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)
Emile Molineaux
Gemini Fund Services, LLC., 80Arkay Drive Hauppauge, NY 11788
(Name and address of agent for service)
Registrant's telephone number, including area code:
631-470-2616
Date of fiscal year end:
10/31
Date of reporting period:10/31/14
Item 1. Reports to Stockholders.
October 31, 2014 | A N N U A L R E P O R T | ||
This report is for the information of shareholders of the Dunham Funds. It may also be used as sales literature when preceded by or accompanied by a current prospectus, which contains information concerning investment objectives, risks, and charges and expenses of the funds. Read the prospectus carefully before investing. For this and other information about the Dunham Funds, contact your financial advisor or call Client Services at (800) 442-4358. |
Dunham Corporate/Government Bond Fund | ||
Investment Adviser: | |||
Dunham & Associates Investment Counsel, Inc. P.O. Box 910309 San Diego, California 92191 | |||
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,
The past fiscal year has been filled with highs and lows, both domestically and internationally. After a year of stellar performance, it was widely expected that U.S. stocks would produce mediocre returns, at best, in the following year. However, to many people’s surprise, U.S. equities defied those expectations. To that end, U.S. equity markets have seen 19 record highs from the Dow Jones Industrial Average and 35 record highs from the S&P 500 during the past twelve months.
Similarly, after Federal Reserve comments resulted in a spike in interest rates in mid-2013, the expectation of a continued rise throughout 2014 was widely held. Although 10-Year U.S. Treasury bond yields broke the 3% threshold at the end of 2013, which had not been breached in more than two fiscal years, interest rates began a steady descent throughout 2014, declining to near-historic lows.
U.S. economic data has consistently supported growth, which in addition to steadily increasing Gross Domestic Product throughout most of the fiscal year, has been reflected in employment opportunities for Americans as well as their confidence as consumers. The Federal Reserve ended its quantitative easing program, which may be viewed as the catalyst for the five-year recovery from the Great Recession. U.S. oil prices hit lows unseen in more than two years, and the U.S. dollar’s strength has been increasing relative to major currencies all over the world.
Across both seas, economic difficulties were felt in Europe, Japan, and China. Central banks in all three areas have adopted stimulus measures in hopes of averting global recession. Political unrest in the Ukraine and the Middle-East, along with the Ebola virus making daily headlines and the emergence of ISIS as a global threat, continued to keep investors on edge. In addition to falling oil prices, sanctions against Russia made life in the former Soviet Union difficult and spilled more uncertainty into Europe.
With no shortage of global concerns to impact investment portfolios, we were diligently working to continue to add pieces to the Dunham offering that could position our Shareholders to withstand occurrences that might detract from their investments. To that extent, on the equity side we introduced the Dunham Dynamic Macro Fund to the Dunham family of funds and made changes to the Dunham Appreciation & Income Fund, which included revising its investment strategy and replacing the Sub-Adviser. We felt these modifications might mitigate overall risk and give the Dunham line-up of equity mutual funds an added level of diversification while still allowing for the potential to participate in the upside of the equity markets.
On the fixed income side, we feel we have positioned our risks in such a way as to potentially weather the inevitable rise in interest rates and provide our Shareholders with a reasonable risk-adjusted return on the income-producing side of their portfolio.
As we continue to move toward economic growth in the U.S. and as world economies begin to recover, we will continue to look for ways to grow your investments to the best of our abilities. 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,
Jeffrey A. Dunham
President
Dunham & Associates Investment Counsel, Inc.
October 31, 2014
1 |
Dunham Corporate/Government Bond Fund
Message from the Sub-Adviser (Newfleet Asset Management LLC)
Investment-grade bonds, as measured by the Barclays Aggregate Bond Index, rose 4.1 percent in the fiscal year ended October 31, 2014 after a 1.1 percent decline over the previous fiscal year. Treasuries in the middle of the yield curve, as measured by the BofA ML Treasuries 5-7 Years Index, ended the fiscal year up 2.0 percent, while long-term Treasuries, as measured by the BofA ML Treasuries 10+ Years Index, saw an increase of 12.8 percent over the fiscal year. Corporate bonds, as measured by the BofA ML U.S. Corporate Bond Index, increased more than three times intermediate-term Treasury bonds, rising 6.5 percent over the fiscal year. High-yield bonds, as measured by the BofA ML High-Yield Bond Cash Pay Index, rose 5.8 percent, outperforming the intermediate-term Treasury bonds by 3.8 percent during the fiscal year ended October 31, 2014.
The Fund continued to balance risk versus reward by choosing to emphasize lower duration bonds and overweighting lower credit quality securities, which have been outperforming in anticipation of rising interest rates during the year. The average effective duration of the Fund declined throughout the fiscal year and was roughly 4.09 years while the benchmark index had an average duration of 5.53 years. This allocation generally dragged on performance for the Fund as Treasury yields experienced a down-trend for the year, trading in a relatively broad range of 110 basis points. Long-term Treasuries hit a high of 3.81 percent on the last day of 2013 and hit a low in mid-October of this year of 2.73 percent before settling in and ending the fiscal year at 2.93 percent. The overweight to corporate high-yield securities was the single largest contributor to performance over the fiscal year. The Sub-Adviser maintained an overweight to the sector, investing nearly one-third of the Fund in such securities while the index held less than 1 percent.
A top performing holding in the Fund for the year, which is in the high-yield sector, was First Data Corporation 11.75% due 8/15/2021 (319963BL7) (holdings percentage*: 0.34 percent), a provider of electronic commerce solutions, which announced a $3.5 billion equity infusion which the Sub-Adviser believed would significantly reduce its leverage. These bonds returned 16.7 percent for the fiscal year. Another contributor from the high-yield sector included the San Diego Regional Airport Authority 5.594% due 7/1/2043 (79742GAF8) (holdings percentage*: 0.70 percent), an airport authority based in the County of San Diego in the state of California. This security benefitted mostly from the long duration as the 30-year U.S. Treasury rallied 37 basis points over the period July 31, 2014 through October 22, 2014. The spread was basically unchanged at 130 basis points over that period, therefore the bonds moved in line with the Treasury rally. These bonds gained 3.9 percent in the fiscal year ended October 31, 2014.
One of the top detractors from the Fund was CGG 6.5% due 6/1/2021 (204384AB7) (holdings percentage*: 0.37 percent), a manufacturer and provider of geophysical services, software, and equipment. The company reported weak earnings during the year and continues to face a softer demand environment for its services. The bonds lost 16.92 percent during the fiscal year. Energy XXI Gulf Coast, Inc. 6.875% due 3/15/2024 (29276KAT8) (holdings percentage*: 0.22 percent), is an independent oil and natural gas exploration and production company with operations focused in the United States Gulf Coast and the Gulf of Mexico. The bonds have been under pressure recently with the drop in oil prices. At a yield of 10.5 percent and spreads approaching 900 basis points, the Sub-Adviser believes they are getting paid to take on this risk at this juncture. The bonds were down 18.56 percent for the fiscal year ended October 31, 2014.
The Sub-Adviser continued to overweight commercial mortgage-backed securities during the fiscal year which had minimal impact on performance as security selection in this sector also lagged somewhat. However, the combination contributed 6 basis points to the Fund’s return relative to the benchmark index for the fiscal year.
Exposure to investment-grade corporate bonds enhanced performance on both a relative and absolute basis as security selection in this sector surpassed investment-grade corporate bonds within the benchmark index. Despite the sector underweight, the security selection contributed 47 basis points to the Fund return for the fiscal year.
The Sub-Adviser believes U.S. economic growth will continue to increase in the coming quarter, albeit at a modest pace. An improving job market and relatively low inflation leads the Sub-Adviser to expect the Fed to begin raising interest rates in mid-2015 while expecting the 10-Year Treasury to stay within the 2.5 percent to 3.0 percent range in the meantime. High-yield bond defaults are expected to continue to remain low, which should bode well going forward for the Sub-Adviser’s strategy and investment grade should provide opportunities if profit margins continue their upward trend.
* | Holdings percentage(s) as of 10/31/2014. |
Growth of $10,000 Investment - (Unaudited)
Total Returns as of October 31, 2014 | ||||||||
Annualized | Annualized | Annualized Since Inception | ||||||
One Year | Three Years | Five Years | (12/10/04) | |||||
Class N | 3.77% | 3.96% | 4.68% | 4.66% | ||||
Class C | 3.08% | 3.21% | 3.91% | 3.89% | ||||
Class A with load of 4.50% | (1.05)% | 2.12% | 3.45% | 4.12%* | ||||
Class A without load | 3.59% | 3.69% | 4.41% | 4.73%* | ||||
Barclays Aggregate Bond Index | 4.14% | 2.73% | 4.22% | 4.68% | ||||
Morningstar Intermediate-Term Bond Category | 4.06% | 3.54% | 4.75% | 4.21% |
* | Class A commenced operations on January 3, 2007. |
The Barclays Aggregate Bond Index is an unmanaged index which represents the U.S. investment-grade fixed-rate bond market (including government and corporate securities, mortgage pass-through securities and asset-backed securities). Investors cannot invest directly in an index or benchmark.
The Morningstar Intermediate-Term Bond Category is generally representative of intermediate-term bond mutual funds that primarily invest in corporate and other investment-grade U.S. fixed-income securities and typically have durations of 3.5 to 6.0 years.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.20% 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.
2 |
SCHEDULE OF INVESTMENTS
Dunham Corporate/Government Bond Fund
October 31, 2014
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
CORPORATE BONDS & NOTES - 60.8% | ||||||||||||||
AEROSPACE/DEFENSE - 0.5% | ||||||||||||||
AAR Corp. | $ | 120,000 | 7.250 | % | 1/15/2022 | $ | 130,800 | |||||||
Spirit AeroSystems, Inc. | 30,000 | 5.250 | 3/15/2022 | 30,675 | ||||||||||
TransDigm, Inc. | 110,000 | 6.000 | 7/15/2022 | 111,787 | ||||||||||
273,262 | ||||||||||||||
AIRLINES ABS - 1.1% | ||||||||||||||
Air Canada 2013-1 Class B Pass Through Trust - 144A | 110,102 | 5.375 | 5/15/2021 | 111,478 | ||||||||||
Continental Airlines 2009-2 Class A Pass Through Trust | 240,207 | 7.250 | 11/10/2019 | 281,493 | ||||||||||
United Airlines 2009-2A Pass Through Trust | 175,381 | 9.750 | 1/15/2017 | 194,673 | ||||||||||
587,644 | ||||||||||||||
AUTO PARTS & EQUIPMENT - 0.5% | ||||||||||||||
Meritor, Inc. | 215,000 | 6.750 | 6/15/2021 | 227,900 | ||||||||||
MPG Holdco I, Inc. - 144A | 10,000 | 7.375 | 10/15/2022 | 10,550 | ||||||||||
238,450 | ||||||||||||||
AUTOMOBILE ABS - 2.3% | ||||||||||||||
California Republic Auto Receivables Trust 2014-3 A4 | 390,000 | 1.790 | 3/16/2020 | 391,647 | ||||||||||
Capital Auto Receivables Asset Trust / Ally 2013-1 C | 590,000 | 1.740 | 10/22/2018 | 591,737 | ||||||||||
Ford Credit Auto Owner Trust 2013-B D | 194,000 | 1.820 | 11/15/2019 | 196,383 | ||||||||||
1,179,767 | ||||||||||||||
BANKS - 9.3% | ||||||||||||||
Banco de Credito del Peru - 144A | 170,000 | 6.125 | + | 4/24/2027 | 183,600 | |||||||||
Banco de Credito e Inversiones - 144A | 325,000 | 4.000 | 2/11/2023 | 321,871 | ||||||||||
Banco Internacional del Peru SAA -144A | 200,000 | 6.625 | + | 3/19/2029 | 217,000 | |||||||||
Banco Santander Chile - 144A | 300,000 | 3.875 | 9/20/2022 | 301,048 | ||||||||||
Banco Votorantim SA - 144A | 275,000 | 7.375 | 1/21/2020 | 304,342 | ||||||||||
Bank of America Corp | 175,000 | 5.625 | 7/1/2020 | 198,983 | ||||||||||
Barclays Bank PLC - 144A | 270,000 | 6.050 | 12/4/2017 | 299,570 | ||||||||||
Citigroup, Inc. | 130,000 | 4.050 | 7/30/2022 | 133,959 | ||||||||||
Citigroup, Inc. | 100,000 | 5.800 | + | Perpetual | 100,450 | |||||||||
Goldman Sachs Group Inc. | 185,000 | 5.750 | 1/24/2022 | 213,318 | ||||||||||
Goldman Sachs Group Inc. | 105,000 | 5.700 | + | Perpetual | 107,494 | |||||||||
JPMorgan Chase & Co | 40,000 | 6.125 | 6/27/2017 | 44,559 | ||||||||||
JPMorgan Chase & Co | 300,000 | 5.150 | + | Perpetual | 285,000 | |||||||||
Macquarie Bank Ltd. - 144A | 17,000 | 6.625 | 4/7/2021 | 19,541 | ||||||||||
Morgan Stanley | 185,000 | 4.100 | 5/22/2023 | 186,927 | ||||||||||
Morgan Stanley | 225,000 | 6.375 | 7/24/2042 | 290,765 | ||||||||||
Morgan Stanley | 105,000 | 5.450 | + | Perpetual | 105,623 | |||||||||
PNC Financial Services Group, Inc. | 255,000 | 4.850 | + | Perpetual | 242,887 | |||||||||
Turkiye Garanti Bankasi AS - 144A | 330,000 | 5.250 | 9/13/2022 | 336,600 | ||||||||||
UBS AG/Stamford CT | 650,000 | 7.625 | 8/17/2022 | 768,258 | ||||||||||
Zions Bancorporation | 115,000 | 4.500 | 6/13/2023 | 121,118 | ||||||||||
4,782,913 | ||||||||||||||
BUILDING MATERIALS - 0.6% | ||||||||||||||
Builders FirstSource, Inc. - 144A | 55,000 | 7.625 | 6/1/2021 | 57,337 | ||||||||||
Builing Materials Corp of America - 144A | 50,000 | 5.375 | 11/15/2024 | 50,375 | ||||||||||
CPG Merger Sub LLC - 144A | 85,000 | 8.000 | 10/1/2021 | 87,550 | ||||||||||
Masco Corp. | 95,000 | 5.950 | 3/15/2022 | 104,975 | ||||||||||
300,237 | ||||||||||||||
CHEMICALS - 1.4% | ||||||||||||||
Hexion US Finance Corp. | 170,000 | 6.625 | 4/15/2020 | 170,850 | ||||||||||
New Market Corp. | 305,000 | 4.100 | 12/15/2022 | 308,884 | ||||||||||
Ryonies AM Products, Inc. - 144A | 70,000 | 5.500 | 6/1/2024 | 66,325 | ||||||||||
Tronox Finance LLC | 175,000 | 6.375 | 8/15/2020 | 180,687 | ||||||||||
726,746 |
See accompanying notes to financial statements.
3 |
SCHEDULE OF INVESTMENTS
Dunham Corporate/Government Bond Fund (Continued)
October 31, 2014
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
COAL - 0.1% | ||||||||||||||
Consol Energy, Inc. - 144A | $ | 70,000 | 5.8750 | % | 4/15/2022 | $ | 71,312 | |||||||
COMMERCIAL MBS - 7.1% | ||||||||||||||
A10 Securitization 2013-1 B LLCA10 2013-1 B - 144A | 300,000 | 4.120 | 11/15/2025 | 300,154 | ||||||||||
Aventura Mall Trust 2013-AVM - 144A | 100,000 | 3.867 | + | 12/5/2032 | 102,691 | |||||||||
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9 A4B | 580,000 | 4.943 | 9/11/2042 | 596,888 | ||||||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP28 A3 | 62,167 | 5.793 | 9/11/2042 | 62,112 | ||||||||||
Citigroup Commercial Mortgage Trust 2007-C6 | 290,000 | 5.899 | + | 12/10/2049 | 318,369 | |||||||||
Citigroup Commercial Mortgage Trust 2008-C7 | 95,000 | 6.338 | + | 12/10/2049 | 104,932 | |||||||||
Extended Stay America 2013-ESH - 144A | 300,000 | 2.958 | 12/5/2031 | 305,117 | ||||||||||
Government National Mortgage Association 2012-147 AK | 493,006 | 2.587 | + | 4/16/2054 | 507,822 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 | 470,000 | 5.882 | + | 2/15/2051 | 514,408 | |||||||||
LB-UBS Commercial Mortgage Trust 2007-C7 A3 | 63,940 | 5.866 | + | 9/15/2045 | 71,002 | |||||||||
Morgan Stanley Capital I Trust 2005-IQ10 A4B | 510,000 | 5.284 | + | 9/15/2042 | 525,757 | |||||||||
Morgan Stanley Capital I Trust 2007-IQ14 AM | 224,000 | 5.867 | + | 4/15/2049 | 234,457 | |||||||||
3,643,709 | ||||||||||||||
COMMERCIAL SERVICES - 1.0% | ||||||||||||||
ADT Corp. | 180,000 | 6.250 | 10/15/2021 | 189,450 | ||||||||||
Ahern Rentals, Inc.- 144A | 195,000 | 9.500 | 6/15/2018 | 209,138 | ||||||||||
Ceridian LLC. -144A | 5,000 | 8.125 | 11/15/2017 | 5,012 | ||||||||||
Interactive Data Corp -144A | 80,000 | 5.875 | 4/15/2019 | 80,300 | ||||||||||
483,900 | ||||||||||||||
DISTRIBUTION / WHOLESALE - 0.5% | ||||||||||||||
Rexal SA - 144A | 245,000 | 5.250 | 6/15/2020 | 248,062 | ||||||||||
DIVERSIFIED FINANCIAL SERVICES - 3.5% | ||||||||||||||
Aircastle Ltd. | 200,000 | 5.125 | 3/15/2021 | 203,000 | ||||||||||
Ford Motor Credit Co. LLC. | 270,000 | 5.750 | 2/1/2021 | 309,385 | ||||||||||
General Electric Capital Corp. | 100,000 | 7.125 | + | Perpetual | 116,875 | |||||||||
General Electric Capital Corp. | 200,000 | 5.250 | + | Perpetual | 201,000 | |||||||||
General Motors Financial Co., Inc. | 130,000 | 3.500 | 7/10/2019 | 134,144 | ||||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp. | 10,000 | 4.875 | 3/15/2019 | 10,200 | ||||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp. | 55,000 | 6.000 | 8/1/2020 | 58,025 | ||||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp. | 100,000 | 5.875 | 2/1/2022 | 103,250 | ||||||||||
Infinity Acquisition LLC / Infinity Acquisition Finance Corp. - 144A | 80,000 | 7.250 | 8/1/2022 | 75,200 | ||||||||||
Macquarie Group Ltd.- 144A | 125,000 | 6.250 | 1/14/2021 | 143,045 | ||||||||||
Nationstar Mortgage LLC / Nationstar Capital Corp. | 200,000 | 6.500 | 6/1/2022 | 187,000 | ||||||||||
Navient LLC. | 140,000 | 5.500 | 1/25/2023 | 140,350 | ||||||||||
Walter Investment Management Corp. - 144A | 135,000 | 7.875 | 12/15/2021 | 127,575 | ||||||||||
1,809,049 | ||||||||||||||
ELECTRIC - 0.6% | ||||||||||||||
Dynergy Finance I, Inc. / Dynergy Finance II, Inc. - 144A | 55,000 | 7.375 | 11/1/2022 | 58,231 | ||||||||||
Dynergy Finance I, Inc. / Dynergy Finance II, Inc. - 144A | 20,000 | 7.625 | 11/1/2024 | 21,225 | ||||||||||
Electricite de France SA - 144A | 165,000 | 5.250 | + | Perpetual | 171,600 | |||||||||
RJS Power Holdings LLC - 144A | 60,000 | 5.125 | 7/15/2019 | 60,000 | ||||||||||
311,056 | ||||||||||||||
ELECTRONICS - 0.1% | ||||||||||||||
Sanmina Corp. - 144A | 20,000 | 4.375 | 6/1/2019 | 20,075 | ||||||||||
ENTERTAINMENT - 1.7% | ||||||||||||||
GLP Capital LP / GLP Financing II Inc. | 10,000 | 4.375 | 11/1/2018 | 10,325 | ||||||||||
GLP Capital LP / GLP Financing II Inc. | 85,000 | 4.875 | 11/1/2020 | 88,825 | ||||||||||
GLP Capital LP / GLP Financing II Inc. | 5,000 | 5.375 | 11/1/2023 | 5,288 | ||||||||||
Isle of Capri Casinos, Inc. | 125,000 | 5.875 | 3/15/2021 | 128,750 | ||||||||||
Mohegan Tribal Gaming Authority | 190,000 | 9.750 | 9/1/2021 | 197,600 |
See accompanying notes to financial statements.
4 |
SCHEDULE OF INVESTMENTS
Dunham Corporate/Government Bond Fund (Continued)
October 31, 2014
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
ENTERTAINMENT - 1.7 % (Continued) | ||||||||||||||
Penn National Gaming Inc . | $ | 120,000 | 5.875 | % | 11/1/2021 | $ | 115,200 | |||||||
Scientific Games International, Inc. - 144A | 110,000 | 6.625 | 5/15/2021 | 87,862 | ||||||||||
Six Flags Entertainment Corp. - 144A | 245,000 | 5.250 | 1/15/2021 | 247,450 | ||||||||||
United Artists Theatre Circuit Inc. 1995-A Pass Through Trust * | 1,254 | 9.300 | 7/1/2015 | 1,262 | ||||||||||
882,562 | ||||||||||||||
FOOD - 0.3% | ||||||||||||||
Ingles Markets, Inc. | 100,000 | 5.750 | 6/15/2023 | 102,250 | ||||||||||
WhiteWave Foods Co. | 35,000 | 5.375 | 10/1/2022 | 36,925 | ||||||||||
139,175 | ||||||||||||||
FOREST PRODUCTS & PAPER - 0.6% | ||||||||||||||
Sappi Papier Holding GmbH - 144A | 265,000 | 6.625 | 4/15/2021 | 276,925 | ||||||||||
GAS - 0.1% | ||||||||||||||
NGL Energy Partners LP - 144A | 70,000 | 5.125 | 7/15/2019 | 70,525 | ||||||||||
HEALTHCARE PRODUCTS - 0.2% | ||||||||||||||
Crimson Merger Sub, Inc. - 144A | 80,000 | 6.625 | 5/15/2022 | 74,900 | ||||||||||
Mallinckrodt International Finance SA -144A | 40,000 | 5.750 | 8/1/2022 | 41,950 | ||||||||||
116,850 | ||||||||||||||
HEALTHCARE-SERVICES - 1.1% | ||||||||||||||
Acadia Healthcare Co., Inc. | 45,000 | 5.125 | 7/1/2022 | 44,888 | ||||||||||
CHS/Community Health Systems, Inc. - 144A | 30,000 | 5.125 | 8/1/2021 | 31,500 | ||||||||||
CHS/Community Health Systems, Inc. - 144A | 30,000 | 6.875 | 2/1/2022 | 32,437 | ||||||||||
IASIS Healthcare LLC / IASIS Capital Corp. | 70,000 | 8.375 | 5/15/2019 | 74,025 | ||||||||||
LifePoint Hospitals, Inc. | 55,000 | 5.500 | 12/1/2021 | 57,888 | ||||||||||
Select Medical Corp. | 140,000 | 6.375 | 6/1/2021 | 143,850 | ||||||||||
Tenet Healthcare Corp. - 144A | 60,000 | 5.500 | 3/1/2019 | 61,650 | ||||||||||
Tenet Healthcare Corp. | 100,000 | 8.125 | 4/1/2022 | 114,875 | ||||||||||
561,113 | ||||||||||||||
HOLDING COMPANIES-DIVERSIFIED - 0.6% | ||||||||||||||
Hutchison Whampoa International 12 Ltd. - 144A | 185,000 | 6.000 | + | Perpetual | 198,590 | |||||||||
Leucadia National Corp. | 105,000 | 5.500 | 10/18/2023 | 110,374 | ||||||||||
308,964 | ||||||||||||||
HOME BUILDERS - 0.5% | ||||||||||||||
Brookfield Residential Properties, Inc. - 144A | 80,000 | 6.500 | 12/15/2020 | 85,600 | ||||||||||
Taylor Morrison Communities, Inc. / Monarch Communities, Inc. - 144A | 190,000 | 5.250 | 4/15/2021 | 192,305 | ||||||||||
277,905 | ||||||||||||||
HOME EQUITY ABS - 2.1% | ||||||||||||||
Bayview Financial Mortgage Pass-Through Trust 2006-A 1A4 (a) | 560,000 | 6.087 | 2/28/2041 | 580,997 | ||||||||||
GSAA Trust 2005-1 AF4 (a) | 458,613 | 5.619 | 11/25/2034 | 491,508 | ||||||||||
1,072,505 | ||||||||||||||
INSURANCE - 2.4% | ||||||||||||||
Allstate Corp. | 200,000 | 5.750 | + | 8/15/2053 | 213,125 | |||||||||
Chubb Corp. | 85,000 | 6.375 | + | 3/29/2067 | 93,075 | |||||||||
Genworth Holdings, Inc. | 205,000 | 4.900 | 8/15/2023 | 213,826 | ||||||||||
Prudential Financial, Inc. | 370,000 | 5.625 | + | 6/15/2043 | 385,725 | |||||||||
Teachers Insurance & Annuity Association of America - 144A | 110,000 | 4.375 | + | 9/15/2054 | 112,013 | |||||||||
Voya Financial, Inc. | 125,000 | 5.650 | + | 5/15/2053 | 125,625 | |||||||||
York Risk Services Holding Corp. - 144A | 65,000 | 8.500 | 10/1/2022 | 66,219 | ||||||||||
1,209,608 | ||||||||||||||
INVESTMENT COMPANIES - 0.2% | ||||||||||||||
PennantPark Investment Corp. | 110,000 | 4.500 | 10/1/2019 | 111,086 |
See accompanying notes to financial statements.
5 |
SCHEDULE OF INVESTMENTS
Dunham Corporate/Government Bond Fund (Continued)
October 31, 2014
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
IRON / STEEL - 1.7% | ||||||||||||||
Carpenter Technology Corp. | $ | 300,000 | 4.450 | % | 3/1/2023 | $ | 308,087 | |||||||
Gerdau Trade, Inc. - 144A | 370,000 | 4.750 | 4/15/2023 | 368,039 | ||||||||||
United States Steel Corp. | 180,000 | 6.875 | 4/1/2021 | 195,300 | ||||||||||
871,426 | ||||||||||||||
LEISURE TIME - 0.2% | ||||||||||||||
Viking Cruises Ltd. - 144A | 105,000 | 8.500 | 10/15/2022 | 114,188 | ||||||||||
LODGING - 0.8% | ||||||||||||||
Boyd Gaming Corp. | 110,000 | 9.000 | 7/1/2020 | 119,213 | ||||||||||
MGM Resorts International | 115,000 | 6.750 | 10/1/2020 | 126,500 | ||||||||||
Station Casinos LLC | 170,000 | 7.500 | 3/1/2021 | 178,500 | ||||||||||
424,213 | ||||||||||||||
MEDIA - 0.9% | ||||||||||||||
Cequel Communications Holdings I LLC / Cequel Capital Corp. - 144A | 105,000 | 5.125 | 12/15/2021 | 103,031 | ||||||||||
Clear Channel Worldwide Holdings, Inc. | 250,000 | 7.625 | 3/15/2020 | 267,188 | ||||||||||
iHeartCommunications, Inc. | 25,000 | 10.000 | 1/15/2028 | 20,984 | ||||||||||
MHGE Parent Finance, Inc. - 144A | 80,000 | 8.500 | 8/1/2019 | 79,300 | ||||||||||
470,503 | ||||||||||||||
MINING - 2.0% | ||||||||||||||
FMG Resources August 2006 Pty Ltd. - 144A | 100,000 | 8.250 | 11/1/2019 | 104,125 | ||||||||||
OIL & GAS - 4.8% | ||||||||||||||
Atlas Energy Holdings Operating Co. LLC - 144A | 40,000 | 7.750 | 1/15/2021 | 36,200 | ||||||||||
BreitBurn Energy Partners LP / BreitBurn Finance Corp. | 190,000 | 7.875 | 4/15/2022 | 183,231 | ||||||||||
California Resources Corp. - 144A | 90,000 | 6.000 | 11/15/2024 | 92,025 | ||||||||||
Calumet Specialty Products Partners LP / Calumet Finance Corp. - 144A | 105,000 | 6.500 | 4/15/2021 | 102,375 | ||||||||||
Carrizo Oil & Gas, Inc. - 144A | 100,000 | 7.500 | 9/15/2020 | 101,500 | ||||||||||
Citgo Petroleum Corp - 144A | 50,000 | 6.250 | 8/15/2022 | 51,125 | ||||||||||
Denbury Resources, Inc. | 105,000 | 5.500 | 5/1/2022 | 103,556 | ||||||||||
Endeavor Energy Resources LP / EER Finance, Inc. - 144A | 55,000 | 7.000 | 8/15/2021 | 55,825 | ||||||||||
Energy XXI Gulf Coast, Inc. - 144A | 140,000 | 6.875 | 3/15/2024 | 110,950 | ||||||||||
Gulfport Energy Corp. - 144A | 70,000 | 7.750 | 11/1/2020 | 71,750 | ||||||||||
Halcon Resources Corp. | 80,000 | 8.875 | 5/15/2021 | 66,000 | ||||||||||
Linn Energy LLC / Linn Energy Finance Corp. | 65,000 | 6.500 | 9/15/2021 | 59,800 | ||||||||||
Novatek OAO via Novatek Finance Ltd. - 144A | 305,000 | 4.422 | 12/13/2022 | 270,688 | ||||||||||
Pacific Rubiales Energy Corp. - 144A | 180,000 | 5.375 | 1/26/2019 | 180,900 | ||||||||||
Parker Drilling Co. | 240,000 | 7.500 | 8/1/2020 | 233,400 | ||||||||||
Petrobras International Finance Co. | 300,000 | 5.375 | 1/27/2021 | 308,658 | ||||||||||
Petroleos Mexicanos | 155,000 | 3.500 | 1/30/2023 | 150,412 | ||||||||||
Petroleos Mexicanos | 45,000 | 4.875 | 1/18/2024 | 47,700 | ||||||||||
Rosetta Resources, Inc. | 110,000 | 5.875 | 6/1/2024 | 105,738 | ||||||||||
Transocean, Inc. | 115,000 | 3.800 | 10/15/2022 | 103,722 | ||||||||||
2,435,555 | ||||||||||||||
OIL & GAS SERVICES - 0.6% | ||||||||||||||
CCG SA | 235,000 | 6.500 | 6/1/2021 | 189,175 | ||||||||||
Gulfmark Offshore, Inc. | 115,000 | 6.375 | 3/15/2022 | 105,225 | ||||||||||
294,400 | ||||||||||||||
PACKAGING & CONTAINERS - 0.4% | ||||||||||||||
Beverage Packaging Holdings Luxembourg II SA - 144A | 200,000 | 6.000 | 6/15/2017 | 200,000 |
See accompanying notes to financial statements.
6 |
SCHEDULE OF INVESTMENTS
Dunham Corporate/Government Bond Fund (Continued)
October 31, 2014
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
PHARMACEUTICALS - 0.3% | ||||||||||||||
Capsugel SA - 144A (b) | $ | 20,000 | 7.000 | % | 5/15/2019 | $ | 20,375 | |||||||
Catamaran Corp. | 85,000 | 4.750 | 3/15/2021 | 84,575 | ||||||||||
Owens & Minor, Inc. | 25,000 | 3.875 | 9/15/2021 | 25,219 | ||||||||||
130,169 | ||||||||||||||
PIPELINES - 0.9% | ||||||||||||||
Energy Transfer Equity LP | 110,000 | 5.875 | 1/15/2024 | 116,050 | ||||||||||
Sabine Pass Liquefaction LLC - 144A | 100,000 | 6.250 | 3/15/2022 | 107,875 | ||||||||||
Williams Cos., Inc. | 230,000 | 3.700 | 1/15/2023 | 216,741 | ||||||||||
Williams Cos., Inc. | 25,000 | 4.550 | 6/24/2024 | 24,540 | ||||||||||
465,206 | ||||||||||||||
PRIVATE EQUITY - 0.3% | ||||||||||||||
Apollo Management Holdings LP - 144A | 135,000 | 4.000 | 5/30/2024 | 136,336 | ||||||||||
REAL ESTATE - 1.2% | ||||||||||||||
American Homes 4 Rent 2014-SFR2 C Trust | 130,000 | 4.705 | 10/17/2036 | 131,329 | ||||||||||
Countrywide Asset-Backed Certificates 2005-1 AF5A (a) | 300,000 | 5.342 | 7/25/2035 | 299,258 | ||||||||||
Sierra Timeshare 2014-2 Receivables Funding LLC - 144A | 86,855 | 2.050 | 6/20/2031 | 86,830 | ||||||||||
WP Carey, Inc. | 110,000 | 4.600 | 4/1/2024 | 114,805 | ||||||||||
632,222 | ||||||||||||||
REITS - 2.4% | ||||||||||||||
Corporate Office Properties LP | 90,000 | 3.700 | 6/15/2021 | 90,193 | ||||||||||
Corporate Office Properties LP | 315,000 | 3.600 | 5/15/2023 | 303,870 | ||||||||||
CTR Partnership LP / CareTrust Capital Corp. | 90,000 | 5.875 | 6/1/2021 | 92,250 | ||||||||||
Digital Realty Trust LP | 160,000 | 5.250 | 3/15/2021 | 175,598 | ||||||||||
Excel Trust LP | 55,000 | 4.625 | 5/15/2024 | 56,676 | ||||||||||
Healthcare Trust of America Holdings LP | 50,000 | 3.375 | 7/15/2021 | 49,974 | ||||||||||
Highwoods Realty LP | 305,000 | 3.625 | 1/15/2023 | 304,347 | ||||||||||
iStar Financial, Inc. | 140,000 | 5.000 | 7/1/2019 | 140,000 | ||||||||||
MPT Operating Partnership LP / MPT Finance Corp. | 35,000 | 5.500 | 5/1/2024 | 36,396 | ||||||||||
1,249,304 | ||||||||||||||
RETAIL - 1.3% | ||||||||||||||
AmeriGas Finance Corp. | 95,000 | 7.000 | 5/20/2022 | 103,075 | ||||||||||
Guitar Center, Inc. - 144A | 25,000 | 9.625 | 4/15/2020 | 18,406 | ||||||||||
JC Penney Corp, Inc. | 25,000 | 8.125 | 10/1/2019 | 24,125 | ||||||||||
Landry’s, Inc. - 144A | 175,000 | 9.375 | 5/1/2020 | 187,906 | ||||||||||
QVC, Inc. | 310,000 | 4.375 | 3/15/2023 | 308,058 | ||||||||||
641,570 | ||||||||||||||
SOFTWARE - 1.0% | ||||||||||||||
First Data Corp. - 144A | 145,000 | 8.250 | 1/15/2021 | 158,050 | ||||||||||
First Data Corp. - 144A (b) | 100,000 | 8.750 | 1/15/2022 | 109,750 | ||||||||||
First Data Corp. | 146,000 | 11.750 | 8/15/2021 | 171,915 | ||||||||||
First Data Holdings, Inc. - 144A (b) | 50,000 | 14.500 | 9/24/2019 | 53,088 | ||||||||||
Infor Software Parent LLC / Infor Software Parent, Inc. - 144A (b) | 30,000 | 7.125 | 5/1/2021 | 30,525 | ||||||||||
523,328 | ||||||||||||||
TELECOMMUNICATIONS - 3.3% | ||||||||||||||
AT&T, Inc. | 315,000 | 3.875 | 8/15/2021 | 330,779 | ||||||||||
CenturyLink, Inc. | 110,000 | 6.450 | 6/15/2021 | 121,000 | ||||||||||
Cincinnati Bell, Inc. | 125,000 | 8.375 | 10/15/2020 | 134,687 | ||||||||||
Digicel Group Ltd.-144A | 200,000 | 8.250 | 9/30/2020 | 210,000 | ||||||||||
Frontier Communications Corp. | 60,000 | 6.250 | 9/15/2021 | 62,137 | ||||||||||
Intelsat Jackson Holdings SA | 210,000 | 5.500 | 8/1/2023 | 211,313 | ||||||||||
Qualitytech LP - 144A | 10,000 | 5.875 | 8/1/2022 | 10,075 | ||||||||||
Sprint Corp. - 144A | 170,000 | 7.250 | 9/15/2021 | 180,200 | ||||||||||
Telefonica Emisiones SAU | 265,000 | 4.570 | 4/27/2023 | 280,656 | ||||||||||
Windstream Corp. | 115,000 | 7.750 | 10/15/2020 | 123,050 | ||||||||||
1,663,897 |
See accompanying notes to financial statements.
7 |
SCHEDULE OF INVESTMENTS
Dunham Corporate/Government Bond Fund (Continued)
October 31, 2014
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
WL COLLATERAL CMO - 2.1% | ||||||||||||||
Banc of America Funding 2005-1 Trust | $ | 109,165 | 5.500 | % | 2/25/2035 | $ | 111,331 | |||||||
Citigroup Mortgage Loan Trust, Inc. 2004-NCM2 2CB2 | 87,624 | 6.750 | 8/25/2034 | 98,138 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. 2004-UST1 A3 | 122,921 | 2.133 | + | 8/25/2034 | 123,208 | |||||||||
GSMPS Mortgage Loan Trust 2006-RP1-1A4 - 144A | 226,592 | 8.500 | 1/25/2036 | 245,880 | ||||||||||
MASTR Alternative Loan Trust 2004-4 | 133,656 | 5.500 | 4/25/2034 | 141,569 | ||||||||||
MASTR Alternative Loan Trust 2007-1 | 115,903 | 0.755 | + | 10/25/2036 | 111,569 | |||||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S8 A2 Trust | 151,972 | 5.000 | 9/25/2018 | 155,268 | ||||||||||
WinWater Mortgage Loan Trust 2014-1 - 144A | 102,047 | 4.000 | + | 6/20/2044 | 106,447 | |||||||||
1,093,410 | ||||||||||||||
TOTAL CORPORATE BONDS & NOTES (Cost - $30,757,132) | 31,153,252 | |||||||||||||
FOREIGN GOVERNMENT BONDS - 0.8% | ||||||||||||||
El Salvador Government International Bond - 144A | 105,000 | 6.375 | 1/18/2027 | 108,150 | ||||||||||
Morocco Government International Bond - 144A | 300,000 | 4.250 | 12/11/2022 | 305,640 | ||||||||||
TOTAL FOREIGN GOVERNMENT BONDS - (Cost - $404,160) | 413,790 | |||||||||||||
MUNICIPAL - 1.3% | ||||||||||||||
Rockdale County Water & Sewerage Authority | 305,000 | 3.060 | 7/1/2024 | 306,010 | ||||||||||
San Diego County Regional Airport Authority | 325,000 | 5.594 | 7/1/2043 | 357,116 | ||||||||||
TOTAL MUNICIPAL - (Cost - $630,000) | 663,126 | |||||||||||||
U.S. GOVERNMENT & AGENCY - 23.8% | ||||||||||||||
U.S. GOVERNMENT AGENCY - 10.9% | ||||||||||||||
Fannie Mae Pool 735061 | 58,112 | 6.000 | 11/1/2034 | 66,171 | ||||||||||
Fannie Mae Pool 866009 | 86,834 | 6.000 | 3/1/2036 | 98,633 | ||||||||||
Fannie Mae Pool 938574 | 414,359 | 5.500 | 9/1/2036 | 465,779 | ||||||||||
Fannie Mae Pool 310041 | 183,315 | 6.500 | 5/1/2037 | 208,193 | ||||||||||
Fannie Mae Pool 909141 | 30,710 | 6.000 | 1/1/2038 | 35,243 | ||||||||||
Fannie Mae Pool 909153 | 26,549 | 6.000 | 2/1/2038 | 30,435 | ||||||||||
Fannie Mae Pool 929191 | 173,580 | 6.000 | 3/1/2038 | 197,585 | ||||||||||
Fannie Mae Pool 909175 | 70,816 | 5.500 | 4/1/2038 | 79,247 | ||||||||||
Fannie Mae Pool 975649 | 295,325 | 6.000 | 7/1/2038 | 337,766 | ||||||||||
Fannie Mae Pool 909220 | 151,415 | 6.000 | 8/1/2038 | 171,178 | ||||||||||
Fannie Mae Pool AA7001 | 324,950 | 5.000 | 6/1/2039 | 362,591 | ||||||||||
Fannie Mae Pool AD0727 | 487,553 | 6.000 | 8/1/2039 | 553,936 | ||||||||||
Fannie Mae Pool AO8769 | 1,669,480 | 3.500 | 8/1/2042 | 1,731,153 | ||||||||||
Federal Home Loan Pool 962752 | 53,214 | 5.000 | 4/1/2038 | 59,348 | ||||||||||
Freddie Mac Gold Pool G01499 | 34,154 | 7.000 | 1/1/2033 | 40,327 | ||||||||||
Freddie Mac Gold Pool G06380 | 503,282 | 6.500 | 2/1/2035 | 584,874 | ||||||||||
Freddie Mac Gold Pool G01980 | 389,069 | 5.000 | 12/1/2035 | 433,625 | ||||||||||
Freddie Mac Gold Pool G05888 | 93,869 | 5.500 | 10/1/2039 | 105,374 | ||||||||||
5,561,458 | ||||||||||||||
U.S. TREASURY OBLIGATIONS - 12.9% | ||||||||||||||
United States Treasury Note | 235,000 | 0.375 | 5/31/2016 | 235,184 | ||||||||||
United States Treasury Note | 155,000 | 0.500 | 6/30/2016 | 155,363 | ||||||||||
United States Treasury Note | 500,000 | 0.500 | 7/31/2016 | 501,055 | ||||||||||
United States Treasury Note | 440,000 | 0.875 | 5/15/2017 | 441,220 | ||||||||||
United States Treasury Note | 5,140,000 | 2.375 | 8/15/2024 | 5,160,478 | ||||||||||
United States Treasury Note | 120,000 | 3.125 | 2/15/2043 | 121,434 | ||||||||||
6,614,734 | ||||||||||||||
TOTAL U.S. GOVERNMENT & AGENCY (Cost - $11,923,157) | 12,176,192 |
See accompanying notes to financial statements.
8 |
SCHEDULE OF INVESTMENTS
Dunham Corporate/Government Bond Fund (Continued)
October 31, 2014
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
BANK LOANS - 8.8% | ||||||||||||||
AEROSPACE/DEFENSE - 0.2% | ||||||||||||||
LM US Member LLC | $ | 80,000 | 9.500 | % + | 10/25/2020 | $ | 79,000 | |||||||
AIRLINES - 0.4% | ||||||||||||||
American Airlines, Inc. | 230,088 | 3.750 | + | 6/27/2019 | 227,499 | |||||||||
AUTOMOBILES - 0.3% | ||||||||||||||
Navistar Inc. | 166,667 | 5.750 | + | 8/17/2017 | 167,552 | |||||||||
CHEMICALS - 0.5% | ||||||||||||||
Houghton International, Inc. | 240,713 | 5.250 | + | 12/20/2019 | 238,305 | |||||||||
COMPUTERS & ELECTRONICS - 0.8% | ||||||||||||||
Applied Systems, Inc. | 28,000 | 7.500 | + | 1/23/2022 | 27,953 | |||||||||
Blue Coat Systems, Inc. | 165,000 | 9.500 | + | 6/28/2020 | 164,794 | |||||||||
Kronos, Inc. | 83,000 | 9.750 | + | 4/30/2020 | 85,490 | |||||||||
Mitchell International, Inc. | 80,000 | 8.500 | + | 10/11/2021 | 79,980 | |||||||||
Sungard Availability | 73,630 | 6.000 | + | 3/31/2019 | 66,021 | |||||||||
424,238 | ||||||||||||||
ENTERTAINMENT AND LEISURE - 0.5% | ||||||||||||||
Delta 2 Lux SARL | 58,000 | 7.750 | + | 7/29/2022 | 57,964 | |||||||||
Zuffa, LLC | 223,448 | 3.750 | + | 2/25/2020 | 218,421 | |||||||||
276,385 | ||||||||||||||
FINANCIAL SERVICES - 0.2% | ||||||||||||||
Altisource Solutions | 138,893 | 4.500 | + | 12/9/2020 | 125,004 | |||||||||
GAMING AND HOTELS - 0.7% | ||||||||||||||
Caesers Entertainment | 33,915 | 9.750 | + | 3/1/2017 | 31,441 | |||||||||
CBAC Borrower, LLC | 57,000 | 8.250 | + | 7/2/2020 | 57,713 | |||||||||
Peppermill Casinos, Inc. | 241,307 | 7.250 | + | 11/9/2018 | 244,248 | |||||||||
333,402 | ||||||||||||||
HEALTHCARE - 1.1% | ||||||||||||||
American Renal Holdings, Inc. | 279,943 | 8.500 | + | 2/20/2020 | 276,444 | |||||||||
Regional Care Hospital, Inc. | 46,883 | 6.000 | + | 4/23/2019 | 46,824 | |||||||||
Surgery Center | 62,000 | 9.750 | + | 4/11/2020 | 62,016 | |||||||||
Surgery Center | 145,920 | 5.250 | + | 11/3/2020 | 145,921 | |||||||||
Surgery Center | 40,000 | 8.500 | + | 11/3/2021 | 39,400 | |||||||||
570,605 | ||||||||||||||
INSURANCE - 0.2% | ||||||||||||||
Asurion LLC. | 80,000 | 8.500 | + | 3/3/2021 | 81,580 | |||||||||
MACHINERY - 0.2% | ||||||||||||||
International Equipment Sol | 114,117 | 6.750 | + | 8/14/2019 | 114,545 | |||||||||
MEDIA - 0.8% | ||||||||||||||
Charter Communications Operations / CCO Safari LLC | 61,000 | 4.250 | + | 9/10/2021 | 61,511 | |||||||||
Clear Channel Communication, Inc. - Iheart Communications | 229,745 | 6.904 | + | 1/30/2019 | 217,343 | |||||||||
TWCC Holding Corp. | 153,000 | 7.000 | + | 6/26/2020 | 150,354 | |||||||||
429,208 | ||||||||||||||
METALS & MINING - 0.5% | ||||||||||||||
Arch Coal, Inc. | 104,733 | 6.250 | + | 5/16/2018 | 93,025 | |||||||||
Noranda Aluminum Acquisition | 185,668 | 5.750 | + | 2/28/2019 | 181,026 | |||||||||
274,051 |
See accompanying notes to financial statements.
9 |
SCHEDULE OF INVESTMENTS
Dunham Corporate/Government Bond Fund (Continued)
October 31, 2014
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
OIL & GAS - 0.8% | ||||||||||||||
Chief Exploration and Development | $ | 77,000 | 7.500 | % + | 5/16/2021 | $ | 74,594 | |||||||
Drillships Financing Holding / Drillships Ocean Ventures, Inc. | 64,838 | 5.500 | + | 7/25/2021 | 62,422 | |||||||||
Fieldwood Energy | 140,000 | 8.375 | + | 9/30/2020 | 135,276 | |||||||||
Jonah Energy LLC | 62,000 | 7.500 | + | 5/12/2021 | 60,140 | |||||||||
Seadrill Ltd. - Seadrill Operating LP | 75,619 | 4.000 | + | 2/21/2021 | 71,785 | |||||||||
404,217 | ||||||||||||||
PROFESSIONAL & BUSINESS SERVICES - 0.7% | ||||||||||||||
CHG Companies - CHG Buyer Corp. | 64,478 | 9.000 | + | 11/19/2020 | 65,472 | |||||||||
CSC Holdings LLC. - Harland Clarke Holdings | 51,013 | 7.000 | + | 5/22/2018 | 51,650 | |||||||||
Harland Clarke Holdings | 21,588 | 6.000 | + | 8/4/2019 | 21,704 | |||||||||
Infinity Acquisition - US LLC 2 | 52,000 | 4.250 | + | 8/6/2021 | 51,064 | |||||||||
Inventiv Health, Inc. | 119,990 | 7.750 | + | 5/15/2018 | 118,915 | |||||||||
NVA Holdings, Inc. | 46,000 | 8.000 | + | 8/14/2022 | 45,770 | |||||||||
354,575 | ||||||||||||||
REAL ESTATE - 0.1% | ||||||||||||||
Capital Automotive LP | 31,564 | 6.000 | + | 4/29/2020 | 32,038 | |||||||||
RETAIL FOOD & DRUG - 0.2% | ||||||||||||||
Albertsons, Inc. | 76,000 | 5.500 | + | 8/25/2021 | 76,170 | |||||||||
Rite Aid Corp. | 16,000 | 5.750 | + | 8/21/2020 | 16,120 | |||||||||
92,290 | ||||||||||||||
STEEL - 0.6% | ||||||||||||||
FMG Resources | 294,030 | 3.750 | + | 6/30/2019 | 287,448 | |||||||||
UTILITIES - 0.0% | ||||||||||||||
Atlantic Power LP | 23,956 | 4.750 | + | 2/24/2021 | 23,881 | |||||||||
TOTAL BANK LOANS - (Cost - $4,610,919) | 4,535,823 | |||||||||||||
Shares | Dividend Rate | |||||||||||||
PREFERRED STOCK - 1.5% | ||||||||||||||
BANKS - 1.5% | ||||||||||||||
GMAC Capital Trust I | 17,600 | 8.125 | + | 2/15/2040 | 470,448 | |||||||||
Zions Bancorporation | 10,800 | 6.950 | + | 9/15/2028 | 288,900 | |||||||||
TOTAL PREFERRED STOCK - (Cost - $ 710,000) | 759,348 | |||||||||||||
SHORT-TERM INVESTMENT - 2.0% | ||||||||||||||
MONEY MARKET FUND - 2.0% | ||||||||||||||
Fidelity Institutional Money Market Funds - Government Portfolio | ||||||||||||||
TOTAL SHORT-TERM INVESTMENT - (Cost - $1,052,461) | 1,052,461 | 0.010 | % + | 1,052,461 | ||||||||||
TOTAL INVESTMENTS - 99.0% (Cost - $50,087,829) | $ | 50,753,992 | ||||||||||||
OTHER ASSETS LESS LIABILITIES - 1.0% | 507,836 | |||||||||||||
NET ASSETS - 100.0% | $ | 51,261,828 |
ABS - Asset Backed Security
MBS - Mortgage Back Security
CMO - Collateralized Mortgage Obligation
REIT - Real Estate Investment Trust
Perpetual - Perpetual bonds are fixed income instruments without defined maturity dates
+ | Variable rate security. Interest rate is as of October 31, 2014. |
* | The value of this security has been determined in good faith under the policies of the Board of Trustees. |
144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers.
(a) | Step-Up Bond; the interest rate shown is the rate in effect as of October 31, 2014. |
(b) | - Payment in Kind. |
See accompanying notes to financial statements.
10 |
SCHEDULE OF INVESTMENTS
Dunham Corporate/Government Bond Fund (Continued)
October 31, 2014
Portfolio Composition * - (Unaudited) | ||||||||||
Corporate Notes & Bonds | 61.37 | % | Short-Term Investments | 2.07 | % | |||||
U.S. Government & Agencies Notes & Bonds | 23.99 | % | Foreign Government | 0.82 | % | |||||
Bank Loans | 8.94 | % | Municipal | 1.31 | % | |||||
Preferred Stocks | 1.50 | % | Total | 100.00 | % |
* | Based on total value of investments as of October 31, 2014. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
11 |
Dunham Monthly Distribution Fund
Message from the Sub-Adviser (Westchester Capital Management, LLC)
Event driven strategies, as measured by the Credit Suisse Event Driven Liquid Index, fell 0.5 percent during the most recent fiscal quarter, after falling 1.7 percent in the previous fiscal quarter. As a result of the past two consecutive negative fiscal quarters, event driven strategies only posted a 2.0 percent gain during the fiscal year. Within the event driven space, merger arbitrage strategies, as measured by the Credit Suisse Merger Arbitrage Liquid Index, decreased 4.2 percent after a 1.5 percent drop during the previous fiscal quarter to end the fiscal year down 6.2 percent. Market neutral investment strategies, as measured by the IQ Market Neutral Beta Index, generally experienced a less volatile fiscal year, ending the period up 1.1 percent. Absolute return strategies, as measured by the HFRX Absolute Return Index, fared better rising 2.2 percent during the fiscal year. The Sub-Adviser implements a variety of strategies in the Fund that attempt to take advantage of what it believes are the most attractive rewards for the lowest amount of risk.
Mergers and acquisitions generally experienced a difficult fiscal year as deals that included an element of tax inversion faced increased scrutiny. These cross-border deals drew renewed criticism from Capitol Hill, including harsh rhetoric from the U.S. President. As lawmakers scrambled to devise stop-gaps to prevent these mergers, many pending deals saw decreased support from investors. Deal spreads once in-line with other standard deals widened substantially. For example, pending deals such as the cash and stock acquisition of Covidien PLC (COV) (holdings percentage*: 4.3 percent) by Medtronic, Inc. (MDT) (holdings percentage*: -3.0 percent) saw the spread widen from approximately 6 percent in mid-June to almost 11 percent at the end of August before contracting back to 8.6 percent by the end of the fiscal year. The widely publicized cash and stock acquisition of Tim Hortons, Inc. (THI) (holdings percentage*: 2.7 percent) by Burger King Worldwide, Inc. (BKW) (holdings percentage*: -0.1 percent) also saw spreads tighten from 8.6 percent at the end of August to 4.1 percent at the end of the fiscal year. Some of this negative sentiment surrounding deals with an element of tax inversion did cause some deals to terminate or to be withdrawn, such as the cash and stock acquisition of Ireland-based Shire PLC (SHPG) (holdings percentage*: 0.8 percent) by Abbvie, Inc. (ABBV) (holdings percentage*: -0.4 percent). In mid-October, Abbvie, Inc. withdrew its offer, terminating the largest pharmaceutical acquisition since 2009. Mergers and acquisitions made up approximately 40 percent to 50 percent of the Fund during the fiscal year and between the spreads widening and the termination of the Shire deal, this segment of the Fund generally detracted from performance during the fiscal year.
Even with the widening of merger spreads, the Fund continued to benefit from deals closing during the fiscal year. For example, the third largest therapeutics deal in history was completed between Questar Pharmaceuticals, Inc. (QCOR) (holdings percentage**: 0.2 percent) and Mallinckrodt PLC (MNK) (holdings percentage**: 0.3 percent) in mid-August. The cash only acquisition of Hillshire Brands Co. (HSH) (holdings percentage**: 3.5 percent) by Tyson Foods, Inc. was completed at the end of August. As deals were completed, new deals were added to the Fund, including the discount thrift store deal between Family Dollar Stores, Inc. (FDO) (holdings percentage*: 1.3 percent) and Dollar General Corp.
The Sub-Adviser continued to manage risk by utilizing the various strategies implemented within the Fund. One of the most prominent risk management techniques continued to be the implementation of risk reversal and collar options strategies. These options strategies are often used by the Sub-Adviser to help enhance returns and lower risk on individual holdings involved in divestitures, stock buybacks, and other events, including mergers and acquisitions. By financing the purchase of put options through the writing of call options, the Sub-Adviser retained a portion of the written call option premium while reducing the overall risk profile of the position. This strategy generally helped reduce the negative impact from the termination of the Shire PLC and Abbvie, Inc. merger, where the risk reversal absorbed a significant amount of the spread-widening that commenced immediately following the announcement.
The Sub-Adviser generally maintained a 5 percent to 6 percent allocation to fixed income securities. As interest rates generally remained low and even declined during the fiscal year, holdings in the Fund that offered a fixed coupon generally saw positive performance and the Sub-Adviser continued to use some of these opportunities as strategic exit points. Within the strategy, holdings such as the senior unsecured bonds of B/E Aerospace, Inc.(055381AS6) (holdings percentage*: 0.9 percent) and Gentiva Health Services, Inc. (37247AAB8) (holdings percentage*: 0.8 percent) both generally aided Fund performance since the holdings were added to the Fund during the summer, as these holdings increased 4.6 percent and 4.5 percent, respectively. In addition, the Fund maintained an approximate 8 percent to 9 percent allocation to preferred securities, such as the cumulative preferred stock issued by Kinder Morgan GP Inc. (49455T202) (holdings percentage*: 0.6 percent) and the non-cumulative preferred stock issued by JP Morgan Chase & Co. (481246700) (holdings percentage*: 0.6 percent). These holdings were added to the Fund mid-summer, as well. The aforementioned preferred stocks of Kinder Morgan and JP Morgan increased more than 4.0 percent and 3.4 percent, respectively since they were initially added to the Fund.
The Sub-Adviser remains optimistic that the Fund benefits in these changing market environments from the flexibility to invest across these different investment strategies, allowing it to budget risk and diversify the sources of positive returns. Although merger activity has been increasing and merger spreads have generally widened, the Sub-Adviser remains cautious and selective as it seeks the most attractive risk-adjusted returns.
* | Holdings percentage(s) as of 10/31/2014. |
** | Holdings percentage(s) as of the date prior to the sale of the security. |
Growth of $10,000 Investment - (Unaudited)
Total Returns as of October 31, 2014 | ||||||||
Annualized | Annualized | Annualized Since | ||||||
One Year | Three Years | Five Years | Inception (8/1/08)* | |||||
Class N | 4.01% | 5.98% | 5.97% | 4.45%** | ||||
Class C | 2.99% | 4.93% | 4.92% | 2.79% | ||||
Class A with load of 5.75% | (2.24)% | 3.65% | 4.47% | 2.64% | ||||
Class A without load | 3.74% | 5.71% | 5.71% | 3.57% | ||||
IQ Hedge Market Neutral Beta Index | 1.09% | 2.10% | 1.82% | 2.60% | ||||
Morningstar Multialternative Category | 2.43% | 2.34% | 2.74% | 0.91% |
* | Westchester Capital Management, Inc. was named Sub-Adviser to the Fund on August 1, 2008. Prior to August 1, 2008, the Fund was named Kelmoore Strategy Liberty Fund and was managed under a different adviser. |
** | Class N commenced operations on September 29, 2008. |
IQ Hedge Market Neutral Beta Index is a benchmark index designed to replicate the risk-adjusted return characteristics of the collective hedge funds using a market neutral investment style. Investors cannot invest directly in an index or benchmark.
The Morningstar Multialternative Category is generally representative of mutual funds with static allocations to alternative strategies and mutual funds that tactically allocate among alternative strategies and asset classes. The gross short exposure in these mutual funds is generally greater than 20%.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses before any fee waiver, including the cost of underlying funds, are 2.37% for Class N, 3.37% for Class C and 2.62% 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.
12 |
SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund
October 31, 2014
Security | Shares | Value | ||||||
COMMON STOCK - 68.1% | ||||||||
ADVERTISING - 0.4% | ||||||||
Lamar Advertising Co. - Class A ^ # | 19,500 | $ | 1,007,175 | |||||
AEROSPACE/DEFENSE - 1.7% | ||||||||
B/E Aerospace, Inc. * ^ # | 66,800 | 4,973,260 | ||||||
AGRICULTURE - 0.0% | ||||||||
Lorillard, Inc. ^ # | 1,390 | 85,485 | ||||||
AIRLINES - 0.1% | ||||||||
AMR Corp. * | 101,283 | 169,143 | ||||||
AUTO PARTS & EQUIPMENT - 3.9% | ||||||||
TRW Automotive Holdings Corp. * ^ # | 108,065 | 10,952,388 | ||||||
BANKS - 1.6% | ||||||||
Banco Santander Brasil SA - ADR | 34,300 | 187,964 | ||||||
Citigroup, Inc. ^ # | 80,500 | 4,309,165 | ||||||
4,497,129 | ||||||||
CHEMICALS - 3.6% | ||||||||
Chemtura Corp. * ^ # | 2,372 | 55,244 | ||||||
Dow Chemical Co. ^ # | 39,000 | 1,926,600 | ||||||
EI du Pont de Nemours & Co. ^ # | 42,900 | 2,966,535 | ||||||
Huntsman Corp. ^ | 8,148 | 198,811 | ||||||
Sigma-Aldrich Corp. # | 38,142 | 5,183,879 | ||||||
10,331,069 | ||||||||
COMMERCIAL SERVICES - 1.2% | ||||||||
Hertz Global Holdings, Inc. * ^ # | 156,017 | 3,419,893 | ||||||
SFX Entertainment, Inc. * # | 1,000 | 5,140 | ||||||
3,425,033 | ||||||||
ELECTRONICS - 0.4% | ||||||||
Agilent Technologies, Inc. ^ # | 22,800 | 1,260,384 | ||||||
ENGINEERING & CONSTRUCTION - 0.7% | ||||||||
AECOM Technology Corp. * | 1 | 21 | ||||||
Foster Wheeler AG | 66,153 | 2,052,728 | ||||||
2,052,749 | ||||||||
ENTERTAINMENT - 0.7% | ||||||||
International Game Technology ^ # | 115,246 | 1,888,882 | ||||||
FOOD - 1.0% | ||||||||
Safeway, Inc. # | 83,819 | 2,921,930 | ||||||
FOREST PRODUCTS & PAPER - 2.7% | ||||||||
International Paper Co. ^ # | 97,750 | 4,948,105 | ||||||
MeadWestvaco Corp. ^ # | 63,400 | 2,800,378 | ||||||
Veritiv Corp. * # | 988 | 44,569 | ||||||
7,793,052 | ||||||||
GAS - 0.8% | ||||||||
Centerpoint Energy, Inc. ^ # | 87,700 | 2,153,035 |
See accompanying notes to financial statements.
13 |
SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2014
Security | Shares | Value | ||||||
HEALTHCARE-PRODUCTS - 4.5% | ||||||||
Covidien PLC # | 139,308 | $ | 12,877,632 | |||||
INSURANCE - 1.0% | ||||||||
American International Group, Inc. ^ # | 12,500 | 669,625 | ||||||
Protective Life Corp. # | 31,966 | 2,227,391 | ||||||
2,897,016 | ||||||||
INTERNET - 2.3% | ||||||||
Conversant, Inc. * | 46,302 | 1,632,146 | ||||||
eBay, Inc. * ^ # | 21,600 | 1,134,000 | ||||||
Equinix, Inc. ^ # | 16,800 | 3,509,520 | ||||||
Yahoo, Inc. * ^ # | 5,100 | 234,855 | ||||||
6,510,521 | ||||||||
MACHINERY-DIVERSIFIED - 0.3% | ||||||||
Manitowoc Co., Inc. ^ # | 34,800 | 725,232 | ||||||
MEDIA - 9.5% | ||||||||
CBS Corp. ^ # | 78,139 | 4,236,697 | ||||||
DIRECTV * # | 88,888 | 7,714,590 | ||||||
DISH Network Corp. - Class A * ^ # | 60,400 | 3,844,460 | ||||||
Liberty Global PLC - Class C | 16,931 | 752,931 | ||||||
LIN Media Corp. * # | 350 | 8,376 | ||||||
Sirius XM Radio, Inc. * ^ # | 1,554,964 | 5,333,527 | ||||||
Time Warner Cable, Inc. # | 34,944 | 5,144,106 | ||||||
27,034,687 | ||||||||
METAL FABRICATE/HARDWARE - 0.2% | ||||||||
Timken Co. ^ # | 13,300 | 571,767 | ||||||
MINING - 0.5% | ||||||||
Newmont Mining Corp. # | 73,278 | 1,374,695 | ||||||
MISCELLANEOUS MANUFACTURING - 0.3% | ||||||||
General Electric Co. # | 34,000 | 877,540 | ||||||
OIL & GAS - 3.6% | ||||||||
Anadarko Petroleum Corp. ^ # | 9,600 | 881,088 | ||||||
BP PLC - ADR ^ | 63,600 | 2,764,056 | ||||||
Kodiak Oil & Gas Corp. * | 6,040 | 65,172 | ||||||
Noble Corp PLC ^ | 55,841 | 1,168,194 | ||||||
Occidental Petroleum Corp. ^ # | 21,400 | 1,903,102 | ||||||
QEP Resources, Inc. ^ # | 140,100 | 3,512,307 | ||||||
10,293,919 | ||||||||
OIL & GAS SERVICES - 2.6% | ||||||||
Dresser-Rand Group, Inc. * ^ # | 90,422 | 7,387,477 | ||||||
PACKAGING & CONTAINERS - 0.7% | ||||||||
Rock-Tenn Co. ^ # | 39,600 | 2,025,540 | ||||||
PHARMACEUTICALS - 5.3% | ||||||||
Actavis PLC * | 0 | ^^ | 2 | |||||
Allergan, Inc. ^ # | 39,326 | 7,474,299 | ||||||
Pfizer, Inc. ^ # | 172,964 | 5,180,272 |
See accompanying notes to financial statements.
14 |
SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2014
Security | Shares | Value | ||||||
PHARMACEUTICALS - 5.3 % (Continued) | ||||||||
Shire PLC * ^ # | 11,962 | $ | 2,390,008 | |||||
15,044,581 | ||||||||
PIPELINES - 3.8% | ||||||||
Kinder Morgan Energy Partners LP ^ # | 61,554 | 5,773,765 | ||||||
Williams Cos., Inc. ^ # | 91,500 | 5,079,165 | ||||||
10,852,930 | ||||||||
REITS - 2.3% | ||||||||
CYS Investments, Inc. # | 9,500 | 84,835 | ||||||
Equity Commonwealth ^ # | 17,200 | 459,412 | ||||||
Starwood Property Trust, Inc. # | 234,850 | 5,298,216 | ||||||
Starwood Waypoint Residential | 22,008 | 576,169 | ||||||
6,418,632 | ||||||||
RETAIL - 4.6% | ||||||||
Family Dollar Stores, Inc. # | 51,134 | 4,003,281 | ||||||
Tim Hortons, Inc. | 98,433 | 7,975,041 | ||||||
Walgreen Co. ^ # | 17,300 | 1,111,006 | ||||||
13,089,328 | ||||||||
SAVING & LOANS - 2.1% | ||||||||
Beneficial Mutual Bancorp, Inc. * # | 21,280 | 285,790 | ||||||
Hudson City Bancorp, Inc. # | 514,303 | 4,963,024 | ||||||
Investors Bancorp, Inc. # | 64,008 | 688,086 | ||||||
5,936,900 | ||||||||
SEMICONDUCTORS - 3.9% | ||||||||
International Rectifier Corp. * # | 78,565 | 3,124,530 | ||||||
Tokyo Electron Ltd. # | 308,787 | 4,971,471 | ||||||
TriQuint Semiconductor, Inc. * # | 134,070 | 2,899,934 | ||||||
10,995,935 | ||||||||
SOFTWARE - 1.3% | ||||||||
Concur Technologies, Inc. * # | 29,664 | 3,806,484 | ||||||
TELECOMMUNICATIONS - 0.5% | ||||||||
Leap Wireless International, Inc. * | 4,071 | 9,669 | ||||||
T-Mobile US, Inc. * ^ # | 28,344 | 827,363 | ||||||
TW Telecom, Inc. * # | 14,442 | 617,828 | ||||||
1,454,860 | ||||||||
TOTAL COMMON STOCK (Cost - $196,667,911) | 193,686,390 | |||||||
CLOSED-END FUNDS - 0.6% | ||||||||
Invesco Senior Income Trust # | 240,801 | 1,126,949 | ||||||
Western Asset High Income Opportunity | 106,644 | 612,136 | ||||||
TOTAL CLOSED-END FUNDS (Cost - $1,899,511) | 1,739,085 |
Dividend | ||||||||||||
Shares | Rate | |||||||||||
PREFERRED STOCK - 9.2% | ||||||||||||
BANKS - 2.5% | ||||||||||||
GMAC Capital Trust I | 80,000 | 8.1250 | % | 2,138,400 | ||||||||
JPMorgan Chase & Co. # | 65,950 | 6.3000 | 1,646,112 | |||||||||
Northern Trust Corp. | 132,735 | 5.8500 | 3,286,519 | |||||||||
7,071,031 |
See accompanying notes to financial statements.
15 |
SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2014
Dividend | ||||||||||||
Security | Shares | Rate | Value | |||||||||
DIVERSIFIED FINANCIAL SERVICES - 2.8% | ||||||||||||
Ally Financial, Inc. | 26,300 | 8.5000 | % | $ | 696,424 | |||||||
HSBC Finance Corp. | 33,345 | 6.3600 | 845,296 | |||||||||
Kinder Morgan GP, Inc. - 144A # | 2,000 | 4.1286 | 1,924,500 | |||||||||
Morgan Stanley Capital Trust VIII # | 50,000 | 6.4500 | 1,275,500 | |||||||||
SLM Corp. # | 45,886 | 6.9700 | 2,255,755 | |||||||||
SLM Corp. # | 13,239 | 1.9341 | 955,326 | |||||||||
7,952,801 | ||||||||||||
ELECTRIC - 0.1% | ||||||||||||
SCE Trust I | 6,239 | 5.6250 | 152,606 | |||||||||
INSURANCE - 0.2% | ||||||||||||
Allstate Corp. | 26,644 | 6.6250 | 701,803 | |||||||||
REAL ESTATE INVESTMENT TRUSTS - 3.6% | ||||||||||||
American Homes 4 Rent # | 80,000 | 5.0000 | + | 1,973,600 | ||||||||
American Homes 4 Rent # | 68,000 | 5.0000 | + | 1,652,400 | ||||||||
Equity CommonWealth # | 150,000 | 7.2500 | 3,804,000 | |||||||||
Northstar Realty Finance Corp. # | 105,000 | 8.7500 | 2,678,550 | |||||||||
10,108,550 | ||||||||||||
TOTAL PREFERRED STOCK (Cost - $25,727,951) | 25,986,791 | |||||||||||
Principal | Interest | Maturity | ||||||||||||
BONDS & NOTES - 8.4% | Amount | Rate | Date | |||||||||||
ADVERTISING - 0.9% | ||||||||||||||
B/E Aerospace, Inc. ^ # | $ | 2,310,000 | 5.2500 | % | 4/1/2022 | 2,581,425 | ||||||||
BANKS - 0.7% | ||||||||||||||
JPMorgan Chase & Co. # | 2,000,000 | 6.1000 | + | Perpetual | 2,000,422 | |||||||||
ELECTRIC - 2.5% | ||||||||||||||
Energy Future - 144A *** | 3,761,000 | 11.7500 | 3/1/2022 | 4,494,395 | ||||||||||
Energy Future Intermediate Holding Co LLC | 2,526,182 | 4.2500 | + | 6/19/2016 | 2,530,931 | |||||||||
7,025,326 | ||||||||||||||
HEALTH-CARESERVICES - 0.8% | ||||||||||||||
Gentiva Health Services, Inc. | 2,147,000 | 11.5000 | 9/1/2018 | 2,302,658 | ||||||||||
OIL & GAS - 1.2% | ||||||||||||||
Drill Rigs Holdings, Inc. 144A # | 1,114,000 | 6.5000 | 10/1/2017 | 1,052,730 | ||||||||||
QR Energy LP # | 2,011,000 | 9.2500 | 8/1/2020 | 2,277,458 | ||||||||||
3,330,188 | ||||||||||||||
OIL & GAS SERVICES - 0.2% | ||||||||||||||
Dresser-Rand Group, Inc. | 400,000 | 6.5000 | 5/1/2021 | 434,000 | ||||||||||
SOFTWARE - 0.9% | ||||||||||||||
Concur Technologies, Inc. | 1,929,000 | 0.5000 | 6/15/2018 | 2,547,486 |
See accompanying notes to financial statements.
16 |
SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2014
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
TELECOMMUNICATIONS - 0.4% | ||||||||||||||
T-Mobile USA, Inc. | $ | 276,000 | 6.6250 | % | 11/15/2020 | $ | 291,870 | |||||||
TW Telecom Holdings, Inc. | 238,000 | 5.3750 | 10/1/2022 | 263,883 | ||||||||||
TW Telecom Holdings, Inc. | 543,000 | 5.3750 | 10/1/2022 | 602,051 | ||||||||||
TW Telecom Holdings, Inc. | 98,000 | 6.3750 | 9/1/2023 | 111,963 | ||||||||||
1,269,767 | ||||||||||||||
MUNICIPAL - 0.8% | ||||||||||||||
Louisiana Public Facilities Authority | 2,391,000 | 9.7500 | 8/1/2015 | 2,391,000 | ||||||||||
TOTAL BONDS & NOTES (Cost - $23,695,793) | 23,882,272 | |||||||||||||
PURCHASED PUT OPTIONS - 1.5% | Contracts** | Value | ||||||||||||
Agilent Technologies, Inc., Expiration November 2014, Exercise Price $45.00 | 182 | 2,457 | ||||||||||||
Allergan, Inc., Expiration November 2014, Exercise Price $145.00 | 100 | 6,000 | ||||||||||||
Alstom SA, Expiration November 2014, Exercise Price $24.00 | 256 | 962 | ||||||||||||
American International Group, Expiration November 2014, Exercise Price $45.00 | 1,401 | 11,208 | ||||||||||||
American International Group, Expiration December 2014, Exercise Price $45.00 | 84 | 1,344 | ||||||||||||
Anadarko Petroleum Corp., Expiration January 2015, Exercise Price $85.00 | 462 | 159,390 | ||||||||||||
Bayer AG, Expiration November 2014, Exercise Price $100.00 | 72 | 1,623 | ||||||||||||
Bayer AG, Expiration December 2014, Exercise Price $96.00 | 51 | 1,916 | ||||||||||||
B/E Aerospace, Inc., Expiration November 2014, Exercise Price $75.00 | 500 | 143,750 | ||||||||||||
Burger King Worldwide, Inc., Expiration January 2015, Exercise Price $39.00 | 2 | 1,730 | ||||||||||||
Burger King Worldwide, Inc., Expiration January 2015, Exercise Price $40.00 | 561 | 527,339 | ||||||||||||
BP PLC, Expiration December 2014, Exercise Price $40.00 | 445 | 15,130 | ||||||||||||
Citigroup, Inc., Expiration January 2015, Exercise Price $47.00 | 322 | 12,880 | ||||||||||||
CBS Corp., Expiration December 2014, Exercise Price $52.50 | 263 | 48,655 | ||||||||||||
Chemtura Corp., Expiration December 2014, Exercise Price $20.00 | 194 | 2,910 | ||||||||||||
Centerpoint Energy Inc., Expiration November 2014, Exercise Price $21.00 | 614 | 6,140 | ||||||||||||
Du Pont (EI) De Nemours & Co., Expiration January 2015, Exercise Price $60.00 | 229 | 6,412 | ||||||||||||
Du Pont (EI) De Nemours & Co., Expiration January 2015, Exercise Price $62.50 | 107 | 4,922 | ||||||||||||
DISH Network Corp., Expiration January 2015, Exercise Price $52.50 | 382 | 42,020 | ||||||||||||
DISH Network Corp., Expiration January 2015, Exercise Price $55.00 | 95 | 16,388 | ||||||||||||
DOW Chemical Co., Expiration December 2014, Exercise Price $45.00 | 89 | 5,607 | ||||||||||||
DOW Chemical Co., Expiration December 2014, Exercise Price $49.00 | 671 | 122,457 | ||||||||||||
Dresser-Rand Group, Inc., Expiration December 2014, Exercise Price $70.00 | 60 | 1,500 | ||||||||||||
EBay, Inc., Expiration December 2014, Exercise Price $50.00 | 195 | 15,990 | ||||||||||||
Equinix Inc., Expiration December 2014, Exercise Price $200.00 | 122 | 46,970 | ||||||||||||
Equinix Inc., Expiration January 2015, Exercise Price $180.00 | 11 | 2,255 | ||||||||||||
General Motors Co., Expiration November 2014, Exercise Price $28.00 | 264 | 2,112 | ||||||||||||
General Motors Co., Expiration December 2014, Exercise Price $30.00 | 33 | 2,244 | ||||||||||||
General Motors Co., Expiration January 2015, Exercise Price $27.00 | 90 | 2,430 | ||||||||||||
General Motors Co., Expiration January 2015, Exercise Price $28.00 | 153 | 6,579 | ||||||||||||
General Motors Co., Expiration January 2015, Exercise Price $29.00 | 66 | 3,960 | ||||||||||||
Hess Corp., Expiration November 2014, Exercise Price $80.00 | 558 | 63,054 | ||||||||||||
Hess Corp., Expiration December 2014, Exercise Price $80.00 | 59 | 10,915 | ||||||||||||
Hertz Global Holdings Inc., Expiration November 2014, Exercise Price $21.00 | 14 | 1,260 | ||||||||||||
Hertz Global Holdings Inc., Expiration December 2014, Exercise Price $20.00 | 44 | 4,400 | ||||||||||||
Hertz Global Holdings Inc., Expiration December 2014, Exercise Price $21.00 | 272 | 35,360 | ||||||||||||
Hertz Global Holdings Inc., Expiration December 2014, Exercise Price $22.00 | 399 | 73,815 | ||||||||||||
Hertz Global Holdings Inc., Expiration December 2014, Exercise Price $23.00 | 200 | 48,500 | ||||||||||||
Hertz Global Holdings Inc., Expiration December 2014, Exercise Price $24.00 | 277 | 85,178 | ||||||||||||
Hertz Global Holdings Inc., Expiration January 2015, Exercise Price $20.00 | 99 | 12,870 | ||||||||||||
Kinder Morgan, Inc., Expiration January 2015, Exercise Price $50.00 | 508 | 582,930 |
See accompanying notes to financial statements.
