 0.300%  10/21/2020  $55,475 
Airbus SE  JPMorgan   331,539   3 mo. LIBOR + 0.300%  10/22/2020   26,552 
Airbus SE  JPMorgan   326,637   3 mo. LIBOR + 0.300%  10/23/2020   19,126 
NET UNREALIZED GAIN FROM LONG TOTAL RETURN SWAPS                 101,153 
                    
SHORT TOTAL RETURN SWAPS                   
Flutter PLC  JPMorgan   318,310   3 mo. LIBOR + 0.300%  10/10/2020   (5,677)
Flutter PLC  JPMorgan   829,301   3 mo. LIBOR + 0.300%  10/10/2020   (2,759)
Flutter PLC  JPMorgan   2,899   3 mo. LIBOR + 0.300%  10/11/2020   (59)
Flutter PLC  JPMorgan   570,859   3 mo. LIBOR + 0.300%  10/11/2020   (30,955)
Flutter PLC  JPMorgan   1,662,557   3 mo. LIBOR + 0.300%  10/17/2020   (118,974)
Flutter PLC  JPMorgan   580,720   3 mo. LIBOR + 0.300%  10/24/2020   (36,628)
Flutter PLC  JPMorgan   905,674   3 mo. LIBOR + 0.300%  10/25/2020   (61,820)
Peugeot SA  JPMorgan   786,500   3 mo. LIBOR + 0.300%  11/4/2020   8,220 
NET UNREALIZED LOSS FROM SHORT TOTAL RETURN SWAPS     (248,652)
NET UNREALIZED LOSS FROM TOTAL RETURN SWAPS    $(147,499)

 

Portfolio Composition * - (Unaudited) 
Short-Term Investment   30.4%  Exchange Traded Funds   3.0%
Consumer, Non-Cyclical   22.3%  Diversified   2.4%
Technology   8.4%  Basic Materials   1.7%
Energy   8.3%  Collateral for securities on loan   1.2%
Consumer, Cyclical   6.7%  Closed-End Fund   1.3%
Communications   5.4%  Utilities   0.5%
Industrial   4.8%  Options   0.0%
Financial   3.6%  Warrants   0.0%
        Rights   0.0%
        Total   100.0%

 

*Based on total value of investments as of October 31, 2019

 

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

 

See accompanying notes to financial statements.

30

 

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, invest ors dealt with rising interest rates, a slowdown in Eurozone business confidence, weaker Chinese growth, increasing geopolitical tension across the globe and 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 second fiscal quarter 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. Volatility once again spiked in the third and final fiscal quarters of the year. To start the third fiscal quarter, global equities suffered their worst month of May in seven years as escalating trade tensions and weaker economic data spooked investors. In August, global equities declined amid deteriorating trade talks between the U.S. and China and concerning economic reports. Despite these spikes in volatility, global equities put in a constructive second half of the fiscal year as central banks around the world shifted to accommodative policy decisions. This included the United States Federal Reserve, which cut their benchmark rate three times in 2019. Global macro strategies, as measured by the IQ Hedge Global Macro Beta Index, increased 5.2 percent over the fiscal year.

 

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 benefitted the Fund as equity prices rallied off their lows in late December. As equity markets continued to rally through the end of the second fiscal quarter, the Sub-Adviser methodically took profits from the growth strategy and moved back into the defensive asset strategy. The allocation to the growth asset strategy continued to decline in the third and final fiscal quarter of the year, which benefited the Fund during the aforementioned spikes in volatility. The Sub-Adviser saw an opportunity in the equity decline in August and increased the allocation to the growth asset strategy. This allocation benefited the Fund as global equities rallied to close the fiscal quarter. Both the defensive and growth asset strategy contributed to Fund performance over the most recent fiscal quarter, while the real asset strategy detracted.

 

Holdings Insights

 

The growth asset strategy contributed positively to Fund Performance over the most recent fiscal quarter and the full fiscal year. The exposure within the growth asset strategy has shifted through 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 believed that their prices had outstripped the underlying earnings. This exposure was achieved through the SPDR S&P 500 ETF Trust (SPY) (holding weight*: 11.73 percent). Throughout the fiscal year, SPY increased 15.6 percent. The reduction of allocation to SPY through the fiscal year benefited the Fund as the bulk of the increase occurred early in the fiscal year with SPY increasing 1.3 percent in the most recent fiscal quarter. The Fund also received positive contributions from overseas which included the iShares Currency Hedged MSCI Japan ETF (HEWJ) (holding weight*: 7.67 percent), and the iShares Currency Hedged MSCI Germany ETF (HEWG) (holding weight*: 0.60 percent). HEWJ increased 6.0 percent and HEWG rose 12.7 percent.

 

The defensive asset strategy achieved its goal of attempting to provide downside protection for the Fund during spikes in volatility. As recent as August and multiple other times throughout the fiscal year, equity markets rapidly declined while U.S. bonds provided a positive return. Given that the largest portion of the defensive asset strategy is dedicated to U.S. bonds, this exposure benefited the Fund. Despite subsequent rallies in risk assets as volatility subsided, this exposure was still able to contribute to Fund performance as the yield on the 10-year U.S. Treasury declined 145 basis points in the full fiscal year and 32 basis points in the most recent fiscal quarter alone. While the bulk of derivative exposure had a muted impact on performance over the fiscal year, the U.S. bond exposure within the Fund was partially facilitated by the U.S. 10YR Note (CBT) DEC 19 (TYZ9) (holding weight*: 0.03 percent). This position has a notion exposure of approximately 31.5 perc ent of Fund assets and increased 1.9 percent in the final fiscal quarter of the year.

 

In the second fiscal quarter, the Sub-Adviser eliminated the exposure to TIPS, as it did not believe that a rapid rise in inflation was an immediate concern. This view remained throughout the final fiscal quarter of the year as the exposure to the real asset strategy remained consistent. One position within the real asset strategy that detract ed from Fund performance was the iShares Commodities Select Strategy ETF (COMT) (holding weight*: 5.42 percent). Over the fiscal year, COMT decreased 5.6 percent.

 

Sub-Adviser Outlook

 

The Sub-Adviser is optimistic for opportunities within the asset categories the Fund invests in for the rest of 2019 and 2020, 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 attractive returns with lower systematic risk and lower correlation than traditional equity investments.

 

*Holdings percentage(s) of total investments as of 10/31/2019.

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2019
      Annualized
    Annualized Since Inception
  One Year Five Years (4/30/10)
Class N 8.35% 1.36% 1.53%
Class C 7.20% 0.33% 0.52%
Class A with load of 5.75% 1.80% (0.10)% 0.64%
Class A without load 8.04% 1.09% 1.26%
IQ Hedge Global Macro Beta Index 5.17% 1.72% 2.08%
Morningstar Multialternative Category 3.91% 0.99% 1.47%

 

(a)Total Returns are calculated based on traded NAVs.

 

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.co

31

 

SCHEDULE OF INVESTMENTS
Dunham Dynamic Macro Fund
October 31, 2019

 

Security               Shares  Value 
EXCHANGE TRADED FUNDS - 30.1%                      
COMMODITY EXCHANGE TRADED FUNDS - 5.4%                      
iShares Commodities Select Strategy ETF                71,252  $2,264,388 
                       
DEBT EXCHANGE TRADED FUNDS - 4.6%                      
SPDR Bloomberg Barclays High Yield Bond ETF                17,884   1,934,870 
                       
EQUITY EXCHANGE TRADED FUNDS - 20.1%                      
iShares Currency Hedged MSCI Germany ETF                8,944   252,489 
iShares Currency Hedged MSCI Japan ETF                99,319   3,207,011 
SPDR S&P 500 ETF Trust                16,163   4,902,723 
                     8,362,223 
                       
TOTAL EXCHANGE TRADED FUNDS (Cost - $10,160,747)                    12,561,481 
                       
              Exercise  Expiration     
   Counterparty  Contracts  Notional   Price  Date     
PURCHASED OPTIONS * + - 2.0%                      
CALL OPTION ON FUTURES PURCHASED - 2.0%                      
US 10 Year Future  Goldman Sachs  67  $7,906,000   US $118  11/22/2019   823,891 
                     823,891 
PUT OPTIONS ON FUTURES PURCHASED - 0.0%                      
S&P 500 E-Mini Option  Goldman Sachs  42   5,460,000   US $2,600  12/20/2019   7,875 
S&P 500 E-Mini Option  Goldman Sachs  42   5,460,000   US $2,600  1/17/2020   19,110 
                     26,985 
                       
TOTAL PURCHASED OPTIONS (Cost - $964,012)                    850,876 
                       
      Principal       Discount        
      Amount ($)       Rate (%)  Maturity     
SHORT-TERM INVESTMENTS - 63.4%                      
U.S. GOVERNMENT SECURITIES - 60.2%                      
US Treasury Bill ^^     1,380,000       1.4353  12/12/2019   1,377,693 
US Treasury Bill     23,773,000       1.4155  12/19/2019   23,727,197 
                     25,104,890 
                       
      Shares       Interest Rate (%)        
MONEY MARKET - 3.2%                      
Morgan Stanley Institutional Liquidity Fund     1,340,071       1.7200 ^      1,340,071 
                       
TOTAL SHORT-TERM INVESTMENTS - (Cost - $26,430,465)                    26,444,961 
                       
TOTAL INVESTMENTS - 95.5% (Cost - $37,555,224)                   $39,857,318 
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.5%                    1,857,159 
NET ASSETS - 100.0%                   $41,714,477 

 

See accompanying notes to financial statements.

32

 

SCHEDULE OF INVESTMENTS
Dunham Dynamic Macro Fund (Continued)
October 31, 2019

 

                   Unrealized 
                Expiration  Appreciation 
Open Futures Contracts **  Counterparty  Contracts  Notional      Date  (Depreciation) 
LONG FUTURES CONTRACTS - 0.4%                      
10 Year Mini JGB Future  Goldman Sachs  71  $10,125,406      12/12/2019  $(48,747)
CAC 40 10 Euro Future  Goldman Sachs  7   447,253      11/15/2019   4,438 
CAN 10 Year Bond Future  Goldman Sachs  16   1,729,098      12/18/2019   26,322 
Dax Index Future  Goldman Sachs  2   719,232      12/20/2019   4,848 
FTSE 100 Index Future  Goldman Sachs  29   2,719,136      12/20/2019   4,319 
FTSE/MIB Index Future  Goldman Sachs  7   884,901      12/20/2019   38,659 
Hang Seng Index Future  Goldman Sachs  15   2,582,135      11/28/2019   4,652 
IBEX 35 Index Future  Goldman Sachs  5   517,528      11/15/2019   1,610 
MSCI Emerging Markets Future  Goldman Sachs  15   781,050      12/20/2019   11,325 
S&P/TSX 60 IX Future  Goldman Sachs  7   1,049,081      12/19/2019   (55)
S&P 500 E-mini Future  Goldman Sachs  26   3,946,540      12/20/2019   64,135 
Swiss Market Index Future  Goldman Sachs  2   206,922      12/20/2019   4,276 
US 10 Year Note (CBT)  Goldman Sachs  93   12,117,609      12/19/2019   30,777 
TOTAL FUTURES CONTRACTS PURCHASED                    146,559 
                       
SHORT FUTURES CONTRACTS - 0.2%                      
Amsterdam Index Future  Goldman Sachs  (1)   (128,347)     11/15/2019   1,017 
AUST 10 Year Bond Future  Goldman Sachs  (46)   (37,596,501)     12/16/2019   42,241 
Euro-Bond Future  Goldman Sachs  (53)   (10,156,085)     12/6/2019   158,275 
Long Gilt Future  Goldman Sachs  (33)   (5,672,538)     12/27/2019   (4,786)
SPI 200 Future  Goldman Sachs  (8)   (914,788)     12/19/2019   (7,224)
Topix Index Future  Goldman Sachs  (23)   (3,549,836)     12/12/2019   (104,346)
TOTAL FUTURES CONTRACTS SOLD                    85,177 
                       
NET UNREALIZED GAIN FROM FUTURES CONTRACTS                   $231,736 
                       
              Exercise Price     Value 
WRITTEN OPTIONS + - (0.1)%                      
WRITTEN CALL FUTURE OPTIONS - (0.1)%                      
S&P 500 E-Mini Option  Goldman Sachs  (17)   (2,584,000)  US $3,040  11/8/2019  $(12,750)
S&P 500 E-Mini Option  Goldman Sachs  (17)   (2,601,000)  US $3,060  11/15/2019   (10,965)
S&P 500 E-Mini Option  Goldman Sachs  (17)   (2,626,500)  US $3,090  11/22/2019   (7,650)
                     (31,365)
WRITTEN PUT FUTURE OPTIONS - (0.0)%                      
S&P 500 E-Mini Option  Goldman Sachs  (17)   (2,422,500)  US $2,850  11/22/2019   (4,165)
                     (4,165)
                       
TOTAL WRITTEN OPTIONS - (Premiums Received - $31,783)                   $(35,530)

 

AUD - Australian Dollar EUR - Euro JPY - Japanese Yen
     
CAD - Canadian Dollar GBP - United Kingdom Pound USD - US Dollar
     
CHF - Swiss Franc HKD - Hong Kong Dollar  

 

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 October 31, 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.

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 fiscal year amid signs of global growth concerns and a disappointing Fed meeting that offered no flexibility concerning 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 second fiscal quarter as the Fed continued to reiterate their dovish stance. Rhetoric from both the United States and China grew more and more rancorous and investors had to contend with weaker growth data in the form of lower than expected PMIs and slower job and wage growth. Fed Chairman Jerome Powell and the FOMC turned even more dovish in June and July alongside better than expected earnings, decent economic data, and a strong technical backdrop. The dovish stance of central banks continued on a global basis amid concerns about global growth, particularly in the Eurozon e Brexit, and risks of trade war escalation between the U.S. and China. Additionally, the Federal Reserve made the anticipated 25 bps, cuts in September and October. However, the Fed’s statement after the October meeting signaled a bias to remain on hold, as they will “monitor the implications of incoming information” before resuming further rate cuts. High-yield bonds, as measured by the ICE BofA ML US Cash Pay High-Yield Index, increased 10.2 percent over the most recent fiscal quarter.

 

Allocation Review

 

Security selection and sector allocation both detracted from performance over the most recent fiscal quarter and fiscal year. The Fund received strong positive contributions as a result of sector allocation and security selection within the technology, consumer non-cyclical, and REIT sectors. However, the positive returns from the aforementioned sectors were more than eroded by the adverse performance within the energy sector. In the most recent fiscal quarter and full fiscal year, security selection within the energy sector strongly detracted from performance while the sector allocation provided a small positive contribution.

 

Holdings Insights

 

The price of West Texas Intermediate Crude Oil had a volatile fiscal year, drastically falling over 17 percent. This volatili ty adversely affected the energy sector within the Fund, with pronounced weakness coming from the oil sub-sector. One of the worst performing credits within the Fund over the fiscal quarter and fiscal year was Chaparral Energy Inc. 8.75% 7/15/2023 (15942RAF6) (holdings weight*: 0.36 percent). This credit declined 23.2 percent in the most recent fiscal quarter and 48.8 percent in the full fiscal year amid the weakness in the energy sector. This credit also suffered from various idiosyncratic concerns including safety issues with some of their wells. Another detractor from Fund performance over the most recent fiscal quarter and fiscal year was Pioneer Energy Service Corp. 6.125% 3/15/2022 (723664AB4) (holding weight*: 0.23 percent). This position declined 0.11 percent over the most recent fiscal quarter and 47.4 percent for the full fiscal year. A detractor from Fund performance outside of the energy sector came from the communications sector. Frontier Communications 8.5% 04/1/2026 (35906AAN8) (holding weight**: 0.25 percent) suffered from the “cord cutting” trend and has seen their revenue consistently decline. The company is urgently looking for new management and to restructure debt, but the Sub-Adviser believes they are potentially headed toward bankruptcy. This position declined 9.8 percent over the most recent fiscal quarter and 3.8 percent for the full fiscal year before being sold.

 

As previously mentioned, the technology sector was one of the best performing sectors within the Fund over the most recent fiscal quarter and fiscal year. A strong positive contributor to Fund performance for the full fiscal year from the technology sector was Diebold Nixdorf Inc. 8.5% 4/15/2024 (253651AC7) (holding weight*: 0.55 percent). This credit initially declined early in the year amid concerns that the company was taking on excessive debt, but strongly rebounded as investors recognized the company’s efforts to deleverage. This position increased 52.5 percent in the full fiscal year despite declining 9.3 percent in the most recent fiscal quarter amid litigation concerns. A positive contributor to performance also came from the communications sector. Altice Luxembourg SA 7.625% 02/15/2025 (02154VAB7) (holding weight*: 0.66 percent) increased 6.8 percent over the most recent fiscal quarter and 31.2 percent for the full fiscal year. 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.

 

Sub-Adviser Outlook

 

The Sub-Adviser believes that fundamentals remain decent, but the “up in quality” trade remains in favor with BB/B out performing. The Sub-Adviser does not see anything overly concerning on the default or fallen angel front, but it will continue to be cautious. With earnings weakness as the base case, valuations appear in line with expectations and the Sub-Adviser expects spreads to stay range bound. Technicals also remain supportive with volatile flows, but positive, as investors may be seeing the ’silver linings’ in earnings and macro issues. Against this backdrop, the Sub-Adviser is still finding what it believes are attractively priced credits in the high-yield market where issuers have positive fundamentals and sector outlooks, but generally favor the relative safety of being u p in the capital structure or holding higher cash balances, maintaining the flexibility to shift into areas that become dislocated from intrinsic value.

 

*Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 10/31/2019.

 

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

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2019
    Annualized Annualized
  One Year Five Years Ten Years
Class N 8.42% 3.82% 6.02%
Class C 7.55% 3.06% 5.24%
Class A with load of 4.50% 3.38% 2.63% 5.28%
Class A without load 8.19% 3.57% 5.77%
Barclays U.S. Corporate High-Yield Bond Ba/B 2% Issuer Capped Index 10.25% 5.01% 7.22%
Morningstar High-Yield Bond Category 7.06% 3.85% 6.46%

 

(a)Total Returns are calculated based on traded NAVs.

 

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. Investors cannot invest directly in an index or benchmark.

 

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

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.13% 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
Dunham High-Yield Bond Fund
October 31, 2019

 

   Principal   Interest  Maturity    
Security  Amount   Rate %  Date  Value 
BONDS & NOTES - 93.1%                
ADVERTISING - 0.3%                
National CineMedia LLC - 144A  $305,000   5.875  4/15/2028  $321,348 
                 
AEROSPACE/DEFENSE - 0.2%                
UAL 2007-1 Pass Through Trust   218,877   6.636  7/2/2022   232,080 
                 
AUTO MANUFACTURERS - 0.5%                
Allison Transmission, Inc. - 144A   551,000   5.000  10/1/2024   565,464 
                 
AUTO PARTS & EQUIPMENT - 0.5%                
Delphi Technologies PLC - 144A   640,000   5.000  10/1/2025   556,800 
                 
BUILDING MATERIALS - 0.7%                
Standard Industries, Inc. - 144A   750,000   6.000  10/15/2025   791,250 
                 
CHEMICALS - 1.6%                
Consolidated Energy Finance SA - 144A   735,000   6.875  6/15/2025   716,625 
Neon Holdings, Inc. - 144A   514,000   10.125  4/1/2026   509,503 
OCI NV -144A   517,000   5.250  11/1/2024   536,387 
               1,762,515 
COAL - 0.4%                
SunCoke Energy Partners LP - 144A   527,000   7.500  6/15/2025   450,585 
                 
COMMERCIAL SERVICES - 5.4%                
Ahern Rentals, Inc. - 144A   596,000   7.375  5/15/2023   485,740 
Ashtead Capital, Inc. - 144A   222,000   4.000  5/1/2028   223,388 
Ashtead Capital, Inc. - 144A   328,000   4.250  11/1/2029   332,100 
BidFair MergeRight, Inc. - 144A   550,000   7.375  10/15/2027   551,375 
Capital Investment Merger Sub 2 LLC - 144A   530,000   10.000  8/1/2024   547,225 
GW B-CR Security Corp. - 144A   1,070,000   9.500  11/1/2027   1,102,100 
Harsco Corp. - 144A   368,000   5.750  7/31/2027   383,187 
MPH Acquisition Holdings LLC - 144A   500,000   7.125  6/1/2024   465,025 
Nielsen Finance LLC - 144A   645,000   5.000  4/15/2022   651,463 
Prime Security Services Borrower LLC - 144A   631,000   5.250  4/15/2024   647,564 
Prime Security Services Borrower LLC - 144A   540,000   5.750  4/15/2026   554,688 
               5,943,855 
COMPUTERS - 2.9%                
Dell International LLC - 144A   1,215,000   6.020  6/15/2026   1,387,815 
Diebold Nixdorf, Inc.   693,000   8.500  4/15/2024   600,311 
NCR Corp. - 144A   251,000   5.750  9/1/2027   258,216 
NCR Corp. - 144A   392,000   6.125  9/1/2029   412,090 
Seagate HDD Cayman   525,000   4.875  3/1/2024   558,448 
               3,216,880 
COSMETICS/PERSONAL CARE - 1.1%                
Coty, Inc. - 144A ^   575,000   6.500  4/15/2026   590,571 
First Quality Finance Co., Inc. - 144A   600,000   5.000  7/1/2025   622,620 
               1,213,191 
DISTRIBUTION/WHOLESALE - 1.3%                
American Builders & Contractors Supply Co., Inc. - 144A   308,000   4.000  1/15/2028   308,000 
Anixter, Inc.   319,000   6.000  12/1/2025   328,570 
H&E Equipment Services, Inc.   762,000   5.625  9/1/2025   803,910 
               1,440,480 
DIVERSIFIED FINANCIAL SERVICES - 5.4%                
Avolon Holdings Funding Ltd. - 144A   725,000   5.125  10/1/2023   784,088 
Avolon Holdings Funding Ltd. - 144A   145,000   5.250  5/15/2024   158,485 
Credit Acceptance Corp. - 144A   542,000   6.625  3/15/2026   577,230 
Enova International, Inc. - 144A   765,000   8.500  9/1/2024   713,362 
Fairstone Financial, Inc. - 144A   529,000   7.875  7/15/2024   558,690 

 

See accompanying notes to financial statements.

35

 

SCHEDULE OF INVESTMENTS
Dunham High-Yield Bond Fund (Continued)
October 31, 2019

 

   Principal   Interest  Maturity    
Security  Amount   Rate %  Date  Value 
BONDS & NOTES - 93.1% (Continued)                
DIVERSIFIED FINANCIAL SERVICES - 5.4% (Continued)                
LPL Holdings, Inc. - 144A  $775,000   5.750  9/15/2025  $806,000 
Navient Corp.   643,000   5.625  8/1/2033   562,625 
Quicken Loans, Inc. - 144A   875,000   5.750  5/1/2025   905,170 
Springleaf Finance Corp.   800,000   6.875  3/15/2025   908,000 
               5,973,650 
ELECTRIC - 2.2%                
Clearway Energy Operating LLC   551,000   5.750  10/15/2025   567,530 
Clearway Energy Operating LLC   302,000   5.000  9/15/2026   303,510 
NextEra Energy Operating Partners LP - 144A   550,000   4.250  7/15/2024   567,023 
Talen Energy Supply LLC - 144A   229,000   7.250  5/15/2027   229,572 
Talen Energy Supply LLC - 144A   217,000   6.625  1/15/2028   210,490 
Vistra Operations Co. LLC - 144A   535,000   5.000  7/31/2027   553,725 
               2,431,850 
ELECTRICAL COMPONENTS & EQUIPMENT - 1.4%                
Energizer Holdings, Inc. - 144A   640,000   6.375  7/15/2026   684,032 
EnerSys - 144A   794,000   5.000  4/30/2023   822,783 
               1,506,815 
ELECTRONICS - 0.9%                
Ingram Micro, Inc.   925,000   5.450  12/15/2024   956,409 
                 
ENERGY - 0.8%                
Pattern Energy Group, Inc. - 144A   839,000   5.875  2/1/2024   864,170 
                 
ENGINEERING & CONSTRUCTION - 0.9%                
Frontdoor, Inc. - 144A   560,000   6.750  8/15/2026   611,100 
Tutor Perini Corp. - 144A ^   396,000   6.875  5/1/2025   395,941 
               1,007,041 
ENTERTAINMENT - 1.0%                
Eldorado Resorts, Inc.   660,000   6.000  9/15/2026   726,825 
Twin River Worldwide Holdings, Inc. - 144A   313,000   6.750  6/1/2027   330,309 
               1,057,134 
ENVIRONMETNAL CONTROLS - 0.3%                
Clean Harbors, Inc. - 144A   343,000   4.875  7/15/2027   358,414 
                 
FOOD - 3.5%                
Albertsons Companies LLC   562,000   5.750  3/15/2025   584,311 
Albertsons Companies LLC - 144A   330,000   5.875  2/15/2028   353,100 
JBS USA LLC - 144A   508,000   5.875  7/15/2024   524,510 
JBS USA LLC - 144A   272,000   5.750  6/15/2025   283,560 
Lamb Weston Holdings, Inc. - 144A   370,000   4.625  11/1/2024   390,812 
Land O’Lakes, Inc. - 144A   210,000   7.000  12/29/2049   197,794 
Land O’Lakes Capital Trust I - 144A   484,000   7.450  3/15/2028   546,920 
Pilgrim’s Pride Corp. - 144A   520,000   5.875  9/30/2027   559,140 
Post Holdings, Inc. - 144A   430,000   5.500  3/1/2025   452,081 
               3,892,228 
FOREST PRODUCTS & PAPER - 0.7%                
Cascades, Inc. - 144A   183,000   5.500  7/15/2022   186,660 
Cascades, Inc. - 144A ^   527,000   5.750  7/15/2023   542,810 
               729,470 
HEALTHCARE-PRODUCTS - 0.5%                
Hologic, Inc. - 144A   525,000   4.375  10/15/2025   540,503 
                 
HEALTHCARE-SERVICES - 3.5%                
Catalent Pharma Solutions, Inc. - 144A   280,000   5.000  7/15/2027   293,300 
Centene Corp.   174,000   4.750  1/15/2025   180,440 
Centene Corp. - 144A   547,000   5.375  6/1/2026   580,367 
DaVita, Inc.   825,000   5.125  7/15/2024   844,198 
DaVita, Inc.   325,000   5.000  5/1/2025   329,534 
HCA, Inc.   1,475,000   5.375  2/1/2025   1,624,344 
               3,852,183 

 

See accompanying notes to financial statements.

36

 

SCHEDULE OF INVESTMENTS
Dunham High-Yield Bond Fund (Continued)
October 31, 2019

 

   Variable  Principal   Interest  Maturity    
Security  Rate  Amount   Rate %  Date  Value 
BONDS & NOTES - 93.1% (Continued)                   
HOUSEHOLD PRODUCTS - 0.6%                   
Central Garden & Pet Co.     $600,000   5.125  2/1/2028  $619,380 
                    
INTERNET - 3.1%                   
Cogent Communications Group, Inc. - 144A      505,000   5.375  3/1/2022   527,725 
Grubhub Holdings, Inc. - 144A      695,000   5.500  7/1/2027   653,300 
Netflix, Inc.      994,000   4.375  11/15/2026   1,014,178 
Netflix, Inc. - 144A      1,165,000   4.875  6/15/2030   1,180,728 
                  3,375,931 
INVESTMENT COMPANIES - 0.4%                   
FS Energy & Power Fund - 144A      417,000   7.500  8/15/2023   423,839 
                    
IRON/STEEL - 1.4%                   
Cleveland-Cliffs, Inc. - 144A      475,000   4.875  1/15/2024   489,250 
Commercial Metals Co.      462,000   5.750  4/15/2026   477,593 
Mineral Resources Ltd. - 144A      525,000   8.125  5/1/2027   553,875 
                  1,520,718 
LEISURE PRODUCTS - 0.5%                   
Silversea Cruise Finance Ltd. - 144A      550,000   7.250  2/1/2025   587,466 
                    
LODGING - 0.8%                   
Hilton Grand Vacations Borrower LLC      298,000   6.125  12/1/2024   318,115 
Wyndham Destinations, Inc.      346,000   4.150  4/1/2024   368,490 
Wyndham Destinations, Inc.      175,000   5.750  4/1/2027   191,844 
                  878,449 
MACHINERY-CONSTRUCTION/MINING - 0.4%                   
Terex Corp. - 144A      445,000   5.625  2/1/2025   446,669 
                    
MEDIA - 10.1%                   
Altice Financing SA - 144A      535,000   7.500  5/15/2026   569,775 
Altice Luxembourg SA - 144A      695,000   7.625  2/15/2025   719,325 
Belo Corp.      235,000   7.250  9/15/2027   269,075 
Belo Corp.      735,000   7.750  6/1/2027   852,600 
Block Communications, Inc. - 144A      778,000   6.875  2/15/2025   814,955 
CCO Holdings LLC - 144A      232,000   5.875  4/1/2024   242,440 
CCO Holdings LLC - 144A      275,000   5.375  5/1/2025   286,000 
CCO Holdings LLC - 144A      478,000   5.500  5/1/2026   504,888 
CCO Holdings LLC - 144A      378,000   5.000  2/1/2028   396,295 
CCO Holdings LLC - 144A      335,000   5.375  6/1/2029   358,450 
Charter Communications Operating LLC  3 mo LIBOR + 1.650%   545,000   3.903+  2/1/2024   561,130 
Charter Communications Operating LLC      355,000   5.050  3/30/2029   400,668 
CSC Holdings LLC - 144A      225,000   5.375  7/15/2023   231,183 
CSC Holdings LLC      440,000   5.250  6/1/2024   475,200 
CSC Holdings LLC - 144A      1,800,000   5.500  4/15/2027   1,912,518 
EW Scripps Co. - 144A      854,000   5.125  5/15/2025   867,878 
Sirius XM Radio, Inc. - 144A      1,275,000   4.625  7/15/2024   1,335,562 
Sirius XM Radio, Inc. - 144A      342,000   5.375  7/15/2026   362,093 
                  11,160,035 
MINING - 2.0%                   
First Quantum Minerals Ltd. - 144A      473,000   7.250  4/1/2023   476,843 
FMG Resources (August 2006) Pty Ltd. - 144A      825,000   4.500  9/15/2027   818,297 
Freeport-McMoRan, Inc.      525,000   3.875  3/15/2023   534,187 
Freeport-McMoRan, Inc.      352,000   5.250  9/1/2029   359,146 
                  2,188,473 
OIL & GAS - 4.1%                   
Brazos Valley Longhorn LLC      639,000   6.875  2/1/2025   504,810 
Callon Petroleum Co.      565,000   6.375  7/1/2026   529,687 
Centennial Resource Production LLC - 144A      525,000   6.875  4/1/2027   517,125 
Chaparral Energy, Inc. - 144A ^      926,000   8.750  7/15/2023   393,550 

 

See accompanying notes to financial statements.

37

 

SCHEDULE OF INVESTMENTS
Dunham High-Yield Bond Fund (Continued)
October 31, 2019

 

   Principal   Interest  Maturity    
Security  Amount   Rate %  Date  Value 
BONDS & NOTES - 93.1% (Continued)                
OIL & GAS - 4.1% (Continued)                
Extraction Oil & Gas, Inc. - 144A  $725,000   5.625  2/1/2026  $311,750 
Hilcorp Energy I LP - 144A   835,000   5.000  12/1/2024   745,488 
Lonestar Resources America, Inc. - 144A   521,000   11.250  1/1/2023   367,305 
MEG Energy Corp. - 144A   725,000   6.500  1/15/2025   756,719 
Noble Holding International Ltd. - 144A   232,000   7.875  2/1/2026   154,280 
Southwestern Energy Co.   264,000   7.500  4/1/2026   233,004 
               4,513,718 
OIL & GAS SERVICES - 1.6%                
Calfrac Holdings LP - 144A   548,000   8.500  6/15/2026   237,859 
Hi-Crush Partners LP - 144A   871,000   9.500  8/1/2026   378,885 
Nine Energy Service, Inc. - 144A   265,000   8.750  11/1/2023   201,400 
Pioneer Energy Service, Inc.   652,000   6.125  3/15/2022   244,500 
SESI LLC   725,000   7.750  9/15/2024   402,375 
USA Compression Partners LP   241,000   6.875  4/1/2026   244,615 
               1,709,634 
PACKAGING & CONTAINERS - 4.0%                
Ardagh Packaging Finance PLC - 144A   550,000   4.125  8/15/2026   557,398 
Berry Global, Inc. - 144A   248,000   4.500  2/15/2026   250,170 
Crown Americas LLC   300,000   4.500  1/15/2023   314,250 
Crown Cork & Seal Co., Inc.   311,000   7.375  12/15/2026   374,755 
Intertape Polymer Group, Inc. - 144A   524,000   7.000  10/15/2026   549,466 
Owens-Brockway Glass Container, Inc. - 144A   539,000   5.375  1/15/2025   545,737 
Sealed Air Corp. - 144A   592,000   5.125  12/1/2024   640,840 
Silgan Holdings, Inc.   550,000   4.750  3/15/2025   565,125 
Trivium Packaging Finance B.V. - 144A   525,000   8.500  8/15/2027   561,094 
               4,358,835 
PHARMACEUTICALS - 0.6%                
Bausch Health Companies, Inc. - 144A   610,000   6.125  4/15/2025   634,781 
                 
PIPELINES - 4.0%                
Antero Midstream Partners LP - 144A   28,000   5.750  3/1/2027   20,965 
Cheniere Corpus Christi Holdings LLC   600,000   7.000  6/30/2024   691,548 
Cheniere Corpus Christi Holdings LLC   350,000   5.875  3/31/2025   388,969 
Cheniere Energy Partners LP   432,000   5.250  10/1/2025   448,740 
Cheniere Energy Partners LP - 144A   248,000   4.500  10/1/2029   253,270 
Genesis Energy LP.   275,000   6.000  5/15/2023   269,500 
Genesis Energy LP.   625,000   5.625  6/15/2024   587,500 
Holly Energy Partners LP - 144A   525,000   6.000  8/1/2024   549,281 
SemGroup Corp.   428,000   5.625  7/15/2022   434,857 
SemGroup Corp.   475,000   5.625  11/15/2023   488,062 
Summit Midstream Holdings LLC   353,000   5.500  8/15/2022   317,700 
               4,450,392 
REAL ESTATE - 1.6%                
Kennedy-Wilson, Inc.   935,000   5.875  4/1/2024   972,400 
Newmark Group, Inc.   679,000   6.125  11/15/2023   741,011 
               1,713,411 
REAL ESTATE INVESTMENT TRUSTS - 6.9%                
CTR Partnership LP   604,000   5.250  6/1/2025   629,670 
ESH Hospitality, Inc. - 144A   700,000   5.250  5/1/2025   723,625 
Extended Stay America, Inc. - 144A   355,000   4.625  10/1/2027   356,811 
GLP Capital LP   550,000   5.375  4/15/2026   606,182 
Hat Holdings I LLC - 144A   621,000   5.250  7/15/2024   654,379 
Iron Mountain, Inc. - 144A   980,000   4.875  9/15/2027   1,017,975 
iStar, Inc.   250,000   6.000  4/1/2022   257,188 
iStar, Inc.   733,000   5.250  9/15/2022   752,241 
MGM Growth Properties Operating Partnership LP - 144A   513,000   5.750  2/1/2027   580,331 
MPT Operating Partnership LP   569,000   5.000  10/15/2027   600,295 
Sabra Health Care LP   812,000   5.125  8/15/2026   880,339 
Starwood Property Trust, Inc.   544,000   4.750  3/15/2025   566,270 
               7,625,306 

 

See accompanying notes to financial statements.

38

 

SCHEDULE OF INVESTMENTS
Dunham High-Yield Bond Fund (Continued)
October 31, 2019

 

   Principal   Interest  Maturity    
Security  Amount   Rate %  Date  Value 
BONDS & NOTES - 93.1% (Continued)                
RETAIL - 3.0%                
Brinker International, Inc. - 144A  $547,000   5.000  10/1/2024  $582,897 
Conn’s, Inc. ^   709,000   7.250  7/15/2022   721,407 
EG Global Finance PLC - 144A   605,000   6.750  2/4/2025   607,269 
Lithia Motors, Inc. - 144A   586,000   5.250  8/1/2025   616,032 
Murphy Oil USA, Inc.   375,000   4.750  9/15/2029   392,344 
Yum! Brands, Inc. - 144A   380,000   4.750  1/15/2030   399,475 
               3,319,424 
SEMICONDUCTORS - 0.5%                
Amkor Technology, Inc. - 144A   531,000   6.625  9/15/2027   584,100 
                 
SOFTWARE - 2.5%                
Camelot Finance SA - 144A   135,000   4.500  11/1/2026   136,742 
CDK Global, Inc.   539,000   5.875  6/15/2026   578,751 
Donnelley Financial Solutions, Inc.   678,000   8.250  10/15/2024   706,815 
Rackspace Hosting, Inc. - 144A ^   725,000   8.625  11/15/2024   667,000 
SS&C Technologies, Inc. - 144A   630,000   5.500  9/30/2027   675,281 
               2,764,589 
TELECOMMUNICATIONS - 9.0%                
Altice France SA - 144A   875,000   7.375  5/1/2026   939,177 
Altice France SA - 144A   213,000   8.125  2/1/2027   236,696 
C&W Senior Financing Designated Activity Co. - 144A   833,000   6.875  9/15/2027   879,856 
CenturyLink, Inc. ^   1,435,000   7.500  4/1/2024   1,632,312 
Hughes Satellite Systems Corp.   646,000   6.625  8/1/2026   700,910 
Intelsat Jackson Holdings SA   769,000   5.500  8/1/2023   722,860 
Level 3 Financing, Inc. - 144A   462,000   4.625  9/15/2027   471,240 
Sprint Corp.   2,911,000   7.875  9/15/2023   3,220,294 
Telesat LLC - 144A   540,000   6.500  10/15/2027   565,137 
T-Mobile USA, Inc.   288,000   6.500  1/15/2024   299,880 
T-Mobile USA, Inc.   240,000   6.375  3/1/2025   249,650 
               9,918,012 
                 
TOTAL BONDS & NOTES (Cost - $101,810,736)              102,457,477 
                 
   Shares            
SHORT-TERM INVESTMENT - 0.7%                
MONEY MARKET FUND - 0.7%                
First American Government Obligations Fund - Class Z   794,389   1.700 +      794,389 
TOTAL SHORT-TERM INVESTMENT (Cost - $794,389)                
                 
COLLATERAL FOR SECURITIES LOANED - 3.3%                
HSBC US Government Money Market Fund - Class I #   1,688,092   1.719 +      1,688,092 
Morgan Stanley Institutional Liquidity Fund Prime Portfolio - Class Institutional #   1,964,233   1.940 +      1,965,608 
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $3,652,325)              3,653,700 
                 
TOTAL INVESTMENTS - 97.1% (Cost - $106,257,450)             $106,905,566 
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.9%              3,189,748 
NET ASSETS - 100.0%             $110,095,314 

 

LIBOR - London Inter-bank Offered Rate

 

LLC - Limited Liability Corporation

 

LP - Limited Partnership

 

PLC - Public Limited Company

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $3,506,670 at October 31, 2019.

