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:10/31/15
Item 1. Reports to Stockholders.
Dear Fellow Shareholders,
Over the past fiscal year, the market continued to hand us many of the uncertainties we have seen in previous years. Investors anticipated a rise in short-term interest rates for the past few years, which still has not been realized. The Federal Reserve’s first interest rate increase in nearly a decade continued to weigh on investors throughout the entire fiscal year. The U.S. dollar’s strength relative to most worldwide currencies and a continued decline in oil prices kept U.S. inflation at bay and added to the Fed’s conundrum on monetary policy, despite a steadily improving employment situation. Global economic challenges added an extra layer of caution for investors and the Fed, alike.
Stocks, although volatile, generally fared well over the fiscal year. While U.S. stock returns were in the mid-single digits, lagging Chinese and Japanese stocks, they outpaced European stocks and the rest of the world as a whole. Major U.S. indexes hit all-time highs numerous times throughout the first half of the fiscal year, only to suffer a correction towards the end of the fiscal year on global economic concerns.
In Europe, the possibility of Greece exiting the Eurozone, dubbed a “Grexit”, roughly midway through the fiscal year nearly became a reality. A deal reached with Eurozone and International Monetary Fund creditors in the eleventh hour prevented Greece from defaulting on its debt obligations and departing the Eurozone. The European Central Bank’s (“ECB”) stimulus program showed progress but more appeared to be necessary, and ECB President, Mario Draghi, was more than willing to accommodate.
Towards the end of the fiscal year, China lobbied for their currency, the yuan, to be added to the basket of global reserve currencies, to no avail. Shortly thereafter, China devalued the yuan, which had been pegged to the U.S. dollar, amid what seemed to be surprise economic developments, sending global markets into a tailspin. August and September stood out as a period of heightened volatility, but once the dust settled, China regained control and markets began to recover.
The West agreed to lift sanctions that had been placed on Iran in 2012 in order to curtail its nuclear program, which included the boycott of the purchase of Iranian oil, once Iran has done its part in shutting down nuclear facilities. The lifting of sanctions will enable Iran to reinstate oil production. Investors, already skittish due to falling oil prices in a supply-saturated market with weakening demand, are saddled with the prospect of even more future oil supply, the uncertainty of whether demand will grow enough to absorb that supply, all of which increases the confusion for the overall direction of future oil prices.
Domestic bonds continued to do relatively well, as interest rates generally declined over the fiscal year. After hitting a low towards the beginning of fiscal year, the yield on the 10-year U.S. Treasury fluctuated within an 84 basis point range, hitting a high towards the end of the third fiscal quarter. It subsequently began a steady decline to close lower than it began, as global economic concerns sent investors scurrying to the perceived safety of U.S. government bonds. Global bonds, on the other hand, struggled due to falling currencies relative to the U.S. dollar. In spite of quantitative easing in parts of the world taking hold, the currency effect had a stronger impact on global bonds.
On the equity side, we made a change to the Dunham Large Cap Value Fund by replacing the sub-adviser. We believe that one of the ways we add value for the Funds’ shareholders is by hiring world-class money managers to manage the security selection for each of the Dunham Funds. It is our belief that the change we made was positive and will benefit our shareholders’ portfolios for years to come.
As we continue with our economic growth in the U.S. and as world economies begin to recover, we are optimistic that our diverse line-up of mutual funds will enable our shareholders to capitalize on opportunities the markets may present. 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, 2015
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 2.0 percent in the fiscal year ended October 31, 2015 after a 4.1 percent increase 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 3.3 percent, while long-term Treasuries, as measured by the BofA ML Treasuries 10+ Years Index, saw an increase of 5.3 percent over the fiscal year. Corporate bonds, as measured by the BofA ML U.S. Corporate Bond Index, increased less than one-third times intermediate-term Treasury bonds, rising 1.0 percent over the fiscal year. High-yield bonds, as measured by the BofA ML High-Yield Bond Cash Pay Index, lost 2.0 percent, underperforming the intermediate-term Treasury bonds by 1.3 percent during the fiscal year ended October 31, 2015.
The Fund continued to balance risk versus reward by choosing to emphasize lower duration bonds and overweighting lower credit quality securities, which outperformed over the previous fiscal year in anticipation of rising interest rates, but had mixed performance over the current fiscal year. The effective duration of the Fund increased throughout the fiscal year and was roughly 4.56 years, on average, while the benchmark index had an approximate effective duration of 5.52 years, on average. This allocation generally dragged on performance for the Fund as Treasury yields experienced an up-trend the first half of the fiscal year, but then a down-trend the second half, trading in a relatively broad range of 84 basis points. Long-term Treasury yields began the fiscal year at 2.34 percent, hit a low of 1.64 percent on the last trading day of January and reversed course, hitting a high in early-June of 2.48 percent, before steadily declining to end the fiscal year at 2.14 percent.
A holding in the Fund that performed very well for the fiscal year, which is in the high-yield sector, was MPT Operating Partnership/MPT Finance Corporation 5.50% due 5/1/2024 (55342UAE4) (holdings percentage*: 0.12 percent), who conduct business as a joint issuer of debt. The companies raise funds in order to finance current acquisitions; pay for general corporate purposes, including debt repayment; and fund any future acquisitions and investments. These bonds produced a total return of 74.5 percent for the fiscal year. Another contributor from the high-yield sector included GLP Capital LP/GLP Financing II, Inc. 4.875% due 11/1/2020 (361841AD1) (holdings percentage*: 0.190 percent), who also conduct business as a joint issuer of debt. The companies operate as dual issuer of senior notes in order to purchase existing debt and pay related expenses. The total return for these bonds over the fiscal year was 15.57 percent.
One detractor from Fund performance over the fiscal year was United States Steel Corporation 6.875% due 4/1/2021 (912909AJ7) (holdings percentage*: 0.12 percent), operates as an integrated steel producer. The company manufactures flat-rolled and tubular products with production operations in North America and Europe, serving the automotive, appliance, container, industrial machinery, construction, and oil and gas industries. These bonds suffered a total return loss of 61.4 percent for the 12-month period ended October 31, 2015. Another holding that performed poorly over the fiscal year was TransDigm, Inc. 6.000% due 7/15/2022 (893647AW7) (holdings percentage*: 0.15 percent), a provider of aerospace parts and instruments. The company offers nickel cadmium batteries, power back-up systems, and conversion equipment to commercial airlines and aircraft maintenance facilities manufacturers in the United States. The bonds were down 25.9 percent on a total return basis for the fiscal year.
The Sub-Adviser continued to severely underweight government bonds during the fiscal year in anticipation of rising interest rates, which generally did not materialize. Despite the underweight, security selection within the sector resulted in a net positive impact on performance in the Fund relative to the benchmark index for the fiscal year.
Exposure to investment-grade corporate bonds enhanced performance on both a relative and absolute basis despite the sector underweight, as security selection in this sector surpassed investment-grade corporate bonds within the benchmark index over the fiscal year ended October 31, 2015.
The Sub-Adviser believes U.S. economic growth will continue to strengthen throughout the remainder of the calendar year and expects the Federal Reserve to most likely begin raising interest rates in early 2016. The Sub-Adviser believes that, although interest rates will rise, the increase will not be dramatic and will be good for bonds and spread sectors. The Sub-Adviser continues to believe it is important to stay diversified and granular, keeping small positions and maintaining liquidity. The Sub-Adviser believes that the prospect of continued volatility in the bond market will present opportunities and feels that the Fund is positioned well to take advantage of those opportunities as they arise.
* | Holdings percentage(s) as of 10/31/2015. |
Growth of $10,000 Investment - (Unaudited)
Total Returns as of October 31, 2015