17 |
SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2014
Security | Contracts** | Value | ||||||||||||
PURCHASED PUT OPTIONS (Continued) - 1.5% | ||||||||||||||
Kinder Morgan, Inc., Expiration January 2015, Exercise Price $55.00 | 824 | $ | 1,334,879 | |||||||||||
Huntsman Corp., Expiration November 2014, Exercise Price $23.00 | 852 | 21,300 | ||||||||||||
Huntsman Corp., Expiration November 2014, Exercise Price $24.00 | 1,502 | 84,112 | ||||||||||||
Huntsman Corp., Expiration January 2015, Exercise Price $22.00 | 41 | 2,460 | ||||||||||||
International Paper Co., Expiration January 2015, Exercise Price $45.00 | 763 | 64,092 | ||||||||||||
Lamar Advertising Co., Expiration November 2014, Exercise Price $45.00 | 752 | 37,600 | ||||||||||||
Lamar Advertising Co., Expiration January 2015, Exercise Price $45.00 | 100 | 4,000 | ||||||||||||
Lamar Advertising Co., Expiration January 2015, Exercise Price $47.00 | 87 | 5,873 | ||||||||||||
Lamar Advertising Co., Expiration January 2015, Exercise Price $48.00 | 39 | 3,510 | ||||||||||||
Manitowoc Co., Inc., Expiration December 2014, Exercise Price $17.00 | 328 | 5,740 | ||||||||||||
MeadWestvaco Corp., Expiration December 2014, Exercise Price $35.00 | 157 | 3,925 | ||||||||||||
MeadWestvaco Corp., Expiration December 2014, Exercise Price $37.50 | 424 | 8,480 | ||||||||||||
Noble Corp., Expiration January 2015, Exercise Price $19.00 | 110 | 7,920 | ||||||||||||
Occidental Petroleum Corp., Expiration December 2014, Exercise Price $87.50 | 379 | 108,015 | ||||||||||||
Pfizer Inc., Expiration November 2014, Exercise Price $27.00 | 607 | 1,821 | ||||||||||||
Pfizer Inc., Expiration December 2014, Exercise Price $26.00 | 204 | 1,020 | ||||||||||||
Pfizer Inc., Expiration December 2014, Exercise Price $27.00 | 421 | 2,947 | ||||||||||||
QEP Resources Inc., Expiration December 2014, Exercise Price $22.50 | 981 | 61,313 | ||||||||||||
QEP Resources Inc., Expiration December 2014, Exercise Price $24.00 | 280 | 28,700 | ||||||||||||
Rock-Tenn Co., Expiration January 2015, Exercise Price $40.00 | 124 | 3,720 | ||||||||||||
Rock-Tenn Co., Expiration January 2015, Exercise Price $45.00 | 217 | 21,158 | ||||||||||||
SPDR S&P 500 ETF Trust, Expiration December 2014, Exercise Price $186.00 | 143 | 13,442 | ||||||||||||
SPDR S&P 500 ETF Trust, Expiration December 2014, Exercise Price $192.00 | 382 | 62,266 | ||||||||||||
SPDR S&P 500 ETF Trust, Expiration December 2014, Exercise Price $195.00 | 191 | 42,784 | ||||||||||||
SPDR S&P 500 ETF Trust, Expiration December 2014, Exercise Price $196.00 | 145 | 41,035 | ||||||||||||
Timken Co., Expiration December 2014, Exercise Price $40.00 | 126 | 6,930 | ||||||||||||
T-Mobile US, Inc., Expiration November 2014, Exercise Price $26.00 | 1,077 | 22,617 | ||||||||||||
T-Mobile US, Inc., Expiration November 2014, Exercise Price $28.00 | 140 | 6,230 | ||||||||||||
Vodafone Group PLC, Expiration December 2014, Exercise Price $29.00 | 93 | 1,674 | ||||||||||||
Vodafone Group PLC, Expiration December 2014, Exercise Price $30.00 | 38 | 1,330 | ||||||||||||
Walgreen Co., Expiration November 2014, Exercise Price $55.00 | 156 | 468 | ||||||||||||
Williams Cos., Inc. Expiration November 2014, Exercise Price $50.00 | 143 | 6,006 | ||||||||||||
Williams Cos., Inc. Expiration December 2014, Exercise Price $50.00 | 256 | 25,600 | ||||||||||||
Williams Cos., Inc. Expiration January 2015, Exercise Price $46.00 | 96 | 7,824 | ||||||||||||
Williams Cos., Inc. Expiration January 2015, Exercise Price $47.00 | 85 | 7,862 | ||||||||||||
Williams Cos., Inc. Expiration January 2015, Exercise Price $50.00 | 76 | 10,792 | ||||||||||||
Yahoo, Inc., Expiration November 2014, Exercise Price $34.00 | 34 | 69 | ||||||||||||
TOTAL PURCHASED PUT OPTIONS (Cost - $5,470,611) | 4,213,076 | |||||||||||||
Interest | ||||||||||||||
Shares | Rate | |||||||||||||
SHORT-TERM INVESTMENT - 12.6% | ||||||||||||||
MONEY MARKET FUND - 12.6% | ||||||||||||||
First American Government Obligations Fund | 36,047,320 | 0.01 | % + | 36,047,320 | ||||||||||
TOTAL SHORT-TERM INVESTMENT (Cost - $36,047,320) | ||||||||||||||
TOTAL INVESTMENTS - 100.4 % (Cost - $289,509,097) | $ | 285,554,934 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)% | (1,266,818 | ) | ||||||||||||
NET ASSETS - 100.0% | $ | 284,288,116 |
See accompanying notes to financial statements.
18 |
SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2014
* | Non-Income producing security. |
** | Each Purchased Option contract allows the Fund to sell 100 shares of the underlying security at the exercise price. |
*** | Issuer in default on interest payments, non-interest producing security. |
REITS - Real Estate Investment Trusts
ADR- American Depositary Receipt.
Perpetual - Perpetual bonds are fixed income instruments without defined maturity dates
+ | Variable rate security. Interest rate is as of October 31, 2014. |
^ | Subject to call option written. |
^^ | Fractional Shares |
++ | Each Written Call/Put Option contract allows the holder to purchase/sell 100 shares of the underlying security from/to the Fund at the stated exercise price. |
# | All or a portion of the security is segregated as collateral for securities sold short and/or options purchased/written at October 31, 2014. Total collateral had a value of $203,339,709 at October 31, 2014. |
144A- Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers.
Security | Contracts ++ | Value | ||||||
WRITTEN CALL OPTIONS - (1.7)% | ||||||||
AbbVie, Inc., Expiration January 2015, Exercise Price $50.00 | 178 | $ | 243,860 | |||||
Agilent Technologies, Inc., Expiration November 2014, Exercise Price $55.00 | 228 | 43,092 | ||||||
Allergan, Inc., Expiration December 2014, Exercise Price $175.00 | 205 | 403,850 | ||||||
Alstom SA,, Expiration November 2014, Exercise Price $28.00 | 504 | 36,616 | ||||||
American International Group, Inc., Expiration November 2014, Exercise Price $52.50 | 887 | 149,903 | ||||||
American International Group, Inc., Expiration December 2014, Exercise Price $52.50 | 704 | 134,464 | ||||||
Anadarko Petroleum Corp., Expiration January 2015, Exercise Price $92.50 | 154 | 83,930 | ||||||
Anadarko Petroleum Corp., Expiration January 2015, Exercise Price $95.00 | 462 | 189,420 | ||||||
B/E Aerospace, Inc., Expiration November 2014, Exercise Price $80.00 | 501 | 30,060 | ||||||
Bayer AG, Expiration November 2014, Exercise Price $110.00 | 94 | 54,045 | ||||||
Bayer AG, Expiration December 2014, Exercise Price $105.00 | 63 | 75,284 | ||||||
BP PLC, Expiration December 2014, Exercise Price $45.00 | 636 | 20,352 | ||||||
Burger King Worldwide, Inc., Expiration January 2015, Exercise Price $39.00 | 2 | 45 | ||||||
Burger King Worldwide, Inc., Expiration January 2015, Exercise Price $40.00 | 552 | 13,800 | ||||||
CBS Corp., Expiration November 2014, Exercise Price $55.00 | 146 | 17,520 | ||||||
CBS Corp., Expiration December 2014, Exercise Price $55.00 | 210 | 46,200 | ||||||
CBS Corp., Expiration December 2014, Exercise Price $57.50 | 61 | 7,015 | ||||||
CBS Corp., Expiration December 2014, Exercise Price $60.00 | 145 | 9,425 | ||||||
CenterPoint Energy, Inc., Expiration November 2014, Exercise Price $24.00 | 877 | 63,583 | ||||||
Citigroup, Inc., Expiration January 2015, Exercise Price $52.50 | 402 | 99,294 | ||||||
DISH Network Corp., Expiration January 2015, Exercise Price $62.50 | 604 | 314,080 | ||||||
Dow Chemical Co., Expiration December 2014, Exercise Price $50.00 | 118 | 20,178 | ||||||
Dow Chemical Co., Expiration December 2014, Exercise Price $52.50 | 895 | 74,285 | ||||||
Dresser-Rand Group, Inc., Expiration December 2014, Exercise Price $80.00 | 149 | 23,840 | ||||||
EBay, Inc., Expiration December 2014, Exercise Price $55.00 | 216 | 16,848 | ||||||
EI du Pont de Nemours & Co., Expiration January 2015, Exercise Price $67.50 | 286 | 77,220 | ||||||
EI du Pont de Nemours & Co., Expiration January 2015, Exercise Price $70.00 | 142 | 19,738 | ||||||
Equinix, Inc., Expiration December 2014, Exercise Price $220.00 | 131 | 40,283 | ||||||
Equinix, Inc., Expiration January 2015, Exercise Price $200.00 | 15 | 22,050 | ||||||
Equity Commonwealth, Expiration January 2015, Exercise Price $27.50 | 172 | 10,750 |
See accompanying notes to financial statements.
19 |
SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2014
Security | Contracts ++ | Value | ||||||
WRITTEN CALL OPTIONS (Continued) - (1.7)% | ||||||||
General Motors Co., Expiration November 2014, Exercise Price $31.00 | 264 | $ | 23,760 | |||||
General Motors Co., Expiration December 2014, Exercise Price $33.00 | 132 | 5,544 | ||||||
General Motors Co., Expiration January 2015, Exercise Price $32.00 | 329 | 32,571 | ||||||
General Motors Co., Expiration January 2015, Exercise Price $33.00 | 264 | 16,368 | ||||||
Hertz Global Holdings, Inc., Expiration December 2014, Exercise Price $24.00 | 1,016 | 91,440 | ||||||
Hertz Global Holdings, Inc., Expiration December 2014, Exercise Price $26.00 | 337 | 15,165 | ||||||
Hertz Global Holdings, Inc., Expiration January 2015, Exercise Price $22.00 | 124 | 26,040 | ||||||
Hess Corp., Expiration November 2014, Exercise Price $85.00 | 294 | 64,974 | ||||||
Hess Corp., Expiration November 2014, Exercise Price $87.50 | 186 | 16,740 | ||||||
Hess Corp., Expiration December 2014, Exercise Price $85.00 | 82 | 25,010 | ||||||
Hess Corp., Expiration December 2014, Exercise Price $87.50 | 182 | 36,400 | ||||||
Huntsman Corp., Expiration November 2014, Exercise Price $26.00 | 1,136 | 17,040 | ||||||
Huntsman Corp., Expiration November 2014, Exercise Price $27.00 | 1,609 | 24,135 | ||||||
Huntsman Corp., Expiration January 2015, Exercise Price $25.00 | 81 | 7,898 | ||||||
International Game Technology, Expiration January 2015, Exercise Price $17.00 | 491 | 27,005 | ||||||
International Paper Co., Expiration January 2015, Exercise Price $49.00 | 978 | 322,740 | ||||||
Kinder Morgan, Inc., Expiration January 2015, Exercise Price $50.00 | 380 | 2,470 | ||||||
Kinder Morgan, Inc., Expiration January 2015, Exercise Price $55.00 | 824 | 4,120 | ||||||
Koninklijke KPN NV, Expiration December 2014, Exercise Price $2.50 | 1,381 | 29,407 | ||||||
Koninklijke KPN NV, Expiration December 2014, Exercise Price $2.60 | 775 | 9,708 | ||||||
Lamar Advertising Co., Expiration January 2015, Exercise Price $50.00 | 276 | 67,620 | ||||||
Lamar Advertising Co., Expiration January 2015, Exercise Price $52.50 | 1,157 | 115,700 | ||||||
Level 3 Communications, Inc., Expiration December 2014, Exercise Price $40.00 | 10 | 7,200 | ||||||
Level 3 Communications, Inc., Expiration December 2014, Exercise Price $41.00 | 91 | 50,960 | ||||||
Manitowoc Co. Inc., Expiration December 2014, Exercise Price $19.00 | 246 | 53,382 | ||||||
Manitowoc Co. Inc., Expiration December 2014, Exercise Price $20.00 | 102 | 15,810 | ||||||
MeadWestvaco Corp., Expiration December 2014, Exercise Price $40.00 | 210 | 94,500 | ||||||
MeadWestvaco Corp., Expiration December 2014, Exercise Price $42.50 | 424 | 103,880 | ||||||
Noble Corp PLC, Expiration January 2015, Exercise Price $22.00 | 138 | 12,006 | ||||||
Occidental Petroleum Corp., Expiration November 2014, Exercise Price $92.50 | 93 | 4,836 | ||||||
Occidental Petroleum Corp., Expiration November 2014, Exercise Price $97.50 | 333 | 1,998 | ||||||
Occidental Petroleum Corp., Expiration December 2014, Exercise Price $92.50 | 116 | 13,340 | ||||||
Pfizer, Inc., Expiration November 2014, Exercise Price $29.00 | 227 | 18,841 | ||||||
Pfizer, Inc., Expiration November 2014, Exercise Price $30.00 | 304 | 7,296 | ||||||
Pfizer, Inc., Expiration December 2014, Exercise Price $28.00 | 209 | 39,501 | ||||||
Pfizer, Inc., Expiration December 2014, Exercise Price $30.00 | 725 | 32,625 | ||||||
QEP Resources, Inc., Expiration December 2014, Exercise Price $27.00 | 1,401 | 63,045 | ||||||
Rock-Tenn Co., Expiration January 2015, Exercise Price $47.50 | 155 | 76,725 | ||||||
Rock-Tenn Co., Expiration January 2015, Exercise Price $50.00 | 241 | 79,530 | ||||||
Shire PLC, Expiration November 2014, Exercise Price $180.00 | 72 | 147,600 | ||||||
Sirius XM Holdings, Inc., Expiration December 2015, Exercise Price $3.50 | 7,749 | 54,243 | ||||||
Sirius XM Holdings, Inc., Expiration January 2014, Exercise Price $3.50 | 827 | 9,097 | ||||||
Timken Co., Expiration December 2014, Exercise Price $45.00 | 133 | 6,318 | ||||||
T-Mobile US, Inc., Expiration November 2014, Exercise Price $30.00 | 1,428 | 71,400 | ||||||
TRW Automotive Holdings Corp., Expiration January 2015, Exercise Price $105.00 | 130 | 1,300 | ||||||
Vivendi SA., Expiration November 2014, Exercise Price $19.00 | 1,355 | 108,625 | ||||||
Vivendi SA., Expiration November 2014, Exercise Price $19.50 | 843 | 34,846 |
See accompanying notes to financial statements.
20 |
SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2014
Security | Contracts ++ | Value | ||||||
WRITTEN CALL OPTIONS (Continued) - (1.7)% | ||||||||
Vivendi SA., Expiration December 2014, Exercise Price $18.50 | 333 | $ | 47,968 | |||||
Vivendi SA., Expiration December 2014, Exercise Price $19.00 | 363 | 35,921 | ||||||
Vivendi SA., Expiration January 2015, Exercise Price $19.50 | 242 | 18,491 | ||||||
Vodafone Group PLC, Expiration December 2014, Exercise Price $32.00 | 151 | 26,425 | ||||||
Vodafone Group PLC, Expiration December 2014, Exercise Price $33.00 | 77 | 7,623 | ||||||
Walgreen Co., Expiration November 2014, Exercise Price $60.00 | 173 | 74,390 | ||||||
Williams Cos, Inc., Expiration November 2014, Exercise Price $55.00 | 216 | 41,904 | ||||||
Williams Cos, Inc., Expiration December 2014, Exercise Price $55.00 | 320 | 84,800 | ||||||
Williams Cos, Inc., Expiration January 2015, Exercise Price $52.50 | 270 | 119,070 | ||||||
Williams Cos, Inc., Expiration January 2015, Exercise Price $55.00 | 109 | 32,700 | ||||||
Yahoo! Inc., Expiration November 2014, Exercise Price $37.00 | 51 | 46,155 | ||||||
WRITTEN CALL OPTIONS - (Premiums Received - $6,095,759) | 4,967,234 | |||||||
WRITTEN PUT OPTIONS - 0.0% | ||||||||
AbbVie, Inc., Expiration November 2014, Exercise Price $57.50 | 195 | 1,950 | ||||||
SPDR S&P 500 ETF Trust, Expiration December 2014, Exercise Price $169.00 | 239 | 5,497 | ||||||
SPDR S&P 500 ETF Trust, Expiration December 2014, Exercise Price $180.00 | 143 | 7,579 | ||||||
SPDR S&P 500 ETF Trust, Expiration December 2014, Exercise Price $183.00 | 95 | 6,555 | ||||||
SPDR S&P 500 ETF Trust, Expiration December 2014, Exercise Price $186.00 | 143 | 13,442 | ||||||
SPDR S&P 500 ETF Trust, Expiration December 2014, Exercise Price $190.00 | 238 | 31,654 | ||||||
TOTAL WRITTEN PUT OPTIONS - (Premiums Received - $286,362) | 66,677 |
Security | Shares | |||||||
SECURITIES SOLD SHORT * - (18.9)% | ||||||||
AbbVie, Inc. | 20,080 | 1,274,277 | ||||||
Alliance Data Systems Corp. | 1,389 | 393,573 | ||||||
American Airlines Group, Inc. | 5,300 | 219,155 | ||||||
Applied Materials, Inc. | 250,928 | 5,543,000 | ||||||
AT&T, Inc. | 190,365 | 6,632,317 | ||||||
Banco Santander SA | 24,010 | 210,568 | ||||||
Barrick Gold Corp. | 18,500 | 219,595 | ||||||
Burger King Worldwide, Inc. | 7,825 | 255,721 | ||||||
Comcast Corp. | 181,063 | 10,021,837 | ||||||
Comcast Corp. - Class A | 60,892 | 3,357,585 | ||||||
Kinder Morgan, Inc. | 206 | 7,972 | ||||||
Liberty Global PLC - Class A | 52,359 | 2,380,764 | ||||||
Liberty Global PLC - Class C | 54,591 | 2,427,662 | ||||||
M&T Bank Corp. | 43,138 | 5,270,601 | ||||||
Media General, Inc. | 276 | 4,123 | ||||||
Medtronic, Inc. | 133,158 | 9,076,049 | ||||||
RF Micro Devices, Inc. | 224,569 | 2,921,643 | ||||||
Valeant Pharmaceuticals International, Inc. | 15,603 | 2,075,823 | ||||||
Verizon Communications, Inc. | 25,389 | 1,275,797 | ||||||
Whiting Petroleum Corp. | 1,069 | 65,464 | ||||||
TOTAL SECURITIES SOLD SHORT - (Proceeds - $49,240,522) | 53,633,526 |
See accompanying notes to financial statements.
21 |
SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2014
Unrealized | ||||
Appreciation/ | ||||
LONG EQUITY SWAP CONTRACTS - (0.5)% | (Depreciation) | |||
Alstom SA Equity Swap, JP Morgan - May 06, 2015 to receive total return of Alstom SA less USD- 3 Month LIBOR plus 0.30% (NOTIONAL AMOUNT $2,006,889) | $ | (255,772 | ) | |
American International Group Equity Swap, JP Morgan - April 09, 2015 to receive total return of American International Group less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $8,172,262) | 424,787 | |||
Andarko Petroleum Corp. Equity Swap, JP Morgan - December 16, 2014 to receive total return of Andarko Petroleum Corp. less USD- 3 Month LIBOR plus 1.03% (NOTIONAL AMOUNT $4,380,459) | 389,043 | |||
Apollo Residential Mortgage Equity Swap, JP Morgan - April 19, 2015 to receive total return of Apollo Residential Mortgage less USD- 3 Month LIBOR plus 0.66% (NOTIONAL AMOUNT $1,213,692) | 79,425 | |||
Apollo Residential Mortgage Equity Swap, JP Morgan - April 21, 2015 to receive total return of Apollo Residential Mortgage less USD- 3 Month LIBOR plus 0.66% (NOTIONAL AMOUNT $522,140) | 21,154 | |||
Apollo Residential Mortgage Equity Swap, JP Morgan - May 16, 2015 to receive total return of Apollo Residential Mortgage less USD- 3 Month LIBOR plus 0.66% (NOTIONAL AMOUNT $169,411) | 4,796 | |||
Apollo Residential Mortgage Equity Swap, JP Morgan - May 19, 2015 to receive total return of Apollo Residential Mortgage less USD- 3 Month LIBOR plus 0.66% (NOTIONAL AMOUNT $105,802) | 3,063 | |||
Bayer AG Equity Swap, JP Morgan - September 19, 2015 to receive total return of Bayer AG less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $2,207,412) | 9,050 | |||
Blackstone Senior Floating Rate Term Fund Equity Swap, JP Morgan - December 20, 2014 to receive total return of Blackstone Senior Floating Rate Term Fund less USD- 3 Month LIBOR plus 1.03% (NOTIONAL AMOUNT $340,584) | (25,007 | ) | ||
CareFusion Corp. Equity Swap, JP Morgan - October 6, 2015 to receive total return of CareFusion Corp. less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $7,187,637) | 65,949 | |||
Concur Technologies, Inc. Equity Swap, JP Morgan - October 15, 2015 to receive total return of Concur Technologies, Inc. less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $285,544) | 1,841 | |||
CSR PLC Equity Swap, JP Morgan - October 20, 2015 to receive total return of CSR PLC less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $427,006) | (4,737 | ) | ||
CSR PLC Equity Swap, JP Morgan - October 30, 2015 to receive total return of CSR PLC less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $161,184) | (251 | ) |
See accompanying notes to financial statements.
22 |
SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2014
Unrealized | ||||
Appreciation/ | ||||
LONG EQUITY SWAP CONTRACTS (Continued) - (0.5)% | (Depreciation) | |||
CYS Investments, Inc. Equity Swap, JP Morgan - May 6, 2015 to receive total return of CYS Investments, Inc. less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $2,345,278) | $ | 85,528 | ||
DIRECTV Equity Swap, JP Morgan - October 7, 2015 to receive total return of DIRECTV less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $4,413,413) | (40,411 | ) | ||
Dow Chemical Co. Equity Swap, JP Morgan - February 6, 2015 to receive total return of Dow Chemical Co less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $2,806,958) | 268,703 | |||
Dresser-Rand Group, Inc. Equity Swap, JP Morgan - October 16, 2015 to receive total return of Dresser-Rand Group, Inc. less USD- 3 Month LIBOR plus 1.03% (NOTIONAL AMOUNT $45,907) | 1,553 | |||
Eaton Vance Floating Rate, Inc. Equity Swap, JP Morgan - December 19, 2014 to receive total return of Eaton Vance Floating Rate, Inc. less USD- 3 Month LIBOR plus 1.03% (NOTIONAL AMOUNT $3,702,243) | (242,817 | ) | ||
Equity Commonwealth Equity Swap, JP Morgan - August 1, 2015 to receive total return of Equity Commonwealth less USD- 3 Month LIBOR plus 1.03% (NOTIONAL AMOUNT $3,628,073) | (45,670 | ) | ||
First Trust Four Corners Senior Floating Rate Equity Swap, JP Morgan - December 22, 2014 to receive total return of First Trust Four Corners Senior Floating Rate less USD- 3 Month LIBOR plus 1.03% (NOTIONAL AMOUNT $1,215,765) | (83,049 | ) | ||
First Trust MLP & Energy Income Fund Equity Swap, JP Morgan - December 26, 2014 to receive total return of First Trust MLP & Energy Income Fund less USD- 3 Month LIBOR plus 1.03% (NOTIONAL AMOUNT $171,325) | 22,073 | |||
General Motors Co. Equity Swap, JP Morgan - December 12, 2014 to receive total return of General Motors Co. less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $7,410,355) | (1,725,847 | ) | ||
Grain Corp. Equity Swap, JP Morgan - December 4, 2014 to receive total return of Grain Corp. less USD- 3 Month LIBOR plus 0.63% (NOTIONAL AMOUNT $402,012) | (1,852 | ) | ||
Hess Corp. Equity Swap, JP Morgan - April 3, 2015 to receive total return of Hess Corp. less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $6,146,660) | 158,940 | |||
Huntsman Corp. Equity Swap, JP Morgan - April 9, 2015 to receive total return of Huntsman Corp. less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $7,070,556) | (237,293 | ) | ||
Jazztel PLC Equity Swap, JP Morgan - October 16, 2015 to receive total return of Jasstel PLC less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $638,839) | (3,874 | ) |
See accompanying notes to financial statements.
23 |
SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2014
Unrealized | ||||
Appreciation/ | ||||
LONG EQUITY SWAP CONTRACTS (Continued) - (0.5)% | (Depreciation) | |||
Koninklijke KPN NV Equity Swap, JP Morgan - September 3, 2015 to receive total return of Koninklijke KPN NV less USD- 3 Month LIBOR plus 0.63% (NOTIONAL AMOUNT $1,931,684) | $ | (163,416 | ) | |
Lamar Advertising Co. - Class A Equity Swap, JP Morgan - December 24, 2014 to receive total return of Lamar Advertising Co. - Class A less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $6,613,484) | 153,215 | |||
Nuveen Energy MLP Total Return Fund Equity Swap, JP Morgan - December 26, 2014 to receive total return of Nuveen Energy MLP Total Return Fund less USD- 3 Month LIBOR plus 1.03% (NOTIONAL AMOUNT $1,220,326) | 122,087 | |||
Occidental Petroleum Corp. Equity Swap, JP Morgan - February 11, 2015 to receive total return of Occidental Petroleum Corp. less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $2,902,265) | 12,613 | |||
Protective Life Corp. Equity Swap, JP Morgan - October 16, 2015 to receive total return of Protective Life Corp. less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $58,531) | 548 | |||
SAI Global Ltd. Equity Swap, JP Morgan - June 3, 2015 to receive total return of SAI Global Ltd. less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $1,076,607) | (265,373 | ) | ||
Sirius XM Radio, Inc. Equity Swap, JP Morgan - January 9, 2015 to receive total return of Sirius XM Radio, Inc. less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $55,134) | (5,362 | ) | ||
T-Mobile US, Inc. Equity Swap, JP Morgan - May 1, 2015 to receive total return of T-Mobile US, Inc. less USD- 3 Month LIBOR plus 0.00% (NOTIONAL AMOUNT $3,217,731) | 122,570 | |||
Time Warner Cable, Inc. Equity Swap, JP Morgan - March 17, 2015 to receive total return of Time Warner Cable, Inc. less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $7,203,316) | 446,577 | |||
Verizon Communications, Inc. Equity Swap, JP Morgan - December 15, 2014 to receive total return of Verizon Communications, Inc. less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $1,194,863) | 80,100 | |||
Vivendi Equity Swap, JP Morgan - May 8, 2015 to receive total return of Vivendi less USD- 3 Month LIBOR plus 0.63% (NOTIONAL AMOUNT $259,430) | (20,546 | ) | ||
Vivendi Equity Swap, JP Morgan - May 13, 2015 to receive total return of Vivendi less USD- 3 Month LIBOR plus 0.63% (NOTIONAL AMOUNT $340,439) | (25,989 | ) | ||
Vivendi Equity Swap, JP Morgan - May 14, 2015 to receive total return of Vivendi less USD- 3 Month LIBOR plus 0.63% (NOTIONAL AMOUNT $507,907) | (32,570 | ) |
See accompanying notes to financial statements.
24 |
SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2014
Unrealized | ||||
Appreciation/ | ||||
LONG EQUITY SWAP CONTRACTS (Continued) - (0.5)% | (Depreciation) | |||
Vivendi Equity Swap, JP Morgan - May 16, 2015 to receive total return of Vivendi less USD- 3 Month LIBOR plus 0.63% (NOTIONAL AMOUNT $461,980) | $ | (18,324 | ) | |
Vivendi Equity Swap, JP Morgan - May 21, 2015 to receive total return of Vivendi less USD- 3 Month LIBOR plus 0.63% (NOTIONAL AMOUNT $3,285,053) | (338,214 | ) | ||
Vivendi Equity Swap, JP Morgan - July 10, 2015 to receive total return of Vivendi less USD- 3 Month LIBOR plus 0.63% (NOTIONAL AMOUNT $278,389) | 7,758 | |||
Vivendi Equity Swap, JP Morgan - July 14, 2015 to receive total return of Vivendi less USD- 3 Month LIBOR plus 0.63% (NOTIONAL AMOUNT $96,694) | 3,060 | |||
Vivendi Equity Swap, JP Morgan - August 21, 2015 to receive total return of Vivendi less USD- 3 Month LIBOR plus 0.63% (NOTIONAL AMOUNT $665,065) | (36,154 | ) | ||
Vivendi Equity Swap, JP Morgan - September 4, 2015 to receive total return of Vivendi less USD- 3 Month LIBOR plus 0.63% (NOTIONAL AMOUNT $891,514) | (40,771 | ) | ||
Vivendi Equity Swap, JP Morgan - September 17, 2015 to receive total return of Vivendi less USD- 3 Month LIBOR plus 0.63% (NOTIONAL AMOUNT $601,889) | (16,807 | ) | ||
Vivendi Equity Swap, JP Morgan - September 26, 2015 to receive total return of Vivendi less USD- 3 Month LIBOR plus 0.63% (NOTIONAL AMOUNT $602,521) | 2,173 | |||
Vivendi Equity Swap, JP Morgan - October 1, 2015 to receive total return of Vivendi less USD- 3 Month LIBOR plus 0.63% (NOTIONAL AMOUNT $602,751) | 19,074 | |||
Vodafone Group PLC Equity Swap, JP Morgan - December 15, 2014 to receive total return of Vodafone Group PLC less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $2,188,676) | (645,275 | ) | ||
Voya Prime Rate Equity Swap, JP Morgan - December 22, 2014 to receive total return of Voya Prime Rate less USD- 3 Month LIBOR plus 0.53% (NOTIONAL AMOUNT $1,240,947) | (101,886 | ) | ||
Ziggo NV Equity Swap, JP Morgan - January 31, 2015 to receive total return of Ziggo NV less USD- 3 Month LIBOR plus 0.63% (NOTIONAL AMOUNT $5,096,212) | 461,910 | |||
TOTAL LONG EQUITY SWAP CONTRACTS | (1,409,677 | ) |
See accompanying notes to financial statements.
25 |
SCHEDULE OF INVESTMENTS
Dunham Monthly Distribution Fund (Continued)
October 31, 2014
Unrealized | ||||
Appreciation/ | ||||
SHORT EQUITY SWAP CONTRACTS- (0.1)% | (Depreciation) | |||
Amec PLC Equity Swap, JP Morgan - April 2, 2015 to pay total return of Amec PLC less USD- 3 Month LIBOR plus 0.12% (NOTIONAL AMOUNT $1,087,095) | $ | 97,727 | ||
Becton Dickinson and Co. Equity Swap, JP Morgan - October 9, 2015 to pay total return of Becton Dickinson Co. less USD- 3 Month LIBOR plus 0.37% (NOTIONAL AMOUNT $1,223,770) | (40,605 | ) | ||
Gtech SPA Equity Swap, JP Morgan - July 15, 2015 to pay total return of Gtech SPA less USD- 3 Month LIBOR plus 0.17% (NOTIONAL AMOUNT $152,342) | 14,884 | |||
TOTAL SHORT EQUITY SWAP CONTRACTS | 72,006 | |||
TOTAL EQUITY SWAP CONTRACTS | $ | (1,337,671 | ) |
Portfolio Composition * - (Unaudited) | ||||||||||
Financial | 23.11 | % | Short-Term Investment | 5.83 | % | |||||
Communications | 16.80 | % | Technology | 4.35 | % | |||||
Consumer, Non-cyclical | 15.23 | % | Consumer, Cyclical | 3.60 | % | |||||
Energy | 11.99 | % | Utilities | 3.07 | % | |||||
Industrial | 7.33 | % | Government | 0.93 | % | |||||
Basic Materials | 7.04 | % | Funds | 0.72 | % | |||||
* Based on total value of investments as of October 31, 2014 | Total | 100.00 | % |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
26 |
Dunham Floating Rate Bond Fund
Message from the Sub-Adviser (Newfleet Asset Management, LLC)
Although interest rates slightly increased during the first two months of the fiscal year ended October 31, 2014, interest rates generally declined for the majority of the 2014 calendar year. The yield on 10-year Treasury began the 2014 calendar year at 3.03 percent and ended October at 2.33 percent. The 10-year Treasury saw relatively large fluctuations during the fiscal year, as rates dipped as low as 2.09 percent before slightly rising through the end of the fiscal year. The rate decrease was most prevalent in the long-term end of the yield curve and less dramatic in the intermediate-term and short-term sections. As interest rates have generally declined, so has retail investor appetite for bank loans. This is broadly evidenced by retail investors in general continuing to withdraw, albeit at a lesser rate than in the second and third fiscal quarters of this fiscal year. However, institutional investors have generally continued to increase their bank loan positions, more than offsetting the impact of the negative retail flows. The London Interbank Offered Rate (“LIBOR”) fluctuated similarly to Treasury yields during the fiscal year, and ended the period slightly lower. Three-month LIBOR began the fiscal year at 0.24 percent and ended the 12-month period at 0.23 percent. Bank loans, as measured by the S&P / LSTA Leveraged Loan Index, rose 3.4 percent during the fiscal year as bank loan investors saw a slight decrease in prices, but most of the negative impact from the price decline was offset by the coupons.
The yields on bank loans, as measured by the S&P / LSTA Leveraged Loan 100 Index, generally fluctuated in line with broader Treasury yield movements during the recent fiscal year. Bank loans in general began the fiscal year with a yield-to-maturity of 5.3 percent, approximately 0.9 percent less than their traditional high-yield bond counterparts, as measured by the BofA Merrill Lynch High-Yield Bond Cash Pay Index. Bank loans underperformed traditional high-yield bonds during the period, as traditional high-yield bonds rose 5.8 percent. This performance differential was not significant enough to decrease the yield gap between the bank loans and traditional high-yield bonds. At the end of the fiscal year, the yields on bank loans stood at 4.8 percent and traditional high-yield bonds ended at 6.2 percent. The Fund on average held approximately 5 percent to 7 percent of its assets in traditional high-yield bonds, which generally aided relative performance during the fiscal year. The Fund’s largest traditional high-yield bond holdings were generally focused on intermediate-term maturities, primarily in the five to seven year range.
The Sub-Adviser has continued to hold positions in both the traditional bond and the bank loan for the same issuer. For example, the Fund currently holds the traditional bond (184502BT8) (holdings percentage*: 0.1 percent) of Clear Channel Communications, Inc., a mobile and on-demand entertainment provider, as well as the company’s first lien term bank loan (BL1008384) (holdings percentage*: 1.7 percent). The bank loan declined 2.0 percent while the traditional bond fell 5.4 percent during the most recent fiscal quarter. As the Sub-Adviser continues to find what it believes are attractive opportunities in the hotels and casinos segments, the Fund holds both the collateralized mortgage obligation (43289UBA2) (holdings percentage*: 0.2 percent) and the bank loan (432848AX7) (holdings percentage*: 1.8 percent) of Hilton Hotels Corporation, a global owner/operator of hotels and time shares, as well as both the traditional bond (552953BB6) (holdings percentage*: 0.1 percent) and the bank loan (BL1008558) (holdings percentage*: 1.5 percent) of MGM Resorts International, a global casino and hotel operator. The bank loans of Hilton Hotels Corp. and MGM Resorts International returned 1.6 percent and 0.3 percent, respectively while the collateralized mortgage obligation and traditional bond gained 0.8 percent and 0.5 percent, respectively during the most recent fiscal quarter.
The Sub-Adviser focused on higher-rated loans and first lien loans within the bank loan space, limiting the Fund’s exposure to bank loans rated CCC and lower. The exposure to lower-rated loans and second lien loans has been limited to instances where the Sub-Adviser has determined that the additional reward is expected to significantly outweigh the additional risk. For example, it purchased a bank loan issued by Blue Coat Systems Inc. (BL1028440) (holdings percentage*: 0.3 percent), a web security software provider. The CCC-rated second lien term loan issued by Blue Coat Systems Inc. returned 8.2 percent during the fiscal year, primarily due to collecting the high coupon payments and experiencing only a slight price decline during the period. The Sub-Adviser’s analysis of recovery expectations for each holding has also been beneficial to the Fund. For example Essar Steel Algoma, Inc. (BL0777724) (holdings percentage*: 0.2 percent), a manufacturer and distributor of rolled steel products, defaulted on its debt during the third fiscal quarter. However, due to the senior-secured nature of the bank loans the company was allowed to continue to pay coupons to the loan holders and the bank loans continued to trade near par value, generally benefitting the Fund.
The Sub-Adviser believes that interest rates in general will eventually rise, and that bank loans should benefit as LIBOR increases. Although there is difficulty determining “when” rates will rise, the Sub-Adviser is encouraged by the yields currently represented on bank loans, especially when compared to traditional high-yield bonds. As default rates on bank loans have remained low on a historical basis, and as the Sub-Adviser believes that default rates will remain low in the near future, the Sub-Adviser is excited about the bank loan space and its attractiveness to investors. However, the Sub-Adviser is cautious within the bank loan market as some covenants have become less stringent. Therefore, the Sub-Adviser has stressed the need to be selective and critical of new issuance in the bank loan markets, as it believes that as default rates increase, these more lenient covenants may cause problems for those bondholders.
* | Holdings percentage(s) as of 10/31/2014. |
Growth of $10,000 Investment - (Unaudited)
Total Returns as of October 31, 2014
Non-Annualized | ||
Since Inception | ||
(11/1/13) | ||
Class N | 1.43% | |
Class C | 0.63% | |
Class A with load of 4.50% | (3.35)% | |
Class A without load | 1.20% | |
S&P/LSTA Leverage Loan Index | 3.33% | |
Morningstar Bank Loan Category | 2.46% |
The S&P/LSTA U.S. Leveraged Loan 100 Index is designed to reflect the performance of the largest facilities in the leveraged loan market. Investors cannot invest directly in an index or benchmark.
The Morningstar Bank Loan Category is generally representative of mutual funds that primarily invest in floating-rate bank loans instead of bonds. These bank loans generally offer interest payments that typically float above a common short-term benchmark such as the London interbank offered rate, or LIBOR.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including cost of underlying funds, are 1.51% for Class N, 2.26% for Class C and 1.76% 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
27 |
SCHEDULE OF INVESTMENTS |
Dunham Floating Rate Bond Fund |
October 31, 2014 |
Security | Shares | Value | ||||||||||||
EXCHANGE TRADED FUNDS - 1.5% | ||||||||||||||
DEBT FUNDS - 1.5% | ||||||||||||||
PowerShares Senior Loan Portfolio | 33,000 | $ | 804,540 | |||||||||||
SPDR Barclays Short Term High Yield Bond ETF | 12,000 | 359,400 | ||||||||||||
TOTAL EXCHANGE TRADED FUNDS - (Cost $1,191,362) | 1,163,940 | |||||||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | �� | Rate | Date | |||||||||||
BANK LOANS - 89.0% | ||||||||||||||
AEROSPACE/DEFENSE - 1.5% | ||||||||||||||
Landmark Aviation | $ | 8,301 | 4.7500 | % | 10/25/2019 | 8,262 | ||||||||
LM US Member LLC | 209,149 | 4.7500 | 10/25/2019 | 208,169 | ||||||||||
LM US Member LLC | 65,000 | 9.5000 | 10/25/2020 | 64,188 | ||||||||||
Spirit Aerosystems, Inc. | 221,162 | 3.2500 | 9/15/2020 | 218,213 | ||||||||||
TransDigm, Inc. | 82,793 | 3.7500 | 6/4/2021 | 81,568 | ||||||||||
TransDigm, Inc. | 658,750 | 3.7500 | 2/28/2020 | 649,386 | ||||||||||
1,229,786 | ||||||||||||||
AIRLINES - 2.1% | ||||||||||||||
Air Canada | 204,488 | 5.5000 | 9/26/2019 | 207,128 | ||||||||||
American Airlines, Inc. | 236,000 | 4.2500 | 10/10/2021 | 235,351 | ||||||||||
American Airlines, Inc. | 438,000 | 3.7500 | 9/15/2021 | 434,579 | ||||||||||
American Airlines, Inc. | 272,927 | 3.7500 | 6/27/2019 | 269,857 | ||||||||||
US Airways Group, Inc. | 509,850 | 3.5000 | 5/23/2019 | 499,380 | ||||||||||
1,646,295 | ||||||||||||||
AUTOMOTIVE - 3.3% | ||||||||||||||
Allison Transmission, Inc. | 318,404 | 3.7500 | 8/23/2019 | 316,503 | ||||||||||
BBB Industries, Inc. | 137,000 | 6.0000 | 11/3/2021 | 135,288 | ||||||||||
Breed Technologies, Inc. | 347,000 | 4.7500 | 8/29/2021 | 347,434 | ||||||||||
Chrysler Group LLC | 223,269 | 3.5000 | 5/24/2017 | 222,455 | ||||||||||
Chrysler Group LLC | 199,995 | 3.2500 | 12/31/2018 | 198,395 | ||||||||||
Cooper-Standard Automotive | 216,458 | 4.0000 | 4/4/2021 | 214,564 | ||||||||||
Federal Mogul Corp. | 448,875 | 4.7500 | 4/15/2021 | 447,672 | ||||||||||
KAR Auction Services, Inc. | 315,674 | 3.5000 | 3/11/2021 | 313,701 | ||||||||||
MPG Holdco, Inc. | 132,000 | 4.5000 | 10/13/2021 | 132,275 | ||||||||||
SRAM, LLC | 131,801 | 4.0000 | 4/10/2020 | 129,824 | ||||||||||
TI Group Automotive Systems, LLC | 119,700 | 4.2500 | 7/2/2021 | 118,802 | ||||||||||
Transtar Holding Co. | 34,434 | 5.5000 | 10/9/2018 | 34,305 | ||||||||||
2,611,218 | ||||||||||||||
BUILDING MATERIALS - 1.8% | ||||||||||||||
American Builders & Contractor Supply Co., Inc. | 603,900 | 3.5000 | 4/16/2020 | 592,076 | ||||||||||
Anchor Glass Containers | 400,000 | 4.2500 | 6/30/2021 | 397,564 | ||||||||||
Ardah Holdings USA, Inc. | 46,765 | 4.0000 | 12/17/2019 | 46,414 | ||||||||||
Libbey Glass, Inc. | 201,495 | 3.7500 | 4/9/2021 | 198,724 | ||||||||||
Quikrete Holdings, Inc. | 185,611 | 4.0000 | 9/28/2020 | 184,219 | ||||||||||
1,418,997 | ||||||||||||||
CHEMICALS - 3.6% | ||||||||||||||
Arizona Chem US, Inc. | 148,418 | 4.5000 | 6/12/2021 | 148,557 | ||||||||||
Berlin Packaging LLC | 145,000 | 4.5000 | 10/6/2021 | 144,529 | ||||||||||
Berry Plastics Group, Inc. | 242,538 | 3.5000 | 2/8/2020 | 237,991 | ||||||||||
Berry Plastics Group, Inc. | 239,149 | 3.7500 | 1/6/2021 | 235,412 | ||||||||||
Huntsman International LLC | 290,000 | 3.7500 | 10/1/2021 | 286,858 | ||||||||||
Ineos US Finance LLC | 634,748 | 3.7500 | 5/4/2018 | 627,509 | ||||||||||
Minerals Technologies, Inc. | 223,045 | 4.0000 | 5/9/2021 | 222,768 | ||||||||||
Reynolds Group Holdings, Inc. | 458,096 | 4.0000 | 12/1/2018 | 456,222 | ||||||||||
Solenis International LP | 156,000 | 4.2500 | 7/31/2021 | 154,050 | ||||||||||
Univar, Inc. | 143,512 | 5.0000 | 6/30/2017 | 142,794 |
See accompanying notes to financial statements.
28 |
SCHEDULE OF INVESTMENTS |
Dunham Floating Rate Bond Fund (Continued) |
October 31, 2014 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
CHEMICALS (Continued) - 3.6% | ||||||||||||||
W.R. Grace & Co. | $ | 190,621 | 3.0000 | % | 2/3/2021 | $ | 189,549 | |||||||
W.R. Grace & Co. | 68,422 | 3.0000 | 2/3/2021 | 68,037 | ||||||||||
2,914,276 | ||||||||||||||
COMPUTERS & ELECTRONICS - 10.5% | ||||||||||||||
Active Network, Inc. | 204,595 | 5.5000 | 11/15/2020 | 203,188 | ||||||||||
Allflex Holdings III, Inc. | 287,100 | 4.2500 | 7/17/2020 | 281,837 | ||||||||||
Applied Systems, Inc. | 240,185 | 4.2500 | 1/23/2021 | 238,173 | ||||||||||
Applied Systems, Inc. | 70,000 | 7.5000 | 1/23/2022 | 69,883 | ||||||||||
Avago Technologies Cayman Ltd. | 367,080 | 3.7500 | 5/6/2021 | 366,599 | ||||||||||
Blue Coat Systems, Inc. | 210,000 | 9.5000 | 6/28/2020 | 209,738 | ||||||||||
Blue Coat Systems, Inc. | 344,272 | 4.0000 | 5/31/2019 | 338,533 | ||||||||||
CCC Information Services, Inc. | 214,454 | 4.0000 | 12/17/2019 | 211,417 | ||||||||||
CPI International, Inc. | 202,154 | 4.2500 | 11/17/2017 | 200,218 | ||||||||||
Deltek, Inc. | 170,000 | 10.0000 | 10/10/2019 | 172,125 | ||||||||||
Deltek, Inc. | 138,588 | 5.0000 | 10/30/2020 | 137,982 | ||||||||||
Ellucian, Inc. | 119,638 | 4.0000 | 7/19/2018 | 118,703 | ||||||||||
Evergreen Skills Lux S.a.r.l | 345,000 | 5.7500 | 4/28/2021 | 341,550 | ||||||||||
Evergreen Skills Lux S.a.r.l | 137,000 | 9.2500 | 4/28/2022 | 130,606 | ||||||||||
Excelitas Technologies Corp. | 158,400 | 6.0000 | 10/30/2020 | 158,729 | ||||||||||
First Data Corp. | 1,308,000 | 3.5000 | 3/24/2018 | 1,297,915 | ||||||||||
First Data Corp. | 114,056 | 3.5000 | 9/24/2018 | 113,129 | ||||||||||
Freescale Semiconductor, Inc. | 287,100 | 5.0000 | 1/15/2021 | 287,152 | ||||||||||
IMS Health, Inc. | 457,204 | 3.5000 | 3/17/2021 | 452,469 | ||||||||||
Infor, Inc. | 474,485 | 3.7500 | 6/3/2020 | 468,950 | ||||||||||
Infor, Inc. | 311,469 | 3.7500 | 6/3/2020 | 307,809 | ||||||||||
ION Trading Technologies S.a.R.L | 200,424 | 4.2500 | 6/10/2021 | 198,921 | ||||||||||
Kronos, Inc. | 611,325 | 4.5000 | 10/30/2019 | 609,797 | ||||||||||
Kronos, Inc. | 50,940 | 9.7500 | 4/30/2020 | 52,468 | ||||||||||
Mitchell International, Inc. | 168,725 | 4.5000 | 10/12/2020 | 167,565 | ||||||||||
Mitchell International, Inc. | 221,000 | 8.5000 | 10/11/2021 | 220,945 | ||||||||||
RP Crown Parent LLC | 219,388 | 6.0000 | 12/21/2018 | 213,218 | ||||||||||
RP Crown Parent LLC | 200,000 | 11.2500 | 12/21/2019 | 188,000 | ||||||||||
Spectrum Brands, Inc. | 242,550 | 3.5000 | 9/4/2019 | 240,822 | ||||||||||
Sungard Availability Services Capital, Inc. | 221,885 | 6.0000 | 3/31/2019 | 198,957 | ||||||||||
Vision Solutions, Inc. | 71,035 | 6.0000 | 7/23/2016 | 70,591 | ||||||||||
Wall Street Systems Delaware, Inc. | 139,650 | 4.5000 | 4/30/2021 | 139,127 | ||||||||||
8,407,116 | ||||||||||||||
CONSTRUCTION - 0.6% | ||||||||||||||
Brock Holdings III, Inc. | 309,152 | 6.0000 | 3/16/2017 | 305,287 | ||||||||||
USIC Holdings, Inc. | 200,117 | 4.7500 | 7/29/2020 | 197,740 | ||||||||||
503,027 | ||||||||||||||
CONSUMER NON-DURABLE - 0.6% | ||||||||||||||
Prestige Brands, Inc. | 506,000 | 4.5000 | 9/3/2021 | 507,503 | ||||||||||
EDUCATIONAL SERVICES - 0.5% | ||||||||||||||
Laureate Education, Inc. | 381,793 | 5.0000 | 6/16/2018 | 369,623 | ||||||||||
ENTERTAINMENT & LEISURE - 1.4% | ||||||||||||||
Delta 2 Lux S.a.r.l | 410,000 | 4.7500 | 7/30/2021 | 407,610 | ||||||||||
Delta 2 Lux S.a.r.l | 105,000 | 7.7500 | 7/29/2022 | 104,935 | ||||||||||
Live Nation Entertainment, Inc. | 198,995 | 3.5000 | 8/16/2020 | 198,497 | ||||||||||
Oceania Cruises, Inc. | 128,296 | 5.2500 | 7/2/2020 | 128,296 | ||||||||||
Seven Seas Cruises | 178,650 | 3.7500 | 12/21/2018 | 178,427 | ||||||||||
Zuffa, LLC | 142,424 | 3.7500 | 2/25/2020 | 139,220 | ||||||||||
1,156,985 |
See accompanying notes to financial statements.
29 |
SCHEDULE OF INVESTMENTS |
Dunham Floating Rate Bond Fund (Continued) |
October 31, 2014 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
FINANCIAL SERVICES - 1.1% | ||||||||||||||
Altisource Solutions S.a.r.l. | $ | 324,188 | 4.5000 | % | 12/9/2020 | $ | 291,769 | |||||||
Walter Investment Management Corp. | 592,044 | 4.7500 | 12/18/2020 | 559,481 | ||||||||||
851,250 | ||||||||||||||
FOOD AND BEVERAGE - 3.9% | ||||||||||||||
Big Heart Pet Brands | 199,000 | 3.5000 | 3/8/2020 | 191,973 | ||||||||||
De Master Blenders 1753 | 73,000 | 4.2500 | 7/23/2021 | 71,996 | ||||||||||
Del Monte Foods Co. | 263,675 | 4.2500 | 2/18/2021 | 248,432 | ||||||||||
Dole Foods, Inc. | 146,875 | 4.5000 | 11/1/2018 | 146,553 | ||||||||||
H.J. Heinz Co. | 1,508,068 | 3.5000 | 6/5/2020 | 1,501,636 | ||||||||||
Old HB, Inc. | 288,550 | 6.7500 | 3/20/2020 | 294,503 | ||||||||||
Pinnacle Foods Finance LLC | 713,073 | 3.2500 | 4/29/2020 | 701,104 | ||||||||||
3,156,197 | ||||||||||||||
GAMING & HOTELS - 7.8% | ||||||||||||||
Boyd Gaming Corp. | 346,243 | 4.0000 | 8/14/2020 | 342,240 | ||||||||||
Caesars Entertainment Operating Co. | 137,655 | 9.7500 | 3/1/2017 | 127,612 | ||||||||||
Caesars Entertainment Operating Co., Inc. | 203,234 | 5.7500 | 3/1/2017 | 181,996 | ||||||||||
Caesars Entertainment Resort Properties, LLC | 362,263 | 7.0000 | 10/11/2020 | 346,618 | ||||||||||
Caesars Growth Properties Holdings, LLC | 255,360 | 6.2500 | 5/8/2021 | 242,000 | ||||||||||
CBAC Borrower, LLC | 145,000 | 8.2500 | 7/2/2020 | 146,813 | ||||||||||
CityCenter Holdings, LLC | 375,000 | 4.2500 | 10/28/2020 | 373,406 | ||||||||||
Great Wolf Resorts, Inc. | 143,546 | 4.5000 | 8/6/2020 | 142,051 | ||||||||||
Hilton Worldwide Finance | 1,531,322 | 3.5000 | 10/25/2020 | 1,518,497 | ||||||||||
Marina District Finance Co. | 167,038 | 6.7500 | 8/15/2018 | 167,404 | ||||||||||
MGM Results International | 1,232,211 | 3.5000 | 12/20/2019 | 1,219,630 | ||||||||||
Mohegan Tribal Gaming Authority | 163,233 | 5.5000 | 6/15/2018 | 159,255 | ||||||||||
Penn National Gaming, Inc. | 411,888 | 3.2500 | 10/30/2020 | 406,455 | ||||||||||
Pinnacle Entertainment, Inc. | 218,045 | 3.7500 | 8/13/2020 | 216,137 | ||||||||||
Scientific Games International, Inc. | 218,000 | 6.0000 | 10/1/2021 | 213,882 | ||||||||||
Shingle Springs Tribal Gaming Authority | 167,810 | 6.2500 | 8/29/2019 | 169,908 | ||||||||||
Station Casinos LLC | 269,918 | 4.2500 | 3/1/2020 | 267,556 | ||||||||||
6,241,460 | ||||||||||||||
HEALTHCARE - 7.6% | ||||||||||||||
Accellent, Inc. | 186,065 | 4.5000 | 3/21/2021 | 184,437 | ||||||||||
Akorn, Inc. | 425,000 | 4.5000 | 4/16/2021 | 424,205 | ||||||||||
Alere, Inc. | 234,397 | 4.2500 | 6/30/2017 | 234,104 | ||||||||||
American Renal Holdings, Inc. | 69,986 | 8.5000 | 2/20/2020 | 69,111 | ||||||||||
Amneal Pharmaceuticals LLC | 106,731 | 4.7500 | 11/1/2019 | 105,930 | ||||||||||
Amsurg Corp. | 102,743 | 3.7500 | 7/16/2021 | 102,210 | ||||||||||
Capsugel Holdings US, Inc. | 214,654 | 3.5000 | 8/1/2018 | 212,131 | ||||||||||
Community Health Systems, Inc. | 494,265 | 4.2500 | 1/27/2021 | 495,345 | ||||||||||
CRC Health Corp. | 76,615 | 5.2500 | 3/28/2021 | 76,950 | ||||||||||
Davita Healthcare Partners, Inc. | 207,480 | 3.5000 | 6/24/2021 | 206,146 | ||||||||||
Devix US, Inc. | 113,715 | 4.2500 | 5/2/2021 | 112,862 | ||||||||||
Endo International PLC | 348,250 | 3.2500 | 2/28/2021 | 344,987 | ||||||||||
Gentiva Health Services, Inc. | 228,437 | 6.5000 | 10/18/2019 | 229,103 | ||||||||||
Hologic, Inc. | 199,347 | 3.2500 | 8/1/2019 | 198,649 | ||||||||||
Kinetic Concepts, Inc. | 223,313 | 4.0000 | 5/4/2018 | 221,951 | ||||||||||
Mallinckrodt International Finance | 157,210 | 3.5000 | 3/19/2021 | 155,972 | ||||||||||
Mallinckrodt International Finance | 28,000 | 3.5000 | 3/19/2021 | 27,815 | ||||||||||
National Surgical Hospitals, Inc. | 92,768 | 4.5000 | 7/11/2019 | 92,652 | ||||||||||
NBTY, Inc. | 215,000 | 3.5000 | 10/1/2017 | 210,854 | ||||||||||
Ortho-Clinical Diagnostics, Inc. | 431,918 | 4.7500 | 6/30/2021 | 428,247 | ||||||||||
Par Pharmaceutical Co., Inc. | 127,280 | 4.0000 | 9/28/2019 | 125,583 |
See accompanying notes to financial statements.
30 |
SCHEDULE OF INVESTMENTS |
Dunham Floating Rate Bond Fund (Continued) |
October 31, 2014 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
HEALTHCARE (Continued) - 7.6% | ||||||||||||||
Pharmedium Healthcare Corp. | $ | 194,000 | 4.2500 | % | 1/28/2021 | $ | 191,413 | |||||||
Pharmedium Healthcare Corp. | 29,000 | 7.7500 | 1/28/2022 | 29,073 | ||||||||||
Regional Care Hospital, Inc. | 178,553 | 6.0000 | 4/23/2019 | 178,329 | ||||||||||
Surgery Center Holdings, Inc. | 189,071 | 5.2500 | 11/3/2020 | 189,072 | ||||||||||
Surgery Center Holdings, Inc. | 118,000 | 8.5000 | 11/3/2021 | 116,231 | ||||||||||
Surgery Center Holdings, Inc. | 95,000 | 9.7500 | 4/11/2020 | 95,024 | ||||||||||
Surgical Care Affiliates, Inc. | 193,045 | 4.2500 | 6/30/2018 | 191,517 | ||||||||||
US Renal Care, Inc. | 375,833 | 4.2500 | 7/3/2019 | 374,110 | ||||||||||
Valeant Pharmaceuticals International, Inc. | 462,020 | 3.5000 | 2/13/2019 | 459,132 | ||||||||||
6,083,145 | ||||||||||||||
INSURANCE - 2.3% | ||||||||||||||
Asurion, LLC | 195,000 | 8.5000 | 3/3/2021 | 198,851 | ||||||||||
Asurion, LLC | 175,183 | 5.0000 | 5/24/2019 | 175,609 | ||||||||||
Asurion, LLC | 111,156 | 4.2500 | 7/8/2020 | 109,905 | ||||||||||
MPH Acquisition Holdings LLC | 312,212 | 4.0000 | 3/31/2021 | 308,086 | ||||||||||
National Financial Partners Corp. | 283,785 | 4.5000 | 7/1/2020 | 282,247 | ||||||||||
Sedgwick CMS Holdings, Inc. | 792,000 | 3.7500 | 2/28/2021 | 771,408 | ||||||||||
1,846,106 | ||||||||||||||
LEASING - 0.5% | ||||||||||||||
Delos Aircraft, Inc. | 381,000 | 3.5000 | 3/6/2021 | 379,810 | ||||||||||
MACHINERY - 1.8% | ||||||||||||||
Alliance Laundry Systems, LLC | 385,796 | 4.2500 | 12/10/2018 | 382,661 | ||||||||||
Filtration Group Corp. | 80,000 | 8.2500 | 11/22/2021 | 79,960 | ||||||||||
Husky Injection Molding Systems Ltd. | 172,342 | 4.2500 | 6/30/2018 | 169,937 | ||||||||||
McJunkin Red Man Corp. | 73,260 | 4.7500 | 11/19/2019 | 73,466 | ||||||||||
Nortek, Inc. | 254,363 | 3.7500 | 10/30/2020 | 250,229 | ||||||||||
RBS Global, Inc. | 242,550 | 4.0000 | 8/21/2020 | 239,639 | ||||||||||
Spin Holdco, Inc. | 238,200 | 4.2500 | 11/8/2019 | 236,354 | ||||||||||
1,432,246 | ||||||||||||||
MANUFACTURING - 0.8% | ||||||||||||||
Aristocrat Leisure Ltd. | 390,000 | 4.7500 | 9/29/2021 | 388,173 | ||||||||||
Bally Technologies, Inc. | 227,463 | 4.2500 | 11/25/2020 | 226,966 | ||||||||||
615,139 | ||||||||||||||
MEDIA - 7.7% | ||||||||||||||
CCO Safari, LLC | 140,000 | 4.2500 | 9/12/2021 | 141,173 | ||||||||||
Cequel Communications LLC | 139,273 | 3.5000 | 2/14/2019 | 138,116 | ||||||||||
Charter Communications Operating, LLC | 831,853 | 3.0000 | 7/1/2020 | 819,030 | ||||||||||
CSC Holdings LLC | 508,265 | 2.5000 | 4/17/2020 | 497,973 | ||||||||||
Cumulus Media Holdings, Inc. | 187,331 | 4.2500 | 12/23/2020 | 185,613 | ||||||||||
iHeart Communications, Inc. | 1,480,000 | 6.7500 | 1/30/2019 | 1,400,110 | ||||||||||
MCC Iowa LLC | 143,546 | 3.2500 | 1/29/2021 | 140,855 | ||||||||||
MCC Iowa LLC | 62,843 | 0.7500 | 6/30/2021 | 61,959 | ||||||||||
Mediacom Illinois, LLC | 158,000 | 3.7500 | 6/30/2021 | 156,420 | ||||||||||
Numericable US LLC | 116,555 | 4.5000 | 5/21/2020 | 117,002 | ||||||||||
Numericable US LLC | 98,644 | 4.5000 | 5/21/2020 | 99,022 | ||||||||||
Sinclair Television Group, Inc. | 375,000 | 3.5000 | 7/31/2021 | 369,750 | ||||||||||
TWCC Holding Corp. | 232,862 | 3.5000 | 2/13/2017 | 229,922 | ||||||||||
TWCC Holding Corp. | 270,000 | 7.0000 | 6/26/2020 | 265,330 | ||||||||||
Univision Communications, Inc. | 1,352,390 | 4.0000 | 3/1/2020 | 1,340,982 | ||||||||||
Ziggo BV | 80,983 | 3.2500 | 1/15/2022 | 79,045 | ||||||||||
Ziggo BV | 52,187 | 3.2500 | 1/15/2022 | 50,938 | ||||||||||
Ziggo BV | 85,829 | 3.2500 | 2/1/2022 | 83,775 | ||||||||||
6,177,015 |
See accompanying notes to financial statements.
31 |
SCHEDULE OF INVESTMENTS |
Dunham Floating Rate Bond Fund (Continued) |
October 31, 2014 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
METALS & MINING - 0.5% | ||||||||||||||
Arch Coal, Inc. | $ | 304,224 | 6.2500 | % | 5/16/2018 | $ | 270,216 | |||||||
Crown Holdings, Inc. | 157,000 | 4.0000 | 10/24/2021 | 157,418 | ||||||||||
427,634 | ||||||||||||||
NOT FOR PROFIT - 0.3% | ||||||||||||||
National Mentor Holdings, Inc. | 238,800 | 4.7500 | 1/31/2021 | 237,532 | ||||||||||
OIL & GAS - 3.0% | ||||||||||||||
Chief Exploration and Development LLC | 172,000 | 7.5000 | 5/16/2021 | 166,625 | ||||||||||
CITGO Petroleum Corp. | 40,000 | 4.5000 | 7/29/2021 | 40,050 | ||||||||||
Drillships Financing Holding, Inc. | 143,546 | 6.0000 | 3/31/2021 | 137,535 | ||||||||||
Drillships Financing Holding, Inc. | 111,720 | 5.5000 | 7/25/2021 | 107,558 | ||||||||||
Expro Finance Luxembourg | 117,000 | 5.7500 | 9/2/2021 | 114,855 | ||||||||||
Fieldwood Energy LLC | 98,070 | 3.8800 | 9/25/2018 | 96,158 | ||||||||||
Fieldwood Energy LLC | 215,850 | 8.3800 | 9/30/2020 | 208,566 | ||||||||||
FTS International, Inc. | 86,400 | 5.7500 | 4/16/2021 | 85,212 | ||||||||||
Jonah Energy LLC | 243,000 | 7.5000 | 5/12/2021 | 235,710 | ||||||||||
Paragon Offshore Finance Co. | 231,000 | 3.7500 | 7/18/2021 | 217,718 | ||||||||||
Quicksilver Resources, Inc. | 100,000 | 7.0000 | 6/21/2019 | 90,750 | ||||||||||
Seadrill Ltd. | 646,113 | 4.0000 | 2/21/2021 | 613,358 | ||||||||||
Templar Energy, LLC | 205,000 | 8.5000 | 11/25/2020 | 186,191 | ||||||||||
TGGT Holdings, LLC | 92,400 | 6.5000 | 11/15/2018 | 91,245 | ||||||||||
2,391,531 | ||||||||||||||
PRINTING & PUBLISHING - 0.6% | ||||||||||||||
Tribune Publishing Co. | 268,335 | 4.0000 | 12/27/2020 | 266,533 | ||||||||||
Tribune Publishing Co. | 218,000 | 5.7500 | 8/4/2021 | 216,910 | ||||||||||
483,443 | ||||||||||||||
PROFESSIONAL & BUSINESS SERVICES - 7.0% | ||||||||||||||
Acosta, Inc. | 233,000 | 5.0000 | 9/26/2021 | 233,670 | ||||||||||
Advantage Sales & Marketing, Inc. | 122,903 | 4.2500 | 7/25/2021 | 122,043 | ||||||||||
Advantage Sales & Marketing, Inc. | 4,097 | 4.2500 | 7/25/2021 | 4,068 | ||||||||||
Advantage Sales & Marketing, Inc. | 195,000 | 7.5000 | 7/25/2022 | 194,415 | ||||||||||
Allied Security Holdings LLC | 78,600 | 4.2500 | 2/14/2021 | 77,834 | ||||||||||
Allied Security Holdings LLC | 38,479 | 8.0000 | 8/14/2021 | 38,175 | ||||||||||
Ceridian HCM Holding, Inc. | 464,577 | 4.5000 | 9/14/2020 | 461,601 | ||||||||||
Checkout Holdings Corp. | 170,573 | 4.5000 | 4/9/2021 | 166,682 | ||||||||||
CHG Buyer Corp. | 373,071 | 4.2500 | 11/19/2019 | 371,579 | ||||||||||
CHG Buyer Corp. | 20,000 | 9.0000 | 11/19/2020 | 20,308 | ||||||||||
Guggenheim Partners Investment Management Holdings, LLC | 183,449 | 4.2500 | 7/22/2020 | 182,876 | ||||||||||
Harland Clarke Holdings Corp. | 180,506 | 7.0000 | 5/22/2018 | 182,763 | ||||||||||
Harland Clarke Holdings Corp. | 67,706 | 6.0000 | 8/4/2019 | 68,073 | ||||||||||
INC Research, Inc. | 117,793 | 4.2500 | 7/12/2018 | 117,154 | ||||||||||
INC Research, Inc. | 145,000 | 4.7500 | 10/31/2021 | 144,879 | ||||||||||
Interactive Data Corp. | 351,205 | 4.7500 | 5/2/2021 | 351,820 | ||||||||||
Inventiv Health, Inc. | 233,269 | 7.7500 | 5/15/2018 | 231,179 | ||||||||||
Medpace Holdings, Inc. | 198,189 | 4.7500 | 4/1/2021 | 197,632 | ||||||||||
NVA Holdings, Inc. | 42,000 | 4.7500 | 8/14/2021 | 41,825 | ||||||||||
NVA Holdings, Inc. | 106,000 | 8.0000 | 8/14/2022 | 105,470 | ||||||||||
PRA Holdings, Inc. | 143,550 | 4.5000 | 9/24/2020 | 142,007 | ||||||||||
Quintiles Transnational Corp. | 508,725 | 3.7500 | 6/8/2018 | 505,335 | ||||||||||
Symphonyiri Group, Inc. | 143,550 | 4.7500 | 9/26/2020 | 143,909 | ||||||||||
Trans Union LLC | 559,756 | 4.0000 | 4/9/2021 | 553,812 | ||||||||||
US LLC 2 | 461,000 | 4.2500 | 8/6/2021 | 452,702 | ||||||||||
Vantiv LLC | 1 | 3.7500 | 6/13/2021 | 1 | ||||||||||
WP Mustang Holdings LLC | 264,338 | 5.5000 | 5/29/2021 | 265,109 |
See accompanying notes to financial statements.
32 |
SCHEDULE OF INVESTMENTS |
Dunham Floating Rate Bond Fund (Continued) |
October 31, 2014 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
PROFESSIONAL & BUSINESS SERVICES (Continued) - 7.0% | ||||||||||||||
West Corp. | $ | 246,073 | 3.2500 | % | 6/30/2018 | $ | 242,945 | |||||||
5,619,866 | ||||||||||||||
REAL ESTATE - 2.5% | ||||||||||||||
Capital Automotive LP | 116,532 | 4.0000 | 4/10/2019 | 116,191 | ||||||||||
Capital Automotive LP | 197,005 | 6.0000 | 4/29/2020 | 199,960 | ||||||||||
Realogy Group LLC | 837,242 | 3.7500 | 3/5/2020 | 831,834 | ||||||||||
Servicemaster Co. | 391,000 | 4.2500 | 7/1/2021 | 388,150 | ||||||||||
Starwood Property Trust, Inc. | 483,885 | 3.5000 | 4/19/2020 | 472,998 | ||||||||||
2,009,133 | ||||||||||||||
RETAIL FOOD & DRUG - 1.9% | ||||||||||||||
Albertsons, Inc. | 253,000 | 5.5000 | 8/25/2021 | 253,565 | ||||||||||
Albertsons, Inc. | 28,000 | 5.5000 | 8/25/2021 | 28,062 | ||||||||||
General Nutrition Centers, Inc. | 572,545 | 3.2500 | 3/4/2019 | 560,138 | ||||||||||
Rite Aid Corp. | 711,961 | 3.5000 | 2/21/2020 | 705,020 | ||||||||||
1,546,785 | ||||||||||||||
RETAILING - 4.2% | ||||||||||||||
Aramark Corp. | 411,930 | 3.2500 | 2/24/2021 | 406,780 | ||||||||||
Brickman Group Holdings, Inc. | 326,535 | 4.0000 | 12/18/2020 | 321,579 | ||||||||||
Brickman Group Holdings, Inc. | 249,000 | 7.5000 | 12/18/2021 | 246,043 | ||||||||||
CDW LLC | 867,181 | 3.2500 | 4/29/2020 | 850,301 | ||||||||||
HD Supply, Inc. | 352,677 | 4.0000 | 6/28/2018 | 350,088 | ||||||||||
Leslie’s Poolmart, Inc. | 402,081 | 4.2500 | 10/16/2019 | 396,050 | ||||||||||
Michaels Stores, Inc. | 287,814 | 3.7500 | 1/28/2020 | 283,272 | ||||||||||
Michaels Stores, Inc. | 167,000 | 4.0000 | 1/28/2020 | 165,270 | ||||||||||
Neiman Marcus Group, Inc. | 353,503 | 4.2500 | 10/25/2020 | 349,488 | ||||||||||
3,368,871 | ||||||||||||||
SECURITIES & TRUSTS - 0.8% | ||||||||||||||
AlixPartners, LLP | 225,000 | 4.0000 | 7/2/2020 | 222,094 | ||||||||||
Clipper Acquisitions Corp. | 297,750 | 3.0000 | 2/6/2020 | 292,353 | ||||||||||
SAM Finance Lux S.a.r.l | 118,108 | 4.2500 | 11/26/2020 | 117,887 | ||||||||||
632,334 | ||||||||||||||
STEEL - 0.7% | ||||||||||||||
Essar Steel Algoma, Inc. | 143,902 | 9.2500 | 11/15/2014 | 144,419 | ||||||||||
FMG Resources Ltd. | 407,097 | 3.7500 | 6/30/2019 | 397,984 | ||||||||||
542,403 | ||||||||||||||
TELECOMMUNICATIONS - 4.6% | ||||||||||||||
Cincinnati Bell, Inc. | 173,250 | 4.0000 | 9/10/2020 | 171,084 | ||||||||||
Crown Castle Operating Co. | 415,913 | 3.0000 | 1/31/2021 | 413,054 | ||||||||||
Global Tel Link Corp. | 307,056 | 5.0000 | 5/21/2020 | 305,368 | ||||||||||
Intelsat Jackson Holdings | 800,000 | 3.7500 | 6/30/2019 | 794,800 | ||||||||||
IPC Systems, Inc. | 121,695 | 6.0000 | 11/8/2020 | 121,809 | ||||||||||
Level 3 Financing, Inc. | 761,000 | 4.0000 | 1/15/2020 | 758,622 | ||||||||||
SBA Senior Finance II LLC | 213,465 | 3.2500 | 3/24/2021 | 210,238 | ||||||||||
Securus Technologies, Inc. | 143,550 | 4.7500 | 4/17/2020 | 142,330 | ||||||||||
Virgin Media Investment Holdings Ltd. | 395,000 | 3.5000 | 6/7/2020 | 390,254 | ||||||||||
Windstream Holdings, Inc. | 143,539 | 3.5000 | 1/23/2020 | 142,418 | ||||||||||
XO Communications, Inc. | 263,675 | 4.2500 | 3/19/2021 | 261,751 | ||||||||||
3,711,728 | ||||||||||||||
TRANSPORTATION - 0.7% | ||||||||||||||
Dyncorp International, Inc. | 233,563 | 6.2500 | 7/7/2016 | 233,563 | ||||||||||
Envision Healthcare Corp. | 193,004 | 4.0000 | 5/25/2018 | 192,039 | ||||||||||
Travelport Finance Luxem | 154,000 | 6.0000 | 9/2/2021 | 154,169 | ||||||||||
579,771 |
See accompanying notes to financial statements.
33 |
SCHEDULE OF INVESTMENTS |
Dunham Floating Rate Bond Fund (Continued) |
October 31, 2014 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
UTILITIES - 2.8% | ||||||||||||||
Atlantic Power LP | $ | 65,419 | 4.7500 | % | 2/24/2021 | $ | 65,214 | |||||||
Calpine Corp. | 234,259 | 4.0000 | 10/9/2019 | 232,649 | ||||||||||
Calpine Construction Finance Co. | 262,816 | 3.2500 | 1/31/2022 | 256,957 | ||||||||||
Calpine Construction Finance Co. | 312,128 | 3.0000 | 5/3/2020 | 304,454 | ||||||||||
Exgen Renewables I, LLC | 84,469 | 5.2500 | 2/6/2021 | 85,736 | ||||||||||
Granite Acquisition, Inc. | 10,326 | 5.0000 | 10/15/2021 | 10,370 | ||||||||||
Granite Acquisition, Inc. | 231,092 | 5.0000 | 10/15/2021 | 232,103 | ||||||||||
NRG Energy, Inc. | 584,631 | 2.7500 | 7/1/2018 | 575,801 | ||||||||||
Texas Competitive Electric Holdings LLC | 639,105 | 4.5000 | 10/10/2017 | 466,773 | ||||||||||
2,230,057 | ||||||||||||||
TOTAL BANK LOANS (Cost - $72,351,518) | 71,328,282 | |||||||||||||
BONDS & NOTES - 7.6% | ||||||||||||||
AIRLINES - 0.1% | ||||||||||||||
Air Canada - 144A | 75,000 | 6.7500 | 10/1/2019 | 79,031 | ||||||||||
AUTO MANUFACTURERS - 0.3% | ||||||||||||||
Jaguar Land Rover Automotive PLC - 144A | 200,000 | 4.2500 | 11/15/2019 | 202,000 | ||||||||||
CHEMICALS - 0.4% | ||||||||||||||
Hexion Nova Scotia Finance | 75,000 | 8.8750 | 2/1/2018 | 74,344 | ||||||||||
Hexion US Finance Corp. | 75,000 | 6.6250 | 4/15/2020 | 75,374 | ||||||||||
Ineos Group Holdings SA - 144A | 200,000 | 5.8750 | 2/15/2019 | 200,250 | ||||||||||
349,968 | ||||||||||||||
CLOSED-END FUNDS - 0.3% | ||||||||||||||
Drawbridge Special Opportunities Fund LP - 144A | 260,000 | 5.0000 | 8/1/2021 | 260,000 | ||||||||||
COMMERCIAL MBS - 0.3% | ||||||||||||||
Hilton USA Trust | 150,000 | 5.2220 | + | 11/15/2030 | 153,376 | |||||||||
Monty Parent Issuer LLC | 53,830 | 3.4700 | 11/20/2028 | 53,922 | ||||||||||
207,298 | ||||||||||||||
COMMERCIAL SERVICES - 0.3% | ||||||||||||||
Ceridian LLC - 144A | 5,000 | 8.1250 | 11/15/2017 | 5,013 | ||||||||||
Interactive Data Corp. - 144A | 125,000 | 5.8750 | 4/15/2019 | 125,469 | ||||||||||
United Rentals North America, Inc. | 75,000 | 7.3750 | 5/15/2020 | 81,750 | ||||||||||
212,232 | ||||||||||||||
DIVERSIFIED FINANCIAL SERVICES - 0.9% | ||||||||||||||
Aercap Ireland Cap LTD - 144A | 150,000 | 3.7500 | 5/15/2019 | 149,063 | ||||||||||
Aercap Ireland Cap LTD - 144A | 115,000 | 4.5000 | 5/15/2021 | 116,293 | ||||||||||
Aircastle Ltd. | 75,000 | 6.2500 | 12/1/2019 | 80,250 | ||||||||||
Aircastle Ltd. | 25,000 | 4.6250 | 12/15/2018 | 25,438 | ||||||||||
Icahn Enterprises LP | 10,000 | 4.8750 | 3/15/2019 | 10,200 | ||||||||||
International Lease Finance Corp. | 120,000 | 3.8750 | 4/15/2018 | 120,601 | ||||||||||
Nationstar Mortgage LLC | 220,000 | 6.5000 | 8/1/2018 | 216,700 | ||||||||||
Navient Corp. | 40,000 | 4.8750 | 6/17/2019 | 40,700 | ||||||||||
759,245 | ||||||||||||||
ELECTRIC - 0.3% | ||||||||||||||
Dynegy Finance, Inc. - 144A | 100,000 | 6.7500 | 11/1/2019 | 103,624 | ||||||||||
RJS Power Holdings LLC - 144A | 100,000 | 5.1250 | 7/15/2019 | 100,000 | ||||||||||
203,624 | ||||||||||||||
ELECTRONICS - 0.1% | ||||||||||||||
Sanmina Corp. - 144A | 40,000 | 4.3750 | 6/1/2019 | 40,150 |
See accompanying notes to financial statements.