 

+Variable rate security. Interest rate is as of October 31, 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 October 31, 2019 the total market value of 144A securities is $63,634,010 or 57.80% of net assets.

 

See accompanying notes to financial statements.

39

 

SCHEDULE OF INVESTMENTS
Dunham High-Yield Bond Fund (Continued)
October 31, 2019

 

Portfolio Composition ** - (Unaudited) 
Ba3   23.7%  Collateral For Securities Loaned   3.4%
B3   14.4%  Caa2   3.4%
B2   13.9%  Caa1   3.1%
Ba2   12.8%  Baa3   3.0%
B1   12.6%  Short-Term Investment   0.7%
Ba1   8.4%  Other   0.6%
        Total   100.0%

 

**Based on total value of investments as of October 31, 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

 

The 2018 calendar year was a turbulent year for all asset classes as tightening financial conditions in the U.S. and the relatively stronger U.S. dollar weighed on global markets. The cyclical out performance of the U.S. from a growth perspective was driven by the pro-cyclical fiscal policy pushed through towards the end of 2017. So far in 2019, markets reversed course as a dovish stance by the Federal Reserve and the slowing dollar led to a record start to 2019. Despite the strong returns, spikes in volatility occurred throughout the fiscal year as tariff concerns escalated between the United States and China. Despite the spike in volatility, global bonds fared well as escalating volatility gave central banks another reason to discuss policy easing as the dovish rhetoric reverberated across global central banks. In the most recent fiscal quarter, volatility once again spiked as global growth concerns, and trade tensions between the U.S. and both China and the European Union reared its head. Foreign bonds, as measured by the Bloomberg Barclays Global Aggregate Bond ex-US Index, increased 7.8 percent during the fiscal year, which underperformed domestic bonds, as measured by the Bloomberg Barclays Aggregate Bond Index, by 3.7 percent.

 

Allocation Review

 

Country and yield curve selection strongly contributed to Fund performance over the most recent fiscal quarter and fiscal year. Also contributing to Fund performance was a German yield curve flattening bias. The currency effect in the Fund was relatively flat during the first six months of the fiscal year due to the Sub-Adviser being underweight a strong U.S. Dollar and going long the appreciating emerging market currencies. In the third fiscal quarter, emerging market currencies provided strong positive contributions, as well as the exposure to the Euro relative to the U.S. dollar. However, in the final fiscal quarter of the year, both developed market and emerging market currency exposure detracted from Fund performance. From a spread perspective, the overweight to corporate versus government bonds contributed in the first half of the fiscal year, but this positioning detracted from Fu nd performance over the second half of the fiscal year and the most recent fiscal quarter.

 

Holdings Insights

 

As previously mentioned, emerging markets external debt provided a strong contribution to Fund performance over the most recent fiscal quarter. F or example, a U.S. dollar-denominated emerging market government bond that contributed to Fund performance was the Republic of Kazakhstan 5.125% 7/21/2025 (Y7276LDE5) (holding weight*: 1.17 percent). This U.S. dollar-denominated issue returned 1.8 percent over the most recent fiscal quarter and 12.4 percent for the full fiscal year. Another emerging market government bond that contributed to performance was the Russia Government Bond 6.9% 5/23/2029 (BFX1TW9) (holding weight*: 1.76 percent), which increased 7.8 percent in the most recent fiscal quarter and 25.1 percent in the full fiscal year. The Fund also received a strong positive contribution from the exposure to Indonesia local rates. This exposure was achieved partially through the Indonesia Government 7.0% 5/15/2027 (B3ZR761) (holding weight*: 1.01 percent). This position increased 4.3 percent over the most recent fiscal quarter and 20.9 percent for the full fiscal year.

 

Detractors from relative Fund performance centered on the largest fund holdings, Japanese government bonds, despite the yen strengthening and rates declining in Japan. For example, the Japan Government Bond 1.9% 9/20/23 (6708557) (holding weight*: 4.68 percent) fell 0.1 percent over the fiscal quarter and increased only 0.5 percent for the ful l fiscal year. Another detractor from relative performance was the Japan Government Bond 2.1% 12/20/27 (B2B35B7) (holding weight*: 3.09 percent), which increased 0.2 percent in the most recent fiscal quarter and 2.6 percent for the full fiscal year. Overall, the derivative exposure within the Fund had a relatively muted impact on Fund performance over the fiscal year with positions providing small contribution and detractions to performance. For example, the Long Gilt Future Dec 19 (G Z9) (holding weight*: 0.01 percent) had a notional exposure of 2.66 percent and declined 0.7 percent since being initiated into the Fund in late August.

 

Sub-Adviser Outlook

 

The Sub-Adviser is cautiously optimistic for the remainder of 2019. The Sub-Adviser believes that strong returns will continue for fixed income, albeit at a slower pace. However, despite increasing focus on trade-related and global growth concerns, some downside risks have reduced following the shift towards a dovish bias by central banks around the globe. The Sub-Adviser believes that global inflation pressure will continue to be benign and more long-term inflation expectations remain anchored given structural drivers that are keeping prices suppressed. The Sub-Adviser is cautious on investment grade bonds given the significant rally in spreads against a relatively weaker global growth backdrop. The Sub-Adviser will carefully watch for escalation in trade wars and other geopolitical concerns, as well as bouts of volatility in credit markets given late-cycle dynamics.

 

*Holdings percentage(s) of total investments as of 10/31/2019.

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2019
      Annualized
    Annualized Since Inception
  One Year Five Years (11/1/13)
Class N 6.29% (0.04)% (0.54)%
Class C 5.36% (0.80)% (1.30)%
Class A with load of 4.50% 1.18% (1.19)% (1.54)%
Class A without load 5.98% (0.29)% (0.78)%
Barclays Global ex-US Aggregate Bond Index Unhedged 7.84% 1.20% 0.70%
Morningstar World Bond Category 7.80% 3.29% 2.06%

 

(a)Total Returns are calculated based on traded NAVs.

 

The Bloomberg 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
Dunham International Opportunity Bond Fund
October 31, 2019

 

      Principal        Maturity    
Security  Variable Rate  Amount ($)     Interest Rate %  Date  Value 
CORPORATE BONDS & NOTES - 28.9%                    
BANKS - 12.5%                    
ABN AMRO Bank NV     200,000  EUR  6.3750  4/27/2021  $243,612 
AIB Group PLC     250,000  EUR  2.2500  7/3/2025   301,706 
Banco Santander SA     200,000  EUR  1.1250  1/17/2025   232,534 
Banque Federative du Credit Mutuel SA     200,000  EUR  2.6250  3/18/2024   248,470 
Bayerische Landesbank     300,000  EUR  0.2500  9/4/2024   343,838 
BPCE SA     200,000  EUR  4.6250  7/18/2023   258,563 
Cooperatieve Rabobank UA     200,000  EUR  1.3750  2/3/2027   243,412 
Credit Agricole SA/London     300,000  EUR  1.8750  12/20/2026   367,990 
HSBC Holdings PLC  3M Euro LIBOR + 1.36%  350,000  EUR  1.5000 + 12/4/2024   412,806 
ING Bank NV  Euro 5 Year Swap Rate + 2.25%  200,000  EUR  3.6250 + 2/25/2026   233,349 
Landesbank Hessen-Thueringen Girozentrale     500,000  EUR  0.5000  9/25/2025   582,544 
Nederlandse Waterschapsbank NV     200,000  EUR  1.5000  4/27/2038   266,519 
Royal Bank of Scotland Group PLC  3M Euro LIBOR + 1.08%  250,000  EUR  1.7500 + 3/2/2026   293,682 
UBS Group Funding Switzerland AG     200,000  EUR  1.2500  9/1/2026   237,045 
Westpac Banking Corp     500,000  EUR  0.3750  3/5/2023   565,511 
                   4,831,581 
BEVERAGES - 2.2%                    
Anheuser-Busch InBev SA/NV     300,000  EUR  0.8750  3/17/2022   342,263 
Heineken NV     200,000  EUR  3.5000  3/19/2024   257,899 
Pernod Richard SA     200,000  EUR  1.5000  5/18/2026   240,723 
                   840,885 
CHEMICALS - 1.5%                    
Air Liquide Finance SA     500,000  EUR  0.7500  6/13/2024   578,719 
                     
ELECTRIC - 4.6%                    
EDP Finance BV     250,000  EUR  1.5000  11/22/2027   300,902 
Enel Finance International NV     200,000  EUR  1.9660  1/27/2025   243,537 
Engie SA     300,000  EUR  2.3750  5/19/2026   386,038 
Iberdrola Finanzas SA     200,000  EUR  1.0000  3/7/2025   233,885 
innogy Finance BV     250,000  EUR  1.0000  4/13/2025   291,504 
Orsted A/S     250,000  EUR  1.5000  11/26/2029   307,386 
                   1,763,252 
ENGINEERING & CONSTRUCTION - 0.4%                    
Heathrow Funding Ltd.     100,000  GBP  7.1250  2/14/2024   157,851 
                     
FOOD - 0.6%                    
Danone SA     200,000  EUR  0.7090  11/3/2024   230,737 
                     
INSURANCE - 1.7%                    
Great-West Lifeco, Inc.     300,000  EUR  2.5000  4/18/2023   363,232 
NN Group NV     250,000  EUR  1.6250  6/1/2027   304,717 
                   667,949 
MULTI-NATIONAL - 0.7%                    
European Investment Bank     200,000  EUR  1.1250  9/15/2036   257,060 
                     
OIL & GAS - 1.0%                    
BG Energy Capital PLC     350,000  EUR  1.2500  11/21/2022   405,082 
                     
PHARMACEUTICALS - 1.1%                    
GlaxoSmithKline Capital PLC     350,000  EUR  1.2500  5/21/2026   417,701 

 

See accompanying notes to financial statements.

42

 

SCHEDULE OF INVESTMENTS
Dunham International Opportunity Bond Fund (Continued)
October 31, 2019

 

      Principal        Maturity    
Security  Variable Rate  Amount ($)     Interest Rate %  Date  Value 
CORPORATE BONDS & NOTES - 28.9% (Continued)                    
REITS - 0.6%                    
Westfield America Management Ltd.     200,000  GBP  2.1250  3/30/2025  $265,147 
                     
TELECOMMUNICATIONS - 1.4%                    
Deutsche Telekom International Finance BV     250,000  EUR  0.6250  4/3/2023   285,008 
Orange SA     200,000  EUR  2.0000  1/15/2029   254,941 
                   539,949 
WATER - 0.6%                    
Veolia Environnement SA     200,000  EUR  1.4960  11/30/2026   243,976 
                     
TOTAL CORPORATE BONDS & NOTES (Cost - $11,018,827)                  11,199,889 
                     
FOREIGN GOVERNMENT BONDS - 67.8%                    
Australia Government Bond     700,000  AUD  2.7500  11/21/2029   555,907 
Brazilian Government International Bond     200,000  USD  4.6250  1/13/2028   214,356 
Canadian Government Bond     105,000  CAD  5.0000  6/1/2037   121,806 
Colombia Government International Bond     200,000  EUR  3.8750  3/22/2026   265,804 
Dominican Republic International Bond     150,000  USD  6.0000  7/19/2028   166,314 
French Republic Government Bond OAT     750,000  EUR  0.5000  5/25/2029   888,676 
French Republic Government Bond OAT     70,000  EUR  1.2500  5/25/2034   90,391 
French Republic Government Bond OAT     290,000  EUR  4.5000  4/25/2041   596,139 
French Republic Government Bond OAT - 144A     50,000  EUR  2.0000  5/25/2048   75,630 
Hungary Government International Bond     400,000  USD  5.3750  3/25/2024   450,761 
Indonesia Government International Bond - 144A     400,000  EUR  2.1500  7/18/2024   476,752 
Indonesia Treasury Bond     5,400,000,000  IDR  7.0000  5/15/2027   390,853 
Indonesia Treasury Bond     6,800,000,000  IDR  6.1250  5/15/2028   463,430 
Ireland Government Bond     130,000  EUR  5.4000  3/13/2025   189,715 
Ireland Government Bond     50,000  EUR  0.9000  5/15/2028   60,511 
Ireland Government Bond     130,000  EUR  1.3000  5/15/2033   164,325 
Italy Buoni Poliennali Del Tesoro     250,000  EUR  1.0000  7/15/2022   286,646 
Italy Buoni Poliennali Del Tesoro     240,000  EUR  4.5000  3/1/2024   316,509 
Italy Buoni Poliennali Del Tesoro     255,000  EUR  3.7500  9/1/2024   330,721 
Italy Buoni Poliennali Del Tesoro     750,000  EUR  2.8000  12/1/2028   980,154 
Italy Buoni Poliennali Del Tesoro     50,000  EUR  3.0000  8/1/2029   66,560 
Italy Buoni Poliennali Del Tesoro - 144A     235,000  EUR  5.0000  9/1/2040   407,750 
Japan Government Forty Year Bond     9,850,000  JPY  0.8000  3/20/2058   103,412 
Japan Government Ten Year Bond     179,000,000  JPY  0.1000  6/20/2026   1,696,314 
Japan Government Ten Year Bond     30,450,000  JPY  0.1000  12/20/2028   289,255 
Japan Government Ten Year Bond     20,000,000  JPY  0.1000  6/20/2029   189,642 
Japan Government Thirty Year Bond     93,850,000  JPY  2.0000  9/20/2041   1,187,556 
Japan Government Thirty Year Bond     53,450,000  JPY  1.5000  3/20/2045   636,956 
Japan Government Thirty Year Bond     53,800,000  JPY  0.5000  9/20/2046   517,157 
Japan Government Twenty Year Bond     180,600,000  JPY  1.9000  9/20/2023   1,810,702 
Japan Government Twenty Year Bond     108,300,000  JPY  2.1000  12/20/2027   1,195,676 
Japan Government Twenty Year Bond     122,150,000  JPY  1.7000  9/20/2033   1,390,463 
Japan Government Twenty Year Bond     24,800,000  JPY  1.5000  6/20/2034   277,483 
Japan Government Twenty Year Bond     9,800,000  JPY  0.7000  9/20/2038   98,931 
Kazakhstan Government International Bond     400,000  USD  5.1250  7/21/2025   454,292 
Kingdom of Belgium Government Bond - 144A     130,000  EUR  5.0000  3/28/2035   249,877 
Korea Treasury Bond     890,000,000  KRW  2.3750  12/10/2028   806,299 
Mexican Bonos     3,270,000  MXN  5.7500  3/5/2026   162,043 
Mexican Bonos     21,000,000  MXN  8.5000  5/31/2029   1,228,279 
Mexico Government International Bond     100,000  EUR  1.6250  4/8/2026   116,698 
New Zealand Government Bond     1,350,000  NZD  1.5000  5/15/2031   869,417 
Portugal Obrigacoes do Tesouro OT - 144A     100,000  EUR  4.1250  4/14/2027   145,552 
Province of British Columbia Canada     150,000  CAD  3.2000  6/18/2044   132,013 
Province of Ontario Canada     250,000  CAD  2.8000  6/2/2048   205,444 

 

See accompanying notes to financial statements.

43

 

SCHEDULE OF INVESTMENTS
Dunham International Opportunity Bond Fund (Continued)
October 31, 2019

 

      Principal        Maturity    
Security  Variable Rate  Amount ($)     Interest Rate %  Date  Value 
FOREIGN GOVERNMENT BONDS - 67.8% (Continued)                    
Qatar Government International Bond - 144A     350,000  USD  4.0000  3/14/2029  $388,966 
Republic of Austria Government Bond - 144A     190,000  EUR  2.4000  5/23/2034   282,898 
Republic of Austria Government Bond - 144A     150,000  EUR  1.5000  2/20/2047   213,946 
Russian Federal Bond - OFZ     41,500,000  RUB  6.9000  5/23/2029   672,074 
Spain Government Bond     300,000  EUR  0.4000  4/30/2022   341,500 
Spain Government Bond - 144A     600,000  EUR  1.4500  4/30/2029   747,452 
Spain Government Bond - 144A     250,000  EUR  1.9500  7/30/2030   327,688 
Spain Government Bond - 144A     140,000  EUR  4.2000  1/31/2037   246,218 
United Kingdom Gilt     350,000  GBP  4.2500  6/7/2032   643,309 
United Kingdom Gilt     185,000  GBP  4.5000  12/7/2042   405,881 
United Kingdom Gilt     125,000  GBP  3.2500  1/22/2044   234,598 
United Kingdom Gilt     70,000  GBP  4.2500  12/7/2055   176,920 
United Kingdom Gilt     20,000  GBP  4.0000  1/22/2060   51,054 
United Kingdom Gilt     70,000  GBP  3.5000  7/22/2068   175,850 
TOTAL FOREIGN GOVERNMENT BONDS (Cost - $25,136,912)                  26,231,525 
                     
WHOLE LOAN COLLATERAL - 0.9%                    
Bankinter 10 FTA  3M Euro LIBOR + 0.16%  80,843  EUR  0.0001 + 6/21/2043   90,104 
Dutch Property Finance 2017-1 BV  3M Euro LIBOR + 0.68%  201,233  EUR  0.2760 + 1/28/2048   225,180 
Fondo de Titulizacion de Activos Santander Hipotecario 2  3M Euro LIBOR + 0.15%  34,937  EUR  0.0001 + 1/18/2049   38,633 
TOTAL WHOLE LOAN COLLATERAL (Cost - $354,909)                  353,917 
                     
TOTAL INVESTMENTS - 97.6% (Cost - $36,510,648)                 $37,785,331 
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.4%                  940,866 
NET ASSETS - 100.0%                 $38,726,197 

 

AUD - Australian Dollar GBP - United Kingdom Pound KRW - South Korean Won RUB - Russian Ruble
       
CAD - Canadian Dollar IDR - Indonesian Rupiah MXN - Mexican Peso USD - US Dollar
       
EUR - Euro JPY - Japanese Yen NZD - New Zealand Dollar  

 

+Variable rate security. Interest rate is as of October 31, 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 $3,562,729 or 9.20% of net assets.

 

                Unrealized 
                Appreciation 
Futures Contracts *  Counterparty  Contracts  Notional   Expiration  (Depreciation) 
LONG FUTURES CONTRACTS - (0.2)%                   
Canadian 10 Year Bond Future  Credit Suisse  8  $864,549   12/18/2019  $(18,399)
EURO-BOBL Future  Credit Suisse  5   750,945   12/6/2019   (7,760)
EURO-BUXL 30 Year Bond Future  Credit Suisse  3   702,726   12/6/2019   (39,221)
Long Gilt Future  Credit Suisse  6   1,031,370   12/27/2019   (7,244)
NET UNREALIZED LOSS FROM FUTURES CONTRACTS PURCHASED                 (72,624)
                    
SHORT FUTURES CONTRACTS - 0.2%                   
EURO-BUND Future  Credit Suisse  (1)   (125,031)  12/6/2019   669 
EURO-SCHATZ Future  Credit Suisse  (23)   (4,407,358)  12/6/2019   86,748 
NET UNREALIZED GAIN FROM FUTURES CONTRACTS SOLD                 87,417 
                    
NET UNREALIZED GAIN FROM FUTURES CONTRACTS                $14,793 

 

*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.

 

See accompanying notes to financial statements.

44

 

SCHEDULE OF INVESTMENTS
Dunham International Opportunity Bond Fund (Continued)
October 31, 2019

 

Portfolio Composition ** - (Unaudited) 
Japan   24.9%  Mexico   4.0%
France   11.8%  Australia   3.7%
Britain   8.5%  Indonesia   3.5%
Netherlands   7.7%  Germany   2.5%
Italy   6.3%  Other Countries   21.1%
Spain   6.0%  Total   100.00%

 

**Based on total value of investments as of October 31, 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
Dunham International Opportunity Bond Fund (Continued)
October 31, 2019

 

As of October 31, 2019 the following Forward Foreign Currency Exchange Contracts were open:

 

Forward Foreign Currency Exchange 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      12/10/2019  Barclays  $1,828,952           $1,261,308           $2,815 
British Pound      12/10/2019  Citigroup   860,785            1,115,190            50,847 
Canadian Dollar      12/10/2019  Citigroup   1,311,900            998,262            277 
Euro      12/10/2019  Barclays   179,318            200,550            4,097 
Euro      12/10/2019  Citigroup   1,065,591            1,191,762            11,657 
Japanese Yen      12/10/2019  Barclays   249,131,630            2,309,738            (33,337)
Japanese Yen      12/10/2019  Citigroup   21,599,104            200,249            (185)
New Zealand Dollar      12/10/2019  Citigroup   831,747            533,755            4,579 
Norwegian Krone      12/10/2019  Barclays   3,486,000            379,769            (4,703)
Brazilian Real      1/15/2020  Barclays   3,284,000            814,719            14,214 
China Yuan Renminbi      1/15/2020  Barclays   2,613,000            370,150            4,431 
China Yuan Renminbi      1/15/2020  Citigroup   7,898,000            1,118,808            13,713 
Czech Koruna      1/15/2020  Citigroup   1,121,861            49,144            1,221 
Hungary Forint      1/15/2020  Citigroup   14,302,000            48,822            1,476 
Indonesian Rupiah      1/15/2020  Barclays   745,626,000            52,724            726 
Polish Zloty      1/15/2020  Barclays   421,790            110,621            3,404 
Polish Zloty      1/15/2020  Citigroup   150,000            39,340            1,221 
Singapore Dollar      1/15/2020  Barclays   165,000            121,336            1,593 
South Korean Won      1/15/2020  Barclays   160,835,552            138,512            3,544 
Thai Baht      1/15/2020  Citigroup   6,706,000            222,284            1,907 
                                       $83,497 
                                          
                                     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      12/10/2019  Barclays  $(826,889)          $(570,251)          $(16,293)
Australian Dollar      12/10/2019  Citigroup   (9,712)           (6,698)           (15)
British Pound      12/10/2019  Barclays   (78,077)           (101,153)           (5,153)
British Pound      12/10/2019  Citigroup   (256,629)           (332,475)           (15,852)
Canadian Dollar      12/10/2019  Barclays   (1,107,351)           (842,614)           (4,014)
Euro      12/10/2019  Barclays   (1,163,495)           (1,301,258)           (9,825)
Euro      12/10/2019  Citigroup   (321,604)           (359,683)           (5,601)
Japanese Yen      12/10/2019  Barclays   (13,471,366)           (124,895)           1,525 
Japanese Yen      12/10/2019  Citigroup   (79,238,081)           (734,628)           8,991 
New Zealand Dollar      12/10/2019  Citigroup   (712,589)           (457,288)           2,160 
Brazilian Real      1/15/2020  Barclays   (1,615,000)           (400,661)           232 
Brazilian Real      1/15/2020  Citigroup   (1,669,000)           (414,058)           (6,099)
Mexican Peso      1/15/2020  Barclays   (23,014,222)           (1,187,070)           (26,583)
Russian Ruble      1/15/2020  Barclays   (34,943,311)           (540,016)           (8,517)
South Korean Won      1/15/2020  Barclays   (111,384,000)           (95,924)           (581)
Thai Baht      1/15/2020  Citigroup   (6,706,000)           (222,284)           (1,772)
                                       $(87,397)
                                          
            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  12/10/2019  Barclays  $358,176   $(399,320)  $464,035   $(446,602)  $17,433 
Danish Krone  Euro  12/10/2019  Citigroup   1,012,185    (135,703)   151,587    (151,771)   (183)
Euro  New Zealand Dollar  12/10/2019  Citigroup   68,390    (119,158)   76,488    (76,467)   21 
Euro  New Zealand Dollar  12/10/2019  Citigroup   736,760    (1,285,858)   823,996    (825,171)   (1,176)
Norwegian Krone  Euro  12/10/2019  Barclays   4,176,176    (420,541)   454,958    (470,335)   (15,378)
Swedish Krona  Euro  12/10/2019  Barclays   2,842,384    (266,610)   295,639    (298,178)   (2,539)
Swiss Franc  Euro  12/10/2019  Citigroup   34,922    (31,999)   35,491    (35,788)   (297)
Swiss Franc  Euro  12/10/2019  Barclays   368,295    (337,469)   374,294    (377,427)   (3,133)
                                $(5,252)
                                   
Net Unrealized Loss on Forward Foreign Currency Exchange Contracts   $(9,152)

 

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

 

As U.S. equities began the fiscal year with a downturn, and generally experienced some volatility mid-year, large cap value stocks, as measured by the Russell 1000 Value Index, were no exception. During the fiscal year, large cap value stocks declined along with their U.S. equity peers early in the 12-month period, declining nearly 12 percent before oscillating in an overall positive trajectory to end the fiscal year up 11.2 percent. Perspectives on interest rates and energy prices generally provided the greatest impacts on some of the most prominent large cap value sectors. As investor reactions to headlines tended to be binary and somewhat dramatic in regard to magnitude, it made navigating the large cap value space precarious during the fiscal year.

 

Allocation Review

 

The financial services sector is the largest sector allocation in the large cap value space, comprising 29 percent of the benchmark index. The Fund had a 2 percent underweight to the sector during the fiscal year, which generally detracted from performance as the sector increased 13.4 percent during the 12-month period. The performance dispersion across sectors during the fiscal year was significant, even when excluding the highest and lowest performing sectors. During the fiscal year, the highest performing sector was the technology sector, up 23.3 percent, and the worst performing sector was the energy sector, down 12.4 percent. The Fund generally benefitted from this particular dispersion, as the Fund’s largest overweight was to the technology sector and had an inline allocation to the energy sector. The Fund’s largest underweight was to the consumer discretionary sector, which generally performed inline with the benchmark index. Therefore, these overweights and underweights in aggregate proved to be a positive attribution to relative Fund performance during the fiscal year.

 

Holdings Insights

 

A common theme throughout the year was that the sector overweights and underweights provided far less impact to overall Fund performance when c ompared to the effect of security selection. For example, one of the best performing sectors on a relative basis for the Fund was the energy sector, since the Sub-Adviser’s stock selection avoided nearly one-third of the energy sector’s decline. Holdings such as Marathon Petroleum Corp. (MPC) (holding weight*: 1.12 percent), an oil refiner with a nationwide network of branded gas stations, and Phillips 66 (PSX) (holding weight*: 1.24 percent), a global refiner and producer of specialty products such as petroleum-based lubricants, were each positive relative contributors in the Fund’s energy allocation during the fiscal year. Although MPC declined 5.6 percent during the fiscal year, this negative return was only half of the downturn experienced by the sector as a whole. PSX bucked the sector’s negative trend, increasing 17.8 percent over the 12-month period. The Fund’s largest energy holding, Chevron Corp. (CVX) (holding weight*: 2.24 percent), is also one of the largest energy positions in the index. During the fiscal year, CVX was also able to produce a positive result, as it increased 8.2 percent. The Sub-Adviser believes that some of the negative pressure on the energy space was attributable to investor concerns about the increasing political pressures against the future of shale production.

 

While utilities was the third-strongest performing sector during the fiscal year, the Sub-Adviser’s stock selection in the sector resulted in the utilities sector being one of the best performing sectors in the Fund. The Fund’s two largest holdings in the space were also the largest positions in the sector within the benchmark index. In addition, o ne of the two holdings was also the Fund’s strongest performer in the utilities sector. Verizon Communications Inc. (VZ) (holding weight*: 3.01 percent) increased 10.4 percent during the fiscal year, not even meeting half of the sector’s 21.5 per cent return. VZ was in negative return territory heading into the final months of the fiscal year, when its strength in the small and medium businesses wireline service provider market generally buoyed the stock in the final fiscal q uarter and it increased 10.5 percent. AT&T Inc. (T) (holding weight*: 2.75 percent) surged 33.4 percent during the same time 12-month period, making it the strongest performing utility stock in the Fund. T ’s significant rise during the fiscal year was partially attributable to activist investors pressuring company management to make better use of its historical acquisitions that have yet to live up to their full potential.

 

The materials & processing sector is one of the smallest sectors in the benchmark index. The Fund had a similar weighting to the sector. However, the materials & processing sector was the best performing sector in the Fund during the fiscal year, despite it being a below-average performer for the benchmark index. Two of the strongest performers in the sector, Air Products & Chemicals Inc. (APD) (holding weight*: 1.19 percent) and Owens Corning (OC) (holding weight*: 0.79 percent), produced returns over 30 percent during the fiscal year, contributing to the Fund’s extreme relative out performance. APD, a global distributor of gases and chemicals for industrial uses, declined 6.1 percent in the final fiscal quarter, but still finished the fiscal year up 41.4 percent. OC, a roofing, insulation, and fiber glass composites manufacturer, increased 6.0 percent in the final months of the fiscal year, raising its 12-month return to 31.9 percent.

 

Sub-Adviser Outlook

 

The Sub-Adviser believes that the current environment exhibits a higher amount of uncertainty and adverse conditions can appear quick ly due to the binary reactions of investors to both economic releases and political headlines. Therefore, the Sub-Adviser has attempted to reduce its exposures to areas it believes are most prone to these behaviors. The Sub-Adviser continues to be encouraged by the strong earnings releases and generally 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 10/31/2019.

 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2019
    Annualized Annualized
  One Year Five Years Ten Years
Class N 11.37% 6.66% 10.33%
Class C 10.24% 5.60% 9.24%
Class A with load of 5.75% 4.62% 5.13% 9.40%
Class A without load 11.00% 6.39% 10.05%
Russell 1000 Value Index 11.21% 7.61% 11.96%
Morningstar Large Cap Value Category 9.57% 7.01% 10.64%

 

(a)Total Returns are calculated based on traded NAVs.

 

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. Investors cannot invest directly in an index or benchmark.

 

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

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.30% 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
Dunham Large Cap Value Fund
October 31, 2019

 

Security  Shares   Value 
COMMON STOCKS - 98.0%          
AEROSPACE/DEFENSE - 2.7%          
Lockheed Martin Corp.   2,391   $900,642 
Northrop Grumman Corp.   3,752    1,322,505 
         2,223,147 
AIRLINES - 1.4%          
Delta Air Lines, Inc.   21,329    1,174,801 
           
APPAREL - 0.9%          
PVH Corp.   8,500    740,860 
           
AUTO PARTS & EQUIPMENT - 0.5%          
BorgWarner, Inc.   9,475    394,918 
           
BANKS - 10.9%          
Bank of America Corp.   90,394    2,826,620 
JPMorgan Chase & Co.   27,882    3,483,019 
State Street Corp.   16,036    1,059,499 
SunTrust Banks, Inc.   16,147    1,103,486 
Wells Fargo & Co.   12,023    620,748 
         9,093,372 
BEVERAGES - 1.8%          
PepsiCo, Inc.   11,194    1,535,481 
           
BIOTECHNOLOGY - 1.9%          
Biogen, Inc. *   2,566    766,490 
Gilead Sciences, Inc.   13,051    831,479 
         1,597,969 
BUILDING MATERIALS - 0.8%          
Owens Corning   10,709    656,248 
           
CHEMICALS - 2.6%          
Air Products & Chemicals, Inc.   4,628    986,967 
CF Industries Holdings, Inc.   11,333    513,952 
Huntsman Corp.   31,779    703,269 
         2,204,188 
COMMERCIAL SERVICES - 1.3%          
Quanta Services, Inc.   26,665    1,121,263 
           
COSMETICS / PERSONAL CARE - 3.1%          
Procter & Gamble Co.   20,941    2,607,364 
           
DIVERSIFIED FINANCIAL SERVICES - 5.3%          
American Express Co.   5,794    679,520 
Charles Schwab Corp.   19,023    774,427 
Discover Financial Services   15,112    1,212,889 
E*TRADE Financial Corp.   17,702    739,767 
Intercontinental Exchange, Inc.   11,038    1,041,104 
         4,447,707 
ELECTRIC - 5.5%          
American Electric Power Co., Inc.   16,532    1,560,456 
DTE Energy Co.   10,493    1,335,969 
Xcel Energy, Inc.   26,089    1,656,912 
         4,553,337 
ELECTRONICS - 1.0%          
Honeywell International, Inc.   5,021    867,277 
           
ENVIRONMENTAL CONTROL - 1.2%          
Waste Management, Inc.   8,636    969,046 
           
FOOD - 2.0%          
Mondelez International, Inc.   21,792    1,142,990 
Tyson Foods, Inc.   5,939    491,690 
         1,634,680 
Security  Shares   Value 
HEALTHCARE-PRODUCTS - 5.8%          
Danaher Corp.   5,437   $749,328 
Hill-Rom Holdings, Inc.   8,867    928,286 
Medtronic PLC   18,587    2,024,124 
Thermo Fisher Scientific, Inc.   3,845    1,161,113 
         4,862,851 
HEALTHCARE-SERVICES - 0.9%          
UnitedHealth Group, Inc.   2,783    703,264 
           
HOUSEHOLD PRODUCTS / WARES - 1.5%          
Kimberly-Clark Corp.   9,524    1,265,549 
           
INSURANCE - 6.0%          
Allstate Corp.   7,241    770,587 
Berkshire Hathaway, Inc. *   4,534    963,838 
Hartford Financial Services Group, Inc.   21,391    1,220,998 
Prudential Financial, Inc.   15,546    1,416,863 
Travelers Cos., Inc.   5,035    659,887 
         5,032,173 
INTERNET - 1.0%          
Alphabet, Inc. *   682    858,502 
           
LEISURE TIME - 1.5%          
Royal Caribbean Cruises Ltd.   11,433    1,244,253 
           
MACHINERY- DIVERSIFIED - 1.1%          
Caterpillar, Inc.   6,925    954,265 
           
MEDIA - 4.7%          
Comcast Corp.   40,986    1,836,992 
Discovery, Inc. * ^   38,379    1,034,506 
Walt Disney Co.   8,043    1,044,947 
         3,916,445 
MISCELLANEOUS MANUFACTURING - 1.6%          
Ingersoll-Rand PLC   6,351    805,878 
Textron, Inc.   12,041    554,970 
         1,360,848 
OIL & GAS - 7.9%          
Chevron Corp.   16,051    1,864,163 
ConocoPhillips   18,231    1,006,351 
Diamondback Energy, Inc.   10,289    882,385 
EOG Resources, Inc.   12,133    840,938 
Marathon Petroleum Corp.   14,640    936,228 
Phillips 66   8,857    1,034,675 
         6,564,740 
PHARMACEUTICALS - 4.5%          
Cigna Corp.   4,470    797,716 
Eli Lilly & Co.   6,523    743,296 
Johnson & Johnson   7,684    1,014,595 
Merck & Co., Inc.   13,866    1,201,628 
         3,757,235 
REITS - 5.2%          
Alexandria Real Estate Equities, Inc.   3,208    509,270 
AvalonBay Communities, Inc.   2,979    648,409 
Boston Properties, Inc.   8,159    1,119,415 
Equity LifeStyle Properties, Inc.   6,614    462,583 
Highwoods Properties, Inc.   9,746    456,113 
Prologis, Inc.   13,250    1,162,820 
         4,358,610 
RETAIL - 0.8%          
Best Buy Co., Inc.   8,878    637,707 


See accompanying notes to financial statements.

48

 

SCHEDULE OF INVESTMENTS
Dunham Large Cap Value Fund (Continued)
October 31, 2019

 

Security  Shares   Value 
COMMON STOCKS - 98.0% (Continued)          
SEMICONDUCTORS - 3.7%          
Broadcom, Inc.   4,476   $1,310,796 
Intel Corp.   13,673    772,935 
ON Semiconductor Corp. *   49,328    1,006,291 
         3,090,022 
SOFTWARE - 1.7%          
Microsoft Corp.   5,018    719,431 
Oracle Corp.   12,091    658,838 
         1,378,269 
TELECOMMUNICATIONS - 7.2%          
AT&T, Inc.   59,564   $2,292,618 
Cisco Systems, Inc.   25,397    1,206,611 
Verizon Communications, Inc.   41,476    2,508,054 
         6,007,283 
           
TOTAL COMMON STOCKS (Cost - $64,119,604)        81,813,674 
   Shares   Value 
COLLATERAL FOR SECURITIES LOANED - 1.3%          
HSBC US Government Money Market Fund - Class Institutional, 1.72% + #   52,600   $52,600 
Morgan Stanley Institutional Liquidity Fund Prime Portfolio - Class Institutional, 1.94% + #   992,400    993,095 
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $1,045,000)        1,045,695 
           
TOTAL INVESTMENTS - 99.3% (Cost - $65,164,604)       $82,859,369 
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7%        613,357 
NET ASSETS - 100.0%       $83,472,726 

 

PLC - Public Limited Company

 

REITS - Real Estate Investment Trust

 

*Non-income producing security.