Annualized | Annualized | Annualized | Annualized Since Inception | ||
One Year | Three Years | Five Years | Ten Years | (12/10/04) | |
Class N | 0.36% | 1.42% | 2.91% | 4.63% | 4.26% |
Class C | (0.45)% | 0.67% | 2.14% | 3.84% | 3.49% |
Class A with load of 4.50% | (4.49)% | (0.38)% | 1.70% | N/A | 3.65%* |
Class A without load | 0.04% | 1.15% | 2.64% | N/A | 4.19%* |
Barclays Aggregate Bond Index | 1.96% | 1.65% | 3.03% | 4.72% | 4.42% |
Morningstar Intermediate-Term Bond Category | 0.98% | 1.52% | 3.06% | 4.19% | 3.91% |
* | 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 1.37% for Class N, 2.12% for Class C and 1.62% 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, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
CORPORATE BONDS & NOTES - 56.7% | ||||||||||||||
AEROSPACE / DEFENSE - 0.2% | ||||||||||||||
TransDigm, Inc. | $ | 75,000 | 6.000 | % | 7/15/2022 | $ | 76,125 | |||||||
TransDigm, Inc. - 144A | 35,000 | 6.500 | 5/15/2025 | 35,700 | ||||||||||
111,825 | ||||||||||||||
AIRLINES ABS - 1.0% | ||||||||||||||
Air Canada 2013-1 Class B Pass Through Trust - 144A | 101,305 | 5.375 | 5/15/2021 | 103,965 | ||||||||||
Continental Airlines 2009-2 Class A Pass Through Trust | 224,355 | 7.250 | 11/10/2019 | 252,792 | ||||||||||
United Airlines 2009-2A Pass Through Trust | 128,170 | 9.750 | 1/15/2017 | 136,982 | ||||||||||
493,739 | ||||||||||||||
AUTO MANUFACTURERS - 0.9% | ||||||||||||||
Ford Motor Credit Co. LLC. | 270,000 | 5.750 | + | 2/1/2021 | 305,498 | |||||||||
General Motors Financial Co., Inc. | 130,000 | 3.500 | 7/10/2019 | 131,504 | ||||||||||
437,002 | ||||||||||||||
AUTO PARTS & EQUIPMENT - 0.8% | ||||||||||||||
Meritor, Inc. | 215,000 | 6.750 | 6/15/2021 | 213,388 | ||||||||||
MPG Holdco I, Inc. | 105,000 | 7.375 | 10/15/2022 | 112,087 | ||||||||||
Omega US Sub LLC - 144A | 110,000 | 8.750 | 7/15/2023 | 104,087 | ||||||||||
429,562 | ||||||||||||||
AUTOMOBILE ABS - 2.6% | ||||||||||||||
California Republic Auto Receivables Trust 2014-3 A4 | 390,000 | 1.790 | 3/16/2020 | 390,767 | ||||||||||
Capital Auto Receivables Asset Trust / Ally 2013-1 C | 590,000 | 1.740 | 10/22/2018 | 591,278 | ||||||||||
Drive Auto Receivables Trust 2015-D - 144A | 165,000 | 3.380 | 11/15/2021 | 165,314 | ||||||||||
Ford Credit Auto Owner Trust 2013-B D | 194,000 | 1.820 | + | 11/15/2019 | 195,271 | |||||||||
1,342,630 | ||||||||||||||
BANKS - 8.9% | ||||||||||||||
Banco de Credito del Peru - 144A | 170,000 | 6.125 | + | 4/24/2027 | 182,750 | |||||||||
Banco de Credito e Inversiones - 144A | 325,000 | 4.000 | 2/11/2023 | 326,585 | ||||||||||
Banco Internacional del Peru SAA -144A | 200,000 | 6.625 | + | 3/19/2029 | 206,000 | |||||||||
Banco Santander Chile - 144A | 300,000 | 3.875 | 9/20/2022 | 304,322 | ||||||||||
Bank of America Corp. | 55,000 | 2.000 | 1/11/2018 | 55,283 | ||||||||||
Bank of America Corp. | 175,000 | 5.625 | 7/1/2020 | 197,331 | ||||||||||
Bank of New York Mellon | 110,000 | 4.950 | + | Perpetual | 110,137 | |||||||||
Barclays Bank PLC - 144A | 270,000 | 6.050 | 12/4/2017 | 291,433 | ||||||||||
Capital One Financial Corp. | 135,000 | 4.200 | 10/29/2025 | 135,272 | ||||||||||
Citigroup, Inc. | 130,000 | 4.050 | 7/30/2022 | 133,705 | ||||||||||
Citigroup, Inc. | 100,000 | 5.800 | + | Perpetual | 99,500 | |||||||||
Citizens Financial Group, Inc. - 144A | 110,000 | 5.500 | + | Perpetual | 108,350 | |||||||||
Goldman Sachs Group, Inc. | 75,000 | 5.700 | + | Perpetual | 75,750 | |||||||||
Goldman Sachs Group, Inc. | 185,000 | 5.750 | 1/24/2022 | 212,162 | ||||||||||
JPMorgan Chase & Co. | 35,000 | 5.300 | + | Perpetual | 35,193 | |||||||||
JPMorgan Chase & Co. | 40,000 | 6.125 | 6/27/2017 | 42,927 | ||||||||||
Macquarie Bank Ltd. - 144A | 17,000 | 6.625 | 4/7/2021 | 19,218 | ||||||||||
Morgan Stanley | 185,000 | 4.100 | 5/22/2023 | 188,284 | ||||||||||
Morgan Stanley | 225,000 | 6.375 | 7/24/2042 | 283,472 | ||||||||||
PNC Financial Services Group, Inc. | 255,000 | 4.850 | + | Perpetual | 240,312 | |||||||||
SunTrust Banks, Inc. | 30,000 | 5.625 | + | Perpetual | 30,188 | |||||||||
Turkiye Garanti Bankasi AS - 144A | 330,000 | 5.250 | 9/13/2022 | 332,781 | ||||||||||
UBS AG | 650,000 | 7.625 | 8/17/2022 | 752,793 | ||||||||||
Zions Bancorporation | 115,000 | 4.500 | 6/13/2023 | 118,863 | ||||||||||
4,482,611 | ||||||||||||||
BIOTECHNOLOGY - 0.0% | ||||||||||||||
Concorida Healthcare Corp. - 144A | 5,000 | 7.000 | 4/15/2023 | 4,375 | ||||||||||
BUILDING MATERIALS - 0.3% | ||||||||||||||
Masco Corp. | 95,000 | 5.950 | 3/15/2022 | 105,450 | ||||||||||
Masco Corp. | 25,000 | 4.450 | 4/1/2025 | 25,125 | ||||||||||
130,575 |
See accompanying notes to financial statements.
3
SCHEDULE OF INVESTMENTS |
Dunham Corporate/Government Bond Fund (Continued) |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
CHEMICALS - 1.1% | ||||||||||||||
Hexion US Finance Corp. ^ | $ | 170,000 | 6.625 | % | 4/15/2020 | $ | 144,925 | |||||||
Methanex Corp. | 130,000 | 4.250 | 12/1/2024 | 123,350 | ||||||||||
New Market Corp. | 305,000 | 4.100 | 12/15/2022 | 311,056 | ||||||||||
579,331 | ||||||||||||||
COAL - 0.1% | ||||||||||||||
Consol Energy, Inc. - 144A | 70,000 | 5.875 | 4/15/2022 | 44,625 | ||||||||||
COMMERCIAL MBS - 6.4% | ||||||||||||||
A10 Securitization 2013-1 B LLCA10 2013-1 B - 144A | 300,000 | 4.120 | 11/15/2025 | 300,826 | ||||||||||
Aventura Mall Trust 2013-AVM A - 144A | 155,000 | 3.743 | + | 12/5/2032 | 164,947 | |||||||||
Aventura Mall Trust 2013-AVM C - 144A | 100,000 | 3.743 | + | 12/5/1932 | 103,088 | |||||||||
Citigroup Commercial Mortgage Trust 2007-C6 A4 | 290,000 | 5.711 | + | 12/10/2049 | 304,500 | |||||||||
Citigroup Commercial Mortgage Trust 2008-C7 AH | 95,000 | 6.144 | + | 12/10/2049 | 101,811 | |||||||||
CSAIL Commercial Mortgage Trust CMO 2015 C1 Class A4 | 135,000 | 3.849 | 6/15/2057 | 138,190 | ||||||||||
DBUBS 2011-LC3 Mortgage Trust -LC3A Class D - 144A | 105,000 | 5.422 | + | 8/10/2044 | 110,667 | |||||||||
FREMF 2015-K720 Mortgage Trust - 144A | 115,000 | 3.389 | + | 7/25/2022 | 102,578 | |||||||||
GAHR Commericial Mortgage Trust 2015-NRF CFX - 144A | 105,000 | 3.382 | + | 12/15/2019 | 104,425 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 A4 | 470,000 | 5.882 | + | 2/15/2051 | 491,951 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2010-CNTR | 140,000 | 6.184 | + | 8/5/2032 | 157,966 | |||||||||
LB-UBS Commercial Mortgage Trust 2007-C7 A3 | 62,700 | 5.866 | + | 9/15/2045 | 66,884 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26 | 135,000 | 4.412 | 11/15/1948 | 134,489 | ||||||||||
Morgan Stanley Capital I Trust 2007-IQ14 AM | 224,000 | 5.682 | + | 4/15/2049 | 231,220 | |||||||||
Morgan Stanley Capital I Trust 2015-MS1 Class AS | 270,000 | 4.029 | + | 5/15/2048 | 281,445 | |||||||||
Motel 6 Trust CMO 2015-MTL6 Class B - 144A | 170,000 | 3.298 | 2/5/2030 | 169,783 | ||||||||||
Wells Fargo Commercial Mortgage Trust 2015-LC20 B | 165,000 | 3.719 | 4/15/2050 | 160,425 | ||||||||||
WFRBS Commercial Mortgage Trust 2011-C5 - 144A | 100,000 | 5.634 | + | 11/15/2044 | 110,229 | |||||||||
3,235,424 | ||||||||||||||
COMMERCIAL SERVICES - 1.7% | ||||||||||||||
ADT Corp. ^ | 180,000 | 6.250 | 10/15/2021 | 195,300 | ||||||||||
Ahern Rentals, Inc.- 144A | 115,000 | 7.375 | 5/15/2023 | 107,525 | ||||||||||
Harland Clarke Holdings Corp. - 144A | 70,000 | 6.875 | 3/1/2020 | 63,525 | ||||||||||
Jaguar Holding Co II / Pharmaceutical Product Development LLC - 144A | 50,000 | 6.375 | 8/1/2023 | 50,187 | ||||||||||
McGraw Hill Financial, Inc. - 144A | 140,000 | 4.000 | 6/15/2025 | 139,348 | ||||||||||
New York University | 55,000 | 4.142 | 7/1/2048 | 52,222 | ||||||||||
United Rentals North America, Inc. | 110,000 | 5.500 | 7/15/2025 | 110,138 | ||||||||||
Verisk Analytics, Inc. | 135,000 | 4.000 | 6/15/2025 | 131,608 | ||||||||||
849,853 | ||||||||||||||
COMPUTERS - 0.4% | ||||||||||||||
Hewlett Packard Enterprise Co. - 144A | 80,000 | 4.400 | 10/15/2022 | 80,782 | ||||||||||
Hewlett Packard Enterprise Co. - 144A | 80,000 | 4.900 | 10/15/2025 | 78,877 | ||||||||||
Riverbed Technology, Inc. - 144A | 55,000 | 8.875 | 3/1/2023 | 51,356 | ||||||||||
211,015 | ||||||||||||||
DIVERSIFIED FINANCIAL SERVICES - 1.6% | ||||||||||||||
Air Lease Corp. | 140,000 | 2.625 | 9/4/2018 | 139,530 | ||||||||||
General Electric Capital Corp. | 200,000 | 5.250 | + | Perpetual | 209,250 | |||||||||
General Electric Capital Corp. | 100,000 | 7.125 | + | Perpetual | 117,625 | |||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp. | 10,000 | 4.875 | 3/15/2019 | 10,253 | ||||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp. | 100,000 | 5.875 | 2/1/2022 | 103,375 | ||||||||||
Jefferies Group LLC | 60,000 | 6.875 | 4/15/2021 | 67,589 | ||||||||||
Macquarie Group Ltd.- 144A | 125,000 | 6.250 | 1/14/2021 | 141,792 | ||||||||||
Navient LLC. | 55,000 | 5.500 | 1/25/2023 | 49,775 | ||||||||||
839,189 | ||||||||||||||
ELECTRIC - 0.7% | ||||||||||||||
Calpine Corp. | 89,000 | 5.375 | 1/15/2023 | 85,551 | ||||||||||
Electricite de France SA - 144A | 165,000 | 5.250 | + | Perpetual | 164,794 | |||||||||
NRG Yield Operating LLC | 40,000 | 5.375 | 8/15/2024 | 36,800 | ||||||||||
Talen Energy Supply LLC - 144A | 60,000 | 4.625 | 7/15/2019 | 55,188 | ||||||||||
342,333 | ||||||||||||||
ELECTRONICS - 0.3% | ||||||||||||||
Flextronics International Ltd.- 144A | 135,000 | 4.750 | 6/15/2025 | 131,962 |
See accompanying notes to financial statements.