34 |
SCHEDULE OF INVESTMENTS |
Dunham Floating Rate Bond Fund (Continued) |
October 31, 2014 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
ENTERTAINMENT - 0.2% | ||||||||||||||
GLP Capital LP | $ | 50,000 | 4.8750 | % | 11/1/2020 | $ | 52,250 | |||||||
Isle of Capri Casinos, Inc. | 75,000 | 5.8750 | 3/15/2021 | 77,250 | ||||||||||
129,500 | ||||||||||||||
GAS - 0.1% | ||||||||||||||
NGL Energy Part LP - 144A | 105,000 | 5.1250 | 7/15/2019 | 105,788 | ||||||||||
HEALTHCARE-SERVICES - 0.3% | ||||||||||||||
Community Health Systems, Inc. | 75,000 | 5.1250 | 8/15/2018 | 78,188 | ||||||||||
HCA, Inc. | 75,000 | 4.2500 | 10/15/2019 | 76,313 | ||||||||||
Tenet Healthcare Corp. | 75,000 | 6.0000 | 10/1/2020 | 80,813 | ||||||||||
Tenet Healthcare Corp. - 144A | 25,000 | 5.0000 | 3/1/2019 | 25,094 | ||||||||||
260,408 | ||||||||||||||
HOUSEHOLD PRODUCTS/WARES - 0.1% | ||||||||||||||
Spectrum Brands, Inc. | 75,000 | 6.3750 | 11/15/2020 | 79,875 | ||||||||||
IRON/STEEL - 0.1% | ||||||||||||||
United States Steel Corp. | 50,000 | 6.8750 | 4/1/2021 | 54,250 | ||||||||||
LODGING - 0.4% | ||||||||||||||
MGM Resorts International | 75,000 | 7.6250 | 1/5/2017 | 82,031 | ||||||||||
Wynn Macau Ltd. - 144A | 200,000 | 5.2500 | 10/15/2021 | 201,000 | ||||||||||
283,031 | ||||||||||||||
MEDIA - 0.7% | ||||||||||||||
Cequel Capital Corp. - 144A | 50,000 | 6.3750 | 9/15/2020 | 52,375 | ||||||||||
iHeart Communications, Inc. | 120,000 | 10.0000 | 1/15/2018 | 100,725 | ||||||||||
MHGE Parent LLC/Finance - 144A | 90,000 | 8.5000 | 8/1/2019 | 89,213 | ||||||||||
Numericable Group SA - 144A | 200,000 | 4.8750 | 5/15/2019 | 200,250 | ||||||||||
Sirius XM Holdings, Inc. - 144A | 75,000 | 4.2500 | 5/15/2020 | 74,766 | ||||||||||
Univision Communications, Inc. - 144A | 75,000 | 6.8750 | 5/15/2019 | 79,031 | ||||||||||
596,360 | ||||||||||||||
MINING - 0.3% | ||||||||||||||
FMG Resources August 2006 Pty Ltd. - 144A | 120,000 | 8.2500 | 11/1/2019 | 124,950 | ||||||||||
Vedanta Resources PLC - 144A | 100,000 | 9.5000 | 7/18/2018 | 114,250 | ||||||||||
239,200 | ||||||||||||||
OIL & GAS - 0.2% | ||||||||||||||
California Resources Corp. - 144A | 100,000 | 5.0000 | 1/15/2020 | 101,750 | ||||||||||
Calumet Specialty Products Partners LP - 144A | 75,000 | 6.5000 | 4/15/2021 | 73,125 | ||||||||||
174,875 | ||||||||||||||
OIL & GAS SERVICES - 0.1% | ||||||||||||||
FTS International - 144A | 50,000 | 6.2500 | 5/1/2022 | 47,500 | ||||||||||
PHI, Inc. | 25,000 | 5.2500 | 3/15/2019 | 24,822 | ||||||||||
72,322 | ||||||||||||||
PACKAGING & CONTAINERS - 0.6% | ||||||||||||||
Ardagh Holdings USA, Inc. - 144A | 200,000 | 6.2500 | 1/31/2019 | 202,000 | ||||||||||
Beverage Packaging Holdings Luxembourg II SA - 144A | 130,000 | 6.0000 | 6/15/2017 | 130,000 | ||||||||||
Reynolds Group Issuer, Inc. | 50,000 | 5.7500 | 10/15/2020 | 52,250 | ||||||||||
Reynolds Group Issuer, Inc. | 100,000 | 9.0000 | 4/15/2019 | 105,000 | ||||||||||
489,250 | ||||||||||||||
PHARMACEUTICALS - 0.1% | ||||||||||||||
Capsugel SA - 144A | 25,000 | 7.0000 | 5/15/2019 | 25,469 | ||||||||||
Salix Pharmaceuticals Ltd. - 144A | 5,000 | 6.0000 | 1/15/2021 | 5,425 | ||||||||||
Valeant Pharmaceuticals International, Inc. - 144A | 75,000 | 6.7500 | 8/15/2018 | 79,969 | ||||||||||
110,863 |
See accompanying notes to financial statements.
35 |
SCHEDULE OF INVESTMENTS |
Dunham Floating Rate Bond Fund (Continued) |
October 31, 2014 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
REITS - 0.4% | ||||||||||||||
iStar Financial, Inc. | $ | 100,000 | 4.0000 | % | 11/1/2017 | $ | 99,550 | |||||||
iStar Financial, Inc. | 120,000 | 4.8750 | 7/1/2018 | 120,300 | ||||||||||
iStar Financial, Inc. | 60,000 | 5.0000 | 7/1/2019 | 60,000 | ||||||||||
279,850 | ||||||||||||||
SOFTWARE - 0.4% | ||||||||||||||
First Data Corp. | 127,000 | 11.7500 | 8/15/2021 | 149,543 | ||||||||||
First Data Holdings, Inc. - 144A | 115,000 | 14.5000 | 9/24/2019 | 122,101 | ||||||||||
Infor Software Parent - 144A | 80,000 | 7.1250 | 5/1/2021 | 81,400 | ||||||||||
353,044 | ||||||||||||||
TELECOMMUNICATIONS - 0.6% | ||||||||||||||
Avaya, Inc. - 144A | 350,000 | 7.0000 | 4/1/2019 | 345,625 | ||||||||||
Frontier Communications Corp. | 80,000 | 6.2500 | 9/15/2021 | 82,850 | ||||||||||
Intelsat Jackson Holdings SA | 85,000 | 6.6250 | 12/15/2022 | 89,888 | ||||||||||
Level 3 Financing, Inc. | 75,000 | 7.0000 | 6/1/2020 | 80,438 | ||||||||||
598,801 | ||||||||||||||
TOTAL BONDS & NOTES (Cost - $6,132,372) | 6,140,965 | |||||||||||||
Shares | ||||||||||||||
SHORT-TERM INVESTMENT - 5.0% | ||||||||||||||
MONEY MARKET FUND - 5.0% | ||||||||||||||
Fidelity Institutional Money Market Funds - Government Portfolio | ||||||||||||||
TOTAL SHORT-TERM INVESTMENT - (Cost - $3,616,578) | 3,616,578 | 0.0000 | + | 3,616,578 | ||||||||||
TOTAL INVESTMENTS - 103.1% (Cost - $83,291,830) | $ | 82,249,765 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.1)% | (2,077,942 | ) | ||||||||||||
NET ASSETS - 100.0% | $ | 80,171,823 |
MBS - Mortgage Back Security
REITs - Real Estate Investment Trusts
+ | Variable rate security. Interest rate is as of October 31, 2014. |
144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers.
Portfolio Composition * - (Unaudited) | ||||||||||
Bank Loans | 86.34 | % | Industrial | 0.64 | % | |||||
Financial | 1.57 | % | Technology | 0.43 | % | |||||
Communications | 1.45 | % | Utilities | 0.37 | % | |||||
Funds | 1.41 | % | Energy | 0.30 | % | |||||
Consumer, Cyclical | 0.84 | % | Mortgage Services | 0.25 | % | |||||
Consumer, Non-Cyclical | 0.80 | % | Short-Term Investment | 4.82 | % | |||||
Basic Materials | 0.78 | % | Total | 100.00 | % |
* | Based on total value of investments as of October 31, 2014. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
36 |
Dunham High-Yield Bond Fund
Message from the Sub-Adviser (PENN Capital Management Company, Inc.)
After outperforming investment-grade corporate bonds and Treasury bonds in the previous fiscal year, high-yield bonds, as measured by the BofA ML High-Yield Bond Cash Pay Index, underperformed investment-grade corporate bonds, as measured by the BofA ML Corporate Master Index, but outperformed Treasury bonds, as measured by the BofA ML US Treasury Master Index, for the fiscal year ended October 31, 2014. Interest rates generally increased at the beginning of the fiscal year, hitting a peak on December 31, 2013. They subsequently reversed course and went on a general down-trend for the remainder of the fiscal year, which hurt shorter duration bonds while longer duration bonds benefited. During this fiscal year, Treasury bonds increased 3.22 percent, investment-grade corporate bonds returned 6.49 percent, and high-yield bonds gained 5.77 percent.
Interest rates on 10-year Treasury bonds expanded their range during the fiscal year, fluctuating by 90 basis points. Rates went from a high of 3.03 percent on December 31, 2013 to 2.14 percent in mid-October before settling in and ending the fiscal year at 2.34 percent. The Fund’s single-B focus and shorter duration bias detracted slightly in the fiscal year ended October 31, 2014, as double-B rated bonds and longer duration credit generally outperformed. The Treasury yield curve flattened a bit as longer duration Treasuries rallied due to fear of a global economic slowdown and the threat of ISIS in the Middle East, while the shorter end of the yield curve sold off on the potential for sooner-than-expected Fed rate hikes due to an improving economy. During the fiscal year, bonds rated single-B were up 5.1 percent, bonds rated double-B increased 7.2 percent, while those rated triple-C and below gained 2.9 percent. Currently, the Fund has approximately 65 percent invested in single-B rated credit and 35 percent in double-B rated debt. At this time, the Sub-Adviser holds no triple-C rated bonds as default rates on below investment-grade bonds are near historic lows and if they rise, bonds rated triple-C and lower could be adversely affected.
The Fund continued to maintain a shorter duration relative to the benchmark index, with a bias toward the intermediate segment of the credit curve that matures in three to seven years and historically has exhibited less volatility. The average duration of positions held by the Fund for the fiscal year was 4.07 years versus 4.13 years for bonds contained in the benchmark index. Bonds that have a maturity of more than 10 years have generally been avoided unless purchased at a significant discount to par.
The Sub-Adviser continued to underweight the metals and mining sector as this sector has underperformed in recent quarters without showing many indications of a rebound. One of the contributors in this sector was Kaiser Aluminum Corporation (483007AE0) (holdings percentage**: 0.36 percent), a firm that produces semi-fabricated aluminum products. The security gained 3.9 percent in the Fund during the fiscal year.
Throughout the fiscal year, the energy sector generally did well for the Fund, but due to plummeting oil prices, the sector had the largest negative impact on the Fund relative to the benchmark index, as both security selection and an overweight to the sector detracted from performance for the fiscal year ended October 31, 2014. The Sub-Adviser was overweight the sector by more than 5 percent, while energy bonds in the Fund produced a 4.2 percent gain versus a 8.3 percent gain in energy bonds contained in the benchmark index. Having said that, Rockies Express Pipeline, LLC (77340RAC1) (holdings percentage*: 1.33 percent), a natural gas pipeline system, continued to do well for the Fund and gained 2.1 percent over the fiscal year.
Exposure to the capital goods sector enhanced performance on both a relative and absolute basis as selections in this sector outperformed capital goods securities within the index. A substantial overweight to the sector also added to performance. Renaissance Acquisition Corp. (75966CAA5) (holdings percentage*: 1.09 percent), a manufacturer of stationary air compressors and blowers for industrial applications, increased 1.1 percent in the fiscal year ended October 31, 2014.
Going forward, the Sub-Adviser expects the economy, business and consumer confidence to continue to improve. The Sub-Adviser expects spreads to stay compressed as the credit market stays at cyclical lows. However, it also believes that the high-yield market can sustain a 300 basis point handle on spreads for multiple years, which bodes well for their cost of capital and equities. The Fund plans to focus on a shorter duration and middle tier, single-B credit quality that the Sub-Adviser believes will provide the best risk-adjusted return opportunities, less interest rate sensitivity than double-B rated and high grade credit.
* | Holdings percentage(s) as of 10/31/2014. |
** | Holdings percentage(s) as of the date prior to the sale of the security. |
Growth of $10,000 Investment - (Unaudited)
Total Returns as of October 31, 2014
Annualized | Annualized | Annualized Since | ||||||
One Year | Three Years | Five Years | Inception(7/1/05) | |||||
Class N | 3.77% | 6.88% | 8.27% | 5.88% | ||||
Class C | 3.13% | 6.12% | 7.47% | 5.09% | ||||
Class A with load of 4.50% | (1.21)% | 4.98% | 7.02% | 4.78%* | ||||
Class A without load | 3.49% | 6.60% | 8.01% | 5.39%* | ||||
BofA ML BB-B U.S. Non-Distressed HY Index | 6.30% | 8.83% | 9.68% | 7.00% | ||||
Morningstar High-Yield Bond Category | 4.50% | 8.29% | 9.13% | 6.52% |
* | Class A commenced operations on January 3, 2007. |
BofA ML BB-B U.S. Non-Distressed HY Index is an unmanaged portfolio constructed to mirror the public high-yield corporate debt market and is a subset of the Merrill Lynch High Yield Master II Index. Investors cannot invest directly in an index or benchmark.
The Morningstar High-Yield 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 1.11% for Class N, 1.86% for Class C and 1.36% 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.
37 |
SCHEDULE OF INVESTMENTS |
Dunham High-Yield Bond Fund |
October 31, 2014 |
Dividend | ||||||||||||||
Security | Shares | Rate | Value | |||||||||||
PREFERRED STOCK - 0.2% | ||||||||||||||
DIVERSIFIED FINANCIAL SERVICES - 0.2% | ||||||||||||||
Ally Financial, Inc. - 144A | 328 | 7.0000 | % | $ | 330,132 | |||||||||
TOTAL PREFERRED STOCK - (Cost - $327,870) | ||||||||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | ||||||||||||
BONDS & NOTES - 95.9% | ||||||||||||||
AEROSPACE/DEFENSE - 0.6% | ||||||||||||||
Triumph Group, Inc. | $ | 815,000 | 4.8750 | % | 4/1/2021 | 827,225 | ||||||||
APPAREL - 1.1% | ||||||||||||||
Air Canada - 144A | 325,000 | 8.7500 | 4/1/2020 | 358,312 | ||||||||||
Air Canada - 144A | 360,000 | 7.7500 | 4/15/2021 | 378,000 | ||||||||||
UAL | 639,754 | 6.6360 | 7/2/2022 | 684,537 | ||||||||||
1,420,849 | ||||||||||||||
APPAREL - 0.9% | ||||||||||||||
Perry Ellis International, Inc. | 550,000 | 7.8750 | 4/1/2019 | 563,750 | ||||||||||
Wolverine World Wide, Inc. | 675,000 | 6.1250 | 10/15/2020 | 713,813 | ||||||||||
1,277,563 | ||||||||||||||
AUTO MANUFACTURERS - 0.6% | ||||||||||||||
Navistar International Corp. | 760,000 | 8.2500 | 11/1/2021 | 784,130 | ||||||||||
AUTO PARTS & EQUIPMENT - 0.9% | ||||||||||||||
Pittsburgh Glass Works LLC - 144A | 1,215,000 | 8.0000 | 11/15/2018 | 1,278,788 | ||||||||||
BANKS - 1.3% | ||||||||||||||
CIT Group, Inc. | 295,000 | 5.3750 | 5/15/2020 | 316,388 | ||||||||||
Popular, Inc. | 645,000 | 7.0000 | 7/1/2019 | 653,062 | ||||||||||
Synovus Financial Corp. | 755,000 | 7.8750 | 2/15/2019 | 853,150 | ||||||||||
1,822,600 | ||||||||||||||
BUILDING MATERIALS - 0.7% | ||||||||||||||
Builders FirstSource, Inc. - 144A | 640,000 | 7.6250 | 6/1/2021 | 667,200 | ||||||||||
Griffon Corp. | 345,000 | 5.2500 | 3/1/2022 | 333,356 | ||||||||||
1,000,556 | ||||||||||||||
CHEMICALS - 1.8% | ||||||||||||||
TPC Group, Inc. - 144A | 1,905,000 | 8.7500 | 12/15/2020 | 2,002,631 | ||||||||||
Tronox Finance LLC | 385,000 | 6.3750 | 8/15/2020 | 397,513 | ||||||||||
2,400,144 | ||||||||||||||
COMMERCIAL SERVICES - 4.3% | ||||||||||||||
Avis Budget Car Rental LLC - 144A | 495,000 | 5.1250 | 6/1/2022 | 490,298 | ||||||||||
Cardtronics, Inc. - 144A | 570,000 | 5.1250 | 8/1/2022 | 570,000 | ||||||||||
Cenveo Corp. - 144A | 725,000 | 6.0000 | 8/1/2019 | 701,438 | ||||||||||
Live Nation Entertainment, Inc. - 144A | 555,000 | 7.0000 | 9/1/2020 | 559,162 | ||||||||||
Live Nation Entertainment, Inc. - 144A | 750,000 | 5.3750 | 6/15/2022 | 800,625 | ||||||||||
Safway Group Holding LLC - 144A | 800,000 | 7.0000 | 5/15/2018 | 830,000 | ||||||||||
United Rentals North America, Inc. | 1,015,000 | 7.6250 | 4/15/20225 | 1,136,800 | ||||||||||
WEX, Inc. - 144A | 730,000 | 4.7500 | 2/1/2023 | 698,975 | ||||||||||
5,787,298 | ||||||||||||||
COMPUTERS - 1.4% | ||||||||||||||
Dell, Inc. | 310,000 | 5.4000 | 9/10/2040 | 271,250 | ||||||||||
NCR Corp. | 475,000 | 6.3750 | 12/15/2023 | 503,500 | ||||||||||
SunGard Data Systems, Inc. | 1,040,000 | 6.6250 | 11/1/2019 | 1,081,600 | ||||||||||
1,856,350 |
See accompanying notes to financial statements.
38 |
SCHEDULE OF INVESTMENTS |
Dunham High-Yield Bond Fund (Continued) |
October 31, 2014 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
COSMETICS/PERSONAL CARE - 0.6% | ||||||||||||||
Revlon Consumer Products Corp. | $ | 760,000 | 5.7500 | % | 2/15/2021 | $ | 763,800 | |||||||
DISTRIBUTION/WHOLESALE - 0.5% | ||||||||||||||
HD Supply, Inc. | 610,000 | 11.0000 | 4/15/2020 | 703,025 | ||||||||||
DIVERSIFIED FINANCIAL SERVICES - 6.4% | ||||||||||||||
Aircastle Ltd. | 1,195,000 | 6.2500 | 12/1/2019 | 1,278,650 | ||||||||||
Ally Financial, Inc. | 643,000 | 8.0000 | 3/15/2020 | 774,814 | ||||||||||
Ally Financial, Inc. | 268,000 | 7.5000 | 9/15/2020 | 319,590 | ||||||||||
Ally Financial, Inc. | 540,000 | 8.0000 | 11/1/2031 | 688,500 | ||||||||||
Cogent Communications Finance, Inc. - 144A | 460,000 | 5.6250 | 4/15/2021 | 450,800 | ||||||||||
CoreLogic, Inc. | 1,310,000 | 7.2500 | 6/1/2021 | 1,382,050 | ||||||||||
Denali Borrower LLC - 144A | 760,000 | 5.6250 | 10/15/2020 | 807,975 | ||||||||||
E*TRADE Financial Corp. | 800,000 | 6.3750 | 11/15/2019 | 857,000 | ||||||||||
Fly Leasing Ltd. | 420,000 | 6.7500 | 12/15/2020 | 433,650 | ||||||||||
Fly Leasing Ltd. | 410,000 | 6.3750 | 10/15/2021 | 408,975 | ||||||||||
International Lease Finance Corp. | 1,030,000 | 8.6250 | 1/15/2022 | 1,279,775 | ||||||||||
8,681,779 | ||||||||||||||
ELECTRIC - 3.3% | ||||||||||||||
Calpine Corp. | 350,000 | 5.3750 | 1/15/2023 | 353,938 | ||||||||||
Calpine Corp. | 350,000 | 5.7500 | 1/15/2025 | 354,812 | ||||||||||
Dynegy, Inc. | 705,000 | 5.8750 | 6/1/2023 | 694,425 | ||||||||||
GenOn Energy, Inc. | 525,000 | 9.5000 | 10/15/2018 | 549,938 | ||||||||||
NRG Energy, Inc. | 375,000 | 7.8750 | 5/15/2021 | 408,750 | ||||||||||
NRG Energy, Inc. | 1,700,000 | 6.2500 | 7/15/2022 | 1,785,000 | ||||||||||
NRG Energy, Inc. - 144A | 350,000 | 6.2500 | 5/1/2024 | 363,125 | ||||||||||
4,509,988 | ||||||||||||||
ELECTRICAL COMPONENTS & EQUIPMENT - 1.3% | ||||||||||||||
Anixter, Inc. | 700,000 | 5.1250 | 10/1/2021 | 713,913 | ||||||||||
Belden, Inc. - 144A | 625,000 | 5.5000 | 9/1/2022 | 639,063 | ||||||||||
WESCO Distribution, Inc. | 435,000 | 5.3750 | 12/15/2021 | 439,350 | ||||||||||
1,792,326 | ||||||||||||||
ELECTRONICS - 0.7% | ||||||||||||||
Viasystems, Inc. - 144A | 885,000 | 7.8750 | 5/1/2019 | 942,525 | ||||||||||
ENGINEERING & CONSTRUCTION - 0.9% | ||||||||||||||
SBA Communications Corp. | 1,200,000 | 5.6250 | 10/1/2019 | 1,254,000 | ||||||||||
ENTERTAINMENT - 3.3% | ||||||||||||||
Isle of Capri Casinos, Inc. | 355,000 | 5.875 | 3/15/2021 | 365,650 | ||||||||||
Palace Entertainment Holdings LLC - 144A | 1,140,000 | 8.875 | 4/15/2017 | 1,170,638 | ||||||||||
Penn National Gaming, Inc. | 1,120,000 | 5.875 | 11/1/2021 | 1,075,200 | ||||||||||
Pinnacle Entertainment, Inc. | 780,000 | 7.500 | 4/15/2021 | 836,550 | ||||||||||
Pinnacle Entertainment, Inc. | 495,000 | 7.750 | 4/1/2022 | 543,262 | ||||||||||
Regal Entertainment Group | 550,000 | 5.750 | 6/15/203 | 530,750 | ||||||||||
4,522,050 | ||||||||||||||
HAND/MACHINE TOOLS - 0.5% | ||||||||||||||
Milacron Finance Corp. - 144A | 655,000 | 7.7500 | 2/15/2021 | 684,475 | ||||||||||
HEALTHCARE-PRODUCTS - 1.0% | ||||||||||||||
Alere, Inc. | 540,000 | 7.2500 | 7/1/2018 | 577,800 | ||||||||||
Kinetics Concepts, Inc. | 460,000 | 10.500 | 11/1/2018 | 508,300 | ||||||||||
Universal Hospital Services, Inc. | 340,000 | 7.6250 | 8/15/2020 | 318,783 | ||||||||||
1,404,883 |
See accompanying notes to financial statements.
39 |
SCHEDULE OF INVESTMENTS |
Dunham High-Yield Bond Fund (Continued) |
October 31, 2014 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
HEALTHCARE-SERVICES - 3.9% | ||||||||||||||
Amsurg Corp. - 144A | $ | 570,000 | 5.6250 | % | 7/15/2022 | $ | 593,440 | |||||||
Community Health Systems, Inc. - 144A | 185,000 | 5.1250 | 8/1/2021 | 194,250 | ||||||||||
Community Health Systems, Inc. - 144A | 1,015,000 | 6.8750 | 2/1/2022 | 1,097,469 | ||||||||||
Envision Healthcare Corp. - 144A | 475,000 | 5.1250 | 7/1/2022 | 482,124 | ||||||||||
Select Medical Corp. | 700,000 | 6.3750 | 6/1/2021 | 719,250 | ||||||||||
Tenet Healthcare Corp. | 400,000 | 6.0000 | 10/1/2020 | 431,000 | ||||||||||
Tenet Healthcare Corp. | 1,240,000 | 8.1250 | 4/1/2022 | 1,424,450 | ||||||||||
WellCare Health Plans, Inc. | 335,000 | 5.7500 | 11/15/2020 | 346,658 | ||||||||||
5,288,641 | ||||||||||||||
HOLDING COMPANIES-DIVERSIFIED - 0.5% | ||||||||||||||
WaveDivision Escrow Corp. - 144A | 640,000 | 8.1250 | 9/1/2020 | 699,200 | ||||||||||
HOME BUILDERS - 1.5% | ||||||||||||||
Taylor Morrison Communities, Inc. - 144A | 258,000 | 7.7500 | 4/15/2020 | 277,995 | ||||||||||
Taylor Morrison Communities, Inc. - 144A | 1,065,000 | 5.2500 | 4/15/2021 | 1,077,918 | ||||||||||
William Lyon Homes, Inc. | 655,000 | 8.5000 | 11/15/2020 | 718,863 | ||||||||||
2,074,776 | ||||||||||||||
HOME FURNISHINGS - 0.6% | ||||||||||||||
Tempur Sealy International, Inc. | 780,000 | 6.8750 | 12/15/2020 | 836,550 | ||||||||||
HOUSEHOLD PRODUCTS - 0.7% | ||||||||||||||
Spectrum Brands, Inc. | 190,000 | 6.7500 | 3/15/2020 | 201,400 | ||||||||||
Spectrum Brands, Inc. | 680,000 | 6.3750 | 11/15/2020 | 724,200 | ||||||||||
925,600 | ||||||||||||||
INTERNET - 0.4% | ||||||||||||||
CyrusOne Finance Corp. | 560,000 | 6.3750 | 11/15/2022 | 592,200 | ||||||||||
LEISURE TIME - 0.8% | ||||||||||||||
NCL Corp. Ltd. | 1,110,000 | 5.0000 | 2/15/2018 | 1,115,550 | ||||||||||
LODGING - 3.3% | ||||||||||||||
Boyd Gaming Corp. | 835,000 | 9.0000 | 7/1/2020 | 904,930 | ||||||||||
Felcor Lodging LP | 720,000 | 5.6250 | 3/1/2023 | 721,800 | ||||||||||
Hilton Worldwide Finance Corp. - 144A | 645,000 | 5.6250 | 10/15/2021 | 680,878 | ||||||||||
MGM Resorts International | 390,000 | 6.7500 | 10/1/2020 | 429,000 | ||||||||||
MGM Resorts International | 950,000 | 7.7500 | 3/15/2022 | 1,097,250 | ||||||||||
MTR Gaming Group | 650,000 | 11.5000 | 8/1/2019 | 716,625 | ||||||||||
4,550,483 | ||||||||||||||
MACHINERY-CONSTRUCTION & MINING - 0.5% | ||||||||||||||
Terex Corp. | 600,000 | 6.0000 | 5/15/2021 | 627,000 | ||||||||||
MACHINERY-DIVERSIFIED - 1.1% | ||||||||||||||
Gardner Denver, Inc. 144A | 1,400,000 | 6.8750 | 8/15/2021 | 1,466,500 | ||||||||||
MEDIA - 10.4% | ||||||||||||||
Cequel Communications Holdings I LLC - 144A | 1,280,000 | 6.3750 | 9/15/2020 | 1,340,800 | ||||||||||
Clear Channel Worldwide Holdings, Inc. | 1,140,000 | 7.6250 | 3/15/2020 | 1,218,375 | ||||||||||
CSC Holdings LLC | 240,000 | 6.7500 | 11/15/2021 | 267,900 | ||||||||||
DISH DBS Corp. | 610,000 | 7.8750 | 9/1/2019 | 709,888 | ||||||||||
Entercom Radio LLC | 920,000 | 10.5000 | 12/1/2019 | 1,023,500 | ||||||||||
Gannett Co., Inc. | 605,000 | 5.1250 | 10/15/2019 | 621,638 | ||||||||||
Gannett Co., Inc. - 144A | 85,000 | 5.5000 | 9/15/2024 | 87,975 | ||||||||||
Gray Television, Inc. | 1,680,000 | 7.5000 | 10/1/2020 | 1,766,100 |
See accompanying notes to financial statements.
40 |
SCHEDULE OF INVESTMENTS |
Dunham High-Yield Bond Fund (Continued) |
October 31, 2014 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
MEDIA (Continued) - 10.4% | ||||||||||||||
Harron Communications LP - 144A | $ | 700,000 | 9.1250 | % | 4/1/2020 | $ | 766,500 | |||||||
LIN Television Corp. | 345,000 | 8.3750 | 4/15/2018 | 359,878 | ||||||||||
LIN Television Corp. | 1,095,000 | 6.3750 | 1/15/2021 | 1,116,900 | ||||||||||
McClatchy Co. | 410,000 | 9.0000 | 12/15/2022 | 462,274 | ||||||||||
Mediacom LLC | 660,000 | 7.2500 | 2/15/2022 | 716,100 | ||||||||||
Nexstar Broadcasting, Inc. | 1,140,000 | 6.8750 | 11/15/2020 | 1,185,600 | ||||||||||
Sinclair Television Group, Inc. | 560,000 | 6.3750 | 11/1/2021 | 586,600 | ||||||||||
Sinclair Television Group, Inc. - 144A | 265,000 | 5.6250 | 8/1/2024 | 263,013 | ||||||||||
Sirius XM Holdings, Inc. - 144A | 545,000 | 5.2500 | 8/15/2022 | 576,338 | ||||||||||
Townsquare Radio LLC - 144A | 310,000 | 9.0000 | 4/1/2019 | 336,350 | ||||||||||
Videotron Ltd. | 675,000 | 5.0000 | 7/15/2022 | 698,625 | ||||||||||
14,104,354 | ||||||||||||||
MINING - 0.4% | ||||||||||||||
Alcoa, Inc. | 505,000 | 5.1250 | 10/1/2024 | 534,154 | ||||||||||
MISCELLANEOUS MANUFACTURE - 0.7% | ||||||||||||||
EnPro Industries, Inc. - 144A | 445,000 | 5.8750 | 9/15/2022 | 457,793 | ||||||||||
Gates Global LLC - 144A | 550,000 | 6.0000 | 7/15/2022 | 536,250 | ||||||||||
994,043 | ||||||||||||||
OIL & GAS - 11.9% | ||||||||||||||
Berry Petroleum Co - Class A | 480,000 | 6.7500 | 11/1/2020 | 458,400 | ||||||||||
Bill Barrett Corp. | 800,000 | 7.6250 | 10/1/2019 | 812,000 | ||||||||||
Bill Barrett Corp. | 345,000 | 7.0000 | 10/15/2022 | 329,475 | ||||||||||
Bonanza Creek Energy, Inc. | 1,155,000 | 6.7500 | 4/15/2021 | 1,163,663 | ||||||||||
Chaparral Energy, Inc. | 300,000 | 8.2500 | 9/1/2021 | 303,000 | ||||||||||
Chaparral Energy, Inc. | 1,230,000 | 7.6250 | 11/15/2022 | 1,205,400 | ||||||||||
Chesapeake Energy Corp. | 620,000 | 6.1250 | 2/15/2021 | 691,300 | ||||||||||
Comstock Resources, Inc. | 330,000 | 7.7500 | 4/1/2019 | 325,050 | ||||||||||
Comstock Resources, Inc. | 540,000 | 9.5000 | 6/15/2020 | 572,400 | ||||||||||
Drill Rigs Holdings, Inc. - 144A | 1,015,000 | 6.5000 | 10/1/2017 | 959,175 | ||||||||||
Energy XXI Gulf Coast, Inc. | 715,000 | 7.5000 | 12/15/2021 | 597,025 | ||||||||||
EXCO Resources, Inc. | 400,000 | 7.5000 | 9/15/2018 | 355,000 | ||||||||||
Gastar Exploration, Inc. | 495,000 | 8.6250 | 5/15/2018 | 478,294 | ||||||||||
Gulfport Energy Corp. - 144A | 160,000 | 7.7500 | 11/1/2020 | 164,000 | ||||||||||
Gulfport Energy Corp. | 1,495,000 | 7.7500 | 11/1/2020 | 1,532,375 | ||||||||||
Memorial Resource Development Corp. - 144A | 675,000 | 5.8750 | 7/1/2022 | 659,813 | ||||||||||
Offshore Group Investment Ltd. | 690,000 | 7.5000 | 11/1/2019 | 591,675 | ||||||||||
Pacific Drilling SA - 144A | 825,000 | 5.3750 | 6/1/2020 | 741,984 | ||||||||||
Parker Drilling Co. | 700,000 | 6.7500 | 7/15/2022 | 642,250 | ||||||||||
Rex Energy Corp. 144A | 415,000 | 6.2500 | 8/1/2022 | 391,656 | ||||||||||
Rice Energy Corp. - 144A | 760,000 | 6.2500 | 5/1/2022 | 738,625 | ||||||||||
Sanchez Energy Corp. | 580,000 | 7.7500 | 6/15/2021 | 594,500 | ||||||||||
Swift Energy Co. | 355,000 | 7.8750 | 3/1/2022 | 322,162 | ||||||||||
W&T Offshore, Inc. | 220,000 | 8.5000 | 6/15/2019 | 215,600 | ||||||||||
Western Refining, Inc. | 1,340,000 | 6.2500 | 4/1/2021 | 1,353,400 | ||||||||||
16,198,222 | ||||||||||||||
OIL & GAS SERVICES - 0.9% | ||||||||||||||
Basic Energy Services, Inc. | 575,000 | 7.7500 | 10/15/2022 | 563,500 | ||||||||||
Key Energy Services, Inc. | 730,000 | 6.7500 | 3/1/2021 | 653,350 | ||||||||||
1,216,850 | ||||||||||||||
PACKAGING & CONTAINERS - 0.8% | ||||||||||||||
Reynolds Group Issuer, Inc. . | 1,050,000 | 5.7500 | 10/15/2020 | 1,097,250 |
See accompanying notes to financial statements.
41 |
SCHEDULE OF INVESTMENTS |
Dunham High-Yield Bond Fund (Continued) |
October 31, 2014 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
PHARMACEUTICALS - 1.3% | ||||||||||||||
Valeant Pharmaceuticals International - 144A | $ | 860,000 | 6.3750 | % | 10/15/2020 | $ | 885,800 | |||||||
Valeant Pharmaceuticals International - 144A | 910,000 | 6.7500 | 8/15/2021 | 942,988 | ||||||||||
1,828,788 | ||||||||||||||
PIPELINES - 6.6% | ||||||||||||||
MarkWest Energy Partners LP | 360,000 | 4.5000 | 7/15/2023 | 370,800 | ||||||||||
NGPL PipeCo LLC - 144A | 665,000 | 7.1190 | 12/15/2017 | 669,988 | ||||||||||
NGPL PipeCo LLC - 144A | 590,000 | 7.7680 | 12/15/2037 | 613,600 | ||||||||||
Rockies Express Pipeline LLC - 144A | 270,000 | 6.0000 | 1/15/2019 | 287,550 | ||||||||||
Rockies Express Pipeline LLC - 144A | 825,000 | 5.6250 | 4/15/2020 | 866,250 | ||||||||||
Rockies Express Pipeline LLC - 144A | 1,600,000 | 6.8750 | 4/15/2040 | 1,788,000 | ||||||||||
Sabine Pass LNG LP | 325,000 | 6.5000 | 11/1/2020 | 345,313 | ||||||||||
Sabine Pass Liquefaction LLC | 1,395,000 | 5.6250 | 2/1/2021 | 1,468,238 | ||||||||||
Sabine Pass Liquefaction LLC - 144A | 860,000 | 6.2500 | 3/15/2022 | 927,725 | ||||||||||
Sabine Pass Liquefaction LLC | 365,000 | 5.6250 | 4/15/2023 | 379,600 | ||||||||||
Sabine Pass Liquefaction LLC - 144A | 515,000 | 5.7500 | 5/15/2024 | 534,955 | ||||||||||
Tesoro Logistics LP - 144A | 650,000 | 5.5000 | 10/15/2019 | 669,500 | ||||||||||
8,921,519 | ||||||||||||||
REITS - 2.1% | ||||||||||||||
iStar Financial, Inc. | 1,130,000 | 7.1250 | 2/15/2018 | 1,214,750 | ||||||||||
iStar Financial, Inc. | 350,000 | 5.0000 | 7/1/2019 | 350,000 | ||||||||||
RHP Hotel Properties LP | 1,230,000 | 5.0000 | 4/15/2021 | 1,230,000 | ||||||||||
2,794,750 | ||||||||||||||
RETAIL - 0.7% | ||||||||||||||
Men’s Wearhouse, Inc. - 144A | 855,000 | 7.0000 | 7/1/2022 | 890,269 | ||||||||||
SOFTWARE - 0.9% | ||||||||||||||
First Data Corp. | 515,000 | 11.2500 | 1/15/2021 | 594,825 | ||||||||||
Nuance Communications, Inc. - 144A | 685,000 | 5.3750 | 8/15/2020 | 691,850 | ||||||||||
1,286,675 | ||||||||||||||
TELECOMMUNICATIONS - 12.7% | ||||||||||||||
Cincinnati Bell, Inc. | 1,415,000 | 8.3750 | 10/15/2020 | 1,524,663 | ||||||||||
CommScope, Inc. - 144A | 350,000 | 5.0000 | 6/15/2021 | 350,875 | ||||||||||
CommScope, Inc. - 144A | 350,000 | 5.5000 | 6/15/2024 | 355,688 | ||||||||||
EarthLink, Inc. | 720,000 | 8.8750 | 5/15/2019 | 703,800 | ||||||||||
EarthLink, Inc. | 960,000 | 7.3750 | 6/1/2020 | 984,000 | ||||||||||
Fairpoint Communications, Inc. - 144A | 1,350,000 | 8.7500 | 8/15/2019 | 1,431,000 | ||||||||||
Frontier Communications Corp. | 490,000 | 8.1250 | 10/1/2018 | 558,845 | ||||||||||
Frontier Communications Corp. | 730,000 | 8.5000 | 4/15/2020 | 844,975 | ||||||||||
Frontier Communications Corp. | 855,000 | 9.2500 | 7/1/2021 | 1,022,794 | ||||||||||
Frontier Communications Corp. | 115,000 | 6.2500 | 9/15/2021 | 119,097 | ||||||||||
Frontier Communications Corp. | 140,000 | 6.8750 | 1/15/2025 | 142,100 | ||||||||||
Intelsat Jackson Holdings SA | 1,375,000 | 7.7500 | 6/1/2021 | 1,442,031 | ||||||||||
Intelsat Jackson Holdings SA | 315,000 | 8.1250 | 6/1/2023 | 336,263 | ||||||||||
Level 3 Financing, Inc. | 830,000 | 7.0000 | 6/1/2020 | 890,175 | ||||||||||
Level 3 Financing, Inc. | 315,000 | 8.6250 | 7/15/2020 | 348,075 | ||||||||||
Level 3 Financing, Inc. - 144A | 925,000 | 6.1250 | 1/15/2021 | 973,563 | ||||||||||
Level 3 Escrow II, Inc. - 144A | 520,000 | 5.3750 | 8/15/2022 | 530,400 | ||||||||||
Sprint Capital Corp. | 335,000 | 6.8750 | 11/15/2028 | 327,462 | ||||||||||
Sprint Communications, Inc. | 975,000 | 7.0000 | 8/15/2020 | 1,038,375 | ||||||||||
Sprint Communications, Inc. | 1,175,000 | 11.5000 | 11/15/2021 | 1,515,750 | ||||||||||
Sprint Corp. - 144A | 635,000 | 7.8750 | 9/15/2023 | 688,975 | ||||||||||
ViaSat, Inc. | 675,000 | 6.8750 | 6/15/2020 | 717,188 | ||||||||||
Windstream Corp. | 350,000 | 7.7500 | 10/15/2020 | 374,500 | ||||||||||
17,220,594 |
See accompanying notes to financial statements.
42 |
SCHEDULE OF INVESTMENTS |
Dunham High-Yield Bond Fund (Continued) |
October 31, 2014 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
TRANSPORTATION - 1.1% | ||||||||||||||
Hornbeck Offshore Services, Inc. | $ | 315,000 | 5.8750 | % | 4/1/2020 | $ | 297,675 | |||||||
Hornbeck Offshore Services, Inc. | 400,000 | 5.0000 | 3/1/2021 | 358,000 | ||||||||||
Navios Maritime Acquisition Corp. - 144A | 325,000 | 8.1250 | 11/15/2021 | 332,312 | ||||||||||
Watco Cos LLC - 144A | 510,000 | 6.3750 | 4/1/2023 | 520,200 | ||||||||||
1,508,187 | ||||||||||||||
TOTAL BONDS & NOTES (Cost - $129,370,478) | 130,486,509 | |||||||||||||
Interest | ||||||||||||||
Security | Shares | Rate | ||||||||||||
SHORT-TERM INVESTMENT - 2.5% | ||||||||||||||
MONEY MARKET FUND - 2.5% | ||||||||||||||
First American Government Obligations Fund | 3,401,865 | 0.01 | % + | 3,401,865 | ||||||||||
TOTAL SHORT-TERM INVESTMENT (Cost - $ 3,401,865) | ||||||||||||||
TOTAL INVESTMENTS - 98.6% (Cost - $ 133,100,213) | $ | 134,218,506 | ||||||||||||
OTHER ASSETS LESS LIABILITIES - 1.4% | 1,868,073 | |||||||||||||
NET ASSETS - 100.0% | $ | 136,086,579 |
+ | Variable rate security. Interest rate is as of October 31, 2014. |
144A- Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers.
REITS - Real Estate Investment Trusts
Portfolio Composition * - (Unaudited) | ||||||||||
B3 | 36.7 | % | Caa2 | 2.1 | % | |||||
B1 | 19.5 | % | Ba2 | 5.7 | % | |||||
B2 | 12.0 | % | Short-Term Investment | 2.5 | % | |||||
Ba3 | 11.1 | % | Ba1 | 1.4 | % | |||||
Caa1 | 8.1 | % | Baa3 | 0.9 | % | |||||
Total | 100.0 | % |
* | Based on total value of investments as of October 31, 2014. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
43 |
Dunham International Opportunity Bond Fund
Message from the Sub-Adviser (Rogge Global Partners PLC)
Over the most recent fiscal year, the backdrop for financial markets was highlighted by extreme weather, escalating geopolitical conflicts, and the uncertainty regarding the duration of the Federal Reserve (Fed) Quantitative Easing program. The first quarter of the fiscal period was overshadowed by extreme weather and a government shutdown. As the markets bounced back from a rough beginning to 2014, Federal Reserve Chairman Ben Bernanke passed the baton to Janet Yellen as the new Federal Chairperson. Through the end of the fiscal year, geopolitical concerns in the Ukraine and middle-east, and an Ebola outbreak dominated headlines. Despite these headwinds, domestic markets continued to hit new all-time highs to close out the fiscal year.
International Bonds, as measured by the Barclay’s Global Aggregate Ex-U.S. Bond Index, had a disappointing fiscal year ended October 31, 2014, falling 1.8 percent. The index was helped by the relatively stronger performance of emerging Markets bonds, as measured by the Barclay’s Emerging Markets Ex-U.S. Aggregate Bond Index, which increased 6.0 percent for the fiscal year. When compared with the United States bond market, as measured by the Barclay’s U.S. Aggregate Bond Index, Global Bonds were significantly outpaced during the fiscal year as U.S. Bonds rose 4.1 percent. However, compared to the broad equities market, as measured by the S&P 500 Index, both domestic and international bonds trailed their equity counterparts as the S&P 500 rose by 17.3 percent during the fiscal year.
The Sub-Adviser implements a four-step investment process using four key macroeconomic factors in four major asset classes to achieve returns in five unique areas. The four macroeconomic factors are: global economic outlook, inflation, interest rates and event risk. The four major asset classes are: developed sovereign (government debt), investment grade credit (corporate debt), high yield and emerging markets. The four-step investment process has the following stages: assess relative value, manage risk, micro-level analysis and implementation. Finally, the five return components are: country, currency, yield curve, duration and spread/sector. They seek to identify healthy countries by measuring the sustainability of public borrowing and the private sector as well as the effectiveness and credibility of that nation’s authorities.
Over the most recent fiscal year, the largest currency exposure within the Fund was its exposure to the U.S. Dollar. As the U.S. Dollar outperformed all major currencies, this significant exposure contributed to the performance of the Fund. However, the Sub-Advisers overweighting to the Canadian Dollar detracted from performance as the Canadian Dollar declined relatively. Albeit the Sub-Adviser increased the allocation to the British Pound towards the tail end of the fiscal year, it is still relatively underweight. Along with the British Pound, the Sub-Advisers underweighting to the Japanese Yen, Euro, and New Zealand Dollar contributed to performance over the fiscal period. As the US Dollar strengthened, EM currencies weakened, detracting from portfolio performance. The Sub-Advisers currency selection was the largest contributor to performance over the most recent fiscal year.
The largest detractor from the Funds performance over the fiscal year was the Sub-Adviser’s Country Selection. Throughout the fiscal year, the Sub-Adviser increased the weighting to Japan however it’s relative underweighting detracted from the overall performance of the Fund. The Sub-Advisers allocation to the United Kingdom followed the same path detracting from performance. The overweighting to core Europe added value to the Fund as Core Europe performed strongly. Although emerging markets bonds underperformed, the Sub-Advisers positioning contributed overall.
Looking forward to the next fiscal year, the Sub-Adviser sees favorable global growth through the end of 2014 and is cautiously optimistic for 2015. Long term growth potential in developed markets has shifted lower as debt has reached unprecedented levels. A lot of the volatility appears to be in long-term bonds with rising rates being on the minds of most fixed income investors. Additional volatility is present as a result of geopolitical concerns however the Sub-adviser currently sees G4 bond markets as being less sensitive to this volatility. In emerging markets, the countries matter more to the Sub-Adviser as each emerging market economy presents idiosyncratic risks due to their unique economic identities. As global economic growth continues to improve, there will be more opportunities for the Sub-Adviser to take advantage of that growth.
Growth of $10,000 Investment – (Unaudited)
Total Returns as of October 31, 2014
Annualized Since | ||
Inception (11/1/13) | ||
Class N | (2.99)% | |
Class C | (3.72)% | |
Class A with load of 4.50% | (7.56)% | |
Class A without load | (3.22)% | |
Barclays Global ex-US Aggregate Bond Index Unhedged | (1.78)% | |
Morningstar World Bond Category | 2.55% |
The Barclays Global ex US Aggregate Bond Index Unhedged is designed to be a broad based measure of the global investment-grade, fixed rate, fixed income corporate markets outside the United States. Investors cannot invest directly in an index or benchmark.
The Morningstar World Bond Category A fund that invests at least 40% of bonds in foreign markets. Investors cannot invest directly in an index or benchmark.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.52% for Class N, 2.27% for Class C and 1.77% 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.
44 |
SCHEDULE OF INVESTMENTS |
Dunham International Opportunity Bond Fund |
October 31, 2014 |
Security | Principal Amount | Interest | Maturity Date | Value | ||||||||
CORPORATE BONDS & NOTES - 41.0% | ||||||||||||
AGRICULTURE - 0.4% | ||||||||||||
Imperial Tobacco Finance PLC | 100,000 GBP | 5.5000 | % | 11/22/2016 | $ | 171,724 | ||||||
AUTO MANUFACTURERS - 2.9% | ||||||||||||
BMW Finance NV | 350,000 EUR | 3.2500 | 1/28/2016 | 453,932 | ||||||||
Daimler AG | 350,000 EUR | 4.1250 | 1/19/2017 | 474,020 | ||||||||
Volkswagen International Finance NV | 350,000 EUR | 1.8750 | 5/15/2017 | 454,739 | ||||||||
1,382,691 | ||||||||||||
AUTO PARTS & EQUIPMENT - 0.3% | ||||||||||||
Schaeffler Fiance BV | 100,000 EUR | 7.7500 | 2/15/2017 | 141,310 | ||||||||
BANKS - 24.0% | ||||||||||||
Abbey National Treasury Services PLC | 200,000 GBP | 2.0000 | 1/14/2019 | 262,960 | ||||||||
ABN AMRO Bank NV | 50,000 EUR | 4.3100 | + | Perpetual | 63,614 | |||||||
ABN AMRO Bank NV | 200,000 EUR | 6.3750 | 4/27/2021 | 308,874 | ||||||||
Barclays Bank PLC | 100,000 GBP | 6.0000 | 1/14/2021 | 151,218 | ||||||||
Barclays Bank PLC | 100,000 GBP | 5.7500 | 8/17/2021 | 187,778 | ||||||||
BNP Paribas SA | 250,000 EUR | 2.8750 | 9/26/2023 | 349,854 | ||||||||
BPCE SA | 50,000 EUR | 4.6250 | + | Perpetual | 63,145 | |||||||
BPCE SA | 350,000 EUR | 3.7500 | 7/21/2017 | 477,284 | ||||||||
Commonwealth Bank of Australia | 300,000 AUD | 5.5000 | 8/6/2019 | 446,663 | ||||||||
Commonwealth Bank of Australia | 250,000 AUD | 4.2500 | 11/10/2016 | 337,332 | ||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 300,000 EUR | 4.3750 | 5/5/2016 | 398,264 | ||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 300,000 EUR | 5.8750 | 5/20/2019 | 451,546 | ||||||||
Credit Agricole SA | 200,000 EUR | 3.8750 | 2/13/2019 | 285,053 | ||||||||
Credit Suisse AG | 300,000 CHF | 5.1250 | 9/18/2017 | 425,437 | ||||||||
Danske Bank AG | 150,000 DKK | 3.8750 | 2/28/2017 | 202,733 | ||||||||
DNB Bank ASA | 200,000 NOK | 3.0000 | + | 9/26/2023 | 263,412 | |||||||
HSBC Bank PLC | 300,000 GBP | 3.7500 | 11/30/2016 | 403,006 | ||||||||
HSBC Holdings PLC | 200,000 GBP | 6.0000 | 6/10/2019 | 302,476 | ||||||||
ING BANK NV | 100,000 EUR | 6.8750 | + | 5/29/2023 | 178,211 | |||||||
ING BANK NV | 100,000 EUR | 6.1250 | + | 5/29/2023 | 143,390 | |||||||
Intesa Sanpaolo SpA | 200,000 EUR | 4.3750 | 10/15/2019 | 290,070 | ||||||||
KBC Internationale Financieringsmaatschappij NV | 350,000 EUR | 2.1250 | 9/10/2018 | 462,844 | ||||||||
Lloyds Bank PLC | 350,000 GBP | 4.8750 | 3/30/2027 | 664,087 | ||||||||
Lloyds Bank PLC | 200,000 GBP | 6.5000 | 3/24/2020 | 307,010 | ||||||||
National Australia Bank Ltd. | 100,000 AUD | 5.1250 | 12/9/2021 | 184,422 | ||||||||
National Australia Bank Ltd. | 250,000 AUD | 4.6250 | 2/10/2020 | 362,662 | ||||||||
Royal Bank of Scotland PLC | 150,000 GBP | 5.1250 | 1/13/2024 | 286,031 | ||||||||
Santander International Debt SAU | 100,000 EUR | 4.0000 | 1/24/2020 | 145,315 | ||||||||
Societe Generale SA | 350,000 EUR | 2.7500 | 10/12/2017 | 360,480 | ||||||||
Societe Generale SA | 200,000 EUR | 2.2500 | 1/23/2020 | 269,086 | ||||||||
Sumitomo Mitsui Banking Corp. | 350,000 JPY | 1.5000 | 1/18/2018 | 345,843 | ||||||||
Svenska Handelsbanken AB | 300,000 SEK | 3.7500 | 2/24/2017 | 405,104 | ||||||||
Swedbank AB | 300,000 SEK | 3.3750 | 2/9/2017 | 400,460 | ||||||||
Toronto-Dominion Bank | 350,000 CAD | 1.4000 | 4/30/2018 | 345,949 | ||||||||
UBS AG/London | 250,000 CHF | 6.6250 | 4/11/2018 | 462,410 | ||||||||
UniCredit SpA | 100,000 EUR | 3.3750 | 1/11/2018 | 135,360 | ||||||||
Westpac Banking Corp. | 250,000 AUD | 2.1250 | 7/9/2019 | 337,936 | ||||||||
11,467,319 | ||||||||||||
CHEMICALS - 1.1% | ||||||||||||
Linde Fiance BV | 300,000 EUR | 4.7500 | 4/24/2017 | 415,840 | ||||||||
SPCM SA | 100,000 EUR | 5.5000 | 6/15/2020 | 133,793 | ||||||||
549,633 |
See accompanying notes to financial statements.
45 |
SCHEDULE OF INVESTMENTS |
Dunham International Opportunity Bond Fund (Continued) |
October 31, 2014 |
Security | Principal Amount | Interest | Maturity Date | Value | ||||||||
COMMERCIAL SERVICES - 0.4% | ||||||||||||
AA Bond Co. Ltd. | 100,000 GBP | 9.5000 | % | 7/31/2019 | $ | 176,650 | ||||||
DIVERSIFIED FINANCIAL SERVICES - 0.3% | ||||||||||||
Arrow Global Finance PLC | 100,000 GBP | 7.8750 | 3/1/2020 | 163,314 | ||||||||
ELECTRIC - 2.6% | ||||||||||||
Electricite de France | 300,000 EUR | 2.7500 | 3/10/2023 | 419,197 | ||||||||
GDF Suez | 300,000 EUR | 3.5000 | 10/18/2022 | 442,357 | ||||||||
Iberdrola Finanzas | 250,000 EUR | 4.1250 | 3/23/2020 | 362,922 | ||||||||
1,224,476 | ||||||||||||
ELECTRONICS - 0.3% | ||||||||||||
Trionista Holdco GmbH | 100,000 EUR | 5.0000 | 4/30/2020 | 129,704 | ||||||||
ENGINEERING & CONSTRUCTION - 0.6% | ||||||||||||
Abengoa | 50,000 EUR | 8.5000 | 3/31/2016 | 66,721 | ||||||||
Deutsche Raststaetten Gruppe IV GmbH | 100,000 EUR | 6.7500 | 12/30/2020 | 132,855 | ||||||||
Heathrow Fiance PLC | 50,000 GBP | 7.1250 | 3/1/2017 | 85,547 | ||||||||
285,123 | ||||||||||||
FOOD SERVICE - 0.3% | ||||||||||||
Brakes Capital - 144A | 100,000 GBP | 7.1250 | 12/15/2018 | 156,925 | ||||||||
GAS - 0.8% | ||||||||||||
National Grid PLC | 250,000 GBP | 4.3750 | 3/10/2020 | 370,021 | ||||||||
INSURANCE - 2.0% | ||||||||||||
Allianz Finance II BV | 250,000 EUR | 4.7500 | 7/22/2019 | 374,446 | ||||||||
Allianz Finance II BV | 150,000 EUR | 4.0000 | 11/23/2016 | 201,723 | ||||||||
Hastings Insurance Group Finance PLC - 144A | 100,000 GBP | 8.0000 | 10/21/2020 | 166,129 | ||||||||
Willow No 2 Ireland PLC for Zurich Insurance Co. Ltd. | 150,000 EUR | 3.3750 | 6/27/2022 | 216,145 | ||||||||
958,443 | ||||||||||||
MACHINERY DIVERSIFIED - 0.3% | ||||||||||||
Kion Finance SA | 100,000 EUR | 6.7500 | 2/15/2020 | 134,668 | ||||||||
OIL & GAS - 0.5% | ||||||||||||
ONGC Videsh Ltd. | 200,000 INR | 2.7500 | 7/15/2021 | 252,901 | ||||||||
PHARMACEUTICALS - 0.9% | ||||||||||||
GlaxoSmithKline Capital PLC | 350,000 GBP | 3.8750 | 7/6/2015 | 448,598 | ||||||||
REITS - 0.6% | ||||||||||||
Societe Fonciere Lyonnaise SA | 200,000 EUR | 4.6250 | 5/25/2016 | 266,239 | ||||||||
SAVINGS & LOANS - 1.3% | ||||||||||||
Coventry Building Society | 150,000 GBP | 2.2500 | 12/4/2017 | 196,525 | ||||||||
Nationwide Building Society | 150,000 GBP | 5.6250 | 9/9/2019 | 275,850 | ||||||||
Silverstone Master Issuer PLC | 100,000 GBP | 5.0630 | 10/21/2016 | 171,159 | ||||||||
643,534 |
See accompanying notes to financial statements.
46 |
SCHEDULE OF INVESTMENTS |
Dunham International Opportunity Bond Fund (Continued) |
October 31, 2014 |
Security | Principal Amount | Interest Rate | Maturity Date | Value | ||||||||
TELECOMMUNICATIONS - 1.4% | ||||||||||||
America Movil SAB de CV | 200,000 MXN | 3.0000 | % | 7/12/2021 | $ | 278,269 | ||||||
Deutsche Telekom International Finance BV | 100,000 EUR | 4.7500 | 5/31/2016 | 133,939 | ||||||||
Play Finance 2 SA | 100,000 EUR | 5.2500 | 2/1/2019 | 129,316 | ||||||||
Telecom Italia SpA | 50,000 EUR | 6.3750 | 6/24/2019 | 86,570 | ||||||||
UPCB Finance Ltd. | 50,000 GBP | 7.6250 | 1/15/2020 | 65,630 | ||||||||
693,724 | ||||||||||||
TOTAL CORPORATE BONDS & NOTES (Cost - $20,490,166) | 19,616,997 | |||||||||||
FOREIGN GOVERNMENT BONDS - 55.0% | ||||||||||||
Austria Government Bond - 144A | 250,000 EUR | 3.4000 | 11/22/2022 | 377,605 | ||||||||
Belgium Government Bond - 144A | 100,000 EUR | 5.0000 | 3/28/2035 | 188,134 | ||||||||
Belgium Government Bond | 200,000 EUR | 4.2500 | 9/28/2022 | 316,734 | ||||||||
Bundesrepublik Deutschland | 300,000 EUR | 4.7500 | 7/4/2034 | 579,852 | ||||||||
Bundesrepublik Deutschland | 200,000 EUR | 4.7500 | 7/4/2040 | 409,011 | ||||||||
Canadian Government Bond | 250,000 CAD | 5.7500 | 6/1/2033 | 328,785 | ||||||||
Canadian Government Bond | 250,000 CAD | 4.0000 | 6/1/2041 | 280,532 | ||||||||
Denmark Government Bond | 1,750,000 DKK | 3.0000 | 11/15/2021 | 344,962 | ||||||||
Dominican Republic International Bond - 144A | 100,000 USD | 5.8750 | 4/18/2024 | 106,000 | ||||||||
France Government Bond OAT | 170,000 EUR | 4.7500 | 4/25/2035 | 311,217 | ||||||||
France Government Bond OAT | 800,000 EUR | 2.2500 | 5/25/2024 | 1,105,548 | ||||||||
France Government Bond OAT | 200,000 EUR | 4.5000 | 4/25/2041 | 367,102 | ||||||||
Indonesia Government International Bond - 144A | 150,000 EUR | 2.8750 | 7/8/2021 | 190,842 | ||||||||
Italy Buoni Poliennali Del Tesoro | 450,000 EUR | 3.7500 | 9/1/2024 | 630,874 | ||||||||
Italy Buoni Poliennali Del Tesoro | 300,000 EUR | 4.5000 | 2/1/2020 | 436,682 | ||||||||
Italy Buoni Poliennali Del Tesoro | 750,000 EUR | 4.7500 | 9/15/2016 | 1,008,618 | ||||||||
Italy Buoni Poliennali Del Tesoro | 300,000 EUR | 5.0000 | 9/1/2040 | 460,196 | ||||||||
Italy Buoni Poliennali Del Tesoro | 350,000 EUR | 4.5000 | 3/1/2024 | 519,487 | ||||||||
Italy Buoni Poliennali Del Tesoro | 150,000 EUR | 5.5000 | 11/1/2022 | 235,005 | ||||||||
Japan Government Ten Year Bond | 171,800,000 JPY | 1.9000 | 6/20/2017 | 1,604,018 | ||||||||
Japan Government Ten Year Bond | 200,050,000 JPY | 1.4000 | 9/20/2019 | 1,891,098 | ||||||||
Japan Government Thirty Year Bond | 119,400,000 JPY | 2.5000 | 6/20/2036 | 1,281,688 | ||||||||
Japan Government Thirty Year Bond | 90,400,000 JPY | 2.0000 | 9/20/2041 | 886,233 | ||||||||
Japan Government Twenty Year Bond | 184,350,000 JPY | 2.1000 | 12/20/2027 | 1,921,515 | ||||||||
Japan Government Twenty Year Bond | 53,050,000 JPY | 1.9000 | 9/20/2023 | 534,927 | ||||||||
Mexican Bonos | 9,900,000 MXN | 7.5000 | 6/3/2027 | 813,152 | ||||||||
Mexican Bonos | 15,250,000 MXN | 6.5000 | 6/9/2022 | 1,185,217 | ||||||||
New Zealand Government Bond | 1,350,000 NZD | 5.5000 | 4/15/2023 | 1,163,364 | ||||||||
Norway Government Bond | 4,650,000 NOK | 2.0000 | 5/24/2023 | 689,945 | ||||||||
Poland Government Bond | 300,000 PLN | 5.7500 | 9/23/2022 | 110,673 | ||||||||
Russian Foreign Bond - Eurobond | 100,000 EUR | 3.6250 | 9/16/2020 | 129,250 | ||||||||
Spain Government Bond | 150,000 EUR | 4.2000 | 1/31/2037 | 216,819 | ||||||||
Spain Government Bond - 144A | 300,000 EUR | 3.8000 | 4/30/2024 | 433,279 | ||||||||
Spain Government Bond | 700,000 EUR | 4.2500 | 10/31/2016 | 939,736 | ||||||||
Spain Government Bond - 144A | 250,000 EUR | 4.4000 | 10/31/2023 | 377,191 | ||||||||
Spain Government Bond - 144A | 100,000 EUR | 5.4000 | 1/31/2023 | 159,989 | ||||||||
Sweden Government Bond | 2,700,000 SEK | 4.2500 | 3/12/2019 | 427,266 | ||||||||
Switzerland Government Bond | 400,000 CHF | 4.0000 | 2/11/2023 | 538,360 | ||||||||
United Kingdom Gilt | 200,000 GBP | 4.2500 | 6/7/2032 | 387,349 | ||||||||
United Kingdom Gilt | 370,000 GBP | 4.5000 | 12/7/2042 | 767,103 | ||||||||
United Kingdom Gilt | 150,000 GBP | 4.2500 | 12/7/2055 | 314,702 | ||||||||
United Kingdom Gilt Inflation Linked | 150,000 GBP | 1.2500 | 11/22/2027 | 385,643 | ||||||||
United Kingdom Gilt Inflation Linked | 400,000 GBP | 1.8750 | 11/22/2022 | 955,447 | ||||||||
TOTAL FOREIGN GOVERNMENT BONDS (Cost - $26,874,307) | 26,311,150 |
See accompanying notes to financial statements.
47 |
SCHEDULE OF INVESTMENTS |
Dunham International Opportunity Bond Fund (Continued) |
October 31, 2014 |
Security | Principal Amount | Interest Rate | Maturity Date | Value | ||||||||
COLLATERALIZED MORTGAGE BACK SECURITIES - EURO - 0.5% | ||||||||||||
German Residential Funding PLC 2013-1A | 97,724 | 1.3330 | % + | 8/27/2024 | $ | 123,865 | ||||||
Tauras CMBS PLC 2013-GMF1 A | 97,932 | 1.1310 | + | 5/21/2024 | 124,322 | |||||||
TOTAL COLLATERALIZED MORTGAGE BACK SECURITIES - EURO (Cost - $265,140) | 248,187 | |||||||||||
SHORT-TERM INVESTMENTS - 0.9% | Shares | |||||||||||
MONEY MARKET FUND - 0.9% | ||||||||||||
Fidelity Institutional Money Market Funds - Government Portfolio | ||||||||||||
(Cost - $419,435) | 419,435 | 0.0001 | + | 419,435 | ||||||||
TOTAL INVESTMENTS - 97.4% (Cost - $48,049,048) | $ | 46,595,769 | ||||||||||
OTHER ASSETS LESS LIABILITIES - 2.6% | 1,235,438 | |||||||||||
NET ASSETS - 100.0% | $ | 47,831,207 |
MBS - Mortgage Back Security | CHF - Swiss Franc | INR - Indian Rupee | NZD - New Zealand Dollar | |||
REIT - Real Estate Investment Trust | DKK - Danish Krone | JPY - Japanese Yen | PLN - Polish Zloty | |||
AUD - Australian Dollar | EUR - EURO | MXN - Mexican Peso | SEK - Swedish Krona | |||
CAD - Canadian Dollar | GBP - United Kingdom Pound | NOK - Norwegian Krone |
+ | Variable rate security. Interest rate is as of October 31, 2014. |
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.
Futures Contracts | Contracts | Unrealized Appreciation (Depreciation) | ||||||
OPEN LONG FUTURES CONTRACTS * | ||||||||
Canadian 10 Year Bond maturing December, 2014 | ||||||||
(Underlying Face Amount at Value 968,840 CAD) | 8 | $ | 6,469 | |||||
10 YR AUD Government Bond maturing December, 2014 | ||||||||
(Underlying Face Amount at Value 646,481 AUD) | 6 | 15,205 | ||||||
NET UNREALIZED GAIN FROM OPEN LONG FUTURES CONTRACTS | 21,674 | |||||||
OPEN SHORT FUTURES CONTRACTS * | ||||||||
Long Gilt Future maturing December, 2014 | ||||||||
(Underlying Face Amount at Value (2,757,570) GBP) | (15 | ) | (53,634 | ) | ||||
Euro Schatz maturing December, 2014 | ||||||||
(Underlying Face Amount at Value (2,636,383) EUR) | (19 | ) | (1,306 | ) | ||||
Euro BOBL Future maturing December, 2014 | ||||||||
(Underlying Face Amount at Value (320,228) EUR) | (2 | ) | (25 | ) | ||||
NET UNREALIZED LOSS FROM OPEN SHORT FUTURES CONTRACTS | (54,965 | ) | ||||||
NET UNREALIZED LOSS FROM OPEN FUTURES CONTRACTS | $ | (33,291 | ) |
* | Face amounts are the underlying reference notional amounts to stock exchange indices upon which the fair value of the futures contracts traded by the Fund are based. While face amounts do not represent the current fair value and are not necessarily indicative of the future cash flows of the Fund’s futures contracts, the underlying price changes in relation to the variables specified by the face amounts affect the fair value of these derivative financial instruments. |
Portfolio Composition * - (Unaudited) | ||||||||||||
Other Countries | 20.04 | % | Italy | 5.38 | % | |||||||
Japan | 17.57 | % | Mexico | 4.90 | % | |||||||
Britain | 15.62 | % | Canada | 3.79 | % | |||||||
France | 10.70 | % | Australia | 3.59 | % | |||||||
Netherlands | 9.00 | % | Switzerland | 3.07 | % | |||||||
Spain | 6.34 | % | Total | 100.00 | % |
* | Based on total value of investments as of October 31, 2014. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
48 |
Dunham Dynamic Macro Fund
Message from the Sub-Adviser (Mellon Capital Management Corporation)
Over the most recent fiscal year, the backdrop for the financial markets was highlighted by extreme weather, escalating geopolitical conflicts, and the uncertainty regarding the duration of the Federal Reserve (Fed) Quantitative Easing program. While this was occurring the strategy and Sub-Adviser changed on October 1, 2014. The Fund changed from a Long/Short equity to a Global Macro strategy that is now run by Mellon Capital.
During the first eleven months of the fiscal quarter year October 31, 2014, the Sub-Adviser continued to seek stocks that generate income within the Fund, focusing on companies that pay what it believes to be attractive dividends. In addition to income generation, the Sub-Adviser was also opportunistic with regards to companies it believes are at attractive valuation levels or have the potential for significant capital appreciation. In addition, it employed an inverse ETF strategy as a hedging mechanism to provide downside protection in falling markets. Long/short investment strategies, as measured by the IQ Long/Short Equity Beta Index, increased 4.5 percent over the eleven-month period ended September 30, 2014. This was significantly lower than most U.S. long equity indexes, such as the S&P 500 Index, which rose 14.4 percent during the same time period.
Long/short strategies will rarely, if ever, completely remove hedging positions and as markets rallied during the fiscal year, the Funds’ equity hedges detracted from performance. Short positions represented by inverse ETFs had a negative impact on performance, as stocks rallied during the eleven month period ended September 30, 2014. Specifically the Proshares Pro Short S&P 500 (SPXU) (Holding Percentage**: 8.1 percent), an inverse of the S&P 500 Index, detracted from performance. During the fiscal year until October 1, 2014 when the holding was eliminated from the portfolio, the Proshares Pro Short S&P 500 decreased 36.9 percent. The significant cash allocation within the Fund is implemented as a strategic hedge against downturns in the market. Just as the short positions detracted from performance, this hedging position also detracted from the Fund’s overall performance over the first eleven months of the fiscal period.
The long stock portion of the Fund generally contributed positively and is divided into two tranches, an income tranche and a growth and income tranche. The income tranche generally includes business development companies, mortgage REITs, master limited partnerships and electric utilities. Approximately 40 percent of the holdings are devoted to this sleeve with about 60 percent in business development companies and the other 40 percent invested in a mixture of REITs, energy and global telecom and utility firms. The growth and income tranche comprises approximately 60 percent of the long stock positions and includes a variety of other sectors, such as technology, consumer staples, industrials and healthcare stocks. In this tranche, the Fund will mainly buy large blue chip companies that pay a relatively large dividend yet have prospects for substantial growth.
The long stock holdings CYS Investments (CYS) (Holding Percentage**: 1.3 percent) and Two Harbors Investment Corp (TWO) (Holding Percentage**: 4.5 percent) contributed positively to the overall performance of the Fund during the first eleven months of the fiscal year. The Fund’s position in CYS Investments, a specialty finance company created with the objective of achieving consistent risk-adjusted investment income, increased 12.9 percent over the first eleven months of the fiscal year while Two Harbors Investment Corp, a company focused on investing in financing and managing residential mortgage-backed securities, residential mortgage loans, residential real properties, and other financial assets, increased 15.0 percent over the same time-period.
As previously mentioned, the Fund undertook a strategy change on October 1, 2014. As of that date, the Fund was run by Mellon Capital Management. Mellon Capital Management implements a volatility targeted global macro strategy attempting to participate in bull markets while mitigating downside risk. During the final month of the fiscal period ended October 31, 2014, global macro strategies, as measured by the IQ Hedge Global Macro Beta Index, increased 0.7 percent. This underperformed the S&P 500, which increased 2.4 percent over the same time period.
Mellon Capital Management invested approximately half of the Fund assets on October 1 and gradually became fully invested by October 6. This gradual movement towards being fully invested benefited the Fund, as markets declined the first half of October. With the market declining, the Sub-Adviser initiated a put option on October 10 to limit U.S. equity downside. By the end of the month, the Sub-Adviser’s exposure to domestic equities, through the SPDR S&P 500 ETF Trust (SPY) (Holding Percentage*: 36.9 percent), increased 3.8 percent.
Overall, the Fund benefited across the board from the holdings within the portfolio with the exception of the slight drawdown in the commodity investments. The Powershares DB Commodity Index (DBC) (Holding Percentage*: 2.9 percent) declined 3.6 percent over the last month of the fiscal period.
The Sub-Adviser is optimistic for the coming quarter and fiscal year. The Sub-Adviser believes that its volatility targeted strategy will provide the investor 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 equity-like returns with less risk, lower beta, and less correlation than traditional equity investments.
* | Holdings percentage(s) as of 10/31/2014. |
** | Holdings percentage(s) as of the date prior to the sale of the security. |
Growth of $10,000 Investment - (Unaudited)
Total Returns as of October 31, 2014 | ||||||
One | Annualized | Annualized Since Inception | ||||
Year | Three Years | (4/30/2010) | ||||
Class N | 1.80% | 1.92% | 1.72% | |||
Class C | 0.78% | 0.92% | 0.72% | |||
Class A with load of 5.75% | (4.30)% | (0.29)% | 0.13% | |||
Class A without load | 1.52% | 1.69% | 1.45% | |||
IQ Hedge Global Macro Beta Index | 1.87% | 0.86% | 2.48% | |||
IQ Hedge Long/Short Beta Index | 6.35% | 7.58% | 6.40% | |||
Morningstar Long/Short Equity Category | 4.85% | 6.24% | 4.41% |
The IQ Hedge Macro Index seeks to replicate the risk-adjusted return characteristics of a combination of hedge funds pursuing a macro strategy and hedge funds pursuing an emerging markets strategy.
The IQ Hedge Long/Short Beta Index attempts to replicate the risk-adjusted return characteristics of the collective hedge funds using a long/short equity investment style.
Investors cannot invest directly in an index or benchmark.
The Morningstar Long/Short Equity Category is generally representative of mutual funds that primarily invest in both long and short positions in equities and related derivatives.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 3.69% for Class N, 4.69% for Class C and 3.94% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.
49 |
SCHEDULE OF INVESTMENTS |
Dunham Dynamic Macro Fund |
October 31, 2014 |
Security | Shares | Value | ||||||
EXCHANGE TRADED FUNDS - 41.3% | ||||||||
COMMODITY FUND - 2.3% | ||||||||
PowerShares DB Commodity Index Tracking Fund * | 15,898 | $ | 354,843 | |||||
DEBT FUND - 4.8% | ||||||||
SPDR Barclays High Yield Bond ETF | 18,071 | 729,346 | ||||||
EQUITY FUNDS - 34.2% | ||||||||
iShares MSCI Emerging Markets ETF | 17,696 | 745,886 | ||||||
SPDR S&P 500 ETF Trust | 22,054 | 4,447,410 | ||||||
5,193,296 | ||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $6,099,390) | 6,277,485 | |||||||
OPTIONS - 3.2% | ||||||||
CALL OPTION ON FUTURES PURCHASED - 3.1% | Contacts | |||||||
US 10 Year Future, Expiration December 22, 2014 | ||||||||
Exercise Price $115 * (Cost - $419,055) | 41 | 466,375 | ||||||
PUT OPTION ON FUTURES PURCHASED - 0.1% | ||||||||
S & P 500 Index, Expiration December 19, 2014 | ||||||||
Exercise Price $1835 * (Cost - $113,361) | 60 | 19,500 | ||||||
TOTAL OPTIONS (Cost - $532,416) | 485,875 |
Principal | Discount | |||||||||||||
Amount ($) | Rate | Maturity | ||||||||||||
SHORT-TERM INVESTMENTS - 54.5% | ||||||||||||||
U.S. GOVERNMENT SECURITIES - 33.9% | ||||||||||||||
US Treasury Bill | 4,700,000 | 0.0500 | % | 1/22/2015 | 4,699,901 | |||||||||
US Treasury Bill | 400,000 | 0.0099 | % | 3/15/2015 | 399,982 | |||||||||
US Treasury Bill | 10,000 | 0.0223 | % | 3/15/2015 | 9,999 | |||||||||
US Treasury Bill | 5,000 | 0.0224 | % | 3/15/2015 | 5,000 | |||||||||
US Treasury Bill | 35,000 | 0.0225 | % | 3/15/2015 | 34,997 | |||||||||
TOTAL U.S. GOVERNMENT SECURITIES | 5,149,879 | |||||||||||||
MONEY MARKET FUND - 20.6% | ||||||||||||||
STIT- Liquid Assets - Institutional Class - 0.07% + | 3,126,273 | 3,126,273 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $8,276,152) | 8,276,152 | |||||||||||||
TOTAL INVESTMENTS - 99.0% (Cost - $14,907,958) | $ | 15,039,512 | ||||||||||||
OTHER ASSETS LESS LIABILITIES - 1.0% | 159,530 | |||||||||||||
NET ASSETS - 100.0% | $ | 15,199,042 |
ETF - Exchange Traded Fund
* | Non income producing security. |
+ | Variable rate security. Interest rate is as of October 31, 2014. |
** | 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 of the Fund’s 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. |
Unrealized | ||||||||
Appreciation | ||||||||
Security | Contracts | (Depreciation) | ||||||
FUTURES CONTRACTS PURCHASED ** - 1.0% | ||||||||
10 YR AUD Government Bond, December 2014 | ||||||||
(Underlying Face Amount at Value $22,331,585) | 3 | $ | 2,869 | |||||
AEX Index (Amsterdam), November 2014 | ||||||||
(Underlying Face Amount at Value $641,114) | 5 | 27,246 | ||||||
CAC 40 10 Euro Future, November 2014 | ||||||||
(Underlying Face Amount at Value $859,870) | 13 | 30,767 | ||||||
Canadian 10 Year Bond, December 2014 | ||||||||
(Underlying Face Amount at Value $214,061) | 2 | (1,962 | ) | |||||
DAX Index, December 2014 | ||||||||
(Underlying Face Amount at Value $251,505) | 4 | 13,580 | ||||||
FTSE/MIS Index Future, December 2014 | ||||||||
(Underlying Face Amount at Value $308,197) | 2 | (7,227 | ) | |||||
Hang Seng Index Future, November 2014 | ||||||||
(Underlying Face Amount at Value $99,530) | 5 | 25,695 | ||||||
Long Gilt Future, December 2014 | ||||||||
(Underlying Face Amount at Value $1,468,130) | 5 | (5,111 | ) | |||||
S&P TSX 60 IX Future, December 2014 | ||||||||
(Underlying Face Amount at Value $264,887) | 2 | (2,758 | ) | |||||
TOPIX Index Future, December 2014 | ||||||||
(Underlying Face Amount at Value $15,893) | 15 | 66,551 | ||||||
US 10 Year Future, December 2014 | ||||||||
(Underlying Face Amount at Value $252,718) | 2 | 219 | ||||||
TOTAL FUTURES CONTRACTS PURCHASED | $ | 149,869 | ||||||
FUTURES CONTRACTS SOLD ** - (0.2)% | ||||||||
10 YR Mini JBG Future, December 2014 | ||||||||
(Underlying Face Amount at Value $17,440) | (15 | ) | $ | (6,082 | ) | |||
Euro-Bund Future, December 2014 | ||||||||
(Underlying Face Amount at Value $1,415,688) | (6 | ) | (4,652 | ) | ||||
FTSE 100 Index, December 2014 | ||||||||
(Underlying Face Amount at Value $331,917) | (2 | ) | (6,033 | ) | ||||
IBEX-35 Index, November 2014 | ||||||||
(Underlying Face Amount at Value $163,073) | (1 | ) | (5,544 | ) | ||||
TOTAL FUTURES CONTRACTS SOLD | $ | (22,311 | ) |
Portfolio Composition * - (Unaudited) | ||||||||||
Equity Funds | 34.54 | % | Call Options On Futures Purchased | 3.10 | % | |||||
U.S. Government Securities | 34.24 | % | Commodity Fund | 2.36 | % | |||||
Money Market Fund | 20.79 | % | Put Option On Futures Purchased | 0.13 | % | |||||
Debt Fund | 4.85 | % | Total | 100.00 | % |
* | Based on total value of investments as of October 31, 2014. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
50 |
Dunham Alternative Strategy Fund
Message from the Sub-Adviser (Market Concepts, LLC)
Managed futures strategies, as measured by the Credit Suisse Managed Futures Liquid Index, rose 8.9 percent during the most recent fiscal quarter ended October 31, 2014, placing index performance back into positive territory when measured since the start of the fiscal year. For the 12-month period ended October 31, 2014 managed futures strategies increased 8.6 percent while domestic equity markets, as measured by the S&P 500 Index, generally saw a stronger increases, up 17.3 percent. Emerging markets equities, as measured by the MSCI Emerging Markets Index, generally experienced a mixed fiscal year, as emerging markets equities declined 9.2 percent in the first fiscal quarter, subsequently rose 15.7 percent in the proceeding six-month period, then declined 4.2 percent over the final three-month period to end the fiscal year nearly flat, up 0.6 percent. Foreign developed markets, as measured by the MSCI EAFE Index, declined 0.6 percent, lagging their developing counterparts. With the exposure to multiple asset classes, managed futures may provide non-correlated returns as reflected in the performance of the Credit Suisse Managed Futures Liquid Index. The Sub-Adviser continues to believe that the trend conditions of the various asset classes offer the Fund an advantageous investment environment on the back-drop of the multiple year divergence that has occurred between the domestic equity markets and other investment asset classes.