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $1,024,290 at October 31, 2019.

 

+Variable rate security. Interest rate is as of October 31, 2019.

 

#The Trust’s securities lending policies and procedures require that the borrower: 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) 
Financial   27.7%  Utilities   5.5%
Consumer, Non-cyclical   23.0%  Technology   5.4%
Communications   13.0%  Consumer, Cyclical   5.1%
Industrial   8.5%  Basic Materials   2.7%
Energy   7.9%  Others   1.2%
        Total   100.0%

 

*Based on total value of investments as of October 31, 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

 

Echoing the third fiscal quarter’s modest 2.4 percent gain, large cap growth stocks, as measured by the Russell 1000 Growth Index, finished the final fiscal quarter up 2.0 percent. Although each of the previous two fiscal quarters commenced with a decline, the magnitude for the most recent fiscal quarter was nearly half that of the prior period. Much of the same headlines drove equity movements during the final fiscal quarter as the rest of the fiscal year, such as politics, trade war concerns, and interest rate rhetoric contended with corporate earnings and economic releases. The modest finish to the fiscal year resulted in large cap growth stocks finishing more than 5 percent ahead of the next closest domestic asset category for the entire 12-month period. Large cap growth’s 17.1 percent return during the fiscal year dwarfed its small cap counterparts, which failed to break into double-digits and was 5.9 percent ahead of its large cap value peers.

 

Allocation Review

 

The Sub-Adviser remains focused on identifying what it believes are the best growth stocks. The resulting sector and industry allocation is solely representative of where the Sub-Adviser’s top picks resided. Despite being inline or even overweight the technology sector for much of the fiscal year, the Fund finished the fiscal year with a slight underweight to the sector. In general, this difference in exposure had little impact on relative performance. The Fund continued to have a large overweight to the financial services and health care sectors, with the largest underweight to the producer durables sector, to which the Fund has zero exposure. The best performing sectors during the fiscal year were the financial services and materials & processing sectors, while the worst performer was the energy sector. Not only was the energy sector the worst performer, down 18.1 percent, it was also the only negative sector in the benchmark index. The Fund did not have any holdings in the energy sector during the fiscal year.

 

Holdings Insights

 

Given the concentrated nature of the Fund, the vast majority of relative performance was explained by stock selection rather than sector allocation. Therefore, although the technology sector was the third-best performing sector for the benchmark index, it was one of the largest overall detractors for the Fund, underperforming by close to 2 percent. To clarify, any holding in the sector that did not perform above 19 percent for the 12-month period was effectively a “detractor.” Software as a service (SAAS) companies provided drastically diverse results, as Salesforce.com Inc. (CRM) (holding weight*: 5.01 percent), a customer relationship management software developer, increased 14.0 percent while Workday Inc. (WDAY) (holding weight*: 2.07 percent), a provider of cloud-based enterprise applications for managing financial and human capital resources, rose 21.9 percent. WDAY’s performance was substantially stronger before the final fiscal quarter stripped 18.9 percent from its fiscal year return. One of the strongest performers during the final fiscal quarter, NVIDIA Corp. (NVDA) (holding weight*: 2.91 percent), a designer of graphics processing units for the gaming and professional markets, surged 19.3 percent. However, NVDA was one of the poorest performers since it was added to the Fund during the fiscal year, posting an overall 1.7 percent gain. Its latest rebound was due to reporting strong earnings amid gains from some cryptocurrency problems that were resolved and some of its hyperscale clientele rebounded. As many computing-intensive companies, including hyperscalers, utilize graphics processing units for quick and simple computations, including cryp to currency mining, NVDA has been a net benefactor.

 

The Fund’s largest holdings during the fiscal year included Visa Inc. (V) (holding weight*: 7.13 percent) and Mastercard Inc. (MA) (holding weight*: 7.21 percent), two of the world’s largest consumer payment systems. Both V and MA finished the fiscal year ahead of the majority of their peers in the strong-performing financial services sector. As the financial services sector posted a 25.6 percent return, V and MA increased 30.6 percent and 40.8 percent, respectively. Experiencing a much greater dispersion during the fiscal year were Square Inc. (SQ) (holding weight*: 1.75 percent), a provider of card readers for smartphones and tablets for low-cost point-of-sale system solutions, and S&P Global Inc. (SPGI) (holding weight*: 2.53 percent), a ratings issuer, index provider, and mark et research service. As SQ has struggled to advance its utilization up-market and has seen additional competitors enter its marketplace, the guidance provided after its most recent earnings release worried investors and saw the stock plummet 23.6 percent during the last three months of the fiscal year. This decline resulted in SQ ending the fiscal year down 16.4 percent Conversely, SPGI has seen its profitable indexing business expand and revealed good earnings growth, which coincided with a 5.6 percent gain during the final fiscal quarter, locking in a 43.0 percent return for the fiscal year.

 

Sub-Adviser Outlook

 

The Sub-Adviser continues to focus on what it believes are the strongest growth stocks of our time, maintaining a concentrated allocation that requires only choosing those companies in which they have the highest conviction. It 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 remains less concerned about temporary market downturns or shifts in momentum and is focused on the strong growth characteristics that led them to the concentrated group of stocks in the Fund.

 

*Holdings percentage(s) of total investments as of 10/31/2019.

 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2019  
         Annualized  
      Annualized  Since Inception  
   One Year  Five Years  (12/8/11)  
Class N  17.19%  12.26%  13.46%  
Class C  16.00%  11.14%  12.34%  
Class A with load of 5.75%  10.11%  10.64%  12.33%  
Class A without load  16.84%  11.96%  13.17%  
Russell 1000 Growth Index  17.10%  13.43%  16.00%  
Morningstar Large Cap Growth Category  14.45%  10.87%  13.92%  

 

(a)Total Returns are calculated based on traded NAVs.

 

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
Dunham Focused Large Cap Growth Fund
October 31, 2019

 

Security  Shares   Value 
COMMON STOCKS - 98.3%          
BIOTECHNOLOGY - 3.5%          
Illumina, Inc. *   12,667   $3,743,352 
           
COMMERCIAL SERVICES - 11.5%          
Global Payments, Inc.   6,615    1,119,126 
PayPal Holdings, Inc. *   39,935    4,157,234 
S&P Global, Inc.   10,511    2,711,733 
Square, Inc. *   30,579    1,878,468 
TransUnion   29,372    2,426,715 
         12,293,276 
DIVERSIFIED FINANCIAL SERVICES - 14.3%          
Mastercard, Inc.   27,970    7,742,376 
Visa, Inc.   42,786    7,652,704 
         15,395,080 
HEALTHCARE-PRODUCTS - 9.4%          
Align Technology, Inc. *   7,422    1,872,496 
Edwards Lifesciences Corp. *   17,803    4,243,879 
Intuitive Surgical, Inc. *   7,093    3,922,074 
         10,038,449 
INTERNET - 18.4%          
Alibaba Group Holding Ltd. - ADR *   12,684    2,240,882 
Alphabet, Inc. *   3,313    4,174,744 
Amazon.com, Inc. *   4,185    7,435,322 
Facebook, Inc. *   17,644    3,381,473 
MercadoLibre, Inc. *   3,075    1,603,674 
Zendesk, Inc. *   12,000    847,800 
         19,683,895 
PHARMACEUTICALS - 1.9%          
DexCom, Inc. *   13,479    2,079,001 
           
RETAIL - 6.4%          
Burlington Stores, Inc. *   22,755    4,372,828 
Ulta Beauty, Inc. *   10,548    2,459,266 
         6,832,094 
SEMICONDUCTORS - 2.9%          
NVIDIA Corp.   15,524    3,120,635 
           
SOFTWARE - 30.0%          
Adobe, Inc. *   11,700    3,251,781 
Autodesk, Inc. *   27,512    4,054,168 
Microsoft Corp.   44,638    6,399,750 
Salesforce.com, Inc. *   34,367    5,378,092 
ServiceNow, Inc. *   17,566    4,343,369 
Splunk, Inc. *   18,086    2,169,597 
Veeva Systems, Inc. *   26,088    3,700,061 
Workday, Inc. *   17,888    2,900,718 
         32,197,536 
           
TOTAL COMMON STOCKS (Cost - $59,529,708)        105,383,318 
           
TOTAL INVESTMENTS - 98.3% (Cost - $59,529,708)       $105,383,318 
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.7%        1,775,709 
NET ASSETS - 100.0%       $107,159,027 

 

ADR - American Depositary Receipt.

 

*Non-Income producing security.

 

See accompanying notes to financial statements.

51

 

SCHEDULE OF INVESTMENTS
Dunham Focused Large Cap Growth Fund (Continued)
October 31, 2019

 

Portfolio Composition * - (Unaudited)
Technology   33.5%  Financial   14.6%
Consumer, Non-Cyclical   26.7%  Consumer, Cyclical   6.5%
Communications   18.7%  Total   100.0%

 

*Based on total value of investments as of October 31, 2019.

 

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

 

See accompanying notes to financial statements.

52

 

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 11.27 percent during the year ending October 31, 2019 (the “fiscal year”). Across sectors, gains were led by information technology, utilities, and real estate.

 

The best performing developed market countries as measured by the Index during the fiscal year were New Zealand, up 24.47 percent, and the Netherlands, up 21.93 percent. The worst performing developed market countries were Israel, down 7.04 percent, and Austria, down 2.84 percent. The best performing emerging market countries during the fiscal year as measured by the Index were Russia, up 31.16 percent, and Greece, up 30.17 percent. The worst performing emerging market countries were Argentina, down 19.60 percent, and Chile, down 10.10 percent.

 

Allocation 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 the most to returns relative to the Index during the fiscal year were: The UK, mainly due to an underweight to energy, along with positive selection and an underweight to financials; and Russia, mainly due to an overweight and positive selection within energy. Countries contributing the most to underperformance relative to the Index included: China, primarily due to overweights and negative selection within energy and financials, along with an underweight and negative selection within consumer discretionary; and Australia, primarily due to negative selection within real estate, along with an overweight to health care.

 

Sectors contributing the most to returns relative to the Index during the fiscal year included: Information technology, primarily due to overweights and positive selection within Canada, France, Japan, and South Korea; and health care, primarily due to overweights and positive selection within Switzerland and the UK. Sectors contributing the most to underperformance relative to the Index included: consumer discretionary, mainly due to underweights and negative selection within China and France; and energy, mainly due to an overweight and negative selection within China.

 

Holdings Insights

 

Stocks contributing the most to returns relative to the Index during the fiscal year included: Enel SpA (ENEL IM) (holding weight*: 1.52 percent), an Italian utilities company; Roche Holding AG (ROG SW) (holding weight*: 2.55 percent), a Swiss health care company; Shopify Inc. (SHOP) (holding weight**: 0.33 percent), a Canadian information technology company. Stocks contributing the most to underperformance relative to the Index included: China Petroleum & Chemical (386 HK) (holding weight*: 0.68 percent), a Chinese energy company; PetroChina Co. Ltd. (PTR) (holding weight*: 0.31 percent), a Chinese energy company; Eni SpA (ENI IM) (holding weight*: 0.16 percent), an Italian energy 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 performe d 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 10/31/2019.

 

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

 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2019  
      Annualized  Annualized  
   One Year  Five Years  Ten Years  
Class N  7.08%  3.30%  5.59%  
Class C  5.96%  2.26%  4.53%  
Class A with load of 5.75%  0.61%  1.81%  4.70%  
Class A without load  6.78%  3.03%  5.32%  
MSCI All Country World ex US Index (net)  11.27%  3.82%  4.94%  
Morningstar Foreign Large Cap Blend Category  10.18%  3.64%  5.09%  

 

(a)Total Returns are calculated based on traded NAVs.

 

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

53

 

SCHEDULE OF INVESTMENTS
Dunham International Stock Fund
October 31, 2019

 

Security  Shares   Value 
COMMON STOCKS - 98.6%          
AEROSPACE / DEFENSE - 1.3%          
Airbus SE   3,634   $521,492 
CAE, Inc.   6,400    160,834 
Kawasaki Heavy Industries Ltd.   20,400    489,045 
Leonardo SpA   7,050    81,930 
Rolls-Royce Holdings PLC - ADR   9,506    88,406 
Safran SA   1,991    315,454 
         1,657,161 
AGRICULTURE - 0.1%          
Imperial Brands PLC   6,138    134,500 
           
AIRLINES - 0.6%          
Deutsche Lufthansa AG   23,170    401,505 
International Consolidated Airlines Group SA - ADR   3,800    52,136 
Qantas Airways Ltd.   74,134    327,715 
Turk Hava Yollari AO *   1    2 
         781,358 
APPAREL - 1.8%          
adidas AG   3,228    998,176 
Burberry Group PLC - ADR   11,558    312,066 
Gildan Activewear, Inc. ^   8,236    210,265 
Kering SA   1,154    656,829 
Pou Chen Corp. *   92,000    122,998 
         2,300,334 
AUTO MANUFACTURERS - 1.5%          
Fiat Chrysler Automobiles NV   34,594    537,026 
Hino Motors Ltd.   12,300    116,164 
Kia Motors Corp.   11,634    425,192 
Porsche Automobil Holding SE - ADR   21,800    159,358 
Porsche Automobil Holding SE   3,193    235,177 
Renault SA   3,188    162,827 
Volkswagen AG   1,650    312,015 
         1,947,759 
AUTO PARTS & EQUIPMENT - 2.3%          
Cie Generale des Etablissements Michelin SCA   1,588    193,411 
Continental AG   4,015    537,942 
Faurecia SE   7,765    362,493 
Hankook Tire Co., Ltd. *   7,314    195,029 
Hyundai Mobis Co., Ltd.   553    112,775 
Magna International, Inc.   19,482    1,047,547 
Schaeffler AG   12,065    101,810 
Weichai Power Co., Ltd.   61,000    95,994 
Yokohama Rubber Co., Ltd.   13,900    310,129 
         2,957,130 
BANKS - 5.4%          
Agricultural Bank of China Ltd.   1,016,000    417,995 
Akbank T.A.S. *   0    — 
Alpha Bank AE *   25,659    54,768 
Banco do Brasil SA *   25,300    302,574 
Banco Santander SA *   46,741    185,652 
Bank of China Ltd. - ADR   1,468    14,878 
Bank of China Ltd.   1,784,000    727,326 
Bank of Communications Co., Ltd.   384,000    262,193 
Bank of Zhengzhou Co., Ltd.   270,000    90,504 
Bank Pan Indonesia Tbk PT *   263,200    25,193 
BNP Paribas SA   3,158    165,088 
China CITIC Bank Corp Ltd.   397,000    230,074 
China Everbright Bank Co., Ltd.   475,000    218,531 
China Merchants Bank Co Ltd   83,000    395,758 
China Minsheng Banking Corp Ltd.   288,500    201,752 
Erste Group Bank AG - ADR   5,100    89,668 
Security  Shares   Value 
BANKS - 5.4% (Continued)          
Eurobank Ergasias SA *   56,951   $57,751 
Fukuoka Financial Group, Inc. *   10,700    206,048 
Grupo Elektra SAB DE CV *   756    55,107 
Grupo Financiero Banorte SAB de CV   67,000    83,628 
Industrial & Commercial Bank of China Ltd. - ADR   16,287    231,601 
Industrial & Commercial Bank of China Ltd.   815,000    583,730 
Mediobanca Banca di Credito Finanziario SpA   27,046    321,714 
National Bank of Greece SA *   83,517    283,329 
Sberbank of Russia PJSC - ADR *   38,755    569,699 
Societe Generale SA   9,676    275,262 
Turkiye Garanti Bankasi AS *   66,475    106,938 
Turkiye Is Bankasi AS *   81,167    82,315 
Turkiye Vakiflar Bankasi TAO *   555,336    421,500 
UniCredit SpA   26,976    342,354 
VTB Bank PJSC - ADR   7,196    9,563 
Yapi ve Kredi Bankasi AS *   184,313    73,490 
         7,085,983 
BEVERAGES - 1.1%          
Carlsberg A/S   3,075    433,242 
Coca-Cola HBC AG   3,121    96,376 
Diageo PLC - ADR   3,139    514,388 
Tsingtao Brewery Co., Ltd.   60,000    347,623 
         1,391,629 
BUILDING MATERIALS - 0.2%          
Asia Cement Corp.   73,000    103,049 
Cie de Saint-Gobain   4,573    186,307 
         289,356 
CHEMICALS - 1.8%          
Akzo Nobel NV   4,336    399,877 
Covestro AG   7,604    365,274 
Hanwha Chemical Corp. *   6,809    95,273 
KCC Corp.   920    178,570 
Koninklijke DSM NV   1,924    228,428 
Nitto Denko Corp.   3,200    176,854 
Shin-Etsu Chemical Co., Ltd. - ADR   1,100    30,690 
Shin-Etsu Chemical Co., Ltd.   6,800    757,402 
Showa Denko KK   3,100    86,884 
         2,319,252 
COAL - 0.2%          
China Shenhua Energy Co., Ltd. - ADR   7,400    59,274 
China Shenhua Energy Co., Ltd.   70,500    143,149 
Indo Tambangraya Megah Tbk PT   53,100    50,284 
         252,707 
COMMERCIAL SERVICES - 3.1%          
Adyen NV *   211    148,594 
Amadeus IT Group SA   3,526    260,930 
Ashtead Group PLC   11,360    345,504 
Benesse Holdings, Inc. *   16,600    443,906 
Brambles Ltd. - ADR   12,000    197,640 
Brambles Ltd.   25,057    207,027 
CCR SA *   35,000    144,729 
China Conch Venture Holdings Ltd.   37,000    144,744 
Cielo SA   48,300    90,238 
Experian PLC   20,616    649,167 
Guangdong Provincial Expressway Development Co., Ltd. *   92,100    67,641 
Recruit Holdings Co., Ltd.   18,000    597,576 
RELX PLC   8,912    214,336 
RELX PLC   18,172    437,410 
Sichuan Expressway Co., Ltd.   400,000    116,701 
         4,066,143 

 

See accompanying notes to financial statements.

54

 

SCHEDULE OF INVESTMENTS
Dunham International Stock Fund (Continued)
October 31, 2019

 

Security  Shares   Value 
COMMON STOCKS - 98.6% (Continued)          
COMPUTERS - 3.3%          
Advantech Co., Ltd. *   12,000   $118,558 
CGI, Inc. *   7,890    613,211 
Check Point Software Technologies Ltd. * ^   2,581    290,130 
Chicony Electronics Co., Ltd. *   144,000    447,371 
Compal Electronics, Inc.   276,000    164,763 
Computershare Ltd.   25,961    283,212 
CyberArk Software Ltd. *   2,200    223,476 
Eastern Communications Co., Ltd. *   205,700    110,255 
Fujitsu Ltd.   6,700    593,183 
Itochu Techno-Solutions Corp.   600    16,141 
Lenovo Group Ltd. - ADR   4,300    59,340 
NTT Data Corp.   28,900    379,078 
Obic Co., Ltd.   1,100    137,579 
Otsuka Corp. *   6,600    265,816 
Phison Electronics Corp. *   25,000    227,322 
Quanta Computer, Inc.   196,000    375,983 
         4,305,418 
COSMETICS / PERSONAL CARE - 2.1%          
Kao Corp.   4,900    393,534 
L’Oreal SA   2,925    854,550 
Unilever NV   20,683    1,222,889 
Unilever PLC   4,648    278,028 
         2,749,001 
DISTRIBUTION / WHOLESALE - 0.7%          
Ferguson PLC - ADR   30,400    257,488 
Hanwha Corp. *   12,423    253,262 
Marubeni Corp.   9,000    63,275 
Sumitomo Corp.   9,900    160,629 
Toyota Tsusho Corp.   5,700    196,432 
         931,086 
DIVERSIFIED FINANCIAL SERVICES - 2.9%          
ASX Ltd.   9,208    522,360 
B3 SA - Brasil Bolsa Balcao   35,500    428,098 
BNK Financial Group, Inc.   31,712    189,396 
China Merchants Securities Co., Ltd.   39,600    44,817 
CI Financial Corp.   2,554    37,251 
CSC Financial Co., Ltd.   70,000    48,532 
Deutsche Boerse AG   3,126    484,244 
Far East Horizon Ltd.   233,000    220,542 
GF Securities Co Ltd.   80,600    83,924 
Haitong Securities Co., Ltd.   268,400    273,951 
Hana Financial Group, Inc.   10,225    296,040 
Hargreaves Lansdown PLC   7,275    166,884 
Investec Ltd. *   42,643    243,058 
Magellan Financial Group Ltd.   11,352    376,304 
Yuanta Financial Holding Co., Ltd. *   498,000    311,235 
         3,726,636 
ELECTRIC - 3.2%          
AGL Energy Ltd.   6,818    93,016 
Centrais Eletricas Brasileiras SA *   11,400    112,739 
Chubu Electric Power Co., Inc.   3,500    52,627 
E.ON SE   17,060    172,095 
Enel Americas SA   1,507,008    281,667 
Enel Chile SA   829,780    68,295 
Enel SpA *   254,343    1,971,872 
Engie Brasil Energia SA   32,500    364,313 
Engie SA - ADR   6,379    107,040 
Iberdrola SA   50,363    517,844 
Interconexion Electrica SA ESP   41,129    237,394 
Kansai Electric Power Co., Inc.   2,400    27,969 
Terna Rete Elettrica Nazionale SpA   31,819    210,371 
         4,217,242 
ELECTRICAL COMPONENTS & EQUIPMENT - 0.4%          
Brother Industries Ltd.   10,100    189,618 
Delta Electronics, Inc. *   76,000    333,677 
Dongfang Electric Corp., Ltd.   107,800    60,705 
         584,000 
ELECTRONICS - 2.7%          
Hitachi High-Technologies Corp.   3,300    205,094 
Hoya Corp.   10,600    935,802 
Kyocera Corp.   11,600    760,230 
Security  Shares   Value 
ELECTRONICS - 2.7% (Continued)          
LG Display Co., Ltd. *   11,340   $132,928 
Omron Corp.   7,000    409,077 
TDK Corp.   4,000    394,275 
Yokogawa Electric Corp.   34,700    635,129 
         3,472,535 
ENERGY-ALTERNATE SOURCES - 0.2%          
Xinyi Solar Holdings Ltd.   372,000    210,147 
           
ENGINEERING & CONSTRUCTION - 0.4%          
ACS Actividades de Construccion y Servicios SA   7,566    307,111 
China Communications Services Corp., Ltd.   80,000    49,391 
Enka Insaat ve Sanayi AS   1    1 
Sydney Airport   26,607    161,050 
         517,553 
ENTERTAINMENT - 0.5%          
Aristocrat Leisure Ltd.   29,681    646,820 
Astro Malaysia Holdings Bhd   149,500    48,330 
         695,150 
FOOD - 3.1%          
Associated British Foods PLC - ADR   11,300    329,621 
CJ CheilJedang Corp. *   362    30,413 
Coles Group Ltd.   43,616    451,115 
JBS SA *   87,700    618,033 
Nestle SA   11,877    1,270,296 
NH Foods Ltd.   2,900    121,716 
Want Want China Holdings Ltd.   350,000    294,777 
WH Group Ltd.   167,500    176,764 
Woolworths Group Ltd.   26,512    683,246 
         3,975,981 
FOOD SERVICE - 0.3%          
Compass Group PLC - ADR   16,490    438,634 
           
FOREST PRODUCTS & PAPER- 0.1%          
Shandong Chenming Paper Holdings Ltd. *   168,900    67,599 
           
GAS - 0.6%          
Grupo Energia Bogota SA ESP   289,184    186,174 
National Grid PLC - ADR ^   4,852    283,211 
Naturgy Energy Group SA   12,697    346,040 
         815,425 
HAND / MACHINE TOOLS - 0.3%          
Disco Corp.   800    174,404 
Techtronic Industries Co., Ltd. - ADR   5,200    203,632 
         378,036 
HEALTHCARE - PRODUCTS - 1.8%          
Cochlear Ltd.   849    123,789 
Getinge AB   12,450    213,325 
Koninklijke Philips NV - ADR ^   1,300    57,070 
Koninklijke Philips NV   25,356    1,112,822 
Smith & Nephew PLC - ADR ^   3,925    169,639 
Smith & Nephew PLC   27,710    594,215 
Sonova Holding AG - ADR   1,170    53,621 
         2,324,481 
HEALTHCARE - SERVICES - 0.2%          
ICON PLC *   1,400    205,660 
           
HOLDING COMPANIES-DIVERSIFIED - 0.0%          
Haci Omer Sabanci Holding AS *   1    1 
           
HOME BUILDERS - 0.4%          
Daiwa House Industry Co., Ltd.   4,700    161,626 
Sekisui Chemical Co., Ltd.   16,900    294,351 
Taylor Wimpey PLC   36,241    77,645 
         533,622 
HOME FURNISHINGS - 0.7%          
Arcelik AS *   64,164    198,946 
LG Electronics, Inc.   2,286    131,009 
Nien Made Enterprise Co., Ltd.   16,000    145,138 
Panasonic Corp.   57,700    484,417 
         959,510 

 

See accompanying notes to financial statements.

55

 

SCHEDULE OF INVESTMENTS
Dunham International Stock Fund (Continued)
October 31, 2019

 

Security  Shares   Value 
COMMON STOCKS - 98.6% (Continued)          
HOUSEHOLD PRODUCTS/WARES - 0.2%          
Henkel AG & Co. KGaA   366   $35,227 
Henkel AG & Co. KGaA   2,593    269,427 
         304,654 
INSURANCE - 8.1%          
Aegon NV - ADR   54,233    234,287 
Aegon NV   19,140    83,062 
Allianz SE   8,507    2,078,257 
Assicurazioni Generali SpA   30,414    616,914 
Aviva PLC - ADR   18,700    203,643 
AXA SA   30,706    813,082 
BB Seguridade Participacoes SA   28,700    242,717 
China Life Insurance Co., Ltd.   203,000    521,937 
China Pacific Insurance Group Co., Ltd.   116,000    420,787 
China Reinsurance Group Corp.   568,000    92,644 
CNP Assurances   14,352    284,966 
Dai-ichi Life Holdings, Inc.   17,800    289,821 
Japan Post Holdings Co., Ltd.   27,900    255,828 
Japan Post Insurance Co., Ltd.   16,700    263,176 
Manulife Financial Corp.   25,792    480,247 
Mapfre SA   63,895    178,387 
MS&AD Insurance Group Holdings, Inc.   20,500    661,266 
Muenchener Rueckversicherungs-Gesellschaft AG   1,737    482,760 
NN Group NV   15,461    590,130 
People’s Insurance Co. Group of China Ltd.   206,000    86,742 
Sompo Holdings, Inc.   6,000    235,586 
Sun Life Financial, Inc.   10,254    460,199 
T&D Holdings, Inc.   12,000    133,511 
Tokio Marine Holdings, Inc.   15,400    831,725 
         10,541,674 
INTERNET - 0.6%          
Auto Trader Group PLC   48,367    352,049 
SEEK Ltd.   11,618    181,716 
Trend Micro, Inc.   4,800    242,019 
         775,784 
INVESTMENT COMPANIES - 0.2%          
EXOR NV   1,160    88,958 
Grupo de Inversiones Suramericana SA   6,016    55,167 
Itausa - Investimentos Itau SA   50,738    173,154 
         317,279 
IRON / STEEL - 0.4%          
Fortescue Metals Group Ltd. - ADR   14,700    177,135 
Fortescue Metals Group Ltd   8,249    50,460 
POSCO   1,122    203,582 
Ternium SA - ADR   4,716    94,273 
         525,450 
LEISURE TIME - 0.5%          
Carnival PLC   8,014    320,360 
Giant Manufacturing Co., Ltd.   23,000    170,072 
Yamaha Motor Co., Ltd.   7,100    140,549 
         630,981 
LODGING - 0.8%          
Galaxy Entertainment Group Ltd.   11,000    75,725 
Genting Malaysia Berhad *   604,800    463,874 
Melco Resorts & Entertainment Ltd. - ADR ^   8,240    177,490 
NagaCorp., Ltd.   66,000    119,901 
Sands China Ltd. - ADR   2,300    113,666 
Shanghai Jinjiang International Hotels Development Co., Ltd. *   48,300    88,582 
         1,039,238 
MACHINERY CONSTRUCTION & MINING - 1.1%          
Doosan Fuel Cell Co., Ltd. *   2,769    13,804 
Doosan Solus Co., Ltd. *   1,526    10,808 
Hitachi Ltd. - ADR   1,793    133,686 
Hitachi Ltd.   21,200    790,394 
Mitsubishi Electric Corp.   16,500    235,492 
Mitsubishi Heavy Industries Ltd.   5,000    202,132 
         1,386,316 
Security  Shares   Value 
MACHINERY - DIVERSIFIED - 1.0%          
Atlas Copco AB   13,464   $418,693 
CNH Industrial NV   51,375    559,530 
Doosan Corp.   828    48,191 
Hexagon AB   5,836    299,455 
Shanghai Mechanical and Electrical Industry Co., Ltd. *   16,300    24,580 
         1,350,449 
MEDIA - 0.8%          
ProSiebenSat.1 Media SE - ADR   11,700    42,471 
Thomson Reuters Corp.   5,000    336,300 
Vivendi SA   21,438    597,185 
Wolters Kluwer NV *   1,876    138,217 
         1,114,173 
MINING - 5.8%          
Anglo American PLC   46,438    1,193,935 
BHP Group Ltd. - ADR ^   9,825    480,541 
BHP Group Ltd.   38,130    934,118 
BHP Group PLC - ADR   8,300    352,086 
BHP Group PLC   36,022    763,250 
Glencore PLC - ADR   8,716    52,034 
Glencore PLC   116,121    350,132 
Lundin Mining Corp.   13,300    67,292 
MMC Norilsk Nickel PJSC - ADR   3,591    99,471 
Newcrest Mining Ltd.   15,245    332,580 
Rio Tinto Ltd.   9,035    564,658 
Rio Tinto PLC - ADR   29,192    1,518,276 
Rio Tinto PLC   4,296    223,425 
South32 Ltd.   26,158    45,748 
Teck Resources Ltd.   19,452    308,130 
Vale Indonesia Tbk PT *   1,189,300    314,015 
         7,599,691 
MISCELLANEOUS MANUFACTURING - 0.7%          
China Railway Signal & Communication Corp., Ltd.   45,000    26,858 
Siemens AG   7,652    883,320 
         910,178 
OFFICE / BUSINESS EQUIPMENT - 0.6%          
FUJIFILM Holdings Corp.   12,400    543,809 
Konica Minolta, Inc.   25,900    189,898 
Seiko Epson Corp. - ADR   15,900    111,459 
         845,166 
OIL & GAS - 3.5%          
China Petroleum & Chemical Corp.   1,550,000    881,405 
CNOOC Ltd.   371,000    552,018 
Eni SpA   13,571    205,950 
Gazprom PJSC - ADR   30,800    246,785 
Gazprom PJSC - ADR   67,456    539,918 
LUKOIL PJSC - ADR   12,323    1,133,223 
Petrobras Distribuidora SA   42,700    302,083 
PetroChina Co., Ltd.   328,000    159,917 
PetroChina Co., Ltd. - ADR *   8,450    407,543 
Tourmaline Oil Corp.   21,648    186,117 
         4,614,959 
PHARMACEUTICALS - 9.5%          
Astellas Pharma, Inc.   39,200    672,062 
AstraZeneca PLC - ADR ^   21,482    1,053,262 
Bayer AG ^   9,438    732,395 
China Biologic Products Holdings, Inc. *   2,600    296,504 
Eisai Co., Ltd. - ADR ^   2,800    203,616 
Eisai Co., Ltd.   1,800    130,162 
GlaxoSmithKline PLC - ADR ^   22,900    1,048,820 
Livzon Pharmaceutical Group, Inc.   24,500    71,532 
Novartis AG   21,381    1,867,698 
Novo Nordisk A/S - ADR   3,302    182,336 
Novo Nordisk A/S   16,055    883,266 
Roche Holding AG - ADR ^   13,300    500,346 
Roche Holding AG   11,030    3,318,703 
Sanofi   7,170    661,190 
Shionogi & Co., Ltd.   8,000    479,672 
UCB SA   3,051    245,985 
         12,347,549 
PIPELINES - 0.0%          
Transportadora de Gas del Sur SA - ADR   5,842    44,166 

 

56

 

SCHEDULE OF INVESTMENTS
Dunham International Stock Fund (Continued)
October 31, 2019

 

Security  Shares   Value 
COMMON STOCKS - 98.6% (Continued)          
PRIVATE EQUITY - 0.6%          
3i Group PLC   51,117   $746,189 
           
REAL ESTATE - 0.4%          
Hang Lung Group Ltd.   37,000    92,651 
Hysan Development Co., Ltd.   36,000    141,853 
Pakuwon Jati Tbk PT   2,859,100    127,239 
REA Group Ltd.   2,068    155,112 
         516,855 
REIT - 0.7%          
Fortress REIT Ltd.   148,565    88,665 
Goodman Group   27,924    276,838 
H&R REAL ESTATE INV-REIT UTS *   2,721    46,125 
Link REIT   38,000    414,292 
Scentre Group   34,108    90,000 
         915,920 
RETAIL - 1.8%          
Alimentation Couche-Tard, Inc.   6,861    206,193 
Atacadao SA   20,900    99,908 
Canadian Tire Corp Ltd.   1,607    173,605 
Cie Financiere Richemont SA - ADR   47,574    371,553 
Dollarama, Inc.   2,419    81,551 
Domino’s Pizza Enterprises Ltd.   2,026    71,237 
Hennes & Mauritz AB   16,983    356,746 
Kingfisher PLC - ADR   1,800    9,648 
Kingfisher PLC   130,026    348,445 
Lao Feng Xiang Co., Ltd.   18,100    60,020 
Lojas Americanas SA *   30,200    113,069 
Pandora A/S - ADR   4,800    58,944 
Wesfarmers Ltd.   12,057    331,073 
         2,281,992 
SEMICONDUCTORS - 8.0%          
Advantest Corp.   11,000    500,061 
ASM Pacific Technology Ltd.   14,900    208,000 
ASML Holding NV - ADR   480    125,745 
Infineon Technologies AG   9,829    190,436 
MediaTek, Inc.   36,000    480,775 
Nanya Technology Corp.   54,000    123,514 
Novatek Microelectronics Corp. *   62,000    397,149 
NXP Semiconductors NV   4,226    480,412 
Renesas Electronics Corp. *   25,700    173,796 
Rohm Co., Ltd.   2,100    166,204 
Samsung Electronics Co., Ltd. - ADR   126    134,568 
Samsung Electronics Co., Ltd. - ADR   375    324,375 
Samsung Electronics Co., Ltd.   67,400    2,913,018 
Samsung Electronics Co., Ltd.   8,550    300,967 
SK Hynix, Inc. *   14,214    999,472 
STMicroelectronics NV - ADR ^   24,490    555,433 
STMicroelectronics NV   8,951    203,343 
Taiwan Semiconductor Manufacturing Co., Ltd. - ADR ^   13,218    682,445 
Taiwan Semiconductor Manufacturing Co., Ltd. *   35,000    342,993 
Tokyo Electron Ltd.   5,200    1,052,392 
United Microelectronics Corp. *   185,000    85,196 
         10,440,294 
SOFTWARE - 2.7%          
Constellation Software, Inc.   300    296,914 
Dassault Systemes SE - ADR   1,011    154,066 
Dassault Systemes SE   550    83,558 
Konami Holdings Corp.   5,600    245,572 
Micro Focus International PLC   20,549    281,746 
NetEase, Inc. - ADR   982    280,714 
Open Text Corp.   4,000    161,040 
Oracle Corp. Japan   2,500    219,507 
Sage Group PLC   16,965    157,951 
SAP SE   11,299    1,497,606 
Xero Ltd. *   3,984    188,868 
         3,567,542 
TELECOMMUNICATIONS - 3.9%          
BT Group PLC   70,000    185,577 
China Mobile Ltd.   6,500    52,812 
China Telecom Corp., Ltd. - ADR ^   2,800    118,692 
China Unicom Hong Kong Ltd. - ADR   22,552    219,882 
Security     Shares   Value 
TELECOMMUNICATIONS - 3.9% (Continued)             
Deutsche Telekom AG *      54,760   $963,837 
Hellenic Telecommunications Organization SA *      10,966    166,367 
Hikari Tsushin, Inc. *      1,500    328,445 
KDDI Corp.      12,300    339,993 
Koninklijke KPN NV      19,522    60,623 
Nice Ltd. - ADR * ^      1,319    208,125 
Nippon Telegraph & Telephone Corp.      14,800    733,934 
NTT DOCOMO, Inc.      8,600    235,519 
Telecom Italia SpA - ADR *      37,978    219,513 
Telecom Italia SpA - ADR      7,800    44,772 
Telecom Italia SpA      292,289    169,232 
Telefonaktiebolaget LM Ericsson      13,184    115,468 
Telefonica Brasil SA *      7,000    92,539 
Telefonica SA      103,506    795,102 
            5,050,432 
TOYS / GAMES / HOBBIES - 0.3%             
Nintendo Co., Ltd.      1,000    366,397 
              
TRANSPORTATION - 2.8%             
Aurizon Holdings Ltd.      56,206    228,527 
Canadian National Railway Co.      6,832    612,325 
Canadian Pacific Railway Ltd.      3,561    809,451 
Central Japan Railway Co.      1,100    225,407 
Deutsche Post AG      17,402    616,661 
East Japan Railway Co.      6,100    553,175 
Nippon Express Co., Ltd.      3,000    170,985 
West Japan Railway Co.      5,800    503,428 
            3,719,959 
WATER - 0.3%             
Aguas Andinas SA      456,664    209,530 
Cia de Saneamento Basico do Estado de Sao Paulo *      12,000    163,481 
            373,011 
              
TOTAL COMMON STOCKS (Cost - $117,738,919)           128,617,327 
              
EXCHANGE TRADED FUND - 0.5%             
EQUITY FUND - 0.5%             
iShares MSCI EAFE ETF      9,748    657,211 
TOTAL EXCHANGE TRADED FUND (Cost - $559,555)             
   Expiration Date          
WARRANT- 0.0%             
Barito Pacific TBK PT * ++  6/3/2021   178,610    7,507 
TOTAL WARRANTS (Cost - $0)             
      Principal      
   Interest Rate %  Amount $      
PREFERRED STOCKS - 0.1%             
BANKS - 0.1%             
Banco Bradesco SA *   0.540   11,300    99,280 
TOTAL PREFERRED STOCKS (Cost -$107,170)             
      Shares      
COLLATERAL FOR SECURITIES LOANED - 4.9%             
Mount Vernon Prime Portfolio, 2.04% + # (Cost - $6,325,040)      6,325,040    6,325,040 
              
TOTAL INVESTMENTS - 104.1% (Cost - $124,730,684)          $135,706,365 
LIABILITIES IN EXCESS OF OTHER ASSETS - (4.1)%           (5,293,281)
NET ASSETS - 100.0%          $130,413,084 

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $6,175,100 at October 31, 2019.