4
SCHEDULE OF INVESTMENTS |
Dunham Corporate/Government Bond Fund (Continued) October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
ENERGY - ALTERNATE RESOURCES - 0.2% | ||||||||||||||
TerraForm Power Operating LLC. - 144A | $ | 110,000 | 5.875 | % | 2/1/2023 | $ | 102,025 | |||||||
ENTERTAINMENT - 1.1% | ||||||||||||||
GLP Capital LP / GLP Financing II Inc. | 95,000 | 4.875 | 11/1/2020 | 98,325 | ||||||||||
GLP Capital LP / GLP Financing II Inc. | 5,000 | 5.375 | 11/1/2023 | 5,073 | ||||||||||
Isle of Capri Casinos, Inc. | 81,000 | 5.875 | 3/15/2021 | 85,658 | ||||||||||
Mohegan Tribal Gaming Authority | 95,000 | 9.750 | 9/1/2021 | 98,325 | ||||||||||
Penn National Gaming Inc . | 120,000 | 5.875 | 11/1/2021 | 123,000 | ||||||||||
Scientific Games International, Inc. | 110,000 | 6.625 | 5/15/2021 | 77,000 | ||||||||||
Scientific Games International, Inc. - 144A | 80,000 | 7.000 | 1/1/2022 | 80,800 | ||||||||||
568,181 | ||||||||||||||
FOOD - 0.1% | ||||||||||||||
Pilgrims Pride Corp. - 144A | 40,000 | 5.750 | 3/15/2025 | 41,000 | ||||||||||
Safeway, Inc. | 35,000 | 7.250 | 2/1/2031 | 34,125 | ||||||||||
75,125 | ||||||||||||||
GAS - 0.2% | ||||||||||||||
NGL Energy Partners LP | 105,000 | 5.125 | 7/15/2019 | 97,913 | ||||||||||
HEALTHCARE PRODUCTS - 0.7% | ||||||||||||||
Alere, Inc. - 144A | 40,000 | 6.375 | 7/1/2023 | 41,700 | ||||||||||
Crimson Merger Sub, Inc. - 144A | 80,000 | 6.625 | 5/15/2022 | 69,500 | ||||||||||
Fresenius US Finance II, Inc. - 144A | 25,000 | 4.500 | 1/15/2023 | 25,656 | ||||||||||
Hologic, Inc. - 144A | 10,000 | 5.250 | 7/15/2022 | 10,475 | ||||||||||
Mallinckrodt International Finance SA -144A | 40,000 | 5.750 | 8/1/2022 | 38,225 | ||||||||||
Mallinckrodt International Finance SA -144A ^ | 120,000 | 5.625 | 10/15/2023 | 113,850 | ||||||||||
Mallinckrodt International Finance SA -144A | 5,000 | 5.500 | 4/15/2025 | 4,573 | ||||||||||
Sterigenics-Nordion Holdings LLC - 144A | 40,000 | 6.500 | 5/15/2023 | 40,350 | ||||||||||
344,329 | ||||||||||||||
HEALTHCARE - SERVICES - 1.6% | ||||||||||||||
Acadia Healthcare Co., Inc. | 45,000 | 5.125 | 7/1/2022 | 44,663 | ||||||||||
Acadia Healthcare Co., Inc. - 144A | 10,000 | 5.625 | 2/15/2023 | 10,063 | ||||||||||
CHS/Community Health Systems, Inc. | 30,000 | 5.125 | 8/1/2021 | 31,125 | ||||||||||
HCA, Inc. | 170,000 | 5.375 | 2/1/2025 | 175,100 | ||||||||||
HealthSouth Corp. - 144A | 10,000 | 5.750 | 11/1/2024 | 10,050 | ||||||||||
HealthSouth Corp. - 144A | 85,000 | 5.750 | 9/15/2025 | 85,053 | ||||||||||
IASIS Healthcare LLC / IASIS Capital Corp. | 70,000 | 8.375 | 5/15/2019 | 71,750 | ||||||||||
Select Medical Corp. | 140,000 | 6.375 | 6/1/2021 | 124,600 | ||||||||||
Surgical Care Affiliates, Inc. - 144A | 110,000 | 6.000 | 4/1/2023 | 111,100 | ||||||||||
Tenet Healthcare Corp. - 144A | 55,000 | 3.837 | + | 6/15/2020 | 54,862 | |||||||||
Tenet Healthcare Corp. - 144A ^ | 100,000 | 8.125 | 4/1/2022 | 106,250 | ||||||||||
824,616 | ||||||||||||||
HOLDING COMPANIES - DIVERSIFIED - 0.8% | ||||||||||||||
Argos Merger Sub, Inc. - 144A ^ | 100,000 | 7.125 | 3/15/2023 | 105,500 | ||||||||||
Hutchison Whampoa International 12 Ltd. - 144A | 185,000 | 6.000 | + | Perpetual | 193,788 | |||||||||
Leucadia National Corp. | 105,000 | 5.500 | 10/18/2023 | 105,068 | ||||||||||
404,356 | ||||||||||||||
HOME BUILDERS - 0.5% | ||||||||||||||
MDC Holdings, Inc. | 130,000 | 5.500 | 1/15/2024 | 133,250 | ||||||||||
TRI Pointe Holdings, Inc. - 144A | 110,000 | 5.875 | 6/15/2024 | 110,550 | ||||||||||
243,800 | ||||||||||||||
HOME EQUITY ABS - 1.9% | ||||||||||||||
Bayview Financial Mortgage Pass-Through Trust 2006-A 1A4 (a) | 560,000 | 6.087 | 2/28/2041 | 592,336 | ||||||||||
GSAA Trust 2005-1 AF4 (a) | 351,465 | 5.619 | 11/25/2034 | 371,964 | ||||||||||
964,300 |
See accompanying notes to financial statements.
5
SCHEDULE OF INVESTMENTS |
Dunham Corporate/Government Bond Fund (Continued) October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
INSURANCE - 1.8% | ||||||||||||||
Allstate Corp. | $ | 200,000 | 5.750 | %, + | 8/15/2053 | $ | 208,625 | |||||||
Prudential Financial, Inc. | 370,000 | 5.625 | + | 6/15/2043 | 388,130 | |||||||||
Teachers Insurance & Annuity Association of America - 144A | 110,000 | 4.375 | + | 9/15/2054 | 110,700 | |||||||||
Voya Financial, Inc. | 125,000 | 5.650 | + | 5/15/2053 | 127,188 | |||||||||
York Risk Services Holding Corp. - 144A | 70,000 | 8.500 | 10/1/2022 | 61,862 | ||||||||||
896,505 | ||||||||||||||
INTERNET - 0.3% | ||||||||||||||
Priceline Group, Inc. | 140,000 | 3.650 | 3/15/2025 | 139,723 | ||||||||||
INVESTMENT COMPANIES - 0.5% | ||||||||||||||
Ares Capital Corp. | 65,000 | 3.875 | 1/15/2020 | 66,643 | ||||||||||
FS Investment Corp. | 110,000 | 4.250 | 1/15/2020 | 111,270 | ||||||||||
FS Investment Corp. | 55,000 | 4.750 | 5/15/2022 | 54,075 | ||||||||||
231,988 | ||||||||||||||
IRON / STEEL - 0.9% | ||||||||||||||
ArcelorMittal | 115,000 | 6.125 | 6/1/2025 | 99,438 | ||||||||||
Carpenter Technology Corp. | 300,000 | 4.450 | 3/1/2023 | 293,085 | ||||||||||
United States Steel Corp. | 85,000 | 6.875 | 4/1/2021 | 61,944 | ||||||||||
454,467 | ||||||||||||||
LEISURE TIME - 0.0% | ||||||||||||||
Jarden Corp. - 144A | 15,000 | 5.000 | 11/15/2023 | 15,488 | ||||||||||
LODGING - 0.7% | ||||||||||||||
Boyd Gaming Corp. | 110,000 | 9.000 | 7/1/2020 | 119,075 | ||||||||||
Boyd Gaming Corp. | 55,000 | 6.875 | 5/15/2023 | 58,575 | ||||||||||
Station Casinos LLC | 170,000 | 7.500 | 3/1/2021 | 182,325 | ||||||||||
359,975 | ||||||||||||||
MEDIA - 0.8% | ||||||||||||||
CCO Holdings LLC - 144A | 140,000 | 5.125 | 5/1/2023 | 140,700 | ||||||||||
CCO Safari II LLC -144A | 30,000 | 4.908 | 7/23/2025 | 30,540 | ||||||||||
Cequel Communications Holdings I LLC / Cequel Capital Corp. - 144A ^ | 105,000 | 5.125 | 12/15/2021 | 101,271 | ||||||||||
Clear Channel Worldwide Holdings, Inc. | 115,000 | 7.625 | 3/15/2020 | 119,744 | ||||||||||
392,255 | ||||||||||||||
MISCELLANEOUS MANUFACTURING - 0.2% | ||||||||||||||
Bombardier, Inc. - 144A | 105,000 | 4.750 | 4/15/2019 | 91,350 | ||||||||||
OIL & GAS - 1.2% | ||||||||||||||
Antero Resources Corp. - 144A | 60,000 | 5.625 | 6/1/2023 | 55,500 | ||||||||||
Blue Racer Midstream LLC / Blue Racer Finance Corp. - 144A | 30,000 | 6.125 | 11/15/2022 | 28,200 | ||||||||||
Helmerich & Payne International Drilling Co. - 144A | 80,000 | 4.650 | 3/15/2025 | 81,330 | ||||||||||
Newfield Exploration Co. | 110,000 | 5.375 | 1/1/2026 | 105,050 | ||||||||||
Parker Drilling Co. | 240,000 | 7.500 | 8/1/2020 | 200,400 | ||||||||||
Sunoco Finance Corp. - 144A | 155,000 | 6.375 | 4/1/2023 | 156,937 | ||||||||||
627,417 | ||||||||||||||
PACKAGING & CONTAINERS - 0.2% | ||||||||||||||
Berry Plastics Corp. | 105,000 | 5.125 | 7/15/2023 | 104,213 | ||||||||||
PHARMACEUTICALS - 0.6% | ||||||||||||||
AbbVie, Inc. | 45,000 | 3.600 | 5/14/2025 | 44,325 | ||||||||||
Capsugel SA - 144A (b) | 20,000 | 7.000 | 5/15/2019 | 20,187 | ||||||||||
Endo Ltd. - 144A | 80,000 | 6.000 | 7/15/2023 | 80,400 |
See accompanying notes to financial statements.