Commodities, as measured by the Thomson Reuters / Jefferies CRB Commodity index, dropped 2.1 percent during the fiscal year. The most recent two fiscal quarters combined resulted in a 12.1 percent decline in the index, which came on the heels of a 11.4 percent rise in the first six months of the fiscal year. Most of this decline was realized in July and September, as commodities slid 4.5 percent and 4.8 percent in those two months alone. The Sub-Adviser had established positions exposed to metals and oil such as the PowerShares DB Oil Fund (DBO) (holdings percentage**: 1.8 percent). The PowerShares DB Oil Fund experienced a significant loss during the fiscal year, plummeting 16.3 percent in the last fiscal quarter to end the year down 10.6 percent. The Fund sustained less of an impact from the long exposure to oil, as the stop losses built into the Sub-Adviser’s strategy triggered the Fund to exit the position at the beginning of October, before the PowerShares DB Oil Fund fell 10.9 percent further through the end of the fiscal quarter. The 21.4 percent decline from the end of June through the end of the fiscal year coincided with broad oil prices declining substantially based upon news that Saudi Arabian exporters would be lowering the target price per barrel shipped to the U.S. Another commodity-related holding was the PowerShares DB Gold Short ETN (DGZ) (holdings percentage*: 2.0 percent), which attempts to replicate the inverse performance of gold price movements. The PowerShares DB Gold Short ETN generally followed an inverse pattern to the PowerShares DB Oil Fund, as the PowerShares DB Gold Short ETN was in negative territory in June and subsequently increased 12.9 percent through the end of the fiscal year as gold prices broadly fell. The PowerShares DB Gold Short ETN finished the fiscal year up 10.2 percent primarily due to the strong performance in the final months.
Precious metals and related mining companies have ebbed and flowed between adding and detracting value from the Fund as the Market Vectors Gold Miners ETF (GDX) (holdings percentage**: 1.8 percent) and Market Vectors Junior Gold Miners ETF (GDXJ) (holdings percentage**: 2.7 percent) both saw severe declines during the fiscal year as a whole, down 30.8 percent and 34.9 percent, respectively. However, the majority of this decline occurred in the final two months of the fiscal year when the Market Vectors Gold Miners ETF and the Market Vectors Junior Gold Miners ETF declined 35.5 percent and 41.9 percent, respectively. In the fiscal quarter prior to the fourth fiscal quarter’s decline, these same ETFs rose 7.5 percent and 14.0 percent, respectively. Overall, due to the magnitude of the losses in gold and mining companies in general, the Fund’s overall long exposure to these related holdings detracted from performance, but the inverse positions in the gold-related ETN and the Sub-Adviser’s stop-loss strategy generally helped to offset some of the losses experienced in the final months of the fiscal quarter.
The Sub-Adviser utilized various U.S. sector ETFs during the fiscal year such as the Utilities Select Sector SPDR Fund (XLU) (holdings percentage*: 3.9 percent), Health Care Select Sector SPDR Fund (XLV) (holdings percentage*: 6.3 percent), and Consumer Staples Select Sector SPDR Fund (XLP) (holdings percentage*: 2.1 percent). During the fiscal year, the Utilities Select Sector SPDR Fund, Health Care Select Sector SPDR Fund, and Consumer Staples Select Sector SPDR Fund rose 21.6 percent, 29.4 percent, and 13.2 percent, respectively. These holdings generally detracted from performance when the broad market saw declines in July.
The Sub-Adviser’s discipline of investing in established trends generally benefitted the portfolio as the varied exposure of its holdings provided pockets of positive performance. The Sub-Adviser plans to continue to seek exposure to the various asset classes through its risk management strategies. The Sub-Adviser remains confident that we are approaching an environment that will offer greater trend following opportunities in a growing number of the asset classes that it follows.
* | Holdings percentage(s) as of 10/31/2014. |
** | Holdings percentage(s) as of the date prior to the sale of the security. |
Growth of $10,000 Investment - (Unaudited)
Total Returns as of October 31, 2014 | ||||||||
Annualized | Annualized | Annualized Since | ||||||
One Year | Three Years | Five Years | Inception (2/12/09) | |||||
Class N | 2.99% | 0.50% | (0.10)% | 1.41% | ||||
Class C | 1.95% | (0.56)% | (1.14)% | (0.21)%* | ||||
Class A with load of 5.75% | (3.18)% | (1.73)% | (1.55)% | 0.32%** | ||||
Class A without load | 2.73% | 0.23% | (0.38)% | 1.39%** | ||||
Credit Suisse Managed Futures Liquid Index | 8.62% | 1.22% | 1.06% | 0.55% | ||||
Morningstar Managed Futures Category | 5.25% | (1.62)% | (1.55)% | (2.19)% |
* | Inception date for Class C is May 14, 2009. |
** | Inception date for Class A is March 25, 2009, performance for Class A includes the operations of the predecessor, Sherwood Forest Alternative Fund (formerly Class P). |
Class N and Class C performance includes the operations of the predecessor, Sherwood Forest Alternative Fund (formerly Class I and Class C, respectively).
The Credit Suisse Managed Futures Liquid Index allocates assets among four major asset classes (equities, fixed-income, commodities and currencies) represented by 18 trading vehicles using a methodology that, in part, seeks to replicate a managed futures strategy that historically has produced gains during periods of rising and declining markets. Investors cannot invest directly in an index or benchmark.
The Morningstar Managed Futures Category is generally representative of funds that trade liquid global futures, options, swaps, and foreign exchange contracts, both listed and over-the-counter. A majority of these funds follow trend-following, price-momentum strategies.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 2.19% for Class N, 3.19% for Class C and 2.44% 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.
51 |
SCHEDULE OF INVESTMENTS |
Dunham Alternative Strategy Fund |
October 31, 2014 |
Security | Shares | Value | ||||||
EXCHANGE TRADED FUNDS - 72.2% | ||||||||
CONSUMER STAPLES - 2.1% | ||||||||
Consumer Staples Select Sector SPDR Fund | 8,300 | $ | 387,693 | |||||
COUNTRY FUND - 4.8% | ||||||||
iShares India 50 ETF | 16,800 | 527,856 | ||||||
WisdomTree Japan Hedged Equity Fund | 6,800 | 365,976 | ||||||
893,832 | ||||||||
CURRENCY - 2.3% | ||||||||
PowerShares DB US Dollar Index Bullish Fund * | 15,000 | 346,350 | ||||||
ProShares UltraShort Yen * | 1,000 | 79,020 | ||||||
425,370 | ||||||||
FINANCIAL SERVICES - 7.3% | ||||||||
Financial Select Sector SPDR Fund | 56,000 | 1,335,040 | ||||||
GROWTH & INCOME - LARGE CAP - 15.5% | ||||||||
SPDR Dow Jones Industrial Average ETF Trust | 8,000 | 1,387,600 | ||||||
SPDR S&P 500 ETF Trust | 7,300 | 1,472,118 | ||||||
2,859,718 | ||||||||
GROWTH & INCOME - SMALL CAP - 5.9% | ||||||||
iShares Russell 2000 ETF | 9,300 | 1,084,008 | ||||||
HEALTH & BIOTECHNOLOGY - 9.2% | ||||||||
Health Care Select Sector SPDR Fund | 17,200 | 1,157,044 | ||||||
iShares Nasdaq Biotechnology ETF | 1,800 | 533,916 | ||||||
1,690,960 | ||||||||
INDUSTRIAL - 1.9% | ||||||||
Industrial Select Sector SPDR Fund | 6,400 | 353,408 | ||||||
LEISURE - 3.9% | ||||||||
Consumer Discretionary Select Sector SPDR Fund | 10,500 | 715,050 |
Security | Shares | Value | ||||||
REAL ESTATE - 3.9% | ||||||||
iShares US Real Estate ETF | 9,500 | $ | 712,310 | |||||
TECHNOLOGY - 11.5% | ||||||||
PowerShares QQQ Trust Series 1 | 15,500 | 1,571,700 | ||||||
Technology Select Sector SPDR Fund | 13,400 | 543,236 | ||||||
2,114,936 | ||||||||
UTILITY - 3.9% | ||||||||
Utilities Select Sector SPDR Fund | 15,900 | 722,973 | ||||||
TOTAL EXCHANGE TRADED FUNDS - (Cost - $12,663,477) | 13,295,298 | |||||||
EXCHANGE TRADED NOTE - 1.9% | ||||||||
COMMODITY - 1.9% | ||||||||
PowerShares DB Gold Short ETN * | 22,800 | 361,380 | ||||||
(Cost - $340,559) | ||||||||
SHORT - TERM INVESTMENT - 25.4% | ||||||||
MONEY MARKET FUND - 25.4% | ||||||||
Invesco STIT-Treasury Portfolio - 0.01% + | ||||||||
(Cost - $4,671,650) | 4,671,650 | 4,671,650 | ||||||
TOTAL INVESTMENTS - 99.5% (Cost - $17,675,686) | $ | 18,328,328 | ||||||
OTHER ASSETS LESS LIABILITIES - 0.5% | 93,164 | |||||||
NET ASSETS - 100.0% | $ | 18,421,492 |
ETN - Exchange Traded Note
ETF - Exchange Traded Fund
* | Non income producing security. |
+ | Variable rate security. Interest rate is as of October 31, 2014 |
Portfolio Composition * - (Unaudited) | ||||||||||
Growth & Income - Large Cap | 15.6 | % | Leisure Industry | 3.9 | % | |||||
Technology | 11.5 | % | Real Estate | 3.9 | % | |||||
Health & Biotechnology | 9.2 | % | Currency | 2.3 | % | |||||
Financial Services | 7.3 | % | Consumer Staple | 2.1 | % | |||||
Growth & Income - Small Cap | 5.9 | % | Commodity | 2.0 | % | |||||
Country Fund | 4.9 | % | Industrial | 1.9 | % | |||||
Utility | 3.9 | % | Cash & Other Assets in Excess of Liabilities | 25.6 | % | |||||
Total | 100.0 | % |
* | Based on total value of investments as of October 31, 2014. |
Percentage may differ from Schedule of Investments which are based on Fund net assets
See accompanying notes to financial statements.
52 |
Dunham Appreciation & Income Fund
Message from the Sub-Adviser (PENN Capital Management Company, Inc.)
Convertible securities, as measured by the Bank of America/Merrill Lynch All US Convertibles Index, increased 13.5 percent in the 12–month period ended October 31, 2014. Convertibles underperformed broader equity indexes, such as the S&P 500 Index, which increased 17.3 percent during the same time period. Convertible securities slightly outperformed bonds in general, as the Barclays Aggregate Bond Index rose just 4.1 percent. Although issuance of new convertible bonds is still low by historical standards, 2014 is on track to see its best issuance year since 2008. With interest rates still at historical lows it is generally cheaper for companies to issue traditional bonds than it is to issue convertible debt.
In the first three fiscal quarters, the Sub-Adviser maintained its bias toward equities, holding approximately 50 percent in stocks, 48 percent in convertible bonds and 2 percent in cash. A moderate overweight to the energy sector added to performance during this time period, but detracted in the fourth fiscal quarter after a sharp decline in oil prices. National Oilwell Varco, Inc. (NOV) (holdings percentage**: 0.9 percent), a large oil and gas equipment and services company, increased 1.1 percent over the fiscal year. Exposure to the technology sector detracted somewhat from performance during the first three fiscal quarters, mainly due to a relatively pronounced underweight in the sector.
Near the end of the fourth fiscal quarter, substantial changes were made to the Fund as the Sub-Adviser was replaced as of October 1, 2014. It was felt that a shift in strategy was necessary to continue to deliver outstanding performance in this asset class. The previous Sub-Adviser focused on middle to higher credit quality convertible bonds while the new Sub-Adviser allocates more than 77 percent of the Fund to non-rated convertibles. The idea is that they will be able to create more alpha by exploiting higher inefficiencies in these non-rated securities that are less followed by analysts.
Another core premise of the new strategy is to be more focused with only 35 to 40 securities in the Fund, whereas, the previous Sub-Adviser often held 100 or more securities. A narrower focus allows portfolio managers to select only securities for which they have a very strong conviction and allows them to better stay abreast of any new developments that may lead them to sell or add to a position. And finally, the previous Sub-Adviser invested approximately 50 percent of the Fund in equities as opposed to convertible bonds. The new Sub-Adviser holds nearly 100 percent in convertibles minus a small amount of cash that is needed to manage redemptions.
This strategy had a slightly negative impact on performance in October since convertibles, as measured by the Bank of America/Merrill Lynch All US Convertibles Index, rose 1.5 percent versus the broader equity market, as measured by the S&P 500 Index, which gained 2.4 percent. In September, the previous Sub-Adviser outperformed with 50 percent of the portfolio in equities as the S&P 500 Index declined by 1.4 percent while the Bank of America/Merrill Lynch All US Convertibles Index lost 3.0 percent. August was something of a wash with the S&P 500 Index gaining 4.0 percent and the Bank of America/Merrill Lynch All US Convertibles Index increasing 3.5 percent.
The new Sub-Adviser proceeded to make the changes described above in the first two weeks of October. Aside from reducing the number of securities held, the new Sub-Adviser increased an existing overweight to the energy sector, moved from a moderate underweight in the healthcare sector to a severe overweight, moved from a slight underweight in the financials sector to a severe underweight and severely underweighted the consumer discretionary sector that had previously been a mild overweight.
Going forward, the Sub-Adviser believes the US economy will continue to expand. Innocuous credit markets that continue to be aided by tailwinds of a dovish Fed suggest there is more opportunity than threat. Corporate cash flows are strong due to low absolute interest rates that have been locked in from refinancing, which enhances interest coverage and free cash flow. The Fund sees low maturity and default risk as well, due to the 2009-2013 refinancing boom. Low credit quality non-refinance issuance has remained relatively low, signaling a low default environment, in turn signaling a positive GDP path. As a result, convertible securities appear to be an attractive investment in the current market conditions.
** | Holdings percentage(s) as of the date prior to the sale of the security. |
Growth of $10,000 Investment – (Unaudited)
Total Returns as of October 31, 2014 | ||||||||
Annualized | Annualized | Annualized Since | ||||||
One Year | Three Years | Five Years | Inception (12/10/04) | |||||
Class N | 9.37% | 9.10% | 9.79% | 6.40% | ||||
Class C | 8.21% | 7.97% | 8.68% | 5.34% | ||||
Class A with load of 5.75% | 2.87% | 6.69% | 8.23% | 5.13%* | ||||
Class A without load | 9.10% | 8.82% | 9.53% | 5.92%* | ||||
ML Conv. ex Mandatory Index | 13.80% | 15.51% | 13.66% | 7.87% | ||||
Merrill Lynch All Convertibles All Qualities Index | 13.48% | 15.36% | 13.37% | 7.38% | ||||
Morningstar Moderate Allocation Category | 8.07% | 10.83% | 9.86% | 5.57% |
* | Class A commenced operations on January 3, 2007. |
The Bank of America Merrill Lynch Convertibles ex Mandatory Index measures the performance of convertible securities of all corporate sectors with a par amount of $25 million or more and a maturity of at least one year and excludes preferred equity redemption stocks and converted securities. Investors cannot invest directly in an index or benchmark.
The Merrill Lynch All Convertibles All Qualities Index is a widely used index that measures convertible securities’ performance. It measures the performance of U.S. dollar-denominated convertible securities not currently in bankruptcy with a total market value greater than $50 million at issuance.
The Morningstar Moderate Allocation Category is generally representative of mutual funds that typically have 50% to 70% of assets in equities and the remainder in fixed income securities and cash.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.64% for Class N, 2.64% for Class C and 1.89% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.
53 |
SCHEDULE OF INVESTMENTS |
Dunham Appreciation & Income Fund |
October 31, 2014 |
Security | Shares | Value | ||||||||||
COMMON STOCK - 3.4% | ||||||||||||
INSURANCE - 3.4% | ||||||||||||
Maiden Holdings Ltd. * | 20,000 | $ | 934,600 | |||||||||
TOTAL COMMON STOCK (Cost - $889,132) | ||||||||||||
Principal | Interest | Maturity | ||||||||||
Amount | Rate | Date | ||||||||||
CONVERTIBLE BONDS - 82.8% | ||||||||||||
AIRLINES - 1.4% | ||||||||||||
AirTran Holdings, Inc. | $ | 150,000 | 5.2500 | % | 11/1/2016 | 377,719 | ||||||
APPAREL - 2.6% | ||||||||||||
Iconix Brand Group, Inc. | 514,000 | 1.5000 | 3/15/2018 | 696,149 | ||||||||
AUTO MANUFACTURING - 2.9% | ||||||||||||
Navistar International Corp. | 800,000 | 4.5000 | 10/15/2018 | 783,000 | ||||||||
BIOTECHNOLOGY - 15.9% | ||||||||||||
Acorda Therapeutics, Inc. | 1,000,000 | 1.7500 | 6/15/2021 | 1,065,000 | ||||||||
Cubist Pharmaceuticals, Inc. | 1,000,000 | 1.8750 | 9/1/2020 | 1,170,000 | ||||||||
Illumina, Inc. - 144A | 600,000 | 0.5000 | 6/15/2021 | 692,625 | ||||||||
Illumina, Inc. - 144A | 325,000 | 0.0000 | 6/15/2019 | 360,344 | ||||||||
Medivation, Inc. | 500,000 | 2.6250 | 5/1/2016 | 1,036,875 | ||||||||
4,324,844 | ||||||||||||
COMPUTERS - 3.2% | ||||||||||||
Spansion LLC | 540,000 | 2.0000 | 9/1/2020 | 867,375 | ||||||||
DIVERSIFIED FINANCIAL SERVICES - 2.8% | ||||||||||||
FXCM, Inc. | 715,000 | 2.2500 | 6/15/2018 | 757,900 | ||||||||
ELECTRICAL COMPONENTS & EQUIPMENT - 2.8% | ||||||||||||
SunPower Corp. - 144A | 750,000 | 0.8750 | 6/1/2021 | 765,469 | ||||||||
ELECTRONICS - 3.4% | ||||||||||||
Fluidigm Corp. | 1,000,000 | 2.7500 | 2/1/2034 | 926,875 | ||||||||
HEALTHCARE-PRODUCTS - 0.3% | ||||||||||||
Insulet Corp. | 65,000 | 2.0000 | 6/15/2019 | 74,669 | ||||||||
HEALTHCARE-SERVICES - 3.5% | ||||||||||||
Molina Healthcare, Inc. | 725,000 | 1.1250 | 1/15/2020 | 946,578 | ||||||||
HOME BUILDERS - 2.1% | ||||||||||||
Standard Pacific Corp. | 500,000 | 1.2500 | 8/1/2032 | 567,813 | ||||||||
LODGING - 1.4% | ||||||||||||
MGM Resorts International | 300,000 | 4.2500 | 4/15/2015 | 385,500 | ||||||||
MEDIA - 2.2% | ||||||||||||
Liberty Media Corp. - 144A | 588,000 | 1.3750 | 10/15/2023 | 587,633 |
See accompanying notes to financial statements.
54 |
SCHEDULE OF INVESTMENTS |
Dunham Appreciation & Income Fund (Continued) |
October 31, 2014 |
Principal | Interest | Maturity | ||||||||||
Security | Amount | Rate | Date | Value | ||||||||
MISCELLANEOUS MANUFACTURING - 1.2% | ||||||||||||
Trinity Industries, Inc. | $ | 200,000 | 3.8750 | % | 6/1/2036 | $ | 315,500 | |||||
OIL & GAS - 1.8% | ||||||||||||
Goodrich Petroleum Corp. | 610,000 | 5.0000 | 10/1/2032 | 500,962 | ||||||||
OIL & GAS SERVICES - 2.0% | ||||||||||||
Helix Energy Solutions Group, Inc. | 425,000 | 3.2500 | 3/15/2032 | 539,750 | ||||||||
PHARMACEUTICALS - 7.9% | ||||||||||||
Depomed, Inc. | 1,000,000 | 2.5000 | 9/1/2021 | 1,066,875 | ||||||||
Mylan, Inc. | 100,000 | 3.7500 | 9/15/2015 | 402,500 | ||||||||
Salix Pharmaceuticals Ltd. | 305,000 | 1.5000 | 3/15/2019 | 683,009 | ||||||||
2,152,384 | ||||||||||||
SEMICONDUCTORS - 6.3% | ||||||||||||
ON Semiconductor Corp. | 500,000 | 2.6250 | 12/15/2026 | 552,500 | ||||||||
Rambus, Inc. | 1,000,000 | 1.1250 | 8/15/2018 | 1,157,500 | ||||||||
1,710,000 | ||||||||||||
SOFTWARE - 10.4% | ||||||||||||
Akamai Technologies, Inc. - 144A | 750,000 | 0.0000 | 2/15/2019 | 761,254 | ||||||||
Dealertrack Technologies, Inc. | 750,000 | 1.5000 | 3/15/2017 | 1,030,312 | ||||||||
Medidata Solutions, Inc. | 630,000 | 1.0000 | 8/1/2018 | 683,156 | ||||||||
Salesforce.com, Inc. | 285,000 | 0.2500 | 4/1/2018 | 337,191 | ||||||||
2,811,913 | ||||||||||||
TELECOMMUNICATIONS - 2.6% | ||||||||||||
Finisar - 144A | 782,000 | 0.5000 | 12/15/2033 | 716,019 | ||||||||
TRANSPORTATION - 6.1% | ||||||||||||
Scorpio Tankers, Inc. - 144A | 1,140,000 | 2.3750 | 7/1/2019 | 1,106,511 | ||||||||
UTI Worldwide, Inc. - 144A | 500,000 | 4.5000 | 3/1/2019 | 539,063 | ||||||||
1,645,574 | ||||||||||||
TOTAL CONVERTIBLE BONDS (Cost - $21,654,147) | 22,453,626 |
Dividend | ||||||||||
Shares | Rate | |||||||||
PREFERRED STOCK - 8.6% | ||||||||||
DIVERSIFIED FINANCIAL SERVICES - 1.3% | ||||||||||
AMG Capital Trust II | 5,500 | 5.1500 | % | 339,281 | ||||||
OIL & GAS - 1.1% | ||||||||||
Chesapeake Energy Corp. - 144A | 135 | 5.7500 | 148,753 | |||||||
Chesapeake Energy Corp. - 144A | 140 | 5.7500 | 152,513 | |||||||
301,266 | ||||||||||
REITS - 6.2% | ||||||||||
American Tower Corp. | 2,370 | 5.2500 | 257,832 | |||||||
Crown Castle International Corp. | 5,200 | 4.5000 | 528,372 | |||||||
iStar Financial, Inc. | 15,000 | 4.5000 | 894,000 | |||||||
1,680,204 | ||||||||||
TOTAL PREFERRED STOCK (Cost - $2,101,080) | 2,320,751 |
See accompanying notes to financial statements.
55 |
SCHEDULE OF INVESTMENTS |
Dunham Appreciation & Income Fund (Continued) |
October 31, 2014 |
Interest | ||||||||||
Security | Shares | Rate | Value | |||||||
SHORT-TERM INVESTMENT - 4.7% | ||||||||||
MONEY MARKET FUND - 4.7% | ||||||||||
First American Government Obligations Fund | 1,286,103 | 0.01 | % + | $ | 1,286,103 | |||||
TOTAL SHORT-TERM INVESTMENT (Cost - $1,286,103) | ||||||||||
TOTAL INVESTMENTS - 99.5% (Cost - $25,930,462) | $ | 26,995,080 | ||||||||
OTHER ASSETS LESS LIABILITIES - 0.5% | 136,125 | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 27,131,205 |
* | Non-income producing security. |
+ | Variable rate security. Interest rate is as of October 31, 2014. |
REITS - Real Estate Investment Trusts
144A- Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers.
Portfolio Composition * - (Unaudited) | ||||
Convertible Bonds | 83.2 | % | ||
Preferred Stock | 8.6 | % | ||
Short-Term Investment | 4.8 | % | ||
Common Stock | 3.4 | % | ||
Total | 100.0 | % |
* | Based on total value of investments as of October 31, 2014. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
56 |
Dunham Large Cap Value Fund
Message from the Sub-Adviser (C.S. McKee, L.P.)
In a strong fiscal year for equities, large cap value stocks, as measured by the Russell 1000 Value Index, rose 15.7 percent in the 12-month period ending October 31, 2014. Large cap value stocks underperformed large cap growth stocks, as measured by the Russell 1000 Growth Index, which tacked on 16.5 percent during the same time period. An expanding U.S. economy and strengthening job market helped to bolster large companies that often outperform late in the economic cycle. Small company stocks, which often outperform early in an expansion, only achieved about half of the returns of their large cap brethren. Small cap stocks, as measured by the Russell 2000 Index, gained only 8.1 percent over the fiscal year. In the Fund, the information technology and financials sectors were top performers while industrials and energy lagged.
The information technology sector was a top contributor to performance in three of the four fiscal quarters. Exposure to the sector added to performance on a relative basis over the full fiscal year as selections by the Sub-Adviser outperformed technology stocks within the benchmark. The Sub-Adviser maintained an average overweight of 4.8 percent to this relatively large index component. Apple, Inc. (AAPL) (holdings percentage*: 3.4 percent), a manufacturer of electronic devices, was the largest technology holding in the Fund and returned a whopping 47.9 percent in the 12-month period ended October 31, 2014.
Stocks in the energy sector detracted somewhat from performance over the full fiscal year, though it was a positive contributor in two of the four fiscal quarters. A large decline in the price of oil in September and October weighed heavily on energy companies. Energy firms contained in the benchmark lost more than 8 percent in the three-month period ended October 31, 2014. One of the better performing stocks held by the Sub-Adviser was ConocoPhillips (COP) (holdings percentage*: 2.3 percent), a major integrated oil and gas firm. The company eked out a 2.3 percent gain over the fiscal year.
The financials sector enhanced performance on a relative and absolute basis despite a relatively large underweight and relative underperformance in the fourth fiscal quarter. Security selection was the main driver of performance. The Sub-Adviser maintained an average weight of 21.4 percent toward the financials sector while the benchmark index had an average weight of 28.9 percent, the largest weighting in the index. Relatively large weights in key stocks allowed the Fund to outperform in this sector despite the underweight. Wells Fargo & Company (WFC) (holdings percentage*: 4.3 percent), which provides retail, commercial and corporate banking services to individuals, business and institutions, gained nearly 28 percent in the 12-month period ended October 31, 2014.
Exposure to the industrials sector had a somewhat negative impact on performance. This was mainly due to security selection, though a slight overweight to the sector also had a small effect. General Electric (GE) (holdings percentage*: 3.7 percent), a diversified machinery firm, was one of the larger detractors in the industrials sector. The company gained only 2.1 percent during the fiscal year. The Sub-Adviser still sees value in the firm and believes recent contracts to build more locomotives will help to boost earnings.
Utilities stocks added to performance, mainly due to security selection. A moderate underweight in the sector was a slight detractor as utilities stocks contained in the benchmark index outperformed the overall benchmark. However, outperformance by the Sub-Adviser’s picks in this sector overshadowed any losses due to the underweight. Public Service Enterprise Group, Inc. (PEG) (holdings percentage*: 1.8 percent), a diversified utilities company based in New Jersey, increased by more than 28 percent in the 12-month period ended October 31, 2014. The firm recently beat analyst earnings expectations and the Sub-Adviser believes that it appears to have room for meaningful growth in the future.
Going forward, the Sub-Adviser believes the economy will continue to grow at a moderate pace as lower gasoline prices help drive consumer spending. Corporate profits should continue to be above average, helping stocks to deliver solid returns. The Fund expects interest rates to remain low in the short-term but slowly start to tick up as the U.S. economy strengthens. Overall, the Sub-Adviser believes it is well positioned to the current market conditions and will continue to take advantage of opportunities as they present themselves.
* | Holdings percentage(s) as of 10/31/2014. |
Growth of $10,000 Investment - (Unaudited)
Total Returns as of October 31, 2014 | ||||||||
Annualized | Annualized | Annualized Since Inception | ||||||
One Year | Three Years | Five Years | (12/10/04) | |||||
Class N | 12.64% | 16.25% | 14.12% | 6.35% | ||||
Class C | 11.57% | 15.09% | 13.00% | 5.30% | ||||
Class A with load of 5.75% | 5.83% | 13.70% | 12.49% | 3.77%* | ||||
Class A without load | 12.31% | 15.95% | 13.83% | 4.56%* | ||||
Russell 1000 Value Index | 16.46% | 20.42% | 16.49% | 7.37% | ||||
Morningstar Large Cap Value Category | 13.52% | 17.79% | 14.39% | 6.41% |
* | Class A commenced operations on January 3, 2007. |
The Russell 1000 Value Index measures the performance of the 1,000 largest companies in the Russell 3000 Index with lower price-to-book ratios and lower forecasted growth values. Investors cannot invest directly in an index or benchmark.
The Morningstar Large Cap Value Category is generally representative of mutual funds that primarily invest in big (large capitalization) U.S. companies that are less expensive or growing more slowly than other large-cap stocks.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.00% for Class N, 2.00% for Class C and 1.25% 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.
57 |
SCHEDULE OF INVESTMENTS |
Dunham Large Cap Value Fund |
October 31, 2014 |
Security | Shares | Value | ||||||
COMMON STOCK - 98.7% | ||||||||
AEROSPACE/DEFENSE - 2.0% | ||||||||
United Technologies Corp. | 10,316 | $ | 1,103,812 | |||||
AGRICULTURE - 1.3% | ||||||||
Philip Morris International, Inc. | 8,095 | 720,536 | ||||||
AUTO & TRUCK PARTS - 1.8% | ||||||||
BorgWarner, Inc. | 17,200 | 980,744 | ||||||
BANKS - 13.5% | ||||||||
The Bank of New York Mellon Corp. | 27,300 | 1,057,056 | ||||||
The Goldman Sachs Group, Inc. | 5,700 | 1,082,943 | ||||||
JPMorgan Chase & Co. | 35,202 | 2,129,017 | ||||||
US Bancorp/MN | 19,807 | 843,778 | ||||||
Wells Fargo & Co. | 44,400 | 2,357,196 | ||||||
7,469,990 | ||||||||
COMPUTERS - 6.5% | ||||||||
Apple, Inc. | 17,500 | 1,890,000 | ||||||
EMC Corp. | 28,500 | 818,805 | ||||||
SanDisk Corp. | 9,600 | 903,744 | ||||||
3,612,549 | ||||||||
COSMETICS / PERSONAL CARE - 1.6% | ||||||||
The Procter & Gamble Co. | 10,300 | 898,881 | ||||||
DIVERSIFIED FINANCIAL SERVICES - 4.6% | ||||||||
American Express Co. | 8,800 | 791,560 | ||||||
Discover Financial Services | 27,000 | 1,722,060 | ||||||
2,513,620 | ||||||||
ELECTRIC - 4.2% | ||||||||
NextEra Energy, Inc. | 12,836 | 1,286,424 | ||||||
Public Service Enterprise Group, Inc. | 24,300 | 1,003,833 | ||||||
2,290,257 | ||||||||
ELECTRONICS - 4.0% | ||||||||
Agilent Technologies, Inc. | 16,100 | 890,008 | ||||||
Honeywell International, Inc. | 13,872 | 1,333,377 | ||||||
2,223,385 | ||||||||
HEALTHCARE PRODUCTS - 2.3% | ||||||||
Baxter International, Inc. | 17,800 | 1,248,492 | ||||||
HEALTHCARE SERVICES - 1.4% | ||||||||
MEDNAX, Inc. * | 12,200 | 761,646 | ||||||
INSURANCE - 4.0% | ||||||||
The Allstate Corp. | 16,632 | 1,078,585 | ||||||
American International Group, Inc. | 21,300 | 1,141,041 | ||||||
2,219,626 | ||||||||
INTERNET - 1.4% | ||||||||
eBay, Inc. * | 14,400 | 756,000 | ||||||
MACHINERY-DIVERSIFIED-1.6% | ||||||||
Deere & Co. | 10,600 | 906,724 | ||||||
MEDIA - 7.0% | ||||||||
CBS Corp. | 16,200 | 878,364 | ||||||
DIRECTV * | 15,400 | 1,336,566 |
Security | Shares | Value | ||||||
MEDIA - 7.0% (continued) | ||||||||
Time Warner Cable, Inc. | 5,500 | $ | 809,655 | |||||
Time Warner, Inc. | 10,600 | 842,382 | ||||||
3,866,967 | ||||||||
MINING - 1.6% | ||||||||
Freeport-McMoRan Copper & Gold, Inc. | 31,000 | 883,500 | ||||||
MISCELLANEOUS MANUFACTURING - 6.0% | ||||||||
Dover Corp. | 15,800 | 1,255,152 | ||||||
General Electric Co. | 80,027 | 2,065,497 | ||||||
3,320,649 | ||||||||
OIL & GAS - 11.7% | ||||||||
Apache Corp. | 11,032 | 851,671 | ||||||
Chevron Corp. | 13,700 | 1,643,315 | ||||||
ConocoPhillips | 19,896 | 1,435,497 | ||||||
Hess Corp. | 17,000 | 1,441,770 | ||||||
Occidental Petroleum Corp. | 12,100 | 1,076,053 | ||||||
6,448,306 | ||||||||
OIL & GAS SERVICES - 2.2% | ||||||||
Halliburton Co. | 22,200 | 1,224,108 | ||||||
PHARMACEUTICALS - 10.0% | ||||||||
Abbott Laboratories | 22,100 | 963,339 | ||||||
Actavis PLC * | 5,780 | 1,403,037 | ||||||
AmerisourceBergen Corp. | 25,200 | 2,152,332 | ||||||
Express Scripts Holdings Co. * | 13,300 | 1,021,706 | ||||||
5,540,414 | ||||||||
RETAIL - 2.5% | ||||||||
Wal-Mart Stores, Inc. | 18,300 | 1,395,741 | ||||||
SEMICONDUCTORS - 2.9% | ||||||||
Intel Corp. | 47,228 | 1,606,224 | ||||||
SOFTWARE - 3.0% | ||||||||
Microsoft Corp. | 18,000 | 845,100 | ||||||
Oracle Corp. | 21,100 | 823,955 | ||||||
1,669,055 | ||||||||
TELECOMMUNICATIONS - 1.6% | ||||||||
Cisco Systems, Inc. | 34,800 | 851,556 | ||||||
TOTAL COMMON STOCK (Cost - $33,984,846) | 54,512,782 | |||||||
SHORT-TERM INVESTMENT - 1.1% | ||||||||
MONEY MARKET FUND - 1.1% | ||||||||
STIT-STIC Prime Portfolio - 0.06% + | ||||||||
(Cost - $613,697) | 613,697 | 613,697 | ||||||
TOTAL INVESTMENTS - 99.8% (Cost - $34,598,543) | $ | 55,126,479 | ||||||
OTHER ASSETS LESS LIABILITIES - 0.2% | 114,899 | |||||||
NET ASSETS - 100.0% | $ | 55,241,378 |
* | Non-income producing security. |
+ | Variable rate security. Interest rate is as of October 31, 2014. |
See accompanying notes to financial statements.
58 |
SCHEDULE OF INVESTMENTS |
Dunham Large Cap Value Fund (Continued) |
October 31, 2014 |
Portfolio Composition * - (Unaudited) | ||||||||||
Financial | 22.04 | % | Communications | 9.89 | % | |||||
Consumer, Non-Cyclical | 16.56 | % | Consumer, Cyclical | 4.29 | % | |||||
Industrial | 14.09 | % | Utilities | 4.14 | % | |||||
Energy | 13.84 | % | Basic Materials | 1.60 | % | |||||
Technology | 12.44 | % | Short-Term Investment | 1.11 | % | |||||
Total | 100.00 | % |
* | Based on total value of investments as of October 31, 2014. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
59 |
Dunham Alternative Income Fund
Message from the Sub-Adviser (Harbor Springs Financial Management LLC)
Dividend paying stocks, as measured by the Dow Jones US Select Dividend Index gained 16.0 percent 12- month period ended October 31, 2014, slightly underperforming the broader equity indexes, such as the S&P 500 Index, which increased 17.3 percent during the same time period. Positive results were achieved in three of the four fiscal quarters, with the largest returns coming in the second and fourth fiscal quarters and only a small 0.8 percent decrease in the third fiscal quarter. The Sub-Adviser made relatively large increases in the utilities sector while decreasing the weighting toward REITs, technology and mining stocks. These adjustments generally had a positive effect on the Fund.
To achieve the dividend yield the Fund seeks, the Sub-Adviser invests approximately 31 percent of the Fund in oil and gas pipeline partnerships, pipeline management firms, and energy management firms. Another 18 percent is invested in utility stocks, 15 percent in telecommunications stocks, 7 percent in technology, 5 percent in tobacco, 3 percent in REITs, 3 percent in cash and cash equivalents, and 1 percent in mining stocks. In addition, approximately 17 percent of the Fund is invested in high dividend-paying international stocks, which are comprised mostly of telecommunications and utilities stocks.
Exposure to the utilities sector enhanced performance on a relative and absolute basis over the fiscal year. The Sub-Adviser significantly increased exposure to this sector at an opportune time in the fourth fiscal quarter, which added further to performance. Sempra Energy (SRE) (holdings percentage*: 1.4 percent), a San Diego based diversified utilities company, was one of the better performing stocks in this sector, returning 23.9 percent in the 12-month period ended October 31, 2014. The Fund prefers to own large utility companies like SRE that have a large footprint and are involved in many aspects of getting energy to the final end user.
The Fund gradually decreased exposure to mining companies from approximately 8 percent of the Fund at the beginning of the fiscal year to only 1 percent currently. Mining stocks in general declined a little more than 4 percent in the first fiscal quarter before rebounding in the second and third fiscal quarter. The fourth fiscal quarter was disastrous as mining stocks tumbled more than 30 percent. The Sub-Adviser wisely started to reduce exposure to this sector in the first fiscal quarter from approximately 8 percent to 5 percent. Smaller decreases were made in subsequent fiscal quarters as the price of gold and mining companies in general continued to fall.
A relatively large weighting toward the telecommunications sector had a positive impact on the Fund. The Sub-Adviser allocated approximately 15 to 17 percent to this sector throughout the fiscal year. One of the better performing stocks in the Fund was CenturyLink, Inc. (CTL) (holdings percentage*: 1.6 percent), a Louisiana based telecom that offers local and long distance calling, broadband communications and other services. The security had a total return of 30.3 percent in the 12-month period ended October 31, 2014.
Exposure to master limited partnerships, the largest concentration in the Fund, detracted slightly from performance as a sharp decline in oil prices in the fourth fiscal quarter had a significant effect on nearly all oil related stocks. Still, master limited partnerships aren’t as affected by oil prices as say, an oil exploration company that needs oil prices to be at a certain level to be profitable. Master limited partnerships are generally in the business of transporting oil and natural gas, so they experienced a significant rebound in October after the dust settled and investors realized that punishing any company even remotely related to oil may have been an overreaction. One such partnership held by the Fund, Magellan Midstream Partners LP (MMP) (holdings percentage*: 2.1 percent), produced a return of 41.0 percent during the fiscal quarter.
Going forward, the Sub-Adviser believes interest rates will remain stable and the U.S. economy should continue to grow moderately as confidence continues to build and inflation remains muted. The Fund has no plans for any major changes to the positioning or strategy of the Fund at this time and believes the current market environment should favor the high dividend-paying securities in which it specializes.
* | Holdings percentage(s) as of 10/31/2014. |
Growth of $10,000 Investment – (Unaudited)
Total Returns as of October 31, 2014 | ||||
One | Annualized Since | |||
Year | Inception(9/14/12) | |||
Class N | 7.76% | 10.00% | ||
Class C | 6.68% | 8.95% | ||
Class A with load of 5.75% | 1.21% | 6.73% | ||
Class A without load | 7.43% | 9.74% | ||
Dow Jones US Select Dividend Index | 15.99% | 19.10% | ||
Morningstar Aggressive Allocation | 8.63% | 11.94% | ||
Category |
The Dow Jones US Select Dividend Index is a dividend weighted index intended to represent the 100 stocks in the Dow Jones US Total Market Index that have the highest indicated annual dividend yield.
Investors cannot invest directly in an index or benchmark.
The Morningstar Aggressive Allocation Category seek to provide both capital appreciation and income by investing in three major areas: stocks, bonds, and cash. These portfolios tend to hold larger positions in stocks than moderate-allocation portfolios. These portfolios typically have 70% to 90% of assets in equities and the remainder in fixed income and cash. Investors cannot invest directly in an index or benchmark.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 2.94% for Class N, 3.94% for Class C and 3.19% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%.The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.
60 |
SCHEDULE OF INVESTMENTS |
Dunham Alternative Income Fund |
October 31, 2014 |
Security | Shares | Value | ||||||
COMMON STOCK - 96.2% | ||||||||
AGRICULTURE - 5.3% | ||||||||
Altria Group, Inc. | 1,900 | $ | 91,846 | |||||
Lorillard, Inc. | 1,200 | 73,800 | ||||||
Reynolds American, Inc. | 4,000 | 251,640 | ||||||
417,286 | ||||||||
BANKS - 0.5% | ||||||||
Deutsche Bank AG | 1,277 | 39,996 | ||||||
CHEMICALS - 2.5% | ||||||||
Dow Jones Chemical Co. | 4,000 | 197,600 | ||||||
COAL - 0.6% | ||||||||
Natural Resource Partners LP - MLP | 4,000 | 49,880 | ||||||
COMMERCIAL SERVICES - 2.5% | ||||||||
Macquarie Infrastructure Co. LLC | 2,000 | 143,280 | ||||||
RR Donnelley & Sons Co. | 3,000 | 52,350 | ||||||
195,630 | ||||||||
ELECTRIC - 3.6% | ||||||||
Dominion Resources, Inc. | 1,000 | 71,300 | ||||||
MDU Resources Group, Inc. | 4,000 | 112,720 | ||||||
NextEra Energy Inc. | 1,000 | 100,220 | ||||||
284,240 | ||||||||
ENERGY - ALTERNATE SOURCES - 0.9% | ||||||||
Clean Energy Fuels Corp. * | 10,000 | 73,100 | ||||||
ENGINEERING & CONSTRUCTION - 1.4% | ||||||||
Chicago Bridge & Iron Co. | 2,000 | 109,280 | ||||||
ENVIRONMENTAL CONTROL - 4.2% | ||||||||
Coventa Holding Corp. | 15,000 | 331,050 | ||||||
GAS - 8.7% | ||||||||
Atmos Energy Corp. | 2,000 | 106,000 | ||||||
National Grid PLC - ADR | 2,000 | 148,780 | ||||||
NiSource, Inc. | 5,000 | 210,300 | ||||||
ONE Gas, Inc. | 3,000 | 113,850 | ||||||
Sempra Energy | 1,000 | 110,000 | ||||||
688,930 | ||||||||
INTERNET - 2.5% | ||||||||
Alibaba Group Holding Ltd. * | 2,000 | 197,200 | ||||||
IRON / STEEL - 1.2% | ||||||||
Mesabi Trust | 5,000 | 93,000 | ||||||
OIL & GAS - 7.8% | ||||||||
BP PLC | 3,000 | 130,380 | ||||||
ConocoPhillips | 2,000 | 144,300 | ||||||
EQT Corp. | 1,000 | 94,040 | ||||||
Marathon Petroleum Corp. | 1,000 | 90,900 | ||||||
Phillips 66 | 2,000 | 157,000 | ||||||
616,620 | ||||||||
PHARMACEUTICALS - 3.6% | ||||||||
AstraZeneca PLC - ADR | 2,000 | 145,880 | ||||||
GlaxoSmithKline PLC - ADR | 3,000 | 136,470 | ||||||
282,350 | ||||||||
PIPELINES - 28.8% | ||||||||
Boardwalk Pipeline Partners LP - MLP | 10,000 | 171,200 | ||||||
Buckeye Partners LP - MLP | 1,000 | 75,400 | ||||||
EnLink Midstream Partners LP - MLP | 2,000 | 60,000 | ||||||
DCP Midstream Partners LP - MLP | 1,000 | 52,950 | ||||||
Enbridge, Inc. | 2,000 | 94,720 | ||||||
Energy Transfer Equity LP - MLP | 1,000 | 58,360 |
Security | Shares | Value | ||||||
PIPELINES - 28.8% (Continued) | ||||||||
Energy Transfer Partners LP - MLP | 2,000 | $ | 128,860 | |||||
Enterprise Products Partners LP - MLP | 3,000 | 110,700 | ||||||
Kinder Morgan, Inc. | 4,000 | 154,800 | ||||||
Magellan Midstream Partners LP - MLP | 2,000 | 163,740 | ||||||
MarkWest Energy Partners LP - MLP | 1,000 | 70,050 | ||||||
Oneok, Inc. | 3,000 | 176,820 | ||||||
ONEOK Partners LP - MLP | 1,000 | 51,100 | ||||||
Pembina Pipeline Corp. | 2,000 | 82,880 | ||||||
Plains All American Pipeline LP - MLP | 2,000 | 112,700 | ||||||
Regency Energy Partners LP - MLP | 3,000 | 90,000 | ||||||
Spectra Energy Corp. | 3,000 | 117,390 | ||||||
Sunoco Logistics Partners LP - MLP | 2,000 | 95,460 | ||||||
Targa Resources Partners LP - MLP | 2,000 | 122,160 | ||||||
TC Pipelines LP - MLP | 1,000 | 62,350 | ||||||
Williams Cos., Inc. | 3,000 | 166,530 | ||||||
Williams Partners LP - MLP | 1,000 | 51,550 | ||||||
2,269,720 | ||||||||
REITS - 2.3% | ||||||||
Getty Realty Corp. | 2,000 | 37,220 | ||||||
Highwoods Properties, Inc. | 1,000 | 42,870 | ||||||
Lexington Realty Trust | 3,000 | 32,880 | ||||||
Mack-Cali Realty Corp. | 1,000 | 18,730 | ||||||
Universal Health Realty Income Trust | 1,000 | 48,450 | ||||||
180,150 | ||||||||
SEMICONDUCTORS - 3.2% | ||||||||
Intel Corp. | 5,000 | 170,050 | ||||||
Microchip Technology, Inc. | 2,000 | 86,220 | ||||||
256,270 | ||||||||
TELECOMMUNICATIONS - 15.6% | ||||||||
AT&T, Inc. | 3,000 | 104,520 | ||||||
CenturyLink ,Inc. | 3,000 | 124,440 | ||||||
Cisco Systems, Inc. | 4,000 | 97,880 | ||||||
Consolidated Communications Holdings, Inc. | 3,000 | 77,700 | ||||||
Deutsche Telekom AG - ADR | 20,000 | 299,600 | ||||||
Frontier Communications Corp. | 15,000 | 98,100 | ||||||
Verizon Communications, Inc. | 2,000 | 100,500 | ||||||
Vodafone Group PLC - ADR | 10,000 | 332,200 | ||||||
1,234,940 | ||||||||
TRANSPORTATION - 0.9% | ||||||||
Martin Midstream Partners LP - MLP | 2,000 | 70,240 | ||||||
TOTAL COMMON STOCK (Cost - $7,187,323) | 7,587,482 | |||||||
EXCHANGE TRADED FUND - 3.0% | ||||||||
EQUITY FUND 3.0% | ||||||||
Ishares Russell 2000 ETF (Cost $220,120) | 2,000 | 233,120 | ||||||
SHORT-TERM INVESTMENTS - 0.2% | ||||||||
MONEY MARKET FUND - 0.2% | ||||||||
Fidelity Institutional Money Market Funds - Money Market Portfolio 0.04% + | ||||||||
(Cost $13,317) | 13,317 | 13,317 | ||||||
TOTAL INVESTMENTS - 99.4% (Cost - $7,420,760) | $ | 7,833,919 | ||||||
OTHER ASSETS LESS LIABILITIES - 0.6% | 52,413 | |||||||
NET ASSETS - 100.0% | $ | 7,886,332 |
ADR - American Depositary Receipt
ETF - Exchange Traded Funds
REIT - Real Estate Investment Trust
MLP - Master Limited Partnership
+ | Variable rate security. Interest rate is as of October 31, 2014. |
* | Non-income producing security |
See accompanying notes to financial statements.
61 |
SCHEDULE OF INVESTMENTS |
Dunham Alternative Income Fund (Continued) |
October 31, 2014 |
Portfolio Composition * - (Unaudited) | ||||||||||
Energy | 38.41 | % | Basic Materials | 3.71 | % | |||||
Communications | 18.28 | % | Technology | 3.27 | % | |||||
Utilities | 12.42 | % | Exchange Traded Fund | 2.98 | % | |||||
Consumer, Non-Cyclical | 11.43 | % | Financial | 2.81 | % | |||||
Industrial | 6.52 | % | Money Market Fund | 0.17 | % | |||||
Total | 100.00 | % |
* | Based on total value of investments as of October 31, 2014. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
62 |
Dunham Focused Large Cap Growth Fund
Message from the Sub-Adviser (The Ithaka Group, LLC)
Over the most recent fiscal year, the backdrop for the financial markets was highlighted by extreme weather, escalating geopolitical conflicts, and the uncertainty regarding the duration of the Federal Reserve (Fed) Quantitative Easing program. Large cap growth stocks, as measured by the Russell 1000 Growth Index, had a relatively strong fiscal year with a return of 17.1 percent. The most recent performance was outpaced by other broader equity indexes, such as the S&P 500 Index, which returned 17.3 percent
The most damaging quarter for the Fund was the second quarter of the most recent fiscal year. The Sub-Adviser attributes this difficult quarter to certain macroeconomic factors, such as investors still getting acquainted with the new Fed Chairperson, Janet Yellen; market uncertainty with the Fed taper; and the slowing real estate market, which helped the country to emerge from the Great Recession. The Sub-Adviser also believes that momentum traders, who caused some of these names to reach sky-high stock prices, are taking profits thus causing a momentum shift to the downside. In the Sub-Adviser’s view, this phenomenon is not reflective of the fundamentals of the companies within the Fund. One holding that detracted from performance during this time was LinkedIn Corp. (LNKD) (Holding Percentage*: 5.1 percent), an online professional network. From the beginning of the fiscal year through April 30, 2014 LinkedIn Corp. declined 31.4 percent. As previously stated, the Sub-Adviser believed that this decline was not reflective of the fundamentals of the company. The Fund was rewarded for its conviction as LinkedIn Corp. increased 39.7 percent to close out the remainder of the fiscal year.
A sector which contributed to the overall performance of the portfolio over the fiscal year was the Healthcare sector. The strongest holding within this sector and the Fund was Gilead Sciences Inc. (GILD) (Holding Percentage*: 5.1 percent), which is a research-based biopharmaceutical company. Gilead Sciences Inc. had seen recent success with its once-a-day Hepatitis C vaccination. Over the most recent fiscal period Gilead Sciences Inc. had climbed 57.4 percent. Regeneron Pharmaceuticals Inc (REGN) (Holding Percentage*: 3.3 percent), an integrated biopharmaceutical company, was also a strong performer from the healthcare sector, climbing 36.9 percent over the fiscal period.
Another strong positive contributor to the Fund was Apple Inc. (AAPL) (Holding Percentage*: 2.9 percent), a company that produces consumer electronics, computer software and personal computers. Over the fiscal year, Apple Inc. increased 47.9 percent amid successful product launches, a 7 for 1 stock split, and a strong earnings report. The largest detractor from performance was FireEye Inc. (FEYE) (Holding Percentage*: 0.6 percent), an information technology company. FireEye Inc. declined 10.3 percent. The Sub-Adviser believes that FireEye Inc. is a next-generation Internet security company with disruptive technologies that may enable it to advance relative to its competition within the fast growing cyber security space. The Sub-Adviser also believes that the continual and dramatic increase in the frequency, scale and publicity of recent attacks (e.g., Target Corp.) will likely lead to an increase in growth rate and allocated the funds allocated to network/endpoint security monitoring.
During the most recent fiscal year, two of the holdings that the Sub-Adviser initiated into the Fund were The Walt Disney Company (DIS) (Holding Percentage*: 2.0 percent), a diversified worldwide entertainment company, and Biogen Idec Inc (BIIB) (Holding percentage*: 1.5 percent), a global biotechnology company. The Sub-Adviser believes that under the strong leadership of CEO Bob Iger, Disney has created and acquired a portfolio of lucrative, complementary assets/products that, when combined, create network-wide synergies. Since the initiation of this position in mid-August through the end of the most recent fiscal period, The Walt Disney Company provided a return of 4.8 percent. The Sub-Adviser is also optimistic for the growth of Biogen Idec Inc. It believes that since arriving in 2010, CEO George Scangos and marketing chief Tony Kingsley have skillfully focused the company’s R&D efforts and revitalized legacy products which may position the company for consistent future growth.
The Sub-Adviser strives to own companies with robust business models and balance sheets that it believes are built to withstand difficult economic environments. With few expectations, each of the companies in the current portfolio historically exhibited strong fundamentals during the 2008/2009 downturn. Those few that did not have since then significantly strengthened their balance sheets. The Sub-Adviser believes that the companies in the Fund have a low risk of poor fundamental performance in an economic downturn, and a low risk of underperforming the market over the course of a business cycle.
The Sub-Adviser claims no expertise in economic or market predictions, and top-down analysis plays no part in their approach to investing. The Sub-Adviser does not try to “guess” where the market is heading in the next quarter or year and therefore chooses to stay fully invested at all times in what it believes are high-quality growth companies. The Sub-Adviser uses a fundamentals-driven, bottom –up process to identify and own companies that may outperform over the long-term. The Sub-Adviser continues to believe that all of the companies in the Fund are well-positioned to outperform over the economic cycle due to the strength of the long-term secular trends underpinning them, coupled with the Sub-Advisers unique abilities to take advantage of these trends.
* | Holdings percentage(s) as of 10/31/2014. |
Growth of $10,000 Investment - (Unaudited)
Total Returns as of October 31, 2014
Annualized Since | ||||
Inception | ||||
One Year | (12/8/11) | |||
Class N | 8.48% | 15.56% | ||
Class C | 7.47% | 14.45% | ||
Class A with load of 5.75% | 2.02% | 12.97% | ||
Class A without load | 8.23% | 15.30% | ||
Russell 1000 Growth Index | 17.11% | 20.58% | ||
Morningstar Large Cap Growth Category | 14.63% | 19.38% |
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 underlying funds, are 1.74% for Class N, 2.74% for Class C and 1.99% for Class A.Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com
63 |
SCHEDULE OF INVESTMENTS |
Dunham Focused Large Cap Growth Fund |
October 31, 2014 |
Security | Shares | Value | ||||||
COMMON STOCK - 99.2% | ||||||||
AEROSPACE/DEFENSE - 3.7% | ||||||||
BE Aerospace, Inc. * | 14,923 | $ | 1,111,017 | |||||
TransDigm Group, Inc. | 6,325 | 1,182,965 | ||||||
2,293,982 | ||||||||
APPAREL - 5.9% | ||||||||
Michael Kors Holdings Ltd. * | 22,060 | 1,733,695 | ||||||
Under Armour, Inc. - Class A * | 28,469 | 1,866,997 | ||||||
3,600,692 | ||||||||
BIOTECHNOLOGY - 15.8% | ||||||||
Alexion Pharmaceuticals, Inc. * | 6,330 | 1,211,309 | ||||||
Biogen Idec, Inc. * | 2,782 | 893,245 | ||||||
Celgene Corp. * | 22,809 | 2,442,616 | ||||||
Gilead Sciences, Inc. * | 28,210 | 3,159,520 | ||||||
Regeneron Pharmaceuticals, Inc. * | 5,135 | 2,021,752 | ||||||
9,728,442 | ||||||||
CHEMICALS - 2.0% | ||||||||
Monsanto Co. | 10,848 | 1,247,954 | ||||||
COMMERCIAL SERVICES - 4.0% | ||||||||
MasterCard, Inc. - Class A | 28,979 | 2,426,991 | ||||||
COMPUTERS - 2.9% | ||||||||
Apple, Inc. | 16,399 | 1,771,092 | ||||||
DIVERSIFIED FINANCIAL SERVICES - 4.1% | ||||||||
Visa, Inc. - Class A | 10,378 | 2,505,561 | ||||||
INTERNET - 31.6% | ||||||||
Amazon.com, Inc. * | 4,194 | 1,281,099 | ||||||
Baidu, Inc. - ADR * | 5,500 | 1,313,235 | ||||||
Facebook, Inc. - Class A * | 58,145 | 4,360,293 | ||||||
Fireeye, Inc. * | 11,160 | 379,328 | ||||||
Google, Inc. - Class A * | 1,544 | 876,791 | ||||||
Google, Inc. - Class C * | 2,927 | 1,636,427 | ||||||
LinkedIn Corp. - Class A * | 13,736 | 3,144,995 | ||||||
Priceline Group, Inc. * | 2,601 | 3,137,352 | ||||||
Splunk, Inc. * | 20,993 | 1,387,217 | ||||||
TripAdvisor, Inc. * | 12,763 | 1,131,568 | ||||||
Twitter, Inc. * | 18,664 | 773,996 | ||||||
19,422,301 |
Security | Shares | Value | ||||||
LODGING - 2.5% | ||||||||
Las Vegas Sands Corp. | 24,389 | $ | 1,518,459 | |||||
MACHINERY-DIVERSIFIED - 3.6% | ||||||||
Cummins, Inc. | 10,363 | 1,514,863 | ||||||
The Middleby Corp. * | 7,658 | 677,733 | ||||||
2,192,596 | ||||||||
MEDIA - 2.0% | ||||||||
Walt Disney Co. | 13,471 | 1,230,980 | ||||||
METAL FABRICATE/HARDWARE - 2.6% | ||||||||
Precision Castparts Corp. | 7,434 | 1,640,684 | ||||||
PHARMACEUTICALS - 2.1% | ||||||||
Pharmacyclics, Inc. * | 10,210 | 1,334,141 | ||||||
RETAIL - 7.4% | ||||||||
Chipotle Mexican Grill, Inc. - Class A * | 2,704 | 1,725,152 | ||||||
Starbucks Corp. | 37,030 | 2,797,987 | ||||||
4,523,139 | ||||||||
SEMICONDUCTORS - 3.0% | ||||||||
ARM Holdings PLC - ADR | 42,731 | 1,825,041 | ||||||
SOFTWARE - 6.0% | ||||||||
Salesforce.com, Inc. * | 36,812 | 2,355,600 | ||||||
Workday, Inc. - Class A * | 13,866 | 1,323,927 | ||||||
3,679,527 | ||||||||
TOTAL COMMON STOCK | ||||||||
(Cost - $53,202,211) | 60,941,582 | |||||||
SHORT-TERM INVESTMENT - 0.9% | ||||||||
MONEY MARKET FUND - 0.9% | ||||||||
First American Obligations Fund, 0.02% + | 536,683 | 536,683 | ||||||
TOTAL SHORT-TERM INVESTMENT (Cost - $536,683) | ||||||||
TOTAL INVESTMENTS - 100.1% (Cost - $53,594,106) | $ | 61,478,265 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)% | (62,378 | ) | ||||||
NET ASSETS - 100.0% | $ | 61,415,887 |
* | Non-Income producing security. |
ADR - American Depositary Receipt.
+ | Variable rate security. Interest rate is as of October 31, 2014. |
Portfolio Composition * - (Unaudited) | ||||||||||
Communications | 33.6 | % | Industrial | 10.0 | % | |||||
Consumer, Non-Cyclical | 21.9 | % | Financial | 4.1 | % | |||||
Consumer, Cyclical | 15.7 | % | Basic Materials | 2.0 | % | |||||
Technology | 11.8 | % | Short-Term | 0.9 | % | |||||
Total | 100.0 | % |
* | Based on total value of investments as of October 31, 2014. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
64 |
Dunham Real Estate Stock Fund
Message from the Sub-Adviser (Cornerstone Real Estate Advisors LLC)
The real estate stock market, as measured by the FTSE NAREIT All REIT Index, delivered strong performance during the 12-month period ended October 31, 2014, returning 18.5 percent. It outperformed major US. Stock indexes, such as the S&P 500 Index, which gained 17.3 percent over the same time period. The majority of those gains were logged in the second, third and fourth fiscal quarters. The first fiscal quarter saw a loss of 0.4 percent and was the only negative quarter, though the index did have precipitous 5.6 percent drop in the month of September as spooked investors anticipated the end of the Federal Reserve’s quantitative easing program. Broader equity markets also fell during that month but not to the same extent. In the Fund, self-storage and hotel REITs were among the best performers while industrial and diversified REITs lagged.
Exposure to self-storage REITs added value on both a relative and absolute basis in the 12-month period ended October 31, 2014. The outperformance was mainly driven by security selection, though a slight overweight to the sector added value as well. The Sub-Adviser continues to see strength in these securities because of what it considers to be attractive valuations and the fact that there have been fewer new storage operators entering the business as demand for more storage space has increased. The Fund has focused on smaller firms that can generate outsized growth and more easily grow occupancies. Extra Space Storage, Inc. (EXR) (holdings percentage*: 3.1 percent), a Utah based self-storage company, is one of these smaller companies mentioned above that the Sub-Adviser likes to hold. It produced a 31.0 percent return in the 12-month period ended October 31, 2014.
Industrial REITs had a slightly negative impact on performance as this type of REIT underperformed the overall benchmark index. Though the Sub-Adviser’s selections in this sector outperformed those within the index, aiding relative performance, a relatively severe overweight to the sector detracted from absolute performance. The Fund did decrease the weighting toward this sector in the third and fourth fiscal quarters to below the index weighting but had an average weight that was nearly twice that of the benchmark over the full fiscal year. One holding in this sector, First Industrial Realty Trust, Inc. (FR) (holdings percentage*: 1.4 percent), increased by more than 10 percent during the fiscal year.
Hotel REITs were the largest positive contributor to performance in the Fund. Security selection and a weighting that was nearly double that of the index enhanced performance in this sector. The Sub-Adviser credited a strengthening economy for the outperformance. Chesapeake Lodging Trust (CHSP) (holdings percentage*: 2.2 percent) was the top performing holding within the hotel REIT sector. The firm primarily invests in upscale hotels in major business and convention markets and gained 46.2 percent in the 12-month period ended October 31, 2014.
Investments in the diversified REIT sector detracted somewhat from overall performance, mainly due to security selection, though a slight underweight to the sector also had an impact. The Fund had an average weight of 5.7 percent to diversified REITs over the fiscal year while the index was weighted at 8.0 percent. During this same time period, diversified REITs held by the Fund returned 17.8 percent while those held within the benchmark index rose 21.7 percent. One of the better performing holdings within the diversified REIT sector was Vornado Realty Trust (VNO) (holdings percentage*: 3.7 percent), which climbed 26.7 percent over the fiscal year.
The healthcare sector had a positive impact on performance due to a moderate underweight and security selection. The Sub-Adviser maintained a 4.5 percent underweight to the sector and positive security selections led to outperformance of more than 2 percent versus healthcare REITs contained in the benchmarks index. Health Care REIT, Inc. (HCN) (holdings percentage*: 4.0 percent), which primarily engages in the ownership, acquisition, management, leasing, and development of properties associated with delivery of healthcare services, such as medical office and outpatient facilities, returned 15.4 percent in the 12-month period ended October 31, 2014.
Going forward, the Sub-Adviser believes the United States is in a good position from a macro perspective and will continue to attract investors. Interest rates should stay low while the dollar remains strong. Currently, there is a large demand for dollar denominated assets. The Fund also expects capitalization rates to be relatively low, which is generally beneficial to REITs.
* | Holdings percentage(s) as of 10/31/2014. |
Growth of $10,000 Investment - (Unaudited)
Total Returns as of October 31, 2014
One | Annualized | Annualized | Annualized Since Inception | |||||
Year | Three Years | Five Years | (12/10/04) | |||||
Class N | 21.09% | 15.38% | 18.52% | 7.31% | ||||
Class C | 19.88% | 14.25% | 17.35% | 6.24% | ||||
Class A with load of 5.75% | 13.79% | 12.84% | 16.82% | 3.07%* | ||||
Class A without load | 20.73% | 15.09% | 18.22% | 3.85%* | ||||
FTSE NAREIT All REITs Index | 18.52% | 15.42% | 18.86% | 7.36% | ||||
Morningstar Real Estate Category | 18.66% | 14.17% | 17.93% | 7.21% |
* | Class A commenced operations on January 3, 2007. |
The FTSE NAREIT All REITs Index is a free float adjusted market capitalization weighted index that includes all tax qualified REITs listed on the NYSE and NASDAQ National Market. Investors cannot invest directly in an index or benchmark.
The Morningstar Real Estate Category is generally representative of mutual funds that primarily invest in REITS of various types. REITs are companies that develop and manage real estate properties.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.31% for Class N, 2.31% for Class C and 1.56% 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 Real Estate Stock Fund |
October 31, 2014 |
Security | Shares | Value | ||||||
REITS - 99.0% | ||||||||
APARTMENTS - 21.9% | ||||||||
American Campus Communities | 25,500 | $ | 1,001,385 | |||||
AvalonBay Communities, Inc. | 25,372 | 3,953,972 | ||||||
Education Realty Trust, Inc. | 93,890 | 1,057,201 | ||||||
Equity Residential | 14,600 | 1,015,576 | ||||||
Essex Property Trust, Inc. | 9,520 | 1,920,755 | ||||||
UDR, Inc. | 30,516 | 922,499 | ||||||
9,871,388 | ||||||||
DIVERSIFIED - 7.3% | ||||||||
Cousins Properties, Inc. | 62,760 | 816,508 | ||||||
Stag Industrial, Inc. | 33,975 | 828,990 | ||||||
Vornado Realty Trust | 15,210 | 1,665,191 | ||||||
3,310,689 | ||||||||
HEALTHCARE - 7.0% | ||||||||
HCP, Inc. | 11,500 | 505,655 | ||||||
Health Care REIT, Inc. | 25,490 | 1,812,594 | ||||||
Physicians Realty Trust | 23,470 | 360,030 | ||||||
Sabra Health Care REIT, Inc. | 17,090 | 488,261 | ||||||
3,166,540 | ||||||||
HOTELS - 12.2% | ||||||||
Ashford Hospitality Trust, Inc. | 23,926 | 270,364 | ||||||
Chesapeake Lodging Trust | 30,630 | 1,012,015 | ||||||
DiamondRock Hospitality Co. | 52,240 | 749,644 | ||||||
FelCor Lodging Trust, Inc. | 74,910 | 803,784 | ||||||
Hersha Hospitality Trust | 63,340 | 461,749 | ||||||
Host Hotels & Resorts, Inc. | 67,270 | 1,568,064 | ||||||
LaSalle Hotel Properties | 17,020 | 667,354 | ||||||
5,532,974 | ||||||||
MORTGAGE - 2.6% | ||||||||
MFA Financial, Inc. | 25,140 | 210,673 | ||||||
Starwood Property Trust, Inc. | 36,300 | 818,928 | ||||||
Two Harbors Investment Corp. | 16,297 | 165,089 | ||||||
1,194,690 | ||||||||
OFFICE PROPERTY - 14.5% | ||||||||
Alexandria Real Estate Equities, Inc. | 7,470 | 620,010 | ||||||
Boston Properties, Inc. | 14,900 | 1,888,575 | ||||||
Brandywine Realty Trust | 31,580 | 487,279 | ||||||
Highwoods Properties, Inc. | 34,320 | 1,471,298 |
Security | Shares | Value | ||||||
OFFICE PROPERTY (Continued) - 14.5% | ||||||||
Hudson Pacific Properties, Inc. | 26,480 | $ | 723,169 | |||||
Kilroy Realty Corp. | 20,103 | 1,361,777 | ||||||
6,552,108 | ||||||||
REGIONAL MALLS - 16.2% | ||||||||
General Growth Properties, Inc. | 44,832 | 1,161,597 | ||||||
Simon Property Group, Inc. | 28,751 | 5,152,467 | ||||||
Tanger Factory Outlet Centers, Inc. | 28,230 | 1,009,787 | ||||||
7,323,851 | ||||||||
SHOPPING CENTERS - 9.1% | ||||||||
Acadia Realty Trust | 47,998 | 1,497,538 | ||||||
Kite Realty Group Trust | 22,032 | 570,409 | ||||||
Ramco-Gershenson Properties Trust | 39,130 | 683,992 | ||||||
Regency Centers Corp. | 21,360 | 1,296,552 | ||||||
Washington Prime Group, Inc. | 4,365 | 76,955 | ||||||
4,125,446 | ||||||||
STORAGE - 6.8% | ||||||||
CubeSmart | 80,170 | 1,687,579 | ||||||
Extra Space Storage, Inc. | 23,830 | 1,385,952 | ||||||
3,073,531 | ||||||||
WAREHOUSE - 1.4% | ||||||||
First Industrial Realty Trust, Inc. | 32,060 | 626,132 | ||||||
TOTAL REITS (Cost - $35,301,183) | 44,777,349 | |||||||
SHORT-TERM INVESTMENT - 1.2% | ||||||||
MONEY MARKET FUND - 1.2% | ||||||||
Fidelity Institutional Money Market | ||||||||
Fund - Government Portfolio, 0.01% + | 557,515 | 557,515 | ||||||
TOTAL SHORT-TERM INVESTMENT | ||||||||
(Cost - $557,515) | ||||||||
TOTAL INVESTMENTS - 100.2% (Cost - $35,858,698) | $ | 45,334,864 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2)% | (113,215 | ) | ||||||
TOTAL NET ASSETS - 100.00% | $ | 45,221,649 |
REIT - Real Estate Investment Trust.
+ | Variable rate security. Interest rate is as of October 31, 2014. |
Portfolio Composition * - (Unaudited) | ||||||||||
Apartments | 22.0 | % | Diversified | 7.4 | % | |||||
Regional Mall | 16.3 | % | Health Care | 7.1 | % | |||||
Office Property | 14.6 | % | Storage | 6.9 | % | |||||
Hotels | 12.4 | % | Mortgage | 2.7 | % | |||||
Shopping Centers | 9.2 | % | Warehouse | 1.4 | % | |||||
100.0 | % |
* | Based on total value of investments as of October 31, 2014. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
66 |
Dunham International Stock Fund
Message from the Sub-Adviser (Arrowstreet Capital, L.P.)
The best performing developed market countries as measured by the Index during the fiscal year were Israel, up 27.0 percent, and Denmark, up 21.9 percent. The worst performing developed market countries were Portugal, down 26.2 percent, and Austria, down 24.0 percent. The best performing emerging market countries during the fiscal year as measured by the Index were UAE, up 49.7 percent and Egypt, up 43.1 percent. The worst performing emerging market countries were Greece, down 32.0 percent, and Hungary, down 24.7 percent.
The Sub-Adviser’s investment process is best characterized as a dynamic process that uses quantitative models to evaluate securities to exploit opportunities across companies, sectors, and countries while seeking to avoid long-term systematic biases toward any particular country, sector, style, or market capitalization. These stock selection models are designed to understand what information is likely to impact stock prices with a predictable and measurable lag that allows time to invest and profit. The models obtain the information to forecast individual stock returns by evaluating a stock’s potential on the basis of (1) direct effects - characteristics of the company itself; and (2) indirect effects - characteristics of other companies that are related by virtue of a common country and sector affiliation (called country/sector baskets); a common country affiliation; and a common global sector affiliation, and/or other common linkages. Over any time period, the strategy’s performance relative to the Index is driven by allocations to country/sector baskets, stock selection, and the effects of currency exposures differing from those of the Index.
Countries contributing most to returns relative to the Index during the fiscal year were: Japan, primarily due to overweights to the information technology and health care sectors; and the United Kingdom, primarily due to overweights to the health care sector and underweights to the materials sector. Countries contributing most to underperformance relative to the Index included: Hong Kong, primarily due to underweights to the financials sector; and Russia, primarily due to overweights to the energy and financials sectors.
Sectors contributing most to returns relative to the Index during the fiscal year included: the health care sector, primarily due to overweights in the United Kingdom, Switzerland and Japan; the consumer discretionary sector, primarily due to overweights in the Germany and underweights in France; and the materials sector, primarily due to underweights in the United Kingdom and Canada. The sectors contributing the most to underperformance relative to the Index was the energy sector, primarily due to overweights in Russia and Canada; and the utilities sector, primarily due to overweights in France, Italy, and Brazil.
The stocks contributing most to returns relative to the Index during the fiscal year included: Shire Plc (holdings percentage*: 1.4 percent), a United Kingdom health care company; Actelion Ltd. (holdings percentage*: 0.8 percent), a Swiss health care company; and Astrazeneca (holdings percentage*: 1.5 percent), a United Kingdom health care company. Stocks contributing most to underperformance relative to the Index included: Sanofi (holdings percentage*: 1.9 percent), a French health care company; Sberbank Russia Ojsc (holdings percentage**: 0.1 percent), a Russian financials company; and Vodafone Group Plc (holdings percentage**: 0.2 percent), a United Kingdom telecommunication services company.
The foregoing Sub-Adviser Background and Insights from the Sub-Adviser are provided by Arrowstreet as of October 31, 2014 for informational purposes only and solely with respect to the portfolio of assets in the Fund managed by Arrowstreet. References to specific stocks, countries or sectors are shown for informational purposes only and are not intended as investment advice. Arrowstreet is not responsible for, and makes no representation with respect to, any other information or performance data set forth herein.
* | Holdings percentage(s) as of 10/31/2014. |
** | Holdings percentage(s) as of the date prior to the sale of the security. |
Growth of $10,000 Investment - (Unaudited)
Total Returns as of October 31, 2014**
Annualized | Annualized | Annualized Since Inception | ||||||
One Year | Three Years | Five Years | (12/10/04) | |||||
Class N | 1.66% | 10.21% | 7.94% | 5.68% | ||||
Class C | 0.67% | 9.12% | 6.86% | 4.64% | ||||
Class A with load of 5.75% | (4.43)% | 7.78% | 6.40% | 1.26%* | ||||
Class A without load | 1.42% | 9.93% | 7.67% | 2.03%* | ||||
MSCI All Country World ex US Index (net) | 0.06% | 7.76% | 6.08.% | 6.09% | ||||
Morningstar Foreign Large Cap Blend Category | 0.00% | 9.28% | 6.56% | 5.03% |
* | Class A commenced operations on January 3, 2007. |
** | Arrowstreet became the Sub-Adviser of the Dunham International Stock Fund effective July 1, 2008. The performance returns have been furnished by the Fund. Arrowstreet makes no representation or warranty relating to the accuracy or completeness of such data. |
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 predominate.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 2.12% for Class N, 3.12% for Class C and 2.37% 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.