 

*Non-income producing security.

 

ADR - American Depositary Receipt.

 

NV - Non-Voting

 

PLC - Public Limited Company         REIT - Real Estate Investment Trust.

 

+Variable rate security. Interest rate is as of October 31, 2019.

 

++The Advisor or Trustees have determined these securities to be illiquid. On October 31, 2019, these securities amounted to $7,507 or 0.00% 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% (105% for non US Shares) 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.

57

 

SCHEDULE OF INVESTMENTS
Dunham International Stock Fund (Continued)
October 31, 2019

 

Portfolio Composition * - (Unaudited)
Japan   16.8%  South Korea   5.2%
Britain   12.1%  France   4.7%
Germany   8.5%  Canada   4.7%
China   7.0%  Taiwan   3.4%
Switzerland   6.3%  Other Countries **   25.6%
Australia   5.7%  Total   100.0%

 

*Based on total value of investments as of October 31, 2019.

 

**Includes collateral for securities loaned as of October 31, 2019.

 

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

 

See accompanying notes to financial statements.

58

 

Dunham Real Estate Stock Fund (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 reversed from his hawkish stance 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 a halt to the interest rate hike plans in 2019 and cut interest rates in July. In the final fiscal quarter, volatility spiked once again amid global growth concerns and increasing tensions between the U.S. and China. Markets rebounded to finish the fiscal year as the Fed cut interest rates two more times in the fourth fiscal quarter and the dovish central bank tone reverberated around the globe. REITs, as measured by the FTSE NAREIT All REITs Index, increased 24.2 percent during the most recent fiscal year, and out performed both broad equity and bonds indexes. Broad equity indexes, as measured by the S&P 500 Index, increased 14.3 percent. Bonds, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, rose 11.5 percent during the fiscal year.

 

Allocation Review

 

During the first fiscal quarter, concerns about a slowing economy coincided with the defensive REIT sectors such as net lease , healthcare and manufactured housing out performing. However, for the remainder of the fiscal year concerns about a slowing economy somewhat dissipated and central banks tilted toward a dovish stance, aiding cyclical sectors such as data centers to out perform. For the full fiscal year and the most recent fiscal quarter, sector allocation strongly contributed to relative Fund performance while security selection detracted. In the most recent fiscal quarter and coincidentally for the full fiscal year, the strongest performing sectors within the Fund on an absolute basis were the data center, industrials, and manufactured homes REITS, while the worst performing sectors were the regional mall and lodging REITs.

 

Holdings Insights

 

American Tower Corp. (AMT) (holding weight*: 7.42 percent), an owner and operator of wireless and broadcast communications infrastructure, was a strong contributor to Fund performance through the full fiscal year despite detracting from performance in the final fiscal quarter. AMT continued to post solid cash flows 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. AMT increased 38 percent over the full fiscal year but slightly detracted on a relative basis in the final fiscal quarter of the year by increasing 5 percent. Another contributor 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 full fiscal year, PLD increased 37.5 percent, and 7.8 percent in the most recent fiscal quarter.

 

As previously mentioned, one of the worst performing REIT sectors was the regional mall sector. A position within this sector that detracted from Fund performance was Simon Property Group, Inc. (SPG) (holding weight*: 1.92 percent). SPG decreased 12 percent in the most recent fiscal quarter and 15.8 percent for the full fiscal year. The Sub-Adviser believes that this sector will continue to face significant headwinds but the Sub-Adviser believes that SPG is the best-positioned regional mall REIT. SPG has the largest footprint, is customer experience focused, and made significant investments in E-sports and online clothing rentals. The Fund’s underweight to the data centers REIT sector detracted from relative performance, as it was one of the best performing sectors. One of the largest contributors to the Fund’s absolute performance over the fiscal quarter was Equinix Inc. (EQIX) (holding weight*: 6.39 percent), a data center REIT that owns over 200 data centers in 24 countries. This position benefited from continued strength in the interconnection market, in addition to the company further expanding its portfolio of international data centers. During the most recent fiscal quarter, EQIX increased 27.5 percent and increased 53.7 percent in the full fiscal year.

 

Sub-Adviser Outlook

 

The Sub-Adviser believes that there is a significant bifurcation in net asset values across REIT sectors that will continue to present opportunities for superior sector allocation and stock selection. The Sub-Adviser believes that industrials and manufactured homes are steady with the strongest same-store net operating income. The Sub-Adviser also believes that macro factors, such as trade and international travel, will continue to weigh on lodging. The Sub-Adviser is confident that rent growth for single family remains strong, and expenses, which have been an issue, could stabilize this year as the sector matures.

 

*Holdings percentage(s) of total investments as of 10/31/2019.

 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2019  
      Annualized  Annualized  
   One Year  Five Years  Ten Years  
Class N  24.16%  7.32%  12.78%  
Class C  22.97%  6.26%  11.67%  
Class A with load of 5.75%  16.72%  5.80%  11.84%  
Class A without load  23.81%  7.06%  12.51%  
FTSE NAREIT All REITs Index  24.21%  8.21%  13.94%  
Morningstar Real Estate Category  23.52%  7.62%  12.66%  

 

(a)Total Returns are calculated based on traded NAVs.

 

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

59

 

SCHEDULE OF INVESTMENTS
Dunham Real Estate Stock Fund
October 31, 2019

 

Security  Shares   Value 
REITS - 98.9%          
APARTMENTS - 18.6%          
American Homes 4 Rent   37,710   $998,184 
AvalonBay Communities, Inc.   9,128    1,986,800 
Equity Residential   34,551    3,063,292 
Invitation Homes, Inc.   50,233    1,546,674 
Mid-America Apartment Communities, Inc.   18,951    2,633,999 
         10,228,949 
DIVERSIFIED - 30.2%          
American Tower Corp.   18,688    4,075,479 
Crown Castle International Corp.   19,530    2,710,569 
Digital Realty Trust, Inc.   6,659    845,959 
Equinix, Inc.   6,193    3,510,069 
Lexington Realty Trust   48,418    526,788 
New Residential Investment Corp.   73,391    1,162,513 
SBA Communications Corp.   6,383    1,536,069 
VICI Properties, Inc.   57,365    1,350,946 
Weyerhaeuser Co.   29,136    851,063 
         16,569,455 
FINANCE - MORTGAGE LOAN/BANKER - 2.1%          
TPG RE Finance Trust, Inc.   56,983    1,152,766 
           
HEALTHCARE - 9.6%          
Medical Properties Trust, Inc.   46,110    955,860 
National Health Investors, Inc.   7,819    670,792 
Ventas, Inc.   18,059    1,175,641 
Welltower, Inc.   27,176    2,464,591 
         5,266,884 
HOTELS - 1.7%          
Host Hotels & Resorts, Inc.   56,398    924,363 
           
MANUFACTURED HOMES - 2.2%          
Sun Communities, Inc.   7,522    1,223,453 
           
OFFICE - 9.0%          
Alexandria Real Estate Equities, Inc.   8,487    1,347,311 
Boston Properties, Inc.   13,194    1,810,217 
Kilroy Realty Corp.   21,018    1,764,041 
         4,921,569 
REGIONAL MALLS - 1.9%          
Simon Property Group, Inc.   6,982    1,052,048 
           
SHOPPING CENTERS - 2.2%          
Regency Centers Corp.   17,651    1,186,853 
           
SINGLE FAMILY - 9.2%          
Agree Realty Corp.   14,392    1,133,658 
National Retail Properties, Inc.   22,761    1,340,851 
Spirit Realty Capital, Inc.   17,223    858,394 
STORE Capital Corp.   42,149    1,707,035 
         5,039,938 
STORAGE - 2.3%          
Extra Space Storage, Inc.   11,086    1,244,625 
           
WAREHOUSE/INDUSTRIAL - 9.9%          
First Industrial Realty Trust, Inc.   34,674    1,460,122 
Prologis, Inc.   30,784    2,701,604 
Rexford Industrial Realty, Inc.   26,741    1,285,975 
         5,447,701 
           
TOTAL REITS (Cost - $42,047,989)        54,258,604 

 

See accompanying notes to financial statements.

60

 

SCHEDULE OF INVESTMENTS
Dunham Real Estate Stock Fund (Continued)
October 31, 2019

 

   Value 
TOTAL INVESTMENTS - 98.9% (Cost - $42,047,989)  $54,258,604 
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.1%   579,156 
TOTAL NET ASSETS - 100.00%  $54,837,760 

 

REITS - Real Estate Investment Trusts

 

Portfolio Composition * - (Unaudited)
Diversified   30.5%  Storage   2.3%
Apartments   18.9%  Manufactured Homes   2.3%
Warehouse/Industrial   10.0%  Shopping Centers   2.2%
Healthcare   9.7%  Finance - Mortgage Loan/Banker   2.1%
Single Family   9.3%  Regional Malls   1.9%
Office   9.1%  Hotels   1.7%
        Total   100.0%

 

*Based on total value of investments as of October 31, 2019.

 

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

 

See accompanying notes to financial statements.

61

 

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

 

Asset Class Recap

 

After proving to be one of the few asset classes in the third fiscal quarter to post a negative return, small cap value stocks, as measured by the Russell 2000 Value Index, experienced a modest rebound in the final fiscal quarter. Small cap value stocks rose 1.7 percent during the fourth fiscal quarter after declining 2.2 percent in the third fiscal quarter. This was only the second fiscal quarter of the fiscal year that small cap value stocks eked out a positive return, resulting in small cap value stocks only increasing 3.2 percent over the fiscal year as a whole. This lackluster return over the 12-month period was significantly less than small cap value’s equity peers as well as broad bonds, in general. This modest overall return for the fiscal year masked the massive dispersion in returns within the small cap value space.

 

Allocation Review

 

During the fiscal year, the dispersion in small cap value stocks between the best performing sector, technology, and the worst performing sector, energy, was close to 70 percent. As the energy sector plummeted close to 43 percent, the technology sector surged over 27 percent. While the Fund performed fairly in-line with the energy sector’s overall return, the technology sector proved to be one of the best relative performing sectors for the Fund, as the Sub-Adviser’s stock selection added more than 12 percent out performance in the sector. The Sub-Adviser is keenly aware that attempting to tactically navigate changing sector leadership can greatly increase risk and detract from positive attribution provided from individual stock selection. Therefore, the Fund did not benefit nor was it adversely affected by its sector allocation during the fiscal year. The Sub-Adviser implements sector-specific models that highlight the various factors pertinent to evaluate the stocks within that sector. The factor groups that had the highest exposure during the fiscal year were the valuation-based factors and the sentiment & share-related factors. Together, these factor groups comprise close to half of the aggregate factor weights. In addition, during the final fiscal quarter, these factor groups generally corresponded with positive stock selection. As these factor groups had generally been out of favor during much of the fiscal year, as well as most of the recent bull market, the Sub-Adviser’s discipline of maintaining strategic weights to each of its factors proved itself in the final months of the fiscal year. However, in the homestretch of the fiscal year, the two poorest performing factor groups were earnings quality and balance sheet-oriented factors. While these generally detracted on a broad level, the total weighting between the two groups comprised less than 17 percent of the factor allocation.

 

Holdings Insights

 

As the worst performing sector in the benchmark index, the energy sector provided many of the worst performing holdings in the Fund, as well. For example, the Fund held Penn Virginia Corp (PVAC) (holding weight*: 0.74 percent), an oil and natural gas exploration company focused on shale in Texas, and Helix Energy Solutions Group (HLX) (holding weight*: 0.94 percent), a deep-water oil and gas contractor. Since its addition to the Fund, PVAC declined 34.6 percent through the end of the fiscal year. The vast majority of this decline occurred in the final fiscal quarter, as concerns over Eagle Ford Shale prospects pressured stock prices lower. HLX was one of the Fund’s best-performing energy holding during the fiscal year, eking out a 0.8 percent return for the 12-month period. One of the poorest performers in the sector, Whiting Petroleum Corp. (WLL) (holding weight**: 0.28 percent), an oil and gas exploration company in the Rocky Mountains, fared far worse as it continued its downward spiral until the Sub-Adviser exited the position in August, after it had dropped more than 74 percent since the start of the fiscal year. WLL’s freefall primarily took place in the latter half of the fiscal year and was primarily in response to poor earnings releases coupled with a significantly lowered outlook for its oil production.

 

Within the strongest performing sector, technology, stocks such as Jabil Inc. (JBL) (holding weight*: 1.59 percent), one of the leading providers of outsourced electronics manuf acturing services, and Synaptics Inc. (SYNA) (holding weight*: 1.15 percent), a human interface product manufacturer, including touch-sensitive pads for laptops, increased 48.6 percent and 47.3 percent respectively. JBL’s gain was generally attributable to its announcement that it would repurchase $600 million of its stock and some analyst upgrades, while SYNA’s leap was primarily due to a positive earnings beats.

 

The financials sector is the largest small cap value sector, nearly quadruple the size of the second largest sector. As the Sub-Adviser seeks to diversify its exposures within the large sector, all of the holdings sizes were below 2 percent, with the majority below 1 percent. The largest financials sector holding in the Fund during the fiscal year was Rexford Industrial Realty Inc. (REXR) (holding weight*: 1.72 percent), a real estate investment trust focused on Los Angeles warehousing. Since it was added, REXR was also one of the Fund’s best performers, as it increased 54.8 percent as the company reported strong earnings. One of the largest detractors from Fund performance was Mercury General Corp. (MCY) (holding weight*: 1.05 percent), the national auto insurance provider with some homeowners and umbrella insurance underwriting. Its 14.3 percent decline in the final fiscal quarter brought the stock below break-even since it was added earlier in the fiscal year, seeing it end with a loss of 2.5 percent. This latest decline landed as MCY’s high exposure to California came under pressure due to the recent wildfires and a decline in non-California personal auto policies.

 

Sub-Adviser Outlook

 

The Sub-Adviser has remained disciplined in its implementation of its quantitatively-driven approach which has generally benefitted its stock selection over the fiscal year. The Sub-Adviser continues to believe that the current market is underappreciating some of the factors that the Sub-Adviser focuses on, but was recently encouraged as its valuation-oriented signals emerged as a positive contributor to its stock selection for the Fund.

 

*Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 10/31/2019.

 

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

 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2019  
      Annualized  Annualized  
   One Year  Five Years  Ten Years  
Class N  6.15%  6.60%  11.01%  
Class C  5.06%  5.53%  9.90%  
Class A with load of 5.75%  (0.24)%  5.07%  10.09%  
Class A without load  5.85%  6.33%  10.74%  
Russell 2000 Value Index  3.22%  6.24%  11.08%  
Morningstar Small Cap Value Category  1.52%  4.62%  10.26%  

 

(a)Total Returns are calculated based on traded NAVs.

 

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

 

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

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.54% 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.

62

 

SCHEDULE OF INVESTMENTS
Dunham Small Cap Value Fund
October 31, 2019

 

Security  Shares   Value 
COMMON STOCKS - 99.4%          
AUTO PARTS & EQUIPMENT - 1.0%          
Cooper Tire & Rubber Co.   6,104   $172,377 
Goodyear Tire & Rubber Co.   26,000    412,620 
         584,997 
BANKS - 20.4%          
BancFirst Corp.   5,440    314,921 
Bancorp, Inc. *   34,278    373,630 
BankUnited, Inc.   15,452    530,004 
Banner Corp.   10,960    591,621 
CenterState Bank Corp.   20,400    517,344 
Central Pacific Financial Corp.   18,270    528,368 
First Interstate BancSystem, Inc.   11,970    502,261 
First Midwest Bancorp, Inc.   33,110    680,079 
Flagstar Bancorp, Inc.   18,012    654,556 
Heartland Financial USA, Inc.   12,060    564,167 
Heritage Commerce Corp.   23,000    276,460 
Independent Bank Corp.   17,780    400,228 
International Bancshares Corp.   15,380    629,965 
Old National Bancorp   37,800    680,211 
Simmons First National Corp.   22,730    543,702 
Texas Capital Bancshares, Inc. *   10,820    584,929 
TriCo Bancshares   8,813    331,633 
TrustCo Bank Corp. NY   23,000    198,720 
UMB Financial Corp.   9,530    621,928 
Umpqua Holdings Corp.   37,290    589,928 
United Community Banks, Inc.   24,710    746,489 
Wintrust Financial Corp.   9,540    608,843 
         11,469,987 
BUILDING MATERIALS - 1.5%          
Continental Building Products, Inc. *   15,000    448,650 
Masonite International Corp. *   6,800    417,588 
         866,238 
CHEMICALS - 1.5%          
Koppers Holdings, Inc. *   10,723    344,208 
Minerals Technologies, Inc.   10,298    509,236 
         853,444 
COMMERCIAL SERVICES - 5.4%          
Aaron’s, Inc.   14,740    1,104,468 
CBIZ, Inc. *   21,310    583,255 
FTI Consulting, Inc. *   7,750    843,742 
K12, Inc. *   24,240    479,710 
         3,011,175 
COMPUTERS - 0.6%          
MTS Systems Corp.   6,410    362,037 
           
COSMETICS/PERSONAL CARE - 1.6%          
Edgewell Personal Care Co.*   13,268    464,380 
elf Beauty, Inc. *   25,000    420,000 
         884,380 
DISTRIBUTION/WHOLESALE - 1.0%          
WESCO International, Inc.*   11,371    570,256 
           
DIVERSIFIED FINANCIAL SERVICES - 1.9%          
Boston Private Financial Holdings, Inc.   36,580    411,525 
Piper Jaffray Cos.   8,540    670,732 
         1,082,257 
ELECTRIC - 3.8%          
PNM Resources, Inc.   16,120    840,658 
Portland General Electric Co.   14,900    847,512 
Unitil Corp.   7,220    449,589 
         2,137,759 
Security  Shares   Value 
ELECTRONICS - 3.3%          
Coherent, Inc. *   1,400   $208,488 
Comtech Telecommunications Corp.   17,400    608,130 
Jabil, Inc.   23,600    868,952 
Vishay Precision Group, Inc. *   5,574    189,795 
         1,875,365 
FOOD - 1.5%          
Fresh Del Monte Produce, Inc.   11,137    355,270 
Simply Good Foods Co. *   19,790    485,647 
         840,917 
GAS - 1.4%          
Spire, Inc.   9,370    787,642 
           
HAND / MACHINE TOOLS - 0.9%          
Regal Beloit Corp.   7,150    529,457 
           
HEALTHCARE - PRODUCTS - 2.7%          
Integer Holdings Corp.*   6,910    535,110 
Lantheus Holdings, Inc.*   20,600    429,510 
Varex Imaging Corp. *   18,665    560,137 
         1,524,757 
HEALTHCARE - SERVICES - 0.5%          
National HealthCare Corp.   3,220    264,620 
           
HOME BUILDERS- 1.5%          
Taylor Morrison Home Corp. *   33,430    837,421 
           
HOME FURNISHINGS - 1.6%          
Ethan Allen Interiors, Inc.   17,790    350,641 
Sleep Number Corp. *   11,160    537,019 
         887,660 
HOUSEHOLD PRODUCTS/WARES - 0.8%          
ACCO Brands Corp.   46,227    422,977 
           
INSURANCE - 5.8%          
American Equity Investment Life Holding Co.   25,400    626,872 
Assured Guaranty Ltd.   13,760    645,619 
Essent Group Ltd.   14,300    744,887 
Mercury General Corp.   12,673    609,064 
Selective Insurance Group, Inc.   8,940    617,933 
         3,244,375 
IRON / STEEL - 0.7%          
Schnitzer Steel Industries, Inc.   18,427    393,232 
           
LEISURE TIME - 0.1%          
Johnson Outdoors, Inc.   1,326    77,637 
           
LODGING - 1.5%          
Hilton Grand Vacations, Inc. *   13,550    470,592 
Marcus Corp.   10,620    383,382 
         853,974 
MACHINERY - DIVERSIFIED - 0.8%          
Altra Industrial Motion Corp.   14,190    437,052 
           
METAL FABRICATE / HARDWARE - 2.3%          
AZZ, Inc.   8,300    321,957 
Mueller Industries, Inc.   19,790    608,938 
TriMas Corp. *   10,330    333,866 
         1,264,761 
MISCELLANEOUS MANUFACTURING - 1.5%          
Federal Signal Corp.   15,710    509,632 
Lydall, Inc. *   16,800    328,776 
         838,408 

 

See accompanying notes to financial statements.

63

 

SCHEDULE OF INVESTMENTS
Dunham Small Cap Value Fund (Continued)
October 31, 2019

 

Security  Shares   Value 
COMMON STOCKS - 99.4% (Continued)          
           
OFFICE FURNISHINGS - 0.7%          
HNI Corp.   10,600   $402,800 
           
OIL & GAS - 3.0%          
Bonanza Creek Energy, Inc. *   15,510    276,388 
CVR Energy, Inc.   7,300    346,166 
Delek US Holdings, Inc.   17,810    711,510 
Penn Virginia Corp. *   16,000    380,800 
         1,714,864 
OIL & GAS SERVICES - 2.4%          
Archrock, Inc.   47,000    453,080 
Helix Energy Solutions Group, Inc. *   63,050    541,600 
Newpark Resources, Inc. *   60,827    364,962 
         1,359,642 
PACKAGING & CONTAINERS - 1.0%          
Silgan Holdings, Inc.   18,800    578,476 
           
PHARMACEUTICALS - 1.1 %          
Anika Therapeutics, Inc. *   9,003    633,721 
           
REITS - 13.2%          
Alexander & Baldwin, Inc.   24,000    564,240 
Arbor Realty Trust, Inc. ^   39,800    543,668 
Armada Hoffler Properties, Inc.   17,970    336,758 
Columbia Property Trust, Inc.   29,128    597,707 
Corporate Office Properties Trust   21,900    649,116 
Getty Realty Corp.   9,950    333,723 
Hersha Hospitality Trust   27,920    385,296 
Ladder Capital Corp.   33,820    584,071 
Piedmont Office Realty Trust, Inc.   28,000    628,320 
Preferred Apartment Communities, Inc.   31,522    451,395 
QTS Realty Trust, Inc.   2,720    145,765 
Rexford Industrial Realty, Inc.   20,700    995,463 
RLJ Lodging Trust   33,550    550,556 
STAG Industrial, Inc.   21,510    667,670 
         7,433,748 
RETAIL - 3.2%          
Conn’s, Inc. *   14,626    353,803 
Denny’s Corp. *   22,200    446,664 
Sonic Automotive, Inc.   17,000    547,910 
Zumiez, Inc. *   14,530    463,652 
         1,812,029 
Security  Shares   Value 
         
SAVINGS & LOANS - 0.5%          
OceanFirst Financial Corp.   11,300   $270,409 
           
SEMICONDUCTORS - 2.0%          
Rambus, Inc. *   37,480    518,911 
Synaptics, Inc. *   14,000    589,540 
         1,108,451 
SOFTWARE - 2.2%          
MicroStrategy, Inc. *   3,960    606,870 
Progress Software Corp.   15,310    610,563 
         1,217,433 
TELECOMMUNICATIONS - 1.6%          
LogMeIn, Inc.   8,700    571,416 
United States Cellular Corp. *   9,140    340,191 
         911,607 
TRANSPORTATION - 1.9%          
Covenant Transportation Group, Inc. *   12,120    186,284 
Echo Global Logistics, Inc. *   20,195    402,083 
Marten Transport Ltd.   20,940    453,560 
         1,041,927 
WATER - 1.0%          
SJW Group   7,635    552,392 
           
TOTAL COMMON STOCKS - (Cost - $52,501,858)        55,940,284 
           
COLLATERAL FOR SECURITIES LOANED - 1.0%          
HSBC US Government Money Market Fund - Class I, 1.72% + #   542,100    542,100 
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $542,100)          
           
TOTAL INVESTMENTS - 100.4% (Cost - $53,043,958)       $56,482,384 
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)%        (235,566)
NET ASSETS - 100.0%       $56,246,818 

 

REITS - Real Estate Investment Trust

 

*Non Income producing security.

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $532,740 at October 31, 2019.

 

+Variable rate security - interest rate is as of October 31, 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%.

 

Portfolio Composition * - (Unaudited)
Financial   41.6%  Energy   5.4%
Consumer, Non-cyclical   13.4%  Technology   4.8%
Industrial   13.2%  Basic Materials   2.2%
Consumer, Cyclical   10.7%  Communications   1.6%
Utilities   6.1%  Other   1.0%
        Total   100.0%

 

*Based on total value of investments as of October 31, 2019.

 

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

 

See accompanying notes to financial statements.

64

 

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

 

Asset Class Recap

 

The performance of small cap growth stocks throughout the year can be characterized by strong growth with two significant spikes of volatility in the first fiscal quarter and final fiscal quarter ended October 31, 2019. In the first fiscal quarter, concerns that the Fed was raising rates too quickly came to a precipice 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 and rose nearly 9 percent in the subsequent two fiscal quarters. Volatility meaningfully spiked once again in the most recent fiscal quarter as investors became increasingly focused on headlines detailing the lack of progress on global trade and the potential for impeachment hearings regarding President Trump’s dealings with Ukraine. Additionally, incrementally decelerating data points on the economy had investors weighing the possibility of a near-term recession. Over the fiscal year, small cap growth stocks, as measured by the Russell 2000 Growth Index, rose 6.4 percent.

 

Allocation Review

 

The sector allocation within the Fund is predominately a result of the Sub-Adviser’s bottom-up stock selection. With that being said, both the Sub-Adviser’s stock selection and sector allocation strongly contributed to Fund performance through the first three fiscal quarters. However, in the final fiscal quarter, the Sub-Adviser’s stock selection and sector allocation detracted from relative Fund performance. The Fund’s largest overweight by a significant margin was to the information technology sector. This overweight strongly contributed to Fund performance through most of the fiscal year, but as the appetite for risk diminished throughout the final fiscal quarter there was a rotation out of higher growth names. Many of these higher growth stocks can be found in the technology sector. The focus shifted to lower -multiple, value-oriented names, and stocks considered to be defensive. Despite the shift in market sentiment, the Sub-Adviser does not believe that shifting to a defensive positioning would be wise at this time. While there is a current slowdown in demand for cyclical products, the appetite for products with secular catalysts are likely to remain robust as companies recognize that is not only beneficial, but also imperative to continue the digital transformation required to continue to grow revenue, while simultaneously cutting costs and expanding profit margins.

 

Holdings Insights

 

Despite the Fund being underweight the industrial sector, two of the best performing positions within the Fund over the most recent fiscal quarter and fiscal year came from this sector. An example was Saia, Inc. (SAIA) (holding weight*: 1.05 percent), a less-than-truckload carrier, which has meaningful exposure to the secular ecommerce trend. Additionally, the Sub-Adviser believes they are still in the early innings of growing out their Northeast U.S. footprint, which serves as an additional catalyst for growth. In the most recent fiscal quarter SAIA increased 16.9 percent, and 41.9 percent for the full fiscal year. Another contributor from the industrial sector was Trex Company, Inc. (TREX) (holding weight*: 1.03 percent). TREX is a well-established manufacturer of composite decking materials that consists mostly of reclaimed wood fiber and recycled plastic film. TREX’s products have a reputation for longevity and low maintenance but also carry a significant price premium versus traditional wood products. TREX increased 7.5 percent and 26.7 percent since it was purchased into the Fund in early April.

 

As previously mentioned, the technology sector strongly contributed to Fund performance over the first three fiscal quarters of the year but detracted from performance in the most recent fiscal quarter. This was the case with Bandwidth Inc. (BAND) (holding weight*: 1.01 percent), a cloud-based software communications platform-as-a-service provider in the U.S. BAND increased 39.6 percent through the third fiscal quarter but declined 24.6 percent in the most recent fiscal quarter. A position that detracted from Fund performance in the most recent fiscal quarter and the fiscal year was Atlas Air Worldwide Holdings Inc. (AAWW) (holding weight**: 0.98 percent). AAWW is an operator of a cargo airline. The company counts several high-profile clients, including the Department of Defense and Amazon Inc. (AMZN) (holding weight: not held). The Sub-Adviser was bullish on AAWW with the expectations that as AMZN vertically integrated AAWW into transportation/logistic capabilities away from other carriers, AAWW would be a significant beneficiary. Unfortunately, the company faced execution issues in 2019. Those issues, coupled with a pilot strike, resulted in AMZN redirecting some volume to a competitor. Over the most recent fiscal quarter and fiscal year, until it was eliminated from the Fund, AAWW declined 46.3 percent and 52.5 percent, respectively.

 

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 global trade, 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 10/31/2019.

 

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

 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2019  
      Annualized  Annualized  
   One Year  Five Years  Ten Years  
Class N  1.49%  10.02%  12.80%  
Class C  0.45%  8.92%  11.68%  
Class A with load of 5.75%  (4.56)%  8.45%  11.85%  
Class A without load  1.24%  9.75%  12.52%  
Russell 2000 Growth Index  6.40%  8.38%  13.38%  
Morningstar Small Cap Growth Category  6.62%  8.61%  12.64%  

 

(a)Total Returns are calculated based on traded NAVs.

 

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

65

 

SCHEDULE OF INVESTMENTS
Dunham Small Cap Growth Fund
October 31, 2019

 

Security  Shares   Value 
COMMON STOCKS - 95.2%          
ADVERTISING - 1.0%          
Trade Desk, Inc. *   2,483   $498,586 
           
AEROSPACE/DEFENSE - 2.1%          
Kratos Defense & Security Solutions, Inc. *   28,892    545,481 
Mercury Systems, Inc. *   7,017    516,872 
         1,062,353 
APPAREL - 1.4%          
Canada Goose Holdings, Inc. *   10,279    429,971 
Crocs, Inc. *   7,242    253,398 
         683,369 
AUTO PARTS & EQUIPMENT - 0.5%          
Methode Electronics, Inc.   7,725    265,740 
           
BANKS - 3.7%          
First Merchants Corp.   17,421    689,001 
Seacoast Banking Corp. of Florida *   17,848    499,744 
United Community Banks, Inc.   22,341    674,922 
         1,863,667 
BIOTECHNOLOGY - 4.7%          
Biohaven Pharmaceutical Holding Co. Ltd. *   8,062    370,207 
Emergent BioSolutions, Inc. *   9,618    549,765 
Exact Sciences Corp. *   3,146    273,702 
Guardant Health, Inc. *   6,254    434,653 
Livongo Health, Inc. * ^   23,447    506,221 
REGENXBIO, Inc. *   6,799    242,656 
         2,377,204 
BUILDING MATERIALS - 1.0%          
Trex Co., Inc. *   5,954    523,297 
           
CHEMICALS - 0.9%          
Rogers Corp. *   3,480    471,470 
           
COMMERICAL SERVICES - 3.6%          
Avalara, Inc. *   6,991    496,361 
Chegg, Inc. *   9,227    282,900 
HealthEquity, Inc. *   6,242    354,483 
K12, Inc. *   11,670    230,949 
LiveRamp Holdings, Inc. *   11,827    462,317 
         1,827,010 
COMPUTERS - 5.4%          
Cubic Corp.   8,803    649,133 
Elastic NV *   6,365    458,344 
Globant SA *   4,657    434,312 
Vocera Communications, Inc. *   12,719    253,363 
WNS Holdings Ltd. - ADR *   9,223    570,350 
Zscaler, Inc. *   7,744    340,581 
         2,706,083 
COSMETICS/PERSONAL CARE - 0.3%          
Inter Parfums, Inc.   1,602    124,043 
           
DISTRIBUTION/WHOLESALE - 1.3%          
SiteOne Landscape Supply, Inc. * ^   7,298    642,662 
           
DIVERSIFIED FINANCIAL SERVICES - 4.6%          
Evercore, Inc.   8,368    616,220 
Houlihan Lokey, Inc.   12,868    608,142 
LendingTree, Inc. *   1,573    566,044 
Moelis & Co.   14,602    520,999 
         2,311,405 

 

See accompanying notes to financial statements.

66

 

SCHEDULE OF INVESTMENTS
Dunham Small Cap Growth Fund (Continued)
October 31, 2019

 

Security  Shares   Value 
COMMON STOCKS - 95.2% (Continued)          
ELECTRICAL COMPONENTS & EQUIPMENT - 0.5%          
Littelfuse, Inc.   1,374   $241,233 
           
ELECTRONICS - 0.5%          
Woodward, Inc.   2,429    259,077 
           
ENGINEERING & CONSTRUCTION - 1.0%          
Primoris Services Corp.   24,517    501,128 
           
ENTERTAINMENT - 1.0%          
Red Rock Resorts, Inc.   23,435    510,414 
           
FOOD - 1.2%          
Grocery Outlet Holding Corp. *   18,881    602,304 
           
HEALTHCARE-PRODUCTS - 5.6%          
Cerus Corp. *   82,643    359,497 
Glaukos Corp. *   4,546    290,171 
Inspire Medical Systems, Inc. *   4,100    250,018 
Insulet Corp. *   2,359    342,810 
iRhythm Technologies, Inc. *   4,914    328,354 
Repligen Corp. *   4,433    352,379 
Shockwave Medical, Inc. * ^   11,057    376,159 
Tandem Diabetes Care, Inc. *   9,040    556,683 
         2,856,071 
HEALTHCARE-SERVICES - 4.3%          
Addus HomeCare Corp. *   7,329    617,175 
Amedisys, Inc. *   3,374    433,627 
Catalent, Inc. *   11,654    566,967 
LHC Group, Inc. *   5,054    560,842 
         2,178,611 
HOME BUILDERS - 3.9%          
Century Communities, Inc. *   11,392    343,697 
Installed Building Products, Inc. *   8,593    560,435 
LGI Homes, Inc. *   7,256    569,451 
Skyline Corp. *   17,193    485,358 
         1,958,941 
INTERNET - 8.7%          
Cadlytics, Inc. *   13,642    571,736 
Chewy, Inc. * ^   24,202    597,063 
Okta, Inc. *   2,490    271,584 
Pinterest, Inc. *   12,758    320,736 
Q2 Holdings, Inc. *   6,768    483,844 
Spotify Technology SA *   4,461    643,722 
Stitch Fix, Inc. * ^   17,311    395,729 
Wix.com Ltd. *   4,278    522,216 
Zendesk, Inc. *   8,330    588,515 
         4,395,145 
LODGING - 1.5%          
Boyd Gaming Corp.   28,755    783,574 
           
MACHINERY-CONSTRUCTION/MINING - 0.6%          
BWX Technologies, Inc.   5,174    300,609 
           
MISCELLANEOUS MANUFACTURING - 1.1%          
ESCO Technologies, Inc.   6,574    555,437 
           
OIL & GAS - 0.6%          
Matador Resources Co. * ^   23,709    329,792 

 

See accompanying notes to financial statements.