6
SCHEDULE OF INVESTMENTS |
Dunham Corporate/Government Bond Fund (Continued) |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
PHARMACEUTICALS - 0.6% (Continued) | ||||||||||||||
JLL/Delta Dutch Pledge Co. BV - 144A (b) | $ | 55,000 | 8.750 | % | 5/1/2020 | $ | 56,306 | |||||||
Owens & Minor, Inc. | 25,000 | 3.875 | 9/15/2021 | 25,350 | ||||||||||
Quintiles Transnational Corp. - 144A | 55,000 | 4.875 | 5/15/2023 | 56,822 | ||||||||||
Valeant Pharmaceuticals International, Inc. - 144A | 40,000 | 5.500 | 3/1/2013 | 33,800 | ||||||||||
317,190 | ||||||||||||||
PIPELINES - 1.5% | ||||||||||||||
Energy Transfer Equity LP | 110,000 | 5.875 | 1/15/2024 | 107,115 | ||||||||||
Kinder Morgan, Inc. | 130,000 | 4.300 | 6/1/2025 | 117,814 | ||||||||||
MarkWest Energy Partners LP / MarkWest Energy Finance Corp. | 110,000 | 4.875 | 12/1/2024 | 104,363 | ||||||||||
Sabine Pass Liquefaction LLC | 100,000 | 6.250 | 3/15/2022 | 99,750 | ||||||||||
Transcanada Trust | 110,000 | 5.625 | + | 5/20/1975 | 105,808 | |||||||||
Williams Cos., Inc. | 230,000 | 3.700 | 1/15/2023 | 188,020 | ||||||||||
Williams Cos., Inc. | 25,000 | 4.550 | 6/24/2024 | 20,959 | ||||||||||
743,829 | ||||||||||||||
PRIVATE EQUITY - 0.3% | ||||||||||||||
Apollo Management Holdings LP - 144A | 135,000 | 4.000 | 5/30/2024 | 135,855 | ||||||||||
REAL ESTATE - 1.4% | ||||||||||||||
American Campus Communities Operating Partnership LP | 20,000 | 3.350 | 10/1/2020 | 20,183 | ||||||||||
American Homes 4 Rent 2014-SFR2 C Trust - 144A | 130,000 | 4.705 | 10/17/2036 | 129,398 | ||||||||||
American Homes 4 Rent 2015-SFR2 Trust | 120,000 | 4.691 | 10/17/2045 | 121,959 | ||||||||||
B2R Mortgage Trust 2015-1 A1 - 144A | 98,762 | 2.524 | 5/15/2048 | 97,288 | ||||||||||
Countrywide Asset-Backed Certificates 2005-1 AF5A (a) | 298,065 | 5.187 | 7/25/2035 | 295,532 | ||||||||||
Sierra Timeshare 2014-2 AA Receivables Funding LLC - 144A | 49,986 | 2.050 | 6/20/2031 | 50,225 | ||||||||||
714,585 | ||||||||||||||
REITS - 5.2% | ||||||||||||||
Brixmor Operating Partnership LP | 35,000 | 3.875 | 8/15/2022 | 35,120 | ||||||||||
Corporate Office Properties LP | 315,000 | 3.600 | 5/15/2023 | 291,978 | ||||||||||
Corporate Office Properties LP | 90,000 | 3.700 | 6/15/2021 | 87,829 | ||||||||||
Corrections Corp of America | 175,000 | 5.000 | 10/15/2022 | 177,406 | ||||||||||
CTR Partnership LP / CareTrust Capital Corp. | 90,000 | 5.875 | 6/1/2021 | 92,745 | ||||||||||
Digital Realty Trust LP | 160,000 | 5.250 | 3/15/2021 | 173,411 | ||||||||||
Digital Realty Trust LP | 55,000 | 3.950 | 7/1/2022 | 54,978 | ||||||||||
Education Realty Operating Partnership LP | 135,000 | 4.600 | 12/1/2024 | 134,785 | ||||||||||
ESH Hospitality, Inc. - 144A | 110,000 | 5.250 | 5/1/2025 | 110,957 | ||||||||||
Healthcare Realty Trust, Inc. | 90,000 | 3.875 | 5/1/2025 | 87,719 | ||||||||||
Healthcare Trust of America Holdings LP | 50,000 | 3.375 | 7/15/2021 | 49,760 | ||||||||||
Highwoods Realty LP | 305,000 | 3.625 | 1/15/2023 | 304,919 | ||||||||||
iStar Financial, Inc. | 140,000 | 5.000 | 7/1/2019 | 137,550 | ||||||||||
Kilroy Realty LP | 135,000 | 4.375 | 10/1/2025 | 137,159 | ||||||||||
Kimco Realty Corp. | 135,000 | 3.400 | 11/1/2022 | 135,260 | ||||||||||
MPT Operating Partnership LP / MPT Finance Corp. | 60,000 | 5.500 | 5/1/2024 | 61,500 | ||||||||||
National Retail Properties, Inc. | 40,000 | 4.000 | 11/15/2025 | 39,936 | ||||||||||
Retail Opportunity Investments Partnership LP | 105,000 | 4.000 | 12/15/2024 | 102,206 | ||||||||||
Select Income REIT | 140,000 | 4.500 | 2/1/2025 | 133,854 | ||||||||||
Welltower, Inc. | 145,000 | 4.000 | 6/1/2025 | 143,863 | ||||||||||
WP Carey, Inc. | 110,000 | 4.600 | 4/1/2024 | 111,273 | ||||||||||
2,604,208 | ||||||||||||||
RETAIL - 1.5% | ||||||||||||||
AmeriGas Finance Corp. | 95,000 | 7.000 | 5/20/2022 | 100,700 | ||||||||||
Landry’s, Inc. - 144A | 175,000 | 9.375 | 5/1/2020 | 188,563 | ||||||||||
Party City Holdings, Inc. - 144A | 15,000 | 6.125 | 8/15/2023 | 15,525 | ||||||||||
QVC, Inc. | 310,000 | 4.375 | 3/15/2023 | 299,418 | ||||||||||
Rite Aid Corp. - 144A | 30,000 | 6.125 | 4/1/2023 | 32,437 | ||||||||||
Tops Holding LLC / Tops Markets II Corp. - 144A | 110,000 | 8.000 | 6/15/2022 | 114,400 | ||||||||||
751,043 | ||||||||||||||
SEMICONDUCTOR - 0.3% | ||||||||||||||
KLA-Tencor Corp. | 140,000 | 4.650 | 11/1/2024 | 141,225 |
See accompanying notes to financial statements.
7
SCHEDULE OF INVESTMENTS |
Dunham Corporate/Government Bond Fund (Continued) |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
SOFTWARE - 0.6% | ||||||||||||||
Emdeon, Inc. - 144A | $ | 70,000 | 6.000 | % | 2/15/2021 | $ | 68,863 | |||||||
Fidelity National Information Services, Inc. | 15,000 | 2.850 | 10/15/2018 | 15,169 | ||||||||||
Fidelity National Information Services, Inc. | 50,000 | 3.625 | 10/15/2020 | 50,945 | ||||||||||
First Data Corp. | 146,000 | 11.750 | 8/15/2021 | 166,805 | ||||||||||
First Data Corp. - 144A | 15,000 | 7.000 | 12/1/2023 | 15,300 | ||||||||||
317,082 | ||||||||||||||
TELECOMMUNICATIONS - 2.5% | ||||||||||||||
AT&T, Inc. | 315,000 | 3.875 | 8/15/2021 | 328,747 | ||||||||||
CyrusOne LP / CyrusOne Finance Corp. - 144A | 110,000 | 6.375 | 11/15/2022 | 113,850 | ||||||||||
Digicel Group Ltd.-144A | 200,000 | 8.250 | 9/30/2020 | 178,000 | ||||||||||
Frontier Communications Corp. | 75,000 | 6.250 | 9/15/2021 | 67,350 | ||||||||||
Frontier Communications Corp. - 144A | 15,000 | 10.500 | 9/15/2022 | 15,600 | ||||||||||
Sprint Corp. | 170,000 | 7.250 | 9/15/2021 | 156,613 | ||||||||||
Telefonica Emisiones SAU | 265,000 | 4.570 | 4/27/2023 | 279,077 | ||||||||||
Windstream Corp. ^ | 115,000 | 7.750 | 10/15/2020 | 103,931 | ||||||||||
1,243,168 | ||||||||||||||
TRUCKING & LEASING - 0.1% | ||||||||||||||
Penske Truck Leasing Co. LP - 144A | 55,000 | 3.375 | 2/1/2022 | 53,761 | ||||||||||
WHOLE LOAN COLLATERAL CMO - 2.0% | ||||||||||||||
Banc of America Funding 2005-1 1A1 | 78,357 | 5.500 | 2/25/2035 | 79,287 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. 2004-NCM2 2CB2 | 76,477 | 6.750 | 8/25/2034 | 84,128 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. 2004-UST1 A3 | 97,300 | 2.287 | + | 8/25/2034 | 97,703 | |||||||||
Master Alternative Loans Trust 2004-46A1 | 101,185 | 5.500 | 4/25/2034 | 106,975 | ||||||||||
Residential Asset Securitization Trust 2005-A1 | 128,602 | 5.500 | 4/25/2035 | 130,272 | ||||||||||
Sequoia Mortgage trust 2015-1 A1 - 144A | 138,884 | 3.500 | + | 1/25/2045 | 140,110 | |||||||||
Towd Point Mortgage Trust 2015-3 - 144A | 182,680 | 3.000 | + | 3/25/2054 | 183,822 | |||||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S8 A2 Trust | 88,008 | 5.000 | 9/25/2018 | 89,498 | ||||||||||
WinWater Mortgage Loan Trust 2014-1 A1 - 144A | 75,019 | 3.981 | + | 6/20/2044 | 77,810 | |||||||||
989,605 | ||||||||||||||
TOTAL CORPORATE BONDS & NOTES (Cost - $28,713,300) | 28,615,628 | |||||||||||||
FOREIGN GOVERNMENT BONDS - 0.8% | ||||||||||||||
El Salvador Government International Bond - 144A | 105,000 | 6.375 | 1/18/2027 | 94,238 | ||||||||||
Morocco Government International Bond - 144A | 300,000 | 4.250 | 12/11/2022 | 303,169 | ||||||||||
TOTAL FOREIGN GOVERNMENT BONDS - (Cost - $404,288) | 397,407 | |||||||||||||
MUNICIPAL - 6.7% | ||||||||||||||
City of Chicago IL Wastewater Transmission Revenue | 25,000 | 5.180 | 1/1/2027 | 24,658 | ||||||||||
Commonwealth of Massachusetts | 425,000 | 5.000 | 8/1/2025 | 530,085 | ||||||||||
Massachusetts Clean Water Trust | 880,000 | 5.000 | 2/1/2045 | 993,230 | ||||||||||
New York State Dormitory Authority | 410,000 | 5.000 | 2/15/2043 | 457,572 | ||||||||||
Rockdale County Water & Sewerage Authority | 305,000 | 3.060 | 7/1/2024 | 312,055 | ||||||||||
San Diego County Regional Airport Authority | 325,000 | 5.594 | 7/1/2043 | 353,450 | ||||||||||
State of Texas | 245,000 | 3.011 | 10/1/2026 | 242,337 | ||||||||||
Virginia College Building Authority | 385,000 | 5.000 | 9/1/2023 | 468,580 | ||||||||||
TOTAL MUNICIPAL - (Cost - $3,392,762) | 3,381,967 | |||||||||||||
U.S. GOVERNMENT & AGENCY - 25.5% | ||||||||||||||
U.S. GOVERNMENT AGENCY - 7.1% | ||||||||||||||
Fannie Mae Pool 735061 | 44,132 | 6.000 | 11/1/2034 | 50,329 | ||||||||||
Fannie Mae Pool 866009 | 55,371 | 6.000 | 3/1/2036 | 62,887 | ||||||||||
Fannie Mae Pool 938574 | 351,154 | 5.500 | 9/1/2036 | 396,953 | ||||||||||
Fannie Mae Pool 310041 | 142,530 | 6.500 | 5/1/2037 | 163,395 | ||||||||||
Fannie Mae Pool 909175 | 53,656 | 5.500 | 4/1/2038 | 62,122 | ||||||||||
Fannie Mae Pool 962752 | 43,792 | 5.000 | 4/1/2038 | 49,126 | ||||||||||
Fannie Mae Pool 909220 | 148,146 | 6.000 | 8/1/2038 | 170,947 | ||||||||||
Fannie Mae Pool AA7001 | 265,215 | 5.000 | 6/1/2039 | 296,783 | ||||||||||
Fannie Mae Pool AX3195 | 523,739 | 4.000 | 9/1/2044 | 558,071 |
See accompanying notes to financial statements.