67 |
SCHEDULE OF INVESTMENTS |
Dunham International Stock Fund |
October 31, 2014 |
Security | Shares | Value | ||||||
COMMON STOCK - 96.7% | ||||||||
AGRICULTURE - 0.5% | ||||||||
Swedish Match AB | 10,619 | $ | 344,322 | |||||
AIRLINES - 0.8% | ||||||||
ANA Holdings, Inc. | 109,000 | 252,723 | ||||||
Japan Airlines Co., Ltd. | 12,100 | 324,896 | ||||||
Turk Hava Yollari * | 1 | 3 | ||||||
577,622 | ||||||||
AUTO MANUFACTURERS - 0.9% | ||||||||
Porsche Automobil Holding SE - ADR | 6,952 | 56,728 | ||||||
Suzuki Motor Corp. | 4,500 | 150,827 | ||||||
Tata Motors Ltd. - ADR | 9,166 | 431,719 | ||||||
639,274 | ||||||||
AUTO PARTS & EQUIPMENT - 1.5% | ||||||||
NGK Insulators Ltd. | 28,000 | 603,038 | ||||||
Sumitomo Electric Industries Ltd. | 15,100 | 206,386 | ||||||
Toyota Industries Corp. | 4,800 | 228,548 | ||||||
1,037,972 | ||||||||
BANKS - 11.2% | ||||||||
Asya Katilim Bankasi AS * | 36,300 | 11,773 | ||||||
Banco Bradesco SA - ADR | 11,069 | 165,814 | ||||||
Banco de Sabadell SA | 93,091 | 268,556 | ||||||
Banco do Brasil SA - ADR | 9,850 | 110,123 | ||||||
Banco Santander SA - ADR | 43,466 | 381,197 | ||||||
Banco Santander SA | 43,995 | 387,866 | ||||||
Bank Hapoalim BM | 126,613 | 652,137 | ||||||
Bank Leumi Le-Israel BM * | 54,789 | 195,900 | ||||||
Bank Mandiri Persero Tbk PT | 151,100 | 129,773 | ||||||
Bank of China Ltd. | 77,000 | 36,857 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 304,400 | 278,951 | ||||||
China Construction Bank Corp - ADR | 18,052 | 267,531 | ||||||
China Construction Bank Corp | 895,000 | 667,772 | ||||||
Corpbanca SA - ADR | 4,010 | 81,002 | ||||||
Credit Agricole SA | 9,076 | 134,014 | ||||||
DNB ASA | 18,666 | 340,918 | ||||||
Grupo Financiero Santander Mexico SAB - ADR | 12,365 | 164,455 | ||||||
Grupo Financiero Santander Mexico SAB | 67,700 | 180,217 | ||||||
HDFC Bank Ltd. - ADR | 13,222 | 693,229 | ||||||
ICICI Bank Ltd. - ADR | 14,239 | 802,510 | ||||||
Industrial & Commercial Bank of China Ltd. - H Shares | 621,000 | 412,327 | ||||||
Intesa Sanpaolo SpA | 77,593 | 227,604 | ||||||
Itau Unibanco Holding SA - ADR | 20,488 | 302,403 | ||||||
Mediobanca SpA | 12,940 | 113,960 | ||||||
Nordea Bank AB | 32,371 | 415,170 | ||||||
Skandinaviska Enskilda Banken AB - A Shares | 20,836 | 266,866 | ||||||
State Bank of India - GDR | 1,653 | 145,108 | ||||||
SVENSKA HANDELSBANKEN - B Shares | 1,414 | 64,770 | ||||||
Turkiye Is Bankasi | 61,592 | 154,188 | ||||||
8,052,991 | ||||||||
BEVERAGES - 0.5% | ||||||||
Anheuser-Busch InBev NV - ADR | 1,632 | 181,119 | ||||||
Heineken NV | 2,046 | 152,509 | ||||||
333,628 |
Security | Shares | Value | ||||||
BIOTECHNOLOGY - 0.8% | ||||||||
CSL Ltd. | 7,754 | $ | 545,838 | |||||
BUILDING MATERIALS - 1.8% | ||||||||
Asahi Glass Co., Ltd. | 43,000 | 223,791 | ||||||
Daikin Industries Ltd. | 4,400 | 275,023 | ||||||
HeidelbergCement AG | 5,150 | 350,802 | ||||||
James Hardie Industries PLC - CDI | 5,036 | 53,559 | ||||||
Semen Indonesia Persero Tbk PT | 192,500 | 252,859 | ||||||
Sika AG | 18 | 64,166 | ||||||
TOTO Ltd. | 8,000 | 90,267 | ||||||
1,310,467 | ||||||||
CHEMICALS - 2.0% | ||||||||
Daicel Corp. | 23,000 | 265,120 | ||||||
EMS-Chemie Holding AG | 367 | 131,805 | ||||||
Israel Chemicals Ltd. | 10,523 | 70,983 | ||||||
Lonza Group AG | 1,736 | 190,758 | ||||||
Mitsubishi Chemical Holdings Corp. | 22,500 | 110,828 | ||||||
Sumitomo Chemical Co. Ltd. | 44,000 | 150,933 | ||||||
Yara International ASA | 11,600 | 529,551 | ||||||
1,449,978 | ||||||||
COMMERCIAL SERVICES - 0.4% | ||||||||
Cielo SA | 4,500 | 74,758 | ||||||
Dai Nippon Printing Co. Ltd. | 18,000 | 177,414 | ||||||
Toppan Printing Co. Ltd. | 9,000 | 61,235 | ||||||
313,407 | ||||||||
COMPUTERS - 2.9% | ||||||||
Asustek Computer, Inc. | 25,000 | 254,940 | ||||||
Fujitsu Ltd. | 34,000 | 206,693 | ||||||
Infosys Ltd. - ADR | 12,473 | 833,945 | ||||||
Otsuka Corp. | 900 | 33,463 | ||||||
Quanta Computer, Inc. | 57,000 | 143,322 | ||||||
TDK Corp. | 6,600 | 374,613 | ||||||
Wipro Ltd. -ADR | 2,339 | 28,536 | ||||||
Wistron Corp. | 197,000 | 206,716 | ||||||
2,082,228 | ||||||||
COSMETICS/PERSONAL CARE - 1.5% | ||||||||
Beiersdorf AG | 3,878 | 313,734 | ||||||
Kao Corp. - ADR | 5,311 | 209,253 | ||||||
Unilever NV - Dutch Cert | 5,265 | 203,615 | ||||||
Unilever NV - NY Reg. Shrs | 8,317 | 322,117 | ||||||
1,048,719 | ||||||||
DISTRIBUTION / WHOLESALE - 0.3% | ||||||||
Mitsubishi Corp. | 12,300 | 241,172 | ||||||
DIVERSIFIED FINANANCIAL SERVICES - 0.3% | ||||||||
Hargreaves Lansdown PLC | 4,005 | 63,685 | ||||||
Old Mutual PLC | 25,243 | 78,231 | ||||||
Orix Corp. | 5,600 | 77,726 | ||||||
219,642 |
See accompanying notes to financial statements.
68 |
SCHEDULE OF INVESTMENTS |
Dunham International Stock Fund (Continued) |
October 31, 2014 |
Security | Shares | Value | ||||||
ELECTRIC - 5.3% | ||||||||
E. ON SE - ADR | 670 | $ | 11,491 | |||||
E. ON SE | 41,594 | 715,511 | ||||||
Electricite de France SA | 6,076 | 179,021 | ||||||
Enel Green Power SpA | 113,281 | 277,865 | ||||||
Enel SpA | 137,940 | 703,316 | ||||||
Fortum OYJ | 19,165 | 443,495 | ||||||
GDF Suez | 8,473 | 205,272 | ||||||
Iberdrola SA - ADR | 2,682 | 76,035 | ||||||
Iberdrola SA | 116,334 | 821,711 | ||||||
PGE SA | 10,136 | 66,489 | ||||||
Red Electrica Corp. SA | 2,104 | 183,447 | ||||||
RWE AG | 4,320 | 152,945 | ||||||
3,836,598 | ||||||||
ELECTRICAL COMPONENTS & EQUIPMENT - 0.7% | ||||||||
Brother Industries Ltd. | 14,500 | 258,155 | ||||||
Delta Electronics, Inc. | 12,000 | 71,902 | ||||||
Nidec Corp. - ADR | 5,842 | 97,386 | ||||||
Ushio, Inc. | 7,600 | 79,756 | ||||||
507,199 | ||||||||
ELECTRONICS - 3.0% | ||||||||
Hirose Electric Co. Ltd. | 1,700 | 208,428 | ||||||
Hon Hai Precision Industry Co. Ltd. | 190,400 | 601,874 | ||||||
Hoya Corp | 5,300 | 187,542 | ||||||
Ibiden Co. Ltd. | 3,600 | 54,113 | ||||||
Keyence Corp. | 200 | 96,912 | ||||||
Kinsus Interconnect Technology Corp. | 18,000 | 67,657 | ||||||
Kyocera Corp. | 1,000 | 46,089 | ||||||
Murata Manufacturing Co. Ltd. | 3,100 | 348,302 | ||||||
NEC Corp. | 77,000 | 272,289 | ||||||
Nippon Electric Glass Co. Ltd | 2,000 | 9,300 | ||||||
Omron Corp. | 5,200 | 246,129 | ||||||
2,138,635 | ||||||||
ENERGY-ALTERNATE SOURCES - 0.2% | ||||||||
Vestas Wind Systems * | 4,960 | 165,153 | ||||||
ENGINEERING & CONSTRUCTION - 0.2% | ||||||||
Acciona SA * | 1,620 | 112,971 | ||||||
ENTERTAINMENT - 0.4% | ||||||||
OPAP SA | 9,387 | 113,474 | ||||||
Sankyo Co. Ltd. | 5,700 | 207,420 | ||||||
320,894 | ||||||||
FOOD - 3.4% | ||||||||
Aryzta AG | 2,251 | 191,487 | ||||||
Chocoladefabriken Lindt & Sprungli AG | 39 | 195,202 | ||||||
Delhaize Group SA | 1,707 | 116,460 | ||||||
Kerry Group PLC | 1,389 | 94,143 | ||||||
Nestle SA - ADR | 3,285 | 240,889 | ||||||
Nestle SA | 6,965 | 509,369 | ||||||
Orkla ASA - ADR | 10,873 | 83,940 | ||||||
Orkla ASA | 18,877 | 143,484 |
Security | Shares | Value | ||||||
FOOD (Continued) - 3.4% | ||||||||
Unilever PLC - ADR | 15,455 | $ | 621,755 | |||||
Unilever PLC | 6,965 | 279,621 | ||||||
2,476,350 | ||||||||
GAS - 1.8% | ||||||||
Engas SA | 11,881 | 397,848 | ||||||
Gas Natural SDG SA | 14,125 | 406,989 | ||||||
Snam SpA | 85,315 | 460,327 | ||||||
1,265,164 | ||||||||
HAND/MACHINE TOOLS - 0.1% | ||||||||
Fuji Electric Co. Ltd. | 24,000 | 105,439 | ||||||
HEALTHCARE - PRODUCTS - 1.8% | ||||||||
Coloplast A/S - Class B | 5,576 | 484,876 | ||||||
Sonova Holding AG | 3,170 | 492,943 | ||||||
Sysmex Corp. - ADR | 6,308 | 137,073 | ||||||
Terumo Corp. | 6,000 | 149,985 | ||||||
1,264,877 | ||||||||
HEALTHCARE - SERVICES - 0.3% | ||||||||
Miraca Holdings, Inc. | 700 | 29,384 | ||||||
Ramsay Healthe Care Ltd. | 3,644 | 167,959 | ||||||
197,343 | ||||||||
HOLDING COMPANIES-DIVERSIFIED - 0.4% | ||||||||
Haci Omer Sabanci Holdings AS | 1 | 3 | ||||||
Industrivarden AB - A shares* | 7,126 | 131,314 | ||||||
Industrivarden AB - A shares | 4,303 | 75,168 | ||||||
Swire Pacific Ltd. | 30,000 | 72,740 | ||||||
279,225 | ||||||||
HOME FURNISHINGS - 0.6% | ||||||||
Arcelik AS | 1 | 6 | ||||||
Electrolux AB - Series B | 14,329 | 404,861 | ||||||
404,867 | ||||||||
HOUSEHOLD PRODUCTS/WARES - 0.3% | ||||||||
Unilever Indonesia Tbk PT | 97,500 | 245,482 | ||||||
INSURANCE - 2.1% | ||||||||
Aegon NV | 3,802 | 30,920 | ||||||
Aegon NV - NY Reg. Shares | 6,847 | 55,940 | ||||||
China Life Insurance Co. Ltd. - H Shares | 22,000 | 65,649 | ||||||
CNP Assurances | 6,382 | 119,051 | ||||||
Dai-ichi Life Insurance Co. Ltd. | 14,600 | 220,942 | ||||||
Gjensidige Forsikring ASA | 9,570 | 172,811 | ||||||
Ping An Insurance Group Co. of China Ltd. - H Shares | 25,000 | 204,372 | ||||||
Sampo Oyj | 8,875 | 424,334 | ||||||
Tokio Marine Holdings, Inc. | 7,600 | 243,707 | ||||||
1,537,726 | ||||||||
INTERNET - 0.5% | ||||||||
Tencent Holdings Ltd. | 15,100 | 242,696 | ||||||
United Internet AG | 3,514 | 137,511 | ||||||
380,207 | ||||||||
INVESTMENT COMPANIES - 1.7% | ||||||||
EXOR SpA | 3,756 | 163,539 | ||||||
Investor AB - A shares | 8,343 | 291,951 |
See accompanying notes to financial statements.
69 |
SCHEDULE OF INVESTMENTS |
Dunham International Stock Fund (Continued) |
October 31, 2014 |
Security | Shares | Value | ||||||
INVESTMENT COMPANIES (Continued) - 1.7% | ||||||||
Investor AB - B Shares | 4,499 | $ | 161,024 | |||||
Pargesa Holding SA | 5,418 | 420,587 | ||||||
Rand Merchant Insurance Holdings Ltd. | 46,342 | 165,155 | ||||||
1,202,256 | ||||||||
LEISURE TIME - 0.3% | ||||||||
Carnival PLC - ADR | 3,142 | 125,177 | ||||||
Yamaha Corp. | 8,600 | 117,874 | ||||||
243,051 | ||||||||
MACHINERY CONSTRUCTION & MINING - 1.8% | ||||||||
Atlas Copco AB - A Shares | 6,565 | 189,622 | ||||||
Atlas Copco AB - B Shares | 2,791 | 73,718 | ||||||
Hitachi Construction Machinery Co. Ltd. | 18,700 | 382,480 | ||||||
Hitachi Ltd. | 30,000 | 235,714 | ||||||
Komatsu Ltd. | 7,800 | 184,145 | ||||||
Mitsubishi Electric Corp. | 15,000 | 193,398 | ||||||
1,259,077 | ||||||||
MACHINERY - DIVERSIFIED - 1.1% | ||||||||
Amada Co. Ltd. | 9,000 | 78,598 | ||||||
Hexagon AB - B Shares | 5,707 | 192,041 | ||||||
Metso OYJ | 9,745 | 317,692 | ||||||
Mitsubishi Heavy Industries Ltd. | 30,000 | 187,133 | ||||||
775,464 | ||||||||
METAL FABRICATE / HARDWARE - 1.0% | ||||||||
Catcher Technology Co. Ltd. | 12,000 | 101,176 | ||||||
NSK Ltd. | 3,000 | 39,293 | ||||||
Tenaris SA - ADR | 5,049 | 200,142 | ||||||
Tenaris SA | 19,141 | 377,676 | ||||||
718,287 | ||||||||
MINING - 1.0% | ||||||||
Boliden AB | 13,983 | 230,448 | ||||||
Mitsubishi Materials Corp. | 21,000 | 65,725 | ||||||
MMC Norilsk Nickel OJSC | 3,971 | 74,218 | ||||||
Norsk Hydro ASA * | 56,732 | 315,768 | ||||||
686,159 | ||||||||
MISCELLANEOUS MANUFACTURING - 1.8% | ||||||||
FUJIFILM Holdings Corp. | 12,700 | 426,302 | ||||||
Konica Minolta Holdings, Inc. | 24,000 | 268,158 | ||||||
Largan Precision Co. Ltd. | 3,000 | 210,488 | ||||||
Wartsila OYJ Abp | 7,855 | 363,420 | ||||||
1,268,368 | ||||||||
OFFICE / BUSINESS EQUIPMENT - 1.3% | ||||||||
Canon, Inc. - ADR | 5,612 | 174,084 | ||||||
Canon, Inc. | 15,600 | 478,589 | ||||||
Ricoh Co. Ltd. | 7,800 | 80,550 | ||||||
Seiko Epson Corp. | 3,700 | 171,690 | ||||||
904,913 | ||||||||
OIL & GAS - 3.1% | ||||||||
Canadian Natural Resources Ltd. | 7,463 | 259,408 | ||||||
Gazprom OAO - ADR | 92,312 | 609,075 | ||||||
Idemitsu Kosan Co. Ltd. | 8,000 | 154,710 | ||||||
Inpex Corp. | 15,200 | 194,406 | ||||||
Neste Oil OYJ | 12,039 | 259,225 |
Security | Shares | Value | ||||||
OIL & GAS (Continued) - 3.1% | ||||||||
Rosneft OAO - GDR | 8,009 | $ | 44,567 | |||||
Sasol Ltd. - ADR | 7,226 | 362,673 | ||||||
Total SA - ADR | 1,050 | 62,884 | ||||||
Total SA | 4,748 | 282,849 | ||||||
2,229,797 | ||||||||
OIL & GAS SERVICES - 0.0% | ||||||||
Subsea 7 SA - ADR | 2,509 | 27,172 | ||||||
PHARMACEUTICALS - 19.6% | ||||||||
Actelion Ltd. | 4,570 | 542,770 | ||||||
Astellas Pharma, Inc. | 30,000 | 465,594 | ||||||
AstraZeneca PLC - ADR | 5,179 | 377,756 | ||||||
AstraZeneca PLC | 9,292 | 677,630 | ||||||
Bayer AG - ADR | 2,020 | 286,901 | ||||||
Bayer AG | 7,901 | 1,127,535 | ||||||
Celesio AG | 13,943 | 458,996 | ||||||
Chugai Pharmaceutical Co. Ltd. | 10,800 | 337,623 | ||||||
Daiichi Sankyo Co. Ltd. | 9,400 | 141,387 | ||||||
Dr Reddy’s Laboratories Ltd. - ADR | 5,324 | 278,392 | ||||||
GlaxoSmithKline PLC | 4,531 | 102,268 | ||||||
Grifols SA - ADR | 3,753 | 132,819 | ||||||
Grifols SA | 5,571 | 226,988 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 1,000 | 11,663 | ||||||
Medipal Holdings Corp. | 9,900 | 109,729 | ||||||
Novartis AG - ADR | 5,408 | 501,268 | ||||||
Novartis AG | 7,142 | 660,978 | ||||||
Novo Nordisk A/S - ADR | 11,576 | 523,004 | ||||||
Novo Nordisk A/S | 16,294 | 734,814 | ||||||
Otsuka Holdings Co Ltd | 6,200 | 217,474 | ||||||
Roche Holding AG - ADR | 16,947 | 623,819 | ||||||
Roche Holding AG-BR | 587 | 166,740 | ||||||
Roche Holding AG- Genusschein | 3,929 | 1,156,270 | ||||||
Sanofi - ADR | 6,977 | 322,616 | ||||||
Sanofi | 11,152 | 1,009,713 | ||||||
Santen Pharmaceutical Co. Ltd. | 2,000 | 119,368 | ||||||
Shionogi & Co. Ltd. | 1,600 | 41,857 | ||||||
Shire PLC - ADR | 4,850 | 969,030 | ||||||
Sumitomo Dainippon Pharma Co Ltd | 29,700 | 350,324 | ||||||
Suzuken Co. Ltd. | 2,500 | 67,024 | ||||||
Teva Pharmaceutical Industries Ltd. - ADR | 10,511 | 593,556 | ||||||
Teva Pharmaceutical Industries Ltd. | 5,321 | 300,519 | ||||||
UCB SA * | 5,448 | 438,397 | ||||||
14,074,822 | ||||||||
PIPELINES - 0.2% | ||||||||
TransCanada Corp. | 2,378 | 116,746 | ||||||
REAL ESTATE - 0.4% | ||||||||
Hysan Development Co. Ltd. | 27,000 | 123,199 | ||||||
Redefine Properties Ltd. - REIT | 222,079 | 201,090 | ||||||
324,289 | ||||||||
REITS - 0.2% | ||||||||
Link REIT | 29,500 | 173,481 |
See accompanying notes to financial statements.
70 |
SCHEDULE OF INVESTMENTS |
Dunham International Stock Fund (Continued) |
October 31, 2014 |
Security | Shares | Value | ||||||
RETAIL - 1.1% | ||||||||
Citizen Holdings Co. Ltd. | 6,000 | $ | 39,414 | |||||
Hennes & Mauritz AB - B Shares | 11,573 | 91,311 | ||||||
Mr Price Group Ltd. | 30,823 | 637,722 | ||||||
Woolworths Holdings Ltd. | 3,926 | 27,932 | ||||||
796,379 | ||||||||
SEMICONDUCTORS - 2.1% | ||||||||
Advanced Semiconductor Engineering, Inc. - ADR | 23,191 | 143,089 | ||||||
Infineon Technologies AG | 33,725 | 327,852 | ||||||
MediaTek, Inc. | 6,000 | 85,592 | ||||||
Rohm Co. Ltd. | 1,900 | 115,649 | ||||||
Samsung Electronics Co. Ltd. | 166 | 193,563 | ||||||
Samsung Electronics Co. Ltd. - GDR - Reg S | 25 | 11,430 | ||||||
STMicroelectronics NV - NY Reg. Shares | 15,017 | 100,914 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR | 23,996 | 528,392 | ||||||
1,506,481 | ||||||||
SOFTWARE - 0.9% | ||||||||
Amadeus IT Holding SA - A Shares | 9,206 | 337,966 | ||||||
Oracle Corp. Japan | 5,000 | 193,558 | ||||||
SAP SE - ADR | 2,018 | 137,486 | ||||||
669,010 | ||||||||
STORAGE / WAREHOUSING - 0.7% | ||||||||
Mitsubishi Logistics Corp. | 31,000 | 472,155 | ||||||
TELECOMMUNICATIONS - 8.7% | ||||||||
Alcatel-Lucent - ADR * | 172,397 | 517,191 | ||||||
America Movil SAB de CV - ADR | 6,238 | 152,270 | ||||||
Belgacom SA | 6,096 | 229,732 | ||||||
Bezeq The Israeli Telecommunication Corp Ltd | 68,287 | 116,774 | ||||||
BT Group PLC - ADR | 3,487 | 205,733 | ||||||
BT Group PLC | 66,382 | 390,626 | ||||||
Deutsche Telekom AG - ADR | 4,525 | 67,785 | ||||||
KDDI Corp | 3,100 | 203,566 | ||||||
MTN Group Ltd | 10,490 | 232,118 | ||||||
NICE-Systems Ltd | 1,152 | 46,730 | ||||||
Nippon Telegraph & Telephone Corp | 14,000 | 871,025 | ||||||
Nokia OYJ - ADR | 50,839 | 420,439 | ||||||
Nokia OYJ | 40,695 | 339,297 | ||||||
Orange SA - ADR | 9,406 | 149,461 | ||||||
Orange SA | 14,039 | 223,016 | ||||||
PCCW Ltd | 771,000 | 490,147 | ||||||
Swisscom AG | 1,239 | 728,411 | ||||||
TDC A/S | 11,550 | 88,002 | ||||||
Telecom Italia SpA - ADR | 6,102 | 54,125 | ||||||
Telecom Italia SpA | 187,430 | 211,945 | ||||||
Telefonaktiebolaget LM Ericsson - ADR | 13,366 | 158,254 | ||||||
Telefonaktiebolaget LM Ericsson | 28,066 | 330,701 | ||||||
Telenet Group Holding NV * | 370 | 20,889 | ||||||
6,248,237 |
Security | Shares | Value | ||||||||||
TRANSPORTATION - 2.9% | ||||||||||||
AP Moeller - Maersk A/S | 83 | $ | 193,235 | |||||||||
Canadian National Railway Co. | 8,548 | 600,286 | ||||||||||
Central Japan Railway Co. | 1,000 | 149,142 | ||||||||||
Deutsche Post AG - ADR | 7,242 | 229,427 | ||||||||||
Deutsche Post AG | 2,163 | 67,963 | ||||||||||
DSV A/S | 8,466 | 252,806 | ||||||||||
East Japan Railway Co. | 3,100 | 242,109 | ||||||||||
Hankyu Hanshin Holdings, Inc. | 41,000 | 241,052 | ||||||||||
Nippon Express Co. Ltd. | 27,000 | 118,767 | ||||||||||
2,094,787 | ||||||||||||
WATER - 0.3% | ||||||||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 29,500 | 233,538 | ||||||||||
TOTAL COMMON STOCK (Cost - $65,956,928) | 69,459,859 | |||||||||||
Dividend Rate (%) | ||||||||||||
PREFERRED STOCK - 0.9% | ||||||||||||
AUTO MANUFACTURERS - 0.4% | ||||||||||||
Bayerische Motoren Werke AG | 2.6200 | 2,202 | 176,178 | |||||||||
Porsche Automobil Holding SE | 2.0100 | 1,500 | 122,898 | |||||||||
299,076 | ||||||||||||
BANKS - 0.2% | ||||||||||||
Itau Unbanco Holding SA | 1.1585 | 7,900 | 118,534 | |||||||||
ELECTRIC - 0.3% | ||||||||||||
Cia Energetica de Sao Paulo | 3.1790 | 20,600 | 205,470 | |||||||||
TOTAL PREFERRED STOCK (Cost - $658,367) | 623,080 | |||||||||||
SHORT-TERM INVESTMENT - 2.0% | ||||||||||||
MONEY MARKET FUND - 2.0% | ||||||||||||
Fidelity Institutional Money Market Funds - Government | ||||||||||||
Portfolio 0.00% + (Cost - $1,427,180) | 1,427,180 | 1,427,180 | ||||||||||
TOTAL INVESTMENTS - 99.6% (Cost - $68,042,475) | $ | 71,510,119 | ||||||||||
OTHER ASSETS LESS LIABILITIES - 0.4% | 270,671 | |||||||||||
NET ASSETS - 100.0% | $ | 71,780,790 |
* | Non-income producing security. |
ADR - American Depositary Receipt.
GDR - Global Depositary Receipt.
NV - Non-Voting
NVDR - Non-Voting Depositary Receipt.
REIT - Real Estate Investment Trust.
+ | Variable rate security. Interest rate is as of October 31, 2014. |
See accompanying notes to financial statements.
71 |
SCHEDULE OF INVESTMENTS |
Dunham International Stock Fund (Continued) |
October 31, 2014 |
Portfolio Composition * - (Unaudited) | ||||||||||
Japan | 21.26 | % | India | 4.49 | % | |||||
Switzerland | 9.67 | % | France | 4.48 | % | |||||
Germany | 6.63 | % | Finland | 3.59 | % | |||||
Spain | 5.22 | % | Denmark | 3.41 | % | |||||
Sweden | 4.78 | % | Other Countries | 31.79 | % | |||||
Britain | 4.68 | % | Total | 100.00 | % |
* | Based on total value of investments as of October 31, 2014. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
72 |
Dunham Small Cap Value Fund
Message from the Sub-Adviser (Piermont Capital Management LLC)
It was a volatile fiscal year for small cap value stocks amid uncertainty over the Fed’s decision to raise interest rates, escalating geopolitical concerns, and a sharp decline in oil prices. Small cap value stocks, as measured by the Russell 2000 Value Index, increased 7.9 percent during the most recent fiscal year. Comparatively, small cap growth stocks in the Russell 2000 Growth Index outperformed value stocks, gaining 8.3 percent over the same time period. While small cap stocks have historically outperformed large cap stocks over long time periods, they have also exhibited more sensitivity to domestic growth expectations. As a result, small cap stocks trailed large cap stocks for the fiscal year. Large cap stocks, as measured by the S&P 500 Index increased 17.3 percent during the most recent fiscal year.
The Sub-Adviser’s strategy continued to focus on what it believes high quality firms, using nine sector specific models that include a total of 40 factors, which measure both fundamental and technical metrics. Stocks must rank in the top 20 percent to be considered for purchase and also undergo a qualitative red flag review. The red flag review may include reviewing news stories that could adversely affect a stock, high turnover in senior management and an accelerating debt ratio, among other factors. Another core premise of the strategy is that the Fund should remain sector and industry neutral so as to avoid large risks by overweighting or underweighting a particular sector. This allows the Sub-Adviser to focus solely on picking the best stocks in each sector and industry rather than trying to predict macroeconomic trends. It is this complete bottom-up selection approach that makes the Sub-Adviser somewhat unique.
The energy sector was the largest contributor to performance during the first half of the fiscal year as selections in this sec tor outperformed those within the benchmark index by a wide margin. However, in the second half of the fiscal year, the energy sector was the largest detractor from performance as the price of oil precipitously fell. A poor performer within the energy sector was Swift Energy Company (SFY) (Holding Percentage*: 0.5 percent) which is an independent oil and gas company that explores, develops, acquires, and operates oil and gas properties. Swift Energy Company was initially purchased on November 13, 2013. Since the time the holding was purchased into the Fund until the end of the fiscal period, Swift Energy Co. declined 51.6 percent. Another detractor from performance was Walter Energy Inc. (WLT) (Holding Percentage**: 0.4 percent), a producer and exporter of metallurgical coals for the global steel industry. Walter Energy Inc. was purchased by the Fund on March 7, 2014 and sold on May 13, 2014. During that time Walter Energy Inc. declined 35.2 percent.
The healthcare sector rebounded from being one of the worst performers early in the fiscal year to be one of the strongest positive contributors to the Fund. Gentiva Sciences, Inc. (GTVI) (Holding Percentage**: 0.9 percent), a provider of home health and hospice services, was one of the strongest contributors over the fiscal year. Over the course of the fiscal year until the position was liquidated on September 3, 2014, Gentiva Sciences, Inc increased 56.1 percent. Another strong performer among the healthcare sector was Charles River Laboratories International Inc (CRL) (Holding Percentage*: 1.1 percent). Charles River Laboratories increased 28.6 percent over the most recent fiscal year.
A high level of merger and acquisition activity helped drive the technology sector to be a positive contributor to the Fund over the most recent fiscal year. Digital River Inc. (DRIV) (Holding Percentage*: 1.3 percent), a provider of electronic commerce outsourcing solutions to software publishers and online retailers, climbed 43.3 percent over the most recent fiscal year. Digital River Inc. was offered a buyout at a 50 percent premium on October 25, 2014. Omnivision Technologies Inc. (OVTI) (Holding Percentage**: 1.4 percent), a provider of integrated single chip semiconductor imaging devices, also contributed to the Fund performance by increasing 50.0 percent while it was held in the Fund. Omnivision Technologies Inc. was offered a buyout at a 30 percent premium on September 12 and was sold on October 1.
Going forward, the Sub-Adviser plans to continue its sector and industry neutral bottom-up stock picking strategy without regard to outside economic factors, interest rate changes or any other top-down methodology. The Sub-Adviser will continue to analyze its multi-factor model, only making adjustments when it is deemed that a particular metric is no longer working properly or it is found that a new fundamental or technical indicator may be useful.
* | Holdings percentage(s) as of 10/31/2014. |
** | Holdings percentage(s) as of the date prior to the sale of the security. |
Growth of $10,000 Investment – (Unaudited)
Total Returns as of October 31, 2014
Annualized Since | ||||||||
Annualized | Annualized | Inception | ||||||
One Year | Three Years | Five Years | (12/10/04) | |||||
Class N | 10.22% | 15.78% | 15.60% | 5.70% | ||||
Class C | 9.22% | 14.64% | 14.45% | 4.66% | ||||
Class A with load of 5.75% | 3.69% | 13.32% | 13.99% | 3.99%* | ||||
Class A without load | 10.02% | 15.56% | 15.34% | 4.77%* | ||||
Russell 2000 Value Index | 7.89% | 17.94% | 16.15% | 7.04% | ||||
Morningstar Small Cap Value Category | 7.48% | 17.42% | 16.19% | 7.47% |
* | Class A commenced operations on January 3, 2007. |
The Russell 2000 Value Index is an unmanaged index that measures the performance of small cap companies in the Russell 3000 Index with lower price-to-book ratios and lower forecasted growth rates.
The Morningstar Small Cap Value Category is generally representative of mutual funds that primarily invest in small (small capitalization) U.S. companies that are less expensive or growing more slowly than other small-cap stocks. Investors cannot invest directly in an index or benchmark.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.30% for Class N, 1.55% for Class C and 2.30% 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.
73 |
SCHEDULE OF INVESTMENTS |
Dunham Small Cap Value Fund |
October 31, 2014 |
Security | Shares | Value | ||||||
COMMON STOCK - 94.6% | ||||||||
AEROSPACE / DEFENSE - 2.8% | ||||||||
Curtiss-Wright Corp. | 7,700 | $ | 532,917 | |||||
Ducommun, Inc. * | 10,840 | 286,284 | ||||||
819,201 | ||||||||
AIRLINES - 0.5% | ||||||||
SkyWest, Inc. | 11,994 | 138,171 | ||||||
APPAREL - 0.7% | ||||||||
Unifi, Inc. * | 7,850 | 219,564 | ||||||
AUTO PARTS & EQUIPMENT - 2.3% | ||||||||
Douglas Dynamics, Inc. | 9,770 | 202,532 | ||||||
Standard Motor Products, Inc. | 11,780 | 465,546 | ||||||
668,078 | ||||||||
BANKS - 14.4% | ||||||||
Associated Banc-Corp. | 16,000 | 300,800 | ||||||
BancorpSouth, Inc. | 14,120 | 325,184 | ||||||
Banner Corp. | 7,870 | 340,141 | ||||||
Columbia Banking System, Inc. | 11,760 | 326,693 | ||||||
First Financial Bancorp | 13,805 | 242,140 | ||||||
First Interstate BancSystem, Inc. | 10,770 | 315,992 | ||||||
First Merchants Corp. | 6,850 | 155,153 | ||||||
First Midwest Bancorp, Inc. | 19,107 | 320,807 | ||||||
1st Source Corp. | 3,689 | 115,429 | ||||||
FirstMerit Corp. | 17,560 | 322,226 | ||||||
Old National Bancorp | 22,690 | 330,140 | ||||||
Sandy Spring Bancorp, Inc. | 2,343 | 60,449 | ||||||
State Bank Financial Corp. | 7,400 | 132,608 | ||||||
TCF Financial Corp. | 17,710 | 273,620 | ||||||
Tompkins Financial Corp. | 3,040 | 152,608 | ||||||
Trustmark Corp. | 10,400 | 253,032 | ||||||
Wintrust Financial Corp. | 6,173 | 285,933 | ||||||
4,252,955 | ||||||||
BIOTECHNOLOGY - 1.1% | ||||||||
Charles River Laboratories International, Inc. * | 5,000 | 315,800 | ||||||
CHEMICALS - 2.5% | ||||||||
Cabot Corp. | 5,410 | 251,186 | ||||||
OM Group, Inc. | 11,815 | 307,544 | ||||||
Stepan Co. | 4,100 | 181,548 | ||||||
740,278 | ||||||||
COMMERCIAL SERVICES - 4.8% | ||||||||
Hill International, Inc. * | 30,976 | 120,187 | ||||||
Huron Consulting Group, Inc. * | 4,330 | 301,411 | ||||||
Korn/Ferry International * | 8,440 | 235,729 | ||||||
Matthews International Corp. | 6,120 | 282,010 | ||||||
Quad/Graphics, Inc. | 11,500 | 253,575 | ||||||
SP Plus Corp. * | 10,216 | 222,913 | ||||||
1,415,825 |
Security | Shares | Value | ||||||
COMPUTERS - 1.8% | ||||||||
DST Systems, Inc. | 3,070 | $ | 295,794 | |||||
Insight Enterprises, Inc. * | 10,440 | 237,510 | ||||||
533,304 | ||||||||
DIVERSIFIED FINANCIAL SERVICES - 1.5% | ||||||||
FBR & Co. * | 5,400 | 130,356 | ||||||
Piper Jaffray Cos * | 5,470 | 308,836 | ||||||
439,192 | ||||||||
ELECTRIC - 1.0% | ||||||||
PNM Resources, Inc. | 10,190 | 293,981 | ||||||
ELECTRONICS - 2.5% | ||||||||
Checkpoint Systems, Inc. * | 10,500 | 139,230 | ||||||
Sanmina Corp. * | 11,130 | 279,029 | ||||||
Watts Water Technologies, Inc. | 5,490 | 332,859 | ||||||
751,118 | ||||||||
ENGINEERING & CONSTRUCTION - 0.9% | ||||||||
AECOM Technology Corp. * | 7,850 | 255,517 | ||||||
ENTERTAINMENT - 1.3% | ||||||||
Marriott Vacations Worldwide Corp. | 5,720 | 397,197 | ||||||
FOOD - 1.9% | ||||||||
Cal-Maine Foods, Inc. | 4,390 | 385,398 | ||||||
Ingles Markets, Inc. | 6,158 | 165,650 | ||||||
551,048 | ||||||||
FOREST PRODUCTS & PAPER - 0.6% | ||||||||
Neenah Paper, Inc. | 3,060 | 186,691 | ||||||
GAS - 2.9% | ||||||||
Laclede Group, Inc. | 6,010 | 305,128 | ||||||
Northwest Natural Gas Co. | 6,200 | 290,966 | ||||||
Piedmont Natural Gas Co,. Inc. | 7,010 | 266,450 | ||||||
862,544 | ||||||||
HEALTHCARE - PRODUCTS - 2.8% | ||||||||
Alere, Inc. * | 8,200 | 327,754 | ||||||
Greatbatch, Inc. * | 10,120 | 507,923 | ||||||
835,677 | ||||||||
HOME FURNISHINGS - 1.2% | ||||||||
Universal Electronics, Inc. * | 6,317 | 359,374 | ||||||
INSURANCE - 5.2% | ||||||||
American Equity Investment Life Holding Co. | 12,917 | 333,388 | ||||||
First American Financial Corp. | 9,520 | 288,646 | ||||||
Hanover Insurance Group, Inc. | 4,950 | 331,353 | ||||||
Aspen Insurance Holdings Ltd. | 6,600 | 287,958 | ||||||
Endurance Specialty Holdings Ltd. | 4,950 | 286,852 | ||||||
1,528,197 |
See accompanying notes to financial statements.
74 |
SCHEDULE OF INVESTMENTS |
Dunham Small Cap Value Fund (Continued) |
October 31, 2014 |
Security | Shares | Value | ||||||
INVESTMENT COMPANIES - 0.8% | ||||||||
Solar Capital Ltd. | 12,620 | $ | 234,606 | |||||
MINING - 1.4% | ||||||||
Coeur Mining, Inc. * | 17,020 | 62,974 | ||||||
Materion Corp. | 8,920 | 351,894 | ||||||
414,868 | ||||||||
MISCELLANEOUS MANUFACTURING - 0.8% | ||||||||
Standex International Corp. | 2,838 | 244,777 | ||||||
OIL & GAS - 3.2% | ||||||||
PBF Energy, Inc. | 9,360 | 244,015 | ||||||
Parker Drilling Co. * | 42,950 | 190,698 | ||||||
Swift Energy Co. * | 23,000 | 157,550 | ||||||
Unit Corp. * | 4,500 | 217,890 | ||||||
Warren Resources, Inc. * | 36,819 | 127,394 | ||||||
937,547 | ||||||||
OIL & GAS SERVICES - 1.0% | ||||||||
Exterran Holdings, Inc. | 7,100 | 279,243 | ||||||
PHARMACEUTICALS - 1.0% | ||||||||
Owens & Minor, Inc. | 8,760 | 291,883 | ||||||
REAL ESTATE - 1.0% | ||||||||
Forestar Group, Inc. * | 17,370 | 303,106 | ||||||
REITS - 14.2% | ||||||||
Chesapeake Lodging Trust | 10,670 | 352,537 | ||||||
CoreSite Realty Corp. | 8,529 | 315,744 | ||||||
Cousins Properties, Inc. | 24,720 | 321,607 | ||||||
First Industrial Realty Trust, Inc. | 14,640 | 285,919 | ||||||
Government Properties Income Trust | 10,830 | 247,141 | ||||||
Gramercy Property Trust, Inc. | 51,120 | 319,500 | ||||||
LaSalle Hotel Properties | 8,420 | 330,148 | ||||||
Lexington Realty Trust | 27,240 | 298,550 | ||||||
PS Business Parks, Inc. | 3,087 | 259,987 | ||||||
Pennsylvania Real Estate Investment Trust | 14,700 | 315,021 | ||||||
RLJ Lodging Trust | 10,130 | 326,389 | ||||||
Ryman Hospitality Properties, Inc. | 5,970 | 294,619 | ||||||
Select Income REIT | 8,398 | 205,835 | ||||||
Sunstone Hotel Investors, Inc. | 20,610 | 315,539 | ||||||
4,188,536 | ||||||||
RETAIL - 5.0% | ||||||||
Ascena Retail Group, Inc. * | 24,310 | 302,660 | ||||||
Big Lots, Inc. | 6,330 | 288,965 | ||||||
Brown Shoe Co, Inc. | 13,109 | 348,568 | ||||||
DineEquity, Inc. | 3,000 | 266,880 | ||||||
Sonic Automotive, Inc. | 10,761 | 267,841 | ||||||
1,474,914 | ||||||||
SAVINGS & LOANS - 2.0% | ||||||||
WSFS Financial Corp. | 3,630 | 285,500 | ||||||
Washington Federal, Inc. | 14,460 | 315,662 | ||||||
601,162 |
Security | Shares | Value | ||||||
SEMICONDUCTORS - 3.3% | ||||||||
Amkor Technology, Inc. * | 30,360 | $ | 205,841 | |||||
Emulex Corp. * | 56,510 | 319,847 | ||||||
IXYS Corp. | 12,842 | 149,866 | ||||||
Tessera Technologies, Inc. | 10,010 | 304,204 | ||||||
979,758 | ||||||||
SOFTWARE - 1.7% | ||||||||
Actuate Corp. * | 26,000 | 111,540 | ||||||
Digital River, Inc. * | 15,160 | 387,641 | ||||||
499,181 | ||||||||
TELECOMMUNICATIONS - 2.6% | ||||||||
Atlantic Tele-Network, Inc. | 4,540 | 305,043 | ||||||
Polycom, Inc. * | 22,780 | 297,962 | ||||||
Spok Holdings, Inc. | 10,330 | 167,759 | ||||||
770,764 | ||||||||
TEXTILES - 1.0% | ||||||||
UniFirst Corp. | 2,760 | 307,906 | ||||||
TRANSPORTATION - 1.9% | ||||||||
Con-way, Inc. | 5,720 | 248,076 | ||||||
Werner Enterprises, Inc. | 11,320 | 311,753 | ||||||
559,829 | ||||||||
WATER - 1.0% | ||||||||
American States Water Co | 7,960 | 284,809 | ||||||
TOTAL COMMON STOCK - (Cost - $26,059,427) | 27,936,601 | |||||||
EXCHANGE TRADED FUNDS - 3.6% | ||||||||
EQUITY FUND | ||||||||
iShares Russell 2000 Value ETF | 10,800 | 1,080,864 | ||||||
(Cost - $1,031,377) | ||||||||
SHORT-TERM INVESTMENT - 1.7% | ||||||||
MONEY MARKET FUND | ||||||||
Invesco STIT-Treasury Portfolio - 0.02% + | 505,644 | 505,644 | ||||||
(Cost - $505,644) | ||||||||
TOTAL INVESTMENTS - 99.9% (Cost - $27,592,626) | $ | 29,523,109 | ||||||
OTHER ASSETS LESS LIABILITIES - 0.1% | 22,022 | |||||||
NET ASSETS - 100.0% | $ | 29,545,131 |
REIT - Real Estate Investment Trust
ETF - Exchange Traded Fund
+ | Variable rate security - interest rate is as October 31, 2014. |
* | Non Income producing security. |
See accompanying notes to financial statements.
75 |
SCHEDULE OF INVESTMENTS |
Dunham Small Cap Value Fund (Continued) |
October 31, 2014 |
Portfolio Composition * - (Unaudited) | ||||||||||
Financial | 39.15 | % | Basic Materials | 4.53 | % | |||||
Consumer, Cyclical | 12.08 | % | Energy | 4.10 | % | |||||
Consumer, Non-Cyclical | 11.49 | % | Mutual Fund | 3.65 | % | |||||
Industrial | 8.91 | % | Communications | 2.60 | % | |||||
Technology | 6.77 | % | Short-Term Investment | 1.83 | % | |||||
Utilities | 4.89 | % | Total | 100.00 | % |
* | Based on total value of investments as of October 31, 2014. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
76 |
Dunham Emerging Markets Stock Fund
Message from the Sub-Adviser (Bailard, Inc.)
The MSCI Emerging Markets Index gained 0.6 percent in the 12-month period ending October 31, 2014, outpacing developed markets, as measured by the MSCI EAFE Index, which declined 0.6 percent over the same time period. After mediocre results the previous fiscal year, fiscal year 2014 began with emerging markets losing 9.2 percent by the end of the first fiscal quarter. However, the next two fiscal quarters saw a rebound, with returns of 6.8 percent and 8.3 percent for the fiscal second and third quarters, respectively. As the fourth fiscal quarter came to a close, emerging markets were, once again, in the negative, down 4.2 percent for the fiscal quarter. As the year played out on a global scale, economic woes were felt throughout Europe, Japan, and China. In the U.S., however, economic recovery and signs of growth piqued the interest of investors, who chose the risk profile of U.S. markets over much of the rest of the world. The MSCI Emerging Markets Index was dwarfed by its U.S. counterpart, as measured by the S&P 500, which gained 17.3 percent in the fiscal year ended October 31, 2014.
The Sub-Adviser continues to focus on individual countries and bottom-up stock selection within those countries, with overweights or underweights to economic sectors being largely incidental. This year, the Sub-Adviser added another factor to its model that is based on investor sentiment. Hundreds of news stories about specific companies are collected on a monthly basis and scored based on how positive or negative the articles are using computer-based textual analysis. The results are somewhat similar to momentum but have a relatively low correlation to other factors, according to the Sub-Adviser. For the year, country selection added to Fund returns but stock selection benefitted the Fund even more.
Exposure to Vietnam enhanced performance on a relative and absolute basis. The benchmark index had no exposure to this country while the Fund held a 1.4 percent position for the fiscal year. The Fund held the Market Vectors Vietnam ETF (VNM) (holdings percentage*: 3.67 percent), whose objective is to replicate as closely as possible the price and yield performance of the Market Vectors Vietnam Index, returned 16.2 percent for the 12 month period ended October 31, 2014. The Sub-Adviser commented that Vietnam is a frontier market that is experiencing better efficiency in the capital markets and could not be ignored despite the fact that the index does not currently have any holdings in this country.
Although the Sub-Adviser held a severe underweight to Russia in the first half of the fiscal year, overall, the Fund was overweight Russia over the entire fiscal year, which detracted from Fund returns. The Fund held the Market Vectors Russia EFT (RSX) (holdings percentage*: 2.02 percent), which measures a broad index of Russian companies, lost 22.79 percent for the fiscal year. Russian stocks had been under intense pressure due to the situation in the Ukraine during the first half of the year. The Sub-Adviser increased the exposure to Russia under the belief that the country had been oversold. In addition to the unrest in the Ukraine, pressures from sanctions and falling oil prices weighed on the performance on Russian stocks.
The overweight to India, 8.83 percent versus the benchmark index weight of 6.57 percent, benefitted the Fund over the fiscal year. This, coupled with stock selection, was one of the highest contributors to Fund performance for the fiscal year ended October 31, 2014. Infosys Limited (INFY) (holdings percentage*: 3.68 percent), a provider of information technology consulting and software services, gained 22.9 percent, and Tata Motors Limited (TTM) (holdings percentage*: 2.70 percent), a manufacturer or cars and commercial automotive vehicles, was up 20.2 percent. These were two holdings that had the largest impact on overall Fund performance for the fiscal year.
The overweight to Egypt enhanced performance on both a relative and absolute basis as Egyptian stocks held by the Fund outperformed those in the benchmark as well as the overall index by a wide margin. The Sub-Adviser overweighted the country by nearly 4.9 percent, which amplified the effect of the outperformance. Commercial International Bank SAE GDR (CBKD.LI) (holdings percentage*: 4.28 percent), which engages in corporate, retail, and investment banking, gained 81.4 percent in the fiscal year ended October 31, 2014.
Going forward, the Sub-Adviser believes some convergence has yet to occur between developed and emerging markets and anticipates that quantitative easing in Europe to spur inflation may help emerging markets more than developed markets. Continued economic strength in the United States may also benefit emerging market countries, although continued strength in the U.S. dollar could present headwinds. The Sub-Adviser believes that emerging market stocks overall still look undervalued with many attractive opportunities. Particularly, the Sub-Adviser believes opportunities exist in India, Pakistan, and Egypt in the near future.
* | Holdings percentage(s) as of 10/31/2014. |
Growth of $10,000 Investment - (Unaudited)
Total Returns as of October 31, 2014
Annualized | Annualized | Annualized Since Inception | ||||||
One Year | Three Years | Five Years | (12/10/04) | |||||
Class N | 0.68% | 3.20% | 2.35% | 7.17% | ||||
Class C | (0.43)% | 2.17% | 1.31% | 6.12% | ||||
Class A with load of 5.75% | (5.44)% | 0.94% | 0.90% | (0.11)%* | ||||
Class A without load | 0.35% | 3.96% | 2.10% | 0.65%* | ||||
MSCI Emerging Markets Index (net) | 0.64% | 3.24% | 4.64% | 9.98% | ||||
Morningstar Diversified Emerging Markets Category | 1.40% | 4.10% | 4.66% | 8.81% |
* | Class A commenced operations on January 3, 2007. |
The MSCI Emerging Markets Index (net) is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. Investors cannot invest directly in an index or benchmark.
The Morningstar Diversified Emerging Markets Category is generally representative of mutual funds that primarily invest among 20 or more developing nations, with a general focus on the emerging markets of Asia and Latin America rather than on the emerging markets countries in the Middle East, Africa, or Europe.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 2.01% for Class N, 3.01% for Class C and 2.26% 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.
77 |
SCHEDULE OF INVESTMENTS |
Dunham Emerging Markets Stock Fund |
October 31, 2014 |
Security | Shares | Value | ||||||
COMMON STOCK - 87.2% | ||||||||
AUTO MANUFACTURERS - 2.7% | ||||||||
Tata Motors Ltd. - ADR | 25,000 | $ | 1,177,500 | |||||
BANKS - 20.9% | ||||||||
Banco Macro SA - ADR | 10,000 | 422,400 | ||||||
Bank Negara Indonesia Persero Tbk PT | 1,000,000 | 492,865 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 800,000 | 733,117 | ||||||
China Construction Bank Corp. | 700,000 | 522,280 | ||||||
Commercial International Bank Egypt SAE - GDR | 275,000 | 1,865,825 | ||||||
FirstRand Ltd. | 200,000 | 856,064 | ||||||
Grupo Financiero Galicia SA - ADR | 15,000 | 220,500 | ||||||
ICICI Bank Ltd. - ADR | 30,000 | 1,690,800 | ||||||
Industrial & Commercial Bank of China Ltd. | 800,000 | 531,178 | ||||||
Kasikornbank PCL - NVDR | 60,000 | 434,246 | ||||||
Krung Thai Bank PCL -NVDR | 800,000 | 571,784 | ||||||
Sberbank of Russia OAO - ADR | 13,000 | 97,630 | ||||||
Sberbank of Russia - ADR | 37,000 | 280,830 | ||||||
United Bank Ltd. | 187,700 | 359,061 | ||||||
9,078,580 | ||||||||
BUILDING MATERIALS - 2.9% | ||||||||
China Resources Cement Holdings Ltd. | 400,000 | 272,005 | ||||||
Lucky Cement Ltd. | 100,000 | 404,025 | ||||||
Semen Indonesia Persero Tbk PT | 200,000 | 262,711 | ||||||
Taiwan Cement Corp. | 200,000 | 305,571 | ||||||
1,244,312 | ||||||||
CHEMICALS - 1.5% | ||||||||
Engro Corp Ltd. | 250,000 | 406,802 | ||||||
PTT Global Chemical PCL - NVDR | 120,000 | 227,534 | ||||||
634,336 | ||||||||
COAL - 0.5% | ||||||||
Adaro Energy Tbk PT | 2,400,000 | 225,691 | ||||||
COMMERCIAL SERVICES - 2.9% | ||||||||
Cielo SA | 15,000 | 249,194 | ||||||
Kroton Educational SA | 80,000 | 576,818 | ||||||
Zhejiang Expressway Co., Ltd. | 450,000 | 453,773 | ||||||
1,279,785 | ||||||||
COMPUTERS - 6.7% | ||||||||
Infosys Ltd. - ADR | 24,000 | 1,604,640 | ||||||
Inventec Corp. | 600,000 | 416,975 | ||||||
Lenovo Group Ltd. | 600,000 | 884,420 | ||||||
2,906,035 | ||||||||
DISTRIBUTION / WHOLESALE - 2.2% | ||||||||
Hanwha Corp. | 14,000 | 358,683 | ||||||
SK Networks Co., Ltd. * | 60,000 | 615,496 | ||||||
974,179 |
Security | Shares | Value | ||||||
DIVERSIFIED FINANCIAL SERVICES - 2.4% | ||||||||
CTBC Financial Holding Co., Ltd. | 865,649 | $ | 606,316 | |||||
Mirae Asset Securities Co., Ltd. | 10,000 | 429,535 | ||||||
1,035,851 | ||||||||
ELECTRIC - 2.1% | ||||||||
Cia Energetica de Minas Gerais - ADR | 35,000 | 202,300 | ||||||
Huaneng Power International, Inc. | 350,000 | 430,313 | ||||||
Korea Electric Power Corp. | 6,000 | 263,353 | ||||||
895,966 | ||||||||
ELECTRONICS - 2.5% | ||||||||
Hon Hai Precision Industry Co., Ltd. | 224,000 | 708,087 | ||||||
Pegatron Corp. | 200,000 | 364,050 | ||||||
1,072,137 | ||||||||
ENGINEERING & CONSTRUCTION - 1.4% | ||||||||
Airports of Thailand PCL - NVDR | 40,000 | 296,914 | ||||||
TAV Havalimanlari Holding AS | 40,000 | 335,963 | ||||||
632,877 | ||||||||
ENVIRONMENTAL CONTROL - 1.4% | ||||||||
Coway Co., Ltd. | 8,000 | 611,522 | ||||||
FOOD - 2.1% | ||||||||
Indofood Sukses Makmur Tbk PT | 900,000 | 508,353 | ||||||
Magnit PJSC - GDR | 6,000 | 402,656 | ||||||
911,009 | ||||||||
FOREST PRODUCTS & PAPER - 0.4% | ||||||||
Mondi Ltd. | 10,000 | 167,344 | ||||||
GAS - 0.7% | ||||||||
Perusahaan Gas Negara Persero Tbk PT | 600,000 | 295,554 | ||||||
HEALTHCARE - SERVICES- 0.7% | ||||||||
Netcare Ltd. | 100,000 | 302,326 | ||||||
HOLDING COMPANIES - DIVERSIFIED - 0.4% | ||||||||
Barloworld Ltd | 20,000 | 173,628 | ||||||
INSURANCE - 1.6% | ||||||||
PICC Property & Casualty Co., Ltd. | 250,000 | 458,618 | ||||||
Porto Seguro SA | 20,000 | 242,518 | ||||||
701,136 | ||||||||
INTERNET - 1.2% | ||||||||
MercadoLibre, Inc. | 4,000 | 544,600 | ||||||
IRON / STEEL- 1.0% | ||||||||
Eregli Demir ve Celik Fabrikalari TAS | 200,000 | 417,346 |
See accompanying notes to financial statements.
78 |
SCHEDULE OF INVESTMENTS |
Dunham Emerging Markets Stock Fund (Continued) |
October 31, 2014 |
Security | Shares | Value | ||||||
MINING - 1.3% | ||||||||
MMC Norilsk Nickel OJSC - ADR | 12,000 | $ | 224,280 | |||||
Sesa Sterlite Ltd. - ADR | 20,000 | 336,800 | ||||||
561,080 | ||||||||
OIL & GAS - 9.0% | ||||||||
Gazprom OAO - ADR | 90,000 | 593,820 | ||||||
Lukoil OAO - ADR | 20,000 | 982,000 | ||||||
Pakistan Petroleum Ltd. | 200,000 | 397,685 | ||||||
PTT PCL - NVDR | 60,000 | 678,325 | ||||||
Reliance Industries Ltd. - GDR | 15,000 | 484,834 | ||||||
Sasol Ltd. | 5,000 | 249,501 | ||||||
YPF SA - ADR | 15,000 | 527,550 | ||||||
3,913,715 | ||||||||
OIL & GAS SERVICES - 1.2% | ||||||||
China Oilfield Services Ltd. | 250,000 | 522,521 | ||||||
PHARMACEUTICALS - 2.7% | ||||||||
Dr Reddy’s Laboratories Ltd. - ADR | 15,000 | 784,350 | ||||||
Sihuan Pharmaceutical Holdings Group Ltd. | 500,000 | 399,258 | ||||||
1,183,608 | ||||||||
REAL ESTATE - 1.2% | ||||||||
Pakuwon Jati Tbk PT | 8,000,000 | 297,918 | ||||||
Shimao Property Holdings Ltd. | 100,000 | 215,228 | ||||||
513,146 | ||||||||
RETAIL - 0.5% | ||||||||
GOME Electrical Appliances Holding Ltd. | 1,400,000 | 220,568 | ||||||
SEMICONDUCTORS - 4.4% | ||||||||
Advanced Semiconductor Engineering, Inc. - ADR | 70,000 | 431,900 | ||||||
Siliconware Precision Industries Co., Ltd - ADR | 50,000 | 356,500 | ||||||
SK Hynx, Inc. * | 25,000 | 1,114,763 | ||||||
1,903,163 | ||||||||
TELECOMMUNICATIONS - 8.8% | ||||||||
China Mobile Ltd. | 60,000 | 746,566 | ||||||
Global Telecom Holding - GDR * | 200,000 | 600,600 | ||||||
Mobile Telesystems OJSC - ADR | 20,000 | 286,000 | ||||||
Samart Corp. PLC - NVDR | 400,000 | 405,289 | ||||||
SK Telecom Co., Ltd. | 1,000 | 250,578 |
Security | Shares | Value | ||||||
TELECOMMUNICATIONS - 8.8% (continued) | ||||||||
Telecom Argentina SA - ADR | 12,000 | $ | 276,840 | |||||
Telekomunikasi Indonesia Persero Tbk PT | 3,500,000 | 797,116 | ||||||
Turkcell lletisim Hizmetleri AS * | 40,000 | 232,808 | ||||||
Vodacom Group Ltd. | 20,000 | 242,655 | ||||||
3,838,452 | ||||||||
TOTAL COMMON STOCK (Cost - $34,465,192) | 37,937,967 | |||||||
PREFERRED STOCK - 3.5% | ||||||||
FOOD - 2.0% | ||||||||
Cia Brasileira de Distribucao | 20,000 | 848,406 | ||||||
HOLDING COMPANIES - DIVERSIFIED - 1.5% | ||||||||
Itausa - Investimentos Itau SA | 165,000 | 666,252 | ||||||
TOTAL PREFERRED STOCK (Cost - $1,387,787) | 1,514,658 | |||||||
EXCHANGE TRADED FUNDS - 7.1% | ||||||||
EQUITY FUNDS - 7.1% | ||||||||
iShares MSCI Thailand Capped ETF | 7,500 | 623,400 | ||||||
Market Vectors Russia ETF | 40,000 | 879,200 | ||||||
Market Vectors Vietnam ETF | 75,000 | 1,602,750 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $3,305,978) | 3,105,350 | |||||||
SHORT-TERM INVESTMENT - 2.5% | ||||||||
MONEY MARKET FUND - 2.5% | ||||||||
First American Government Obligations Fund - 0.01% + | ||||||||
(Cost - $1,060,672) | 1,060,672 | 1,060,672 | ||||||
TOTAL INVESTMENTS - 100.3% (Cost - $40,219,630) | $ | 43,618,647 | ||||||
LIABILITIES LESS OTHER ASSETS - (0.3)% | (117,095 | ) | ||||||
NET ASSETS - 100.0% | $ | 43,501,552 |
* | Non-income producing security. |
+ | Variable rate security. Interest rate is as of October 31, 2014. |
ADR - American Depositary Receipt.
GDR - Global Depositary Receipt.
NVDR - Non-Voting Depositary Receipt
Portfolio Composition * - (Unaudited) | ||||||||||
India | 13.94 | % | Taiwan | 7.31 | % | |||||
China | 10.14 | % | Russia | 6.57 | % | |||||
United States | 9.55 | % | Brazil | 6.39 | % | |||||
South Korea | 8.35 | % | Thailand | 5.99 | % | |||||
Indonesia | 8.28 | % | Other Countries | 23.48 | % | |||||
Total | 100.00 | % |
* | Based on total value of investments as of October 31, 2014. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
79 |
Dunham Small Cap Growth Fund
Message from the Sub-Adviser (Pier Capital, LLC)
Following a banner year for small capitalization growth stocks, fiscal year 2014 saw increased volatility and tamer returns, as small capitalization growth stocks, measured by the Russell 2000 Growth Index, gained 8.3 percent for the fiscal year ending October 31, 2014. Growth stocks in the small capitalization space lagged their larger capitalization peers, as measured by the Russell 1000 Growth Index, by 8.8 percent for the fiscal year as investors grew cautious of small capitalization growth stocks and opted for their larger brethren as the preferred risk option. Small capitalization growth stocks outpaced small capitalization value stocks, as measured by the Russell 2000 Value Index, by 0.4 percent, which also had a volatile year. Small capitalization growth stocks, in general, lagged the market as a whole, as measured by the Russell 3000 Index, by 7.8 percent for the year ending October 31, 2014.
During the fiscal year, there were no material changes to the Sub-Adviser’s investment decision making process. The Sub-Adviser continued to implement a bottom-up process to selecting stocks for the Fund, focusing on individual firm characteristics rather than sector weightings or the economy as a whole. It seeks companies on the verge of experiencing large increases in market share. By seeking out and identifying market catalysts, the Sub-Adviser believes that the securities it selects for the Fund are tailored towards organic growth due to some kind of market advantage. The Sub-Adviser feels global growth concerns are on the mend in developed markets but, in general, do not impact the Fund, as the holdings are generally U.S.-driven and its confidence in continued growth, albeit at a modest pace, is high.
The sectors which provided a strong benefit to the Fund during the fiscal year were healthcare and industrials. Small cap growth healthcare stocks in the Fund were primarily helped by Intercept Pharmaceuticals, Inc. (ICPT) (holdings percentage**: 0.50 percent), which manufactures and markets biopharmaceutical products, with a focus on the development and commercialization of therapeutics to treat chronic liver diseases utilizing proprietary bile acid chemistry. The company gained as much as 321 percent in early January after stopping the trial of obeticholic acid early when data showed its experimental treatment was effective in treating fatty liver disease. The stock gained 253.1 percent during the fiscal year before the Sub-Adviser exited all positions on October 13. From the Industrials Sector, Spirit Airlines Inc. (SAVE) (holdings percentage*: 0.90 percent), a low-fare airline based in Miramar, Florida, providing travel opportunities principally to and from South Florida, the Caribbean, and Latin America. The stock gained 69.4 percent for the fiscal year, helped in part by falling oil prices.
Speaking of falling oil prices, one of the highest underperforming sectors was energy. Willbros Group, Inc. (WG) (holdings percentage**: 0.46 percent), an independent contractor providing construction, engineering, and specialty services to the oil and gas industry, for private industry, and for government entities worldwide. The stock fell 53.6 percent during the fiscal year on productivity issues and its inability to execute its growth strategy. The Sub-Adviser completely exited the holding on October 22. Another sector that detracted from the Fund was information technology. A10 Networks, Inc. (ATEN) (holdings percentage**: 0.40 percent), a provider of computer networking products and security solutions. The stock lost 71.9 percent in the fiscal year due to business issues in certain markets outside of the U.S., namely Japan, before the Sub-Adviser sold all holdings in the stock on October 8.
The Sub-Adviser believes that stocks are still fairly attractive based on valuations and that corporations are sitting on a lot of cash that could be put to use at some point in the near future. In addition, the Sub-Adviser does not see any significant headwinds to growth on the immediate horizon. Furthermore, as the U.S. economy continues on its modest growth trajectory, the Sub-Adviser is optimistic that there may be a move from bonds to stocks as interest rates potentially increase. This could create an environment in which stocks show strength.
* | Holdings percentage(s) as of 10/31/2014. |
** | Holdings percentage(s) as of the date prior to the sale of the security. |
Growth of $10,000 Investment - (Unaudited)
Total Returns as of October 31, 2014
Annualized | Annualized | Annualized Since Inception | ||||||
One Year | Three Years | Five Years | (12/10/04) | |||||
Class N | 3.59% | 15.64% | 15.66% | 8.14% | ||||
Class C | 2.56% | 14.50% | 14.51% | 7.08% | ||||
Class A with load of 5.75% | (2.64)% | 13.10% | 14.00% | 6.97%* | ||||
Class A without load | 3.30% | 15.35% | 15.36% | 7.79%* | ||||
Russell 2000 Growth Index | 8.26% | 18.42% | 18.61% | 8.63% | ||||
Morningstar Small Cap Growth Category | 5.98% | 16.42% | 16.81% | 7.33% |
* | Class A commenced operations on January 3, 2007. |
The Russell 2000 Growth Index measures the performance of those 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 1.36% for Class N, 2.36% for Class C and 1.61% 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.
80 |
SCHEDULE OF INVESTMENTS |
Dunham Small Cap Growth Fund |
October 31, 2014 |
Security | Shares | Value | ||||||
COMMON STOCK - 96.0% | ||||||||
ADVERTISING - 2.0% | ||||||||
Alliance Data Systems Corp. * | 958 | $ | 271,449 | |||||
MDC Partners, Inc. - Class A | 16,300 | 337,410 | ||||||
608,859 | ||||||||
AIRLINES - 1.9% | ||||||||
Allegiant Travel Co. | 2,395 | 319,661 | ||||||
Spirit Airlines, Inc. * | 3,696 | 270,214 | ||||||
589,875 | ||||||||
APPAREL - 2.3% | ||||||||
Carter’s, Inc. | 3,370 | 263,298 | ||||||
Sequential Brands Group, Inc. * | 11,082 | 138,968 | ||||||
Skechers U.S.A., Inc. - Class A * | 5,711 | 312,677 | ||||||
714,943 | ||||||||
AUTO PARTS & EQUIPMENT - 1.1% | ||||||||
Motorcar Parts of America, Inc. * | 11,806 | 342,846 | ||||||
BANKS - 4.6% | ||||||||
Bank of the Ozarks | 9,317 | 328,331 | ||||||
BankUnited, Inc. | 8,684 | 259,652 | ||||||
Customers Bancorp, Inc. * | 15,973 | 305,084 | ||||||
Signature Bank * | 1,982 | 240,080 | ||||||
ViewPoint Financial Group | 10,728 | 292,553 | ||||||
1,425,700 | ||||||||
BEVERAGES - 1.0% | ||||||||
Keurig Green Mountain, Inc. | 2,028 | 307,749 | ||||||
BIOTECHNOLOGY - 1.7% | ||||||||
Exact Sciences Corp. * | 5,313 | 127,884 | ||||||
Synageva BioPharma Corp. * | 1,675 | 126,864 | ||||||
Vertex Pharmaceuticals, Inc. * | 2,474 | 278,671 | ||||||
533,419 | ||||||||
BUILDING MATERIALS - 4.1% | ||||||||
Apogee Enterprises, Inc. | 8,294 | 364,107 | ||||||
Caesarstone Sdot-Yam Ltd. | 6,794 | 379,513 | ||||||
NCI Building Systems, Inc. * | 15,632 | 310,608 | ||||||
PGT, Inc. * | 19,329 | 181,789 | ||||||
1,236,017 | ||||||||
COMMERICAL SERVICES - 7.2% | ||||||||
Aaron’s, Inc. | 8,639 | 213,902 | ||||||
Nord Anglia Education, Inc. * | 16,702 | 285,270 | ||||||
PAREXEL International Corp. * | 5,083 | 276,058 | ||||||
Team Health Holdings, Inc. * | 4,328 | 270,673 | ||||||
TriNet Group, Inc. * | 18,597 | 556,422 | ||||||
WEX, Inc. * | 2,418 | 274,588 | ||||||
WuXi Pharma Tech Cayman - ADR * | 8,886 | 335,002 | ||||||
2,211,915 | ||||||||
COMPUTERS - 2.8% | ||||||||
EPAM Systems * | 5,944 | 283,767 | ||||||
iGate Corp. * | 7,958 | 294,844 | ||||||
Manhattan Associates, Inc. * | 7,159 | 287,147 | ||||||
865,758 | ||||||||
DIVERSIFIED FINANCIAL SERVICES - 1.5% | ||||||||
Portfolio Recovery Associates, Inc. * | 5,171 | 327,066 | ||||||
Pzena Investment Management Inc. - Class A | 14,109 | 141,795 | ||||||
468,861 |
Security | Shares | Value | ||||||
ENGINEERING & CONSTRUCTION - 1.1% | ||||||||
Tutor Perini Corp. * | 11,721 | $ | 328,305 | |||||
ENTERTAINMENT - 0.9% | ||||||||
AMC Entertainment Holdings, Inc. | 10,503 | 266,776 | ||||||
ENVIRONMENTAL CONTROL - 0.8% | ||||||||
US Ecology, Inc. | 5,220 | 262,462 | ||||||
FOOD - 1.0% | ||||||||
United Natural Foods, Inc. * | 4,637 | 315409 | ||||||
HEALTHCARE-PRODUCTS - 10.9% | ||||||||
Abaxis, Inc. | 5,443 | 286,628 | ||||||
Cepheid, Inc. * | 10,675 | 565,882 | ||||||
Cooper Cos, Inc. | 1,415 | 231,918 | ||||||
DexCom, Inc. * | 8,515 | 382,749 | ||||||
Inogen, Inc. * | 6,552 | 154,693 | ||||||
Insulet Corp. * | 3,278 | 141,511 | ||||||
K2M Group Holdings, Inc. * | 19,459 | 313,290 | ||||||
LDR Holding Corp. * | 4,612 | 158,837 | ||||||
Nanostring Technologies, Inc. * | 10,537 | 112,219 | ||||||
Spectranetics Corp. * | 11,508 | 365,609 | ||||||
STERIS Corp. | 4,312 | 266,482 | ||||||
Zeltiq Aesthetics, Inc. * | 14,889 | 381,754 | ||||||
3,361,572 | ||||||||
HEALTHCARE-SERVICES - 5.0% | ||||||||
Acadia Healthcare Co., Inc. * | 4,550 | 282,328 | ||||||
Centene Corp. * | 2,862 | 265,222 | ||||||
HCA Holdings, Inc. * | 3,478 | 243,634 | ||||||
LifePoint Hospitals, Inc. * | 4,063 | 284,410 | ||||||
Surgical Care Affiliates, Inc. * | 14,839 | 455,260 | ||||||
1,530,854 | ||||||||
INSURANCE - 0.4% | ||||||||
Federated National Holding Co. | 3,740 | 125,140 | ||||||
INTERNET - 6.0% | ||||||||
ComScore, Inc. * | 7,701 | 324,520 | ||||||
GrubHub, Inc. * | 7,491 | 272,373 | ||||||
Marketo, Inc. * | 10,331 | 333,381 | ||||||
TrueCar, Inc. * | 10,698 | 179,726 | ||||||
TubeMogul, Inc. * | 9,320 | 144,833 | ||||||
Zendesk, Inc. * | 11,355 | 295,230 | ||||||
Zulily, Inc. * | 8,024 | 291,913 | ||||||
1,841,976 | ||||||||
LEISURE TIME - 0.5% | ||||||||
Malibu Boats, Inc. * | 8,480 | 158,237 | ||||||
MISCELLANEOUS MANUFACTURING - 2.0% | ||||||||
CLARCOR, Inc. | 4,596 | 307,748 | ||||||
Proto Labs, Inc. * | 4,510 | 294,819 | ||||||
602,567 | ||||||||
OIL & GAS - 3.0% | ||||||||
Diamondback Energy, Inc. * | 3,475 | 237,829 | ||||||
Oasis Petroleum, Inc. * | 5,256 | 157,470 |
See accompanying notes to financial statements.
81 |
SCHEDULE OF INVESTMENTS |
Dunham Small Cap Growth Fund (Continued) |
October 31, 2014 |
Security | Shares | Value | ||||||
OIL & GAS (Continued) - 3.0% | ||||||||
PDC Energy, Inc. * | 5,784 | $ | 252,876 | |||||
RSP Permian, Inc. * | 10,808 | 264,472 | ||||||
912,647 | ||||||||
PHARMACEUTICALS - 2.3% | ||||||||
Cempra, Inc. * | 21,772 | 296,099 | ||||||
Pacira Pharmaceuticals, Inc. * | 1,422 | 131,990 | ||||||
Quintiles Transnational * | 4,869 | 285,031 | ||||||
713,120 | ||||||||
PIPELINES - 1.0% | ||||||||
Primoris Services Corp. | 11,050 | 317,356 | ||||||
REAL ESTATE - 1.1% | ||||||||
Marcus & Millichap, Inc. * | 10,691 | 332,062 | ||||||
RETAIL - 7.7% | ||||||||
Buffalo Wild Wings, Inc. * | 2,160 | 322,445 | ||||||
Burlington Stores, Inc. * | 6,786 | 284,605 | ||||||
Chuy’s Holdings, Inc. * | 8,581 | 256,658 | ||||||
Five Below, Inc. * | 7,503 | 299,145 | ||||||
Jack in the Box, Inc. | 4,153 | 295,029 | ||||||
Mattress Firm Holding Corp. * | 2,074 | 131,056 | ||||||
Papa John’s Intl., Inc. | 5,804 | 271,395 | ||||||
Red Robin Gourmet Burgers, Inc. * | 4,309 | 236,866 | ||||||
Restoration Hardware Holding * | 3,366 | 270,357 | ||||||
2,367,556 | ||||||||
SEMICONDUCTORS - 6.4% | ||||||||
Ambarella, Inc. * | 6,692 | 296,389 | ||||||
Avago Technologies Ltd. | 4,123 | 355,609 | ||||||
Cavium, Inc. * | 6,639 | 340,647 | ||||||
IPG Photonics Corp. * | 4,442 | 326,087 | ||||||
Mellanox Technologies Ltd. * | 3,016 | 135,087 | ||||||
NXP Semiconductor NV * | 3,765 | 258,505 | ||||||
Silicon Motion Technology Corp. - ADR | 10,237 | 242,719 | ||||||
1,955,043 | ||||||||
SOFTWARE - 10.9% | ||||||||
Benefitfocus, Inc. * | 13,525 | 374,778 | ||||||
Cornerstone OnDemand, Inc. * | 7,763 | 281,564 |
Security | Shares | Value | ||||||
SOFTWARE (Continued) - 10.9% | ||||||||
Cvent, Inc. * | 17,410 | $ | 451,615 | |||||
Medidata Solutions, Inc. * | 6,415 | 289,381 | ||||||
Paycom Software, Inc. * | 7,868 | 139,657 | ||||||
Pegasystems, Inc. | 12,530 | 271,525 | ||||||
Proofpoint, Inc. * | 7,974 | 351,175 | ||||||
Qlik Technologies, Inc. * | 10,719 | 303,884 | ||||||
SolarWinds, Inc. * | 6,652 | 316,303 | ||||||
Tyler Technologies, Inc. * | 2,450 | 274,204 | ||||||
Verint Systems, Inc. * | 5,171 | 297,281 | ||||||
3,351,367 | ||||||||
TELECOMMUNICATIONS - 0.9% | ||||||||
Fortinet, Inc. * | 10,850 | 282,642 | ||||||
TRANSPORTATION - 3.9% | ||||||||
Old Dominion Freight Line, Inc. * | 4,671 | 340,376 | ||||||
Roadrunner Transportation Systems, Inc. * | 10,803 | 222,650 | ||||||
Saia, Inc. * | 7,048 | 345,493 | ||||||
Swift Transportation Co. * | 11,427 | 282,248 | ||||||
1,190,767 | ||||||||
TOTAL COMMON STOCK | 29,521,800 | |||||||
(Cost - $26,377,954) | ||||||||
SHORT-TERM INVESTMENT - 1.7% | ||||||||
MONEY MARKET FUND - 1.7% | ||||||||
Fidelity Institutional Money Market Funds - | ||||||||
Government Portfolio, 0.01% + | 528,758 | 528,758 | ||||||
TOTAL SHORT-TERM INVESTMENT (Cost - $528,758) | ||||||||
TOTAL INVESTMENTS - 97.7% (Cost - $26,906,712) | $ | 30,050,558 | ||||||
OTHER ASSETS LESS LIABILITIES - 2.3% | 709,686 | |||||||
NET ASSETS - 100.0% | $ | 30,760,244 |
ADR - American Depositary Receipt.