67

 

SCHEDULE OF INVESTMENTS
Dunham Small Cap Growth Fund (Continued)
October 31, 2019

 

Security  Shares   Value 
COMMON STOCKS - 95.2% (Continued)          
PHARMACEUTICALS - 1.6%          
DexCom, Inc. *   1,798   $277,324 
Heron Therapeutics, Inc. *   24,476    520,115 
         797,439 
REAL ESTATE - 0.8%          
Marcus & Millichap, Inc. *   12,068    431,069 
           
RETAIL - 6.9%          
Casey’s General Stores, Inc.   3,836    655,227 
Floor & Décor Holdings, Inc. *   7,475    342,579 
Freshpet, Inc. *   9,719    507,915 
Hudson Ltd. *   40,661    505,010 
National Vision Holdings, Inc. *   13,354    317,825 
Ollie’s Bargain Outlet Holdings, Inc. *   5,706    364,499 
Texas Roadhouse, Inc.   6,943    392,280 
Wingstop, Inc.   4,829    402,883 
         3,488,218 
SEMICONDUCTORS - 4.0%          
Impinj, Inc. *   11,871    390,497 
Lattice Semiconductor Corp. *   26,978    528,499 
Semtech Corp. *   10,276    518,527 
Silicon Laboratories, Inc. *   5,355    568,915 
         2,006,438 
SOFTWARE - 15.8%          
Altair Engineering, Inc. *   7,701    283,936 
Alteryx, Inc. *   3,554    325,191 
Appfolio, Inc. *   3,903    379,489 
Appian Corp. *   11,835    528,314 
Atlassian Corp. PLC *   2,234    269,845 
Bandwidth, Inc. *   9,177    515,289 
Blackline, Inc. *   9,611    449,218 
Coupa Software, Inc. *   2,609    358,711 
Everbridge, Inc. *   5,211    362,217 
Five9, Inc. *   9,564    530,898 
LivePerson, Inc. *   7,119    292,235 
MongoDB, Inc. *   2,796    357,245 
Omnicell, Inc. *   3,515    247,421 
Pluralsight, Inc. *   21,180    382,934 
PROS Holdings, Inc. *   8,748    448,248 
ServiceNow, Inc. *   1,420    351,109 
Smartsheet, Inc. *   13,653    537,928 
Tabula Rasa HealthCare, Inc. * ^   9,145    465,846 
Twilio, Inc. *   4,013    387,495 
Yext, Inc. *   30,830    507,462 
         7,981,031 
STORAGE/WAREHOUSING - 0.5%          
Mobile Mini, Inc.   6,609    248,631 
           
TOYS/GAMES/HOBBIES - 0.5%          
Funko, Inc. *   14,197    255,546 
           
TRANSPORTATION - 4.1%          
Air Transport Services Group, Inc. *   28,254    590,791 
CryoPort, Inc. *   24,585    344,928 
Marten Transport Ltd.   28,776    623,288 
Saia, Inc. *   6,001    535,289 
         2,094,296 
           
TOTAL COMMON STOCKS (Cost - $42,901,436)        48,131,893 

 

See accompanying notes to financial statements.

68

 

SCHEDULE OF INVESTMENTS
Dunham Small Cap Growth Fund (Continued)
October 31, 2019

 

Security  Shares   Interest Rate %   Value 
SHORT-TERM INVESTMENT - 0.0%               
MONEY MARKET FUND - 0.0%               
Fidelity Investments Money Market - Class I   22,769    1.72 +   $22,769 
TOTAL SHORT-TERM INVESTMENT (Cost - $22,769)               
                
COLLATERAL FOR SECURITIES LOANED - 4.2%               
HSBC US Government Money Market Fund - Class I #   1,113,441    1.72 +    1,113,441 
Morgan Stanley Institutional Liquidity Fund Prime Portfolio - Class Institutional #   1,010,439    1.94 +    1,011,146 
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $2,123,880)             2,124,587 
                
TOTAL INVESTMENTS - 99.4% (Cost - $45,048,085)            $50,279,249 
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6%             297,299 
TOTAL NET ASSETS - 100.00%            $50,576,548 

 

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 $2,069,994 at October 31, 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 October 31, 2019.

 

Portfolio Composition * - (Unaudited)
Technology   25.3%  Financial   9.2%
Consumer, Non-Cyclical   21.4%  Collateral For Securities Loaned   4.2%
Consumer, Cyclical   17.6%  Basic Materials   0.9%
Industrial   11.0%  Energy   0.7%
Communications   9.7%  Short-Term Investment   0.0%
        Total   100.0%

 

*Based on total value of investments as of October 31, 2019.

 

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

 

See accompanying notes to financial statements.

69

 

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, surged 13.8 percent in the first half of the fiscal year. 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. Geopolitical concerns highlighted the emerging markets asset class to begin the third fiscal quarter. Among others, headlines weighing on investors were the escalated U.S.-China trade war, tensions flared in the Gulf, and mass protests in Hong Kong amid the announcement of an extradition agreement with China. Subsequently, investors’ pessimism turned to optimism as the U.S. Federal Reserve boosted markets by indicating a more dovish monetary policy. Volatility once again spiked to begin the most recent fiscal quarter amid a breakdown in the U.S.-China trade negotiations. Despite the nearly seven percent decline, a global theme of supportive central bank actions helped propel emerging market stocks into positive territory for the final quarter of the fiscal year. Emerging markets stocks, as measured by the MSCI Emerging Markets Index, increased 11.9 percent during the fiscal year.

 

Allocation Review

 

During the first five months of the fiscal year, country selection detracted from Fund performance while security selection had a relatively muted impact. The Funds overweight position to Brazil, Argentina, and Indonesia detracted from Fund performance, while the Fund’s underweight to Thailand, South Africa, and Malaysia helped offset some of the decline. 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 new Sub-Adviser’s conviction. For the final seven months of the fiscal year and the most recent fiscal quarter, security selection and country allocation both positively contributed to Fund performance. The largest contribution to performance came from the Fund’s allocation to China, which more than made up for the adverse effects of the overweight to India. The Fund also benefited from the allocation to frontier markets and an increased allocation to Taiwan in the most recent fiscal quarter. From a sector perspective, the Fund received strong contributions from the consumer discretionary and technology sectors, while the energy and real estate sector exposures detracted.

 

Holdings Insights

 

Security selection in China and Taiwan strongly contributed to Fund performance. From China, Li Ning Co. LTD (2331 HK) (holding weight*: 2.37 percent), a leading sports brand company, mainly providing sporting goods including footwear, apparel, and equipment, was the strongest contributor to Fund performance over the most recent fiscal quarter. The Sub-Adviser believes that this is the best local sportswear brand in China. The founder has regained control of the company, and instilled good brand awareness while improving cash flow and inventory controls. Additionally, the Chinese consumer is becoming wealthier, and they are spending a portion of that income on “athleisure.” 2331 HK increased 37.2 percent over the most recent fiscal quarter and 210.4 percent since being added to the Fund in the first fiscal quarter. In Taiwan, some companies are benefitting from a global supply chain shift as a result of the trade war and the 5G expansion, which is occurring in China much sooner than anticipated. The Sub-Adviser identified MediaTek Inc. (2454 TT) (holding weight*: 7.87 percent) as a beneficiary of these shifts early in the third quarter and has positively contributed to Fund performance. Since being added to the Fund in mid-June, 2454 TT increased 39.8 percent and increased 22.3 percent in the most recent fiscal quarter.

 

A position from Taiwan that detracted from Fund performance was Chain Life Insurance Co Ltd (2628 HK) (holding weight**: 0.11 percent). This position detracted 9.9 percent in the most recent fiscal quarter and 14.3 percent since being added in the portfolio in the second fiscal quarter. Security selection in India also detracted from performance. Lemon Tree Hotels Ltd (BF2LSQ7 IN) (holding weight*: 2.27 percent) a mid-priced hotel chain, declined 28.9 percent since it was initiated into the portfolio in early April and 0.9 percent in the most recent fiscal quarter. The Sub-Adviser still believes the fundamentals are strong with this company. The Sub-Adviser believes that the adverse quarter was the result of macro concerns limiting the amount of business travel to India. 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.

 

Sub-Adviser Outlook

 

The Sub-Adviser’s outlook has improved over the most recent fiscal quarter, but it cautiously monitors geopolitical developments and economic data. The Sub-Adviser believes that global economic momentum will likely remain weak through the beginning of 2020. The Sub-Adviser is keeping a close eye on the labor markets and tightening financial conditions in China. The Sub-Adviser believes that both the global industrial cycle and commodity prices may be bottoming. Despite these concerns, the Sub-Adviser is cautiously optimistic moving forward and will continue to focus on companies with impressive returns on invested capital and emphasize companies that it believes are beneficiaries of structural change.

 

*Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 10/31/2019.

 

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

 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2019  
      Annualized  Annualized  
   One Year  Five Years  Ten Years  
Class N  13.29%  0.74%  1.54%  
Class C  12.18%  (0.25)%  0.53%  
Class A with load of 5.75%  6.46%  (0.68)%  0.70%  
Class A without load  12.98%  0.50%  1.30%  
MSCI Emerging Markets Index (net)  11.86%  2.93%  3.78%  
Morningstar Diversified Emerging Markets Category  12.70%  2.11%  3.38%  

 

(a)Total Returns are calculated based on traded NAVs.

 

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 1.52% for Class N, 2.52% for Class C and 1.77% 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.

70

 

SCHEDULE OF INVESTMENTS
Dunham Emerging Markets Stock Fund
October 31, 2019

 

Security  Shares   Value 
COMMON STOCKS - 96.4%          
APPAREL - 1.3%          
Shenzhou International Group Holdings Ltd.   70,400   $972,616 
           
AUTO PARTS & EQUIPMENT - 1.6%          
Minth Group Ltd.   336,000    1,188,228 
           
BANKS - 15.4%          
Banco Bradesco SA - ADR ^   125,900    1,102,884 
Banco Santander Chile - ADR   34,000    823,820 
Bank of the Philippine Islands   303,150    579,163 
Bank Rakyat Indonesia Persero Tbk PT   2,843,400    851,983 
China Construction Bank Corp.   1,134,000    908,438 
China Merchants Bank Co. Ltd.   213,000    1,015,619 
Credicorp Ltd.   3,200    684,928 
FirstRand Ltd.   148,650    644,617 
Grupo Financiero Banorte SAB de CV   105,600    579,335 
HDFC Bank Ltd.   33,417    578,993 
ICICI Bank Ltd. - ADR ^   64,900    845,647 
Itau Unibanco Holding SA - ADR   50,000    451,500 
Santander Bank Polska SA *   5,490    451,032 
Sberbank of Russia PJSC *   77,535    1,139,765 
Standard Bank Group Ltd.   82,001    944,329 
         11,602,053 
BEVERAGES - 1.9%          
Fomento Economico Mexicano SAB de CV - ADR ^   7,800    694,356 
Varun Beverages Ltd.   82,017    716,243 
         1,410,599 
BUILDING MATERIALS - 0.9%          
Anhui Conch Cement Co. Ltd.   108,500    648,331 
           
CHEMICALS - 0.9%          
LG Chem Ltd.   2,388    630,062 
           
COMMERCIAL SERVICES - 1.5%          
China Education Group Holdings Ltd.   767,000    1,145,475 
           
COMPUTERS - 1.1%          
Venustech Group, Inc.   185,600    870,787 
           
DIVERSIFIED FINANCIAL SERVICES - 5.5%          
China International Capital Corp Ltd. - 144A   228,000    415,653 
Housing Development Finance Corp. Ltd.   82,797    2,484,909 
KB Financial Group, Inc.   20,873    751,416 
Tisco Financial Group PCL   148,400    479,071 
         4,131,049 
ELECTRONICS - 0.7%          
Hangzhou Hikvision Digital Technology Co. Ltd.   122,022    559,251 
           
ENGINEERING & CONSTRUCTION - 0.9%          
Mytilineos Holdings SA   62,652    686,841 
           
ENTERTAINMENT - 0.6%          
OPAP SA   38,693    420,935 
           
FOOD - 1.0%          
China Mengniu Dairy Co. Ltd.   192,000    765,284 
           
HOME FURNISHINGS - 1.8%          
Hangzhou Robam Appliances Co. Ltd.   160,572    718,213 
Midea Group Co. Ltd.   85,087    670,521 
         1,388,734 
INSURANCE - 6.5%          
AIA Group Ltd.   209,600    2,086,778 
Odontoprev SA *   86,400    320,901 
Security      Shares   Value 
INSURANCE - 6.5% (Continued)               
Ping An Insurance Group Co. of China Ltd.        157,500   $1,817,426 
Powszechny Zaklad Ubezpieczen SA *        23,241    225,238 
Samsung Life Insurance Co. Ltd.        6,858    416,469 
              4,866,812 
INTERNET- 11.9%               
Alibaba Group Holding Ltd. *        23,600    4,169,412 
JD.com, Inc. *        33,600    1,046,640 
Naspers Ltd.        3,500    496,826 
Pinduoduo, Inc. * ^        11,000    449,680 
Tencent Holdings Ltd.        60,600    2,457,564 
Yandex NV * ^        12,000    400,680 
              9,020,802 
IRON/STEEL 0.4%               
Kumba Iron Ore Ltd.        11,000    268,862 
                
LODGING - 4.6%               
Lemon Tree Hotels Ltd.- 144A *        1,964,995    1,690,027 
Minor International PCL        1,021,700    1,218,122 
Wynn Macau Ltd.        272,800    591,866 
              3,500,015 
IRON/STEEL- 0.8%               
Jiangxi Copper Co. Ltd.        524,000    613,325 
                
MISCELLANEOUS MANUFACTURING - 1.1%               
Airtac International Group        60,000    815,440 
                
OIL & GAS - 5.9%               
LUKOIL PJSC - ADR        13,000    1,195,480 
Oil & Natural Gas Corp. Ltd.        552,260    1,102,238 
PTT Exploration & Production PCL        217,300    866,919 
Reliance Industries Ltd. *        64,663    1,332,789 
              4,497,426 
REAL ESTATE - 2.7%               
Ayala Corp.        40,780    690,456 
China Overseas Land & Investment Ltd.        284,000    895,960 
Pakuwon Jati Tbk PT        10,525,700    468,425 
              2,054,841 
RETAIL - 4.8%               
Atacadao SA        141,000    674,021 
Li Ning Co. Ltd.        521,000    1,766,224 
Lojas Renner SA *        94,670    1,200,119 
              3,640,364 
SEMICONDUCTORS - 17.3%               
MediaTek, Inc.        163,000    2,176,842 
Samsung Electronics Co. Ltd. - ADR - 144A        511    545,748 
Samsung Electronics Co. Ltd.        78,000    3,371,148 
Samsung Electronics Co. Ltd.        17,399    612,459 
SK Hynix, Inc.*        14,381    1,011,214 
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR ^        48,800    2,519,544 
Taiwan Semiconductor Manufacturing Co. Ltd. *        289,000    2,832,143 
              13,069,098 
SOFTWARE - 2.0%               
CD Projekt SA        11,097    733,639 
HCL Technologies Ltd. *        45,767    750,448 
              1,484,087 
TELECOMMUNICATIONS - 1.3%               
Accton Technology Corp.        169,000    1,005,327 
                
WATER - 2.0%               
Guangdong Investment Ltd.        706,000    1,527,653 
                
TOTAL COMMON STOCKS (Cost - $67,684,567)             72,784,297 
                
   Interest   Principal      
   Rate %   Amount $      
PREFERRED STOCK - 0.7%             
OIL & GAS - 0.7%               
TATNEFT PJSC   0.000    48,900    502,555 
TOTAL PREFERRED STOCK (Cost - $491,843)               

 

See accompanying notes to financial statements.

71

 

SCHEDULE OF INVESTMENTS
Dunham Emerging Markets Stock Fund (Continued)
October 31, 2019

 

Security  Shares   Value 
CLOSED END FUND - 1.0%          
Vietnam Enterprise Investments Limited   117,461   $737,174 
TOTAL CLOSED END FUND (Cost - $679,829)          
           
WARRANT - 0.0%          
Minor International PCL - NVDR - Warrant ++   51,085    5,143 
TOTAL WARRANT (Cost - $0)          
           
COLLATERAL FOR SECURITIES LOANED - 5.7%   4,347,391    4,347,391 
Mount Vernon Prime Portfolio, 2.04% + # (Cost - $4,347,391)          
           
TOTAL INVESTMENTS - 103.8% (Cost - $73,203,630)       $78,376,560 
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.8)%        (2,875,715)
NET ASSETS - 100.0%       $75,500,845 

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 $4,210,767 at October 31, 2019.

 

+Variable rate security. Interest rate is as of October 31, 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 $5,143 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 $2,651,428 or 3.5% 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% (105% for non US Shares) 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   25.3%  Brazil   4.8%
India   12.1%  Russia   4.1%
Taiwan   11.9%  Thailand   3.3%
South Korea   9.4%  Other Countries **   21.9%
Hong Kong   7.2%  Total   100.0%

 

*Based on total value of investments as of October 31, 2019.

 

**Includes Collateral for Securities Loaned as of October 31, 2019.

 

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

 

See accompanying notes to financial statements.

72

 

STATEMENTS OF ASSETS AND LIABILITIES
October 31, 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  $192,810,860   $81,239,882   $48,401,686   $274,519,642   $37,555,224   $106,257,450   $36,510,648 
Investments in securities, at value  $187,440,658   $82,524,301   $50,711,481   $282,066,937   $39,857,318   $106,905,566   $37,785,331 
Cash   1,952,193    3,879,285    1,315,797    10,786,180    1,944,737    5,158,480    848,771 
Foreign currency, at value (cost $831 and $57,835, respectively)   —    —    —    —    777    —    58,248 
Deposits with brokers   —    103,987    —    49,632,668    —    —    115,355 
Unrealized appreciation on forward foreign currency exchange contracts   —    —    —    —    —    —    152,084 
Unrealized appreciation on futures   —    281,265    —    —    396,894    —    87,417 
Premiums paid on swap contracts   —    199,351    —    —    —    —    — 
Unrealized appreciation on swap contracts   —    262,909    —    109,373    —    —    — 
Receivable for securities sold   4,738,478    —    913,433    19,283,049    —    1,058,524    632,117 
Interest and dividends receivable   521,032    466,141    366,289    348,931    5,588    1,450,299    308,427 
Receivable for Fund shares sold   216    87,582    51    17,711    1,272    112    36 
Prepaid expenses and other assets   24,253    17,751    17,979    25,785    17,946    17,377    20,856 
Total Assets   194,676,830    87,822,572    53,325,030    362,270,634    42,224,532    114,590,358    40,008,642 
                                    
Liabilities:                                   
Option contracts written (premiums received $982,329 and $31,783, respectively)   —    —    —    917,709    35,530    —    — 
Securities sold short (proceeds $72,637,494)   —    —    —    77,912,516    —    —    — 
Foreign currency overdraft (proceeds $816,101 and 193,700)   —    —    —    819,770    194,479    —    — 
Payable for securities purchased   5,892,653    4,727,070    319,350    18,909,237    1,602    601,133    963,182 
Payable for Fund shares redeemed   176,909    25,317    16,237    278,660    21,358    116,882    21,598 
Distributions payable   4,372    1,801    1,468    74,632    —    6,751    — 
Payable upon return of securities loaned   —    —    —    3,284,250    —    3,652,325    — 
Unrealized depreciation on forward foreign currency exchange contracts   —    —    —    —    —    —    161,236 
Unrealized depreciation on futures   —    —    —    —    165,158    —    72,624 
Unrealized depreciation on swap contracts   —    219,875    —    256,872    —    —    — 
Payable for dividends on short sales   —    —    —    201,508    —    —    — 
Payable for interest on short sales   —    —    —    46,034    —    —    — 
Premiums received on swap contracts   —    294,385    —    —    —    —    — 
Payable to adviser   95,968    45,037    22,390    143,637    22,785    56,054    19,597 
Payable to sub-adviser   40,922    31,776    8,189    41,997    39,027    7,918    7,546 
Payable for distribution fees   7,590    10,183    5,173    40,922    4,097    18,346    319 
Payable for administration fees   17,357    8,114    13,281    12,984    5,413    11,533    7,938 
Payable for fund accounting fees   3,242    823    848    4,756    1,162    1,872    1,008 
Payable for transfer agent fees   5,103    2,387    1,904    7,249    1,923    3,553    1,635 
Payable for custody fees   9,947    1,232    7,164    11,583    1,505    2,536    8,602 
Payable for third party administrative servicing fees   219    729    69    3,881    704    480    490 
Accrued expenses and other liabilities   14,692    13,816    16,825    19,210    15,312    15,661    16,670 
Total Liabilities   6,268,974    5,382,545    412,898    102,987,407    510,055    4,495,044    1,282,445 
                                    
Net Assets  $188,407,856   $82,440,027   $52,912,132   $259,283,227   $41,714,477   $110,095,314   $38,726,197 
                                    
Net Assets:                                   
Paid in capital  $198,226,656   $80,695,398   $53,761,839   $263,270,640   $40,552,965   $117,033,567   $37,529,350 
Accumulated earnings (loss)   (9,818,800)   1,744,629    (849,707)   (3,987,413)   1,161,512    (6,938,253)   1,196,847 
Net Assets  $188,407,856   $82,440,027   $52,912,132   $259,283,227   $41,714,477   $110,095,314   $38,726,197 
                                    
Net Asset Value Per Share                                   
Class N Shares:                                   
Net Assets  $157,757,304   $67,275,580   $42,729,986   $183,318,663   $32,074,231   $90,262,113   $32,926,730 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   16,859,928    7,190,591    3,046,935    5,410,928    3,181,900    10,063,859    3,491,205 
Net asset value, offering and redemption price per share  $9.36   $9.36   $14.02   $33.88   $10.08   $8.97   $9.43 
                                    
Class A Shares:                                   
Net Assets  $21,996,532   $11,087,005   $7,509,677   $42,051,975   $7,712,801   $12,336,283   $4,357,047 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   2,353,103    1,188,099    536,212    1,285,649    771,066    1,361,647    466,340 
Net asset value and redemption price per share *  $9.35   $9.33   $14.01   $32.71   $10.00   $9.06   $9.34 
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)  $9.79   $9.90   $14.67   $34.71   $10.61   $9.49   $9.78 
                                    
Class C Shares:                                   
Net Assets  $8,654,020   $4,077,442   $2,672,469   $33,912,589   $1,927,445   $7,496,918   $1,442,420 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   925,375    449,244    192,159    1,324,684    201,920    840,189    158,247 
Net asset value, offering and redemption price per share  $9.35   $9.08   $13.91   $25.60   $9.55   $8.92   $9.11 
 

 

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

 

See accompanying notes to financial statements.

73

 

STATEMENTS OF ASSETS AND LIABILITIES (Continued)
October 31, 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  $65,164,604   $59,529,708   $124,730,684   $42,047,989   $53,043,958   $45,048,085   $73,203,630 
Investments in securities, at value  $82,859,369   $105,383,318   $135,706,365   $54,258,604   $56,482,384   $50,279,249   $78,376,560 
Cash   1,422,378    1,943,878    645,651    636,740    402,987    2,559,071    26,034 
Foreign currency, at value (cost $156,831 and 399,543, respectively)   —    —    158,711    —    —    —    397,626 
Receivable for securities sold   246,980    —    951,707    —    —    769,460    2,369,035 
Interest and dividends receivable   108,475    14,591    676,096    21,896    17,198    7,618    67,750 
Receivable for Fund shares sold   2,380    2,222    3,815    1,429    1,586    1,109    2,065 
Prepaid expenses and other assets   20,349    24,944    20,440    18,921    16,479    28,250    16,873 
Total Assets   84,659,931    107,368,953    138,162,785    54,937,590    56,920,634    53,644,757    81,255,943 
                                    
Liabilities:                                   
Payable upon return of securities loaned   1,045,000    —    6,325,040    —    542,100    2,123,880    4,347,391 
Payable for securities purchased   —    —    1,161,539    —    —    866,730    935,612 
Payable for Fund shares redeemed   30,433    76,147    95,688    29,155    34,715    12,137    49,055 
Payable to adviser   45,124    57,945    70,240    30,075    30,513    27,765    40,758 
Payable to sub-adviser   27,314    30,727    31,125    15,886    35,775    —    333,984 
Payable for distribution fees   11,405    18,278    13,174    —    5,053    12,044    7,965 
Payable for administration fees   5,511    6,186    11,199    4,546    4,534    4,381    6,222 
Payable for fund accounting fees   1,386    1,632    1,951    947    896    847    1,200 
Payable for transfer agent fees   2,965    883    3,667    2,311    2,295    2,329    2,375 
Payable for custody fees   2,846    414    21,958    1,778    2,473    2,423    14,336 
Payable for third party administrative servicing fees   255    1,339    523    300    465    442    131 
Accrued expenses and other liabilities   14,966    16,375    13,597    14,832    14,997    15,231    16,069 
Total Liabilities   1,187,205    209,926    7,749,701    99,830    673,816    3,068,209    5,755,098 
                                    
Net Assets  $83,472,726   $107,159,027   $130,413,084   $54,837,760   $56,246,818   $50,576,548   $75,500,845 
                                    
Net Assets:                                   
Paid in capital  $63,646,269   $59,285,436   $121,809,221   $39,416,887   $54,054,822   $46,747,888   $71,574,605 
Accumulated earnings   19,826,457    47,873,591    8,603,863    15,420,873    2,191,996    3,828,660    3,926,240 
Net Assets  $83,472,726   $107,159,027   $130,413,084   $54,837,760   $56,246,818   $50,576,548   $75,500,845 
                                    
Net Asset Value Per Share                                   
Class N Shares:                                   
Net Assets  $61,790,592   $74,714,208   $101,505,227   $42,864,867   $43,563,642   $37,339,570   $59,931,017 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   4,131,278    3,082,817    6,545,109    2,294,138    2,969,775    2,333,488    4,198,355 
Net asset value, offering and redemption price per share  $14.96   $24.24   $15.51   $18.68   $14.67   $16.00   $14.27 
                                    
Class A Shares:                                   
Net Assets  $16,362,722   $24,130,538   $22,498,936   $9,161,099   $9,848,360   $10,797,443   $12,106,402 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   1,100,209    1,017,576    1,462,443    486,918    681,430    715,530    868,276 
Net asset value, and redemption price per share *  $14.87   $23.71   $15.38   $18.81   $14.45   $15.09   $13.94 
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)  $15.78   $25.16   $16.32   $19.96   $15.33   $16.01   $14.79 
                                    
Class C Shares:                                   
Net Assets  $5,319,412   $8,314,281   $6,408,921   $2,811,794   $2,834,816   $2,439,535   $3,463,426 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   375,510    373,699    440,600    158,949    226,633    211,442    263,239 
Net asset value, offering and redemption price per share  $14.17   $22.25   $14.55   $17.69   $12.51   $11.54   $13.16 

 

 

*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.

74

 

STATEMENTS OF OPERATIONS
For the Year Ended October 31, 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  $10,468,562   $2,552,403   $1,992,630   $2,395,019   $480,357   $6,724,515   $428,576 
Dividend income   20,345    —    —    3,618,260    648,074    37,587    — 
Securities lending income-net   1,077    4,081    877    8,826    18,485    27,209    — 
Less: Foreign withholding taxes   —    —    —    (28,813)   —    —    (30,344)
Total Investment Income   10,489,984    2,556,484    1,993,507    5,993,292    1,146,916    6,789,311    398,232 
                                    
Operating Expenses:                                   
Investment advisory fees   1,121,127    431,695    257,260    1,743,248    264,087    653,024    224,883 
Sub-advisory fees   540,247    398,488    154,356    1,609,152    304,716    348,279    168,662 
Sub-advisory performance fees   (200,947)   (225,828)   (72,688)   (275,125)   (103,557)   (77,483)   (91,917)
Fund accounting fees   37,035    12,600    9,963    53,192    8,417    21,363    7,772 
Distribution fees- Class C Shares   61,425    35,757    20,370    347,330    17,656    55,123    10,423 
Distribution fees- Class A Shares   52,089    21,086    14,746    106,189    18,181    30,125    10,001 
Administration fees   155,729    51,939    103,124    138,789    32,759    96,931    56,364 
Registration fees   42,616    54,035    49,251    55,264    44,264    52,285    37,350 
Transfer agent fees   40,273    23,502    21,189    51,859    19,919    29,722    19,521 
Custodian fees   41,363    10,333    40,556    65,199    8,245    12,278    46,381 
Professional fees   25,556    18,635    16,111    29,770    15,660    20,216    15,424 
Chief Compliance Officer fees   23,149    8,059    6,592    33,343    5,376    13,782    6,059 
Printing and postage expense   29,391    20,385    16,535    76,743    8,162    20,808    10,704 
Trustees’ fees   12,034    4,600    3,487    16,184    3,170    7,108    2,696 
Insurance expense   3,259    724    952    3,074    764    1,962    701 
Line of credit expense   —    —    3,118    1,013,810    142    —    579 
Interest expense   355    —    —    10,458    7,811    969    — 
Third party administrative servicing fees   4,515    6,243    2,438    37,151    1,935    5,365    1,243 
Dividend expense on short sales   —    —    —    2,304,719    —    —    — 
Miscellaneous expenses   12,993    6,744    5,279    15,563    4,736    7,391    3,640 
Net Operating Expenses   2,002,209    878,997    652,639    7,435,912    662,443    1,299,248    530,486 
                                    
Net Investment Income (Loss)   8,487,775    1,677,487    1,340,868    (1,442,620)   484,473    5,490,063    (132,254)
                                    
Realized and Unrealized Gain (Loss) on Investments, Futures, Purchased Options, Securities Sold Short, Written Options, Swap Contracts, Foreign Currency Transactions, and Forward Foreign Currency Exchange Contracts:                                   
Net realized gain (loss) from:                                   
Investments   (1,573,440)   2,707,557    113,200    5,542,612    2,356,909    (1,991,065)   (79,653)
Futures   —    (1,914,195)   —    —    (63,751)   —    218,469 
Purchased options   —    —    —    3,258,819    661,022    —    — 
Securities sold short   —    —    —    (5,149,692)   —    —    — 
Written options   —    —    —    (2,155,046)   183,987    —    — 
Swap contracts   —    (425,806)   —    515,796    —    —    — 
Foreign currency transactions   —    —    —    (271,465)   25,517    —    — 
Forward foreign currency exchange contracts   —    —    —    —    —    —    (31,324)
Net realized gain (loss)   (1,573,440)   367,556    113,200    1,741,024    3,163,684    (1,991,065)   107,492 
Net change in unrealized appreciation (depreciation) on:                                   
Investments   (3,869,644)   1,474,370    3,618,411    15,593,404    (1,936,054)   4,726,623    2,366,135 
Futures   —    159,108    —    —    924,345    —    20,397 
Purchased options   —    —    —    (1,410,366)   280,130    —    — 
Securities sold short   —    —    —    (7,971,017)   —    —    — 
Written options   —    —    —    (555,567)   (3,205)   —    — 
Swap contracts   —    39,218    —    (147,499)   —    —    — 
Foreign currency translations   —    —    —    227,697    (9,212)   —    665 
Forward foreign currency exchange contracts   —    —    —    —    —    —    (91,347)
Net change in unrealized appreciation (depreciation)   (3,869,644)   1,672,696    3,618,411    5,736,652    (743,996)   4,726,623    2,295,850 
Net Realized and Unrealized Gain (Loss)   (5,443,084)   2,040,252    3,731,611    7,477,676    2,419,688    2,735,558    2,403,342 
                                    
Net Increase in Net Assets Resulting From Operations  $3,044,691   $3,717,739   $5,072,479   $6,035,056   $2,904,161   $8,225,621   $2,271,088 

 

See accompanying notes to financial statements.

75

 

STATEMENTS OF OPERATIONS (Continued)
For the Year Ended October 31, 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  $36,863   $6,576   $13,014   $18,151   $10,968   $52,060   $14,681 
Dividend income   1,876,174    253,399    5,012,665    1,633,865    842,743    172,991    2,321,813 
Securities lending income-net   2,104    3,152    38,530    2,447    3,787    40,960    6,815 
Less: Foreign withholding taxes   —    —    (579,462)   —    —    —    (218,198)
Total Investment Income   1,915,141    263,127    4,484,747    1,654,463    857,498    266,011    2,125,111 
                                    
Operating Expenses:                                   
Investment advisory fees   510,013    645,159    784,061    363,725    325,425    325,050    456,017 
Sub-advisory fees   235,390    347,393    784,061    223,831    175,229    250,038    329,678 
Sub-advisory performance fees   (65,089)   84,529    (260,552)   (125,217)   145,175    159,806    47,623 
Sub-advisory fees Minimum   —    —    —    —    50,065    —    — 
Fund accounting fees   15,280    19,313    23,523    10,905    9,886    9,777    13,652 
Distribution fees- Class C Shares   48,164    73,588    60,263    26,030    25,283    24,279    32,463 
Distribution fees- Class A Shares   37,351    54,976    50,100    23,056    21,294    27,022    28,930 
Administration fees   47,276    56,468    113,402    37,639    36,190    36,554    54,950 
Registration fees   51,288    47,572    53,160    50,410    43,702    66,482    51,862 
Transfer agent fees   28,434    32,532    31,754    22,740    21,958    24,503    24,156 
Custodian fees   12,006    7,659    119,284    9,128    7,835    17,881    82,172 
Professional fees   19,086    20,285    21,523    17,311    16,800    17,484    21,934 
Chief Compliance Officer fees   10,086    14,798    15,492    7,396    6,439    6,269    8,679 
Printing and postage expense   13,475    17,323    19,473    10,241    10,732    15,613    13,538 
Trustees’ fees   5,141    6,041    7,694    3,780    3,078    3,278    4,547 
Insurance expense   1,230    1,345    1,850    908    670    682    1,130 
Interest expense   —    1,793    —    133    —    354    — 
Third party administrative servicing fees   4,668    13,446    4,131    4,166    3,259    9,516    5,683 
Line of credit expense   156    —    1,167    —    204    —    2,807 
Miscellaneous expenses   5,727    5,913    12,155    6,806    6,560    5,242    10,247 
Total Operating Expenses   979,682    1,450,133    1,842,541    692,988    909,784    999,830    1,190,068 
Less: Fees paid indirectly   (2,227)   (973)   (1,062)   —    —    (6,128)   — 
Net Operating Expenses   977,455    1,449,160    1,841,479    692,988    909,784    993,702    1,190,068 
                                    
Net Investment Income (Loss)   937,686    (1,186,033)   2,643,268    961,475    (52,286)   (727,691)   935,043 
                                    
Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions:                                   
Net realized gain (loss) from:                                   
Investments   1,944,710    4,250,180    (4,756,479)   3,193,888    (1,163,298)   (118,043)   (842,082)
Foreign currency transactions   —    —    (86,899)   —    —    —    (181,728)
Net realized gain (loss)   1,944,710    4,250,180    (4,843,378)   3,193,888    (1,163,298)   (118,043)   (1,023,810)
Net change in unrealized appreciation on:   —                             — 
Investments   5,655,326    12,506,512    10,779,871    7,934,838    4,454,208    2,086,493    8,465,649 
Foreign currency translations   —    —    9,930    —    —    —    236 
Net change in unrealized appreciation   5,655,326    12,506,512    10,789,801    7,934,838    4,454,208    2,086,493    8,465,885 
Net Realized and Unrealized Gain   7,600,036    16,756,692    5,946,423    11,128,726    3,290,910    1,968,450    7,442,075 
                                    
Net Increase in Net Assets Resulting From Operations  $8,537,722   $15,570,659   $8,589,691   $12,090,201   $3,238,624   $1,240,759   $8,377,118 

 

 

 

See accompanying notes to financial statements.

76

 

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 
                                         
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   Oct. 31, 2019   Oct. 31, 2018   Oct. 31, 2019   Oct. 31, 2018   Oct. 31, 2019   Oct. 31, 2018   Oct. 31, 2019   Oct. 31, 2018   Oct. 31, 2019   Oct. 31, 2018 
                                                   
Operations:                                                  
Net investment income (loss)  $8,487,775   $7,513,198   $1,677,487   $590,638   $1,340,868   $1,551,962   $(1,442,620)  $277,888   $484,473   $56,596 
Net realized gain (loss) from investments, futures, purchased options, securities sold short, written options, swap contracts, foreign currency transactions and forward foreign currency exchange contracts   (1,573,440)   (331,695)   367,556    2,210,212    113,200    (1,340,800)   1,741,024    5,972,173    3,163,684    (1,621,185)
Net change in unrealized appreciation (depreciation) on investments, futures, purchased options, securities sold short, written options, foreign currency translations and forward foreign currency exchange contracts   (3,869,644)   (1,770,479)   1,672,696    (1,199,986)   3,618,411    (2,180,187)   5,736,652    (8,557,186)   (743,996)   (1,415,776)
Net Increase (Decrease) in Net Assets Resulting From Operations   3,044,691    5,411,024    3,717,739    1,600,864    5,072,479    (1,969,025)   6,035,056    (2,307,125)   2,904,161    (2,980,365)
                                                   
Distributions to Shareholders From:                                                  
Distributions From Paid In Capital:                                                  
Class N   —    —    —    —    —    —    (10,187,402)   (7,909,457)   (178,934)   — 
Class A   —    —    —    —    —    —    (2,350,197)   (1,741,683)   (40,574)   — 
Class C   —    —    —    —    —    —    (2,424,555)   (1,667,572)   (9,272)   — 
Total Other Distributions Paid                                                  
Class N   (7,355,813)   (6,592,532)   (1,851,434)   (364,941)   (1,166,344)   (1,401,772)   —    (1,898,259)   (631,590)   — 
Class A   (929,175)   (741,771)   (244,159)   (72,290)   (145,603)   (146,528)   —    (415,753)   (125,095)   — 
Class C   (325,188)   (226,608)   (92,505)   (42,412)   (53,076)   (59,070)   —    (402,623)   (14,866)   — 
Total Distributions to Shareholders   (8,610,176)   (7,560,911)   (2,188,098)   (479,643)   (1,365,023)   (1,607,370)   (14,962,154)   (14,035,347)   (1,000,331)   — 
                                                   
Share Transactions of                                                  
Beneficial Interest:                                                  
Net proceeds from shares sold                                                  
Class N   39,184,312    53,805,879    49,856,416    24,690,679    18,045,990    26,102,884    53,671,386    79,596,658    4,498,166    10,438,482 
Class A   6,544,499    9,607,696    6,262,396    4,941,263    3,282,599    2,745,411    16,026,986    16,902,262    2,260,121    4,198,213 
Class C   3,605,718    2,552,475    1,130,847    966,403    498,975    776,525    8,179,345    9,988,079    393,839    534,780 
Reinvestment of distributions                                                  
Class N   7,342,514    6,585,506    1,830,183    364,087    1,159,769    1,400,755    9,872,584    9,579,318    809,408    — 
Class A   899,214    714,614    221,475    60,330    140,795    139,151    2,043,964    1,880,728    163,799    — 
Class C   318,158    223,666    91,248    38,665    50,669    57,080    2,063,878    1,747,942    24,112    — 
Cost of shares redeemed                                                  
Class N   (48,969,779)   (51,103,375)   (21,756,496)   (2,712,641)   (20,749,068)   (46,043,475)   (75,962,023)   (88,657,959)   (10,343,817)   (8,552,847)
Class A   (5,055,411)   (6,113,143)   (1,842,303)   (2,061,767)   (1,616,819)   (3,493,266)   (17,630,659)   (14,526,312)   (2,964,315)   (2,009,156)
Class C   (2,272,992)   (1,675,351)   (348,842)   (729,306)   (829,785)   (1,102,595)   (9,103,352)   (9,085,236)   (282,970)   (673,743)
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest   1,596,233    14,597,967    35,444,924    25,557,713    (16,875)   (19,417,530)   (10,837,891)   7,425,480    (5,441,657)   3,935,729 
                                                   
Total Increase (Decrease) in Net Assets   (3,969,252)   12,448,080    36,974,565    26,678,934    3,690,581    (22,993,925)   (19,764,989)   (8,916,992)   (3,537,827)   955,364 
                                                   
Net Assets:                                                  
Beginning of Year   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 Year  $188,407,856   $192,377,108   $82,440,027   $45,465,462   $52,912,132   $49,221,551   $259,283,227   $279,048,216   $41,714,477   $45,252,304 

 

See accompanying notes to financial statements.