8
SCHEDULE OF INVESTMENTS |
Dunham Corporate/Government Bond Fund (Continued) October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
U.S. GOVERNMENT AGENCY (Continued) - 7.1% | ||||||||||||||
Fannie Mae Pool FNMA AS 5596 | $ | 456,839 | 3.500 | % | 8/1/2045 | $ | 476,165 | |||||||
Fannie Mae Pool AS 5696 | 464,956 | 3.500 | 8/1/2045 | 484,453 | ||||||||||
Fannie Mae Pool FNMA AS 5634 | 407,044 | 3.000 | 8/1/2045 | 411,877 | ||||||||||
Federal Home Loan Pool G01980 | 316,700 | 5.000 | 12/1/2035 | 353,415 | ||||||||||
Freddie Mac Gold Pool G05888 | 71,375 | 5.500 | 10/1/2039 | 79,848 | ||||||||||
3,616,371 | ||||||||||||||
U.S. TREASURY OBLIGATIONS - 18.4% | ||||||||||||||
United States Treasury Bond | 120,000 | 3.125 | 2/15/2043 | 124,808 | ||||||||||
United States Treasury Note | 625,000 | 0.500 | 11/30/2016 | 625,134 | ||||||||||
United States Treasury Note | 1,000,000 | 0.625 | 12/31/2016 | 1,001,569 | ||||||||||
United States Treasury Note | 2,515,000 | 1.375 | 4/30/2020 | 2,505,078 | ||||||||||
United States Treasury Note | 3,505,000 | 2.375 | 8/15/2024 | 3,584,297 | ||||||||||
United States Treasury Note | 665,000 | 2.250 | 11/15/2024 | 672,269 | ||||||||||
United States Treasury Note | 780,000 | 2.000 | 2/15/2025 | 771,098 | ||||||||||
9,284,253 | ||||||||||||||
TOTAL U.S. GOVERNMENT & AGENCY (Cost - $12,670,065) | 12,900,624 | |||||||||||||
BANK LOANS - 5.7% | ||||||||||||||
AEROSPACE / DEFENSE - 0.2% | ||||||||||||||
LM US Member LLC | 80,000 | 8.500 | + | 6/24/2022 | 79,833 | |||||||||
AUTOMOBILES - 0.3% | ||||||||||||||
Navistar, Inc. | 166,667 | 5.750 | + | 8/17/2017 | 157,500 | |||||||||
CHEMICALS - 0.1% | ||||||||||||||
Ineos US Finance LLC | 6,965 | 4.250 | + | 3/11/2022 | 6,885 | |||||||||
US Farathane | 56,788 | 6.750 | + | 1/16/2022 | 57,249 | |||||||||
64,134 | ||||||||||||||
COMMERCIAL SERVICES - 0.6% | ||||||||||||||
Ardent Legacy Acquisitions | 56,000 | 5.500 | + | 7/31/2021 | 56,070 | |||||||||
Concentra Health | 5,985 | 4.000 | + | 5/9/2022 | 5,975 | |||||||||
Concordia | 46,000 | 5.250 | + | 10/20/2021 | 44,352 | |||||||||
Greatbatch | 52,000 | 5.250 | + | 9/22/2022 | 52,219 | |||||||||
Laureate Education, Inc. | 59,845 | 5.000 | + | 6/15/2018 | 51,666 | |||||||||
Life Time Fitness | 24,825 | 4.250 | + | 6/4/2022 | 24,701 | |||||||||
National Veterinary Associates | 46,000 | 8.000 | + | 8/8/2022 | 45,674 | |||||||||
280,657 | ||||||||||||||
COMPUTERS & ELECTRONICS - 0.5% | ||||||||||||||
Applied Systems, Inc. | 40,083 | 8.750 | + | 1/14/2022 | 38,856 | |||||||||
CPI International, Inc. | 44,483 | 6.750 | + | 7/29/2022 | 44,399 | |||||||||
Deltek, Inc. | 3,355 | 5.000 | + | 6/19/2022 | 3,357 | |||||||||
Kronos, Inc. | 67,900 | 9.750 | + | 4/30/2020 | 68,876 | |||||||||
Mitchell International, Inc. | 80,000 | 8.500 | + | 10/11/2021 | 79,867 | |||||||||
235,355 | ||||||||||||||
ELECTRONICS - 0.1% | ||||||||||||||
Riverbed Technologies | 49,750 | 6.000 | + | 2/25/2022 | 49,867 | |||||||||
FOOD - 0.2% | ||||||||||||||
Hostess Brands LLC | 110,000 | 3.500 | + | 7/29/2023 | 109,966 | |||||||||
GAMING AND HOTELS - 0.6% | ||||||||||||||
CBAC Borrower, LLC | 40,000 | 8.250 | + | 4/26/2020 | 37,900 | |||||||||
Peppermill Casinos, Inc. | 238,825 | 7.250 | + | 11/9/2018 | 239,422 | |||||||||
277,322 |
See accompanying notes to financial statements.
9
SCHEDULE OF INVESTMENTS |
Dunham Corporate/Government Bond Fund (Continued) |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
HEALTHCARE - 0.8% | ||||||||||||||
American Renal Holdings, Inc. | $ | 279,943 | 8.500 | %, + | 2/20/2020 | $ | 280,293 | |||||||
Regional Care Hospital, Inc. | 46,413 | 6.000 | + | 3/24/2019 | 45,910 | |||||||||
Surgery Center | 68,654 | 4.250 | + | 4/24/2020 | 68,426 | |||||||||
Surgery Center | 20,122 | 7.500 | + | 7/23/2021 | 19,971 | |||||||||
414,600 | ||||||||||||||
INSURANCE - 0.2% | ||||||||||||||
Sedgwick CMS Holdings, Inc. | 85,000 | 6.000 | + | 2/11/2022 | 79,954 | |||||||||
LEISURE TIME - 0.1% | ||||||||||||||
CDS U.S. Intermediate Holdings | 29,000 | 4.000 | + | 6/25/2022 | 29,169 | |||||||||
LODGING - 0.0% | ||||||||||||||
Eldorado Resorts, Inc. | 24,938 | 3.250 | + | 7/18/2022 | 25,000 | |||||||||
METALS & MINING - 0.1% | ||||||||||||||
Arch Coal, Inc. | 103,664 | 6.250 | + | 5/16/2018 | 54,391 | |||||||||
MISCELLANEOUS MANUFACTURING - 0.1% | ||||||||||||||
Schumacher Group | 58,000 | 5.000 | + | 9/28/2022 | 57,783 | |||||||||
OIL & GAS - 0.4% | ||||||||||||||
Chelsea Petroleum | 68,000 | 4.250 | + | 7/20/2022 | 67,745 | |||||||||
Chief Exploration and Development | 77,000 | 7.500 | + | 5/12/2021 | 62,139 | |||||||||
Drillships Financing Holding / Drillships Ocean Ventures, Inc. | 64,188 | 5.500 | + | 7/18/2021 | 41,912 | |||||||||
Jonah Energy LLC | 62,000 | 7.500 | + | 5/12/2021 | 48,825 | |||||||||
220,621 | ||||||||||||||
PHARMACEUTICALS - 0.3% | ||||||||||||||
Amag Pharmaceuticals | 20,000 | 4.750 | + | 6/29/2021 | 19,700 | |||||||||
Amneal Pharmaceuticals | 41,790 | 4.750 | + | 11/1/2019 | 41,466 | |||||||||
Medimpact Healthcare | 79,000 | 0.000 | + | 9/3/2022 | 78,901 | |||||||||
140,067 | ||||||||||||||
PROFESSIONAL & BUSINESS SERVICES - 0.3% | ||||||||||||||
Infinity Acquisition - US LLC 2 | 51,611 | 4.250 | + | 7/16/2021 | 50,622 | |||||||||
Inventiv Health, Inc. | 119,990 | 7.750 | + | 5/15/2018 | 119,766 | |||||||||
170,388 | ||||||||||||||
REAL ESTATE - 0.1% | ||||||||||||||
Capital Automotive LP | 31,564 | 5.500 | + | 3/28/2021 | 31,906 | |||||||||
RETAIL - 0.4% | ||||||||||||||
Albertsons, Inc. | 75,443 | 4.500 | + | 8/11/2011 | 75,542 | |||||||||
PetSmart | 14,963 | 5.000 | + | 2/9/2022 | 14,985 | |||||||||
Rite Aid Corp. | 16,000 | 5.000 | + | 12/31/2021 | 16,053 | |||||||||
Staples, Inc. | 106,000 | 3.750 | + | 4/23/2021 | 105,633 | |||||||||
212,213 | ||||||||||||||
SOFTWARE - 0.0% | ||||||||||||||
First Data Corp. | 25,000 | 3.937 | + | 6/25/2022 | 24,984 | |||||||||
UTILITIES - 0.3% | ||||||||||||||
Atlantic Power LP | 21,015 | 4.750 | + | 2/19/2021 | 21,041 | |||||||||
NRG Energy, Inc. | 144,629 | 4.750 | + | 2/19/2021 | 140,983 | |||||||||
162,024 | ||||||||||||||
TOTAL BANK LOANS - (Cost - $3,006,273) | 2,877,734 |
See accompanying notes to financial statements.