* | Non-Income producing security. |
+ | Variable rate security. Interest rate is as of October 31, 2014. |
Portfolio Composition * - (Unaudited) | ||||||||||
Consumer, Non-Cyclical | 29.9 | % | Communications | 9.1 | % | |||||
Technology | 20.5 | % | Financial | 7.8 | % | |||||
Consumer, Cyclical | 14.8 | % | Energy | 4.1 | % | |||||
Industrial | 12.0 | % | Short-Term Investment | 1.8 | % | |||||
Total | 100.0 | % |
* | Based on total value of investments as of October 31, 2014. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
82 |
STATEMENTS OF ASSETS AND LIABILITIES |
October 31, 2014 |
Dunham | Dunham | Dunham | ||||||||||||||||||||||||||||||
Corporate / | Monthly | Dunham | Dunham | International | Dunham | Dunham | Dunham | |||||||||||||||||||||||||
Government | Distribution | Floating Rate | High-Yield | Opportunity | Dynamic Macro | Alternative | Appreciation & | |||||||||||||||||||||||||
Bond Fund | Fund | Bond Fund | Bond Fund | Bond Fund | Fund | Strategy Fund | Income Fund | |||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments in securities, at cost | $ | 50,087,829 | $ | 289,509,097 | $ | 83,291,830 | $ | 133,100,213 | $ | 48,049,048 | $ | 14,907,958 | $ | 17,675,686 | $ | 25,930,462 | ||||||||||||||||
Investments in securities, at value | $ | 50,753,992 | $ | 285,554,934 | $ | 82,249,765 | $ | 134,218,506 | $ | 46,595,769 | $ | 15,039,512 | $ | 18,328,328 | $ | 26,995,080 | ||||||||||||||||
Foreign currency, at value (Cost $541,235 and $215,097, respectively) | — | 538,722 | — | — | 206,494 | — | — | — | ||||||||||||||||||||||||
Deposits with brokers | — | 30,926,103 | — | — | 387,836 | 4,456 | — | — | ||||||||||||||||||||||||
Unrealized appreciation on swap contracts | — | 3,048,136 | — | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized appreciation on futures | — | — | — | — | 21,674 | 166,921 | — | — | ||||||||||||||||||||||||
Cash | — | 23,150,000 | — | — | — | — | — | — | ||||||||||||||||||||||||
Receivable for securities sold | 672,731 | 8,337,659 | 1,475,619 | 281,269 | 275,645 | — | 3,953,688 | 363,938 | ||||||||||||||||||||||||
Receivable for swaps closed | — | 27,557 | — | — | — | — | — | |||||||||||||||||||||||||
Interest and dividends receivable | 473,619 | 723,051 | 396,146 | 2,258,977 | 593,588 | 3,219 | 1,425 | 91,370 | ||||||||||||||||||||||||
Receivable for fund shares sold | 841 | 204,284 | 31,248 | 23,635 | 920 | 29,046 | 30,090 | 32,902 | ||||||||||||||||||||||||
Receivable for open forward foreign currency contracts | — | 655,654 | — | — | 204,700 | — | — | — | ||||||||||||||||||||||||
Prepaid expenses and other assets | 21,663 | 47,617 | 36,589 | 23,326 | 32,357 | 37,541 | 20,077 | 19,110 | ||||||||||||||||||||||||
Total Assets | 51,922,846 | 353,213,717 | 84,189,367 | 136,805,713 | 48,318,983 | 15,280,695 | 22,333,608 | 27,502,400 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Option contracts written (premiums received $6,382,121) | — | 5,033,911 | — | — | — | — | — | — | ||||||||||||||||||||||||
Securities sold short (proceeds $49,240,522) | — | 53,633,526 | — | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized depreciation on swaps | — | 4,385,807 | — | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized depreciation on futures | — | — | — | — | 54,965 | 39,363 | — | — | ||||||||||||||||||||||||
Payable for dividends on short sales | — | 138,455 | — | — | — | — | — | — | ||||||||||||||||||||||||
Payable for securities purchased | 546,837 | 4,928,745 | 3,728,546 | 454,302 | — | — | 3,872,766 | 317,981 | ||||||||||||||||||||||||
Payable for fund shares redeemed | 44,420 | 153,725 | 199,565 | 71,496 | 65,779 | 255 | 204 | 486 | ||||||||||||||||||||||||
Payable for open forward foreign currency contracts | — | 13,745 | — | 305,677 | — | — | — | |||||||||||||||||||||||||
Distributions payable | 837 | 105,501 | 1,925 | 42,636 | 70 | — | — | — | ||||||||||||||||||||||||
Payable to adviser | 21,786 | 164,285 | 40,748 | 69,249 | 25,388 | 6,255 | 9,590 | 13,984 | ||||||||||||||||||||||||
Payable to sub-adviser | 11,142 | 238,222 | 13,583 | 21,714 | 7,608 | 10,696 | 3,097 | 8,423 | ||||||||||||||||||||||||
Payable for distribution fees | 3,654 | 57,092 | 2,048 | 23,282 | 177 | 1,687 | 1,243 | 8,475 | ||||||||||||||||||||||||
Payable for administration fees | 163 | 14,695 | 7,304 | 8,753 | 1,479 | 528 | 2,308 | |||||||||||||||||||||||||
Payable for fund accounting fees | — | 7,431 | 1,933 | 3,662 | 1,471 | 300 | 75 | 770 | ||||||||||||||||||||||||
Payable for transfer agent fees | 1,260 | 2,208 | 1,208 | 1,358 | 100 | 725 | 777 | 1,208 | ||||||||||||||||||||||||
Payable for custody fees | 2,443 | 9,200 | 1,100 | 1,500 | 11,686 | 917 | 980 | 1,140 | ||||||||||||||||||||||||
Accrued expenses and other liabilities | 28,476 | 39,053 | 19,584 | 21,182 | 13,376 | 20,927 | 23,384 | 16,420 | ||||||||||||||||||||||||
Total Liabilities | 661,018 | 68,925,601 | 4,017,544 | 719,134 | 487,776 | 81,653 | 3,912,116 | 371,195 | ||||||||||||||||||||||||
Net Assets | $ | 51,261,828 | $ | 284,288,116 | $ | 80,171,823 | $ | 136,086,579 | $ | 47,831,207 | $ | 15,199,042 | $ | 18,421,492 | $ | 27,131,205 | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Paid in capital | $ | 51,047,955 | $ | 295,279,485 | $ | 81,262,121 | $ | 138,354,074 | $ | 49,376,579 | $ | 15,332,903 | $ | 19,347,346 | $ | 21,476,827 | ||||||||||||||||
Accumulated net investment income (loss) | 13,411 | 1,364,137 | 20,255 | 17,754 | 93,827 | — | (259,611 | ) | 259,459 | |||||||||||||||||||||||
Accumulated net realized gain (loss) on investments, options, securities sold short, futures, swap contracts, and foreign currency transactions | (465,701 | ) | (4,658,284 | ) | (68,488 | ) | (3,403,542 | ) | — | (392,973 | ) | (1,318,885 | ) | 4,330,301 | ||||||||||||||||||
Net unrealized appreciation (depreciation) on investments, options, securities sold short, futures, swap contracts, and foreign currency translations | 666,163 | (7,697,222 | ) | (1,042,065 | ) | 1,118,293 | (1,639,199 | ) | 259,112 | 652,642 | 1,064,618 | |||||||||||||||||||||
Net Assets | $ | 51,261,828 | $ | 284,288,116 | $ | 80,171,823 | $ | 136,086,579 | $ | 47,831,207 | $ | 15,199,042 | $ | 18,421,492 | $ | 27,131,205 | ||||||||||||||||
Net Asset Value Per Share | ||||||||||||||||||||||||||||||||
Class N Shares: | ||||||||||||||||||||||||||||||||
Net Assets | $ | 43,887,722 | $ | 156,963,837 | $ | 63,119,900 | $ | 102,412,138 | $ | 42,439,595 | $ | 11,758,385 | $ | 15,355,247 | $ | 18,575,943 | ||||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 3,102,835 | 4,112,863 | 6,396,778 | 10,766,474 | 4,401,312 | 1,218,508 | 628,093 | 1,708,067 | ||||||||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 14.14 | $ | 38.16 | $ | 9.87 | $ | 9.51 | $ | 9.64 | $ | 9.65 | $ | 24.45 | $ | 10.88 | ||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||||||||||
Net Assets | $ | 3,683,609 | $ | 79,131,732 | $ | 13,663,993 | $ | 22,021,974 | $ | 3,512,916 | $ | 1,728,957 | $ | 2,008,045 | $ | 4,508,927 | ||||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 260,711 | 2,109,090 | 1,385,012 | 2,297,645 | 364,395 | 178,652 | 83,435 | 415,759 | ||||||||||||||||||||||||
Net asset value and redemption price per share * | $ | 14.13 | $ | 37.52 | $ | 9.87 | $ | 9.58 | $ | 9.64 | $ | 9.68 | $ | 24.07 | $ | 10.85 | ||||||||||||||||
Front-end sales charge factor | 0.9550 | 0.9425 | 0.9425 | 0.9550 | 0.9425 | 0.9425 | 0.9425 | 0.9425 | ||||||||||||||||||||||||
Offering price per share (Net asset value per share / front-end sales charge factor) | $ | 14.80 | $ | 39.81 | $ | 10.47 | $ | 10.03 | $ | 10.23 | $ | 10.27 | $ | 25.54 | $ | 11.51 | ||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||||||||||
Net Assets | $ | 3,690,497 | $ | 48,192,547 | $ | 3,387,930 | $ | 11,652,467 | $ | 1,878,696 | $ | 1,711,700 | $ | 1,058,200 | $ | 4,046,335 | ||||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 262,755 | 1,505,617 | 343,572 | 1,232,363 | 195,262 | 179,753 | 46,042 | 379,574 | ||||||||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 14.05 | $ | 32.01 | $ | 9.86 | $ | 9.46 | $ | 9.62 | $ | 9.52 | $ | 22.98 | $ | 10.66 |
* | 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.
83 |
STATEMENTS OF ASSETS AND LIABILITIES (Continued) |
October 31, 2014 |
Dunham | Dunham | |||||||||||||||||||||||||||||||
Dunham | Dunham | Focused | Dunham | Dunham | Dunham | Emerging | Dunham | |||||||||||||||||||||||||
Large Cap | Alternative | Large Cap | Real Estate | International | Small Cap | Markets | Small Cap | |||||||||||||||||||||||||
Value Fund | Income Fund | Growth Fund | Stock Fund | Stock Fund | Value Fund | Stock Fund | Growth Fund | |||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments in securities, at cost | $ | 34,598,543 | $ | 7,420,760 | $ | 53,594,106 | $ | 35,858,698 | $ | 68,042,475 | $ | 27,592,626 | $ | 40,219,630 | $ | 26,906,712 | ||||||||||||||||
Investments in securities, at value | $ | 55,126,479 | $ | 7,833,919 | $ | 61,478,265 | $ | 45,334,864 | $ | 71,510,119 | $ | 29,523,109 | $ | 43,618,647 | $ | 30,050,558 | ||||||||||||||||
Foreign currency, at value (Cost $298,677 & $91, respectively) | — | — | — | — | 295,408 | — | 90 | — | ||||||||||||||||||||||||
Receivable for securities sold | — | 107,258 | — | 308,427 | 218,606 | — | — | 1,815,807 | ||||||||||||||||||||||||
Interest and dividends receivable | 53,712 | 25,977 | 3,152 | 21,194 | 175,738 | 21,363 | 61,714 | 2,196 | ||||||||||||||||||||||||
Receivable for fund shares sold | 105,883 | 2,595 | 90,460 | 81,344 | 152,364 | 36,195 | 76,527 | 19,311 | ||||||||||||||||||||||||
Receivable for open forward foreign currency contracts | — | — | — | — | 798,709 | — | — | — | ||||||||||||||||||||||||
Prepaid expenses and other assets | 19,135 | 6,732 | 21,442 | 28,312 | 22,512 | 22,966 | 20,921 | 20,547 | ||||||||||||||||||||||||
Total Assets | 55,305,209 | 7,976,481 | 61,593,319 | 45,774,141 | 73,173,456 | 29,603,633 | 43,777,899 | 31,908,419 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Payable for securities purchased | — | 55,540 | — | 473,265 | 606,259 | — | 205,109 | 1,083,424 | ||||||||||||||||||||||||
Payable for fund shares redeemed | 1,218 | — | 100,494 | 2,805 | 27,185 | 887 | 786 | 19,567 | ||||||||||||||||||||||||
Payable for open forward foreign currency contracts | — | — | — | — | 633,291 | — | — | — | ||||||||||||||||||||||||
Payable to adviser | 29,019 | 4,144 | 31,793 | 24,162 | 38,089 | 15,074 | 22,679 | 14,161 | ||||||||||||||||||||||||
Payable to sub-adviser | 463 | 1,020 | 12,242 | 26,400 | 54,122 | 18,039 | 17,770 | 59 | ||||||||||||||||||||||||
Payable for distribution fees | 6,636 | 3,191 | 7,637 | 3,745 | 9,024 | 3,388 | 6,001 | 9,465 | ||||||||||||||||||||||||
Payable for administration fees | 422 | 592 | 2,830 | 2,245 | 1,151 | 440 | 502 | 1,236 | ||||||||||||||||||||||||
Payable for fund accounting fees | 279 | — | 1,506 | 1,193 | 418 | 277 | 284 | 679 | ||||||||||||||||||||||||
Payable for transfer agent fees | 404 | 1,200 | 1,833 | 1,208 | — | 396 | 501 | 1,208 | ||||||||||||||||||||||||
Payable for custody fees | 1,039 | 1,437 | 1,750 | 1,201 | 2,762 | 971 | 5,099 | 3,250 | ||||||||||||||||||||||||
Accrued expenses and other liabilities | 24,351 | 23,025 | 17,347 | 16,268 | 20,365 | 19,030 | 17,616 | 15,126 | ||||||||||||||||||||||||
Total Liabilities | 63,831 | 90,149 | 177,432 | 552,492 | 1,392,666 | 58,502 | 276,347 | 1,148,175 | ||||||||||||||||||||||||
Net Assets | $ | 55,241,378 | $ | 7,886,332 | $ | 61,415,887 | $ | 45,221,649 | $ | 71,780,790 | $ | 29,545,131 | $ | 43,501,552 | $ | 30,760,244 | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Paid in capital | $ | 36,201,265 | $ | 7,289,932 | $ | 54,698,725 | $ | 33,773,967 | $ | 67,073,821 | $ | 25,750,717 | $ | 43,541,338 | $ | 25,135,418 | ||||||||||||||||
Undistributed net investment income (loss) | 242,115 | 89,941 | (390,591 | ) | 139,020 | 874,937 | 37,382 | 535,400 | — | |||||||||||||||||||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | (1,729,938 | ) | 93,300 | (776,406 | ) | 1,832,496 | 226,344 | 1,826,549 | (3,973,993 | ) | 2,480,980 | |||||||||||||||||||||
Net unrealized appreciation on investments and foreign currency translations | 20,527,936 | 413,159 | 7,884,159 | 9,476,166 | 3,605,688 | 1,930,483 | 3,398,807 | 3,143,846 | ||||||||||||||||||||||||
Net Assets | $ | 55,241,378 | $ | 7,886,332 | $ | 61,415,887 | $ | 45,221,649 | $ | 71,780,790 | $ | 29,545,131 | $ | 43,501,552 | $ | 30,760,244 | ||||||||||||||||
Net Asset Value Per Share | ||||||||||||||||||||||||||||||||
Class N Shares: | ||||||||||||||||||||||||||||||||
Net Assets | $ | 41,916,843 | $ | 2,961,186 | $ | 37,105,570 | $ | 37,142,980 | $ | 57,358,856 | $ | 23,783,135 | $ | 35,871,795 | $ | 21,152,542 | ||||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 2,585,667 | 255,626 | 2,472,189 | 1,927,210 | 3,771,890 | 1,539,028 | 2,431,231 | 1,194,447 | ||||||||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 16.21 | $ | 11.58 | $ | 15.01 | $ | 19.27 | $ | 15.21 | $ | 15.45 | $ | 14.75 | $ | 17.71 | ||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||||||||||
Net Assets | $ | 7,685,431 | $ | 2,768,383 | $ | 19,949,207 | $ | 3,912,639 | $ | 7,870,838 | $ | 3,268,070 | $ | 4,036,476 | $ | 6,442,854 | ||||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 475,542 | 239,219 | 1,338,404 | 202,402 | 519,072 | 212,757 | 279,498 | 372,152 | ||||||||||||||||||||||||
Net asset value, and redemption price per share * | $ | 16.16 | $ | 11.57 | $ | 14.91 | $ | 19.33 | $ | 15.16 | $ | 15.36 | $ | 14.44 | $ | 17.31 | ||||||||||||||||
Front-end sales charge factor | 0.9425 | 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) | $ | 17.15 | $ | 12.28 | $ | 15.82 | $ | 20.51 | $ | 16.08 | $ | 16.30 | $ | 15.32 | $ | 18.37 | ||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||||||||||
Net Assets | $ | 5,639,104 | $ | 2,156,763 | $ | 4,361,110 | $ | 4,166,030 | $ | 6,551,096 | $ | 2,493,926 | $ | 3,593,281 | $ | 3,164,848 | ||||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 359,686 | 187,060 | 298,902 | 223,329 | 446,401 | 174,186 | 261,130 | 204,062 | ||||||||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 15.68 | $ | 11.53 | $ | 14.59 | $ | 18.65 | $ | 14.68 | $ | 14.32 | $ | 13.76 | $ | 15.51 |
* | 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.
84 |
STATEMENTS OF OPERATIONS | ||
For the Year Ended October 31, 2014 |
Dunham | Dunham | Dunham | ||||||||||||||||||||||||||||||
Corporate / | Monthly | Dunham | Dunham | International | Dunham | Dunham | Dunham | |||||||||||||||||||||||||
Government | Distribution | Floating Rate | High-Yield | Opportunity | Dynamic Macro | Alternative | Appreciation & | |||||||||||||||||||||||||
Bond Fund | Fund | Bond Fund | Bond Fund | Bond Fund | Fund | Strategy Fund | Income Fund | |||||||||||||||||||||||||
Investment Income: | ||||||||||||||||||||||||||||||||
Interest income | $ | 2,248,726 | $ | 1,723,500 | $ | 2,666,080 | $ | 8,355,303 | $ | 823,272 | $ | 32 | $ | 203,885 | $ | 318,523 | ||||||||||||||||
Dividend income | 61,498 | 6,105,508 | 27,677 | 9,191 | — | 377,158 | 979 | 321,285 | ||||||||||||||||||||||||
Less: Foreign withholding taxes | — | (23,936 | ) | — | (38 | ) | (28,985 | ) | (2,768 | ) | — | (1,513 | ) | |||||||||||||||||||
Total Investment Income | 2,310,224 | 7,805,072 | 2,693,757 | 8,364,456 | 794,287 | 374,422 | 204,864 | 638,295 | ||||||||||||||||||||||||
Operating Expenses: | ||||||||||||||||||||||||||||||||
Investment advisory fees | 284,622 | 1,720,711 | 385,030 | 864,240 | 233,726 | 61,887 | 142,220 | 164,751 | ||||||||||||||||||||||||
Sub-advisory fees | 170,773 | 2,440,869 | 257,125 | 576,160 | 175,295 | 50,598 | 142,220 | 148,782 | ||||||||||||||||||||||||
Sub-advisory performance fees | 79,174 | 718,139 | (128,782 | ) | (226,560 | ) | (97,446 | ) | (37,734 | ) | (12,804 | ) | (80,889 | ) | ||||||||||||||||||
Fund accounting fees | 19,492 | 83,899 | 20,323 | 47,673 | 12,651 | 3,468 | 6,364 | 8,199 | ||||||||||||||||||||||||
Distribution fees- Class C Shares | 36,634 | 425,740 | 22,618 | 96,763 | 12,846 | 15,413 | 11,501 | 39,782 | ||||||||||||||||||||||||
Distribution fees- Class A Shares | 9,064 | 181,202 | 21,760 | 51,184 | 6,202 | 3,875 | 12,902 | 11,186 | ||||||||||||||||||||||||
Administration fees | 82,103 | 148,823 | 109,138 | 116,983 | 33,428 | 6,585 | 11,690 | 25,632 | ||||||||||||||||||||||||
Registration fees | 41,923 | 52,118 | 52,637 | 46,812 | 46,511 | 37,203 | 41,556 | 43,499 | ||||||||||||||||||||||||
Transfer agent fees | 20,356 | 46,747 | 18,105 | 24,487 | 14,873 | 12,784 | 14,659 | 12,980 | ||||||||||||||||||||||||
Custodian fees | 16,565 | 193,623 | 13,021 | 11,503 | 50,274 | 5,841 | 9,911 | 5,930 | ||||||||||||||||||||||||
Professional fees | 18,414 | 39,319 | 53,122 | 24,826 | 27,392 | 22,089 | 11,222 | 18,519 | ||||||||||||||||||||||||
Chief Compliance Officer fees | 9,286 | 44,701 | 9,458 | 20,928 | 3,846 | 269 | 1,987 | 3,208 | ||||||||||||||||||||||||
Printing and postage expense | 23,201 | 91,398 | 18,940 | 28,801 | 18,523 | 9,553 | 10,051 | 7,663 | ||||||||||||||||||||||||
Trustees’ fees | 3,385 | 18,235 | 4,284 | 7,168 | 10,122 | 806 | — | 1,264 | ||||||||||||||||||||||||
Insurance expense | 3,115 | 13,100 | 1,656 | 3,967 | 1,017 | 280 | — | 719 | ||||||||||||||||||||||||
Non 12b-1 shareholder servicing fees | 1,257 | 52,945 | 219 | 9,261 | 475 | 3,683 | — | 2,271 | ||||||||||||||||||||||||
Dividend expenses on short sales | — | 990,840 | — | — | — | — | — | — | ||||||||||||||||||||||||
Security borrowing fees | — | 467,636 | — | — | — | — | — | — | ||||||||||||||||||||||||
Miscellaneous expenses | 4,157 | 17,997 | 7,442 | 9,582 | 6,756 | 3,846 | 5,726 | 3,124 | ||||||||||||||||||||||||
Total Operating Expenses | 823,521 | 7,748,042 | 866,096 | 1,713,778 | 556,491 | 200,446 | 409,205 | 416,620 | ||||||||||||||||||||||||
Less: Advisory/Sub-advisory fees waived | — | (455,433 | ) | — | — | — | — | — | ||||||||||||||||||||||||
Net Operating Expenses | 823,521 | 7,292,609 | 866,096 | 1,713,778 | 556,491 | 200,446 | 409,205 | 416,620 | ||||||||||||||||||||||||
Net Investment Income (Loss) | 1,486,703 | 512,463 | 1,827,661 | 6,650,678 | 237,796 | 173,976 | (204,341 | ) | 221,675 | |||||||||||||||||||||||
Realized and Unrealized Gain (Loss) on Investments, Options Purchased, Securities Sold Short, Futures, Written Options, Foreign Currency Transactions and Swap Contracts: | ||||||||||||||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||||||||||||||
Investments | (332,208 | ) | 23,821,708 | (53,987 | ) | 1,765,927 | 160,028 | 129,740 | 332,590 | 4,607,521 | ||||||||||||||||||||||
Futures | — | — | — | — | (148,051 | ) | 35,649 | — | — | |||||||||||||||||||||||
Options purchased | — | (7,667,178 | ) | — | — | — | 35,691 | — | — | |||||||||||||||||||||||
Securities sold short | — | (7,229,045 | ) | — | — | — | — | — | — | |||||||||||||||||||||||
Written options | — | 3,698,386 | — | — | — | — | �� | — | — | |||||||||||||||||||||||
Swap Contracts | 10,063,884 | — | — | — | — | — | — | |||||||||||||||||||||||||
Foreign currency transactions | — | — | — | — | (249,680 | ) | (110 | ) | — | — | ||||||||||||||||||||||
Foreign exchange contracts | — | 331,700 | — | — | 77,401 | (284 | ) | — | — | |||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||
Investments | 749,743 | (12,962,455 | ) | (1,042,065 | ) | (3,217,654 | ) | (1,453,279 | ) | (127,592 | ) | 488,948 | (2,610,842 | ) | ||||||||||||||||||
Futures | — | — | — | — | (33,291 | ) | 127,558 | — | — | |||||||||||||||||||||||
Options purchased | — | (390,110 | ) | — | — | — | (46,541 | ) | — | — | ||||||||||||||||||||||
Securities sold short | — | (107,971 | ) | — | — | — | — | — | — | |||||||||||||||||||||||
Written options | — | 4,051,544 | — | — | — | — | — | — | ||||||||||||||||||||||||
Swap contracts | — | (6,566,959 | ) | — | — | — | — | — | — | |||||||||||||||||||||||
Foreign currency translations | — | — | — | — | (51,652 | ) | 25 | — | — | |||||||||||||||||||||||
Foreign currency exchange contracts | — | 1,174,415 | — | — | (100,977 | ) | — | — | — | |||||||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | 417,535 | 8,217,919 | (1,096,052 | ) | (1,451,727 | ) | (1,799,501 | ) | 154,136 | 821,538 | 1,996,679 | |||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 1,904,238 | $ | 8,730,382 | $ | 731,609 | $ | 5,198,951 | $ | (1,561,705 | ) | $ | 328,112 | $ | 617,197 | $ | 2,218,354 |
See accompanying notes to financial statements.
85 |
STATEMENTS OF OPERATIONS (Continued) |
For the Year Ended October 31, 2014 |
Dunham | Dunham | |||||||||||||||||||||||||||||||
Dunham | Dunham | Focused | Dunham | Dunham | Dunham | Emerging | Dunham | |||||||||||||||||||||||||
Large Cap | Alternative | Large Cap | Real Estate | International | Small Cap | Markets | Small Cap | |||||||||||||||||||||||||
Value Fund | Income Fund | Growth Fund | Stock Fund | Stock Fund | Value Fund | Stock Fund | Growth Fund | |||||||||||||||||||||||||
Investment Income: | ||||||||||||||||||||||||||||||||
Interest income | $ | 960 | $ | 89 | $ | 92 | $ | 61 | $ | 2,820 | $ | 69 | $ | 60 | $ | 131 | ||||||||||||||||
Dividend income | 1,060,720 | 265,275 | 135,082 | 1,045,011 | 2,353,402 | 436,974 | 1,133,446 | 57,668 | ||||||||||||||||||||||||
Less: Foreign withholding taxes | — | (3,598 | ) | (461 | ) | — | (296,688 | ) | (83 | ) | (146,967 | ) | (1,735 | ) | ||||||||||||||||||
Total Investment Income | 1,061,680 | 261,766 | 134,713 | 1,045,072 | 2,059,534 | 436,960 | 986,539 | 56,064 | ||||||||||||||||||||||||
Operating Expenses: | ||||||||||||||||||||||||||||||||
Investment advisory fees | 333,303 | 38,993 | 252,601 | 288,779 | 438,050 | 166,085 | 234,695 | 161,539 | ||||||||||||||||||||||||
Sub-advisory fees | 220,493 | 23,996 | 135,286 | 177,711 | 438,050 | 114,983 | 184,616 | 124,261 | ||||||||||||||||||||||||
Sub-advisory performance fees | (68,400 | ) | (6,489 | ) | (11,976 | ) | 81,923 | 200,448 | (33,705 | ) | (123,731 | ) | 39,563 | |||||||||||||||||||
Fund accounting fees | 16,930 | 1,947 | 12,179 | 14,401 | 21,855 | 8,497 | 11,729 | 7,980 | ||||||||||||||||||||||||
Distribution fees- Class C Shares | 53,569 | 17,103 | 27,578 | 31,715 | 61,203 | 22,318 | 31,171 | 27,533 | ||||||||||||||||||||||||
Distribution fees- Class A Shares | 14,421 | 6,288 | 40,308 | 8,116 | 21,894 | 6,883 | 8,249 | 17,055 | ||||||||||||||||||||||||
Administration fees | 30,583 | 4,545 | 23,034 | 26,853 | 65,282 | 16,738 | 27,800 | 15,581 | ||||||||||||||||||||||||
Registration fees | 42,375 | 6,678 | 26,712 | 46,283 | 40,826 | 37,905 | 41,287 | 39,346 | ||||||||||||||||||||||||
Transfer agent fees | 17,087 | 13,540 | 16,685 | 17,206 | 18,014 | 13,969 | 15,077 | 15,495 | ||||||||||||||||||||||||
Custodian fees | 5,776 | 4,893 | 13,273 | 10,200 | 92,908 | 7,543 | 42,802 | 21,161 | ||||||||||||||||||||||||
Professional fees | 17,406 | 18,086 | 20,148 | 18,142 | 16,686 | 17,580 | 17,505 | 16,408 | ||||||||||||||||||||||||
Chief Compliance Officer fees | 4,946 | 1,310 | 5,371 | 6,005 | 6,606 | 2,605 | 2,400 | 3,303 | ||||||||||||||||||||||||
Printing and postage expense | 12,501 | — | 11,732 | 9,577 | 20,001 | 10,561 | 15,911 | 7,319 | ||||||||||||||||||||||||
Trustees’ fees | 2,725 | 270 | 1,836 | 1,766 | 4,134 | 1,044 | 1,580 | 1,297 | ||||||||||||||||||||||||
Insurance expense | 2,026 | 112 | 361 | 966 | 2,460 | 688 | 702 | 674 | ||||||||||||||||||||||||
Non 12b-1 shareholder servicing fees | 829 | 2,349 | 1,131 | 1,433 | 1,686 | 792 | 1,900 | 1,698 | ||||||||||||||||||||||||
Miscellaneous expenses | 5,022 | 1,080 | 2,517 | 4,343 | 8,042 | 2,768 | 2,111 | 2,912 | ||||||||||||||||||||||||
Net Operating Expenses | 711,592 | 134,701 | 578,776 | 745,419 | 1,458,145 | 397,254 | 515,804 | 503,125 | ||||||||||||||||||||||||
Net Investment Income (Loss) | 350,088 | 127,065 | (444,063 | ) | 299,653 | 601,389 | 39,706 | 470,735 | (447,061 | ) | ||||||||||||||||||||||
Realized and Unrealized Gain (Loss) on Investments and Foreign Currency: | ||||||||||||||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||||||||||||||
Investments | 2,770,154 | 143,100 | (686,421 | ) | 2,612,926 | 5,891,658 | 1,843,545 | 264,486 | 3,012,814 | |||||||||||||||||||||||
Foreign currency transactions | — | (38 | ) | — | — | (147,738 | ) | — | 11,726 | — | ||||||||||||||||||||||
Foreign currency exchange contracts | — | (212 | ) | — | — | 544,307 | — | (23,751 | ) | — | ||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||
Investments | 2,840,219 | 75,183 | 4,363,169 | 5,655,443 | (6,188,235 | ) | 659,185 | 235,090 | (1,082,990 | ) | ||||||||||||||||||||||
Foreign currency translations | — | — | — | — | (15,422 | ) | — | 4,655 | — | |||||||||||||||||||||||
Foreign currency exchange contracts | — | — | — | — | 258,517 | — | — | — | ||||||||||||||||||||||||
Net Realized and Unrealized Gain | 5,610,373 | 218,033 | 3,676,748 | 8,268,369 | 343,087 | 2,502,730 | 492,206 | 1,929,824 | ||||||||||||||||||||||||
Net Increase in Net Assets Resulting From Operations | $ | 5,960,461 | $ | 345,098 | $ | 3,232,685 | $ | 8,568,022 | $ | 944,476 | $ | 2,542,436 | $ | 962,941 | $ | 1,482,763 |
See accompanying notes to financial statements.
86 |
STATEMENTS OF CHANGES IN NET ASSETS |
Dunham | Dunham | Dunham | Dunham | Dunham | Dunham | |||||||||||||||||||||||||||||||||||
Corporate/Government | Monthly Distribution | Floating Rate | High-Yield | International Opportunity | Dynamic Macro | |||||||||||||||||||||||||||||||||||
Bond Fund | Fund | Bond Fund (1) | Bond Fund | Bond Fund (1) | Fund | |||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||||||||
Oct. 31, 2014 | Oct. 31, 2013 | Oct. 31, 2014 | Oct. 31, 2013 | Oct. 31, 2014 | Oct. 31, 2014 | Oct. 31, 2013 | Oct. 31, 2014 | Oct. 31, 2014 | Oct. 31, 2013 | |||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income | $ | 1,486,703 | $ | 2,949,470 | $ | 512,463 | $ | 1,607,176 | $ | 1,827,661 | $ | 6,650,678 | $ | 7,415,281 | $ | 237,796 | $ | 173,976 | $ | 384,868 | ||||||||||||||||||||
Net realized gain (loss) from investments, foreign currency, securities sold short, futures, swap contracts and options | (332,208 | ) | 586,830 | 23,019,455 | 6,968,870 | (53,987 | ) | 1,765,927 | 2,725,987 | (160,302 | ) | 200,686 | (98,137 | ) | ||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments, foreign currency, securities sold short, futures, swap contracts and options | 749,743 | (3,958,352 | ) | (14,801,536 | ) | 5,688,774 | (1,042,065 | ) | (3,217,654 | ) | (1,522,576 | ) | (1,639,199 | ) | (46,550 | ) | (222,224 | ) | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | 1,904,238 | (422,052 | ) | 8,730,382 | 14,264,820 | 731,609 | 5,198,951 | 8,618,692 | (1,561,705 | ) | 328,112 | 64,507 | ||||||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||||||||||||
Net Realized Gains: | ||||||||||||||||||||||||||||||||||||||||
Class N | (191,951 | ) | (1,949,452 | ) | (6,012,613 | ) | (3,010,786 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||||
Class A | (14,055 | ) | (78,307 | ) | (2,955,457 | ) | (1,291,469 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||||
Class C | (18,187 | ) | (166,157 | ) | (1,996,319 | ) | (892,668 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||||||||||||||||||
Class N | (1,407,855 | ) | (2,942,650 | ) | — | (1,512,856 | ) | (1,506,355 | ) | (5,200,564 | ) | (6,048,192 | ) | — | (123,821 | ) | (274,244 | ) | ||||||||||||||||||||||
Class A | (97,767 | ) | (147,110 | ) | — | (636,667 | ) | (260,777 | ) | (916,366 | ) | (779,147 | ) | — | (27,716 | ) | (55,618 | ) | ||||||||||||||||||||||
Class C | (103,240 | ) | (186,083 | ) | — | (411,816 | ) | (68,934 | ) | (515,994 | ) | (611,493 | ) | — | (19,736 | ) | (49,506 | ) | ||||||||||||||||||||||
Distributions From Paid In Capital: | ||||||||||||||||||||||||||||||||||||||||
Class N | — | — | (913,335 | ) | — | — | — | — | (224,660 | ) | — | (19,908 | ) | |||||||||||||||||||||||||||
Class A | — | — | (449,313 | ) | — | — | — | — | (10,256 | ) | — | (4,996 | ) | |||||||||||||||||||||||||||
Class C | — | — | (309,594 | ) | — | — | — | — | (1,461 | ) | — | (5,752 | ) | |||||||||||||||||||||||||||
Total Distributions to Shareholders | (1,833,055 | ) | (5,469,759 | ) | (12,636,631 | ) | (7,756,262 | ) | (1,836,066 | ) | (6,632,924 | ) | (7,438,832 | ) | (236,377 | ) | (171,273 | ) | (410,024 | ) | ||||||||||||||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||||||||||||||||||
Class N | 8,510,305 | 34,332,414 | 50,381,636 | 70,034,176 | 69,872,906 | 17,352,248 | 50,022,125 | 47,351,487 | 11,725,933 | 2,285,326 | ||||||||||||||||||||||||||||||
Class A | 1,612,475 | 4,661,645 | 40,490,119 | 42,735,587 | 14,942,559 | 5,739,293 | 9,426,719 | 4,013,190 | 1,398,067 | 552,179 | ||||||||||||||||||||||||||||||
Class C | 496,826 | 1,770,360 | 25,701,584 | 16,053,262 | 4,576,138 | 2,406,391 | 4,530,052 | 2,589,886 | 679,798 | 543,843 | ||||||||||||||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||||||||||||||||||
Class N | 1,598,729 | 4,890,445 | 6,726,777 | 4,496,140 | 1,506,190 | 4,604,843 | 5,310,041 | 224,659 | 33,572 | 72,560 | ||||||||||||||||||||||||||||||
Class A | 104,336 | 205,372 | 2,540,692 | 1,430,832 | 246,728 | 799,676 | 660,179 | 9,815 | 26,374 | 53,325 | ||||||||||||||||||||||||||||||
Class C | 119,432 | 350,038 | 1,884,730 | 1,093,669 | 68,862 | 429,779 | 499,875 | 1,461 | 18,864 | 53,195 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||||||||||||||||||
Class N | (47,484,087 | ) | (56,695,430 | ) | (59,855,935 | ) | (44,944,536 | ) | (7,418,283 | ) | (52,959,839 | ) | (36,642,092 | ) | (3,535,358 | ) | (7,335,922 | ) | (3,940,923 | ) | ||||||||||||||||||||
Class A | (4,918,860 | ) | (1,345,147 | ) | (31,369,421 | ) | (28,843,709 | ) | (1,315,978 | ) | (4,168,167 | ) | (4,048,127 | ) | (378,493 | ) | (1,489,076 | ) | (1,003,008 | ) | ||||||||||||||||||||
Class C | (4,670,592 | ) | (2,972,864 | ) | (15,656,857 | ) | (10,250,723 | ) | (1,202,842 | ) | (4,799,855 | ) | (5,810,950 | ) | (647,358 | ) | (1,035,059 | ) | (268,612 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest | (44,631,436 | ) | (14,803,167 | ) | 20,843,325 | 51,804,698 | 81,276,280 | (30,595,631 | ) | 23,947,822 | 49,629,289 | 4,022,551 | (1,652,115 | ) | ||||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets | (44,560,253 | ) | (20,694,978 | ) | 16,937,076 | 58,313,256 | 80,171,823 | (32,029,604 | ) | 25,127,682 | 47,831,207 | 4,179,390 | (1,997,632 | ) | ||||||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||||||||||
Beginning of year | 95,822,081 | 116,517,059 | 267,351,040 | 209,037,784 | — | 168,116,183 | 142,988,501 | — | 11,019,652 | 13,017,284 | ||||||||||||||||||||||||||||||
End of Year* | $ | 51,261,828 | $ | 95,822,081 | $ | 284,288,116 | $ | 267,351,040 | $ | 80,171,823 | $ | 136,086,579 | $ | 168,116,183 | $ | 47,831,207 | $ | 15,199,042 | $ | 11,019,652 | ||||||||||||||||||||
* Includes undistributed net investment income (loss) at end of year | $ | 13,411 | $ | 3,490 | $ | 1,364,137 | $ | (287,927 | ) | $ | 20,255 | $ | 17,754 | $ | — | $ | 93,827 | $ | — | $ | 16,150 |
(1) | Dunham Floating Rate Bond Fund and Dunham International Opportunity Bond Fund commenced operations on November 1, 2013. |
See accompanying notes to financial statements.
87 |
STATEMENTS OF CHANGES IN NET ASSETS (Continued) |
Dunham | Dunham | Dunham | Dunham | Dunham | ||||||||||||||||||||||||||||||||||||||||
Alternative | Appreciation & | Large Cap | Alternative | Focused Large Cap | ||||||||||||||||||||||||||||||||||||||||
Strategy Fund | Income Fund | Value Fund | Income Fund | Growth Fund | ||||||||||||||||||||||||||||||||||||||||
Year Ended | Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||||||||||||||||
Oct, 31, 2014 | Oct. 31, 2013 (1) | July 31, 2013 (2) | Oct. 31, 2014 | Oct. 31, 2013 | Oct, 31, 2014 | Oct. 31, 2013 | Oct, 31, 2014 | Oct. 31, 2013 | Oct, 31, 2014 | Oct. 31, 2013 | ||||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (204,341 | ) | $ | (88,860 | ) | $ | (70,168 | ) | $ | 221,675 | $ | 398,830 | $ | 350,088 | $ | 503,330 | $ | 127,065 | $ | 42,091 | $ | (444,063 | ) | $ | (110,900 | ) | |||||||||||||||||
Net realized gain (loss) from investments and foreign currency transactions | 332,590 | 324,657 | (106,534 | ) | 4,607,521 | 1,977,156 | 2,770,154 | 3,378,947 | 142,850 | 151,953 | (686,421 | ) | 232,107 | |||||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | 488,948 | (329,679 | ) | 447,230 | (2,610,842 | ) | 1,547,403 | 2,840,219 | 6,249,854 | 75,183 | 370,481 | 4,363,169 | 3,363,680 | |||||||||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | 617,197 | (93,882 | ) | 270,528 | 2,218,354 | 3,923,389 | 5,960,461 | 10,132,131 | 345,098 | 564,525 | 3,232,685 | 3,484,887 | ||||||||||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||||||||||||||||
Net Realized Gains: | ||||||||||||||||||||||||||||||||||||||||||||
Class N | — | — | — | — | — | — | — | (30,417 | ) | — | (11,605 | ) | — | |||||||||||||||||||||||||||||||
Class A | — | — | — | — | — | — | — | (54,314 | ) | — | (159,295 | ) | — | |||||||||||||||||||||||||||||||
Class C | — | — | — | — | — | — | — | (35,392 | ) | — | (8,445 | ) | — | |||||||||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||||||||||||||||||||||
Class N | — | — | — | (229,783 | ) | (640,297 | ) | (429,743 | ) | (409,455 | ) | (40,604 | ) | (8,858 | ) | — | — | |||||||||||||||||||||||||||
Class A | — | — | — | (51,341 | ) | (115,199 | ) | (48,768 | ) | (27,738 | ) | (50,281 | ) | (17,978 | ) | — | — | |||||||||||||||||||||||||||
Class C | — | — | — | (18,910 | ) | (71,099 | ) | (9,655 | ) | (2,534 | ) | (23,218 | ) | (4,390 | ) | — | — | |||||||||||||||||||||||||||
Total Distributions to Shareholders | — | — | — | (300,034 | ) | (826,595 | ) | (488,166 | ) | (439,727 | ) | (234,226 | ) | (31,226 | ) | (179,345 | ) | — | ||||||||||||||||||||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||||||||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||||||||||||||||||||||
Class N | 3,386,957 | 1,709,216 | 8,488,969 | (3) | 3,653,653 | 2,959,565 | 7,303,589 | 5,711,019 | 2,290,988 | 667,345 | 36,989,379 | 566,701 | ||||||||||||||||||||||||||||||||
Class A | 1,124,027 | 5,532,202 | 10,145,112 | (4) | 1,058,835 | 1,561,390 | 4,479,463 | 2,398,219 | 286,838 | 1,051,834 | 10,900,494 | 8,025,329 | ||||||||||||||||||||||||||||||||
Class C | 367,370 | 282,379 | 917,332 | (3) | 706,746 | 842,312 | 1,373,157 | 658,649 | 810,596 | 807,676 | 4,504,988 | 440,327 | ||||||||||||||||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||||||||||||||||||||||
Class N | — | — | — | 229,479 | 638,724 | 429,513 | 409,183 | 69,433 | 8,858 | 11,605 | — | |||||||||||||||||||||||||||||||||
Class A | — | — | — | 29,715 | 72,094 | 47,655 | 26,718 | 72,503 | 12,531 | 157,494 | — | |||||||||||||||||||||||||||||||||
Class C | — | — | — | 18,702 | 70,656 | 9,650 | 2,533 | 47,034 | 3,410 | 8,445 | — | |||||||||||||||||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||||||||||||||||||||||
Class N | (4,348,672 | ) | (1,406,512 | ) | (3,824,878 | ) (3) | (2,445,331 | ) | (13,643,285 | ) | (7,929,190 | ) | (13,853,801 | ) | (490,587 | ) | (29,579 | ) | (2,624,037 | ) | (365,484 | ) | ||||||||||||||||||||||
Class A | (14,753,758 | ) | (623,797 | ) | (876,506 | ) (4) | (1,287,058 | ) | (2,318,857 | ) | (2,303,419 | ) | (1,232,278 | ) | (72,871 | ) | (32,306 | ) | (3,409,226 | ) | (10,206,408 | ) | ||||||||||||||||||||||
Class C | (478,336 | ) | (97,249 | ) | (155,372 | ) (3) | (739,874 | ) | (1,471,371 | ) | (1,339,098 | ) | (2,164,053 | ) | (208,701 | ) | (24,500 | ) | (899,697 | ) | (161,914 | ) | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest | (14,702,412 | ) | 5,396,239 | 14,694,657 | 1,224,867 | (11,288,772 | ) | 2,071,320 | (8,043,811 | ) | 2,805,233 | 2,465,269 | 45,639,445 | (1,701,449 | ) | |||||||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets | (14,085,215 | ) | 5,302,357 | 14,965,185 | 3,143,187 | (8,191,978 | ) | 7,543,615 | 1,648,593 | 2,916,105 | 2,998,568 | 48,692,785 | 1,783,438 | |||||||||||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||||||||||||||
Beginning of Period | 32,506,707 | 27,204,350 | 12,239,165 | 23,988,018 | 32,179,996 | 47,697,763 | 46,049,170 | 4,970,227 | 1,971,659 | 12,723,102 | 10,939,664 | |||||||||||||||||||||||||||||||||
End of Period* | $ | 18,421,492 | $ | 32,506,707 | $ | 27,204,350 | $ | 27,131,205 | $ | 23,988,018 | $ | 55,241,378 | $ | 47,697,763 | $ | 7,886,332 | $ | 4,970,227 | $ | 61,415,887 | $ | 12,723,102 | ||||||||||||||||||||||
* Includes undistributed net investment income (loss) at end of period | $ | (259,611 | ) | $ | — | $ | (147,891 | ) | $ | 259,459 | $ | 142,004 | $ | 242,115 | $ | 380,193 | $ | 89,941 | $ | 49,268 | $ | (390,591 | ) | $ | — |
(1) | Dunham Alternative Strategy Fund changed its fiscal year end to October 31 effective August 1, 2013 |
(2) | Includes the operations of the Sherwood Forest Alternative Fund. See Note 1. |
(3) | Class N and Class C includes the operations of the predecessor, Sherwood Forest Alternative Fund (formerly Class I and Class C), respectively. |
(4) | Class A includes the operations of the predecessor, Sherwood Forest Alternative Fund (formerly Class A and P). |
See accompanying notes to financial statements.
88 |
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
Dunham | Dunham | Dunham | Dunham | Dunham | ||||||||||||||||||||||||||||||||||||
Real Estate | International | Small Cap | Emerging Markets | Small Cap | ||||||||||||||||||||||||||||||||||||
Stock Fund | Stock Fund | Value Fund | Stock Fund | Growth Fund | ||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||||||||
Oct. 31, 2014 | Oct. 31, 2013 | Oct. 31, 2014 | Oct. 31, 2013 | Oct. 31, 2014 | Oct. 31, 2013 | Oct. 31, 2014 | Oct. 31, 2013 | Oct. 31, 2014 | Oct. 31, 2013 | |||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 299,653 | $ | 392,972 | $ | 601,389 | $ | 233,163 | $ | 39,706 | $ | 89,782 | $ | 470,735 | $ | (60,745 | ) | $ | (447,061 | ) | $ | (284,015 | ) | |||||||||||||||||
Net realized gain from investments and foreign currency transactions | 2,612,926 | 330,082 | 6,288,227 | 7,332,745 | 1,843,545 | 5,976,784 | 252,461 | 2,457,339 | 3,012,814 | 5,035,035 | ||||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | 5,655,443 | 841,485 | (5,945,140 | ) | 6,162,822 | 659,185 | (1,128,203 | ) | 239,745 | (1,571,872 | ) | (1,082,990 | ) | 3,109,532 | ||||||||||||||||||||||||||
Net Increase in Net Assets Resulting From Operations | 8,568,022 | 1,564,539 | 944,476 | 13,728,730 | 2,542,436 | 4,938,363 | 962,941 | 824,722 | 1,482,763 | 7,860,552 | ||||||||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||||||||||||
Net Realized Gains: | ||||||||||||||||||||||||||||||||||||||||
Class N | (803,480 | ) | (678,970 | ) | — | — | (843,473 | ) | — | — | — | (2,932,007 | ) | (169,483 | ) | |||||||||||||||||||||||||
Class A | (63,694 | ) | (29,048 | ) | — | — | (84,887 | ) | — | — | — | (536,416 | ) | (909,245 | ) | |||||||||||||||||||||||||
Class C | (67,922 | ) | (77,708 | ) | — | — | (105,306 | ) | — | — | — | (1,095,637 | ) | (178,467 | ) | |||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||||||||||||||||||
Class N | (412,071 | ) | (288,603 | ) | (860,471 | ) | (499,497 | ) | (20,015 | ) | (44,834 | ) | — | — | — | — | ||||||||||||||||||||||||
Class A | (20,595 | ) | (8,316 | ) | (78,868 | ) | (18,444 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||||
Class C | (9,227 | ) | (11,055 | ) | (47,089 | ) | (5,126 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||||
Total Distributions to Shareholders | (1,376,989 | ) | (1,093,700 | ) | (986,428 | ) | (523,067 | ) | (1,053,681 | ) | (44,834 | ) | — | — | (4,564,060 | ) | (1,257,195 | ) | ||||||||||||||||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||||||||||||||||||
Class N | 9,009,495 | 16,837,166 | 12,144,401 | 7,506,197 | 8,710,390 | 2,729,694 | 13,375,215 | 11,602,305 | 9,728,560 | 3,852,620 | ||||||||||||||||||||||||||||||
Class A | 2,000,357 | 12,407,637 | 7,762,059 | 3,120,258 | 2,437,388 | 1,157,430 | 2,168,739 | 7,285,145 | 4,181,090 | 3,198,958 | ||||||||||||||||||||||||||||||
Class C | 1,763,615 | 1,312,069 | 1,654,454 | 738,101 | 719,325 | 301,385 | 1,322,370 | 933,154 | 1,219,199 | 518,306 | ||||||||||||||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||||||||||||||||||
Class N | 1,187,201 | 968,202 | 860,058 | 499,352 | 863,221 | 44,831 | — | — | 2,930,877 | 908,916 | ||||||||||||||||||||||||||||||
Class A | 83,235 | 36,666 | 75,419 | 17,836 | 83,535 | — | — | — | 738,749 | 93,769 | ||||||||||||||||||||||||||||||
Class C | 77,149 | 88,832 | 46,594 | 5,110 | 105,306 | — | — | — | 536,416 | 169,522 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||||||||||||||||||
Class N | (12,691,307 | ) | (6,020,786 | ) | (5,539,023 | ) | (14,268,216 | ) | (3,649,194 | ) | (5,976,097 | ) | (3,134,012 | ) | (4,299,719 | ) | (6,027,134 | ) | (7,832,827 | ) | ||||||||||||||||||||
Class A | (1,270,176 | ) | (9,643,082 | ) | (4,617,949 | ) | (706,518 | ) | (1,180,665 | ) | (254,272 | ) | (665,010 | ) | (15,441,706 | ) | (3,360,870 | ) | (1,133,529 | ) | ||||||||||||||||||||
Class C | (896,298 | ) | (1,193,047 | ) | (747,149 | ) | (2,342,152 | ) | (485,363 | ) | (874,113 | ) | (474,119 | ) | (837,394 | ) | (826,816 | ) | (1,395,926 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest | (736,729 | ) | 14,793,657 | 11,638,864 | (5,430,032 | ) | 7,603,943 | (2,871,142 | ) | 12,593,183 | (758,215 | ) | 9,120,071 | (1,620,191 | ) | |||||||||||||||||||||||||
Total Increase in Net Assets | 6,454,304 | 15,264,496 | 11,596,912 | 7,775,631 | 9,092,698 | 2,022,387 | 13,556,124 | 66,507 | 6,038,774 | 4,983,166 | ||||||||||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||||||||||
Beginning of Year | 38,767,345 | 23,502,849 | 60,183,878 | 52,408,247 | 20,452,433 | 18,430,046 | 29,945,428 | 29,878,921 | 24,721,470 | 19,738,304 | ||||||||||||||||||||||||||||||
End of Year* | $ | 45,221,649 | $ | 38,767,345 | $ | 71,780,790 | $ | 60,183,878 | $ | 29,545,131 | $ | 20,452,433 | $ | 43,501,552 | $ | 29,945,428 | $ | 30,760,244 | $ | 24,721,470 | ||||||||||||||||||||
* Includes undistributed net investment income (loss) at end of year | $ | 139,020 | $ | 281,260 | $ | 874,937 | $ | 758,822 | $ | 37,382 | $ | 17,691 | $ | 535,400 | $ | (12,355 | ) | $ | — | $ | — |
See accompanying notes to financial statements.
89 |
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, | ||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||
Net asset value, beginning of year | $ | 14.07 | $ | 14.74 | $ | 14.32 | $ | 14.99 | $ | 14.32 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income* | 0.38 | 0.37 | 0.36 | 0.52 | 0.54 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.16 | (0.36 | ) | 0.77 | (0.20 | ) | 0.76 | |||||||||||||
Total income from investment operations | 0.54 | 0.01 | 1.13 | 0.32 | 1.30 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.42 | ) | (0.41 | ) | (0.42 | ) | (0.56 | ) | (0.56 | ) | ||||||||||
Distributions from net realized gains | (0.05 | ) | (0.27 | ) | (0.29 | ) | (0.43 | ) | (0.07 | ) | ||||||||||
Total distributions | (0.47 | ) | (0.68 | ) | (0.71 | ) | (0.99 | ) | (0.63 | ) | ||||||||||
Net asset value, end of year | $ | 14.14 | $ | 14.07 | $ | 14.74 | $ | 14.32 | $ | 14.99 | ||||||||||
Total return +# | 3.85 | % | 0.09 | % | 8.10 | % | 2.33 | % | 9.32 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 43,888 | $ | 81,201 | $ | 103,912 | $ | 58,810 | $ | 78,181 | ||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||
Before fee waivers | 1.37 | % | 1.21 | % | 1.14 | % | 1.30 | % | 1.37 | % | ||||||||||
After fee waivers | 1.37 | % | 1.21 | % | 1.14 | % | 1.30 | % | 1.37 | % | ||||||||||
Ratios of net investment income to average net assets: | ||||||||||||||||||||
Before fee waivers | 2.69 | % | 2.56 | % | 2.50 | % | 3.62 | % | 3.66 | % | ||||||||||
After fee waivers | 2.69 | % | 2.56 | % | 2.50 | % | 3.62 | % | 3.66 | % | ||||||||||
Portfolio turnover rate | 60 | % | 173 | % | 211 | % | 178 | % | 174 | % |
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 14.06 | $ | 14.73 | $ | 14.31 | $ | 14.98 | $ | 14.36 | $ | 13.98 | $ | 14.64 | $ | 14.23 | $ | 14.90 | $ | 14.24 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.35 | 0.34 | 0.29 | 0.49 | 0.50 | 0.27 | 0.26 | 0.27 | 0.41 | 0.42 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.15 | (0.36 | ) | 0.79 | (0.20 | ) | 0.76 | 0.16 | (0.35 | ) | 0.74 | (0.20 | ) | 0.76 | ||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.50 | (0.02 | ) | 1.08 | 0.29 | 1.26 | 0.43 | (0.09 | ) | 1.01 | 0.21 | 1.18 | ||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.38 | ) | (0.38 | ) | (0.37 | ) | (0.53 | ) | (0.57 | ) | (0.31 | ) | (0.30 | ) | (0.31 | ) | (0.45 | ) | (0.45 | ) | ||||||||||||||||||||
Distributions from net realized gains | (0.05 | ) | (0.27 | ) | (0.29 | ) | (0.43 | ) | (0.07 | ) | (0.05 | ) | (0.27 | ) | (0.29 | ) | (0.43 | ) | (0.07 | ) | ||||||||||||||||||||
Total distributions | (0.43 | ) | (0.65 | ) | (0.66 | ) | (0.96 | ) | (0.64 | ) | (0.36 | ) | (0.57 | ) | (0.60 | ) | (0.88 | ) | (0.52 | ) | ||||||||||||||||||||
Net asset value, end of year | $ | 14.13 | $ | 14.06 | $ | 14.73 | $ | 14.31 | $ | 14.98 | $ | 14.05 | $ | 13.98 | $ | 14.64 | $ | 14.23 | $ | 14.90 | ||||||||||||||||||||
Total return + | 3.59 | % | (0.15 | )% | 7.78 | % | 2.15 | % | 8.98 | % | 3.08 | % | (0.59 | )% | 7.30 | % | 1.57 | % | 8.48 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 3,684 | $ | 6,888 | $ | 3,598 | $ | 610 | $ | 518 | $ | 3,690 | $ | 7,733 | $ | 9,007 | $ | 9,250 | $ | 12,466 | ||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Before fee waivers | 1.62 | % | 1.46 | % | 1.39 | % | 1.55 | % | 1.62 | % | 2.12 | % | 1.96 | % | 1.89 | % | 2.05 | % | 2.12 | % | ||||||||||||||||||||
After fee waivers | 1.62 | % | 1.46 | % | 1.39 | % | 1.55 | % | 1.62 | % | 2.12 | % | 1.96 | % | 1.89 | % | 2.05 | % | 2.12 | % | ||||||||||||||||||||
Ratios of net investment income to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Before fee waivers | 2.44 | % | 2.37 | % | 2.25 | % | 3.37 | % | 3.41 | % | 1.94 | % | 1.80 | % | 1.75 | % | 2.87 | % | 2.91 | % | ||||||||||||||||||||
After fee waivers | 2.44 | % | 2.37 | % | 2.25 | % | 3.37 | % | 3.41 | % | 1.94 | % | 1.80 | % | 1.75 | % | 2.87 | % | 2.91 | % | ||||||||||||||||||||
Portfolio turnover rate | 60 | % | 173 | % | 211 | % | 178 | % | 174 | % | 60 | % | 173 | % | 211 | % | 178 | % | 174 | % |
* | 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. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
See accompanying notes to financial statements.
90 |
FINANCIAL HIGHLIGHTS |
Dunham Monthly Distribution Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.
Class N | Class A | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 38.47 | $ | 37.22 | $ | 35.87 | $ | 36.52 | $ | 34.09 | $ | 37.95 | $ | 36.82 | $ | 35.58 | $ | 36.32 | $ | 33.99 | ||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.17 | 0.36 | 0.14 | 0.01 | 0.22 | 0.07 | 0.24 | 0.03 | (0.09 | ) | 0.14 | |||||||||||||||||||||||||||||
Net realized and unrealized gain ** | 1.35 | 2.13 | 2.41 | 0.53 | 3.35 | 1.33 | 2.13 | 2.40 | 0.54 | 3.33 | ||||||||||||||||||||||||||||||
Total income from investment operations | 1.52 | 2.49 | 2.55 | 0.54 | 3.57 | 1.40 | 2.37 | 2.43 | 0.45 | 3.47 | ||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | 0.00 | (0.41 | ) | (0.22 | ) | 0.00 | 0.00 | 0.00 | (0.41 | ) | (0.21 | ) | 0.00 | 0.00 | ||||||||||||||||||||||||||
Distributions from net realized gains | (1.59 | ) | (0.83 | ) | (0.32 | ) | (1.19 | ) | (1.14 | ) | (1.59 | ) | (0.83 | ) | (0.32 | ) | (1.19 | ) | (1.14 | ) | ||||||||||||||||||||
Tax return of capital | (0.24 | ) | 0.00 | (0.66 | ) | 0.00 | 0.00 | (0.24 | ) | 0.00 | (0.66 | ) | 0.00 | 0.00 | ||||||||||||||||||||||||||
Total distributions | (1.83 | ) | (1.24 | ) | (1.20 | ) | (1.19 | ) | (1.14 | ) | (1.83 | ) | (1.24 | ) | (1.19 | ) | (1.19 | ) | (1.14 | ) | ||||||||||||||||||||
Net asset value, end of year | $ | 38.16 | $ | 38.47 | $ | 37.22 | $ | 35.87 | $ | 36.52 | $ | 37.52 | $ | 37.95 | $ | 36.82 | $ | 35.58 | $ | 36.32 | ||||||||||||||||||||
Total return + | 4.01 | % | 6.75 | % | 7.19 | % | 1.47 | % | 10.64 | % | 3.74 | % | 6.50 | % | 6.92 | % | 1.22 | % | 10.38 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 156,964 | $ | 161,347 | $ | 127,346 | $ | 65,621 | $ | 38,328 | $ | 79,132 | $ | 68,427 | $ | 51,485 | $ | 32,381 | $ | 23,453 | ||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||
After waivers | 2.53 | % | 2.23 | % | 2.75 | % | 2.57 | % | 2.45 | % | 2.78 | % | 2.48 | % | 3.00 | % | 2.82 | % | 2.70 | % | ||||||||||||||||||||
Dividends/borrowings on short sales | 0.59 | % | 0.24 | % | 0.52 | % | 0.30 | % | 0.26 | % | 0.59 | % | 0.24 | % | 0.52 | % | 0.30 | % | 0.26 | % | ||||||||||||||||||||
Excluding dividends/borrowings on short sales: | ||||||||||||||||||||||||||||||||||||||||
Before fee waivers | 2.11 | % | 2.10 | % | 2.23 | % | 2.27 | % | 2.19 | % | 2.36 | % | 2.34 | % | 2.48 | % | 2.52 | % | 2.44 | % | ||||||||||||||||||||
After fee waivers | 1.94 | % | 1.99 | % | 2.23 | % | 2.27 | % | 2.19 | % | 2.19 | % | 2.24 | % | 2.48 | % | 2.52 | % | 2.44 | % | ||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Before fee waivers | 0.26 | % | 0.84 | % | 0.39 | % | 0.03 | % | 0.62 | % | 0.01 | % | 0.52 | % | 0.14 | % | (0.22 | )% | 0.37 | % | ||||||||||||||||||||
After fee waivers | 0.43 | % | 0.95 | % | 0.39 | % | 0.03 | % | 0.62 | % | 0.18 | % | 0.63 | % | 0.14 | % | (0.22 | )% | 0.37 | % | ||||||||||||||||||||
Portfolio turnover rate | 229 | % | 227 | % | 205 | % | 277 | % | 370 | % | 229 | % | 227 | % | 205 | % | 277 | % | 370 | % |
Class C | ||||||||||||||||||||
Year Ended | ||||||||||||||||||||
October 31, | ||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||
Net asset value, beginning of year | $ | 32.87 | $ | 32.29 | $ | 31.55 | $ | 32.59 | $ | 30.83 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment loss* | (0.20 | ) | (0.07 | ) | (0.18 | ) | (0.32 | ) | (0.12 | ) | ||||||||||
Net realized and unrealized gain ** | 1.17 | 1.89 | 2.09 | 0.47 | 3.02 | |||||||||||||||
Total income from investment operations | 0.97 | 1.82 | 1.91 | 0.15 | 2.90 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment income | 0.00 | (0.41 | ) | (0.19 | ) | 0.00 | 0.00 | |||||||||||||
Distributions from net realized gains | (1.59 | ) | (0.83 | ) | (0.32 | ) | (1.19 | ) | (1.14 | ) | ||||||||||
Tax return of capital | (0.24 | ) | 0.00 | (0.66 | ) | 0.00 | 0.00 | |||||||||||||
Total distributions | (1.83 | ) | (1.24 | ) | (1.17 | ) | (1.19 | ) | (1.14 | ) | ||||||||||
Net asset value, end of year | $ | 32.01 | $ | 32.87 | $ | 32.29 | $ | 31.55 | $ | 32.59 | ||||||||||
Total return + | 2.99 | % | 5.71 | % | 6.13 | % | 0.43 | % | 9.59 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 48,193 | $ | 37,577 | $ | 30,206 | $ | 27,701 | $ | 21,181 | ||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||
After waivers | 3.53 | % | 3.23 | % | 3.75 | % | 3.57 | % | 3.45 | % | ||||||||||
Dividends/borrowings on short sales | 0.59 | % | 0.24 | % | 0.52 | % | 0.30 | % | 0.26 | % | ||||||||||
Excluding dividends/borrowings on short sales: | ||||||||||||||||||||
Before fee waivers | 3.11 | % | 3.10 | % | 3.23 | % | 3.27 | % | 3.19 | % | ||||||||||
After fee waivers | 2.94 | % | 2.99 | % | 3.23 | % | 3.27 | % | 3.19 | % | ||||||||||
Ratios of net investment loss to average net assets: | ||||||||||||||||||||
Before fee waivers | (0.74 | )% | (0.32 | )% | (0.61 | )% | (0.97 | )% | (0.38 | )% | ||||||||||
After fee waivers | (0.57 | )% | (0.21 | )% | (0.61 | )% | (0.97 | )% | (0.38 | )% | ||||||||||
Portfolio turnover rate | 229 | % | 227 | % | 205 | % | 277 | % | 370 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year. |
** | Realized and unrealized gain (loss) per share does not correlate to the aggregate of the net realized and unrealized loss in the Statements of Operations for the year ended October 31, 2011, primarily due to the timing of the sales and repurchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
+ | Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
See accompanying notes to financial statements.
91 |
FINANCIAL HIGHLIGHTS |
Dunham Floating Rate Bond Fund |
The table sets forth financial data for one share of beneficial interest outstanding for the year.
Class N | Class A | Class C | ||||||||||
Year Ended | Year Ended | Year Ended | ||||||||||
October 31, | October 31, | October 31, | ||||||||||
2014* | 2014* | 2014* | ||||||||||
Net asset value, beginning of year | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment income** | 0.29 | 0.28 | 0.22 | |||||||||
Net realized and unrealized loss | (0.15 | ) | (0.16 | ) | (0.16 | ) | ||||||
Total income from investment operations | 0.14 | 0.12 | 0.06 | |||||||||
Less distributions: | ||||||||||||
Distributions from net investment income | (0.27 | ) | (0.25 | ) | (0.20 | ) | ||||||
Total distributions | (0.27 | ) | (0.25 | ) | (0.20 | ) | ||||||
Net asset value, end of year | $ | 9.87 | $ | 9.87 | $ | 9.86 | ||||||
Total return + | 1.43 | % | 1.20 | % | 0.63 | % | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net assets, end of year (in 000s) | $ | 63,120 | $ | 13,664 | $ | 3,388 | ||||||
Ratios of expenses to average net assets: | 1.27 | % | 1.52 | % | 2.02 | % | ||||||
Ratios of net investment income to average net assets: | 2.87 | % | 2.84 | % | 2.24 | % | ||||||
Portfolio turnover rate | 50 | % | 50 | % | 50 | % |
* | The Fund commenced operations on November 1, 2013. |
** | The net investment income per share data was determined using the average shares outstanding for the year |
+ | Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one y deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
See accompanying notes to financial statements.
92 |
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, | ||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||
Net asset value, beginning of year | $ | 9.61 | $ | 9.52 | $ | 9.08 | $ | 9.36 | $ | 8.65 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income* | 0.46 | 0.47 | 0.53 | 0.65 | 0.72 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.10 | ) | 0.09 | 0.44 | (0.28 | ) | 0.70 | |||||||||||||
Total income from investment operations | 0.36 | 0.56 | 0.97 | 0.37 | 1.42 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.46 | ) | (0.47 | ) | (0.53 | ) | (0.65 | ) | (0.71 | ) | ||||||||||
Total distributions | (0.46 | ) | (0.47 | ) | (0.53 | ) | (0.65 | ) | (0.71 | ) | ||||||||||
Net asset value, end of year | $ | 9.51 | $ | 9.61 | $ | 9.52 | $ | 9.08 | $ | 9.36 | ||||||||||
Total return + | 3.77 | % | 6.05 | % | 10.96 | % | 4.03 | % | 17.11 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 102,412 | $ | 134,487 | $ | 114,810 | $ | 45,586 | $ | 58,597 | ||||||||||
Ratios of expenses to average net assets: | 1.09 | % | 1.11 | % | 1.23 | % | 1.38 | % | 1.23 | % | ||||||||||
Ratios of net investment income to average net assets: | 4.72 | % | 4.89 | % | 5.70 | % | 6.92 | % | 7.99 | % | ||||||||||
Portfolio turnover rate | 62 | % | 94 | % | 58 | % | 49 | % | 60 | % |
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 9.68 | $ | 9.59 | $ | 9.15 | $ | 9.42 | $ | 8.71 | $ | 9.55 | $ | 9.47 | $ | 9.04 | $ | 9.31 | $ | 8.61 | ||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.44 | 0.45 | 0.51 | 0.63 | 0.70 | 0.38 | 0.40 | 0.47 | 0.58 | 0.65 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.10 | ) | 0.09 | 0.44 | (0.27 | ) | 0.71 | (0.08 | ) | 0.08 | 0.43 | (0.28 | ) | 0.69 | ||||||||||||||||||||||||||
Total income from investment operations | 0.34 | 0.54 | 0.95 | 0.36 | 1.41 | 0.30 | 0.48 | 0.90 | 0.30 | 1.34 | ||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.44 | ) | (0.45 | ) | (0.51 | ) | (0.63 | ) | (0.70 | ) | (0.39 | ) | (0.40 | ) | (0.47 | ) | (0.57 | ) | (0.64 | ) | ||||||||||||||||||||
Total distributions | (0.44 | ) | (0.45 | ) | (0.51 | ) | (0.63 | ) | (0.70 | ) | (0.39 | ) | (0.40 | ) | (0.47 | ) | (0.57 | ) | (0.64 | ) | ||||||||||||||||||||
Net asset value, end of year | $ | 9.58 | $ | 9.68 | $ | 9.59 | $ | 9.15 | $ | 9.42 | $ | 9.46 | $ | 9.55 | $ | 9.47 | $ | 9.04 | $ | 9.31 | ||||||||||||||||||||
Total return + | 3.49 | % | 5.74 | % | 10.70 | % | 3.84 | % | 16.85 | % | 3.13 | % | 5.17 | % | 10.19 | % | 3.28 | % | 16.16 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 22,022 | $ | 19,888 | $ | 13,722 | $ | 6,457 | $ | 5,366 | $ | 11,652 | $ | 13,741 | $ | 14,457 | $ | 10,404 | $ | 9,214 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 1.34 | % | 1.36 | % | 1.48 | % | 1.63 | % | 1.48 | % | 1.84 | % | 1.86 | % | 1.98 | % | 2.13 | % | 1.98 | % | ||||||||||||||||||||
Ratios of net investment income to average net assets: | 4.47 | % | 4.64 | % | 5.45 | % | 6.67 | % | 7.74 | % | 3.97 | % | 4.15 | % | 4.95 | % | 6.17 | % | 7.24 | % | ||||||||||||||||||||
Portfolio turnover rate | 62 | % | 94 | % | 58 | % | 49 | % | 60 | % | 62 | % | 94 | % | 58 | % | 49 | % | 60 | % |
* | 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. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
See accompanying notes to financial statements.
93 |
FINANCIAL HIGHLIGHTS |
Dunham International Opportunity Bond Fund |
The table sets forth financial data for one share of beneficial interest outstanding for the year.
Class N | Class A | Class C | ||||||||||
Year Ended | Year Ended | Year Ended | ||||||||||
October 31, | October 31, | October 31, | ||||||||||
2014* | 2014* | 2014* | ||||||||||
Net asset value, beginning of year | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||
Loss from investment operations: | ||||||||||||
Net investment income (loss)** | 0.07 | 0.04 | (0.01 | ) | ||||||||
Net realized and unrealized loss | (0.37 | ) | (0.36 | ) | (0.36 | ) | ||||||
Total loss from investment operations | (0.30 | ) | (0.32 | ) | (0.37 | ) | ||||||
Less distributions: | ||||||||||||
Tax Return of Capital | (0.06 | ) | (0.04 | ) | (0.01 | ) | ||||||
Total distributions | (0.06 | ) | (0.04 | ) | (0.01 | ) | ||||||
Net asset value, end of year | $ | 9.64 | $ | 9.64 | $ | 9.62 | ||||||
Total return + | (2.99 | )% | (3.22 | )% | (3.72 | )% | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net assets, end of year (in 000s) | $ | 42,440 | $ | 3,513 | $ | 1,879 | ||||||
Ratios of expenses to average net assets | 1.38 | % | 1.63 | % | 2.13 | % | ||||||
Ratios of net investment income (loss) to average net assets | 0.66 | % | 0.41 | % | (0.09 | )% | ||||||
Portfolio turnover rate | 60 | % | 60 | % | 60 | % |
* | The Fund commenced operations on November 1, 2013. |
** | The net investment income (loss) per share data was determined using the average shares outstanding throughout the year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
See accompanying notes to financial statements.
94 |
FINANCIAL HIGHLIGHTS |
Dunham Dynamic Macro Fund* |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period.
Class N | ||||||||||||||||||||
Year Ended | Period Ended | |||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||
Net asset value, beginning of period | $ | 9.67 | $ | 9.95 | $ | 10.10 | $ | 10.17 | $ | 10.00 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)** | 0.19 | 0.33 | 0.30 | 0.17 | (0.13 | ) | ||||||||||||||
Net realized and unrealized gain (loss) *** | (0.02 | ) | (0.25 | ) | 0.02 | (0.15 | ) | 0.30 | ||||||||||||
Total income from investment operations | 0.17 | 0.08 | 0.32 | 0.02 | 0.17 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.19 | ) | (0.33 | ) | (0.35 | ) | 0.00 | 0.00 | ||||||||||||
Distributions from net realized gains | 0.00 | 0.00 | 0.00 | (0.09 | ) | 0.00 | ||||||||||||||
Tax return of capital | 0.00 | (0.03 | ) | (0.12 | ) | 0.00 | 0.00 | |||||||||||||
Total distributions | (0.19 | ) | (0.36 | ) | (0.47 | ) | (0.09 | ) | 0.00 | |||||||||||
Net asset value, end of period | $ | 9.65 | $ | 9.67 | $ | 9.95 | $ | 10.10 | $ | 10.17 | ||||||||||
Total return +, # | 1.80 | % | 0.80 | % | 3.29 | % | 0.20 | % | 1.70 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 11,758 | $ | 7,185 | $ | 9,002 | $ | 8,798 | $ | 4,303 | ||||||||||
Ratios of expenses to average net assets: ^ | ||||||||||||||||||||
Before fee waivers^ | 1.90 | % | 1.67 | % | 2.28 | % | 1.98 | % | 2.75 | % | ||||||||||
After fee waivers^ | 1.90 | % | 1.67 | % | 2.28 | % | 1.98 | % | 2.75 | % | ||||||||||
Ratios of net investment income (loss) to average net assets: ^ | ||||||||||||||||||||
Before fee waivers^ | 1.96 | % | 3.35 | % | 2.94 | % | 1.71 | % | (2.39 | )% | ||||||||||
After fee waivers^ | 1.96 | % | 3.35 | % | 2.94 | % | 1.71 | % | (2.39 | )% | ||||||||||
Portfolio turnover rate | 238 | % | 292 | % | 418 | % | 704 | % | 402 | % (1) |
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Period Ended | Year Ended | Period Ended | |||||||||||||||||||||||||||||||||||||
October 31, | October 31, | October 31, | October 31, | |||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.70 | $ | 9.98 | $ | 10.06 | $ | 10.16 | $ | 10.00 | $ | 9.56 | $ | 9.86 | $ | 9.96 | $ | 10.13 | $ | 10.00 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)** | 0.18 | 0.31 | 0.26 | 0.02 | (0.14 | ) | 0.11 | 0.23 | 0.17 | 0.07 | (0.17 | ) | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) *** | (0.04 | ) | (0.25 | ) | 0.03 | (0.03 | ) | 0.30 | (0.04 | ) | (0.26 | ) | 0.05 | (0.15 | ) | 0.30 | ||||||||||||||||||||||||
Total income (loss) from investment operations | 0.14 | 0.06 | 0.29 | (0.01 | ) | 0.16 | 0.07 | (0.03 | ) | 0.22 | (0.08 | ) | 0.13 | |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.16 | ) | (0.31 | ) | (0.25 | ) | 0.00 | 0.00 | (0.11 | ) | (0.24 | ) | (0.20 | ) | 0.00 | 0.00 | ||||||||||||||||||||||||
Distributions from net realized gains | 0.00 | 0.00 | 0.00 | (0.09 | ) | 0.00 | 0.00 | 0.00 | 0.00 | (0.09 | ) | 0.00 | ||||||||||||||||||||||||||||
Tax return of capital | 0.00 | (0.03 | ) | (0.12 | ) | 0.00 | 0.00 | 0.00 | (0.03 | ) | (0.12 | ) | 0.00 | 0.00 | ||||||||||||||||||||||||||
Total distributions | (0.16 | ) | (0.34 | ) | (0.37 | ) | (0.09 | ) | 0.00 | (0.11 | ) | (0.27 | ) | (0.32 | ) | (0.09 | ) | 0.00 | ||||||||||||||||||||||
Net asset value, end of period | $ | 9.68 | $ | 9.70 | $ | 9.98 | $ | 10.06 | $ | 10.16 | $ | 9.52 | $ | 9.56 | $ | 9.86 | $ | 9.96 | $ | 10.13 | ||||||||||||||||||||
Total return +, # | 1.52 | % | 0.55 | % | 3.00 | % | (0.10 | )% | 1.60 | % | 0.78 | % | (0.29 | )% | 2.27 | % | (0.79 | )% | 1.30 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 1,729 | $ | 1,782 | $ | 2,230 | $ | 1,788 | $ | 6,224 | $ | 1,712 | $ | 2,053 | $ | 1,786 | $ | 1,067 | $ | 160 | ||||||||||||||||||||
Ratios of expenses to average net assets: ^ | ||||||||||||||||||||||||||||||||||||||||
Before fee waivers^ | 2.15 | % | 1.92 | % | 2.53 | % | 2.23 | % | 3.00 | % | 2.90 | % | 2.67 | % | 3.28 | % | 2.98 | % | 3.75 | % | ||||||||||||||||||||
After fee waivers^ | 2.15 | % | 1.92 | % | 2.53 | % | 2.23 | % | 3.00 | % | 2.90 | % | 2.67 | % | 3.28 | % | 2.98 | % | 3.75 | % | ||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | ||||||||||||||||||||||||||||||||||||||||
Before fee waivers^ | 1.92 | % | 3.13 | % | 2.69 | % | 1.46 | % | (2.64 | )% | 1.19 | % | 2.38 | % | 1.94 | % | 0.71 | % | (3.39 | )% | ||||||||||||||||||||
After fee waivers^ | 1.92 | % | 3.13 | % | 2.69 | % | 1.46 | % | (2.64 | )% | 1.19 | % | 2.38 | % | 1.94 | % | 0.71 | % | (3.39 | )% | ||||||||||||||||||||
Portfolio turnover rate | 238 | % | 292 | % | 418 | % | 704 | % | 402 | % (1) | 238 | % | 292 | % | 418 | % | 704 | % | 402 | % (1) |
* | The Fund commenced operations on April 30, 2010. |
** | The net investment income (loss) per share data was determined using the average shares outstanding throughout each period. |
*** | The amount of net realized and unrealized loss on investment per share for the year ended October 31, 2014 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values. |
^ | Annualized for periods less than one year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(1) | Not annualized. |
See accompanying notes to financial statements.
95 |
FINANCIAL HIGHLIGHTS |
Dunham Alternative Strategy Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period.