77

 

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 
                     
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   Oct. 31, 2019   Oct. 31, 2018   Oct. 31, 2019   Oct. 31, 2018   Oct. 31, 2019   Oct. 31, 2018   Oct. 31, 2019   Oct. 31, 2018   Oct. 31, 2019   Oct. 31, 2018 
                                                   
Operations:                                                  
Net investment income (loss)  $5,490,063   $5,633,847   $(132,254)  $(148,640)  $937,686   $635,854   $(1,186,033)  $(966,560)  $2,643,268   $1,350,212 
Net realized gain (loss) from investments, futures and foreign currency transactions   (1,991,065)   (321,233)   107,492    322,454    1,944,710    2,733,977    4,250,180    6,846,462    (4,843,378)   6,533,665 
Net change in unrealized appreciation (depreciation) on investments, swap contracts, futures, foreign currency transactions and foreign currency exchange contracts   4,726,623    (6,315,823)   2,295,850    (1,574,463)   5,655,326    (1,893,243)   12,506,512    7,268,219    10,789,801    (16,664,110)
Net Increase (Decrease) in Net Assets Resulting From Operations   8,225,621    (1,003,209)   2,271,088    (1,400,649)   8,537,722    1,476,588    15,570,659    13,148,121    8,589,691    (8,780,233)
                                                   
Distributions to Shareholders From:                                                  
Total Distributions Paid                                                  
Class N   (4,676,120)   (4,663,689)   (206,819)   (37,115)   (2,696,550)   (1,037,225)   (4,430,347)   (529,592)   (5,927,318)   (3,839,253)
Class A   (597,867)   (548,313)   (16,011)   (3,597)   (634,655)   (179,080)   (1,226,758)   (125,188)   (1,198,236)   (663,334)
Class C   (332,845)   (308,033)   (2,165)   (1,630)   (174,020)   (54,544)   (564,922)   (67,305)   (358,199)   (254,735)
Total Distributions to Shareholders   (5,606,832)   (5,520,035)   (224,995)   (42,342)   (3,505,225)   (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   19,813,226    25,839,703    6,400,219    8,552,449    9,646,917    11,276,861    21,107,712    14,557,522    18,220,512    20,225,562 
Class A   3,165,578    4,933,144    1,348,987    1,815,069    5,417,648    5,983,202    19,065,395    6,139,307    6,588,356    9,177,700 
Class C   918,509    1,222,617    232,881    438,364    1,174,322    770,794    2,938,833    1,148,834    1,156,103    1,236,899 
Reinvestment of distributions                                                  
Class N   4,652,938    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   565,402    500,869    15,700    3,538    612,304    174,869    1,096,111    119,002    1,172,202    644,219 
Class C   306,338    277,641    2,165    1,630    171,204    53,746    513,630    63,642    355,855    250,970 
Cost of shares redeemed                                                  
Class N   (30,912,858)   (34,003,205)   (7,278,732)   (7,995,121)   (9,736,416)   (12,244,072)   (17,190,050)   (21,393,431)   (12,936,799)   (14,178,501)
Class A   (4,095,837)   (4,450,345)   (1,024,835)   (809,868)   (3,148,530)   (3,792,405)   (12,817,565)   (6,326,125)   (3,706,725)   (4,944,496)
Class C   (1,318,561)   (1,476,839)   (229,054)   (333,168)   (505,098)   (1,312,478)   (2,573,388)   (2,135,494)   (877,014)   (1,547,611)
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest   (6,905,265)   (2,531,777)   (325,913)   1,709,983    6,320,767    1,945,090    16,510,248    (7,299,328)   15,891,749    14,601,583 
                                                   
Total Increase (Decrease) in Net Assets   (4,286,476)   (9,055,021)   1,720,180    266,992    11,353,264    2,150,829    25,858,880    5,126,708    16,997,687    1,064,028 
                                                   
Net Assets:                                                  
Beginning of Year   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 Year  $110,095,314   $114,381,790   $38,726,197   $37,006,017   $83,472,726   $72,119,462   $107,159,027   $81,300,147   $130,413,084   $113,415,397 

 

See accompanying notes to financial statements.

78

 

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 
                 
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   Oct. 31, 2019   Oct. 31, 2018   Oct. 31, 2019   Oct. 31, 2018   Oct. 31, 2019   Oct. 31, 2018   Oct. 31, 2019   Oct. 31, 2018 
                                         
Operations:                                        
Net investment income (loss)  $961,475   $899,505   $(52,286)  $(45,684)  $(727,691)  $(590,382)  $935,043   $1,152,940 
Net realized gain (loss) from investments and foreign currency transactions   3,193,888    (174,994)   (1,163,298)   5,105,140    (118,043)   9,207,612    (1,023,810)   1,431,468 
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations   7,934,838    (546,360)   4,454,208    (5,420,545)   2,086,493    (3,717,938)   8,465,885    (16,889,852)
                                         
Net Increase (Decrease) in Net Assets Resulting From Operations   12,090,201    178,151    3,238,624    (361,089)   1,240,759    4,899,292    8,377,118    (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   4,820,022    18,420,383    9,580,246    17,353,604    13,660,779    12,088,512    10,284,122    20,915,714 
Class A   2,547,627    4,483,032    3,224,004    4,612,064    4,059,178    5,475,767    4,738,975    6,171,549 
Class C   487,070    555,329    887,413    433,472    981,344    468,765    660,262    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    796,269    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    28,820    13,079 
Cost of shares redeemed                                        
Class N   (14,694,994)   (9,723,240)   (5,804,339)   (2,502,809)   (10,930,828)   (6,253,725)   (10,266,820)   (7,511,939)
Class A   (3,802,083)   (2,038,975)   (1,723,295)   (1,141,557)   (3,921,776)   (2,475,581)   (3,631,729)   (2,670,093)
Class C   (521,603)   (661,776)   (343,347)   (868,985)   (1,318,920)   (777,346)   (732,423)   (659,386)
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest   (10,203,956)   11,676,486    10,836,460    20,907,946    10,995,432    13,375,901    2,241,614    17,908,482 
                                         
Total Increase in Net Assets   922,528    11,209,074    8,990,403    17,366,971    3,175,265    13,190,759    9,415,037    3,011,639 
                                         
Net Assets:                                        
Beginning of Year   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 Year  $54,837,760   $53,915,232   $56,246,818   $47,256,415   $50,576,548   $47,401,283   $75,500,845   $66,085,808 

 

See accompanying notes to financial statements.

79

 

FINANCIAL HIGHLIGHTS
Dunham Floating Rate Bond Fund

 

The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2019   2018   2017   2016   2015                                         
                                                             
Net asset value, beginning of year  $9.62   $9.73   $9.70   $9.60   $9.87                                         
Income from investment operations:                                                                 
Net investment income*   0.44    0.40    0.35    0.33    0.32                                         
Net realized and unrealized gain (loss)   (0.26)   (0.11)   0.03    0.10    (0.27)                                        
Total income from investment operations   0.18    0.29    0.38    0.43    0.05                                         
Less distributions:                                                                 
Distributions from net investment income   (0.44)   (0.40)   (0.35)   (0.33)   (0.32)                                        
Total distributions   (0.44)   (0.40)   (0.35)   (0.33)   (0.32)                                        
Net asset value, end of year  $9.36   $9.62   $9.73   $9.70   $9.60                                         
Total return + #   1.99%   3.02%   4.01%   4.63%   0.51%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $157,757   $164,936   $157,485   $94,219   $73,316                                         
Ratios of expenses to average net assets:   1.01%   0.97%   1.03%   1.34%   1.27%                                        
Ratios of net investment income to average net assets:   4.60%   4.08%   3.60%   3.24%   3.24%                                        
Portfolio turnover rate   44%   79%   91%   62%   51%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2019   2018   2017   2016   2015   2019   2018   2017   2016   2015 
                                         
Net asset value, beginning of year  $9.61   $9.72   $9.70   $9.59   $9.87   $9.62   $9.73   $9.69   $9.59   $9.86 
Income (loss) from investment operations:                                                  
Net investment income*   0.41    0.37    0.32    0.31    0.30    0.37    0.33    0.28    0.26    0.24 
Net realized and unrealized gain (loss)   (0.25)   (0.11)   0.03    0.11    (0.28)   (0.27)   (0.11)   0.04    0.10    (0.26)
Total income (loss) from investment operations   0.16    0.26    0.35    0.42    0.02    0.10    0.22    0.32    0.36    (0.02)
Less distributions:                                                  
Distributions from net investment income   (0.42)   (0.37)   (0.33)   (0.31)   (0.30)   (0.37)   (0.33)   (0.28)   (0.26)   (0.25)
Total distributions   (0.42)   (0.37)   (0.33)   (0.31)   (0.30)   (0.37)   (0.33)   (0.28)   (0.26)   (0.25)
Net asset value, end of year  $9.35   $9.61   $9.72   $9.70   $9.59   $9.35   $9.62   $9.73   $9.69   $9.59 
Total return + #   1.74%   2.77%   3.64%   4.49%   0.16%   1.13%   2.26%   3.31%   3.87%   (0.23)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $21,997   $20,205   $16,229   $10,923   $8,598   $8,654   $7,236   $6,215   $4,545   $3,573 
Ratios of expenses to average net assets:   1.26%   1.22%   1.28%   1.59%   1.52%   1.76%   1.72%   1.78%   2.10%   2.02%
Ratios of net investment income to average net assets:   4.36%   3.84%   3.33%   3.49%   2.99%   3.86%   3.43%   2.89%   2.74%   2.49%
Portfolio turnover rate   44%   79%   91%   62%   51%   44%   79%   91%   62%   51%

 

 

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

 

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

80

 

FINANCIAL HIGHLIGHTS
Dunham Long/Short Credit Fund

 

The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2019   2018   2017   2016   2015                                         
                                                             
Net asset value, beginning of year  $9.19   $8.68   $8.05   $8.75   $10.88                                         
Income (loss) from investment operations:                                                                 
Net investment income*   0.24    0.23    0.16    0.23    0.27                                         
Net realized and unrealized gain (loss)   0.24    0.49    0.72    (0.39)   (0.51)                                        
Total income (loss) from investment operations   0.48    0.72    0.88    (0.16)   (0.24)                                        
Less distributions:                                                                 
Distributions from net investment income   (0.31)   (0.21)   (0.25)   (0.36)   (0.17)                                        
Distributions from net realized gains   —    —    —    (0.18)   (1.72)                                        
Total distributions   (0.31)   (0.21)   (0.25)   (0.54)   (1.89)                                        
Net asset value, end of year  $9.36   $9.19   $8.68   $8.05   $8.75                                         
Total return + #   5.31%   8.42%   11.20%   (1.92)%   (2.67)%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $67,276   $36,055   $12,953   $16,929   $20,210                                         
Ratios of expenses to average net assets:   1.24%   1.44%   1.41%   1.42%   1.34%                                        
Ratios of net investment income to average net assets:   2.60%   2.52%   1.90%   2.83%   2.83%                                        
Portfolio turnover rate   426%   275%   106%   96%   82%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2019   2018   2017   2016   2015   2019   2018   2017   2016   2015 
                                         
Net asset value, beginning of year  $9.17   $8.66   $8.03   $8.73   $10.85   $8.94   $8.46   $7.86   $8.56   $10.66 
Income (loss) from investment operations:                                                  
Net investment income*   0.22    0.19    0.14    0.20    0.24    0.15    0.11    0.07    0.14    0.18 
Net realized and unrealized gain (loss)   0.22    0.50    0.72    (0.39)   (0.50)   0.23    0.49    0.71    (0.39)   (0.50)
Total income (loss) from investment operations   0.44    0.69    0.86    (0.19)   (0.26)   0.38    0.60    0.78    (0.25)   (0.32)
Less distributions:                                                  
Distributions from net investment income   (0.28)   (0.18)   (0.23)   (0.33)   (0.14)   (0.24)   (0.12)   (0.18)   (0.27)   (0.06)
Distributions from net realized gains   —    —    —    (0.18)   (1.72)   —    —    —    (0.18)   (1.72)
Total distributions   (0.28)   (0.18)   (0.23)   (0.51)   (1.86)   (0.24)   (0.12)   (0.18)   (0.45)   (1.78)
Net asset value, end of year  $9.33   $9.17   $8.66   $8.03   $8.73   $9.08   $8.94   $8.46   $7.86   $8.56 
Total return + #   4.95%   8.10%   10.92%   (2.19)%   (2.84)%   4.34%   7.21%   10.08%   (2.95)%   (3.53)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $11,087   $6,265   $3,125   $3,638   $4,211   $4,077   $3,145   $2,708   $3,181   $4,956 
Ratios of expenses to average net assets:   1.48%   1.69%   1.66%   1.67%   1.59%   2.22%   2.44%   2.41%   2.44%   2.34%
Ratios of net investment income to average net assets:   2.36%   2.13%   1.66%   2.57%   2.56%   1.63%   1.22%   0.93%   1.81%   1.91%
Portfolio turnover rate   426%   275%   106%   96%   82%   426%   275%   106%   96%   82%

 

 

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

 

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

81

 

FINANCIAL HIGHLIGHTS 
Dunham Corporate/Government Bond Fund

 

The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2019   2018   2017   2016   2015                                         
                                                             
Net asset value, beginning of year  $13.06   $13.82   $13.92   $13.75   $14.14                                         
Income (loss) from investment operations:                                                                 
Net investment income*   0.36    0.34    0.31    0.36    0.42                                         
Net realized and unrealized gain (loss)   0.96    (0.74)   (0.08)   0.19    (0.37)                                        
Total income (loss) from investment operations   1.32    (0.40)   0.23    0.55    0.05                                         
Less distributions:                                                                 
Distributions from net investment income   (0.36)   (0.36)   (0.33)   (0.38)   (0.44)                                        
Total distributions   (0.36)   (0.36)   (0.33)   (0.38)   (0.44)                                        
Net asset value, end of year  $14.02   $13.06   $13.82   $13.92   $13.75                                         
Total return + #   10.27%   (2.93)%   1.72%   4.09%   0.36%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $42,730   $41,151   $62,757   $48,025   $41,989                                         
Ratios of expenses to average net assets:   1.20%   1.20%   1.35%   1.13%   1.06%                                        
Ratios of net investment income to average net assets:   2.68%   2.53%   2.27%   2.61%   3.00%                                        
Portfolio turnover rate   76%   92%   61%   58%   54%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2019   2018   2017   2016   2015   2019   2018   2017   2016   2015 
                                         
Net asset value, beginning of year  $13.04   $13.80   $13.90   $13.73   $14.13   $12.95   $13.71   $13.81   $13.65   $14.05 
Income (loss) from investment operations:                                                  
Net investment income*   0.33    0.31    0.28    0.33    0.38    0.26    0.24    0.21    0.26    0.31 
Net realized and unrealized gain (loss)   0.97    (0.74)   (0.08)   0.19    (0.37)   0.96    (0.74)   (0.08)   0.18    (0.37)
Total income (loss) from investment operations   1.30    (0.43)   0.20    0.52    0.01    1.22    (0.50)   0.13    0.44    (0.06)
Less distributions:                                                  
Distributions from net investment income   (0.33)   (0.33)   (0.30)   (0.35)   (0.41)   (0.26)   (0.26)   (0.23)   (0.28)   (0.34)
Total distributions   (0.33)   (0.33)   (0.30)   (0.35)   (0.41)   (0.26)   (0.26)   (0.23)   (0.28)   (0.34)
Net asset value, end of year  $14.01   $13.04   $13.80   $13.90   $13.73   $13.91   $12.95   $13.71   $13.81   $13.65 
Total return + #   10.09%   (3.17)%   1.47%   3.86%   0.04%   9.53%   (3.67)%   0.98%   3.27%   (0.45)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $7,510   $5,311   $6,260   $4,832   $4,788   $2,672   $2,760   $3,199   $3,364   $3,698 
Ratios of expenses to average net assets:   1.45%   1.45%   1.60%   1.38%   1.31%   1.95%   1.95%   2.10%   1.88%   1.81%
Ratios of net investment income to average net assets:   2.41%   2.31%   2.01%   2.40%   2.74%   1.92%   1.81%   1.52%   1.89%   2.27%
Portfolio turnover rate   76%   92%   61%   58%   54%   76%   92%   61%   58%   54%

 

 

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

 

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

82

 

FINANCIAL HIGHLIGHTS
Dunham Monthly Distribution Fund

 

The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2019   2018   2017   2016   2015                                         
                                                             
Net asset value, beginning of year  $34.84   $36.71   $35.74   $36.36   $38.16                                         
Income (loss) from investment operations:                                                                 
Net investment income (loss)*   (0.13)   0.09    (0.36)   0.14    (0.18)                                        
Net realized and unrealized gain (loss)   1.02    (0.25)   2.79    0.49    (0.39)                                        
Total income (loss) from investment operations   0.89    (0.16)   2.43    0.63    (0.57)                                        
Less distributions:                                                                 
Distributions from net investment income   —    —    —    (0.55)   —                                         
Distributions from net realized gains   —    (0.35)   —    —    (0.80)                                        
Tax return of capital   (1.85)   (1.36)   (1.46)   (0.70)   (0.43)                                        
Total distributions   (1.85)   (1.71)   (1.46)   (1.25)   (1.23)                                        
Net asset value, end of year  $33.88   $34.84   $36.71   $35.74   $36.36                                         
Total return + #   2.61%   (0.45)%   6.92%   1.79%   (1.53)%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $183,319   $201,405   $212,178   $153,084   $163,843                                         
Ratios of expenses to average net assets:                                                                 
After waivers   2.62%   2.16%   2.73%   1.85%   2.09%                                        
Dividends/borrowings on short sales   1.24%   1.10%   1.17%   0.61%   0.47%                                        
Excluding dividends/borrowings on short sales:                                                                 
Before fee waivers   1.38%   1.06%   1.59%   1.26%   2.17%                                        
After fee waivers   1.38%   1.06%   1.56%   1.24%   1.62%                                        
Ratios of net investment income (loss) to average net assets:                                                                 
Before fee waivers   (0.39)%   0.25%   (1.06)%   0.39%   (0.56)%                                        
After fee waivers   (0.39)%   0.25%   (1.03)%   0.40%   (0.48)%                                        
Portfolio turnover rate   496%   453%   382%   208%   155%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2019   2018   2017   2016   2015   2019   2018   2017   2016   2015 
                                         
Net asset value, beginning of year  $33.77   $35.73   $34.90   $35.63   $37.52   $27.02   $29.15   $28.94   $29.99   $32.01 
Income (loss) from investment operations:                                                  
Net investment income (loss)*   (0.21)   0.00 (a)   (0.40)   0.13    (0.27)   (0.36)   (0.21)   (0.55)   (0.14)   (0.46)
Net realized and unrealized gain (loss)   1.00    (0.25)   2.69    0.39    (0.39)   0.79    (0.21)   2.22    0.34    (0.33)
Total income (loss) from investment operations   0.79    (0.25)   2.29    0.52    (0.66)   0.43    (0.42)   1.67    0.20    (0.79)
Less distributions:                                                  
Distributions from net investment income   —    —    —    (0.55)   —    —    —    —    (0.55)   — 
Distributions from net realized gains   —    (0.35)   —    —    (0.80)   —    (0.35)   —    —    (0.80)
Tax return of capital   (1.85)   (1.36)   (1.46)   (0.70)   (0.43)   (1.85)   (1.36)   (1.46)   (0.70)   (0.43)
Total distributions   (1.85)   (1.71)   (1.46)   (1.25)   (1.23)   (1.85)   (1.71)   (1.46)   (1.25)   (1.23)
Net asset value, end of year  $32.71   $33.77   $35.73   $34.90   $35.63   $25.60   $27.02   $29.15   $28.94   $29.99 
Total return + #   2.39%   (0.72)%   6.64%   1.54%   (1.80)%   1.63%   (1.48)%   5.82%   0.75%   (2.53)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $42,052   $42,980   $41,186   $45,552   $74,247   $33,913   $34,664   $34,601   $39,118   $50,215 
Ratios of expenses to average net assets:                                                  
After waivers   2.87%   2.41%   2.93%   2.06%   2.33%   3.62%   3.16%   3.68%   2.83%   3.09%
Dividends/borrowings on short sales   1.24%   1.10%   1.12%   0.59%   0.47%   1.23%   1.10%   1.12%   0.60%   0.47%
Excluding dividends/borrowings on short sales:                                                  
Before fee waivers   1.63%   1.31%   1.83%   1.49%   2.42%   2.39%   2.06%   2.58%   2.24%   3.16%
After fee waivers   1.63%   1.31%   1.81%   1.48%   1.86%   2.39%   2.06%   2.56%   2.23%   2.62%
Ratios of net investment income (loss) to average net assets:                                                  
Before fee waivers   (0.63)%   0.01%   (1.14)%   0.36%   (0.79)%   (1.38)%   (0.73)%   (1.89)%   (0.50)%   (1.54)%
After fee waivers   (0.63)%   0.01%   (1.11)%   0.37%   (0.71)%   (1.38)%   (0.73)%   (1.86)%   (0.48)%   (1.46)%
Portfolio turnover rate   496%   453%   382%   208%   155%   496%   453%   382%   208%   155%

 

 

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

 

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

 

See accompanying notes to financial statements.

83

 

FINANCIAL HIGHLIGHTS 
Dunham Dynamic Macro Fund

 

The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2019   2018   2017   2016   2015                                         
                                                             
Net asset value, beginning of year  $9.53   $10.18   $9.55   $9.81   $9.65                                         
Income (loss) from investment operations:                                                                 
Net investment income (loss) *   0.12    0.02    (0.03)   (0.00) (a)   (0.14)                                        
Net realized and unrealized gain (loss) **   0.65    (0.67)   0.66    (0.26)   0.30                                         
Total income (loss) from investment operations   0.77    (0.65)   0.63    (0.26)   0.16                                         
Less distributions:                                                                 
Distributions from net investment income   (0.17)   —    —    —    —                                         
Tax return of capital   (0.05)   —    —    —    —                                         
Total distributions   (0.22)   —    —    —    —                                         
Net asset value, end of year  $10.08   $9.53   $10.18   $9.55   $9.81                                         
Total return + #   8.35%   (6.39)%   6.60%   (2.68)%   1.66%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $32,074   $35,638   $36,104   $28,650   $28,518                                         
Ratios of expenses to average net assets:   1.54%   1.80%   1.83%   1.63%   2.15%                                        
Ratios of net investment income (loss) to average net assets:   1.29%   0.20%   (0.32)%   (0.03)%   (1.37)%                                        
Portfolio turnover rate   28%   11%   7%   54%   70%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2019   2018   2017   2016   2015   2019   2018   2017   2016   2015 
                                         
Net asset value, beginning of year  $9.46   $10.12   $9.52   $9.81   $9.68   $9.03   $9.74   $9.23   $9.58   $9.52 
Income (loss) from investment operations:                                                  
Net investment income (loss) *   0.10    0.00 (a)   (0.06)   (0.02)   (0.14)   0.02    (0.08)   (0.12)   (0.09)   (0.26)
Net realized and unrealized gain (loss) **   0.64    (0.66)   0.66    (0.27)   0.27    0.63    (0.63)   0.63    (0.26)   0.32 
Total income (loss) from investment operations   0.74    (0.66)   0.60    (0.29)   0.13    0.65    (0.71)   0.51    (0.35)   0.06 
Less distributions:                                                  
Distributions from net investment income   (0.15)   —    —    —    —    (0.08)   —    —    —    — 
Tax return of capital   (0.05)   —    —    —    —    (0.05)   —    —    —    — 
Total distributions   (0.20)   —    —    —    —    (0.13)   —    —    —    — 
Net asset value, end of year  $10.00   $9.46   $10.12   $9.52   $9.81   $9.55   $9.03   $9.74   $9.23   $9.58 
Total return + #   8.04%   (6.52)%   6.30%   (2.95)%   1.34%   7.31%   (7.29)%   5.53%   (3.66)%   0.63%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $7,713   $7,918   $6,224   $3,897   $3,296   $1,927   $1,696   $1,969   $2,131   $1,938 
Ratios of expenses to average net assets:   1.79%   2.05%   2.08%   1.88%   2.40%   2.54%   2.80%   2.83%   2.63%   3.15%
Ratios of net investment income (loss) to average net assets:   1.03%   0.00% (b)   (0.58)%   (0.26)%   (1.63)%   0.20%   (0.84)%   (1.34)%   (1.02)%   (2.35)%
Portfolio turnover rate   28%   11%   7%   54%   70%   28%   11%   7%   54%   70%

 

 

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

 

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

 

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

 

See accompanying notes to financial statements.

84

 

FINANCIAL HIGHLIGHTS 
Dunham High-Yield Bond Fund

 

The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2019   2018   2017   2016   2015                                         
                                                             
Net asset value, beginning of year  $8.72   $9.22   $8.94   $8.92   $9.51                                         
Income (loss) from investment operations:                                                                 
Net investment income*   0.45    0.44    0.42    0.44    0.44                                         
Net realized and unrealized gain (loss)   0.26    (0.51)   0.30    0.02    (0.59)                                        
Total income (loss) from investment operations   0.71    (0.07)   0.72    0.46    (0.15)                                        
Less distributions:                                                                 
Distributions from net investment income   (0.46)   (0.43)   (0.44)   (0.44)   (0.44)                                        
Total distributions   (0.46)   (0.43)   (0.44)   (0.44)   (0.44)                                        
Net asset value, end of year  $8.97   $8.72   $9.22   $8.94   $8.92                                         
Total return + #   8.42%   (0.80)%   8.19%   5.39%   (1.63)%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $90,262   $94,596   $103,567   $78,194   $78,654                                         
Ratios of expenses to average net assets:   1.12%   1.12%   1.19%   1.08%   1.02%                                        
Ratios of net investment income to average net assets:   5.12%   4.84%   4.62%   5.09%   4.77%                                        
Portfolio turnover rate   70%   101%   142%   62%   51%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2019   2018   2017   2016   2015   2019   2018   2017   2016   2015 
                                         
Net asset value, beginning of year  $8.81   $9.29   $9.02   $8.99   $9.58   $8.68   $9.17   $8.88   $8.86   $9.46 
Income (loss) from investment operations:                                                  
Net investment income*   0.44    0.42    0.40    0.42    0.41    0.39    0.37    0.35    0.37    0.37 
Net realized and unrealized gain (loss)   0.25    (0.49)   0.28    0.03    (0.59)   0.25    (0.50)   0.30    0.02    (0.60)
Total income (loss) from investment operations   0.69    (0.07)   0.68    0.45    (0.18)   0.64    (0.13)   0.65    0.39    (0.23)
Less distributions:                                                  
Distributions from net investment income   (0.44)   (0.41)   (0.41)   (0.42)   (0.41)   (0.40)   (0.36)   (0.36)   (0.37)   (0.37)
Total distributions   (0.44)   (0.41)   (0.41)   (0.42)   (0.41)   (0.40)   (0.36)   (0.36)   (0.37)   (0.37)
Net asset value, end of year  $9.06   $8.81   $9.29   $9.02   $8.99   $8.92   $8.68   $9.17   $8.88   $8.86 
Total return + #   8.07%   (0.82)%   7.70%   5.21%   (1.88)%   7.55%   (1.43)%   7.45%   4.65%   (2.47)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $12,336   $12,393   $12,085   $10,478   $10,224   $7,497   $7,392   $7,785   $7,687   $9,231 
Ratios of expenses to average net assets:   1.37%   1.37%   1.44%   1.33%   1.27%   1.87%   1.87%   1.94%   1.83%   1.77%
Ratios of net investment income to average net assets:   4.87%   4.60%   4.38%   4.84%   4.52%   4.37%   4.09%   3.88%   4.34%   4.02%
Portfolio turnover rate   70%   101%   142%   62%   51%   70%   101%   142%   62%   51%

 

 

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

 

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

85

 

FINANCIAL HIGHLIGHTS 
Dunham International Opportunity Bond Fund

 

The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2019   2018   2017   2016   2015                                         
                                                             
Net asset value, beginning of year  $8.93   $9.32   $9.37   $8.92   $9.64                                         
Income (loss) from investment operations:                                                                 
Net investment income (loss)*   (0.03)   (0.03)   (0.03)   0.04    0.05                                         
Net realized and unrealized gain (loss)   0.58    (0.35)   0.07    0.42    (0.77)                                        
Total income (loss) from investment operations   0.55    (0.38)   0.04    0.46    (0.72)                                        
Less distributions:                                                                 
Distributions from net investment income   (0.04)   —    —    (0.01)   —                                         
Distributions from net realized gains   (0.01)   (0.01)   (0.09)   —    —                                         
Total distributions   (0.05)   (0.01)   (0.09)   (0.01)   —                                         
Net asset value, end of year  $9.43   $8.93   $9.32   $9.37   $8.92                                         
Total return + #   6.29%   (4.08)%   0.57%   5.14%   (7.42)%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $32,927   $31,838   $32,441   $24,728   $31,935                                         
Ratios of expenses to average net assets:   1.36%   1.35%   1.54%   1.28%   1.38%                                        
Ratios of net investment income (loss) to average net assets:   (0.30)%   (0.35)%   (0.37)%   0.41%   0.52%                                        
Portfolio turnover rate   109%   45%   56%   64%   52%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2019   2018   2017   2016   2015   2019   2018   2017   2016   2015 
                                         
Net asset value, beginning of year  $8.85   $9.26   $9.32   $8.90   $9.64   $8.66   $9.10   $9.22   $8.84   $9.62 
Income (loss) from investment operations:                                                  
Net investment income (loss)*   (0.05)   (0.06)   (0.06)   0.01    0.02    (0.09)   (0.10)   (0.10)   (0.03)   (0.02)
Net realized and unrealized gain (loss)   0.57    (0.34)   0.09    0.41    (0.76)   0.55    (0.33)   0.07    0.41    (0.76)
Total income (loss) from investment operations   0.52    (0.40)   0.03    0.42    (0.74)   0.46    (0.43)   (0.03)   0.38    (0.78)
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)   —    — 
Total distributions   (0.03)   (0.01)   (0.09)   (0.00) (a)   —    (0.01)   (0.01)   (0.09)   (0.00) (a)   — 
Net asset value, end of year  $9.34   $8.85   $9.26   $9.32   $8.90   $9.11   $8.66   $9.10   $9.22   $8.84 
Total return + #   5.98%   (4.32)%   0.46%   4.77%   (7.65)%   5.36%   (4.72)%   (0.19)%   4.31%   (8.11)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $4,357   $3,802   $2,968   $2,118   $3,208   $1,442   $1,366   $1,330   $1,204   $1,638 
Ratios of expenses to average net assets:   1.61%   1.60%   1.79%   1.53%   1.63%   2.11%   2.10%   2.29%   2.03%   2.13%
Ratios of net investment income (loss) to average net assets:   (0.55)%   (0.59)%   (0.63)%   0.10%   0.29%   (1.05)%   (1.10)%   (1.11)%   (0.33)%   (0.24)%
Portfolio turnover rate   109%   45%   56%   64%   52%   109%   45%   56%   64%   52%

 

 

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

 

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

 

See accompanying notes to financial statements.

86

 

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

  

   Class N                                         
   Year Ended October 31,                                         
   2019   2018   2017   2016   2015                                         
                                                             
Net asset value, beginning of year  $14.18   $14.16   $12.22   $16.32   $16.21                                         
Income from investment operations:                                                                 
Net investment income *   0.18    0.14    0.15    0.22    0.17                                         
Net realized and unrealized gain (loss)   1.29    0.15    2.01    (0.04)   0.06                                         
Total income from investment operations   1.47    0.29    2.16    0.18    0.23                                         
Less distributions:                                                                 
Distributions from net investment income   (0.15)   (0.13)   (0.22)   (0.18)   (0.12)                                        
Distributions from net realized gains   (0.54)   (0.14)   —    (4.10)   —                                         
Total distributions   (0.69)   (0.27)   (0.22)   (4.28)   (0.12)                                        
Net asset value, end of year  $14.96   $14.18   $14.16   $12.22   $16.32                                         
Total return + #   11.37%   1.98%   17.84%   1.73%   1.41%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $61,791   $55,428   $55,155   $45,026   $44,620                                         
Ratios of expenses to average net assets:                                                                 
Before fees paid indirectly   1.14%   1.30%   1.13%   0.93%   1.12%                                        
After fees paid indirectly   1.14%   1.30%   1.12%   0.93%   1.12%                                        
Ratios of net investment income to average net assets:                                                                 
Before fees paid indirectly   1.30%   0.94%   1.12%   1.81%   1.03%                                        
After fees paid indirectly   1.30%   0.94%   1.13%   1.81%   1.03%                                        
Portfolio turnover rate   44%   45%   61%   59%   101%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2019   2018   2017   2016   2015   2019   2018   2017   2016   2015 
                                         
Net asset value, beginning of year  $14.11   $14.10   $12.16   $16.26   $16.16   $13.45   $13.47   $11.65   $15.74   $15.68 
Income from investment operations:                                                  
Net investment income (loss)*   0.15    0.10    0.11    0.19    0.13    0.04    (0.01)   0.02    0.10    0.00 (a)
Net realized and unrealized gain (loss)   1.27    0.15    2.02    (0.05)   0.06    1.23    0.15    1.92    (0.06)   0.06 
Total income from investment operations   1.42    0.25    2.13    0.14    0.19    1.27    0.14    1.94    0.04    0.06 
Less distributions:                                                  
Distributions from net investment income   (0.12)   (0.10)   (0.19)   (0.14)   (0.09)   (0.01)   (0.02)   (0.12)   (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)   (0.55)   (0.16)   (0.12)   (4.13)   — 
Net asset value, end of year  $14.87   $14.11   $14.10   $12.16   $16.26   $14.17   $13.45   $13.47   $11.65   $15.74 
Total return + #   11.00%   1.71%   17.66%   1.43%   1.15%   10.24%   1.00%   16.72%   0.66%   0.38%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $16,363   $12,525   $10,174   $6,544   $6,577   $5,319   $4,167   $4,640   $4,850   $5,805 
Ratios of expenses to average net assets:                                                  
Before fees paid indirectly   1.39%   1.55%   1.38%   1.18%   1.37%   2.14%   2.30%   2.13%   1.93%   2.12%
After fees paid indirectly   1.39%   1.55%   1.37%   1.18%   1.37%   2.14%   2.30%   2.12%   1.93%   2.12%
Ratios of net investment income (loss) to average net assets:                                                  
Before fees paid indirectly   1.05%   0.70%   0.84%   1.57%   0.78%   0.30%   (0.07)%   0.14%   0.83%   0.03%
After fees paid indirectly   1.05%   0.70%   0.85%   1.57%   0.78%   0.30%   (0.07)%   0.15%   0.83%   0.03%
Portfolio turnover rate   44%   45%   61%   59%   101%   44%   45%   61%   59%   101%

 

 

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

 

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

 

See accompanying notes to financial statements.