10
SCHEDULE OF INVESTMENTS |
Dunham Corporate/Government Bond Fund (Continued) |
October 31, 2015 |
Maturity | ||||||||||||||
Security | Shares | Dividend Rate | Date | Value | ||||||||||
PREFERRED STOCK - 1.5% | ||||||||||||||
BANKS - 1.5% | ||||||||||||||
GMAC Capital Trust I | 17,600 | 8.125 | % + | 2/15/2040 | $ | 454,608 | ||||||||
Zions Bancorporation | 10,800 | 6.950 | + | 9/15/2028 | 306,072 | |||||||||
TOTAL PREFERRED STOCK - (Cost - $710,000) | 760,680 | |||||||||||||
SHORT-TERM INVESTMENT - 3.0% | ||||||||||||||
MONEY MARKET FUND - 3.0% | ||||||||||||||
Fidelity Institutional Money Market Funds - Government Portfolio | ||||||||||||||
(Cost - $1,512,359) | 1,512,359 | 0.010 | + | 1,512,359 | ||||||||||
COLLATERAL FOR SECURITIES LOANED - 1.6% | ||||||||||||||
Mount Vernon Prime Portfolio + (Cost - $802,900) | 802,900 | 0.250 | + | 802,900 | ||||||||||
TOTAL INVESTMENTS - 101.5% (Cost - $51,211,947) | $ | 51,249,299 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.5)% | (774,361 | ) | ||||||||||||
NET ASSETS - 100.0% | $ | 50,474,938 |
ABS - Asset Backed Security
MBS - Mortgage Back Security
CMO - Collateralized Mortgage Obligation
REIT - Real Estate Investment Trust
Perpetual - Perpetual bonds are fixed income instruments without defined maturity dates
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $784,538 at October 31, 2015. |
+ | Variable rate security. Interest rate is as of October 31, 2015. |
* | 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, 2015. |
(b) | Payment - in - Kind. |
Portfolio Composition * - (Unaudited) | ||||||||||
Corporate Bonds & Notes | 56.6 | % | Short - Term Investments | 3.0 | % | |||||
U.S. Government & Agencies Notes & Bonds | 25.6 | % | Preferred | 1.5 | % | |||||
Municipal | 6.7 | % | Foreign Government | 0.8 | % | |||||
Bank Loans | 5.8 | % | Total | 100.0 | % |
* | Based on total value of investments as of October 31, 2015. |
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) |
Market volatility, as measured by the CBOE Volatility Index (“VIX”) ended the most recent fiscal year at approximately the same level that it began. Although the starting point and ending point may be considered “low” by historical standards, these bookends do not explain the levels of volatility experienced during the fiscal year. During the fiscal year, particularly during the summer period, the VIX nearly tripled, while equity market prices widely tumbled. As sharp stock market declines often coincide with large increases in the VIX, the higher volatility levels during the most recent fiscal quarter generally resulted in investors attempting to reduce risk and making indiscriminate sell decisions. Therefore, event-driven strategies, as measured by the Credit Suisse Event Driven Index, and market-neutral strategies, as measured by the IQ Hedge Market Neutral Beta Index, are not immune to negative marks-to-market, those declined 2.0 percent and 1.1 percent, respectively in the most recent fiscal quarter. This most recent fiscal quarter marked the third fiscal quarter decline for the Credit Suisse Event Driven Index during this most recent fiscal year. Over the fiscal year, event driven strategies shed 2.2 percent, while market neutral strategies gained 1.9 percent.
Within the event driven space, merger arbitrage strategies, as measured by the Credit Suisse Merger Arbitrage Index, provided a positive contribution to absolute performance during the fiscal year, increasing 2.3 percent. Merger arbitrage strategies were generally negative performers through most of the summer months, until October provided a reprieve. While many merger spreads saw significant widening in the second half of the fiscal year, there was a slight contraction of spreads in October. Notwithstanding, deals continued to close during the volatile summer and fall months. For example, the all-cash acquisition of Omnicare Inc. (OCR) (holding percentage**: 0.07 percent) by CVS Health Corp. (CVS) (holding percentage**: not held) completed in August, as did the cash acquisition of CSR PLC (CSR LN) (holding percentage**: 0.07 percent) by QUALCOMM Inc. (QCOM) (holding percentage*: not held). These deals successfully closed despite exhibiting substantial spreads in the weeks and months prior to closing. Just one month prior to closing OCR was trading at a 2.5 percent (32.7 percent annualized) spread, and CSR LN was trading at a 3.33 percent (47.1 percent annualized) spread. These significant spreads on deals that ultimately proved to successfully close helps to illustrate how this recent volatility temporarily impacted deal spreads within the event driven space.
The summer’s volatility put pressure on deal spreads to widen further. For example, the cash and stock acquisition of Baker Hughes Inc. (BHI) (holding percentage*: 1.31 percent) by Halliburton Co. (HAL) (holding percentage*: -0.87 percent) experienced its deal spread widen from 13.2 percent at the end of July to a spread of 17.7 percent at the end of October. Similarly, the cash and stock acquisition of Time Warner Cable Inc. (TWC) (holding percentage*: 0.79 percent) by Charter Communications, Inc. (CHTR) (holding percentage*: -1.14 percent) saw its deal spread widen from 5.5 percent at the end of July to more than 7.3 percent at the end of October. On the surface, this widening may appear moderate, but when these numbers are annualized through the anticipated deal completion date, then the differences are greatly compounded. Some data providers show an expected completion date of the end of this calendar year, which would make the annualized spreads on the BHI / HAL deal and the TWC / CHTR deal 160.6 percent, and 51.6 percent, respectively.
Special situations served as the second-largest allocation during most of the fiscal year. The Sub-Adviser generally implements risk-reversals, a risk-management technique using call and put options, on these positions in order to help keep the risk within what it believes are acceptable bounds. A special situation event example that has spanned multiple fiscal quarters included Hertz Global Holdings, Inc.’s (HTZ) (holding percentage*: 2.16 percent) spin-off of its equipment rental business. During the fiscal year, buy/write strategies, as measured by the CBOE S&P 500 Buy/Write Index, increased 6.5 percent. The difference in utilizing a risk-reversal instead of a buy/write strategy is that it uses the majority of the proceeds of the written call to purchase protective put options. Therefore, in the declining periods of the most recent fiscal quarter the risk-reversal generally helped to reduce the downside (leaving less to be recovered).
The Sub-Adviser continued to maintain a small position in credit opportunities during the fiscal year. Corporate bonds in general, as measured by the Bank of America Merrill Lynch Corporate Bond Master Index, increased 1.0 percent during the fiscal year. Fund holdings such as the corporate bond issued by Ameristar Casinos Inc. (03070QAN1) (holding percentage*: 1.18 percent) aided positive performance during the fiscal year. The Ameristar Casinos Inc. bond price slightly declined 0.2 percent since it was purchased in the second fiscal quarter, but the bond’s slight decrease in price was more than offset by the 7.5 percent coupon.
The Sub-Adviser believes that low financing costs coupled with low-to-moderate economic growth expectations provide a strong environment for many event driven opportunities. This recent volatility in the equity markets has prompted some adverse shareholder activity, spurring sell-offs in many securities associated with companies involved in announced events. The Sub-Adviser remains optimistic about these opportunities and continues to implement its disciplined risk controls while taking advantage of these perceived opportunities.
* | Holdings percentage(s) as of 10/31/2015. |
** | 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, 2015 | ||||||||
Annualized | Annualized | Annualized Since | ||||||
One Year | Three Years | Five Years | Inception (8/1/08)* | |||||
Class N | (1.53)% | 3.02% | 3.53% | 4.06%** | ||||
Class C | (2.53)% | 1.99% | 2.49% | 2.04% | ||||
Class A with load of 5.75% | (7.45)% | 0.75% | 2.05% | 1.98% | ||||
Class A without load | (1.80)% | 2.76% | 3.26% | 2.82% | ||||
IQ Hedge Market Neutral Beta Index | 1.88% | 2.44% | 1.52% | 2.50% | ||||
Morningstar Multialternative Category | (0.62)% | 1.48% | 1.41% | 0.69% |
* | 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 2.55% for Class N, 3.55% for Class C and 2.80% 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 1-800-442-4 358 or visit our website www.dunham.com.
12
SCHEDULE OF INVESTMENTS |
Dunham Monthly Distribution Fund |
October 31, 2015 |
Security | Shares | Value | ||||||
COMMON STOCK - 80.6% | ||||||||
AIRLINES - 0.1% | ||||||||
AMR Corp. * | 101,283 | $ | 149,898 | |||||
AUTO MANUFACTURERS - 0.9% | ||||||||
General Motors Co. ^ | 72,000 | 2,513,520 | ||||||
AUTO PARTS & EQUIPMENT - 3.4% | ||||||||
Johnson Controls, Inc. | 215,947 | 9,756,486 | ||||||
BANKS - 1.5% | ||||||||
Citigroup, Inc. ^ | 80,500 | 4,280,185 | ||||||
CHEMICALS - 8.0% | ||||||||
Air Products & Chemicals, Inc. | 15,800 | 2,195,884 | ||||||
Cytec Industries, Inc. | 42,054 | 3,129,658 | ||||||
Dow Chemical Co. ^ | 88,400 | 4,567,628 | ||||||
EI du Pont de Nemours & Co. ^ | 4,800 | 304,320 | ||||||
Huntsman Corp. ^ | 36,332 | 478,493 | ||||||
Sigma-Aldrich Corp. | 46,527 | 6,500,753 | ||||||
WR Grace & Co. * ^ | 58,700 | 5,887,610 | ||||||
23,064,346 | ||||||||
COMMERCIAL SERVICES - 2.1% | ||||||||
Hertz Global Holdings, Inc. * ^ | 276,750 | 5,396,625 | ||||||
SFX Entertainment, Inc. * | 584,734 | 543,861 | ||||||
5,940,486 | ||||||||
COMPUTERS - 2.9% | ||||||||
Computer Sciences Corp. ^ | 84,500 | 5,626,855 | ||||||
EMC Corp. ^ | 46,813 | 1,227,437 | ||||||
HP, Inc. | 50,700 | 1,366,872 | ||||||
8,221,164 | ||||||||
HEALTHCARE-SERVICES - 3.9% | ||||||||
Cigna Corp. ^ | 16,400 | 2,198,256 | ||||||
Health Net, Inc. * ^ | 36,800 | 2,364,768 | ||||||
Humana, Inc. ^ | 36,997 | 6,608,774 | ||||||
11,171,798 | ||||||||
HOLDING COMPANIES - DIVERSIFIED - 0.7% | ||||||||
Hennessy Capital Acquisition | 104,074 | 1,026,170 | ||||||
PAcific Special Acquisition | 105,552 | 1,065,020 | ||||||
2,091,190 | ||||||||
INSURANCE - 7.3% | ||||||||
American International Group, Inc. | 18,600 | 1,172,916 | ||||||
Chubb Corp. | 75,214 | 9,728,931 | ||||||
PartnerRe Ltd. | 67,960 | 9,446,440 | ||||||
StanCorp Financial Group, Inc. | 315 | 36,137 | ||||||
Symetra Financial Corp. | 17,781 | 564,191 | ||||||
20,948,615 |
See accompanying notes to financial statements.