Class N | ||||||||||||||||||||||||
Year Ended | Period Ended | |||||||||||||||||||||||
October 31, | October 31, | Year Ended July 31, | ||||||||||||||||||||||
2014 | 2013* | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||
Net asset value, beginning of period | $ | 23.74 | $ | 23.85 | $ | 23.45 | $ | 26.90 | $ | 25.15 | $ | 26.71 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss** | (0.21 | ) | (0.07 | ) | (0.10 | ) | (0.29 | ) | (0.21 | ) | (0.26 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.92 | (0.04 | ) | 0.50 | (1.66 | ) | 1.96 | (0.23 | ) | |||||||||||||||
Total income (loss) from investment operations | 0.71 | (0.11 | ) | 0.40 | (1.95 | ) | 1.75 | (0.49 | ) | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | 0.00 | 0.00 | 0.00 | (1.50 | ) | 0.00 | (0.89 | ) | ||||||||||||||||
Distributions from net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.18 | ) | |||||||||||||||||
Total distributions | — | — | — | (1.50 | ) | 0.00 | (1.07 | ) | ||||||||||||||||
Net asset value, end of period | $ | 24.45 | $ | 23.74 | $ | 23.85 | $ | 23.45 | $ | 26.90 | $ | 25.15 | ||||||||||||
Total return + | 2.99 | % | (0.46 | )% | 1.71 | % | (7.23 | )% | 6.96 | % | (1.97 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 15,355 | $ | 15,873 | $ | 15,641 | $ | 10,818 | $ | 15,716 | $ | 18,300 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before fee waivers ^(1) | 1.84 | % | 1.85 | % | 2.35 | % | 2.29 | % | 1.94 | % | 2.10 | % | ||||||||||||
After fee waivers ^(1) | 1.84 | % | 1.85 | % | 1.67 | % | 1.65 | % | 1.65 | % | 1.65 | % | ||||||||||||
Ratios of net investment loss to average net assets: | ||||||||||||||||||||||||
Before fee waivers ^(1,2) | (0.87 | )% | (1.13 | )% | (1.11 | )% | (1.79 | )% | (1.06 | )% | (1.43 | )% | ||||||||||||
After fee waivers ^(1,2) | (0.87 | )% | (1.13 | )% | (0.43 | )% | (1.15 | )% | (0.77 | )% | (0.98 | )% | ||||||||||||
Portfolio turnover rate | 4,686 | % | 934 | % | 2,340 | % | 5,840 | % | 1,959 | % | 2,121 | % |
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Year Ended | Period Ended | Year Ended | Period Ended | |||||||||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | Year Ended July 31, | October 31, | October 31, | Year Ended July 31, | |||||||||||||||||||||||||||||||||||||||||||
2014 | 2013* | 2013 | 2012 | 2011 | 2010 | 2014 | 2013* | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.43 | $ | 23.55 | $ | 23.22 | $ | 26.73 | $ | 25.07 | $ | 26.69 | $ | 22.55 | $ | 22.71 | $ | 22.55 | $ | 26.22 | $ | 24.77 | $ | 26.58 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment loss ** | (0.22 | ) | (0.07 | ) | (0.11 | ) | (0.35 | ) | (0.27 | ) | (0.32 | ) | (0.42 | ) | (0.12 | ) | (0.35 | ) | (0.53 | ) | (0.47 | ) | (0.51 | ) | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.86 | (0.05 | ) | 0.44 | (1.66 | ) | 1.93 | (0.23 | ) | 0.85 | (0.04 | ) | 0.51 | (1.64 | ) | 1.92 | (0.23 | ) | ||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.64 | (0.12 | ) | 0.33 | (2.01 | ) | 1.66 | (0.55 | ) | 0.43 | (0.16 | ) | 0.16 | (2.17 | ) | 1.45 | (0.74 | ) | ||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | 0.00 | 0.00 | 0.00 | (1.50 | ) | 0.00 | (0.89 | ) | 0.00 | 0.00 | 0.00 | (1.50 | ) | 0.00 | (0.89 | ) | ||||||||||||||||||||||||||||||||
Distributions from net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.18 | ) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.18 | ) | ||||||||||||||||||||||||||||||||||
Total distributions | 0.00 | 0.00 | 0.00 | (1.50 | ) | 0.00 | (1.07 | ) | 0.00 | 0.00 | 0.00 | (1.50 | ) | 0.00 | (1.07 | ) | ||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 24.07 | $ | 23.43 | $ | 23.55 | $ | 23.22 | $ | 26.73 | $ | 25.07 | $ | 22.98 | $ | 22.55 | $ | 22.71 | $ | 22.55 | $ | 26.22 | $ | 24.77 | ||||||||||||||||||||||||
Total return + | 2.73 | % | (0.51 | )% | 1.42 | % | (7.51 | )% | 6.62 | % | (2.20 | )% | 1.91 | % # | (0.70 | )% | 0.71 | % | (8.33 | )% | 5.85 | % | (2.94 | )% | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 2,008 | $ | 15,484 | $ | 10,591 | $ | 1,016 | $ | 12,069 | $ | 4,672 | $ | 1,058 | $ | 1,150 | $ | 972 | $ | 212 | $ | 1,854 | $ | 2,351 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers^(1) | 2.09 | % | 2.10 | % | 2.36 | % | 2.54 | % | 2.19 | % | 2.35 | % | 2.84 | % | 2.85 | % | 3.11 | % | 3.29 | % | 2.94 | % | 3.10 | % | ||||||||||||||||||||||||
After fee waivers^(1) | 2.09 | % | 2.10 | % | 1.98 | % | 1.90 | % | 1.90 | % | 1.90 | % | 2.84 | % | 2.85 | % | 2.67 | % | 2.65 | % | 2.65 | % | 2.65 | % | ||||||||||||||||||||||||
Ratios of net investment loss to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers^(1,2) | (1.25 | )% | (1.14 | )% | (0.85 | )% | (2.04 | )% | (1.31 | )% | (1.68 | )% | (1.87 | )% | (2.06 | )% | (1.99 | )% | (2.80 | )% | (2.06 | )% | (2.43 | )% | ||||||||||||||||||||||||
After fee waivers ^(1,2) | (1.25 | )% | (1.14 | )% | (0.48 | )% | (1.40 | )% | (1.02 | )% | (1.23 | )% | (1.87 | )% | (2.06 | )% | (1.56 | )% | (2.16 | )% | (1.77 | )% | (1.98 | )% | ||||||||||||||||||||||||
Portfolio turnover rate | 4,686 | % | 934 | % | 2,340 | % | 5,840 | % | 1,959 | % | 2,121 | % | 4,686 | % | 934 | % | 2,340 | % | 5,840 | % | 1,959 | % | 2,121 | % |
* | The Fund’s fiscal year end changed from July 31 to October 31 effective August 1, 2013. |
** | The net investment loss per share data was determined using the average shares outstanding throughout each period. |
+ | Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
^ | Annualized for periods less than one year. |
(1) | The ratios of expenses to average net assets and net investment loss to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests. |
(2) | Recognition of net investment loss by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
See accompanying notes to financial statements.
96 |
FINANCIAL HIGHLIGHTS |
Dunham Appreciation & Income Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.
Class N | ||||||||||||||||||||
Year Ended | ||||||||||||||||||||
October 31, | ||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||
Net asset value, beginning of year | $ | 10.09 | $ | 8.90 | $ | 8.86 | $ | 8.47 | $ | 7.53 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income* | 0.11 | 0.16 | 0.10 | 0.08 | 0.16 | |||||||||||||||
Net realized and unrealized gain | 0.83 | 1.28 | 0.05 | 0.55 | 0.90 | |||||||||||||||
Total income from investment operations | 0.94 | 1.44 | 0.15 | 0.63 | 1.06 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.15 | ) | (0.25 | ) | (0.11 | ) | (0.24 | ) | (0.12 | ) | ||||||||||
Total distributions | (0.15 | ) | (0.25 | ) | (0.11 | ) | (0.24 | ) | (0.12 | ) | ||||||||||
Net asset value, end of year | $ | 10.88 | $ | 10.09 | $ | 8.90 | $ | 8.86 | $ | 8.47 | ||||||||||
Total return + | 9.37 | % | 16.59 | % | 1.83 | % | 7.56 | % | 14.22 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 18,576 | $ | 15,855 | $ | 23,843 | $ | 24,475 | $ | 23,718 | ||||||||||
Ratios of expenses to average net assets: | 1.44 | % | 1.39 | % | 1.60 | % | 1.91 | % | 1.52 | % | ||||||||||
Ratios of net investment income to average net assets: | 1.07 | % | 1.70 | % | 1.13 | % | 0.90 | % | 1.99 | % | ||||||||||
Portfolio turnover rate | 129 | % | 62 | % | 51 | % | 69 | % | 71 | % |
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 10.06 | $ | 8.88 | $ | 8.83 | $ | 8.45 | $ | 7.52 | $ | 9.90 | $ | 8.74 | $ | 8.70 | $ | 8.32 | $ | 7.40 | ||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.09 | 0.13 | 0.08 | 0.06 | 0.14 | 0.01 | 0.06 | 0.01 | (0.01 | ) | 0.08 | |||||||||||||||||||||||||||||
Net realized and unrealized gain | 0.82 | 1.27 | 0.06 | 0.55 | 0.90 | 0.80 | 1.26 | 0.06 | 0.55 | 0.89 | ||||||||||||||||||||||||||||||
Total income from investment operations | 0.91 | 1.40 | 0.14 | 0.61 | 1.04 | 0.81 | 1.32 | 0.07 | 0.54 | 0.97 | ||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.12 | ) | (0.22 | ) | (0.09 | ) | (0.23 | ) | (0.11 | ) | (0.05 | ) | (0.16 | ) | (0.03 | ) | (0.16 | ) | (0.05 | ) | ||||||||||||||||||||
Total distributions | (0.12 | ) | (0.22 | ) | (0.09 | ) | (0.23 | ) | (0.11 | ) | (0.05 | ) | (0.16 | ) | (0.03 | ) | (0.16 | ) | (0.05 | ) | ||||||||||||||||||||
Net asset value, end of year | $ | 10.85 | $ | 10.06 | $ | 8.88 | $ | 8.83 | $ | 8.45 | $ | 10.66 | $ | 9.90 | $ | 8.74 | $ | 8.70 | $ | 8.32 | ||||||||||||||||||||
Total return + | 9.10 | % | 16.21 | % | 1.63 | % | 7.33 | % | 13.96 | % | 8.21 | % | 15.35 | % | 0.84 | % | 6.49 | % | 13.14 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 4,509 | $ | 4,368 | $ | 4,470 | $ | 2,994 | $ | 7,530 | $ | 4,046 | $ | 3,765 | $ | 3,867 | $ | 4,130 | $ | 3,471 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 1.69 | % | 1.64 | % | 1.85 | % | 2.16 | % | 1.77 | % | 2.44 | % | 2.39 | % | 2.60 | % | 2.91 | % | 2.52 | % | ||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | 0.83 | % | 1.45 | % | 0.88 | % | 0.65 | % | 1.74 | % | 0.08 | % | 0.70 | % | 0.13 | % | (0.10 | )% | 0.99 | % | ||||||||||||||||||||
Portfolio turnover rate | 129 | % | 62 | % | 51 | % | 69 | % | 71 | % | 129 | % | 62 | % | 51 | % | 69 | % | 71 | % |
* | 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. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
See accompanying notes to financial statements.
97 |
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, | ||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||
Net asset value, beginning of year | $ | 14.55 | $ | 11.74 | $ | 10.60 | $ | 9.96 | $ | 8.70 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income * | 0.13 | 0.16 | 0.12 | 0.06 | 0.06 | |||||||||||||||
Net realized and unrealized gain | 1.70 | 2.78 | 1.07 | 0.64 | 1.25 | |||||||||||||||
Total income from investment operations | 1.83 | 2.94 | 1.19 | 0.70 | 1.31 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.17 | ) | (0.13 | ) | (0.05 | ) | (0.06 | ) | (0.05 | ) | ||||||||||
Total distributions | (0.17 | ) | (0.13 | ) | (0.05 | ) | (0.06 | ) | (0.05 | ) | ||||||||||
Net asset value, end of year | $ | 16.21 | $ | 14.55 | $ | 11.74 | $ | 10.60 | $ | 9.96 | ||||||||||
Total return + | 12.64 | % | 25.30 | % | 11.29 | % | 7.06 | % | 15.11 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 41,917 | $ | 37,688 | $ | 37,650 | $ | 34,171 | $ | 31,436 | ||||||||||
Ratios of expenses to average net assets: | 1.26 | % | 1.00 | % | 1.17 | % | 1.62 | % | 1.40 | % | ||||||||||
Ratios of net investment income to average net assets | 0.82 | % | 1.25 | % | 1.04 | % | 0.53 | % | 0.61 | % | ||||||||||
Portfolio turnover rate | 22 | % | 16 | % | 30 | % | 30 | % | 23 | % |
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 14.52 | $ | 11.72 | $ | 10.57 | $ | 9.95 | $ | 8.69 | $ | 14.09 | $ | 11.36 | $ | 10.31 | $ | 9.73 | $ | 8.53 | ||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.09 | 0.13 | 0.09 | 0.04 | 0.01 | (0.03 | ) | 0.03 | 0.00 | (a) | (0.05 | ) | (0.04 | ) | ||||||||||||||||||||||||||
Net realized and unrealized gain | 1.69 | 2.77 | 1.08 | 0.64 | 1.28 | 1.65 | 2.71 | 1.05 | 0.63 | 1.24 | ||||||||||||||||||||||||||||||
Total income from investment operations | 1.78 | 2.90 | 1.17 | 0.68 | 1.29 | 1.62 | 2.74 | 1.05 | 0.58 | 1.20 | ||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.14 | ) | (0.10 | ) | (0.02 | ) | (0.06 | ) | (0.03 | ) | (0.03 | ) | (0.01 | ) | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||||
Total distributions | (0.14 | ) | (0.10 | ) | (0.02 | ) | (0.06 | ) | (0.03 | ) | (0.03 | ) | (0.01 | ) | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||||
Net asset value, end of year | $ | 16.16 | $ | 14.52 | $ | 11.72 | $ | 10.57 | $ | 9.95 | $ | 15.68 | $ | 14.09 | $ | 11.36 | $ | 10.31 | $ | 9.73 | ||||||||||||||||||||
Total return + | 12.31 | % | 24.99 | % | 11.04 | % | 6.78 | % | 14.82 | % | 11.49 | % # | 24.09 | % # | 10.18 | % | 5.96 | % | 14.07 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 7,685 | $ | 4,980 | $ | 2,969 | $ | 2,874 | $ | 3,844 | $ | 5,639 | $ | 5,029 | $ | 5,431 | $ | 6,129 | $ | 5,769 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 1.51 | % | 1.25 | % | 1.42 | % | 1.87 | % | 1.65 | % | 2.26 | % | 2.00 | % | 2.17 | % | 2.62 | % | 2.40 | % | ||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | 0.57 | % | 0.99 | % | 0.79 | % | 0.28 | % | 0.36 | % | (0.18 | )% | 0.25 | % | 0.04 | % | (0.47 | )% | (0.39 | )% | ||||||||||||||||||||
Portfolio turnover rate | 22 | % | 16 | % | 30 | % | 30 | % | 23 | % | 22 | % | 16 | % | 30 | % | 30 | % | 23 | % |
* | 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. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares |
(a) | Represents less than $0.01 per share. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
See accompanying notes to financial statements.
98 |
FINANCIAL HIGHLIGHTS |
Dunham Alternative Income Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period. |
Class N | ||||||||||||
Period Ended | ||||||||||||
Year Ended | Year Ended | October 31, | ||||||||||
Oct. 31, 2014 | Oct. 31, 2013 | 2012* | ||||||||||
Net asset value, beginning of period | $ | 11.24 | $ | 9.73 | $ | 10.00 | ||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)** | 0.28 | 0.17 | (0.07 | ) | ||||||||
Net realized and unrealized gain (loss) | 0.57 | 1.46 | (0.20 | ) | ||||||||
Total income (loss) from investment operations | 0.85 | 1.63 | (0.27 | ) | ||||||||
Less distributions: | ||||||||||||
Distributions from net investment income | (0.25 | ) | (0.12 | ) | 0.00 | |||||||
Distributions from net realized gains | (0.26 | ) | 0.00 | 0.00 | ||||||||
Total distributions | (0.51 | ) | (0.12 | ) | 0.00 | |||||||
Net asset value, end of period | $ | 11.58 | $ | 11.24 | $ | 9.73 | ||||||
Total return + | 7.76 | % | 16.84 | % | (2.70 | )% | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 2,961 | $ | 1,099 | $ | 341 | ||||||
Ratios of expenses to average net assets ^ | 1.83 | % | 2.90 | % | 9.47 | % | ||||||
Ratios of net investment income (loss) to average net assets ^ | 2.40 | % | 1.66 | % | (6.42 | )% | ||||||
Portfolio turnover rate | 120 | % | 69 | % | 7 | % (1) |
Class A | Class C | |||||||||||||||||||||||
Period Ended | Period Ended | |||||||||||||||||||||||
Year Ended | Year Ended | October 31, | Year Ended | Year Ended | October 31, | |||||||||||||||||||
Oct. 31, 2014 | Oct. 31, 2013 | 2012* | Oct. 31, 2014 | Oct. 31, 2013 | 2012* | |||||||||||||||||||
Net asset value, beginning of period | $ | 11.24 | $ | 9.73 | $ | 10.00 | $ | 11.21 | $ | 9.72 | $ | 10.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)** | 0.26 | 0.15 | (0.08 | ) | 0.17 | 0.07 | (0.11 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.56 | 1.46 | (0.19 | ) | 0.56 | 1.46 | (0.17 | ) | ||||||||||||||||
Total income (loss) from investment operations | 0.82 | 1.61 | (0.27 | ) | 0.73 | 1.53 | (0.28 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | (0.23 | ) | (0.10 | ) | 0.00 | (0.15 | ) | (0.04 | ) | 0.00 | ||||||||||||||
Distributions from net realized gains | (0.26 | ) | 0.00 | 0.00 | (0.26 | ) | 0.00 | 0.00 | ||||||||||||||||
Total distributions | (0.49 | ) | (0.10 | ) | 0.00 | (0.41 | ) | (0.04 | ) | 0.00 | ||||||||||||||
Net asset value, end of period | $ | 11.57 | $ | 11.24 | $ | 9.73 | $ | 11.53 | $ | 11.21 | $ | 9.72 | ||||||||||||
Total return + | 7.43 | % | 16.60 | % | (2.70 | )% | 6.68 | % | 15.75 | % | (2.80 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 2,768 | $ | 2,405 | $ | 1,106 | $ | 2,157 | $ | 1,466 | $ | 525 | ||||||||||||
Ratios of expenses to average net assets ^ | 2.08 | % | 3.15 | % | 9.72 | % | 2.83 | % | 3.90 | % | 10.47 | % | ||||||||||||
Ratios of net investment income (loss) to average net assets ^ | 2.36 | % | 1.42 | % | (6.67 | )% | 1.56 | % | 0.67 | % | (7.42 | )% | ||||||||||||
Portfolio turnover rate | 120 | % | 69 | % | 7 | % (1) | 120 | % | 69 | % | 7 | % (1) |
* | The Fund commenced operations on September 14, 2012. |
** | The net investment income (loss) per share data was determined using the average shares outstanding throughout each period. |
^ | Annualized for periods less than one year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
(1) | Not annualized. |
See accompanying notes to financial statements.
99 |
FINANCIAL HIGHLIGHTS |
Dunham Focused Large Cap Growth Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period.
Class N | ||||||||||||
Year Ended | Year Ended | Period Ended | ||||||||||
October 31, | October 31, | October 31, | ||||||||||
2014 | 2013 | 2012* | ||||||||||
Net asset value, beginning of period | $ | 14.02 | $ | 10.42 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment loss** | (0.11 | ) | (0.10 | ) | (0.16 | ) | ||||||
Net realized and unrealized gain | 1.29 | 3.70 | 0.58 | |||||||||
Total income from investment operations | 1.18 | 3.60 | 0.42 | |||||||||
Less distributions: | ||||||||||||
Distributions from net realized gains | (0.19 | ) | 0.00 | 0.00 | ||||||||
Total distributions | (0.19 | ) | 0.00 | 0.00 | ||||||||
Net asset value, end of period | $ | 15.01 | $ | 14.02 | $ | 10.42 | ||||||
Total return + | 8.48 | % | 34.55 | % | 4.20 | % | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 37,106 | $ | 814 | $ | 450 | ||||||
Ratios of expenses to average net assets: | ||||||||||||
Before fee waivers ^ | 1.16 | % | 1.71 | % | 2.11 | % | ||||||
After fee waivers ^ | 1.16 | % | 1.69 | % | 1.80 | % | ||||||
Ratios of net investment loss to average net assets: | ||||||||||||
Before fee waivers ^ | (0.76 | )% | (0.70 | )% | (1.06 | )% | ||||||
After fee waivers ^ | (0.76 | )% | (0.67 | )% | (0.75 | )% | ||||||
Portfolio turnover rate | 29 | % | 91 | % | 27 | % (1) |
Class A | Class C | |||||||||||||||||||||||
Year Ended | Year Ended | Period Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
October 31, | October 31, | October 31, | October 31, | October 31, | October 31, | |||||||||||||||||||
2014 | 2013 | 2012* | 2014 | 2013 | 2012* | |||||||||||||||||||
Net asset value, beginning of period | $ | 13.96 | $ | 10.39 | $ | 10.00 | $ | 13.76 | $ | 10.33 | $ | 10.00 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment loss** | (0.21 | ) | (0.11 | ) | (0.09 | ) | (0.26 | ) | (0.26 | ) | (0.30 | ) | ||||||||||||
Net realized and unrealized gain | 1.35 | 3.68 | 0.48 | 1.28 | 3.69 | 0.63 | ||||||||||||||||||
Total income from investment operations | 1.14 | 3.57 | 0.39 | 1.02 | 3.43 | 0.33 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net realized gains | (0.19 | ) | 0.00 | 0.00 | (0.19 | ) | 0.00 | 0.00 | ||||||||||||||||
Total distributions | (0.19 | ) | 0.00 | 0.00 | (0.19 | ) | 0.00 | 0.00 | ||||||||||||||||
Net asset value, end of period | $ | 14.91 | $ | 13.96 | $ | 10.39 | $ | 14.59 | $ | 13.76 | $ | 10.33 | ||||||||||||
Total return + | 8.23 | % | 34.36 | % | 3.90 | % | 7.47 | % | 33.20 | % | 3.30 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 19,949 | $ | 11,399 | $ | 10,344 | $ | 4,361 | $ | 510 | $ | 146 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before fee waivers ^ | 1.41 | % | 1.96 | % | 2.36 | % | 2.16 | % | 2.71 | % | 3.11 | % | ||||||||||||
After fee waivers ^ | 1.41 | % | 1.94 | % | 2.05 | % | 2.16 | % | 2.69 | % | 2.80 | % | ||||||||||||
Ratios of net investment loss to average net assets: | ||||||||||||||||||||||||
Before fee waivers ^ | (1.48 | )% | (0.95 | )% | (1.31 | )% | (1.87 | )% | (1.70 | )% | (2.06 | )% | ||||||||||||
After fee waivers ^ | (1.48 | )% | (0.92 | )% | (1.00 | )% | (1.87 | )% | (1.67 | )% | (1.75 | )% | ||||||||||||
Portfolio turnover rate | 29 | % | 91 | % | 27 | % (1) | 29 | % | 91 | % | 27 | % (1) |
* | The Fund commenced operations on December 8, 2011. |
** | The net investment loss per share data was determined using the average shares outstanding throughout each period |
^ | Annualized for periods less than a year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
(1) | Not annualized. |
See accompanying notes to financial statements.
100 |
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, | ||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||
Net asset value, beginning of year | $ | 16.53 | $ | 15.79 | $ | 13.80 | $ | 12.84 | $ | 9.27 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income * | 0.13 | 0.23 | 0.21 | 0.14 | 0.14 | |||||||||||||||
Net realized and unrealized gain | 3.20 | 1.27 | 1.90 | 0.98 | 3.54 | |||||||||||||||
Total income from investment operations | 3.33 | 1.50 | 2.11 | 1.12 | 3.68 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.20 | ) | (0.23 | ) | (0.12 | ) | (0.16 | ) | (0.11 | ) | ||||||||||
Distributions from net realized gains | (0.39 | ) | (0.53 | ) | 0.00 | 0.00 | 0.00 | |||||||||||||
Total distributions | (0.59 | ) | (0.76 | ) | (0.12 | ) | (0.16 | ) | (0.11 | ) | ||||||||||
Net asset value, end of year | $ | 19.27 | $ | 16.53 | $ | 15.79 | $ | 13.80 | $ | 12.84 | ||||||||||
Total return + | 21.09 | % | 9.85 | % | 15.46 | % | 8.82 | % | 39.91 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 37,143 | $ | 33,545 | $ | 20,424 | $ | 12,507 | $ | 7,686 | ||||||||||
Ratios of expenses to average net assets: | 1.59 | % | 1.30 | % | 1.46 | % | 1.51 | % | 2.26 | % | ||||||||||
Ratios of net investment income to average net assets: | 0.77 | % | 1.40 | % | 1.42 | % | 1.09 | % | 1.22 | % | ||||||||||
Portfolio turnover rate | 97 | % | 163 | % | 123 | % | 59 | % | 157 | % |
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 16.55 | $ | 15.77 | $ | 13.80 | $ | 12.85 | $ | 9.27 | $ | 16.02 | $ | 15.33 | $ | 13.40 | $ | 12.49 | $ | 9.01 | ||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) * | 0.08 | 0.15 | 0.21 | 0.13 | 0.10 | (0.04 | ) | 0.07 | 0.07 | 0.01 | 0.02 | |||||||||||||||||||||||||||||
Net realized and unrealized gain | 3.22 | 1.31 | 1.87 | 0.95 | 3.56 | 3.11 | 1.23 | 1.86 | 0.94 | 3.46 | ||||||||||||||||||||||||||||||
Total income from investment operations | 3.30 | 1.46 | 2.08 | 1.08 | 3.66 | 3.07 | 1.30 | 1.93 | 0.95 | 3.48 | ||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.13 | ) | (0.15 | ) | (0.11 | ) | (0.13 | ) | (0.08 | ) | (0.05 | ) | (0.08 | ) | 0.00 | (0.04 | ) | 0.00 | ||||||||||||||||||||||
Distributions from net realized gains | (0.39 | ) | (0.53 | ) | 0.00 | 0.00 | 0.00 | (0.39 | ) | (0.53 | ) | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||
Total distributions | (0.52 | ) | (0.68 | ) | (0.11 | ) | (0.13 | ) | (0.08 | ) | (0.44 | ) | (0.61 | ) | 0.00 | (0.04 | ) | 0.00 | ||||||||||||||||||||||
Net asset value, end of year | $ | 19.33 | $ | 16.55 | $ | 15.77 | $ | 13.80 | $ | 12.85 | $ | 18.65 | $ | 16.02 | $ | 15.33 | $ | 13.40 | $ | 12.49 | ||||||||||||||||||||
Total return + | 20.73 | % | 9.60 | % | 15.20 | % | 8.48 | % | 39.66 | % | 19.88 | % | 8.73 | % | 14.40 | % | 7.65 | % | 38.62 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 3,913 | $ | 2,539 | $ | 709 | $ | 6,962 | $ | 47 | $ | 4,166 | $ | 2,684 | $ | 2,370 | $ | 1,944 | $ | 1,310 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 1.84 | % | 1.55 | % | 1.71 | % | 1.76 | % | 2.51 | % | 2.59 | % | 2.30 | % | 2.46 | % | 2.51 | % | 3.26 | % | ||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | 0.48 | % | 1.15 | % | 1.17 | % | 0.81 | % | 0.97 | % | (0.24 | )% | 0.40 | % | 0.42 | % | 0.07 | % | 0.22 | % | ||||||||||||||||||||
Portfolio turnover rate | 97 | % | 163 | % | 123 | % | 59 | % | 157 | % | 97 | % | 163 | % | 123 | % | 59 | % | 157 | % |
* | 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. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
See accompanying notes to financial statements.
101 |
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, | ||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||
Net asset value, beginning of year | $ | 15.22 | $ | 12.05 | $ | 11.85 | $ | 12.79 | $ | 11.12 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income* | 0.15 | 0.07 | 0.14 | 0.15 | 0.08 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.10 | 3.24 | 0.22 | (0.98 | ) | 1.80 | ||||||||||||||
Total income (loss) from investment operations | 0.25 | 3.31 | 0.36 | (0.83 | ) | 1.88 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.26 | ) | (0.14 | ) | (0.16 | ) | (0.11 | ) | (0.21 | ) | ||||||||||
Total distributions | (0.26 | ) | (0.14 | ) | (0.16 | ) | (0.11 | ) | (0.21 | ) | ||||||||||
Net asset value, end of year | $ | 15.21 | $ | 15.22 | $ | 12.05 | $ | 11.85 | $ | 12.79 | ||||||||||
Total return + # | 1.66 | % | 27.64 | % | 3.16 | % | (6.56 | )% | 17.15 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 57,359 | $ | 49,815 | $ | 44,947 | $ | 39,163 | $ | 36,546 | ||||||||||
Ratios of expenses to average net assets: | 2.04 | % | 2.11 | % | 1.97 | % | 2.28 | % | 2.53 | % | ||||||||||
Ratios of net investment income to average net assets: | 0.99 | % | 0.52 | % | 1.24 | % | 1.19 | % | 0.67 | % | ||||||||||
Portfolio turnover rate | 117 | % | 131 | % | 142 | % | 110 | % | 118 | % |
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 15.19 | $ | 12.03 | $ | 11.84 | $ | 12.79 | $ | 11.13 | $ | 14.70 | $ | 11.64 | $ | 11.44 | $ | 12.37 | $ | 10.78 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.15 | 0.06 | 0.10 | 0.18 | 0.04 | (0.00 | ) (a) | (0.06 | ) | 0.03 | 0.02 | (0.04 | ) | |||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.06 | 3.22 | 0.22 | (1.04 | ) | 1.82 | 0.10 | 3.13 | 0.21 | (0.95 | ) | 1.75 | ||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.21 | 3.28 | 0.32 | (0.86 | ) | 1.86 | 0.10 | 3.07 | 0.24 | (0.93 | ) | 1.71 | ||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.24 | ) | (0.12 | ) | (0.13 | ) | (0.09 | ) | (0.20 | ) | (0.12 | ) | (0.01 | ) | (0.04 | ) | 0.00 | (0.12 | ) | |||||||||||||||||||||
Total distributions | (0.24 | ) | (0.12 | ) | (0.13 | ) | (0.09 | ) | (0.20 | ) | (0.12 | ) | (0.01 | ) | (0.04 | ) | 0.00 | (0.12 | ) | |||||||||||||||||||||
Net asset value, end of year | $ | 15.16 | $ | 15.19 | $ | 12.03 | $ | 11.84 | $ | 12.79 | $ | 14.68 | $ | 14.70 | $ | 11.64 | $ | 11.44 | $ | 12.37 | ||||||||||||||||||||
Total return + # | 1.35 | % | 27.40 | % | 2.80 | % | (6.78 | )% | 16.85 | % | 0.67 | % | 26.40 | % | 2.10 | % | (7.52 | )% | 16.00 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 7,871 | $ | 4,741 | $ | 1,580 | $ | 1,309 | $ | 322 | $ | 6,551 | $ | 5,627 | $ | 5,881 | $ | 6,849 | $ | 7,036 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 2.29 | % | 2.36 | % | 2.22 | % | 2.53 | % | 2.78 | % | 3.04 | % | 3.11 | % | 2.97 | % | 3.28 | % | 3.53 | % | ||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | 0.97 | % | 0.41 | % | 0.99 | % | 0.94 | % | 0.42 | % | (0.02 | )% | (0.46 | )% | 0.24 | % | 0.19 | % | (0.33 | )% | ||||||||||||||||||||
Portfolio turnover rate | 117 | % | 131 | % | 142 | % | 110 | % | 118 | % | 117 | % | 131 | % | 142 | % | 110 | % | 118 | % |
* | 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. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(a) | Represents less than $0.01 per share. |
See accompanying notes to financial statements.
102 |
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, | ||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||
Net asset value, beginning of year | $ | 14.65 | $ | 11.21 | $ | 10.44 | $ | 9.78 | $ | 7.94 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income * | 0.04 | 0.07 | 0.00 | (a) | 0.02 | 0.03 | ||||||||||||||
Net realized and unrealized gain | 1.45 | 3.40 | 0.77 | 0.66 | 1.90 | |||||||||||||||
Total income from investment operations | 1.49 | 3.47 | 0.77 | 0.68 | 1.93 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.02 | ) | (0.03 | ) | 0.00 | (0.02 | ) | (0.09 | ) | |||||||||||
Distributions from net realized gains | (0.67 | ) | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||
Total distributions | (0.69 | ) | (0.03 | ) | 0.00 | (0.02 | ) | (0.09 | ) | |||||||||||
Net asset value, end of year | $ | 15.45 | $ | 14.65 | $ | 11.21 | $ | 10.44 | $ | 9.78 | ||||||||||
Total return + # | 10.30 | % | 31.05 | % | 7.38 | % | 6.94 | % | 24.39 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 23,783 | $ | 16,640 | $ | 15,764 | $ | 14,739 | $ | 14,378 | ||||||||||
Ratios of expenses to average net assets: | 1.45 | % | 1.29 | % | 2.02 | % | 2.10 | % | 2.08 | % | ||||||||||
Ratios of net investment income to average net assets: | 0.27 | % | 0.62 | % | 0.04 | % | 0.06 | % | 0.37 | % | ||||||||||
Portfolio turnover rate | 106 | % | 147 | % | 62 | % | 50 | % | 41 | % |
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 14.59 | $ | 11.16 | $ | 10.40 | $ | 9.75 | $ | 7.92 | $ | 13.74 | $ | 10.59 | $ | 9.96 | $ | 9.40 | $ | 7.65 | ||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | (0.00 | ) | 0.01 | 0.00 | (a) | (0.01 | ) | 0.00 | (a) | (0.10 | ) | (0.03 | ) | (0.10 | ) | (0.09 | ) | (0.06 | ) | |||||||||||||||||||||
Net realized and unrealized gain | 1.44 | 3.42 | 0.76 | 0.66 | 1.89 | 1.35 | 3.18 | 0.73 | 0.65 | 1.82 | ||||||||||||||||||||||||||||||
Total income from investment operations | 1.44 | 3.43 | 0.76 | 0.65 | 1.89 | 1.25 | 3.15 | 0.63 | 0.56 | 1.76 | ||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | 0.00 | 0.00 | 0.00 | 0.00 | (0.06 | ) | 0.00 | 0.00 | 0.00 | 0.00 | (0.01 | ) | ||||||||||||||||||||||||||||
Distributions from net realized gains | (0.67 | ) | 0.00 | 0.00 | 0.00 | 0.00 | (0.67 | ) | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||
Total distributions | (0.67 | ) | 0.00 | 0.00 | 0.00 | (0.06 | ) | (0.67 | ) | 0.00 | 0.00 | 0.00 | (0.01 | ) | ||||||||||||||||||||||||||
Net asset value, end of year | $ | 15.36 | $ | 14.59 | $ | 11.16 | $ | 10.40 | $ | 9.75 | $ | 14.32 | $ | 13.74 | $ | 10.59 | $ | 9.96 | $ | 9.40 | ||||||||||||||||||||
Total return + # | 10.02 | % | 30.74 | % | 7.31 | % | 6.67 | % | 24.01 | % | 9.22 | % | 29.75 | % | 6.33 | % | 5.96 | % | 23.02 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 3,268 | $ | 1,756 | $ | 567 | $ | 193 | $ | 154 | $ | 2,494 | $ | 2,057 | $ | 2,099 | $ | 2,574 | $ | 2,341 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 1.70 | % | 1.54 | % | 2.27 | % | 2.35 | % | 2.33 | % | 2.45 | % | 2.29 | % | 3.02 | % | 3.10 | % | 3.08 | % | ||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | (0.06 | )% | 0.15 | % | (0.21 | )% | (0.22 | )% | 0.12 | % | (0.70 | )% | (0.37 | )% | (0.96 | )% | (0.95 | )% | (0.63 | )% | ||||||||||||||||||||
Portfolio turnover rate | 106 | % | 147 | % | 62 | % | 50 | % | 41 | % | 106 | % | 147 | % | 62 | % | 50 | % | 41 | % |
* | 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. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
(a) | Represents less than $0.01 per share. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
See accompanying notes to financial statements.
103 |
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, | ||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||
Net asset value, beginning of year | $ | 14.66 | $ | 13.82 | $ | 13.43 | $ | 16.03 | $ | 13.41 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)* | 0.20 | 0.00 | (a) | 0.04 | (0.05 | ) | (0.11 | ) | ||||||||||||
Net realized and unrealized gain (loss) ** | (0.11 | ) | 0.84 | 0.35 | (2.55 | ) | 3.01 | |||||||||||||
Total income (loss) from investment operations | 0.09 | 0.84 | 0.39 | (2.60 | ) | 2.90 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment income | 0.00 | 0.00 | 0.00 | 0.00 | (0.28 | ) | ||||||||||||||
Total distributions | 0.00 | 0.00 | 0.00 | 0.00 | (0.28 | ) | ||||||||||||||
Net asset value, end of year | $ | 14.75 | $ | 14.66 | $ | 13.82 | $ | 13.43 | $ | 16.03 | ||||||||||
Total return +, # | 0.61 | % | 6.08 | % | 2.90 | % | (16.22 | )% | 21.98 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 35,872 | $ | 24,736 | $ | 16,017 | $ | 14,616 | $ | 13,592 | ||||||||||
Ratios of expenses to average net assets: | 1.29 | % | 2.00 | % | 1.75 | % | 2.10 | % | 2.24 | % | ||||||||||
Ratios of net investment income (loss) to average net assets: | 1.39 | % | 0.03 | % | 0.29 | % | (0.35 | )% | (0.80 | )% | ||||||||||
Portfolio turnover rate | 108 | % | 166 | % | 104 | % | 98 | % | 206 | % |
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 14.39 | $ | 13.59 | $ | 13.23 | $ | 15.83 | $ | 13.28 | $ | 13.82 | $ | 13.16 | $ | 12.90 | $ | 15.56 | $ | 13.06 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.16 | (0.07 | ) | 0.05 | (0.12 | ) | (0.15 | ) | 0.04 | (0.14 | ) | (0.09 | ) | (0.20 | ) | (0.24 | ) | |||||||||||||||||||||||
Net realized and unrealized gain (loss) ** | (0.11 | ) | 0.87 | 0.31 | (2.48 | ) | 2.98 | (0.10 | ) | 0.80 | 0.35 | (2.46 | ) | 2.91 | ||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.05 | 0.80 | 0.36 | (2.60 | ) | 2.83 | (0.06 | ) | 0.66 | 0.26 | (2.66 | ) | 2.67 | |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | 0.00 | 0.00 | 0.00 | 0.00 | (0.28 | ) | 0.00 | 0.00 | 0.00 | 0.00 | (0.17 | ) | ||||||||||||||||||||||||||||
Total distributions | 0.00 | 0.00 | 0.00 | 0.00 | (0.28 | ) | 0.00 | 0.00 | 0.00 | 0.00 | (0.17 | ) | ||||||||||||||||||||||||||||
Net asset value, end of year | $ | 14.44 | $ | 14.39 | $ | 13.59 | $ | 13.23 | $ | 15.83 | $ | 13.76 | $ | 13.82 | $ | 13.16 | $ | 12.90 | $ | 15.56 | ||||||||||||||||||||
Total return +, # | 0.35 | % | 5.89 | % | 2.72 | % | (16.42 | )% | 21.62 | % | (0.43 | )% | 5.02 | % | 2.02 | % | (17.10 | )% | 20.67 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 4,036 | $ | 2,475 | $ | 11,364 | $ | 951 | $ | 2,663 | $ | 3,593 | $ | 2,735 | $ | 2,497 | $ | 2,755 | $ | 2,746 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 1.54 | % | 2.25 | % | 2.00 | % | 2.35 | % | 2.49 | % | 2.29 | % | 3.00 | % | 2.75 | % | 3.10 | % | 3.24 | % | ||||||||||||||||||||
Ratios of net investment income (loss) to | ||||||||||||||||||||||||||||||||||||||||
average net assets: | 1.14 | % | (0.48 | )% | 0.04 | % | (0.80 | )% | (1.05 | )% | 0.34 | % | (1.03 | )% | (0.71 | )% | (1.35 | )% | (1.80 | )% | ||||||||||||||||||||
Portfolio turnover rate | 108 | % | 166 | % | 104 | % | 98 | % | 206 | % | 108 | % | 166 | % | 104 | % | 98 | % | 206 | % |
(a) | Represents less than $0.01 per share. |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year. |
** | The amount of net realized and unrealized loss on investment per share for the year ended October 31, 2014 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values. |
+ | Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
See accompanying notes to financial statements.
104 |
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, | ||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||
Net asset value, beginning of year | $ | 20.62 | $ | 15.69 | $ | 14.75 | $ | 13.67 | $ | 11.02 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss* | (0.29 | ) | (0.19 | ) | (0.17 | ) | (0.18 | ) | (0.24 | ) | ||||||||||
Net realized and unrealized gain | 1.11 | 6.10 | 1.11 | 1.26 | 2.89 | |||||||||||||||
Total income from investment operations | 0.82 | 5.91 | 0.94 | 1.08 | 2.65 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net realized gains | (3.73 | ) | (0.98 | ) | 0.00 | 0.00 | 0.00 | |||||||||||||
Total distributions | (3.73 | ) | (0.98 | ) | 0.00 | 0.00 | 0.00 | |||||||||||||
Net asset value, end of year | $ | 17.71 | $ | 20.62 | $ | 15.69 | $ | 14.75 | $ | 13.67 | ||||||||||
Total return + # | 3.64 | % | 40.28 | % | 6.37 | % | 7.90 | % | 24.05 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 21,153 | $ | 16,146 | $ | 14,627 | $ | 14,975 | $ | 14,301 | ||||||||||
Ratios of expenses to average net assets: | 1.84 | % | 1.35 | % | 1.34 | % | 1.45 | % | 2.22 | % | ||||||||||
Ratios of net investment loss to average net assets: | (1.61 | )% | (1.08 | )% | (1.12 | )% | (1.15 | )% | (1.88 | )% | ||||||||||
Portfolio turnover rate | 192 | % | 231 | % | 211 | % | 235 | % | 194 | % |
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 20.28 | $ | 15.49 | $ | 14.59 | $ | 13.56 | $ | 10.96 | $ | 18.66 | $ | 14.43 | $ | 13.69 | $ | 12.82 | $ | 10.44 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment loss* | (0.34 | ) | (0.24 | ) | (0.21 | ) | (0.24 | ) | (0.25 | ) | (0.42 | ) | (0.32 | ) | (0.30 | ) | (0.31 | ) | (0.34 | ) | ||||||||||||||||||||
Net realized and unrealized gain | 1.10 | 6.01 | 1.11 | 1.27 | 2.85 | 1.00 | 5.53 | 1.04 | 1.18 | 2.72 | ||||||||||||||||||||||||||||||
Total income from investment operations | 0.76 | 5.77 | 0.90 | 1.03 | 2.60 | 0.58 | 5.21 | 0.74 | 0.87 | 2.38 | ||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (3.73 | ) | (0.98 | ) | 0.00 | 0.00 | 0.00 | (3.73 | ) | (0.98 | ) | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||
Total distributions | (3.73 | ) | (0.98 | ) | 0.00 | 0.00 | 0.00 | (3.73 | ) | (0.98 | ) | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||
Net asset value, end of year | $ | 17.31 | $ | 20.28 | $ | 15.49 | $ | 14.59 | $ | 13.56 | $ | 15.51 | $ | 18.66 | $ | 14.43 | $ | 13.69 | $ | 12.82 | ||||||||||||||||||||
Total return + # | 3.36 | % | 39.88 | % | 6.17 | % | 7.60 | % | 23.72 | % | 2.56 | % | 38.87 | % | 5.41 | % | 6.79 | % | 22.80 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 6,443 | $ | 5,890 | $ | 2,418 | $ | 1,950 | $ | 852 | $ | 3,165 | $ | 2,685 | $ | 2,694 | $ | 3,193 | $ | 3,291 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 2.09 | % | 1.60 | % | 1.59 | % | 1.70 | % | 2.47 | % | 2.84 | % | 2.35 | % | 2.34 | % | 2.45 | % | 3.22 | % | ||||||||||||||||||||
Ratios of net investment loss to average net assets: | (1.86 | )% | (1.33 | )% | (1.37 | )% | (1.40 | )% | (2.13 | )% | (2.61 | )% | (2.08 | )% | (2.12 | )% | (2.15 | )% | (2.88 | )% | ||||||||||||||||||||
Portfolio turnover rate | 192 | % | 231 | % | 211 | % | 235 | % | 194 | % | 192 | % | 231 | % | 211 | % | 235 | % | 194 | % |
* | 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. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
See accompanying notes to financial statements.
105 |
NOTES TO FINANCIAL STATEMENTS
October 31, 2014
1. | ORGANIZATION |
Each Dunham Fund (each, a “Fund” and collectively the “Funds”) is a series of shares of beneficial interest in the Dunham Funds (the “Trust”), a Delaware Business Trust organized on November 28, 2007 and registered under the Investment Company Act of 1940, as amended, (the “1940 Act”) as an open-end management investment company. Prior to that date, the Dunham Funds were a series of AdvisorOne Funds, also a Delaware Business Trust. The Dunham Funds currently consist of sixteen funds: Corporate/Government Bond Fund; Monthly Distribution Fund; Floating Rate Bond Fund; High-Yield Bond Fund; International Opportunity Bond Fund; Dynamic Macro Fund; Alternative Strategy Fund; Appreciation & Income Fund; Large Cap Value Fund; Alternative Income Fund; Focused Large Cap Growth Fund; Real Estate Stock Fund; International Stock Fund; Small Cap Value Fund; Emerging Markets Stock Fund and Small Cap Growth Fund. Alternative Strategy Fund, Alternative Income Fund, Focused Large Cap Growth Fund, International Opportunity Bond Fund, and Real Estate Stock Fund are non-diversified funds within the meaning of the 1940 Act. The remaining Funds are diversified funds within the meaning of the 1940 Act.
Fund | Primary Objective |
Corporate/Government Bond | Current income and capital appreciation |
Monthly Distribution | Positive returns in rising and falling market environments |
Floating Rate Bond | High level of current income |
High-Yield Bond | High level of current income |
International Opportunity Bond | High level of current income |
Dynamic Macro | Maximize total return from capital appreciation and dividends |
Alternative Strategy | Long-term capital appreciation by realizing gains during periods of rising and declining markets |
Appreciation & Income | Total return under varying market conditions through both current income and capital appreciation |
Large Cap Value | Maximize total return from capital appreciation and dividends |
Alternative Income | Maximize income |
Focused Large Cap Growth | Maximize capital appreciation |
Real Estate Stock | Maximize total return from capital appreciation and dividends |
International Stock | Maximize total return from capital appreciation and dividends |
Small Cap Value | Maximize total return from capital appreciation and income |
Emerging Markets Stock | Maximize capital appreciation |
Small Cap Growth | Maximize capital appreciation |
Currently, each Fund offers Class A, Class C and Class N shares. Each class represents an interest in the same assets of the applicable Fund with the only differences being that Class A shares are subject to a front-end sales charge and an annual distribution fee, Class C shares are subject to an annual service and distribution fee and Class N shares have a higher minimum investment amount. Investors that purchase $1,000,000 or more of Class A shares will not pay any initial sales charge on the purchase. However, purchases of $1,000,000 or more of Class A shares may be subject to a contingent deferred sales charge (“CDSC”) on shares redeemed during the first 18 months after their purchase in the amount of the commissions paid on the shares redeemed. The Class C and Class N shares, with the exception of Monthly Distribution, High-Yield Bond, Dynamic Macro, Focused Large Cap Growth, Alternative Income, Alternative Strategy, Floating Rate Bond, and International Opportunity Bond commenced operations on December 10, 2004 and were formed as a result of tax-free conversions from common trusts. The conversions were accomplished through the exchange of the common trust securities, cash, and other assets for equivalent value of the Funds’ shares. High-Yield Bond Class C and Class N shares commenced operations on July 1, 2005. The Class A shares for all Funds except Monthly Distribution, Dynamic Macro, Focused Large Cap Growth, Alternative Income, Alternative Strategy, Floating Rate Bond, and International Opportunity Bond commenced operations on January 3, 2007. Monthly Distribution’s Predecessor Fund’s Class A shares and Class C shares commenced operations on December 26, 2000. Monthly Distribution’s Class N shares commenced operations on September 29, 2008. Dynamic Macro commenced operations on April 30, 2010. Focused Large Cap Growth commenced operations on December 8, 2011. Alternative Income commenced operations on September 14, 2012. Effective October 1, 2014, Dynamic Macro changed its name from Loss Averse Equity Income. Alternative Strategy’s Predecessor Fund’s Class N shares commenced operations on February 13, 2009 and Alternative Strategy Class A shares commenced operations on March 25, 2009. Alternative Strategy Class C shares commenced operations on May 14, 2009. Floating Rate Bond and International Opportunity Bond commenced operations on November 1, 2013.
2. | SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
106 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
The following is a summary of significant accounting policies followed by the Fund in preparation of their financial statements.
a. Security Valuation – In determining each Fund’s Net Asset Value (“NAV”) per share, equity securities for which market quotations are readily available are valued at current market value using the last reported sales price. NASDAQ traded securities are valued using the NASDAQ official closing price (“NOCP”). If no sale price is reported, the mean between the current bid and ask price is used. If market quotations are not readily available, then securities are valued at fair value as determined by the Board of Trustees of the Trust (the “Board”) (or its delegate). U.S. Government and agency securities are valued at the mean between the most recent bid and asked 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 asked 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 asked 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 asked price.
Equity swaps are valued at the last reported sale price at the close of the exchange on which the underlying security is primarily traded. If no sale price is reported, then they are valued at the mean of their most recent quoted bid and asked price.
Futures and future options are valued at the final settled price or, in the absence of a settled price, at the mean between the current bid and ask prices on the day of valuation.
Trading in securities on far eastern securities exchanges and over-the-counter markets is normally completed well before the close of business on each business day in New York (i.e., a day on which the New York Stock Exchange (“NYSE”) is open). In addition, far eastern securities trading generally, or in a particular country or countries, may not take place on all business days in New York. Furthermore, trading takes place in Japanese markets on certain Saturdays and in various foreign markets on days, which are not business days in New York, and on which a Fund’s NAV is not calculated. Each Fund calculates NAV per share, and therefore effects sales, redemptions and repurchases of its shares, as of the close of regular trading on the NYSE once on each day on which the NYSE is open. Such calculation may not take place contemporaneously with the determination of the prices of the majority of the portfolio securities used in such calculation. If events that may materially affect the value of such securities occur between the time when their price is determined and the time when the Fund’s NAV is calculated, such securities may be valued at fair value as determined in good faith in accordance with procedures approved by the Board.
Securities in which the Funds invest may be traded in markets that close before 4:00 p.m. Eastern Time (“ET”). Normally, developments that occur between the close of the foreign markets and 4:00 p.m. ET will not be reflected in a Fund’s NAV. However, Funds may determine that such developments are so significant that they will materially affect the value of the Fund’s securities, and the Fund may adjust the previous closing prices to reflect what the Board believes to be the fair value of these securities as of 4:00 p.m. ET. Effective July 1, 2009, both International Stock and Emerging Markets Stock began using fair value prices as provided by an independent pricing vendor on a daily basis for those securities traded on a foreign exchange.
Securities for which current market quotations are not readily available, or for which quotations are not deemed to be representative of market values, are valued at fair value as determined in good faith by or under the direction of the Board in accordance with the Trust’s Portfolio Securities Valuation Procedures (the “Procedures”). The Procedures consider, among others, the following factors to determine a security’s fair value: the nature and pricing history (if any) of the security; whether any dealer quotations for the security are available; and possible valuation methodologies that could be used to determine the fair value of the security.
Valuation of Fund of Funds - The Funds may invest in portfolios of open-end investment companies. Open-end funds are valued at their respective net asset values as reported by such investment companies. Open-end funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based on the methods established by the board of directors of the open-end funds.
The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities.
107 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
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, 2014 for the Funds’ assets and liabilities measured at fair value:
Corporate/Government Bond
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Bonds & Notes * | $ | — | $ | 31,153,252 | $ | — | $ | 31,153,252 | ||||||||
Foreign Government Bonds | — | 413,790 | — | 413,790 | ||||||||||||
Municipal | — | 663,126 | — | 663,126 | ||||||||||||
U.S. Government & Agency | — | 12,176,192 | — | 12,176,192 | ||||||||||||
Bank Loans | — | 4,535,823 | — | 4,535,823 | ||||||||||||
Preferred Stock * | 759,348 | — | — | 759,348 | ||||||||||||
Short-Term Investment | 1,052,461 | — | — | 1,052,461 | ||||||||||||
Total | $ | 1,811,809 | $ | 48,942,183 | $ | — | $ | 50,753,992 | ||||||||
Monthly Distribution | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock * | $ | 193,507,578 | $ | 178,812 | $ | — | $ | 193,686,390 | ||||||||
Closed End Funds * | 1,739,085 | — | — | 1,739,085 | ||||||||||||
Preferred Stock * | 25,986,791 | — | — | 25,986,791 | ||||||||||||
Bonds & Notes * | — | 23,882,272 | — | 23,882,272 | ||||||||||||
Purchased Put Options | 2,809,873 | 1,403,203 | — | 4,213,076 | ||||||||||||
Short-Term Investment | 36,047,320 | — | — | 36,047,320 | ||||||||||||
Total Assets | $ | 260,090,647 | $ | 25,464,287 | $ | — | $ | 285,554,934 | ||||||||
Derivatives | ||||||||||||||||
Forward Currency Exchange Contracts | — | 655,654 | — | 655,654 | ||||||||||||
Equity Swap Contracts | 3,048,136 | — | — | 3,048,136 | ||||||||||||
Total Derivatives | $ | 3,048,136 | $ | 655,654 | $ | — | $ | 3,703,790 | ||||||||
Liabilities-Securities Sold Short | 53,633,526 | — | 53,633,526 | |||||||||||||
Total Liabilities | $ | 53,633,526 | $ | — | $ | — | $ | 53,633,526 | ||||||||
Liabilities-Derivatives | ||||||||||||||||
Written Call Options | 4,481,836 | 485,398 | — | 4,967,234 | ||||||||||||
Written Put Options | 66,677 | — | — | 66,677 | ||||||||||||
Equity Swap Contracts | 4,385,807 | — | — | 4,385,807 | ||||||||||||
Forward Currency Exchange Contracts | — | 13,745 | — | 13,745 | ||||||||||||
Total Derivatives | $ | 8,934,320 | $ | 499,143 | $ | — | $ | 9,433,463 |
108 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
Floating Rate Bond
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 1,163,940 | $ | — | $ | — | $ | 1,163,940 | ||||||||
Bank Loans * | — | 71,328,282 | 71,328,282 | |||||||||||||
Bonds & Notes * | — | 6,140,965 | — | 6,140,965 | ||||||||||||
Short-Term Investment | 3,616,578 | — | — | 3,616,578 | ||||||||||||
Total | $ | 4,780,518 | $ | 77,469,247 | $ | — | $ | 82,249,765 | ||||||||
High-Yield Bond | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Preferred Stock | $ | 330,132 | $ | — | $ | — | $ | 330,132 | ||||||||
Bonds & Notes * | — | 130,486,509 | — | 130,486,509 | ||||||||||||
Short-Term Investment | 3,401,865 | — | — | 3,401,865 | ||||||||||||
Total | $ | 3,731,997 | $ | 130,486,509 | $ | — | $ | 134,218,506 | ||||||||
International Opportunity Bond | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Bonds & Notes * | $ | — | $ | 19,616,997 | $ | — | $ | 19,616,997 | ||||||||
Foreign Government Bond * | — | 26,311,150 | — | 26,311,150 | ||||||||||||
Collateral Mortgage Backed Security | — | 248,187 | — | 248,187 | ||||||||||||
Short-Term Investment | 419,435 | — | — | 419,435 | ||||||||||||
Total | $ | 419,435 | $ | 46,176,334 | $ | — | $ | 46,595,769 | ||||||||
Derivatives | ||||||||||||||||
Futures Contracts | $ | 21,674 | $ | — | $ | — | $ | 21,674 | ||||||||
Foreign Currency Exchange Contracts | — | 204,700 | — | 204,700 | ||||||||||||
Total | $ | 21,674 | $ | 204,700 | $ | — | $ | 226,374 | ||||||||
Liabilities-Derivatives | ||||||||||||||||
Futures Contracts | $ | 54,965 | $ | — | $ | — | $ | 54,965 | ||||||||
Foreign Currency Exchange Contracts | — | 305,677 | — | 305,677 | ||||||||||||
Total | $ | 54,965 | $ | 305,677 | $ | — | $ | 360,642 | ||||||||
Dynamic Macro | ||||||||||||||||
Exchange Traded Funds * | $ | 6,277,485 | $ | — | $ | — | $ | 6,277,485 | ||||||||
Short-Term Investments | 3,126,273 | 5,149,879 | — | 8,276,152 | ||||||||||||
Derivatives | ||||||||||||||||
Purchased Options | 485,875 | — | — | 485,875 | ||||||||||||
Futures | 166,921 | — | — | 166,921 | ||||||||||||
Total | $ | 10,056,554 | $ | 5,149,879 | $ | — | $ | 15,206,433 | ||||||||
Liabilities - Derivatives | ||||||||||||||||
Futures | $ | 39,363 | $ | — | $ | — | $ | 39,363 | ||||||||
Alternative Strategy | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds * | $ | 13,295,298 | $ | — | $ | — | $ | 13,295,298 | ||||||||
Exchange Traded Notes * | 361,380 | — | — | 361,380 | ||||||||||||
Short-Term Investment | 4,671,650 | — | — | 4,671,650 | ||||||||||||
Total | $ | 18,328,328 | $ | — | $ | — | $ | 18,328,328 |
109 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
Appreciation & Income
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock * | $ | 934,600 | $ | — | $ | — | $ | 934,600 | ||||||||
Convertible Bonds * | — | 22,453,626 | — | 22,453,626 | ||||||||||||
Preferred Stock * | 2,320,751 | — | — | 2,320,751 | ||||||||||||
Short-Term Investment | 1,286,103 | — | — | 1,286,103 | ||||||||||||
Total | $ | 4,541,454 | $ | 22,453,626 | $ | — | $ | 26,995,080 | ||||||||
Large Cap Value | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock * | $ | 54,512,782 | $ | — | $ | — | $ | 54,512,782 | ||||||||
Short-Term Investment | 613,697 | — | — | 613,697 | ||||||||||||
Total | $ | 55,126,479 | $ | — | $ | — | $ | 55,126,479 | ||||||||
Alternative Income | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock * | $ | 7,587,482 | $ | — | $ | — | $ | 7,587,482 | ||||||||
Exchange Traded Fund * | 233,120 | — | — | 233,120 | ||||||||||||
Short-Term Investment | 13,317 | — | — | 13,317 | ||||||||||||
Total | $ | 7,833,919 | $ | — | $ | — | $ | 7,833,919 | ||||||||
Focused Large Cap Growth | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock * | $ | 60,941,582 | $ | — | $ | — | $ | 60,941,582 | ||||||||
Short-Term Investment | 536,683 | — | — | 536,683 | ||||||||||||
Total | $ | 61,478,265 | $ | — | $ | — | $ | 61,478,265 | ||||||||
Real Estate Stock | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
REITS * | $ | 44,777,349 | $ | — | $ | — | $ | 44,777,349 | ||||||||
Short-Term Investment | 557,515 | — | — | 557,515 | ||||||||||||
Total | $ | 45,334,864 | $ | — | $ | — | $ | 45,334,864 | ||||||||
International Stock | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock * | $ | 18,390,075 | $ | 51,069,784 | $ | — | $ | 69,459,859 | ||||||||
Preferred Stock * | 324,004 | 299,076 | — | 623,080 | ||||||||||||
Short-Term Investment | 1,427,180 | — | — | 1,427,180 | ||||||||||||
Total Assets | $ | 20,141,259 | $ | 51,368,860 | $ | — | $ | 71,510,119 | ||||||||
Assets - Derivatives | ||||||||||||||||
Forward Currency Exchange Contracts | — | 798,709 | — | 798,709 | ||||||||||||
Total Derivatives | $ | — | $ | 798,709 | $ | — | $ | 798,709 | ||||||||
Liabilities - Derivatives | ||||||||||||||||
Forward Currency Exchange Contracts | — | (633,291 | ) | — | (633,291 | ) | ||||||||||
Total Liabilities | $ | — | $ | (633,291 | ) | $ | — | $ | (633,291 | ) |
International Stock | ||||
Transfer into Level 2 from Level 1 | $ | — | ||
Transfers out of Level 2 into Level 1 | 798,959 | |||
Net Transfers in/(out) of Level 2 | $ | 798,959 |
Transfers that were made out of Level 2 into Level 1 represent securities that are being valued using quoted prices in active market.
110 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
Small Cap Value
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock * | $ | 27,936,601 | $ | — | $ | — | $ | 27,936,601 | ||||||||
Exchange Traded Funds | 1,080,864 | — | — | 1,080,864 | ||||||||||||
Short-Term Investment | 505,644 | — | — | 505,644 | ||||||||||||
Total | $ | 29,523,109 | $ | — | $ | — | $ | 29,523,109 | ||||||||
Emerging Markets Stock | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock * | $ | 16,087,061 | $ | 21,850,906 | $ | — | $ | 37,937,967 | ||||||||
Preferred Stock * | 1,514,658 | — | — | 1,514,658 | ||||||||||||
Exchange Traded Funds | 3,105,350 | — | — | 3,105,350 | ||||||||||||
Short-Term Investment | 1,060,672 | — | — | 1,060,672 | ||||||||||||
Total | $ | 21,767,741 | $ | 21,850,906 | $ | — | $ | 43,618,647 | ||||||||
Small Cap Growth | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock * | $ | 29,521,800 | $ | — | $ | — | $ | 29,521,800 | ||||||||
Short-Term Investment | 528,758 | — | — | 528,758 | ||||||||||||
Total | $ | 30,050,558 | $ | — | $ | — | $ | 30,050,558 |
* | See each Fund’s Schedule of Investments for breakdown by industry. |
The Funds did not hold any Level 3 securities during the year.
Transfers into or out of Level 1 and 2 during the current year have been presented above. It is the Funds’ policy to recognize transfers into and out of Level 1 and Level 2 at the end of the reporting period.
b. Foreign Currency Translations – The accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency, and income receipts and expense payments, are translated into U.S. dollars using the prevailing exchange rate at the London market close. Purchases and sales of securities are translated into U.S. dollars at the contractual currency rates established at the approximate time of the trade.
Net realized gains and losses on foreign currency transactions represent net gains and losses from currency realized between the trade and settlement dates on securities transactions and the difference between income accrued versus income received. The effects of changes in foreign currency exchange rates on investments in securities are included with the net realized and unrealized gain or loss on investment securities.
c. Forward Currency Contracts – As foreign securities are purchased, a Fund generally enters into forward currency exchange contracts in order to hedge against foreign currency exchange rate risks. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. A Fund may also enter into forward currency contracts as an investment strategy consistent with that Fund’s investment objective. Realized gains and losses from contract transactions are included as a component of net realized gains (losses) from investments and foreign currency in the Statements of Operations. For the year ended October 31, 2014, Monthly Distribution, International Opportunity Bond and International Stock had net realized gains of $331,700, $77,401, and $554,307 respectively. Dynamic Macro, Alternative Income and Emerging Markets had net realized losses of $284, $212 and $23,751 respectively on forward currency contracts. At October 31, 2014, net unrealized gains for Monthly Distribution and International Stock were $1,174,415 and $258,517, respectively, and net unrealized losses for International Opportunity Bond were $100,977 on open forward currency contracts.
d. Options – Monthly Distribution and Dynamic Macro are subject to stock market risk in the normal course of pursuing their investment objectives and may purchase or sell options to help hedge against this risk.
A Fund may write call options only if it (i) owns an offsetting position in the underlying security or (ii) has an absolute or immediate right to acquire that security without additional cash consideration or exchange of other securities held in its portfolio. When a Fund writes an option, there is no taxable event and an amount equal to the premium received is recorded by that Fund as a liability. The liability is thereafter valued to reflect the current value of the option. If the option is not exercised and expires, or if a Fund effects a closing purchase transaction, the Fund realizes a gain (or loss in the case of a closing purchase transaction where the cost to close the transaction exceeds the original premium received), and the liability related to the option is extinguished. Any such gain or loss generally is a short-term capital gain or loss for federal income tax purposes. If a call option that a Fund has written on any equity security is exercised, that Fund will realizes a capital gain or loss (long-term or short-term, depending on the holding period of the underlying security) from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally
111 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
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. For the year ended October 31, 2014, Monthly Distribution had net realized losses of $7,667,178 and Dynamic Macro had net realized gains of $35,691, resulting from purchased option activity.
e. Swap Agreements – Monthly Distribution is subject to stock market risk in the normal course of pursuing its investment objectives. The Fund may enter into various swap transactions for investment purposes to manage equity risk. These are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund amortizes upfront payments and/or accrues for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of its current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statements of Assets and Liabilities. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the contract’s remaining life, to the extent that that amount is positive. For the year ended October 31, 2014, Monthly Distribution had net realized gains of $10,063,884 resulting from swap activity.
f. Futures Contracts – International Opportunity Bond and Dynamic Macro Fund are subject to interest rate risk and forward currency exchange rate risk in the normal course of pursuing its investment objective. The Funds may purchase or sell futures contracts to gain exposure to, or hedge against, changes in the value of equities and interest rates. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Fund’s agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, the Fund recognizes 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 Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund 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 Fund segregates cash having a value at least equal to the amount of the current obligation under any open futures contract. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. For the year ended October 31, 2014, International Opportunity Bond had net realized losses of $148,051. Dynamic Macro had net realized gains of 35,649. For the year ended October 31, 2014, International Opportunity Bond had net unrealized depreciation of $33,291. Dynamic Macro had net unrealized appreciation of $127,558 resulting from futures activities.
The derivative instruments outstanding as of October 31, 2014 as disclosed in the Notes to the Financial Statements and the amounts of realized and changes in unrealized gains and losses on derivative instruments during the year as disclosed in the Statements of Operations, serve as indicators of the volume of derivative activity for each Fund.
g. Short Sales – A “short sale” is a transaction in which a Fund sells a security it does not own but has borrowed in anticipation that the market price of that security will decline. The Fund would be obligated to replace the security borrowed by purchasing it on the open market at a later date. If the price of the security sold short increases between the time of the short sale and
112 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
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. For the year ended October 31, 2014, Monthly Distribution had net realized losses of $7,229,045 resulting from short sales.
h. Offsetting of Financial Assets and Derivative Assets – Monthly Distribution, International Opportunity Bond, International Stock, Dynamic Macro and Emerging Markets policies are to recognize a net asset or liability equal to the unrealized futures contracts and unrealized on forward exchange contracts. During the year ended October 31, 2014, the Funds are subject to a master netting arrangement for the swaps. The following table shows additional information regarding the offsetting of assets and liabilities at October 31, 2014.
Monthly Distribution | ||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Assets: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross Amounts | Net Amounts of Assets | |||||||||||||||||||||||
Offset in the | Presented in the | |||||||||||||||||||||||
Gross Amounts of | Statement of Assets | Statement of Assets & | Financial | Cash Collateral | ||||||||||||||||||||
Description | Recognized Assets | & Liabilities | Liabilities | Instruments | Received | Net Amount | ||||||||||||||||||
Forward Foreign | ||||||||||||||||||||||||
Currency Contracts | $ | 655,654 | $ | 13,745 | $ | 641,909 | $ | — | $ | — | $ | 641,909 | ||||||||||||
Total | $ | 655,654 | $ | 13,745 | $ | 641,909 | $ | — | $ | — | $ | 641,909 | ||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Liabilities: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||
Gross Amounts of | Offset in the | Liabilities Presented in | ||||||||||||||||||||||
Recognized | Statement of Assets | the Statement of | Financial | Cash Collateral | ||||||||||||||||||||
Description | Liabilities | & Liabilities | Assets & Liabilities | Instruments | Pledged | Net Amount | ||||||||||||||||||
Securities Sold Short | $ | (53,633,526 | ) | $ | — | $ | (53,633,526 | ) | $ | 53,633,526 | (1) | $ | — | $ | — | |||||||||
Written Options | (5,033,911 | ) | — | (5,033,911 | ) | 5,033,911 | (1) | — | — | |||||||||||||||
Equity Swap Contracts | (4,385,807 | ) | 3,048,136 | (1,337,671 | ) | — | 1,337,671 | (1) | — | |||||||||||||||
Total | $ | (63,053,244 | ) | $ | 3,048,136 | $ | (60,005,108 | ) | $ | 58,667,437 | $ | 1,337,671 | $ | — |
(1) The amount is limited to the net derivative balance and, accordingly, does not include excess collateral pledged.
International Opportunity Bond | ||||||||||||||||||||||||
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 | Liabilities | & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | ||||||||||||||||||
Futures Contracts | $ | (54,965 | ) | $ | 21,674 | $ | (33,291 | ) | $ | — | $ | 33,291 | $ | — | ||||||||||
Forward Foreign | ||||||||||||||||||||||||
Currency Contracts | (305,677 | ) | 204,700 | $ | (100,977 | ) | — | 100,977 | — | |||||||||||||||
Total | $ | (360,642 | ) | $ | 226,374 | $ | (134,268 | ) | $ | — | $ | 134,268 | $ | — |
(1) The amount is limited to the derivative liability balance and accordingly does not include excess collateral pledged.
113 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
Dynamic Macro | ||||||||||||||||||||||||
Gross Amounts Not Offset in | ||||||||||||||||||||||||
the Statement of Assets & | ||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||
Net Amounts of | ||||||||||||||||||||||||
Gross Amounts | Gross Amounts Offset | Assets Presented in | Cash | |||||||||||||||||||||
of Recognized | in the Statement of | the Statement of | Financial | Collateral | ||||||||||||||||||||
Description | Assets | Assets & Liabilities | Assets & Liabilities | Instruments | Pledged | Net Amount | ||||||||||||||||||
Futures | $ | 166,921 | $ | (39,363 | ) | $ | 127,558 | $ | — | $ | — | $ | 127,558 | |||||||||||
International Stock | ||||||||||||||||||||||||
Gross Amounts Not Offset in | ||||||||||||||||||||||||
the Statement of Assets & | ||||||||||||||||||||||||
Assets: | Liabilities | |||||||||||||||||||||||
Gross | Gross Amounts | Net Amounts of | ||||||||||||||||||||||
Amounts of | Offset in the | Assets Presented | Cash | |||||||||||||||||||||
Recognized | Statement of | in the Statement of | Financial | Collateral | ||||||||||||||||||||
Description | Assets | Assets & Liabilities | Assets & Liabilities | Instruments | Pledged | Net Amount | ||||||||||||||||||
Forward Foreign | ||||||||||||||||||||||||
Currency Contracts | $ | 798,709 | $ | (633,291 | ) | $ | 165,418 | $ | — | $ | — | $ | 165,418 |
i. Exchange Traded Funds – The Funds may invest in exchange traded funds (“ETFs”). ETFs are a type of index fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities designed to track the performance and dividend yield of a particular domestic or foreign market index. A Fund may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market while awaiting purchase of underlying securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.
j. Investment Transactions, Investment Income and Expenses – Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions and foreign exchange transactions are calculated using the identified cost method. Dividend income and expense is recorded on the ex-dividend date (“ex-date”) except in the case of certain dividends from foreign securities, which are recorded as soon after the ex-date as the respective Fund, using reasonable diligence, becomes aware of such dividends. Interest income is recorded on an accrual basis. Discounts are accreted and premiums are amortized as adjustments to interest income and the identified cost of investments. Expenses of the Trust that are directly identifiable to a specific Fund, are charged to that Fund. Expenses, which are not readily identifiable to a specific Fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the Funds. Each Fund’s income, expenses (other than the class specific distribution fees) and realized and unrealized gains and losses are allocated proportionally each day between the classes based upon the relative net assets of each class.
k. 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.
114 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
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.
l. 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 2011 to 2013 (and July 31, 2013 for Alternative Strategy), and expected to be taken in tax year 2014 and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken in the above open tax years. The Funds identify their major tax jurisdictions as U.S. Federal. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties. Generally tax authorities can examine tax returns filed for the last three years.
m. Distributions to Shareholders – It is each Fund’s policy to distribute its respective net investment income and net capital gains, if any, annually except for Monthly Distribution, Corporate/Government Bond, High-Yield Bond, Floating Rate Bond and International Opportunity Bond which will distribute their respective net investment income, if any, monthly. For Dynamic Macro and Alternative Income, dividends attributable to earned income, if any, will be declared and paid quarterly. Distributions of net investment income and net capital gains are determined in accordance with income tax regulations which may differ from GAAP. Differences in dividends from net investment income per share between the classes are due to service and distribution related expenses. Dividends and distributions to shareholders are recorded on ex-date.
n. 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. The Funds’ Fulcrum Fee arrangements have been in place, with few changes, since July 1, 2006. 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. |
115 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
Adviser’s | Sub-Adviser’s | |||||
Management Fee | Portion | Portion | ||||
Corporate/Government Bond* | 0.65% – 0.95% | 0.50% | 0.15% – 0.45% | |||
Monthly Distribution** | 0.90% – 1.90% | 0.65% | 0.25% – 1.25% | |||
Floating Rate Bond | 0.80% – 1.20% | 0.60% | 0.20% – 0.60% | |||
High-Yield Bond | 0.80% – 1.20% | 0.60% | 0.20% – 0.60% | |||
International Opportunity Bond | 0.80% – 1.30% | 0.60% | 0.20% – 0.70% | |||
Dynamic Macro*** | 1.05% – 1.75% | 0.65% | 0.40% – 1.10% | |||
Alternative Strategy | 0.95% – 1.65% | 0.65% | 0.30% – 1.00% | |||
Appreciation & Income**** | 0.85% – 1.35% | 0.65% | 0.20% – 0.70% | |||
Large Cap Value | 0.65% – 1.51% | 0.65% | 0.00% – 0.86% | |||
Alternative Income | 0.75% – 1.35% | 0.65% | 0.10% – 0.70% | |||
Focused Large Cap Growth***** | 0.85% – 1.15% | 0.65% | 0.20% – 0.50% | |||
Real Estate Stock | 0.75% – 1.35% | 0.65% | 0.10% – 0.70% | |||
International Stock | 0.95% – 1.65% | 0.65% | 0.30% – 1.00% | |||
Small Cap Value | 0.75% – 1.45% | 0.65% | 0.10% – 0.80% | |||
Emerging Markets Stock | 0.75% – 1.55% | 0.65% | 0.10% – 0.90% | |||
Small Cap Growth | 0.65% – 1.65% | 0.65% | 0.00% – 1.00% |
* | Prior to July 1, 2013, when a new fee schedule became effective, the Sub-Adviser had contractually agreed to reduce its base Sub-Advisory fee by 0.05%, from 0.35% to 0.30% annually as of May 10, 2013 until May 30, 2014. |
** | Effective April 1, 2013, the Sub-Adviser has contractually agreed to waive a portion of its fee (excluding 12b-1 fees) until at least February 28, 2015, so that such fees, on annual basis, do not exceed 1.05% of the Fund’s aggregate average daily net assets of its Class N, Class A and Class C shares. |
*** | Prior to October 1,2014 when a new fee schedule became effective, the prior Sub-Adviser had contractually agreed to waive a portion of its fee to maintain the Fund’s total annual operating expenses (excluding any brokerage fees and commissions, indirect expenses, borrowing costs, taxes, and extraordinary expenses) at 1.59% for Class N Shares, 1.84% for Class A shares, and 2.59 % for Class C shares; provided, however, that the annual Sub-Advisory fee shall in no case be waived to less than 0.10% of the Fund’s average daily net assets. |
**** | Prior to October 1, 2014, the prior Sub-Adviser received a base fee of 0.60% with a performance fee of +/- 0.35%. |
***** | Prior to April 1, 2014, the Sub-Adviser received a base fee of 0.34% with a performance fee of +/- 0.24%. |
Each Fund’s Sub-Advisory Fulcrum Fee is calculated daily using an annual base Sub-Advisory fee of a specified amount of the average daily net assets of the Fund (the “Base Fee”), adjusted by the Fund’s Class N share performance relative to the Fund’s benchmark (the “Performance Fee”). Depending on a Fund’s net performance versus its benchmark, the Sub-Adviser will receive a fee adjustment in accordance with a formula that equates a percentage of out- or under-performance to a percentage of fee increases or decreases, respectively. In addition, most Fulcrum Fees employ a “null zone” around the base fee, whereby small differences in performance versus the benchmark will not trigger a fee increase or decrease. During the first 12 months of the Fulcrum Fee arrangement, the Performance Fee is calculated daily from inception date of the agreement to the calculation date and is applied to the average daily net assets of the Fund 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 Floating Rate Bond and International Opportunity Bond which are in their initial year of its Fulcrum Fee arrangement, are calculating Performance Fees on a rolling 12-month basis as of October 31, 2014.
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.
116 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
The table below lists the current Sub-Advisers along with their Fulcrum Fee arrangements.