87

 

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

 

   Class N                                         
   Year Ended October 31,                                         
   2019   2018   2017   2016   2015                                         
                                                             
Net asset value, beginning of year  $22.50   $19.37   $15.92   $16.97   $15.01                                         
Income (loss) from investment operations:                                                                 
Net investment loss*   (0.25)   (0.22)   (0.14)   (0.10)   (0.16)                                        
Net realized and unrealized gain (loss)   3.69    3.53    3.59    (0.86)   2.12                                         
Total income (loss) from investment operations   3.44    3.31    3.45    (0.96)   1.96                                         
Less distributions:                                                                 
Distributions from net realized gains   (1.70)   (0.18)   —    (0.09)   —                                         
Total distributions   (1.70)   (0.18)   —    (0.09)   —                                         
Net asset value, end of year  $24.24   $22.50   $19.37   $15.92   $16.97                                         
Total return + #   17.19%   17.24%   21.67%   (5.66)%   13.06%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $74,714   $59,424   $56,472   $51,242   $51,312                                         
Ratios of expenses to average net assets:                                                                 
Before fee waivers and fees paid indirectly   1.33%   1.30%   1.16%   1.20%   1.34%                                        
After fee waivers and fees paid indirectly   1.33%   1.29%   1.14%   1.20%   1.34%                                        
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)%                                        
After fee waivers and fees paid indirectly   (1.06)%   (1.01)%   (0.77)%   (0.64)%   (1.00)%                                        
Portfolio turnover rate   28%   25%   38%   29%   45%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2019   2018   2017   2016   2015   2019   2018   2017   2016   2015 
                                         
Net asset value, beginning of year  $22.11   $19.08   $15.73   $16.80   $14.91   $21.00   $18.27   $15.17   $16.33   $14.59 
Income (loss) from investment operations:                                                  
Net investment loss*   (0.30)   (0.28)   (0.18)   (0.14)   (0.19)   (0.44)   (0.42)   (0.30)   (0.25)   (0.31)
Net realized and unrealized gain (loss)   3.60    3.49    3.53    (0.84)   2.08    3.39    3.33    3.40    (0.82)   2.05 
Total income (loss) from investment operations   3.30    3.21    3.35    (0.98)   1.89    2.95    2.91    3.10    (1.07)   1.74 
Less distributions:                                                  
Distributions from net realized gains   (1.70)   (0.18)   —    (0.09)   —    (1.70)   (0.18)   —    (0.09)   — 
Total distributions   (1.70)   (0.18)   —    (0.09)   —    (1.70)   (0.18)   —    (0.09)   — 
Net asset value, end of year  $23.71   $22.11   $19.08   $15.73   $16.80   $22.25   $21.00   $18.27   $15.17   $16.33 
Total return + #   16.84%   16.98%   21.30%   (5.84)%   12.68%   16.00%   16.08%   20.44%   (6.56)%   11.93%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $24,131   $15,031   $12,944   $9,620   $8,762   $8,314   $6,844   $6,758   $4,988   $5,222 
Ratios of expenses to average net assets:                                                  
Before fee waivers and fees paid indirectly   1.58%   1.55%   1.41%   1.45%   1.59%   2.33%   2.30%   2.16%   2.20%   2.34%
After fee waivers and fees paid indirectly   1.58%   1.54%   1.39%   1.45%   1.59%   2.33%   2.29%   2.14%   2.20%   2.34%
Ratios of net investment loss to average net assets:                                                  
Before fee waivers and fees paid indirectly   (1.32)%   (1.26)%   (1.05)%   (0.91)%   (1.20)%   (2.06)%   (2.01)%   (1.80)%   (1.67)%   (2.00)%
After fee waivers and fees paid indirectly   (1.32)%   (1.26)%   (1.03)%   (0.91)%   (1.20)%   (2.06)%   (2.01)%   (1.78)%   (1.67)%   (2.00)%
Portfolio turnover rate   28%   25%   38%   29%   45%   28%   25%   38%   29%   45%

 

 

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

 

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

88

 

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

  

   Class N                                         
   Year Ended October 31,                                         
   2019   2018   2017   2016   2015                                         
                                                             
Net asset value, beginning of year  $15.61   $17.54   $14.24   $14.24   $15.21                                         
Income (loss) from investment operations:                                                                 
Net investment income *   0.34    0.21    0.21    0.16    0.00 (a)                                        
Net realized and unrealized gain (loss)   0.62    (1.39)   3.09    (0.15)   (0.61)                                        
Total income (loss) from investment operations   0.96    (1.18)   3.30    0.01    (0.61)                                        
Less distributions:                                                                 
Distributions from net investment income   (0.18)   (0.26)   —    (0.01)   (0.30)                                        
Distributions from net realized gains   (0.88)   (0.49)   —    —    (0.06)                                        
Total distributions   (1.06)   (0.75)   —    (0.01)   (0.36)                                        
Net asset value, end of year  $15.51   $15.61   $17.54   $14.24   $14.24                                         
Total return + #   7.08%   (7.08)%   23.17%   0.06%   (4.10)%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $101,505   $89,401   $90,257   $78,640   $76,992                                         
Ratios of expenses to average net assets:                                                                 
Before fees paid indirectly   1.43%   1.67%   1.56%   1.63%   2.04%                                        
After fees paid indirectly   1.43%   1.67%   1.55%   1.63%   2.04%                                        
Ratios of net investment income to average net assets:                                                                 
Before fees paid indirectly   2.28%   1.24%   1.34%   1.17%   0.03%                                        
After fees paid indirectly   2.28%   1.24%   1.35%   1.17%   0.03%                                        
Portfolio turnover rate   100%   113%   119%   143%   125%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2019   2018   2017   2016   2015   2019   2018   2017   2016   2015 
                                         
Net asset value, beginning of year  $15.49   $17.42   $14.17   $14.21   $15.16   $14.68   $16.59   $13.60   $13.73   $14.68 
Income (loss) from investment operations:                                                  
Net investment income (loss)*   0.30    0.17    0.17    0.13    (0.03)   0.18    0.04    0.04    0.03    (0.14)
Net realized and unrealized gain (loss)   0.61    (1.38)   3.08    (0.17)   (0.60)   0.59    (1.31)   2.95    (0.16)   (0.59)
Total income (loss) from investment operations   0.91    (1.21)   3.25    (0.04)   (0.63)   0.77    (1.27)   2.99    (0.13)   (0.73)
Less distributions:                                                  
Distributions from net investment income   (0.14)   (0.23)   —    —    (0.26)   (0.02)   (0.15)   —    —    (0.16)
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)   (0.90)   (0.64)   —    —    (0.22)
Net asset value, end of year  $15.38   $15.49   $17.42   $14.17   $14.21   $14.55   $14.68   $16.59   $13.60   $13.73 
Total return + #   6.78%   (7.30)%   22.94%   (0.28)%   (4.26)%   6.03%   (8.03)%   21.99%   (0.95)%   (5.06)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $22,499   $18,250   $15,524   $10,305   $9,032   $6,409   $5,764   $6,570   $6,483   $7,268 
Ratios of expenses to average net assets:                                                  
Before fees paid indirectly   1.68%   1.92%   1.81%   1.88%   2.29%   2.43%   2.67%   2.56%   2.63%   3.04%
After fees paid indirectly   1.68%   1.92%   1.80%   1.88%   2.29%   2.43%   2.67%   2.55%   2.63%   3.04%
Ratios of net investment income (loss) to average net assets:                                                  
Before fees paid indirectly   2.04%   1.01%   1.07%   0.93%   (0.19)%   1.26%   0.22%   0.30%   0.20%   (0.94)%
After fees paid indirectly   2.04%   1.01%   1.08%   0.93%   (0.19)%   1.26%   0.22%   0.31%   0.20%   (0.94)%
Portfolio turnover rate   100%   113%   119%   143%   125%   100%   113%   119%   143%   125%

 

 

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

 

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

 

See accompanying notes to financial statements.

89

 

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

 

   Class N                                         
   Year Ended October 31,                                         
   2019   2018   2017   2016   2015                                         
                                                             
Net asset value, beginning of year  $15.35   $15.66   $18.31   $19.23   $19.27                                         
Income (loss) from investment operations:                                                                 
Net investment income *   0.30    0.28    0.13    0.32    0.15                                         
Net realized and unrealized gain (loss)   3.32    (0.35)   0.40    0.73    0.85                                         
Total income (loss) from investment operations   3.62    (0.07)   0.53    1.05    1.00                                         
Less distributions:                                                                 
Distributions from net investment income   (0.29)   (0.12)   (0.36)   (0.21)   (0.11)                                        
Distributions from net realized gains   —    (0.12)   (2.82)   (1.76)   (0.93)                                        
Total distributions   (0.29)   (0.24)   (3.18)   (1.97)   (1.04)                                        
Net asset value, end of year  $18.68   $15.35   $15.66   $18.31   $19.23                                         
Total return +#   24.16%   (0.48)%   3.63%   5.77%   5.13%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $42,865   $43,163   $34,256   $25,479   $33,379                                         
Ratios of expenses to average net assets:   1.15%   1.10%   1.17%   1.21%   1.64%                                        
Ratios of net investment income to average net assets:   1.81%   1.82%   0.79%   1.74%   0.80%                                        
Portfolio turnover rate   63%   74%   101%   110%   110%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2019   2018   2017   2016   2015   2019   2018   2017   2016   2015 
                                         
Net asset value, beginning of year  $15.46   $15.78   $18.35   $19.26   $19.33   $14.54   $14.88   $17.55   $18.50   $18.65 
Income (loss) from investment operations:                                                  
Net investment income (loss) *   0.26    0.24    0.10    0.27    0.10    0.13    0.12    (0.02)   0.13    (0.04)
Net realized and unrealized gain (loss)   3.35    (0.35)   0.41    0.74    0.85    3.17    (0.34)   0.38    0.70    0.82 
Total income (loss) from investment operations   3.61    (0.11)   0.51    1.01    0.95    3.30    (0.22)   0.36    0.83    0.78 
Less distributions:                                                  
Distributions from net investment income   (0.26)   (0.09)   (0.26)   (0.16)   (0.09)   (0.15)   —    (0.21)   (0.02)   0.00 
Distributions from net realized gains   —    (0.12)   (2.82)   (1.76)   (0.93)   —    (0.12)   (2.82)   (1.76)   (0.93)
Total distributions   (0.26)   (0.21)   (3.08)   (1.92)   (1.02)   (0.15)   (0.12)   (3.03)   (1.78)   (0.93)
Net asset value, end of year  $18.81   $15.46   $15.78   $18.35   $19.26   $17.69   $14.54   $14.88   $17.55   $18.50 
Total return +#   23.81%   (0.74)%   3.44%   5.54%   4.85%   22.97%   (1.50)%   2.61%   4.73%   4.08%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $9,161   $8,444   $6,002   $9,376   $10,386   $2,812   $2,308   $2,448   $3,211   $3,847 
Ratios of expenses to average net assets:   1.40%   1.35%   1.42%   1.45%   1.89%   2.15%   2.10%   2.17%   2.21%   2.64%
Ratios of net investment income (loss) to average net assets:   1.56%   1.57%   0.60%   1.45%   0.53%   0.79%   0.85%   (0.11)%   0.70%   (0.21)%
Portfolio turnover rate   63%   74%   101%   110%   110%   63%   74%   101%   110%   110%

 

 

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

 

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

90

 

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

 

   Class N                                         
   Year Ended October 31,                                         
   2019   2018   2017   2016   2015                                         
                                                             
Net asset value, beginning of year  $15.72   $17.47   $14.41   $14.27   $15.45                                         
Income (loss) from investment operations:                                                                 
Net investment income (loss) *   (0.00) (a)   0.00 (a)   0.07    0.09    (0.01)                                        
Net realized and unrealized gain (loss)   0.65    0.10 (b)   3.57    0.54    (0.18)                                        
Total income (loss) from investment operations   0.65    0.10    3.64    0.63    (0.19)                                        
Less distributions:                                                                 
Distributions from net investment income   —    (0.04)   (0.10)   (0.01)   (0.04)                                        
Distributions from net realized gains   (1.70)   (1.81)   (0.48)   (0.48)   (0.95)                                        
Total distributions   (1.70)   (1.85)   (0.58)   (0.49)   (0.99)                                        
Net asset value, end of year  $14.67   $15.72   $17.47   $14.41   $14.27                                         
Total return + #   6.15%   0.37%   25.55%   4.58%   (1.59)%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $43,564   $37,248   $22,710   $22,254   $22,068                                         
Ratios of expenses to average net assets:   1.72%   1.54%   1.32%   1.48%   1.79%                                        
Ratios of net investment income (loss) to average net assets: (c) !   (0.01)%   0.01%   0.45%   0.64%   (0.10)%                                        
Portfolio turnover rate   85%   101%   100%   129%   122%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2019   2018   2017   2016   2015   2019   2018   2017   2016   2015 
                                         
Net asset value, beginning of year  $15.55   $17.31   $14.29   $14.18   $15.36   $13.81   $15.67   $13.02   $13.06   $14.32 
Income (loss) from investment operations:                                                  
Net investment income (loss)*   (0.04)   (0.04)   0.03    0.05    (0.05)   (0.12)   (0.15)   (0.08)   (0.05)   (0.15)
Net realized and unrealized gain (loss)   0.64    0.09 (b)   3.54    0.54    (0.18)   0.52    0.10 (b)   3.21    0.49    (0.16)
Total income (loss) from investment operations   0.60    0.05    3.57    0.59    (0.23)   0.40    (0.05)   3.13    0.44    (0.31)
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)   (1.70)   (1.81)   (0.48)   (0.48)   (0.95)
Total distributions   (1.70)   (1.81)   (0.55)   (0.48)   (0.95)   (1.70)   (1.81)   (0.48)   (0.48)   (0.95)
Net asset value, end of year  $14.45   $15.55   $17.31   $14.29   $14.18   $12.51   $13.81   $15.67   $13.02   $13.06 
Total return + #   5.85%   0.08%   25.26%   4.33%   (1.83)%   5.06%   (0.63)%   24.29%   3.52%   (2.56)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $9,848   $7,869   $4,569   $3,802   $3,801   $2,835   $2,139   $2,611   $2,241   $2,383 
Ratios of expenses to average net assets:   1.97%   1.79%   1.57%   1.73%   2.04%   2.72%   2.54%   2.32%   2.48%   2.79%
Ratios of net investment income (loss) to average net assets: (c) !   (0.26)%   (0.26)%   0.19%   0.40%   (0.36)%   (1.01)%   (1.04)%   (0.57)%   (0.36)%   (1.11)%
Portfolio turnover rate   85%   101%   100%   129%   122%   85%   101%   100%   129%   122%

 

 

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

 

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

 

(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.

 

See accompanying notes to financial statements.

91

 

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

 

   Class N                                         
   Year Ended October 31,                                         
   2019   2018   2017   2016   2015                                         
                                                             
Net asset value, beginning of year  $20.28   $20.31   $15.34   $17.08   $17.71                                         
Income (loss) from investment operations:                                                                 
Net investment loss*   (0.23)   (0.27)   (0.15)   (0.06)   (0.24)                                        
Net realized and unrealized gain (loss) (a)   (0.25)   3.20    5.12    (0.24)   1.19                                         
Total income (loss) from investment operations   (0.48)   2.93    4.97    (0.30)   0.95                                         
Less distributions:                                                                 
Distributions from net investment income                                                                 
Distributions from net realized gains   (3.80)   (2.96)   —    (1.40)   (1.58)                                        
Tax return of capital   —    —    —    (0.04)   —                                         
Total distributions   (3.80)   (2.96)   —    (1.44)   (1.58)                                        
Net asset value, end of year  $16.00   $20.28   $20.31   $15.34   $17.08                                         
Total return + #   1.36%   16.02%   32.40%   (1.88)%   5.36%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $37,340   $33,882   $24,641   $26,010   $23,152                                         
Ratios of expenses to average net assets:                                                                 
Before fees paid indirectly   1.90%   1.94%   1.36%   1.23%   1.58%                                        
After fees paid indirectly   1.88%   1.93%   1.35%   1.23%   1.58%                                        
Ratios of net investment loss to average net assets:                                                                 
Before fees paid indirectly   (1.36)%   (1.31)%   (0.86)%   (0.38)%   (1.30)%                                        
After fees paid indirectly   (1.34)%   (1.29)%   (0.85)%   (0.38)%   (1.30)%                                        
Portfolio turnover rate   169%   190%   174%   181%   138%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2019   2018   2017   2016   2015   2019   2018   2017   2016   2015 
                                         
Net asset value, beginning of year  $19.42   $19.62   $14.85   $16.62   $17.31   $16.00   $16.77   $12.79   $14.61   $15.51 
Income (loss) from investment operations:                                                  
Net investment loss*   (0.25)   (0.31)   (0.19)   (0.10)   (0.27)   (0.29)   (0.37)   (0.28)   (0.18)   (0.36)
Net realized and unrealized gain (loss) (a)   (0.28)   3.07    4.96    (0.23)   1.16    (0.37)   2.56    4.26    (0.20)   1.04 
Total income (loss) from investment operations   (0.53)   2.76    4.77    (0.33)   0.89    (0.66)   2.19    3.98    (0.38)   0.68 
Less distributions:                                                  
Distributions from net investment income                                                  
Distributions from net realized gains   (3.80)   (2.96)   —    (1.40)   (1.58)   (3.80)   (2.96)   —    (1.40)   (1.58)
Tax return of capital   —    —    —    (0.04)   —    —    —    —    (0.04)   — 
Total distributions   (3.80)   (2.96)   —    (1.44)   (1.58)   (3.80)   (2.96)   —    (1.44)   (1.58)
Net asset value, end of year  $15.09   $19.42   $19.62   $14.85   $16.62   $11.54   $16.00   $16.77   $12.79   $14.61 
Total return + #   1.11%   15.69%   32.12%   (2.12)%   5.12%   0.36%   14.84%   31.12%   (2.82)%   4.29%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $10,797   $10,799   $6,925   $5,540   $6,326   $2,440   $2,720   $2,644   $2,155   $3,163 
Ratios of expenses to average net assets:                                                  
Before fees paid indirectly   2.15%   2.19%   1.61%   1.48%   1.83%   2.90%   2.94%   2.36%   2.23%   2.58%
After fees paid indirectly   2.13%   2.18%   1.60%   1.48%   1.83%   2.88%   2.93%   2.35%   2.23%   2.58%
Ratios of net investment loss to average net assets:                                                  
Before fees paid indirectly   (1.61)%   (1.56)%   (1.13)%   (0.69)%   (1.53)%   (2.37)%   (2.30)%   (1.89)%   (1.45)%   (2.29)%
After fees paid indirectly   (1.59)%   (1.55)%   (1.12)%   (0.69)%   (1.53)%   (2.35)%   (2.29)%   (1.88)%   (1.45)%   (2.29)%
Portfolio turnover rate   169%   190%   174%   181%   138%   169%   190%   174%   181%   138%

 

 

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

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares 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 values 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 years ended October 31, 2019 and 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.

 

See accompanying notes to financial statements.

92

 

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

 

   Class N                                         
   Year Ended October 31,                                         
   2019   2018   2017   2016   2015                                         
                                                             
Net asset value, beginning of year  $12.85   $15.94   $12.73   $11.97   $14.75                                         
Income (loss) from investment operations:                                                                 
Net investment income *   0.19    0.27    0.17    0.20    0.08                                         
Net realized and unrealized gain (loss)   1.48    (3.20)   3.28    0.64    (2.67)                                        
Total income (loss) from investment operations   1.67    (2.93)   3.45    0.84    (2.59)                                        
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 year  $14.27   $12.85   $15.94   $12.73   $11.97                                         
Total return + #   13.29%   (18.57)%   27.69%   7.13%   (17.73)%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $59,931   $53,261   $51,365   $46,481   $42,831                                         
Ratios of expenses to average net assets:   1.61%   1.19%   1.75%   1.27%   1.76%                                        
Ratios of net investment income to average net assets:   1.42%   1.79%   1.18%   1.73%   0.59%                                        
Portfolio turnover rate   129%   66%   74%   97%   137%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2019   2018   2017   2016   2015   2019   2018   2017   2016   2015 
                                         
Net asset value, beginning of year  $12.56   $15.58   $12.45   $11.71   $14.44   $11.85   $14.74   $11.82   $11.14   $13.76 
Income (loss) from investment operations:                                                  
Net investment income (loss)*   0.16    0.23    0.14    0.17    0.05    0.05    0.11    0.02    0.08    (0.06)
Net realized and unrealized gain (loss)   1.44    (3.13)   3.20    0.62    (2.62)   1.38    (2.94)   3.04    0.60    (2.49)
Total income (loss) from investment operations   1.60    (2.90)   3.34    0.79    (2.57)   1.43    (2.83)   3.06    0.68    (2.55)
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 year  $13.94   $12.56   $15.58   $12.45   $11.71   $13.16   $11.85   $14.74   $11.82   $11.14 
Total return + #   12.98%   (18.73)%   27.36%   6.84%   (17.94)%   12.18%   (19.30)%   26.31%   6.10%   (18.60)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $12,106   $9,662   $8,242   $6,348   $4,594   $3,463   $3,163   $3,467   $3,380   $3,216 
Ratios of expenses to average net assets:   1.86%   1.44%   2.00%   1.52%   2.01%   2.61%   2.19%   2.75%   2.27%   2.76%
Ratios of net investment income (loss) to average net assets:   1.17%   1.54%   0.98%   1.46%   0.40%   0.41%   0.77%   0.10%   0.77%   (0.48)%
Portfolio turnover rate   129%   66%   74%   97%   137%   129%   66%   74%   97%   137%

 

 

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

 

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

93

 

NOTES TO FINANCIAL STATEMENTS
October 31, 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. The Dunham Funds currently consist of fourteen funds: Dunham Floating Rate Bond Fund; Dunham Long/Short Credit Fund (formerly known as Dunham Appreciation & Income 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  High level of current income
Bond”)   
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.

94

 

NOTES TO FINANCIAL STATEMENTS
October 31, 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.

95

 

NOTES TO FINANCIAL STATEMENTS
October 31, 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 October 31, 2019 for the Funds’ assets and liabilities measured at fair value:

 

Floating Rate Bond                
                 
Assets  Level 1   Level 2   Level 3   Total 
Asset Backed Securities  $—   $1,694,949   $—   $1,694,949 
Bank Loans *   —    172,819,106    —    172,819,106 
Bonds & Notes *   —    7,263,765    —    7,263,765 
Common Stock *   124,470    —    —    124,470 
Exchange Traded Funds   1,510,800    —    —    1,510,800 
Rights   —    9,370    —    9,370 
Warrants   —    208,329    —    208,329 
U.S. Government   —    1,997,190    —    1,997,190 
Short-Term Investment   1,812,679    —    —    1,812,679 
Total  $3,447,949   $183,992,709   $—   $187,440,658 
                     
Long/Short Credit                
                 
Assets  Level 1   Level 2   Level 3   Total 
Bank Loans *  $—   $1,070,908   $—   $1,070,908 
Bonds & Notes *   —    31,708,660    —    31,708,660 
Common Stock *   18,900    —    —    18,900 
U.S. Government   —    42,969,043    —    42,969,043 
Short-Term Investment   6,756,790    —    —    6,756,790 
Total Assets  $6,775,690   $75,748,611   $—   $82,524,301 
Assets - Derivatives                    
Swap Contracts  $—   $262,909   $—   $262,909 
Futures Contracts   281,265    —    —    281,265 
Total Asset Derivatives  $281,265   $262,909   $—   $544,174 
Liabilities - Derivatives                    
Swap Contracts  $—   $219,875   $—   $219,875 
Total Liability Derivatives  $—   $219,875   $—   $219,875 

96

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

Corporate/Government Bond                
                 
Assets  Level 1   Level 2   Level 3   Total 
Corporate Bonds & Notes *  $—   $35,301,374   $—   $35,301,374 
Foreign Government Bonds   —    381,258    —    381,258 
Municipal Bonds   —    3,190,354    —    3,190,354 
U.S. Government & Agency   —    9,567,402    —    9,567,402 
Bank Loans *   —    2,271,093    —    2,271,093 
Total  $—   $50,711,481   $—   $50,711,481 
                     
Monthly Distribution                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $179,759,653   $260,302   $—   $180,019,955 
Closed-End Fund   —    3,805,903    —    3,805,903 
Exchange Traded Funds   8,651,591    —    —    8,651,591 
Rights   —    4,380    —    4,380 
Warrants   —    2,375    —    2,375 
Purchased Options   88,600    —    —    88,600 
Short-Term Investment   86,209,639    —    —    86,209,639 
Collateral for Securities Loaned   3,284,494    —    —    3,284,494 
Total Assets  $277,993,977   $4,072,960   $—   $282,066,937 
Asset - Derivatives                    
Swap Contracts  $—   $109,373   $—   $109,373 
Total Asset Derivatives  $—   $109,373   $—   $109,373 
Liabilities-Derivatives                    
Written Options  $917,459   $250   $—   $917,709 
Swap Contracts   —    256,872    —    256,872 
Total Liability Derivatives  $917,459   $257,122   $—   $1,174,581 
Liabilities                    
Liabilities-Securities Sold Short  $77,711,924   $200,592   $—   $77,912,516 
Total Liabilities  $77,711,924   $200,592   $—   $77,912,516 
                     
Dynamic Macro                
                 
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds *  $12,561,481   $—   $—   $12,561,481 
Purchased Options   850,876    —    —    850,876 
Short-Term Investments   1,340,071    25,104,890    —    26,444,961 
Total Assets  $14,752,428   $25,104,890   $—   $39,857,318 
Assets - Derivatives                    
Futures Contracts  $396,894   $—   $—   $396,894 
Total Asset Derivatives  $396,894   $—   $—   $396,894 
Liabilities - Derivatives 
Futures Contracts  $165,158   $—   $—   $165,158 
Written Options   35,530    —    —    35,530 
Total Liability Derivatives  $200,688   $—   $—   $200,688 
                     
High-Yield Bond                
                 
Assets  Level 1   Level 2   Level 3   Total 
Bonds & Notes *  $—   $102,457,477   $—   $102,457,477 
Short-Term Investment   794,389    —    —    794,389 
Collateral for Securities Loaned   3,653,700    —    —    3,653,700 
Total  $4,448,089   $102,457,477   $—   $106,905,566 

97

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

International Opportunity Bond                
                 
Assets  Level 1   Level 2   Level 3   Total 
Corporate Bonds & Notes *  $—   $11,199,889   $—   $11,199,889 
Foreign Government Bonds *   —    26,231,525    —    26,231,525 
Whole Loan Collateral   —    353,917    —    353,917 
Total Assets  $—   $37,785,331   $—   $37,785,331 
Assets - Derivatives                    
Futures Contracts  $87,417   $—   $—   $87,417 
Forward Foreign Currency Exchange Contracts   —    152,084    —    152,084 
Total Asset Derivatives  $87,417   $152,084   $—   $239,501 
Liabilities - Derivatives 
Futures Contracts  $72,624   $—   $—   $72,624 
Forward Foreign Currency Exchange Contracts   —    161,236    —    161,236 
Total Liability Derivatives  $72,624   $161,236   $—   $233,860 
                     
Large Cap Value                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $81,813,674   $—   $—   $81,813,674 
Collateral for Securities Loaned   1,045,695    —    —    1,045,695 
Total  $82,859,369   $—   $—   $82,859,369 
                     
Focused Large Cap Growth                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $105,383,318   $—   $—   $105,383,318 
Total  $105,383,318   $—   $—   $105,383,318 
                     
International Stock                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $30,768,090   $97,849,237   $—   $128,617,327 
Exchange Traded Fund   657,211    —    —    657,211 
Warrant   7,507    —    —    7,507 
Preferred Stocks *   99,280    —    —    99,280 
Collateral for Securities Loaned   6,325,040    —    —    6,325,040 
Total  $37,857,128   $97,849,237   $—   $135,706,365 
                     
Real Estate Stock                
                 
Assets  Level 1   Level 2   Level 3   Total 
REITs *  $54,258,604   $—   $—   $54,258,604 
Total  $54,258,604   $—   $—   $54,258,604 
                     
Small Cap Value                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $55,940,284   $—   $—   $55,940,284 
Collateral for Securities Loaned   542,100    —    —    542,100 
Total  $56,482,384   $—   $—   $56,482,384 
                     
Small Cap Growth                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $48,131,893   $—   $—   $48,131,893 
Short-Term Investment   22,769    —    —    22,769 
Collateral for Securities Loaned   2,124,587    —    —    2,124,587 
Total  $50,279,249   $—   $—   $50,279,249 

98

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

Emerging Markets Stock                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $20,062,584   $52,721,713   $—   $72,784,297 
Preferred Stock   502,555    —    —    502,555 
Closed End Fund   737,174    —    —    737,174 
Warrant   5,143    —    —    5,143 
Collateral for Securities Loaned   4,347,391    —    —    4,347,391 
Total  $25,654,847   $52,721,713   $—   $78,376,560 

 

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

 

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

 

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 Foreign Currency Exchange Contracts – As foreign securities are purchased, a Fund generally enters into forward foreign 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 foreign currency exchange 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 forward foreign currency exchange contracts 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. Cash – The Funds consider their investments in an FDIC insured interest bearing savings account to be cash. The Funds maintain cash balances, which, at times, may exceed federally insured limits. The Funds maintain these balances with a high quality financial institution.

99

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

f. Swap Agreements – Long/Short Credit and Monthly Distribution are subject to stock market risk and fixed income risk in the normal course of pursuing their 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 accrue 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.

 

g. 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.

 

h. 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.

 

i. 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 October 31, 2019:

 

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

100

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

The following table sets forth the fair value of each Fund’s derivative contracts by primary risk exposure as of October 31, 2019:

 

Asset Derivatives Investment Value
                   Total value at 
   Equity   Currency   Commodity   Interest Rate   October 31, 
   Contracts   Contracts   Contracts   Contracts   2019 
Long/Short Credit                         
Futures Contracts  $—   $—   $—   $281,265   $281,265 
Credit Default Swap Contracts   235,683    —    —    —    235,683 
Total Return Swap Contracts   —    —    —    27,226    27,226 
Monthly Distribution                         
Purchased Options  $88,600   $—   $—   $—   $88,600 
Total Return Swap Contracts   109,373    —    —    —    109,373 
Dynamic Macro                         
Futures Contracts  $139,279   $—   $—   $257,615   $396,894 
Purchased Options   26,985    —    —    823,891    850,876 
International Opportunity Bond                         
Forward Foreign Currency Exchange Contracts  $—   $152,084   $—   $—   $152,084 
Futures Contracts   —    —    —    87,417    87,417 
                          
Liability Derivatives Investment Value
                   Total value at 
   Equity   Currency   Commodity   Interest Rate   October 31, 
   Contracts   Contracts   Contracts   Contracts   2019 
Long/Short Credit                         
Credit Default Swap Contracts  $219,875   $—   $—   $—   $219,875 
Monthly Distribution                         
Written Options  $917,709   $—   $—   $—   $917,709 
Total Return Swap Contracts   256,872    —    —    —    256,872 
Dynamic Macro                         
Futures Contracts  $111,625   $—   $—   $53,533   $165,158 
Written Options   35,530    —    —    —    35,530 
International Opportunity Bond Forward Foreign Currency Exchange Contracts  $—   $161,236   $—   $—   $161,236 
Futures Contracts   —    —    —    72,624    72,624 

 

The following is a summary of the location of derivative investments of each Fund in the Statements of Operations for the year ended October 31, 2019.

 

Derivative Investment Type  Location of Gain (Loss) on Derivatives
Equity/Currency/Commodity/
Interest rate contracts		  Net realized gain (loss) from: Futures contracts, Purchased options, Written options, Swap contracts, Forward foreign currency exchange contracts
   Net change in unrealized appreciation (depreciation) on: Futures contracts, Purchased options, Written options, Swap contracts, and Forward foreign currency exchange contracts

101

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

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 October 31, 2019:

 

Realized gain (loss) on derivatives recognized in the Statements of Operations
                   Total value at 
   Equity   Currency   Commodity   Interest Rate   October 31, 
Derivative Investment type  Contracts   Contracts   Contracts   Contracts   2019 
Long/Short Credit                         
Futures Contracts  $—   $—   $—   $(1,914,195)  $(1,914,195)
Swaps Contracts   1,723    —    —    (427,529)   (425,806)
Monthly Distribution                         
Purchased Options  $3,258,819   $—   $—   $—   $3,258,819 
Written Options   (2,155,046)   —    —    —    (2,155,046)
Swaps Contracts   515,796    —    —    —    515,796 
Dynamic Macro                         
Futures Contracts  $16,879   $—   $—   $(80,630)  $(63,751)
Purchased Options   (465,891)   —    —    1,126,913    661,022 
Written Options   183,987    —    —    —    183,987 
International Opportunity Bond                         
Futures Contracts  $—   $—   $—   $218,469   $218,469 
Forward Foreign Currency Exchange Contracts   —    (31,324)   —    —    (31,324)
                          
Changes in unrealized appreciation (depreciation) on derivatives recognized in the Statements of Operations
                   Total value at 
   Equity   Currency   Commodity   Interest Rate   October 31, 
Derivative Investment type  Contracts   Contracts   Contracts   Contracts   2019 
Long/Short Credit                         
Futures Contracts  $—   $—   $—   $159,108   $159,108 
Swaps Contracts   11,992    —    —    27,226    39,218 
Monthly Distribution                         
Purchased Options  $(1,410,366)  $—   $—   $—   $(1,410,366)
Written Options   (555,567)   —    —    —    (555,567)
Swaps Contracts   (147,499)   —    —    —    (147,499)
Dynamic Macro                         
Futures Contracts  $659,716   $—   $—   $264,629   $924,345 
Purchased Options   (130,633)   —    —    410,763    280,130 
Written Options   (3,205)   —    —    —    (3,205)
International Opportunity Bond                         
Futures Contracts  $—   $—   $—   $20,397   $20,397 
Forward Foreign Currency Exchange Contracts   —    (91,347)   —    —    (91,347)
                          

The average notional value of the derivative instruments for the year ended October 31, 2019 is disclosed below:

 

    Average Notional Value
   Long   Short   Purchased   Written   Long   Short 
   Futures   Futures   Options   Options   Swaps   Swaps 
Long/Short Credit  $—   $16,132,755   $—   $—   $9,750,000   $7,000,002 
Monthly Distribution   —    —    27,506,463    37,610,163    1,504,951 (1)   5,656,820 (1)
Dynamic Macro   26,236,621    47,911,905    21,331,036    13,783,286    —    — 
International Opportunity Bond   3,516,374    4,368,628    —    —    —    — 

 

(1)Monthly Distribution only invested in swaps in quarter 4, therefore notional shown is not averaged.

102

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

j. Offsetting of Financial Assets & Liabilities and Derivative Assets & Liabilities – Long/Short Credit, Monthly Distribution, Dynamic Macro, and International Opportunity Bond 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 year ended October 31, 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 October 31, 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 
Futures Contracts  HSBC  $281,265   $—   $281,265   $—   $—   $281,265 
Credit Default Swaps  HSBC   40,289    —    40,289    —    —    40,289 
Credit Default Swaps  JP Morgan   175,516    —    175,516    —    —    175,516 
Credit Default Swaps  Goldman Sachs   19,878    —    19,878    —    —    19,878 
Total Return Swaps  JP Morgan   14,089    —    14,089    —    —    14,089 
Total Return Swaps  Goldman Sachs   13,137    —    13,137    —    —    13,137 
Total     $544,174   $—   $544,174   $—   $—   $544,174 
                                  
                  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 
Credit Default Swaps  Goldman Sachs  $(96,781)  $—   $(96,781)  $—   $96,781   $— 
Credit Default Swaps  JP Morgan   (123,094)   —    (123,094)   —    —    (123,094)
Total     $(219,875)  $—   $(219,875)  $—   $96,781   $(123,094)
                                  
                                  
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  $88,600   $—   $88,600   $—   $—   $88,600 
Total Return Swap  JP Morgan   109,373    —    109,373    (109,373)   —    — 
Total     $197,973   $—   $197,973   $(109,373)  $—   $88,600 
                                  
                  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  $(917,709)  $—   $(917,709)  $—   $—   $(917,709)
Total Return Swaps  JP Morgan   (256,872)   —    (256,872)   109,373    —    (147,499)
Total     $(1,174,581)  $—   $(1,174,581)  $109,373   $—   $(1,065,208)
                                  

 

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

103

 

NOTES TO FINANCIAL STATEMENTS
October 31, 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  $396,894   $—   $396,894   $(165,158)  $—   $231,736 
Purchased Options  Goldman Sachs   850,876    —    850,876    —    —    850,876 
Total     $1,247,770   $—   $1,247,770   $(165,158)  $—   $1,082,612 
                                  
                  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   Net Amount 
Futures Contracts  Goldman Sachs  $(165,158)  $—   $(165,158)  $165,158   $—   $— 
Written Options  Goldman Sachs   (35,530)   —    (35,530)   —    —    (35,530)
Total     $(200,688)  $—   $(200,688)  $165,158   $—   $(35,530)
                                  
                                  
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 Exchange                                 
Contracts  Barclays  $54,014   $—   $54,014   $(54,014)  $—   $— 
   Citigroup   98,070    —    98,070    (31,180)   —    66,890 
Futures Contracts  Credit Suisse   87,417    —    87,417    (72,624)   —    14,793 
Total     $239,501   $—   $239,501   $(157,818)  $—   $81,683 
                                  
                  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   Net Amount 
Forward Foreign                                 
Currency Exchange                                 
Contracts  Barclays  $(130,056)  $—   $(130,056)  $54,014   $—   $(76,042)
   Citigroup   (31,180)   —    (31,180)   31,180    —    — 
Futures Contracts  Credit Suisse   (72,624)   —    (72,624)   72,624    —    — 
Total     $(233,860)  $—   $(233,860)  $157,818   $—   $(76,042)
                                  

 

k. 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.