13
SCHEDULE OF INVESTMENTS |
Dunham Monthly Distribution Fund (Continued) |
October 31, 2015 |
Security | Shares | Value | ||||||
INTERNET - 3.6% | ||||||||
Yahoo!, Inc. * | 301,527 | $ | 10,740,392 | |||||
LODGING - 0.6% | ||||||||
MGM Resorts International * ^ | 76,200 | 1,767,078 | ||||||
MACHINERY-DIVERSIFIED - 0.8% | ||||||||
SPX FLOW, Inc. * ^ | 72,200 | 2,447,580 | ||||||
2,447,580 | ||||||||
MEDIA - 6.9% | ||||||||
Cablevision Systems Corp. ^ | 88,145 | 2,872,646 | ||||||
CBS Corp. ^ | 83,239 | 3,872,278 | ||||||
Comcast Corp. | 76,210 | 4,772,270 | ||||||
DISH Network Corp. * ^ | 86,353 | 5,437,648 | ||||||
Liberty Global Plc LiLAC * | 1,320 | 51,031 | ||||||
Sirius XM Holdings, Inc. * ^ | 495,071 | 2,019,890 | ||||||
Time Warner Cable, Inc. | 4,688 | 887,907 | ||||||
19,913,670 | ||||||||
METAL FABRICATE/HARDWARE - 4.7% | ||||||||
Precision Castparts Corp. | 58,571 | 13,518,773 | ||||||
MINING - 0.0% | ||||||||
Freeport-McMoRan, Inc. | 1 | 12 | ||||||
MISCELLANEOUS MANUFACTURING - 2.9% | ||||||||
General Electric Co. ^ | 256,600 | 7,420,872 | ||||||
SPX Corp. ^ | 72,200 | 884,450 | ||||||
8,305,322 | ||||||||
OIL & GAS - 1.2% | ||||||||
Anadarko Petroleum Corp. ^ | 12,200 | 815,936 | ||||||
BG Group PLC - ADR | 41,676 | 665,357 | ||||||
BP PLC - ADR ^ | 56,500 | 2,017,050 | ||||||
3,498,343 | ||||||||
OIL & GAS SERVICES - 3.0% | ||||||||
Baker Hughes, Inc. | 61,472 | 3,238,344 | ||||||
Cameron International Corp. * | 78,854 | 5,362,861 | ||||||
8,601,205 | ||||||||
PACKAGING & CONTAINERS - 0.5% | ||||||||
WestRock Co. ^ | 27,200 | 1,462,272 | ||||||
PHARMACEUTICALS - 2.2% | ||||||||
Mylan NV * ^ | 25,500 | 1,124,295 | ||||||
Perrigo Co. PLC ^ | 10,080 | 1,590,019 | ||||||
Pfizer, Inc. ^ | 69,500 | 2,350,490 | ||||||
Zoetis, Inc. ^ | 29,000 | 1,247,290 | ||||||
6,312,094 |
See accompanying notes to financial statements.
14
SCHEDULE OF INVESTMENTS |
Dunham Monthly Distribution Fund (Continued) |
October 31, 2015 |
Security | Shares | Value | ||||||
PIPELINES - 2.3% | ||||||||
Williams Cos, Inc. ^ | 88,700 | $ | 3,498,328 | |||||
Williams Partners LP | 96,332 | 3,256,022 | ||||||
6,754,350 | ||||||||
REITS - 6.1% | ||||||||
BioMed Realty Trust, Inc. | 55,745 | 1,304,990 | ||||||
Blackstone Mortgage Trust, Inc. | 4,944 | 136,059 | ||||||
CYS Investments, Inc. ^ | 9,500 | 73,340 | ||||||
NorthStar Realty Finance Corp. ^ | 374,138 | 4,493,397 | ||||||
Starwood Property Trust, Inc. | 247,078 | 4,963,797 | ||||||
Strategic Hotels & Resorts, Inc. * | 152,271 | 2,147,021 | ||||||
Ventas, Inc. | 24,700 | 1,326,884 | ||||||
Wheeler Real Estate Investment Trust, Inc. | 850,746 | 1,658,955 | ||||||
Winthrop Realty Trust | 102,617 | 1,486,920 | ||||||
17,591,363 | ||||||||
RETAIL - 2.0% | ||||||||
McDonald’s Corp. ^ | 51,700 | 5,803,325 | ||||||
Restaurant Brands International, Inc. | 1 | 40 | ||||||
5,803,365 | ||||||||
SAVING & LOANS - 2.0% | ||||||||
Hudson City Bancorp, Inc. | 568,860 | 5,756,863 | ||||||
SEMICONDUCTORS - 6.0% | ||||||||
Atmel Corp. ^ | 169,400 | 1,287,440 | ||||||
Broadcom Corp. ^ | 215,896 | 11,097,055 | ||||||
KLA-Tencor Corp. | 65,023 | 4,364,344 | ||||||
Microchip Technology, Inc. | 1 | 47 | ||||||
PMC-Sierra, Inc. * | 40,134 | 478,397 | ||||||
17,227,283 | ||||||||
SOFTWARE - 4.3% | ||||||||
Microsoft Corp. ^ | 142,700 | 7,511,728 | ||||||
Solera Holdings, Inc. ^ | 90,027 | 4,920,876 | ||||||
12,432,604 | ||||||||
TELECOMMUNICATIONS - 0.7% | ||||||||
America Movil SAB de CV ^ | 77,300 | 1,376,713 | ||||||
T-Mobile US, Inc. * ^ | 15,244 | 577,595 | ||||||
1,954,308 | ||||||||
TOTAL COMMON STOCK (Cost - $245,969,987) | 232,224,565 | |||||||
RIGHTS - 0.0% | ||||||||
Leap Wireless Int’l, Inc. | 4,071 | 15,879 | ||||||
Safeway Casa Ley CVR - Non Tradable | 90,955 | 40,929 | ||||||
Safeway PDC, LLC CVR- Non Tradable | 90,955 | 4,548 | ||||||
TOTAL RIGHTS (Cost - $102,118) | 61,356 | |||||||
CLOSED-END FUNDS - 0.5% | ||||||||
Invesco Senior Income Trust | 240,801 | 996,916 | ||||||
Western Asset High Income Opportunity | 106,644 | 518,290 | ||||||
TOTAL CLOSED-END FUNDS (Cost - $1,893,250) | 1,515,206 |
See accompanying notes to financial statements.
15
SCHEDULE OF INVESTMENTS |
Dunham Monthly Distribution Fund (Continued) |
October 31, 2015 |
Dividend | ||||||||||||||
Security | Shares | Rate | Value | |||||||||||
PREFERRED STOCK - 5.1% | ||||||||||||||
BANKS - 0.8% | ||||||||||||||
Regions Financial Corp. | 91,502 | 6.3750 | % | $ | 2,422,973 | |||||||||
DIVERSIFIED FINANCIAL SERVICES - 1.6% | ||||||||||||||
Kinder Morgan GP, Inc. - 144A | 2,000 | 4.2220 | 1,879,500 | |||||||||||
SLM Corp. | 13,239 | 2.0372 | 622,233 | |||||||||||
SLM Corp. | 45,886 | 6.9700 | 2,000,630 | |||||||||||
4,502,363 | ||||||||||||||
ELECTRIC - 0.1% | ||||||||||||||
SCE Trust I | 6,239 | 5.6250 | 160,093 | |||||||||||
REITS - 2.6% | ||||||||||||||
Equity CommonWealth | 150,000 | 7.2500 | 3,838,500 | |||||||||||
Northstar Realty Finance Corp. | 149,625 | 8.7500 | 3,598,481 | |||||||||||
7,436,981 | ||||||||||||||
TOTAL PREFERRED STOCK (Cost - $14,993,128) | 14,522,410 | |||||||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | ||||||||||||
BONDS & NOTES - 8.6% | ||||||||||||||
COMPUTERS - 1.5% | ||||||||||||||
NCR Corp. | $ | 2,950,000 | 5.000 | % | 7/15/2022 | 2,908,526 | ||||||||
SunGard Data Systems, Inc. | 1,341,000 | 7.625 | 11/15/2020 | 1,403,155 | ||||||||||
4,311,681 | ||||||||||||||
ELECTRIC - 1.1% | ||||||||||||||
Energy Future Intermediate Holding Co. LLC / EFIH Finance, Inc. - 144A *** | 2,984,076 | 11.750 | 3/1/2022 | 3,204,151 | ||||||||||
ENTERTAINMENT - 1.3% | ||||||||||||||
Pinnacle Entertainment, Inc. | 3,480,000 | 7.500 | 4/15/2021 | 3,684,450 | ||||||||||
FOOD - 1.0% | ||||||||||||||
US Foods, Inc. | 2,887,000 | 8.500 | 6/30/2019 | 3,009,698 | ||||||||||
HEALTHCARE-SERVICES - 1.6% | ||||||||||||||
CHS/Community Health Systems, Inc. | 4,294,000 | 8.000 | 11/15/2019 | 4,487,230 | ||||||||||
MACHINERY-DIVERSIFIED - 1.4% | ||||||||||||||
The Manitowoc Co., Inc. | 3,960,000 | 5.875 | 10/15/2022 | 4,108,500 | ||||||||||
MEDIA - 0.7% | ||||||||||||||
LIN Television Corp. - 144A | 2,000,000 | 5.875 | 11/15/2022 | 2,020,000 | ||||||||||
TOTAL BONDS & NOTES (Cost - $25,169,867) | 24,825,710 |
See accompanying notes to financial statements.