Base | Null | Minimum | Maximum | ||||||
Fund | Sub-Adviser | Benchmark | Fee | Zone | Fee | Fee | |||
Corporate/Government | Newfleet Asset | Barclays Aggregate Bond | 0.30% | +/- 0.15% | 0.15% | 0.45% | |||
Bond * | Management, LLC | Index | |||||||
Monthly Distribution** | Westchester Capital | IQ Hedge Market Neutral | 0.75% | +/- 0.15% | 0.25% | 1.25% | |||
Management, LLC | Beta Index | ||||||||
Floating Rate Bond | Newfleet Asset | S&P/LSTA Leveraged | 0.40% | +/- 0.00% | 0.20% | 0.60% | |||
Management, LLC | Loan Index | ||||||||
High-Yield Bond | PENN Capital | BofA Merrill Lynch BB | 0.40% | +/- 0.20% | 0.20% | 0.60% | |||
Management Co., Inc. | U.S. Non-Distressed BB- | ||||||||
B High-Yield Index | |||||||||
International Opportunity | Rogge Global Partners | Barclays Global ex US | 0.45% | +/-0.00% | 0.20% | 0.70% | |||
Bond | PLC | Aggregate Bond Index | |||||||
Dynamic Macro *** | Mellon Capital | IQ Hedge Global Macro | 0.75% | +/- 0.00% | 0.40% | 1.10% | |||
Management | Beta Index | ||||||||
Corporation | |||||||||
Alternative Strategy | Market Concepts, LLC | Dow Jones Credit Suisse | 0.65% | +/- 0.15% | 0.30% | 1.00% | |||
Managed Futures Liquid | |||||||||
Index | |||||||||
Appreciation & Income**** | PENN Capital | Merrill Lynch All Conv All | 0.45% | +/- 0.25% | 0.20% | 0.70% | |||
Management Co., Inc. | Qual Index | ||||||||
Large Cap Value | C.S. McKee L.P. | Russell 1000 Value Index | 0.43% | +/- 1.50% | 0.00% | 0.86% | |||
Alternative Income | Harbor Springs | Dow Jones US Select | 0.40% | +/- 0.30% | 0.10% | 0.70% | |||
Financial Management, | Dividend Index | ||||||||
LLC | |||||||||
Focused Large Cap | The Ithaka Group, LLC | Russell 1000 Growth | 0.35% | +/- 0.30% | 0.20% | 0.50% | |||
Growth***** | Index | ||||||||
Real Estate Stock | Cornerstone Real | FTSE NAREIT All REITs | 0.40% | +/- 0.00% | 0.10% | 0.70% | |||
Estate Advisers LLC | Index | ||||||||
International Stock | Arrowstreet Capital L.P. | MSCI All Country World | 0.65% | +/- 0.20% | 0.30% | 1.00% | |||
Index ex USA (Net) | |||||||||
Small Cap Value | Piermont Capital | Russell 2000 Value Index | 0.45% | +/- 0.00% | 0.10% | 0.80% | |||
Management, LLC | |||||||||
Emerging Markets Stock | Bailard, Inc. | MSCI Emerging Markets | 0.50% | +/- 0.00% | 0.10% | 0.90% | |||
Index USD (Net) | |||||||||
Small Cap Growth | Pier Capital, LLC | Russell 2000 Growth | 0.50% | +/- 0.20% | 0.00% | 1.00% | |||
Index |
* | Prior to July 1, 2013, when a new fee schedule became effective, the Sub-Adviser had contractually agreed to reduce its base Sub-Advisory fee by 0.05%, from 0.35% to 0.30% annually as of May 10, 2013 until May 30, 2014. |
** | Effective April 1, 2013, the Sub-Adviser has contractually agreed to waive a portion of its fee (excluding 12b-1 fees) until at least February 28, 2015, so that such fees, on annual basis, do not exceed 1.05% of the Fund’s aggregate average daily net assets of its Class N, Class A and Class C shares. |
*** | Prior to October 1,2014 when a new fee schedule became effective the prior Sub-Adviser had contractually agreed to waive a portion of its fee to maintain the Fund’s total annual operating expenses (excluding any brokerage fees and commissions, indirect expenses, borrowing costs, taxes, extraordinary expenses at 1.59% for Class N Shares, 1.84% for Class A shares, and 2.59 % for Class C shares; provided, however, that the annual Sub-Advisory fee shall in no case be waived to less than 0.10% of the Fund’s average daily net assets. |
**** | Prior to October 1, 2014, the prior Sub-Adviser received a base fee of 0.60% with a performance fee of +/- 0.35%. |
***** | Prior to April 1, 2014, the Sub-Adviser received a base fee of 0.34% with a performance fee of +/- 0.24%. |
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. Effective May 1, 2013, GFS receives from each Fund a monthly fee based on the combined average daily net assets at the following annual rates: 0.07% on the first $250 million of average net assets; 0.06% on average net assets between $250 million and $500 million; 0.05% on average net assets over $500 million; 0.3% on average net assets over $1 billion. Such fees are subject to a minimum of $400,000 in total for the entire Trust. For providing fund accounting services, the Administrator receives from each Fund a monthly fee based on the combined average daily net assets at the following rates: 0.03% on the first $500 million of average net assets; 0.01% on average net assets over $500 million. Such fees are subject to a minimum $300,000 in total for the entire Trust. For providing transfer agent services, the Administrator receives from the Trust a minimum annual fee of $200,000.
117 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
Pursuant to the terms of a Custody Administration Agreement, Monthly Distribution pays GFS a monthly fee of $300.
Gemcom, LLC (“Gemcom”), an affiliate of GFS, provides EDGAR conversion and filing services as well as some print management services for the Funds on an ad-hoc basis. For the provision of these services, Gemcom receives customary fees from the Funds.
An officer of GFS is also an officer of the Trust.
c. Distributor – The Distributor of the Funds is Dunham & Associates (the “Distributor”). The Funds have adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act, for Class A and Class C shares. The Plan provides for the monthly payment of a distribution fee to the Distributor or other entities at an annualized rate of 0.75% for the equity Funds and 0.50% for the fixed-income Funds, based on the average daily net assets attributable to Class C shares, and 0.25% of the average daily net assets attributable to Class A shares. In addition, the Funds have adopted a Shareholder Servicing Plan which provides for the payment of a shareholder service fee at an annualized rate of up to 0.25% of the average daily net assets attributable to the Class C shares. Class N shares do not pay 12b-1 distribution or shareholder servicing fees.
d. Trustees’ Fees – The Board has approved the following Trustee compensation schedule: Each Trustee will receive $4,250 for each Board meeting attended in-person; $250 for all telephonic Board meetings; $500 for in-person committee meetings and $250 for telephonic committee meetings, unless the committee meeting is on the same day as a Board meeting, in which case the Trustee will not be compensated. The Funds also reimburse each such Trustee for travel and other expenses incurred in attending meetings of the Board.
With the exception of the Trust’s Chief Compliance Officer as discussed below, officers of the Trust and Trustees who are interested persons of the Trust do not receive any compensation from the Trust or any other Funds managed by the Adviser. The Trust has agreed to pay the Adviser a fee in the amount of $135,000 per annum as compensation for providing an officer or employee of the Adviser to serve as Chief Compliance Officer for the Funds (each Fund bearing its pro rata share of the fee), plus the cost of reasonable expenses related to the performance of the Chief Compliance Officer’s duties, including travel expenses, and may compensate the Adviser for the time of other officers or employees of the Adviser who serve in other compliance capacities for the Funds.
e. Other Affiliates–During the year ended October 31, 2014, CIM Securities, LLC, a registered broker/dealer and an affiliate of the PVG Asset Management Corp., the prior Sub-Advisor to Dynamic Macro, executed trades on behalf of Dynamic Macro. These trades were cleared through Southwest Securities, Inc. and CIM Securities, LLC. Bethel Fisher & Co., a registered broker/dealer and an affiliate of the Harbor Springs Financial Management, LLC, Alternative Income’s Sub-Adviser, executed trades on behalf of Alternative Income. These trades were cleared through National Financial Services, LLC. The affiliated brokers for Dynamic Macro received $13,844 in trade commissions for the period October 31, 2013 to September 30, 2014. The affiliated brokers for Alternative Income received $3,119 in trade commissions for the year ended October 31, 2014.
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, 2014 were as follows:
Sale | ||||||||||||||||
Purchases | Proceeds | |||||||||||||||
(excluding | (excluding | Purchases | Proceeds | |||||||||||||
U.S. | U.S. | of U.S. | of U.S. | |||||||||||||
Government | Government | Government | Government | |||||||||||||
Fund | Securities) | Securities) | Securities | Securities | ||||||||||||
Corporate/Government Bond | $ | 16,512,654 | $ | 33,980,280 | $ | 17,334,315 | $ | 35,197,980 | ||||||||
Monthly Distribution | 573,188,655 | 590,117,248 | — | — | ||||||||||||
Floating Rate Bond | 111,358,139 | 31,672,414 | — | — | ||||||||||||
High-Yield Bond | 85,176,679 | 97,789,514 | — | — | ||||||||||||
International Opportunity Bond | 70,387,808 | 22,482,987 | — | — | ||||||||||||
Dynamic Macro | 18,341,257 | 21,488,226 | — | — | ||||||||||||
Alternative Strategy | 710,530,151 | 718,735,623 | — | — | ||||||||||||
Appreciation & Income | 31,707,059 | 31,200,941 | — | — | ||||||||||||
Large Cap Value | 12,907,862 | 11,075,633 | — | — | ||||||||||||
Alternative Income | 9,880,686 | 7,121,696 | — | — | ||||||||||||
Focused Large Cap Growth | 55,463,345 | 10,764,905 | — | — | ||||||||||||
Real Estate Stock | 42,335,286 | 43,484,734 | — | — | ||||||||||||
International Stock | 89,185,044 | 77,193,557 | — | — | ||||||||||||
Small Cap Value | 33,447,004 | 26,599,787 | — | — | ||||||||||||
Emerging Markets Stock | 51,485,953 | 38,773,963 | — | — | ||||||||||||
Small Cap Growth | 50,297,945 | 46,817,484 | — | — |
118 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
Transactions in option contracts purchased/written for Monthly Distribution during the year ended October 31, 2014 were as follows:
Options Purchased | Options Written | |||||||||||||||
Contracts | Premium | Contracts | Premium | |||||||||||||
Outstanding at October 31, 2013 | 31,440 | $ | 1,706,748 | 37,825 | $ | 10,071,361 | ||||||||||
Options purchased/written during year | 155,804 | 18,667,598 | 265,915 | 54,273,757 | ||||||||||||
Options exercised during year | (4,422 | ) | (151,246 | ) | (43,108 | ) | (11,442,517 | ) | ||||||||
Options expired during year | (118,213 | ) | (7,567,649 | ) | (48,193 | ) | (5,203,758 | ) | ||||||||
Options closed during year | (41,730 | ) | (7,184,840 | ) | (169,482 | ) | (41,316,722 | ) | ||||||||
Outstanding at October 31, 2014 | 22,879 | $ | 5,470,611 | 42,957 | $ | 6,382,121 |
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, 2014, were as follows:
Unrealized | ||||||||||||||||
Gross Unrealized | Gross Unrealized | Appreciation | ||||||||||||||
Fund | Identified Cost | Appreciation | Depreciation | (Depreciation)* | ||||||||||||
Corporate/Government Bond | $ | 50,087,829 | $1,197,673 | $ | (531,510 | ) | $ | 666,163 | ||||||||
Monthly Distribution | 234,507,072 | 10,657,758 | (18,277,333 | ) | (7,619,575 | ) | ||||||||||
Floating Rate Bond | 83,293,293 | 104,886 | (1,148,414 | ) | (1,043,528 | ) | ||||||||||
High-Yield Bond | 133,100,213 | 2,665,401 | (1,547,108 | ) | 1,118,293 | |||||||||||
International Opportunity Bond | 48,049,048 | 311,430 | (1,764,709 | ) | (1,453,279 | ) | ||||||||||
Dynamic Macro | 14,375,542 | 191,171 | (13,076 | ) | 178,095 | |||||||||||
Alternative Strategy | 17,796,321 | 553,469 | (21,462 | ) | 532,007 | |||||||||||
Appreciation & Income | 26,065,810 | 1,128,424 | (199,154 | ) | 929,270 | |||||||||||
Large Cap Value | 35,425,740 | 20,527,936 | (827,197 | ) | 19,700,739 | |||||||||||
Alternative Income | 7,331,247 | 693,305 | (190,633 | ) | 502,672 | |||||||||||
Focused Large Cap Growth | 53,778,655 | 9,054,857 | (1,355,247 | ) | 7,699,610 | |||||||||||
Real Estate Stock | 36,536,111 | 9,478,116 | (679,363 | ) | 8,798,753 | |||||||||||
International Stock | 68,350,160 | 5,954,527 | (2,794,568 | ) | 3,159,959 | |||||||||||
Small Cap Value | 27,609,473 | 3,154,890 | (1,241,254 | ) | 1,913,636 | |||||||||||
Emerging Markets Stock | 40,226,067 | 4,977,224 | (1,584,644 | ) | 3,392,580 | |||||||||||
Small Cap Growth | 27,076,433 | 3,547,299 | (573,174 | ) | 2,974,125 |
* | Excludes Unrealized Appreciation (Depreciation) on Foreign Currency Translations, Swaps and Futures Contracts. |
6. | FORWARD FOREIGN CURRENCY CONTRACTS |
At October 31, 2014, Monthly Distribution and International Stock had the following open forward foreign currency contracts:
Monthly Distribution: | Unrealized | |||||||||||||||
Settlement | Local | U.S. Dollar | Appreciation | |||||||||||||
Foreign Currency | Date | Counterparty | Currency | Value | (Depreciation) | |||||||||||
To Buy: | ||||||||||||||||
Australian Dollar | 11/3/2014 | JP Morgan | 29,001 | $ | 25,440 | $ | 203 | |||||||||
Euro | 12/10/2014 | JP Morgan | 528 | 660 | (13 | ) | ||||||||||
Euro | 1/21/2015 | JP Morgan | 157,050 | 196,494 | (3,168 | ) | ||||||||||
British Pound | 3/19/2015 | JP Morgan | 441,446 | 704,220 | (6,648 | ) | ||||||||||
Australian Dollar | 3/26/2015 | JP Morgan | 381,618 | 331,797 | 1,475 | |||||||||||
Australian Dollar | 3/27/2015 | JP Morgan | 453,274 | 393,802 | (184 | ) | ||||||||||
British Pound | 9/13/2015 | JP Morgan | 131,976 | 210,133 | (1,952 | ) | ||||||||||
British Pound | 9/19/2015 | JP Morgan | 79,723 | 126,927 | (1,654 | ) | ||||||||||
$ | 1,989,473 | $ | (11,941 | ) |
119 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
Monthly Distribution: | Unrealized | |||||||||||||||
Settlement | Local | U.S. Dollar | Appreciation | |||||||||||||
Foreign Currency | Date | Counterparty | Currency | Value | (Depreciation) | |||||||||||
To Sell: | ||||||||||||||||
Hong Kong Dollar | 11/26/2014 | JP Morgan | 3,632,475 | $ | 468,420 | $ | (126 | ) | ||||||||
Euro | 12/3/2014 | JP Morgan | 1,695,500 | 2,120,583 | 43,625 | |||||||||||
Euro | 12/9/2014 | JP Morgan | 1,430,937 | 1,789,766 | 49,031 | |||||||||||
Euro | 12/10/2014 | JP Morgan | 6,339,198 | 7,928,904 | 202,164 | |||||||||||
Euro | 12/17/2014 | JP Morgan | 1,251,844 | 1,565,851 | 37,961 | |||||||||||
Canadian Dollar | 1/21/2015 | JP Morgan | 6,394,130 | 5,638,901 | 123,207 | |||||||||||
Euro | 1/21/2015 | JP Morgan | 1,505,615 | 1,883,757 | 22,156 | |||||||||||
Euro | 3/17/2015 | JP Morgan | 517,348 | 647,530 | 16,761 | |||||||||||
British Pound | 3/19/2015 | JP Morgan | 773,940 | 1,234,633 | 80,140 | |||||||||||
Australian Dollar | 3/26/2015 | JP Morgan | 1,404,599 | 1,219,567 | 68,450 | |||||||||||
Australian Dollar | 3/27/2015 | JP Morgan | 923,985 | 802,209 | 7,423 | |||||||||||
British Pound | 6/15/2015 | JP Morgan | 391,581 | 624,090 | 3,058 | |||||||||||
$ | 25,924,211 | $ | 653,850 |
International Opportunity Bond Fund: | Unrealized | |||||||||||||||
Settlement | Local | U.S. Dollar | Appreciation | |||||||||||||
Foreign Currency | Date | Counterparty | Currency | Value | (Depreciation) | |||||||||||
To Buy | ||||||||||||||||
Australian Dollar | 12/15/2014 | Deutsche Bank | 215,927 | $ | 188,846 | $ | 87 | |||||||||
Australian Dollar | 12/15/2014 | Barclays Bank | 9,537 | 8,341 | 5 | |||||||||||
Australian Dollar | 12/15/2014 | Credit Suisse | 1,041,380 | 910,772 | (7,100 | ) | ||||||||||
Canadian Dollar | 12/15/2014 | Credit Suisse | 715,677 | 631,753 | (7,855 | ) | ||||||||||
Canadian Dollar | 12/15/2014 | Deutsche Bank | 1,180,562 | 1,042,124 | (13,831 | ) | ||||||||||
Canadian Dollar | 12/15/2014 | Barclays Bank | 1,015,168 | 896,125 | (11,134 | ) | ||||||||||
Czech Koruna | 12/9/2014 | Deutsche Bank | 1,780,000 | 80,103 | (3,046 | ) | ||||||||||
Danish Krone | 12/15/2014 | Credit Suisse | 1,017,908 | 171,029 | (1,650 | ) | ||||||||||
Danish Krone | 12/15/2014 | Deutsche Bank | 189,839 | 31,897 | (308 | ) | ||||||||||
Euro | 12/15/2014 | Barclays Bank | 900,372 | 1,126,202 | (12,733 | ) | ||||||||||
Euro | 12/15/2014 | Credit Suisse | 136,705 | 170,993 | (1,652 | ) | ||||||||||
Euro | 12/15/2014 | Deutsche Bank | 311,761 | 389,957 | (4,517 | ) | ||||||||||
Indian Rupee | 12/3/2014 | Barclays Bank | 18,969,000 | 307,000 | (1,774 | ) | ||||||||||
Indian Rupee | 12/9/2014 | Credit Suisse | 41,960,000 | 678,424 | (1,574 | ) | ||||||||||
Israeli Shekel | 12/9/2014 | Deutsche Bank | 530,000 | 139,566 | (6,960 | ) | ||||||||||
Israeli Shekel | 12/9/2014 | Barclays Bank | 150,000 | 39,500 | (1,521 | ) | ||||||||||
Japanese Yen | 12/15/2014 | Deutsche Bank | 439,703,018 | 3,916,571 | (136,800 | ) | ||||||||||
Japanese Yen | 12/15/2014 | Credit Suisse | 5,588,900 | 49,782 | (1,833 | ) | ||||||||||
Japanese Yen | 12/15/2014 | Barclays Bank | 120,687,539 | 1,075,001 | (39,586 | ) | ||||||||||
Malaysian Ringgit | 12/9/2014 | Credit Suisse | 440,000 | 132,255 | (4,796 | ) | ||||||||||
Malaysian Ringgit | 12/9/2014 | Deutsche Bank | 130,000 | 39,075 | (559 | ) | ||||||||||
Mexican Peso | 12/9/2014 | Barclays Bank | 1,300,000 | 96,161 | (1,139 | ) | ||||||||||
Polish Zloty | 12/9/2014 | Deutsche Bank | 220,000 | 65,167 | (2,552 | ) | ||||||||||
Russian Ruble | 12/9/2014 | Credit Suisse | 3,760,000 | 86,464 | (12,543 | ) | ||||||||||
Singapore Dollar | 12/9/2014 | Barclays Bank | 120,000 | 93,205 | (1,794 | ) | ||||||||||
South African Rand | 12/9/2014 | Credit Suisse | 1,330,000 | 119,704 | 106 | |||||||||||
South African Rand | 12/9/2014 | Barclays Bank | 830,000 | 74,702 | 1,824 | |||||||||||
South Korean Won | 12/9/2014 | Barclays Bank | 889,050,000 | 826,699 | (24,824 | ) | ||||||||||
South Korean Won | 12/9/2014 | Deutsche Bank | 195,110,000 | 181,426 | (1,689 | ) | ||||||||||
Swiss Franc | 12/15/2014 | Credit Suisse | 378,210 | 392,173 | (1,796 | ) | ||||||||||
Swiss Franc | 12/15/2014 | Deutsche Bank | 23,426 | 24,290 | (111 | ) | ||||||||||
Turkish Lira New | 12/9/2014 | Deutsche Bank | 270,000 | 120,530 | 294 | |||||||||||
$ | 14,105,837 | $ | (303,361 | ) |
120 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
International Opportunity Bond Fund:
Unrealized | ||||||||||||||||
Settlement | Local | U.S. Dollar | Appreciation | |||||||||||||
Foreign Currency | Date | Counterparty | Currency | Value | (Depreciation) | |||||||||||
To Sell: | ||||||||||||||||
British Pound | 12/15/2014 | Credit Suisse | 1,060,726 | $ | 1,693,622 | $ | 12,225 | |||||||||
British Pound | 12/15/2014 | Barclays Bank | 624,353 | 996,881 | 6,067 | |||||||||||
British Pound | 12/15/2014 | Deutsche Bank | 376,000 | 600,345 | 4,460 | |||||||||||
Danish Krone | 12/15/2014 | Barclays Bank | 1,615,733 | 271,476 | 2,619 | |||||||||||
Euro | 12/9/2014 | Deutsche Bank | 116,251 | 145,403 | 4,735 | |||||||||||
Euro | 12/15/2014 | Barclays Bank | 3,886,250 | 4,860,991 | 47,055 | |||||||||||
Euro | 12/15/2014 | Deutsche Bank | 936,059 | 1,170,839 | 11,965 | |||||||||||
Euro | 12/15/2014 | Credit Suisse | 136,705 | 170,993 | 1,652 | |||||||||||
Israeli Shekel | 12/9/2014 | Barclays Bank | 260,000 | 68,466 | 3,385 | |||||||||||
Japanese Yen | 12/15/2014 | Deutsche Bank | 115,391,400 | 1,027,827 | 30,739 | |||||||||||
Japanese Yen | 12/15/2014 | Credit Suisse | 5,588,900 | 49,782 | 2,711 | |||||||||||
Mexican Peso | 12/9/2014 | Barclays Bank | 17,493,950 | 1,294,032 | 15,171 | |||||||||||
Mexican Peso | 12/9/2014 | Deutsche Bank | 6,990,954 | 517,123 | 7,905 | |||||||||||
New Zealand Dollar | 11/3/2014 | Deutsche Bank | 27,225 | 21,186 | 188 | |||||||||||
New Zealand Dollar | 12/15/2014 | Credit Suisse | 270,000 | 209,246 | 898 | |||||||||||
New Zealand Dollar | 12/15/2014 | Deutsche Bank | 1,947,193 | 1,509,046 | 6,377 | |||||||||||
New Zealand Dollar | 12/15/2014 | Barclays Bank | 383,826 | 297,460 | 1,265 | |||||||||||
Norwegian Krone | 12/15/2014 | Deutsche Bank | 2,113,395 | 310,999 | 15,197 | |||||||||||
Norwegian Krone | 12/15/2014 | Barclays Bank | 3,646,593 | 536,619 | 26,222 | |||||||||||
Swiss Franc | 12/15/2014 | Barclays Bank | 325,924 | 337,957 | 1,548 | |||||||||||
$ | 16,090,293 | $ | 202,384 |
International Stock:
Unrealized | ||||||||||||||||
Settlement | Local | U.S. Dollar | Appreciation | |||||||||||||
Foreign Currency | Date | Counterparty | Currency | Value | (Depreciation) | |||||||||||
To Buy: | ||||||||||||||||
Australian Dollar | 12/17/2014 | Royal Bank of Scotland | 4,577,613 | $ | 4,002,893 | $ | (217,193 | ) | ||||||||
British Pound | 12/17/2014 | Deutsche Bank | 5,134,883 | 8,198,546 | (167,453 | ) | ||||||||||
Canadian Dollar | 12/17/2014 | UBS | 5,217,454 | 4,605,377 | (147,745 | ) | ||||||||||
Danish Krone | 12/17/2014 | UBS | 708,144 | 118,984 | (3,051 | ) | ||||||||||
Euro | 12/17/2014 | Bank of New York Mellon | 1,069,885 | 1,338,250 | (23,596 | ) | ||||||||||
Hong Kong Dollar | 11/4/2014 | Deutsche Bank | 681,686 | 87,903 | 3 | |||||||||||
Hong Kong Dollar | 12/17/2014 | UBS | 8,123,851 | 1,047,609 | (514 | ) | ||||||||||
Israeli Shekel | 12/17/2014 | Royal Bank of Scotland | 204,499 | 53,858 | (1,485 | ) | ||||||||||
Japanese Yen | 12/17/2014 | Bank of New York Mellon | 50,251,625 | 447,624 | (21,911 | ) | ||||||||||
New Zealand Dollar | 12/17/2014 | Royal Bank of Scotland | 173,332 | 134,302 | (1,185 | ) | ||||||||||
Norwegian Krone | 12/17/2014 | Royal Bank of Scotland | 2,125,862 | 312,812 | (15,925 | ) | ||||||||||
Singapore Dollar | 12/17/2014 | UBS | 894,350 | 694,656 | (18,197 | ) | ||||||||||
Swedish Krona | 11/3/2014 | Deutsche Bank | 468,676 | 63,291 | (41 | ) | ||||||||||
Swedish Krona | 12/17/2014 | UBS | 1,417,713 | 191,472 | (5,741 | ) | ||||||||||
Swiss Franc | 11/3/2014 | UBS | 159,429 | 165,249 | (399 | ) | ||||||||||
Swiss Franc | 12/17/2014 | Deutsche Bank | 240,221 | 249,096 | (8,823 | ) | ||||||||||
$ | 21,711,922 | $ | (633,256 | ) |
121 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
International Stock:
Unrealized | ||||||||||||||||
Settlement | Local | U.S. Dollar | Appreciation | |||||||||||||
Foreign Currency | Date | Counterparty | Currency | Value | (Depreciation) | |||||||||||
To Sell: | ||||||||||||||||
Australian Dollar | 12/17/2014 | Royal Bank of Scotland | 448,882 | $ | 392,525 | $ | 3,097 | |||||||||
British Pound | 12/17/2014 | Deutsche Bank | 938,538 | 1,498,505 | 6,286 | |||||||||||
Canadian Dollar | 11/3/2014 | UBS | 72,118 | 63,731 | 699 | |||||||||||
Canadian Dollar | 11/4/2014 | UBS | 53,066 | 46,894 | 172 | |||||||||||
Canadian Dollar | 12/17/2014 | UBS | 277,701 | 245,123 | 1,549 | |||||||||||
Danish Krone | 12/17/2014 | UBS | 10,051,648 | 1,688,908 | 25,831 | |||||||||||
Euro | 12/17/2014 | Bank of New York Mellon | 4,414,882 | 5,522,292 | 178,325 | |||||||||||
Hong Kong Dollar | 12/17/2014 | UBS | 2,410,300 | 310,820 | (32 | ) | ||||||||||
Israeli Shekel | 12/17/2014 | Royal Bank of Scotland | 6,937,703 | 1,827,136 | 86,975 | |||||||||||
Japanese Yen | 11/6/2014 | Bank of New York Mellon | 6,815,041 | 60,673 | 81 | |||||||||||
Japanese Yen | 12/17/2014 | Bank of New York Mellon | 534,767,089 | 4,763,519 | 241,186 | |||||||||||
Norwegian Krone | 12/17/2014 | Royal Bank of Scotland | 10,776,628 | 1,585,736 | 120,611 | |||||||||||
Singapore Dollar | 12/17/2014 | UBS | 64,551 | 50,138 | 472 | |||||||||||
Swedish Krona | 12/17/2014 | Bank of New York Mellon | 11,270,127 | 1,522,109 | 67,086 | |||||||||||
Swedish Krona | 12/17/2014 | UBS | 4,025,693 | 543,698 | 8,194 | |||||||||||
Swiss Franc | 12/17/2014 | Deutsche Bank | 2,367,414 | 2,453,882 | 58,142 | |||||||||||
$ | 22,575,689 | $ | 798,674 |
7. | SHARES OF BENEFICIAL INTEREST |
At October 31, 2014, each Fund had an unlimited number of shares authorized with no par value.
Following is a summary of shareholder transactions for each Fund for years or period ended October 31, 2014 and October 31, 2013, respectively:
For the Year Ended October 31, 2014:
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 | ||||||||||||||||||||||||
Corporate/Government Bond | 601,689 | 113,304 | (3,381,394 | ) | (2,666,401 | ) | 114,010 | 7,402 | (350,564 | ) | (229,152 | ) | ||||||||||||||||||||
Monthly Distribution | 1,299,418 | 174,928 | (1,555,306 | ) | (80,960 | ) | 1,061,343 | 67,049 | (822,610 | ) | 305,782 | |||||||||||||||||||||
Floating Rate Bond | 7,005,944 | 133,845 | (743,012 | ) | 6,396,777 | 1,492,431 | 24,772 | (132,192 | ) | 1,385,011 | ||||||||||||||||||||||
High-Yield Bond | 1,790,286 | 476,574 | (5,494,690 | ) | (3,227,830 | ) | 588,769 | 82,163 | (428,003 | ) | 242,929 | |||||||||||||||||||||
International Opportunity Bond | 4,734,216 | 22,379 | (355,283 | ) | 4,401,312 | 401,150 | 978 | (37,733 | ) | 364,395 | ||||||||||||||||||||||
Dynamic Macro | 1,237,775 | 3,525 | (765,702 | ) | 475,598 | 147,184 | 2,761 | (154,991 | ) | (5,046 | ) | |||||||||||||||||||||
Alternative Strategy | 142,699 | — | (183,097 | ) | (40,398 | ) | 47,976 | — | (625,382 | ) | (577,406 | ) | ||||||||||||||||||||
Appreciation & Income | 348,519 | 22,324 | (233,752 | ) | 137,091 | 1,022 | 2,893 | (122,240 | ) | (118,325 | ) | |||||||||||||||||||||
Large Cap Value | 474,170 | 28,501 | (506,752 | ) | (4,081 | ) | 280,235 | 3,166 | (150,890 | ) | 132,511 | |||||||||||||||||||||
Alternative Income | 196,178 | 6,125 | (44,413 | ) | 157,890 | 25,389 | 6,456 | (6,674 | ) | 25,171 | ||||||||||||||||||||||
Focused Large Cap Growth | 2,594,973 | 798 | (181,663 | ) | 2,414,108 | 746,820 | 10,877 | (236,037 | ) | 521,660 | ||||||||||||||||||||||
Real Estate Stock | 544,572 | 77,292 | (723,897 | ) | (102,033 | ) | 117,278 | 5,391 | (73,685 | ) | 48,984 | |||||||||||||||||||||
International Stock | 799,836 | 56,397 | (357,947 | ) | 498,286 | 510,054 | 4,952 | (308,127 | ) | 206,879 | ||||||||||||||||||||||
Small Cap Value | 589,649 | 57,740 | (243,955 | ) | 403,434 | 165,405 | 5,610 | (78,622 | ) | 92,393 | ||||||||||||||||||||||
Emerging Markets Stock | 963,065 | — | (218,744 | ) | 744,321 | 155,924 | — | (48,428 | ) | 107,496 | ||||||||||||||||||||||
Small Cap Growth | 576,390 | 162,465 | (327,317 | ) | 411,538 | 233,047 | 41,784 | (193,059 | ) | 81,772 |
122 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
Class C Shares | ||||||||||||||||
Net Increase | ||||||||||||||||
Distributions | (Decrease) in | |||||||||||||||
Fund | Issued | Reinvested | Redeemed | Shares | ||||||||||||
Corporate/Government Bond | 35,490 | 8,526 | (334,511 | ) | (290,495 | ) | ||||||||||
Monthly Distribution | 784,590 | 57,882 | (480,019 | ) | 362,453 | |||||||||||
Floating Rate Bond | 458,466 | 6,210 | (121,105 | ) | 343,571 | |||||||||||
High-Yield Bond | 249,172 | 44,732 | (499,686 | ) | (205,782 | ) | ||||||||||
International Opportunity Bond | 259,895 | 145 | (64,778 | ) | 195,262 | |||||||||||
Dynamic Macro | 72,554 | 2,006 | (109,421 | ) | (34,861 | ) | ||||||||||
Alternative Strategy | 16,323 | — | (21,274 | ) | (4,951 | ) | ||||||||||
Appreciation & Income | 68,327 | 1,842 | (70,857 | ) | (688 | ) | ||||||||||
Large Cap Value | 89,744 | 656 | (87,769 | ) | 2,631 | |||||||||||
Alternative Income | 69,772 | 4,216 | (17,724 | ) | 56,264 | |||||||||||
Focused Large Cap Growth | 325,491 | 592 | (64,205 | ) | 261,878 | |||||||||||
Real Estate Stock | 103,703 | 5,147 | (53,022 | ) | 55,828 | |||||||||||
International Stock | 110,428 | 3,140 | (50,032 | ) | 63,536 | |||||||||||
Small Cap Value | 51,936 | 7,538 | (34,995 | ) | 24,479 | |||||||||||
Emerging Markets Stock | 98,573 | — | (35,396 | ) | 63,177 | |||||||||||
Small Cap Growth | 78,036 | 33,652 | (51,557 | ) | 60,131 |
Year/Period Ended October 31, 2013:
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 | ||||||||||||||||||||||||
Corporate/Government Bond | 2,381,525 | 341,521 | (4,002,516 | ) | (1,279,470 | ) | 325,412 | 14,410 | (94,239 | ) | 245,583 | |||||||||||||||||||||
Monthly Distribution | 1,830,606 | 117,751 | (1,176,085 | ) | 772,272 | 1,131,805 | 37,956 | (764,662 | ) | 405,099 | ||||||||||||||||||||||
High-Yield Bond | 5,210,150 | 554,985 | (3,825,036 | ) | 1,940,099 | 975,667 | 68,545 | (420,302 | ) | 623,910 | ||||||||||||||||||||||
Dynamic Macro | 226,680 | 7,400 | (395,745 | ) | (161,665 | ) | 56,148 | 5,427 | (101,294 | ) | (39,719 | ) | ||||||||||||||||||||
Alternative Strategy * | 71,957 | — | (59,341 | ) | 12,616 | 237,814 | — | (26,717 | ) | 211,097 | ||||||||||||||||||||||
Appreciation & Income | 314,888 | 73,501 | (1,495,624 | ) | (1,107,235 | ) | 166,924 | 8,296 | (244,675 | ) | (69,455 | ) | ||||||||||||||||||||
Large Cap Value | 435,005 | 35,033 | (1,086,212 | ) | (616,174 | ) | 183,468 | 2,287 | (96,015 | ) | 89,740 | |||||||||||||||||||||
Alternative Income | 64,654 | 849 | (2,768 | ) | 62,735 | 102,390 | 1,203 | (3,255 | ) | 100,338 | ||||||||||||||||||||||
Focused Large Cap Growth | 47,156 | — | (32,236 | ) | 14,920 | 713,884 | — | (892,489 | ) | (178,605 | ) | |||||||||||||||||||||
Real Estate Stock | 1,045,340 | 62,748 | (372,434 | ) | 735,654 | 728,843 | 2,369 | (622,738 | ) | 108,474 | ||||||||||||||||||||||
International Stock | 553,162 | 38,921 | (1,049,855 | ) | (457,772 | ) | 231,244 | 1,390 | (51,732 | ) | 180,902 | |||||||||||||||||||||
Small Cap Value | 207,714 | 3,933 | (481,849 | ) | (270,202 | ) | 89,318 | — | (19,782 | ) | 69,536 | |||||||||||||||||||||
Emerging Markets Stock | 820,281 | — | (291,961 | ) | 528,320 | 508,434 | — | (1,172,682 | ) | (664,248 | ) | |||||||||||||||||||||
Small Cap Growth | 232,898 | 62,814 | (444,769 | ) | (149,057 | ) | 190,451 | 6,576 | (62,737 | ) | 134,290 |
123 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
Class C Shares | ||||||||||||||||
Net Increase | ||||||||||||||||
Distributions | (Decrease) in | |||||||||||||||
Fund | Issued | Reinvested | Redeemed | Shares | ||||||||||||
Corporate/Government Bond | 124,203 | 24,592 | (210,613 | ) | (61,818 | ) | ||||||||||
Monthly Distribution | 486,720 | 33,290 | (312,346 | ) | 207,664 | |||||||||||
High-Yield Bond | 471,607 | 52,511 | (612,365 | ) | (88,247 | ) | ||||||||||
Dynamic Macro | 55,038 | 5,487 | (27,096 | ) | 33,429 | |||||||||||
Alternative Strategy * | 12,502 | — | (4,300 | ) | 8,202 | |||||||||||
Appreciation & Income | 91,681 | 8,215 | (162,228 | ) | (62,332 | ) | ||||||||||
Large Cap Value | 51,439 | 222 | (172,653 | ) | (120,992 | ) | ||||||||||
Alternative Income | 79,003 | 326 | (2,539 | ) | 76,790 | |||||||||||
Focused Large Cap Growth | 35,576 | — | (12,698 | ) | 22,878 | |||||||||||
Real Estate Stock | 82,379 | 5,891 | (75,409 | ) | 12,861 | |||||||||||
International Stock | 55,580 | 409 | (178,465 | ) | (122,476 | ) | ||||||||||
Small Cap Value | 24,089 | — | (72,599 | ) | (48,510 | ) | ||||||||||
Emerging Markets Stock | 69,764 | — | (61,643 | ) | 8,121 | |||||||||||
Small Cap Growth | 32,928 | 12,843 | (88,557 | ) | (42,786 | ) |
* | Prior year shareholder transactions presented for Alternative Strategy are representative of the period August 1, 2013 to October 31, 2013. |
8. | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL |
The tax character of dividends paid during the period ended October 31, 2014 and October 31, 2013 was as follows:
For the year ended October 31, 2014 | For the period ended October 31, 2013 | |||||||||||||||||||||||||||||||
Ordinary | Long-Term | Return of | Ordinary | Long-Term | Return of | |||||||||||||||||||||||||||
Fund | Income | Capital Gains | Capital | Total | Income | Capital Gains | Capital | Total | ||||||||||||||||||||||||
Corporate/Government Bond | $ | 1,609,392 | $ | 223,663 | $ | — | $ | 1,833,055 | $ | 4,989,941 | $ | 479,818 | $ | — | $ | 5,469,759 | ||||||||||||||||
Monthly Distribution | 6,127,602 | 4,836,787 | 1,672,242 | 12,636,631 | 7,756,262 | — | — | 7,756,262 | ||||||||||||||||||||||||
Floating Rate Bond | 1,836,066 | — | — | 1,836,066 | — | — | — | — | ||||||||||||||||||||||||
High-Yield Bond | 6,632,924 | — | — | 6,632,924 | 7,438,832 | — | — | 7,438,832 | ||||||||||||||||||||||||
International Opportunity Bond | — | — | 236,377 | 236,377 | — | — | — | — | ||||||||||||||||||||||||
Dynamic Macro | 171,273 | — | — | 171,273 | 379,368 | — | 30,656 | 410,024 | ||||||||||||||||||||||||
Alternative Strategy | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Appreciation & Income | 300,034 | — | — | 300,034 | 826,595 | — | — | 826,595 | ||||||||||||||||||||||||
Large Cap Value | 488,166 | — | — | 488,166 | 439,727 | — | — | 439,727 | ||||||||||||||||||||||||
Alternative Income | 42,433 | 191,793 | — | 234,226 | 31,226 | — | — | 31,226 | ||||||||||||||||||||||||
Focused Large Cap Growth | 156,567 | 22,778 | — | 179,345 | — | — | — | — | ||||||||||||||||||||||||
Real Estate Stock | 441,893 | 935,096 | — | 1,376,989 | 307,473 | 786,227 | — | 1,093,700 | ||||||||||||||||||||||||
International Stock | 986,428 | — | — | 986,428 | 523,067 | — | — | 523,067 | ||||||||||||||||||||||||
Small Cap Value | 20,015 | 1,033,666 | — | 1,053,681 | 44,834 | — | — | 44,834 | ||||||||||||||||||||||||
Emerging Markets Stock | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Small Cap Growth | 3,200,033 | 1,364,027 | — | 4,564,060 | — | 1,257,195 | — | 1,257,195 |
Permanent book and tax differences, primarily attributable to net operating losses, non-deductible expenses, character of distributions, foreign currency exchange gains (losses), paydown gains (losses), partnerships, C Corp return of capital, swap gains (losses) and adjustments for passive foreign investment companies, reclassifications of gains on contingent convertible debt securities, real estate investment trusts, business development companies, grantor trusts, partnerships and the capitalization of in lieu dividend payments made in connection with short sales of stock that have not been held open for more than 45 days resulted in reclassification for the tax year ended October 31, 2014 as follows:
124 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
Accumulated | Accumulated | |||||||||||
Net Investment | Net Realized | |||||||||||
Fund | Paid In Capital | Income (Loss) | Gain (Loss) | |||||||||
Corporate/Government Bond | $ | — | $ | 132,080 | $ | (132,080 | ) | |||||
Monthly Distribution | — | 1,139,601 | (1,139,601 | ) | ||||||||
Floating Rate Bond | (14,159 | ) | 28,660 | (14,501 | ) | |||||||
High-Yield Bond | — | — | — | |||||||||
International Opportunity Bond | (16,333 | ) | (143,969 | ) | 160,302 | |||||||
Dynamic Macro | (4,835 | ) | (18,853 | ) | 23,688 | |||||||
Alternative Strategy | (7,297 | ) | (55,270 | ) | 62,567 | |||||||
Appreciation & Income | — | 195,814 | (195,814 | ) | ||||||||
Large Cap Value | — | — | — | |||||||||
Alternative Income | — | 27,711 | (27,711 | ) | ||||||||
Focused Large Cap Growth | (55,605 | ) | 53,472 | 2,133 | ||||||||
Real Estate Stock | — | — | — | |||||||||
International Stock | — | 501,154 | (501,154 | ) | ||||||||
Small Cap Value | — | — | — | |||||||||
Emerging Markets Stock | — | 77,020 | (77,020 | ) | ||||||||
Small Cap Growth | — | 447,061 | (447,061 | ) |
Net assets were unaffected by the above reclassifications.
As of each of the Fund’s tax year-ended October 31, 2014, the components of distributable earnings on a tax basis were as follows:
Total | ||||||||||||||||||||||||
Undistributed | Capital Loss | Unrealized | Accumulated | |||||||||||||||||||||
Undistributed | Long-Term | Carry | Late Year | Appreciation | Earnings | |||||||||||||||||||
Fund | Ordinary Income | Capital Cains | Forw ards | Loss | (Depreciation) | (Deficits) | ||||||||||||||||||
Corporate/Government Bond | $ | 13,411 | $ | — | $ | (465,701 | ) | $ | — | $ | 666,163 | $ | 213,873 | |||||||||||
Monthly Distribution | — | — | (3,371,794 | ) | — | (7,619,575 | ) | (10,991,369 | ) | |||||||||||||||
Floating Rate Bond | 20,255 | — | (67,025 | ) | — | (1,043,528 | ) | (1,090,298 | ) | |||||||||||||||
High-Yield Bond | 17,754 | — | (3,403,542 | ) | — | 1,118,293 | (2,267,495 | ) | ||||||||||||||||
International Opportunity Bond | — | — | — | — | (1,545,372 | ) | (1,545,372 | ) | ||||||||||||||||
Dynamic Macro | — | — | (431,749 | ) | — | 297,888 | (133,861 | ) | ||||||||||||||||
Alternative Strategy | — | — | (1,198,250 | ) | (259,611 | ) | 532,007 | (925,854 | ) | |||||||||||||||
Appreciation & Income | 808,269 | 3,916,839 | — | — | 929,270 | 5,654,378 | ||||||||||||||||||
Large Cap Value | 242,115 | — | (902,741 | ) | — | 19,700,739 | 19,040,113 | |||||||||||||||||
Alternative Income | — | 93,728 | — | — | 502,672 | 596,400 | ||||||||||||||||||
Focused Large Cap Grow th | — | — | (591,857 | ) | (390,591 | ) | 7,699,610 | 6,717,162 | ||||||||||||||||
Real Estate Stock | 1,617,460 | 1,031,469 | — | — | 8,798,753 | 11,447,682 | ||||||||||||||||||
International Stock | 1,302,369 | 267,504 | — | — | 3,137,096 | 4,706,969 | ||||||||||||||||||
Small Cap Value | 1,490,330 | 390,448 | — | — | 1,913,636 | 3,794,414 | ||||||||||||||||||
Emerging Markets Stock | 535,365 | — | (3,967,556 | ) | — | 3,392,405 | (39,786 | ) | ||||||||||||||||
Small Cap Grow th | 318,339 | 2,332,362 | — | — | 2,974,125 | 5,624,826 |
The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income (loss) and accumulated net realized gain (loss) from security transactions are primarily attributable to the tax deferral of losses on wash sales and straddles, adjustments for gains on contingent convertible debt securities, mark-to-market on open forward foreign currency
125 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
contracts, options, futures and swap contracts, and adjustments for real estate investment trusts, passive foreign investment companies, royalty trusts, constructive sales of securities held short, partnerships and C Corporation return of capital distributions.
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 | |||
Corporate/Government Bond | — | |||
Monthly Distribution | — | |||
Floating Rate Bond | — | |||
High-Yield Bond | — | |||
International Opportunity Bond | — | |||
Dynamic Macro | — | |||
Alternative Strategy | 259,611 | |||
Appreciation & Income | — | |||
Large Cap Value | — | |||
Alternative Income | — | |||
Focused Large Cap Growth | 390,591 | |||
Real Estate Stock | — | |||
International Stock | — | |||
Small Cap Value | — | |||
Emerging Markets Stock | — | |||
Small Cap Growth | — |
At October 31, 2014, the following Funds had capital loss carryforwards for federal income tax purposes available to offset future capital gains through the indicated expiration date as follows:
Expiring October 31, | Non-Expiring | Long-Term | ||||||||||||||||||||||||||
Fund | 2015 | 2016 | 2017 | 2019 | Short-Term | Non-Expiring | Total | |||||||||||||||||||||
Corporate/Government Bond | $ | — | $ | — | $ | — | $ | — | $ | 645,701 | $ | — | $ | 645,701 | ||||||||||||||
Monthly Distribution | 3,371,794 | — | — | — | — | — | 3,371,794 | |||||||||||||||||||||
Floating Rate Bond | — | — | — | — | 67,025 | — | 67,025 | |||||||||||||||||||||
High-Yield Bond | — | — | 3,403,542 | — | — | — | 3,403,542 | |||||||||||||||||||||
International Opportunity Bond | — | — | — | — | — | — | — | |||||||||||||||||||||
Dynamic Macro | — | — | — | 152,058 | — | 279,691 | 431,749 | |||||||||||||||||||||
Alternative Strategy | — | — | — | — | 1,198,250 | — | 1,198,250 | |||||||||||||||||||||
Appreciation & Income | — | — | — | — | — | — | — | |||||||||||||||||||||
Large Cap Value | — | — | 902,741 | — | — | — | 902,741 | |||||||||||||||||||||
Alternative Income | — | — | — | — | — | — | — | |||||||||||||||||||||
Focused Large Cap Growth | — | — | — | — | 516,209 | 75,648 | 591,857 | |||||||||||||||||||||
Real Estate Stock | — | — | — | — | — | — | — | |||||||||||||||||||||
International Stock | — | — | — | — | — | — | — | |||||||||||||||||||||
Small Cap Value | — | — | — | — | — | — | — | |||||||||||||||||||||
Emerging Markets Stock | — | — | 3,386,845 | 351,019 | 229,692 | — | 3,967,556 | |||||||||||||||||||||
Small Cap Growth | — | — | — | — | — | — | — |
For Monthly Distribution, $1,374,302, $1,216,951 and $780,541 of capital loss carryover related to the acquisition of the Kelmoore Strategy Fund, Kelmoore Strategy Eagle Fund and Kelmoore Strategy Liberty Fund, respectively, is remaining to be recognized over the next four years. These amounts are subject to annual limitations of $1,374,302, $1,216,951 and $780,541 for the Kelmoore Strategy Fund, Kelmoore Strategy Eagle Fund and Kelmoore Strategy Liberty Fund, respectively, under tax rules.
126 |
NOTES TO FINANCIAL STATEMENTS (Continued)
October 31, 2014
9. | UNDERLYING INVESTMENT IN OTHER INVESTMENT COMPANIES |
Alternative Strategy currently invests a portion of its assets in Invesco STIT - Treasury Portfolio. Alternative Strategy may redeem its investment from the Invesco STIT - Treasury Portfolio at any time if the Advisor determines that it is in the best interest of the Fund and its shareholders to do so.
The performance of the Fund may be directly affected by the performance of the Invesco STIT - Treasury Portfolio. The financial statements of the Invesco STIT - Treasury Portfolio, including the portfolio of investments, can be found at www.invesco.com or the Securities and Exchange Commission’s website www.sec.gov and should be read in conjunction with Alternative Strategy financial statements. As of October 31, 2014, the percentage of the Fund’s net assets invested in the Invesco STIT - Treasury Portfolio was 25.4%.
Dynamic Macro currently invests a portion of its assets in SPDR S&P 500 ETF Trust. Dynamic Macro may redeem its investment from the SPDR S&P 500 ETF Trust at any time if the Advisor determines that it is in the best interest of the Fund and its shareholders to do so.
The performance of the Fund may be directly affected by the performance of the SPDR S&P 500 ETF Trust. The Financial statements of the SPDR S&P 500 ETF Trust, including the portfolio of investments, can be found at www.spdrs.com or the Securities and Exchange Commission’s website www.sec.gov and should be read in conjunction with Dynamic Macro financial statements. As of October 31, 2014, the percentage of the Fund’s net assets invested in the SPDR S&P 500ETF Trust was 29.3%.
10. | LINE OF CREDIT |
Floating Rate Bond may borrow for investment purposes, to meet repurchase requests and for temporary, extraordinary or emergency purposes. The Fund has entered into a line of credit agreement with The Bank of Nova Scotia, which permits the Fund to borrow up to $10 million at a rate, per annum, equal to 0.90% plus the 3 month LIBOR rate to be paid quarterly. There is also an annual commitment fee. During the year ended October 31, 2014, the Floating Rate Bond did not borrow from the line of credit.
11. | SUBSEQUENT EVENTS |
Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has concluded that there is no impact requiring adjustment or disclosure in the financial statements relating to the Funds presented in this report.
127 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of the Dunham Funds
We have audited the accompanying statements of assets and liabilities of the Dunham Corporate/Government Bond Fund, Dunham Monthly Distribution Fund, Dunham High-Yield Bond Fund, Dunham Dynamic Macro Fund (formerly known as Dunham Loss Averse Equity Income Fund), Dunham Alternative Strategy Fund, Dunham Appreciation & Income Fund, Dunham Large Cap Value Fund, Dunham Alternative Income Fund, Dunham Focused Large Cap Growth Fund, Dunham Real Estate Stock Fund, Dunham International Stock Fund, Dunham Small Cap Value Fund, Dunham Emerging Markets Stock Fund, and Dunham Small Cap Growth Fund (the “Funds”), each a series of shares of beneficial interest in the Dunham Funds, including the schedules of investments, as of October 31, 2014, 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 periods and years in the five-year period then ended (except as noted below for Dunham Alternative Strategy Fund). We have also audited the statement of changes in net assets for the Dunham Alternative Strategy Fund for the year ended July 31, 2013 and the accompanying statements of assets and liabilities of the Dunham Floating Rate Bond Fund and the Dunham International Opportunity Bond Fund, each a series of shares of beneficial interest in the Dunham Funds, including the schedules of investments, as of October 31, 2014, and the related statements of operations and changes in net assets and the financial highlights for the period November 1, 2013 (commencement of operations) to October 31, 2014. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. Relating specifically to the Dunham Alternative Strategy Fund, the financial highlights for each of the years in the three-year period ended July 31, 2012 were audited by other auditors whose report dated September 27, 2012, expressed an unqualified opinion on such financial highlights.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2014 by correspondence with the custodian, agent banks, and brokers and by other appropriate auditing procedures where responses from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of October 31, 2014, the results of their operations for the year then ended, the changes in their net assets for each of the years or periods presented, and their financial highlights for each of the years or periods presented (except for periods audited by other auditors noted above for Dunham Alternative Strategy Fund), in conformity with accounting principles generally accepted in the United States of America.
Philadelphia, Pennsylvania
December 29, 2014
128 |
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 | ||||||||||
Timothy M. Considine 1501 Fifth Ave., Ste. 400, San Diego, CA 92101 Age: 74 | Trustee | Since January 2008 | Accountant, Considine & Considine (certified public accountant), 1960- present. | 16 | HomeFed Corp., 1992-present | |||||
Henry R. Goldstein 3403 S. Race St. Englewood, CO 80113 Age: 83 | Trustee | Since January 2008 | Self-employed consultant/mediator (financial services), 2009-present; Independent Contractor, RBC Daniels (financial services company for telecom industry), 2007-2009; Managing Director, Daniels & Associates (financial services company for telecom industry), 1998- 2007. | 16 | None | |||||
Paul A. Rosinack Age: 67 | Trustee | Since January 2008 | President/ Chief Executive Officer / Director, Qualigen, Inc., (manufacturer of medical products and equipment) 2004- present. | 16 | None | |||||
Interested Trustees and Officers | ||||||||||
Jeffrey A. Dunham* Age: 53 | 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. | 16 | None | |||||
Denise S. Iverson Age: 55 | 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 |
129 |
Hilarey M. Findeisen Age: 44 | Secretary | Since January 2008 | Director of Operations, Dunham & Associates Investment Counsel, Inc. (registered investment adviser, broker-dealer and distributor for mutual funds), 1994- to present. | N/A | N/A | |||||
Joseph P. Kelly II Age: 39 | 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: 43 | Assistant Secretary and AML Officer | Since 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; Senior Executive Vice President, Marketing and Operations, Kelmoore Investment Co., Inc., 1998-2008 | N/A | N/A | |||||
James Colantino 80 Arkay Dr., Ste. 110 Hauppauge, NY 11788 Age: 45 | 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).
130 |
ADDITIONAL INFORMATION (Unaudited)
FACTORS CONSIDERED BY THE INDEPENDENT TRUSTEES IN APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS
Meeting of the Board of Trustees Held on June 24, 2014
Continuance of Sub-Advisory Agreement for Alternative Income
At a regular meeting of the Board of Trustees (the “Board”) of the Trust held on June 24, 2014 (the “Meeting”), the Board, including all of the Trustees who are not interested persons of the Trust (the “Independent Trustees”), considered the continuance of the Sub-Advisory Agreement with Harbor Springs Financial Management, LLC (“Harbor Springs”) with respect to Alternative Income (the “Fund”). In connection with its review and approval of the Sub-Advisory Agreement, the Board considered materials furnished by Harbor Springs, including information about, but not limited to, its personnel, operations and resources. The following is a summary of the information reviewed and considered by the Trustees and does not detail all information reviewed and considered.
Matters considered by the Board, including the Independent Trustees, in connection with its approval of the continuance of the Investment Advisory Agreement included the following:
Performance. As to investment performance, the Trustees reviewed the Fund’s performance over the 1 year and since inception periods through March 31, 2014 as compared to a peer group average (the ‘Peer Group”), Morningstar category average (“Morningstar Average”), its benchmark index, the Dow Jones US Select Dividend Index (the “Index”) and a composite of Harbor Springs’ individually managed accounts (collectively, the “Comparison Group”). The Trustees noted that although the Fund’s performance was satisfactory, it had underperformed the Peer Group, Morningstar Average and Index over both periods. The Trustees discussed that the Fund generally does not align with the other funds in the Peer Group. They noted that the Fund has an investment objective of maximizing income with capital appreciation as a secondary objective, while most of the funds within the Peer Group and Morningstar Average have a primary investment objective of capital appreciation. The Trustees further noted Harbor Springs’ input that many of the funds in the Morningstar category are asset allocation funds that invest in a variety of asset classes in which the Fund does not invest. The Trustees also considered that the Fund invests in master limited partnerships (MLPs), and the funds in the Morningstar Average generally do not, which has negatively impacted performance due to the uncertainty regarding the tax status of MLPs. The Trustees then discussed the Fund’s recent performance and noted that for the one-year period ended May 30, 2014, the Fund outperformed the Morningstar category. They also considered the Adviser’s view that Harbor Springs does a good job with stock selection, as well as the Sub-Adviser’s confidence that the Fund is poised to outperform the Index by year-end. The Trustees concluded that the Sub-Adviser is committed to the Fund’s strategy and expressed that, overall, they are satisfied with the performance of the Fund and are optimistic regarding prospects for improved performance in the near term.
Nature, Extent and Quality of Services. The Trustees discussed that the Adviser expressed satisfaction with Harbor Springs’ responsiveness to questions and requests for information and they viewed favorably Harbor Springs’ initiatives in the area of compliance and willingness to take direction from the Adviser. The Trustees also noted that there were no regulatory or compliance issues reported to the Board since inception of the Fund. The Trustees concluded that Harbor Springs has the experience and resources necessary to continue to provide sub-advisory service to the Fund.
Cost of Services and Profitability. The Trustees discussed that the fulcrum fee is in a +/-30 basis points adjustment to the base fee of 40 basis points based on the performance of the Fund’s Class N shares versus the performance benchmark for a range of 0.10% to 0.70%. The Trustees noted that while the maximum fee of 0.70% is 0.20% higher than the minimum fee that Harbor Springs charges other clients, Harbor Springs would only earn the maximum fee if the Fund performed very well. The Board, including the Independent Trustees, took into account that the minimum fee rate of 10 basis points is low and concluded that the fee adjustments under the fulcrum fee arrangement are reasonable and appropriate to reward or penalize outperformance or underperformance, respectively.
Economies of Scale. As to economies of scale, the Trustees reviewed an analysis of profitability provided by Harbor Springs in connection with the operation of the Fund. They discussed that the Harbor Spring’s expenses in running the Fund are greater than what has been earned. As Harbor Spring’s has not yet achieved a profit, the Trustees concluded that it is premature to discuss economies of scale.
Conclusion. Having requested and received such information from Harbor Springs as the Trustees believed to be reasonably necessary to evaluate the terms of the Sub-Advisory Agreement, and as assisted by the advice of independent counsel, the Trustees concluded that the Sub-Advisory fee is reasonable and that continuance of the Sub-Advisory Agreement with Harbor Springs is in the best interests of the Trust and shareholders of Alternative Income.
131 |
ADDITIONAL INFORMATION (Unaudited) (Continued)
Meeting of the Board of Trustees Held on September 23, 2014
At a regular meeting (the “Meeting”) of the Board of Trustees (the “Board”) of the Trust held on September 23, 2014, the Board, including all of the Trustees who are not interested persons of the Trust (the “Independent Trustees”), considered the approval of a new sub-advisory agreement among the Trust, Dunham & Associates Investment Counsel, Inc. (the “Adviser”) and PENN Capital Management Company, Inc. (“PENN”) (the “New Sub-Advisory Agreement”) on behalf of the Appreciation & Income and a new sub-advisory agreement among the Trust, the Adviser and Mellon Capital Management Corporation (“Mellon”) (the “New Sub-Advisory Agreement”) on behalf of Dynamic Macro.
New Sub-Advisory Agreement for Appreciation & Income
In connection with its review and approval of the New Sub-Advisory Agreement at the Meeting, the Independent Trustees considered materials furnished by PENN, including information about, but not limited to, PENN’s personnel and operations and financial condition. At the Meeting, representatives from the Adviser presented to the Board information regarding PENN and the Fund and responded to questions from the Trustees. The Board also reviewed the terms of the New Sub-Advisory Agreement and compared its terms to those of the prior sub-advisory agreement. The Trustees discussed the performance goals and fulcrum fee arrangements set forth in the New Sub-Advisory Agreement.
Matters considered by the Board, including the Independent Trustees, in connection with its approval of the New Sub-Advisory Agreement included the following:
Performance. As to investment performance, the Trustees reviewed the PENN Convertible Securities Composite performance report, which provided the performance of separate accounts managed by PENN with a similar strategy over various time periods ended June 30, 2014 as compared to a group of funds in Morningstar’s convertible securities category that have a similar style and investment approach and discussed the same with analysts from DAIC. They discussed PENN’s returns for the 1-year period and stated that underperformance during this time period was the result of PENN being underweight to the most equity sensitive part of the convertible market. The Trustees noted that PENN did not consider those convertibles to have the necessary risk/reward dynamic that PENN looks for in an investment. The Trustees noted PENN’s strong performance for the 5- and 10-year periods and since inception on September 30, 2003. The Independent Trustees concluded that based on PENN’s long-term track record and experience in this asset class it is reasonable to expect that PENN will obtain an acceptable level of investment return for the Fund’s shareholders.
Nature, Extent and Quality of Services. As to the nature, quality and extent of the service to be provided by PENN pursuant to the New Sub-Advisory Agreement, the Board noted the Trust’s positive acquaintance with PENN in connection with High-Yield. The Trustees discussed the nature of PENN’S operations and the experience of its management personnel. The Board also reviewed PENN’s methodology, research and analysis for selecting investments. The Trustees noted the opinion of the Trust’s CCO with respect to PENN’s policies and procedures and satisfaction with PENN’s overall “culture of compliance”. After further discussion, the Independent Trustees concluded that PENN has the experience and resources necessary for managing the Fund in a manner acceptable to the Board.
Cost of Services and Profitability. As to the cost of the services to be provided and the profits to be realized by PENN, the Board noted that the Fund will pay PENN a fulcrum fee consisting of a base fee of 45 basis points annually and a performance fee component at a rate that will vary by +/- 0.25% of the average daily net asset value of the Fund depending upon the performance of the Fund’s Class N shares as compared to the Bank of America Merrill Lynch All Convertibles All Qualities Index (the ” Comparative Index”) for a range of 0.20% to 0.70%. The Board also noted that the performance fee rate will increase or decrease by one basis point (0.01%) for each ten basis points (0.10%) of outperformance/underperformance of the Comparative Index. The Trustees noted that PENN would only earn the maximum fee if the Fund performed very well. The Board, including the Independent Trustees, took into account that the minimum fee rate of 20 basis points is low and that the maximum fee rate of 70 basis points is below the fee that PENN charges to manage other accounts with a similar strategy. The Independent Trustees concluded that the fee adjustments under the fulcrum fee arrangement are reasonable and appropriate to reward or penalize the sub-adviser’s outperformance or underperformance, respectively. The Independent Trustees also took into account that the Fund pays the Adviser a fixed fee of 0.65% of daily net assets and discussed that the various duties of the Adviser and PENN are not duplicative. The Independent Trustees next considered the anticipated profits to be realized by PENN in relation to the operation of Appreciation & Income. They reviewed an analysis of profitability provided by PENN and concluded that the estimated net profits to PENN are modest.
Economies of Scale. As to economies of scale, after discussion, it was the consensus of the Independent Trustees that the Fund had not yet reached an asset level where PENN could realize any material economies of scale and, consequently, the absence of breakpoints was acceptable at this time. The Independent Trustees concluded that they would reconsider this topic when the assets of the Fund increase materially.
132 |
ADDITIONAL INFORMATION (Unaudited) (Continued)
Conclusion. During the Board’s deliberations, it was noted that the Board did not identify any single piece of information that was all important or controlling with respect to the New Sub-Advisory Agreement. Having requested and received such information from the Adviser and PENN as the Board believed to be reasonably necessary to evaluate the terms of the proposed New Sub-Advisory Agreement, and as assisted by the advice of counsel, the Board, including all of the Independent Trustees, unanimously concluded that the terms of the New Sub-Advisory Agreement were fair and reasonable.
As a result of their considerations, the Independent Trustees determined that approval of the New Sub-Advisory Agreement was in the best interests of the Fund and its shareholders. Accordingly, the Independent Trustees unanimously approved the New Sub-Advisory Agreement with PENN.
New Sub-Advisory Agreement for Dynamic Macro
In connection with its review and approval of the New Sub-Advisory Agreement at the September 23, 2014 Meeting, the Independent Trustees considered materials furnished by Mellon, including information about, but not limited to, Mellon’s personnel and operations and financial condition. At the Meeting, representatives from the Adviser and Mellon presented to the Board information regarding Mellon and the Fund and responded to questions from the Trustees. The Board also reviewed the terms of the New Sub-Advisory Agreement and compared its terms to those of the prior sub-advisory agreement. The Trustees discussed the terms of the New Sub-Advisory Agreement and the performance goals and fulcrum fee arrangements set forth in the New Sub-Advisory Agreement.
Matters considered by the Board, including the Independent Trustees, in connection with its approval of the New Sub-Advisory Agreement included the following:
Performance. As to investment performance, the Trustees reviewed performance data provided by Mellon that showed outperformance of Mellon’s Dynamic Total Return Composite since inception in November 2013 versus the Morningstar category average, a peer group of comparable funds. The Board also reviewed the performance of Mellon’s Global Alpha Low Restriction Composite over the 1-year and 5-year periods ended June 30, 2014 and noted its outperformance versus the Morningstar category average and peer group. While the two composites were managed in a slightly different manner, the Independent Trustees were satisfied with the data provided and concluded that Mellon has the ability to provide reasonable returns to the Fund’s shareholders.
Nature, Extent and Quality of Services. As to the nature, quality and extent of the services to be provided by Mellon, the Independent Trustees heard from Adviser representatives as to the high degree of interaction with and attention received by all levels of Mellon’s management throughout the selection process. The Board considered the detailed description provided by Mellon with regard to its services and procedures for monitoring compliance with the Fund’s guidelines and applicable regulatory requirements, which they noted included the use of a third party automated compliance monitoring system. Further, the Independent Trustees were impressed by the enthusiasm exhibited by the Mellon representatives during their presentation. The Independent Trustees noted that Mellon manages assets in excess of $3 billion for clients with strategies similar to the Fund and concluded that Mellon is uniquely qualified to manage this type of product.
Cost of Services and Profitability. As to the cost of the services to be provided and the profits to be realized by Mellon, the Board noted that the Fund will pay Mellon a fulcrum fee consisting of a base fee of 75 basis points annually and a performance fee component at a rate that will vary by +/- 0.35% of the average daily net asset value of the Fund depending upon the performance of the Fund’s Class N shares as compared to the IndexIQ IQ Hedge Global Macro Beta Index (the “Comparative Index”) for a range of 0.40% to 1.10%. The Board also noted that the performance fee rate will increase or decrease by one basis point (0.01%) for each ten basis points (0.10%) of outperformance/underperformance of the Comparative Index. The Trustees noted that Mellon would only earn the maximum fee if the Fund performed very well. The Board, including the Independent Trustees, noted that based on information provided by Mellon, the maximum fee rate of 1.10 basis points is similar to the average adviser and sub-adviser management fees Mellon is receiving for managing similar accounts. The Independent Trustees discussed that the Fund pays the Adviser a fixed fee of 0.65% of daily net assets and considered the delegation of duties between the Adviser and Sub-Adviser. The Independent Trustees concluded that on its face and relative to the Advisory fee, the proposed Sub-Advisory fee is reasonable in light of the quality of services expected to be rendered to the Fund. As to profitability, the Independent Trustees noted that Mellon does not anticipate receiving any payment from the Fund other than pursuant to the new Sub-Advisory Agreement. Further, the Independent Trustees reviewed an analysis of profitability provided by the Sub-Adviser and concluded that the estimated net profits did not appear to be excessive.
Economies of Scale. As to economies of scale, the Independent Trustees noted the absence of breakpoints at this time, but recognizing the relatively small size of the Fund, concurred that this was not a concern. The Independent Trustees acknowledged management’s optimism for the Fund’s growth with respect to the new investment strategy and projected improvement in the economy in general. Consequently, the Trustees concluded that it may be appropriate to consider breakpoints in the future.
133 |
ADDITIONAL INFORMATION (Unaudited) (Continued)
Conclusion. During the Board’s deliberations, it was noted that the Board did not identify any single piece of information that was all important or controlling with respect to the New Sub-Advisory Agreement. Having requested and received such information from the Adviser and Sub-Adviser as the Board believed to be reasonably necessary to evaluate the terms of the proposed New Sub-Advisory Agreement, and as assisted by the advice of counsel, the Board, including all of the Independent Trustees, unanimously concluded that the terms of the new Sub-Advisory Agreement were fair and reasonable.
As a result of their considerations, the Independent Trustees determined that approval of the New Sub-Advisory Agreement was in the best interests of the Fund and its shareholders. Accordingly, the Independent Trustees unanimously approved the New Sub-Advisory Agreement with Mellon.
134 |
DUNHAM FUNDS’ EXPENSES (Unaudited)
Example
Shareholders of mutual funds will pay (1) transitional costs, such as sales load, and (2) ongoing expenses, such as advisory fees, distribution and service fees (12b-1), and other fund expenses. The following examples are intended to help you understand the ongoing cost (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions which may be assessed by mutual funds. This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The columns under the heading entitled “Actual” help you estimate the actual expenses you paid over the period. The “Actual-Ending Account Value” shown is derived from the Fund’s actual return, and the “Actual- Expenses Paid During Period” shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. To estimate the expenses you paid on your account during this period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled “Actual-Expenses Paid During Period”.
Hypothetical Examples for Comparison Purposes
The columns under the heading entitled “Hypothetical” provide information about hypothetical account value and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs which may be applicable to your account. Therefore, the last column of the table (Hypothetical- Expenses Paid During Period) is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Hypothetical | ||||||||||||
Actual | (5% return before expenses) | |||||||||||
Fund’s | Beginning | Ending | Expenses | Ending | Expenses | |||||||
Annualized | Account Value | Account Value | Paid During | Account Value | Paid During | |||||||
Expense Ratio | 5/1/14 | 10/31/14 | Period* | 10/31/14 | Period* | |||||||
Class N: | ||||||||||||
Corporate/Government Bond Fund | 1.21% | $1,000.00 | $1,014.40 | $ 6.14 | $1,019.11 | $ 6.16 | ||||||
Monthly Distribution Fund | 2.41% | $1,000.00 | $1,004.30 | $12.18 | $1,013.06 | $12.23 | ||||||
Floating Rate Bond Fund | 1.43% | $1,000.00 | $1,003.50 | $ 7.10 | $1,018.00 | $ 7.27 | ||||||
High-Yield Bond Fund | 1.03% | $1,000.00 | $ 999.70 | $ 5.19 | $1,020.01 | $ 5.24 | ||||||
International Opportunity Bond Fund | 1.34% | $1,000.00 | $ 948.40 | $ 6.58 | $1,018.45 | $ 6.82 | ||||||
Dynamic Macro Fund | 1.61% | $1,000.00 | $1,015.70 | $ 8.18 | $1,017.09 | $ 8.19 | ||||||
Alternative Strategy Fund | 2.12% | $1,000.00 | $1,036.50 | $10.88 | $1,014.52 | $10.76 | ||||||
Appreciation & Income Fund | 1.46% | $1,000.00 | $1,044.10 | $ 7.52 | $1,017.85 | $ 7.43 | ||||||
Large Cap Value Fund | 1.28% | $1,000.00 | $1,041.10 | $ 6.59 | $1,018.75 | $ 6.51 | ||||||
Alternative Income Fund | 1.67% | $1,000.00 | $1,028.80 | $ 8.54 | $1,016.79 | $ 8.49 | ||||||
Focused Large Cap Growth Fund | 1.99% | $1,000.00 | $1,118.50 | $10.45 | $1,014.93 | $ 9.94 | ||||||
Real Estate Stock Fund | 1.71% | $1,000.00 | $1,110.70 | $ 9.10 | $1,016.59 | $ 8.69 | ||||||
International Stock Fund | 1.98% | $1,000.00 | $ 991.50 | $ 9.94 | $1,015.22 | $10.06 | ||||||
Small Cap Value Fund | 1.43% | $1,000.00 | $1,043.90 | $ 7.37 | $1,018.00 | $ 7.27 | ||||||
Emerging Markets Stock Fund | 1.26% | $1,000.00 | $1,071.10 | $ 6.58 | $1,018.85 | $ 6.41 | ||||||
Small Cap Growth Fund | 1.45% | $1,000.00 | $1,030.80 | $ 7.30 | $1,017.60 | $ 7.25 | ||||||
Class A: | ||||||||||||
Corporate/Government Bond Fund | 1.51% | $1,000.00 | $1,069.60 | $ 7.88 | $1,017.59 | $ 7.68 | ||||||
Monthly Distribution Fund | 2.66% | $1,000.00 | $1,003.10 | $13.43 | $1,011.80 | $13.49 | ||||||
Floating Rate Bond Fund | 1.68% | $1,000.00 | $1,003.30 | $ 8.34 | $1,016.74 | $ 8.54 | ||||||
High-Yield Bond Fund | 1.28% | $1,000.00 | $ 998.40 | $ 6.45 | $1,018.75 | $ 6.51 | ||||||
International Opportunity Bond Fund | 1.59% | $1,000.00 | $ 947.30 | $ 7.80 | $1,017.19 | $ 8.08 | ||||||
Dynamic Macro Fund | 1.86% | $1,000.00 | $1,014.00 | $ 9.44 | $1,015.83 | $ 9.45 | ||||||
Alternative Strategy Fund | 2.37% | $1,000.00 | $1,034.80 | $12.16 | $1,013.26 | $12.03 | ||||||
Appreciation & Income Fund | 1.71% | $1,000.00 | $1,042.30 | $ 8.80 | $1,016.59 | $ 8.69 | ||||||
Large Cap Value Fund | 1.53% | $1,000.00 | $1,039.90 | $ 7.87 | $1,017.49 | $ 7.78 | ||||||
Alternative Income Fund | 1.92% | $1,000.00 | $1,027.50 | $ 9.81 | $1,015.53 | $ 9.75 | ||||||
Focused Large Cap Growth Fund | 2.24% | $1,000.00 | $1,117.70 | $11.76 | $1,013.69 | $11.18 | ||||||
Real Estate Stock Fund | 1.96% | $1,000.00 | $1,109.00 | $10.42 | $1,015.32 | $ 9.96 | ||||||
International Stock Fund | 2.23% | $1,000.00 | $ 990.20 | $11.19 | $1,013.96 | $11.32 | ||||||
Small Cap Value Fund | 1.68% | $1,000.00 | $1,042.80 | $ 8.65 | $1,016.74 | $ 8.54 | ||||||
Emerging Markets Stock Fund | 1.51% | $1,000.00 | $1,069.60 | $ 7.88 | $1,017.59 | $ 7.68 | ||||||
Small Cap Growth Fund | 1.70% | $1,000.00 | $1,029.10 | $ 8.55 | $1,016.36 | $ 8.50 |
135 |
YOUR FUNDS’ EXPENSES (Unaudited) (Continued)
Hypothetical | ||||||||||||
Actual | (5% return before expenses) | |||||||||||
Fund’s | Beginning | Ending | Expenses | Ending | Expenses | |||||||
Annualized | Account Value | Account Value | Paid During | Account Value | Paid During | |||||||
Expense Ratio | 5/1/14 | 10/31/14 | Period* | 10/31/14 | Period* | |||||||
Class C: | ||||||||||||
Corporate/Government Bond Fund | 1.96% | $1,000.00 | $1,011.30 | $ 9.94 | $1,015.32 | $ 9.96 | ||||||
Monthly Distribution Fund | 3.41% | $1,000.00 | $ 992.00 | $17.12 | $1,008.02 | $17.26 | ||||||
Floating Rate Bond Fund | 2.18% | $1,000.00 | $1,000.60 | $10.91 | $1,014.22 | $11.07 | ||||||
High-Yield Bond Fund | 1.78% | $1,000.00 | $ 997.00 | $ 8.96 | $1,016.23 | $ 9.05 | ||||||
International Opportunity Bond Fund | 2.09% | $1,000.00 | $ 945.50 | $10.25 | $1,014.67 | $10.61 | ||||||
Dynamic Macro Fund | 2.61% | $1,000.00 | $1,010.10 | $13.22 | $1,012.05 | $13.24 | ||||||
Alternative Strategy Fund | 3.12% | $1,000.00 | $1,030.50 | $15.97 | $1,009.48 | $15.80 | ||||||
Appreciation & Income Fund | 2.46% | $1,000.00 | $1,038.00 | $12.64 | $1,012.80 | $12.48 | ||||||
Large Cap Value Fund | 2.24% | $1,000.00 | $1,076.50 | $11.53 | $1,013.69 | $11.18 | ||||||
Alternative Income Fund | 3.11% | $1,000.00 | $1,041.70 | $15.74 | $1,009.37 | $15.49 | ||||||
Focused Large Cap Growth Fund | 2.99% | $1,000.00 | $1,112.90 | $15.66 | $1,009.97 | $14.90 | ||||||
Real Estate Stock Fund | 2.71% | $1,000.00 | $1,104.90 | $14.38 | $1,011.54 | $13.74 | ||||||
International Stock Fund | 2.98% | $1,000.00 | $ 986.60 | $14.92 | $1,010.18 | $15.10 | ||||||
Small Cap Value Fund | 2.43% | $1,000.00 | $1,039.20 | $12.49 | $1,012.96 | $12.33 | ||||||
Emerging Markets Stock Fund | 2.26% | $1,000.00 | $1,065.00 | $11.76 | $1,013.81 | $11.47 | ||||||
Small Cap Growth Fund | 2.45% | $1,000.00 | $1,025.80 | $12.31 | $1,012.65 | $12.23 |
* | 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, 2014). |
136 |
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).
137 |
Privacy Notice
March 2011
FACTS | WHAT DO THE DUNHAM FUNDS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
■ Social Security number and wire transfer instructions
■ account transactions and transaction history
■ investment experience and purchase history
When you are no longer a customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons the Dunham Funds chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Do Dunham Funds share? | Can you limit this sharing? |
For our everyday business purposes - such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | NO |
For our marketing purposes - to offer our products and services to you | Yes | NO |
For joint marketing with other financial companies | No | We don’t share |
For our affiliates’ everyday business purposes - information about your transactions and experiences | No | We don’t share |
For our affiliates’ everyday business purposes - information about your creditworthiness | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call (800) 442-4358 or go to www.dunham.com |
138 |
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. |
139 |
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)
The Board has determined, based on questionnaires completed by the Audit Committee members, that Timothy M. Considine is an audit committee financial expert. Mr. Considine is independent for purposes of this Item 3.
Item 4. Principal Accountant Fees and Services.
(a)
Audit Fees
FY 2014
$ 192,000
FY 2013
$ 177,000
(b)
Audit-Related Fees
FY 2014
$ 0
FY 2013
$ 0
Nature of the fees:
(c)
Tax Fees
FY 2014
$ 32,000
FY 2013
$ 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 2014
$ 0
$ 0
FY 2013
$ 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 2013 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 2014
$32,000
$ None
FY 2013
$30,000
$ None
(h)
Not applicable. All non-audit services to the registrant were pre-approved by the Audit Committee for FY 2011
Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.
Item 6. Schedule of Investments. Schedule of investments in securities of unaffiliated issuers is included under Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Funds. Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Funds. Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders. None
Item 11. Controls and Procedures.
(a)
Based on an evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the disclosure controls and procedures are reasonably designed to ensure that the information required in filings on Forms N-CSR is recorded, processed, summarized, and reported on a timely basis.
(b)
There were no significant changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1)
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, President
Date
1/9/15
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, President
Date
1/9/15
By (Signature and Title)
/s/Denise Iverson
Denise Iverson, Treasurer
Date
1/9/15