104

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

l. 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.

 

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

 

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

 

The ability of issuers of debt securities held by the Funds to meet their obligations may be affected by economic and political developments particular to a specific industry, country, state or region. Investments in lower grade debt securities are subject to special risks, including greater price volatility and a greater risk of loss of principal and interest.

 

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

 

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

 

n. 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.

 

o. 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.

105

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

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.

 

p. Real Estate Investment Trusts – Real Estate Stock invests primarily in Real Estate Investment Trusts (REITs). Distributions from REITs may be characterized as dividends, capital gains, and/or return of capital.

 

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

 

3.INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES

 

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

 

      Adviser’s  Sub-Adviser’s
   Management Fee  Portion  Portion
Floating Rate Bond*  0.70% – 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 Stock 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 Emerging Markets Stock which is in its initial year of a new Fulcrum Fee arrangement, are calculating Performance Fees on a rolling 12-month basis as of October 31, 2019.

106

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

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

 

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

 

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

 

                    Null    Minimum    Maximum  
Fund    Sub-Adviser    Benchmark    Base Fee    Zone    Fee    Fee  
Floating Rate Bond    New fleet Asset Management, LLC    Credit Suisse Leveraged Loan Total Return Index    0.28%    +/- 0.00%    0.10%    0.46%  
Long/Short Credit    Metlife Investment Advisors, LLC    BofA Merrill Lynch US 3-month Treasury Bill Index PLUS 300 bps (3.00%)    0.60%    +/- 0.00%    0.05%    1.15%  
Corporate/Government Bond    New fleet Asset Management, LLC    Bloomberg Barclays Aggregate Bond Index    0.30%    +/- 0.15%    0.15%    0.45%  
Monthly Distribution *    Weiss Multi-Strategy Advisers, LLC    IQ Hedge Market Neutral Total Return Index    0.60%    +/- 0.00%    0.22%    0.98%  
Dynamic Macro    Mellon Investments 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 Bond 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 (Unhedged)    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    Arrow street 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 August 2, 2019 Weiss Multi-Strategy Advisers, LLC. replaced Perella Weinberg Partners Capital Management LP. as the sub-adviser to Monthly Distribution. Perella Weinberg Partners Capital Management LP had a Base fee of 0.60%, a Minimum fee of 0.22% and a Maximum Fee of 0.98%.

 

**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%.

 

***Effective March 29, 2019 Piermont Capital Management, Inc. was acquired by Ziegler Capital Management, LLC.

107

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

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 $400,000 in total for the entire Trust. For providing fund accounting services, GFS receives from the Trust a minimum annual fee of $245,000. 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.

 

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 year ended October 31, 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 providing administration services. For the year ended October 31, 2019, the amounts received by the Administrator on behalf of certain participating Funds under this arrangement were: Large Cap Value - $2,227, Focused Large Cap Growth - $973, International Stock - $1,062 and Small Cap Growth - $6,128.

108

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

4.INVESTMENT TRANSACTIONS

 

The cost of purchases and the proceeds from sales of investments, other than short-term investments, for the year ended October 31, 2019 were as follows:

 

   Purchases   Sale Proceeds       Proceeds of 
   (excluding U.S.   (excluding U.S.   Purchases of   U.S. 
   Government   Government   U.S. Government   Government 
Fund  Securities)   Securities)   Securities   Securities 
Floating Rate Bond  $84,623,573   $78,822,886   $—   $— 
Long/Short Credit   89,117,539    74,462,834    60,908,063    57,327,663 
Corporate/Government Bond   25,216,248    27,424,182    12,398,103    11,871,649 
Monthly Distribution   1,068,771,008    1,140,800,097    —    — 
Dynamic Macro   4,910,693    17,503,935    —    — 
High-Yield Bond   72,023,785    82,393,051    —    — 
International Opportunity Bond   40,094,682    39,952,979    —    — 
Large Cap Value   37,466,906    33,605,891    —    — 
Focused Large Cap Growth   35,422,458    27,265,691    —    — 
International Stock   130,225,472    119,405,172    —    — 
Real Estate Stock   34,943,972    44,258,428    —    — 
Small Cap Value   47,989,016    42,065,567    —    — 
Small Cap Growth   81,306,682    80,268,474    —    — 
Emerging Markets Stock   89,962,855    88,910,817    —    — 

 

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 October 31, 2019, were as follows:

 

       Gross   Gross   Net Unrealized 
   Tax   Unrealized   Unrealized   Appreciation/ 
   Cost   Appreciation   Depreciation   (Depreciation) 
Floating Rate Bond  $192,811,379   $692,642   $(6,063,363)  $(5,370,721)
Long/Short Credit   81,571,224    1,577,043    (299,667)   1,277,376 
Corporate/Government Bond   48,396,078    2,398,545    (83,142)   2,315,403 
Monthly Distribution   205,013,525    13,421,935    (15,134,917)   (1,712,982)
Dynamic Macro   37,526,238    3,211,819    (684,533)   2,527,286 
High-Yield Bond   106,342,247    3,906,542    (3,343,223)   563,319 
International Opportunity Bond   36,498,599    1,659,682    (364,382)   1,295,300 
Large Cap Value   65,701,164    19,078,586    (1,920,381)   17,158,205 
Focused Large Cap Growth   60,143,317    46,339,257    (1,099,256)   45,240,001 
International Stock   125,131,132    16,292,731    (5,717,498)   10,575,233 
Real Estate Stock   42,360,073    12,749,498    (850,967)   11,898,531 
Small Cap Value   53,074,295    5,555,006    (2,146,917)   3,408,089 
Small Cap Growth   46,620,610    6,919,434    (3,260,795)   3,658,639 
Emerging Markets Stock   73,607,812    8,141,399    (3,372,651)   4,768,748 

109

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

6.SHARES OF BENEFICIAL INTEREST

 

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

 

For the year ended October 31, 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   4,135,951    779,224    (5,195,790)   (280,615)   691,894    95,516    (535,999)   251,411 
Long/Short Credit   5,434,899    199,627    (2,368,449)   3,266,077    680,269    24,160    (199,739)   504,690 
Corporate/Government Bond   1,358,705    85,602    (1,548,844)   (104,537)   238,649    10,366    (120,020)   128,995 
Monthly Distribution   1,550,592    287,081    (2,207,230)   (369,557)   481,103    61,442    (529,598)   12,947 
Dynamic Macro   462,025    89,536    (1,109,155)   (557,594)   234,015    18,240    (318,335)   (66,080)
High-Yield Bond   2,250,727    527,921    (3,558,884)   (780,236)   353,882    63,555    (462,947)   (45,510)
International Opportunity Bond   699,740    22,947    (794,969)   (72,282)   147,890    1,757    (112,758)   36,889 
Large Cap Value   695,868    214,901    (687,966)   222,803    384,880    49,142    (221,805)   212,217 
Focused Large Cap Growth   959,514    225,236    (743,219)   441,531    841,812    57,629    (561,841)   337,600 
International Stock   1,246,392    435,239    (862,721)   818,910    447,321    86,701    (249,533)   284,489 
Real Estate Stock   285,995    55,368    (859,354)   (517,991)   150,462    9,521    (219,442)   (59,459)
Small Cap Value   688,673    319,621    (408,023)   600,271    232,547    65,268    (122,444)   175,371 
Small Cap Growth   899,200    444,127    (680,884)   662,443    278,378    149,638    (268,644)   159,372 
Emerging Markets Stock   749,368    80,396    (775,088)   54,676    363,428    13,390    (277,895)   98,923 
                                                 
   Class C Shares                                 
               Net Increase                                 
       Distributions       (Decrease)                                 
Fund  Issued   Reinvested   Redeemed   in Shares                                 
Floating Rate Bond   379,932    33,786    (240,739)   172,979                                 
Long/Short Credit   126,205    10,251    (38,884)   97,572                                 
Corporate/Government Bond   37,167    3,771    (61,875)   (20,937)                                
Monthly Distribution   309,307    78,470    (345,815)   41,962                                 
Dynamic Macro   42,791    2,794    (31,545)   14,040                                 
High-Yield Bond   104,964    34,960    (151,150)   (11,226)                                
International Opportunity Bond   26,236    248    (25,990)   494                                 
Large Cap Value   88,590    14,327    (37,247)   65,670                                 
Focused Large Cap Growth   137,733    28,599    (118,605)   47,727                                 
International Stock   82,464    27,672    (62,141)   47,995                                 
Real Estate Stock   30,559    1,724    (32,045)   238                                 
Small Cap Value   73,760    25,630    (27,700)   71,690                                 
Small Cap Growth   84,693    66,749    (110,039)   41,403                                 
Emerging Markets Stock   53,034    2,497    (59,245)   (3,714)                                

110

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

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                                 

111

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

7.DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

The tax character of dividends paid during the year ended October 31, 2019 and October 31, 2018 was as follows:

 

   For the year ended October 31, 2019   For the year ended October 31, 2018 
   Ordinary   Long-Term   Return of       Ordinary   Long-Term   Return of     
Fund  Income   Capital Gains   Capital   Total   Income   Capital Gains   Capital   Total 
Floating Rate Bond**  $8,609,420   $—   $—   $8,609,420   $7,558,793   $—   $—   $7,558,793 
Long/Short Credit**   2,186,769    —    —    2,186,769    479,171    —    —    479,171 
Corporate/Government Bond**   1,364,485    —    —    1,364,485    1,586,252    —    21,031    1,607,283 
Monthly Distribution**   —    —    14,962,154    14,962,154    2,716,635    —    11,318,712    14,035,347 
Dynamic Macro   771,551    —    228,780    1,000,331    —    —    —    — 
High-Yield Bond**   5,606,169    —    1,997    5,608,166    5,523,745    —    —    5,523,725 
International Opportunity Bond   78,557    143,753    2,685    224,995    —    42,342    —    42,342 
Large Cap Value   1,029,945    2,475,280    —    3,505,225    557,584    713,265    —    1,270,849 
Focused Large Cap Growth   —    6,222,027    —    6,222,027    —    722,085    —    722,085 
International Stock *   1,605,914    6,332,594    —    7,938,508    1,605,505    3,151,817    —    4,757,322 
Real Estate Stock   963,717    —    —    963,717    344,955    300,608    —    645,563 
Small Cap Value   1,864,480    3,196,685    23,516    5,084,681    1,593,661    1,586,225    —    3,179,886 
Small Cap Growth   3,935,267    5,125,659    —    9,060,926    1,842,122    3,242,312    —    5,084,434 
Emerging Markets Stock *   1,399,913    —    —    1,399,913    824,337    —    —    824,337 

 

*The difference between ordinary distributions paid from book and ordinary distributions paid from tax relates to allowable foreign tax credits of $454,755 and $196,218 for fiscal year ended October 31, 2019 for the International Stock Fund and Emerging Markets Stock Fund respectively, and $232,938 for the fiscal year ended October 31, 2018 for the Emerging Markets Stock Fund, which have been passed through to the Funds’ underlying shareholders and are deemed dividends for tax purposes.

 

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

 

Permanent book and tax differences, primarily attributable to the reclass of net operating losses and fund distributions and the expiration of capital loss carry forwards, resulted in reclassification for the tax year ended October 31, 2019 as follows:

 

   Paid     
   In   Accumulated 
Fund  Capital   Earnings (Loss) 
Floating Rate Bond  $—   $— 
Long/Short Credit   —    — 
Corporate/Government Bond   —    — 
Monthly Distribution   (1,072,043)   1,072,043 
Dynamic Macro   (152,059)   152,059 
High-Yield Bond   (1,997)   1,997 
International Opportunity Bond   (126,390)   126,390 
Large Cap Value   —    — 
Focused Large Cap Growth   (179,273)   179,273 
International Stock   —    — 
Real Estate Stock   —    — 
Small Cap Value   (23,516)   23,516 
Small Cap Growth   (92,315)   92,315 
Emerging Markets Stock   (351,019)   351,019 

 

Net assets were unaffected by the above reclassifications.

112

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

As of each of the Fund’s tax year-ended October 31, 2019, the components of distributable earnings on a tax basis were as follows:

 

   Undistributed   Undistributed       Capital Loss   Other   Unrealized   Total 
   Ordinary   Long-Term       Carry   Book/Tax   Appreciation/   Accumulated 
Fund  Income   Capital Gains   Late Year Loss   Forwards   Differences   (Depreciation)   Earnings/(Deficits) 
Floating Rate Bond  $113,538   $—   $—   $(4,557,245)  $(4,372)  $(5,370,721)  $(9,818,800)
Long/Short Credit   469,055    —    —    —    (1,802)   1,277,376    1,744,629 
Corporate/Government Bond   21,206    —    —    (3,184,848)   (1,468)   2,315,403    (849,707)
Monthly Distribution   —    —    (804,617)   (950,040)   (515,974)   (1,716,782)   (3,987,413)
Dynamic Macro   —    —    —    (1,364,940)   —    2,526,452    1,161,512 
High-Yield Bond   —    —    —    (7,494,821)   (6,751)   563,319    (6,938,253)
International Opportunity Bond   —    —    (100,060)   —    —    1,296,907    1,196,847 
Large Cap Value   724,977    1,943,275    —    —    —    17,158,205    19,826,457 
Focused Large Cap Growth   —    3,667,504    (1,033,914)   —    —    45,240,001    47,873,591 
International Stock   2,718,040    —    —    (4,689,441)   —    10,575,264    8,603,863 
Real Estate Stock   1,480,197    2,042,145    —    —    —    11,898,531    15,420,873 
Small Cap Value   —    —    (72,334)   (1,143,759)   —    3,408,089    2,191,996 
Small Cap Growth   —    805,397    (635,376)   —    —    3,658,639    3,828,660 
Emerging Markets Stock   630,372    —    —    (1,472,324)   —    4,768,192    3,926,240 
                                    

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, the mark-to -market treatment of open forward foreign currency contracts, options, dividend payable and swap contracts, and adjustments for partnerships, perpetual bonds, passive foreign investment companies, constructive sales of securities held short, straddles and C Corporation return of capital distributions. The unrealized appreciation (depreciation) in the table above includes unrealized foreign currency gains (losses) for the Funds. 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   804,617 
Dynamic Macro   — 
High-Yield Bond   — 
International Opportunity Bond   100,060 
Large Cap Value   — 
Focused Large Cap Growth   1,033,914 
International Stock   — 
Real Estate Stock   — 
Small Cap Value   72,334 
Small Cap Growth   635,376 
Emerging Markets Stock   — 

113

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

At October 31, 2019, the following Funds had capital loss carryforwards for federal income tax purposes available to offset future capital gains as follows:

 

   Non-Expiring   Non-Expiring       Capital Loss Carry   Capital Loss Carry 
Fund  Short-Term   Long-Term   Total   Forward Expired   Forward Utilized 
Floating Rate Bond  $978,122   $3,579,123   $4,557,245   $—   $— 
Long/Short Credit   —    —    —    —    66,482 
Corporate/Government Bond   1,121,080    2,063,768    3,184,848    —    57,915 
Monthly Distribution   —    950,040    950,040    —    — 
Dynamic Macro   1,364,940    —    1,364,940    152,059    3,926,174 
High-Yield Bond   3,837,612    3,657,209    7,494,821    —    — 
International Opportunity Bond   —    —    —    —    — 
Large Cap Value   —    —    —    —    — 
Focused Large Cap Growth   —    —    —    —    — 
International Stock   4,689,441    —    4,689,441    —    — 
Real Estate Stock   —    —    —    —    — 
Small Cap Value   889,147    254,612    1,143,759    —    — 
Small Cap Growth   —    —    —    —    — 
Emerging Markets Stock   1,472,324    —    1,472,324    351,019    — 
                          
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. Based only on the days borrowed, the average amount of borrowings outstanding were as follows:

 

   Average borrowings 
Fund  outstanding 
Corporate/Government Bond  $3,741,667 
Dynamic Macro   461,000 
High-Yield Bond   1,743,250 
International Opportunity Bond   307,889 
Focused Large Cap Growth   1,645,500 
International Stock   154,353 
Real Estate Stock   609,000 
Small Cap Value   74,000 
Small Cap Growth   425,333 
Emerging Markets Stock   607,906 

 

The interest expense for all the Funds listed above is immaterial.

 

As of October 31, 2019, all the Funds listed above had no outstanding borrowings on the Uncommitted Line.

 

Funds not listed above did not access the line of credit during the year ended October 31, 2019.

 

9.SECURITIES LENDING

 

The Funds have entered into separate Securities Lending Agreements (“Agreements”) with the US Bank NA and Securities Finance Trust Company (“SFTC”). International Stock and Emerging Market Stock lend securities with US Bank NA. All other Funds lend securities with SFTC. 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 International Stock Fund is below the 105% threshold due to market fluctuation. 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 Funds collateral, net of any rebates paid by the Bank to the borrowers is remitted to US Bank or SFTC as lending agent and the remainder is paid to the Fund(s).

114

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

Securities lending income, if any, is disclosed in the Funds’ Statements of Operations and is net of fees retained by the counterparty. 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.

 

The below table shows the collateral held by each Fund at the end of the period.

 

                        
                  Gross Amounts Not Offset in the     
                  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   Net Amount 
Monthly Distribution                                 
Liabilities                                 
Securities Loaned  SFTC  $(2,935,000)  $—   $(2,935,000)  $2,935,000   $—   $— 
Securities Loaned  SFTC   (349,250)   —    (349,250)   349,250    —    — 
Total     $(3,284,250)  $—   $(3,284,250)  $3,284,250   $—   $— 
                                  
High-Yield Bond                                 
Liabilities                                 
Securities Loaned  SFTC  $(1,688,092)  $—   $(1,688,092)  $1,688,092   $—   $— 
Securities Loaned  SFTC   (1,964,233)   —    (1,964,233)   1,964,233    —    — 
Total     $(3,652,325)  $—   $(3,652,325)  $3,652,325   $—   $— 
                                  
Large Cap Value                                 
Liabilities                                 
Securities Loaned  SFTC  $(52,600)  $—   $(52,600)  $52,600   $—   $— 
Securities Loaned  SFTC   (992,400)   —    (992,400)   992,400    —    — 
Total     $(1,045,000)  $—   $(1,045,000)  $1,045,000   $—   $— 
                                  
International Stock                                 
Liabilities                                 
Securities Loaned  US Bank  $(6,325,040)  $—   $(6,325,040)  $6,325,040   $—   $— 
                                  
Small Cap Value                                 
Liabilities                                 
Securities Loaned  SFTC  $(542,100)  $—   $(542,100)  $542,100   $—   $— 
                                  
Small Cap Growth                                 
Liabilities                                 
Securities Loaned  SFTC  $(1,113,441)  $—   $(1,113,441)  $1,113,441   $—   $— 
Securities Loaned  SFTC   (1,010,439)   —    (1,010,439)   1,010,439    —    — 
Total     $(2,123,880)  $—   $(2,123,880)  $2,123,880   $—   $— 
                                  
Emerging Markets Stock                                 
Liabilities                                 
Securities Loaned  US Bank  $(4,347,391)  $—   $(4,347,391)  $4,347,391   $—   $— 
                                  

115

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

The following table presents financial instruments that are subject to enforceable netting arrangements as of October 31, 2019.

 

 

 

Gross Amounts of Assets Presented in the Statements of Assets and Liabilities 
         
   Market Value of   Market Value of 
Fund  Loaned Securities   Collateral (1) 
Floating Rate Bond  $—   $— 
Long/Short Credit   —    — 
Corporate/Government Bond   —    — 
Monthly Distribution   3,216,350    3,216,350 
Dynamic Macro   —    — 
High-Yield Bond   3,506,670    3,506,670 
International Opportunity Bond   —    — 
Large Cap Value   1,024,290    1,024,290 
Focused Large Cap Growth   —    — 
International Stock *   6,175,100    6,175,100 
Real Estate Stock   —    — 
Small Cap Value   532,740    532,740 
Small Cap Growth   2,069,994    2,069,994 
Emerging Markets Stock *   4,210,767    4,210,767 

 

(1)The amount is limited to the loaned securities and accordingly, does not include excess collateral pledged.

 

* Securities collateralized below 102% or 105% for foreign securities. 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% or 105% 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% or 105% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102% or 105%.

 

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 October 31, 2019, the percentage of the Monthly Distribution Fund invested in the Fidelity Investments Money Market Fund- Class I was 33.3%.

 

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.

116

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2019 (Continued)

 

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.

117

 

(BBD LOGO)

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Board of Trustees and the Shareholders of the Dunham Funds

 

Opinion on the Financial Statements

 

We have audited the accompanying statements of assets and liabilities of Dunham Floating Rate Bond Fund, Dunham Long/Short Credit Fund (formerly, Dunham Appreciation & Income 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, each a series of shares of beneficial interest in Dunham Funds (the “Funds”), including the schedules of investments, as of October 31, 2019, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the five-year period then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of October 31, 2019, and the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended and their financial highlights for each of the years in the five-year period then ended, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities law and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

118

 

Our audits included performing procedures to assess the risk of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2019 by correspondence with the custodian, counterparties and brokers, or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

(-s- BBD, LLP)

 

BBD, LLP

 

We have served as the auditor of one or more of the Funds in the Dunham Funds since 2007.

 

Philadelphia, Pennsylvania

December 30, 2019

119

 

TRUSTEES & OFFICERS (Unaudited)

 

Trustees and Officers of the Trust, together with information as to their principal business occupations during the last five years, are shown below. Each Trustee who is considered an “interested person” of the Trust (as defined in Section 2(a)(19) of the 1940 Act) is indicated by an asterisk next to his name. Unless otherwise noted, the address of each Trustee and Officer is 10251 Vista Sorrento Parkway, Suite 200, San Diego, CA 92121.

 

Name, Age and
Address 		Position(s)
Held
with Trust 		Term of Office
and Length of
Time Served ^ 		Principal Occupation(s) During the Past
5 Years and Current Directorships 		Number
of Funds
in the
Trust
Overseen
by Trustee 		Other
Directorships
Non-Interested Trustees          
Henry R. Goldstein
c/o Gemini Fund Services,
LLC, 17605 Wright Street,
Suite #2, Omaha, NE 68130
Age:88 		Trustee Since January 2008 Self-employed consultant/mediator (financial services), 2009-present; Independent Contractor, RBC Daniels (financial services company for telecom industry), 2007-2009. 14 None
Paul A. Rosinack
c/o Gemini Fund Services,
LLC, 17605 Wright Street,
Suite #2, Omaha, NE 68130
Age: 72 		Trustee Since January 2008 Retired; President/Chief Executive Officer / Director, Qualigen, Inc., (manufacturer of medical products and equipment) 2004-2017. 14 None
           
Interested Trustees and
Officers 		         
Jeffrey A. Dunham*
Age: 58 		Trustee, Chairman of Board, President & Principal Executive Officer Since January 2008 Chief Executive Officer, Dunham & Associates Investment Counsel, Inc. (registered investment adviser, broker-dealer and distributor for mutual funds), 1985-present; Chief Executive Officer, Dunham & Associates Holdings, Inc. (holding company), 1999-present; Chief Executive Officer, Dunham & Associates Securities, Inc. (general partner for various limited partnerships), 1986-present; Chief Executive Officer, Asset Managers, Inc. (general partner for various limited partnerships), 1985-present; Chairman and Chief Executive Officer, Dunham Trust Company, 1999-present. 14 None
Denise S. Iverson
Age: 60 		Treasurer & Principal Financial Officer Since January 2008 Chief Financial Officer, Dunham & Associates Investment Counsel, Inc. (registered investment adviser, broker-dealer and distributor for mutual funds), 1999-present; Chief Financial Officer, Dunham & Associates Holdings, Inc. (holding company), 1999-present; Chief Financial Officer, Dunham & Associates Securities, Inc. (general partner for various limited partnerships), 1999-present; Chief Financial Officer, Asset Managers, Inc. (general partner for various limited partnerships), 1999-present; Chief Financial Officer and Director, Dunham Trust Company, 1999-present. N/A N/A
Joseph P. Kelly II
Age: 44 		Chief Compliance Officer Since January 2014 General Counsel and Chief Compliance Officer, Dunham & Associates, Investment Counsel, Inc. (registered investment adviser, broker-dealer and distributor for mutual funds), November 2013-present; Senior Associate, Dechert LLP (law firm), 2005-October 2013. N/A N/A
Tamara Beth Wendoll
Age: 48 		Secretary and AML Officer Since October 2015 – Secretary (December 2008 -Assistant Secretary); Since September 2010 – AML Officer Chief Operating Officer, Dunham & Associates Investment Counsel, Inc. (registered investment adviser, broker-dealer and distributor for mutual funds), 2008-present. N/A N/A
Ryan Dykmans
Age: 37 		Assistant Secretary Since October 2015 Director of Research, June 2013-present; Senior Investment Analyst from 2009-2013, Dunham & Associates Investment Counsel, Inc. (registered investment adviser, broker-dealer and distributor for mutual funds). N/A N/A
James Colantino
Age: 50 		Assistant Treasurer Since January 2008

Senior Vice President-Fund Administration, 2012-present; Vice President, 2004-2012;Senior Fund Administrator, 1999-2004,Gemini Fund Services, LLC.

 

 N/A N/A

 

^Each Trustee will serve an indefinite term until his successor, if any, is duly elected and qualified. Officers of the Trust are elected annually.

 

The Trust’s Statement of Additional Information includes additional information about the Trustees and is available free of charge, upon request, by calling toll-free at 1-888-3DUNHAM (338-6426).

120

 

ADDITIONAL INFORMATION (Unaudited)
 
Meeting of the Board of Trustees Held on June 25, 2019

 

On June 25, 2019, the Board of Trustees (the “Board”) of Dunham Funds (the “Trust”), a Delaware business trust, met to consider, among other things, a new sub-advisory agreement (the “Sub-Advisory Agreement”) for the following Trust series (the “Fund”):

 

Fund Sub-Advisory Agreement
Dunham Monthly Distribution Fund Weiss Multi-Strategy Advisers LLC

 

The Sub-Advisory Agreement with Weiss Multi-Strategy Advisers LLC (the “Sub-Adviser”) would take effect on or about August 1, 2019. Weiss would take over sub-advisory responsibilities from the current sub-adviser Perella Weinberg Partners, LLC (“Perella”).

 

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

 

Among other information, the Adviser and the Sub-Adviser provided information to assist the Independent Trustees in assessing the nature, extent and quality of services provided, information comparing the investment performance, sub-advisory fees and operating expense ratio of the 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 the Sub-Advisory Agreement, the Board had received sufficient information to approve the Sub-Advisory Agreement.

 

Based upon its review, the Board concluded that it was in the best interests of the Fund that the Sub-Advisory Agreement be approved. In considering the approval of the Sub-Advisory Agreement, 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 Agreement

 

Nature, Extent and Quality of Services. In considering the approval of the Sub-Advisory Agreement between the Fund and the 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 that, after the Fund’s current sub-adviser Perella reorganized its business operations, some of Perella’s personnel – including the Fund’s portfolio manager David Baker – would be joining the Sub-Adviser. The Sub-Adviser is a 40-year old firm that initially advised a family office. The firm has approximately $1.9 billion in assets under management in mostly market neutral and balanced risk strategies. It advises a $90 million liquid alternative mutual fund and serves as sub-adviser to two other funds. The Board believed that the Fund would benefit from the Sub-Adviser’s large asset management department and use of extensive analytics. The firm has over 100 full-time employees with senior investment personnel working out of its New York City office.

 

Performance. With the Fund retaining the same portfolio manager, the Board noted in particular that the Sub-Adviser intends to retain a similar investment structure employed by the current sub-adviser Perella.

 

Sub-Advisory Fees and Economies of Scale. The Board considered the 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 the Sub-Adviser, an unaffiliated third party.

 

The Board 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 the Sub-Adviser delivers results, and how performance fees should be integrated into their analysis.

121

 

ADDITIONAL INFORMATION (Unaudited) (Continued)

 

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

 

The Board also noted in particular that the Fund’s sub-advisory fee schedule will remain the same after the Sub-Adviser takes over from the current sub-adviser Perella. The Fund will pay a “fulcrum fee” consisting of: a “base fee” of 60 basis points (0.60%) annually; and a “performance fee” at a rate that will vary by up to +/-38 bps (0.38%). The performance fee will be added to or subtracted from the base fee to arrive at the total fulcrum fee. The comparative index will be the IndexIQ IQ Hedge Market Neutral Total Return Index over the applicable measurement period. The Board concluded that the Sub-Adviser’s fees were in a reasonable range.

 

The Board reviewed the relevance of economies of scale in the context of the Sub-Adviser that receives a performance-based fee. The Board agreed that the Adviser had successfully negotiated a favorable base fee with the 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 the Sub-Adviser would not be in the best interests of Fund shareholders at this time.

 

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

 

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

122

 

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     Ending     Ending   
   Annualized  Beginning  Account  Expenses  Account  Expenses
   Expense  Account  Value  Paid During  Value  Paid During
   Ratio  Value 5/1/19  10/31/19  Period*  10/31/19  Period*
Class N:                  
Floating Rate Bond Fund  1.03%  $1,000.00  $1,001.00  $5.21  $1,020.00  $5.26
Long/Short Credit Fund  1.20%  $1,000.00  $1,025.40  $6.12  $1,019.16  $6.10
Corporate/Government Bond Fund  1.23%  $1,000.00  $1,052.90  $6.34  $1,019.03  $6.24
Monthly Distribution Fund  1.94%  $1,000.00  $1,000.00  $9.76  $1,015.44  $9.84
Dynamic Macro Fund  1.63%  $1,000.00  $1,018.20  $8.30  $1,016.98  $8.29
High-Yield Bond Fund  1.04%  $1,000.00  $1,023.20  $5.29  $1,019.97  $5.29
International Opportunity Bond Fund  1.38%  $1,000.00  $1,039.70  $7.08  $1,018.27  $7.00
Large Cap Value Fund  1.21%  $1,000.00  $1,028.90  $6.19  $1,019.10  $6.16
Focused Large Cap Growth Fund  1.30%  $1,000.00  $985.00  $6.50  $1,018.65  $6.61
International Stock Fund  1.34%  $1,000.00  $1,018.40  $6.81  $1,018.46  $6.81
Real Estate Stock Fund  1.22%  $1,000.00  $1,101.40  $6.46  $1,019.05  $6.21
Small Cap Value Fund  1.76%  $1,000.00  $1,010.30  $8.94  $1,016.31  $8.96
Small Cap Growth Fund  1.75%  $1,000.00  $931.90  $8.51  $1,016.40  $8.88
Emerging Markets Stock Fund  1.99%  $1,000.00  $1,005.60  $10.04  $1,015.19  $10.09
Class A:                  
Floating Rate Bond Fund  1.28%  $1,000.00  $999.70  $6.46  $1,018.74  $6.52
Long/Short Credit Fund  1.40%  $1,000.00  $1,024.10  $7.13  $1,018.16  $7.11
Corporate/Government Bond Fund  1.47%  $1,000.00  $1,051.70  $7.61  $1,017.79  $7.48
Monthly Distribution Fund  2.18%  $1,000.00  $998.80  $11.01  $1,014.19  $11.09
Dynamic Macro Fund  1.88%  $1,000.00  $1,017.30  $9.57  $1,015.72  $9.56
High-Yield Bond Fund  1.29%  $1,000.00  $1,021.60  $6.56  $1,018.71  $6.55
International Opportunity Bond Fund  1.63%  $1,000.00  $1,038.90  $8.36  $1,017.01  $8.27
Large Cap Value Fund  1.46%  $1,000.00  $1,026.90  $7.46  $1,017.85  $7.42
Focused Large Cap Growth Fund  1.55%  $1,000.00  $983.40  $7.75  $1,017.39  $7.88
International Stock Fund  1.59%  $1,000.00  $1,016.50  $8.08  $1,017.19  $8.08
Real Estate Stock Fund  1.47%  $1,000.00  $1,100.00  $7.78  $1,017.80  $7.48
Small Cap Value Fund  2.01%  $1,000.00  $1,009.10  $10.19  $1,015.06  $10.23
Small Cap Growth Fund  2.00%  $1,000.00  $931.00  $9.74  $1,015.11  $10.17
Emerging Markets Stock Fund  2.24%  $1,000.00  $1,004.30  $11.31  $1,013.92  $11.36

123

 

DUNHAM FUNDS’ EXPENSES (Unaudited) (Continued)

 

         Actual  Hypothetical
   Fund’s     Ending     Ending   
   Annualized  Beginning  Account  Expenses  Account  Expenses
   Expense  Account  Value  Paid During  Value  Paid During
   Ratio  Value 5/1/19  10/31/19  Period*  10/31/19  Period*
Class C:                  
Floating Rate Bond Fund  1.78%  $1,000.00  $998.20  $8.97  $1,016.22  $9.05
Long/Short Credit Fund  2.20%  $1,000.00  $1,020.00  $11.22  $1,014.10  $11.18
Corporate/Government Bond Fund  1.97%  $1,000.00  $1,049.40  $10.20  $1,015.25  $10.03
Monthly Distribution Fund  2.94%  $1,000.00  $995.10  $14.77  $1,010.40  $14.89
Dynamic Macro Fund  2.63%  $1,000.00  $1,013.80  $13.36  $1,011.94  $13.35
High-Yield Bond Fund  1.79%  $1,000.00  $1,018.30  $9.09  $1,016.19  $9.08
International Opportunity Bond Fund  2.13%  $1,000.00  $1,035.20  $10.91  $1,014.49  $10.80
Large Cap Value Fund  2.21%  $1,000.00  $1,023.80  $11.27  $1,014.06  $11.22
Focused Large Cap Growth Fund  2.30%  $1,000.00  $979.70  $11.48  $1,013.61  $11.67
International Stock Fund  2.34%  $1,000.00  $1,012.50  $11.86  $1,013.42  $11.86
Real Estate Stock Fund  2.22%  $1,000.00  $1,096.00  $11.73  $1,014.02  $11.27
Small Cap Value Fund  2.76%  $1,000.00  $1,005.60  $13.97  $1,011.27  $14.01
Small Cap Growth Fund  2.74%  $1,000.00  $927.00  $13.29  $1,011.41  $13.88
Emerging Markets Stock Fund  2.99%  $1,000.00  $1,001.50  $15.06  $1,010.16  $15.12

 

*Expenses Paid During Period are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 days and divided by 365 (to reflect the number of days in the six month period ending October 31, 2019).

124

 

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

125

 

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

126

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

How to Obtain Proxy Voting Information

 

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

 

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

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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.

 

(a)       As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

 

(b)        For purposes of this item, “code of ethics” means written standards that are reasonably designed to deter wrongdoing and to promote:

 

(1)Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;
(2)Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant;

(3)        Compliance with applicable governmental laws, rules, and regulations;

(4)The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and

(5)        Accountability for adherence to the code.

 

(c)        Amendments:

During the period covered by the report, there have not been any amendments to the provisions of the code of ethics.

 

(d)        Waivers:

During the period covered by the report, the registrant has not granted any express or implicit waivers from the provisions of the code of ethics.

 

Item 3. Audit Committee Financial Expert.

 

(a)Timothy M. Considine, who served as an audit committee financial expert, resigned as a member of the Board of Trustees effective October 8, 2019. The search for his replacement is ongoing. As a result, the Registrant’s Board of Trustees has determined that it does not have an audit committee financial expert serving on its audit committee. In the interim, the Registrant believes that the experience provided by each member of the audit committee together offer the Registrant adequate oversight for the Registrant’s level of financial complexity.

 

Item 4. Principal Accountant Fees and Services.

 

(a)Audit Fees

FY 2019 $ 173,600

FY 2018 $ 186,000

 

 

(b)Audit-Related Fees

FY 2019 $ 0

FY 2018 $ 0

 

Nature of the fees:

 

(c)Tax Fees

FY 2019 $ 30,800

FY 2018 $ 30,000

 

Nature of the fees: Preparation of federal and state tax returns and review of annual dividend calculations.

 

(d)All Other Fees

Registrant Adviser

FY 2019 $ 0 $ 0

FY 2018 $ 0 $ 0

 

Nature of the fees:

 

(e)(1) Audit Committee’s Pre-Approval Policies

 

The registrant’s Audit Committee is required to pre-approve all audit services and, when appropriate, any non-audit services (including audit-related, tax and all other services) to the registrant. The registrant’s Audit Committee is also required to pre-approve, when appropriate, any non-audit services (including audit-related, tax and all other services) to its adviser, or any entity controlling, controlled by or under common control with the adviser that provides ongoing services to the registrant to the extent that the services are determined to have a direct impact on the operations or financial reporting of the registrant. Services are reviewed on an engagement by engagement basis by the audit committee.

 

(2)Percentages of 2018 Services Approved by the Audit Committee

 

   Registrant  Adviser
       
Audit-Related Fees:   0%   0%
Tax Fees:   0%   0%
All Other Fees:   0%   0%

 

(f)        During audit of registrant's financial statements for the most recent fiscal year, less than 50 percent of the hours expended on the principal accountant's engagement were attributed to work performed by persons other than the principal accountant's full-time, permanent employees.

 

(g)        The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant:

 

   Registrant  Adviser
       
 FY 2019    $30,800    $ None 
 FY 2018   $30,000    $ None 

 

(h)        Not applicable. All non-audit services to the registrant were pre-approved by the Audit Committee.

 

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) Code of Ethics filed herewith.

 

(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 1/8/20

 

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 1/8/20

 

By (Signature and Title)

/s/ Denise Iverson

Denise Iverson, Principal Financial Officer/Treasurer

 

Date 1/8/20