16
SCHEDULE OF INVESTMENTS |
Dunham Monthly Distribution Fund (Continued) |
October 31, 2015 |
PURCHASED PUT OPTIONS - 0.8% | Contracts** | Value | ||||||
Air Products & Chemicals, Inc., Expiration November 2015, Exercise Price $110.00 | 27 | $ | 270 | |||||
Air Products & Chemicals, Inc., Expiration December 2015, Exercise Price $110.00 | 115 | 2,875 | ||||||
America Movil, Expiration November 2015, Exercise Price $17.00 | 734 | 22,020 | ||||||
American Int’l Group Inc., Expiration November 2015, Exercise Price $58.00 | 33 | 792 | ||||||
American Int’l Group Inc., Expiration November 2015, Exercise Price $52.50 | 184 | 1,932 | ||||||
American Int’l Group Inc., Expiration November 2015, Exercise Price $55.00 | 283 | 1,981 | ||||||
American Int’l Group Inc., Expiration December 2015, Exercise Price $52.50 | 286 | 3,718 | ||||||
American Int’l Group Inc., Expiration November 2015, Exercise Price $57.50 | 417 | 5,421 | ||||||
Anadarko Petroleum Corp., Expiration January 2016, Exercise Price $62.50 | 162 | 40,500 | ||||||
Anadarko Petroleum Corp., Expiration November 2015, Exercise Price $70.00 | 354 | 143,016 | ||||||
Atmel Corp., Expiration November 2015, Exercise Price $7.00 | 1,694 | 33,880 | ||||||
Bayer AG, Expiration November 2015, Exercise Price EUR 100.00 | 48 | 422 | ||||||
Bayer AG, Expiration December 2015, Exercise Price EUR 94.00 | 49 | 863 | ||||||
Bayer AG, Expiration November 2015, Exercise Price EUR 105.00 | 128 | 1,831 | ||||||
Bayer AG, Expiration December 2015, Exercise Price EUR 100.00 | 137 | 4,221 | ||||||
BP PLC, Expiration December 2015, Exercise Price GBP 32.00 | 565 | 19,775 | ||||||
CBS Corp., Expiration December 2015, Exercise Price $40.00 | 87 | 3,828 | ||||||
CBS Corp., Expiration December 2015, Exercise Price $37.50 | 329 | 7,896 | ||||||
Charter Communications, Inc., Expiration January 2016, Exercise Price $210.00 | 52 | 117,260 | ||||||
Cigna Corp., Expiration November 2015, Exercise Price $120.00 | 148 | 9,916 | ||||||
Citigroup, Inc., Expiration December 2015, Exercise Price $47.50 | 322 | 8,050 | ||||||
Computer Sciences Corp., Expiration December 2015, Exercise Price $55.00 | 676 | 15,210 | ||||||
DISH Network Corp., Expiration December 2015, Exercise Price $52.50 | 183 | 10,980 | ||||||
DISH Network Corp., Expiration December 2015, Exercise Price $55.00 | 488 | 45,140 | ||||||
Dow Chemical Co., Expiration December 2015, Exercise Price $38.00 | 100 | 1,000 | ||||||
Dow Chemical Co., Expiration January 2016, Exercise Price $45.00 | 135 | 9,045 | ||||||
Dow Chemical Co., Expiration December 2015, Exercise Price $40.00 | 909 | 13,635 | ||||||
EI Du Pont de Nemours & Co., Expiration January 2016, Exercise Price $50.00 | 38 | 646 | ||||||
General Electric Co., Expiration December 2015, Exercise Price $23.00 | 18 | 144 | ||||||
General Electric Co., Expiration November 2015, Exercise Price $20.00 | 183 | 183 | ||||||
General Electric Co., Expiration December 2015, Exercise Price $24.00 | 28 | 196 | ||||||
General Electric Co., Expiration November 2015, Exercise Price $23.00 | 185 | 370 | ||||||
General Electric Co., Expiration November 2015, Exercise Price $24.00 | 178 | 534 | ||||||
General Electric Co., Expiration December 2015, Exercise Price $21.00 | 1,202 | 3,005 | ||||||
General Electric Co., Expiration January 2016, Exercise Price $26.00 | 601 | 19,232 | ||||||
General Motors Co., Expiration January 2016, Exercise Price $29.00 | 82 | 2,091 | ||||||
General Motors Co., Expiration January 2016, Exercise Price $28.00 | 180 | 3,960 | ||||||
General Motors Co., Expiration January 2016, Exercise Price $32.00 | 119 | 7,735 | ||||||
General Motors Co., Expiration January 2016, Exercise Price $31.00 | 164 | 7,790 | ||||||
General Motors Co., Expiration December 2015, Exercise Price $29.00 | 1,782 | 23,166 | ||||||
Hertz Global Holdings Inc., Expiration November 2015, Exercise Price $15.00 | 685 | 5,138 | ||||||
Hertz Global Holdings Inc., Expiration December 2015, Exercise Price $14.00 | 577 | 5,770 | ||||||
Hertz Global Holdings Inc., Expiration November 2015, Exercise Price $16.00 | 818 | 8,180 | ||||||
Hewlett Packard Co., Expiration December 2015, Exercise Price $23.00 | 406 | 11,368 | ||||||
Huntsman Corp., Expiration November 2015, Exercise Price $11.00 | 694 | 6,940 | ||||||
Huntsman Corp., Expiration November 2015, Exercise Price $12.00 | 1,511 | 33,998 |
See accompanying notes to financial statements.
17
SCHEDULE OF INVESTMENTS |
Dunham Monthly Distribution Fund (Continued) |
October 31, 2015 |
Security | Contracts** | Value | ||||||||||
PURCHASED PUT OPTIONS (Continued) - 0.8% | ||||||||||||
Johnson Controls, Inc., Expiration November 2015, Exercise Price $36.00 | 59 | $ | 590 | |||||||||
Johnson Controls, Inc., Expiration January 2016, Exercise Price $38.00 | 1,610 | 40,250 | ||||||||||
McDonald’s Corp., Expiration January 2016, Exercise Price $92.50 | 89 | 3,293 | ||||||||||
McDonald’s Corp., Expiration December 2015, Exercise Price $87.50 | 221 | 3,425 | ||||||||||
MGM Resorts Intl, Expiration December 2015, Exercise Price $18.00 | 686 | 9,604 | ||||||||||
Microsoft Corp., Expiration November 2015, Exercise Price $41.00 | 123 | 123 | ||||||||||
Microsoft Corp., Expiration December 2015, Exercise Price $42.00 | 1,038 | 6,228 | ||||||||||
Microsoft Corp., Expiration February 2016, Exercise Price $48.00 | 103 | 11,227 | ||||||||||
Northstar Realty Finance Corp., Expiration December 2015, Exercise Price $13.00 | 1,403 | 210,450 | ||||||||||
Northstar Realty Finance Corp., Expiration December 2015, Exercise Price $15.00 | 1,534 | 513,890 | ||||||||||
Perrigo Co. PLC, Expiration November 2015, Exercise Price $160.00 | 80 | 70,400 | ||||||||||
Pfizer, Inc., Expiration February 2016, Exercise Price $29.00 | 186 | 10,230 | ||||||||||
Procter & Gamble Co., Expiration November 2015, Exercise Price $65.00 | 241 | 964 | ||||||||||
SPDR, Expiration December 2015, Exercise Price $191.00 | 255 | 34,425 | ||||||||||
SPDR, Expiration December 2015, Exercise Price $205.00 | 255 | 101,490 | ||||||||||
SPDR, Expiration December 2015, Exercise Price $205.00 | 258 | 94,686 | ||||||||||
SPDR, Expiration January 2016, Exercise Price $205.00 | 383 | 185,372 | ||||||||||
SPX Corp., Expiration December 2015, Exercise Price $45.00 | 614 | 147,360 | ||||||||||
T-Mobile US Inc., Expiration November 2015, Exercise Price $34.00 | 342 | 10,773 | ||||||||||
T-Mobile US Inc., Expiration November 2015, Exercise Price $36.00 | 666 | 43,956 | ||||||||||
VMware Inc, Expiration September 2016, Exercise Price $95.00 | 32 | 123,040 | ||||||||||
Westrock Co, Expiration November 2015, Exercise Price $50.00 | 131 | 9,497 | ||||||||||
W.R. Grace & Co., Expiration December 2015, Exercise Price $90.00 | 53 | 2,517 | ||||||||||
W.R. Grace & Co., Expiration December 2015, Exercise Price $87.50 | 409 | 14,315 | ||||||||||
Zoetis Inc., Expiration November 2015, Exercise Price $40.00 | 232 | 15,080 | ||||||||||
TOTAL PURCHASED PUT OPTIONS (Cost - $3,496,390) | 2,329,108 | |||||||||||
Contracts ** | ||||||||||||
PURCHASED CALL OPTIONS - (0.0)% | ||||||||||||
Avago Technologies Ltd., Expiration January 2016, Exercise Price $175.00 | 49 | 2,695 | ||||||||||
Aetna, Inc., Expiration January 2016, Exercise Price $145.00 | 77 | 3,350 | ||||||||||
CBOE SPX Volatility Index, Expiration December 2015, Exercise Price $20.00 | 102 | 14,280 | ||||||||||
TOTAL PURCHASED CALL OPTIONS (Cost - $50,502) | 20,325 | |||||||||||
SHORT-TERM INVESTMENT - 6.6% | Interest | |||||||||||
MONEY MARKET FUND - 6.6% | Shares | Rate | ||||||||||
First American Government Obligations Fund | 19,030,333 | 0.01 | % + | 19,030,333 | ||||||||
TOTAL SHORT-TERM INVESTMENT (Cost - $19,030,333) | ||||||||||||
TOTAL INVESTMENTS - 102.2% (Cost - $310,705,575) | $ | 294,529,013 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.2)% | (6,223,946 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 288,305,067 |
* | Non-Income producing security. |
** | Each Purchased Call/Put Option contract allows the Fund to sell/purchase 100 shares of the underlying security at the exercise price. |
*** | Issuer in default on interest payments, non-interest producing security. |
REITS - Real Estate Investment Trusts
ADR - American Depositary Receipt.
+ | Variable rate security. Interest rate is as of October 31, 2015. |
^ | Subject to call option written. |
++ | 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, 2015. Total collateral had a value of $200,034,721 at October 31, 2015. |
144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers.
See accompanying notes to financial statements.
18
SCHEDULE OF INVESTMENTS |
Dunham Monthly Distribution Fund (Continued) |
October 31, 2015 |
Security | Contracts ++ | Value | ||||||
WRITTEN CALL OPTIONS - (3.7)% | ||||||||
Aetna Inc, Expiration January 2016, Exercise Price $100.00 | 77 | $ | 128,590 | |||||
Air Products & Chemicals, Inc., Expiration December 2015, Exercise Price $125.00 | 135 | 203,850 | ||||||
Air Products & Chemicals, Inc., Expiration November 2015, Exercise Price $120.00 | 34 | 65,790 | ||||||
America Movil, Expiration November 2015, Exercise Price $18.00 | 773 | 23,190 | ||||||
American Int’l Group Inc., Expiration November 2015, Exercise Price $62.50 | 1,053 | 184,275 | ||||||
American Int’l Group Inc., Expiration December 2015, Exercise Price $60.00 | 433 | 175,365 | ||||||
American Int’l Group Inc., Expiration November 2015, Exercise Price $60.00 | 264 | 96,360 | ||||||
American Int’l Group Inc., Expiration November 2015, Exercise Price $62.00 | 41 | 8,528 | ||||||
Anadarko Petroleum Corp., Expiration January 2016, Exercise Price $67.50 | 180 | 73,350 | ||||||
Anadarko Petroleum Corp., Expiration November 2015, Exercise Price $77.50 | 157 | 3,140 | ||||||
Anadarko Petroleum Corp., Expiration November 2015, Exercise Price $82.50 | 304 | 2,888 | ||||||
AT&T Inc, Expiration January 2016, Exercise Price $34.00 | 148 | 8,584 | ||||||
Atmel Corp., Expiration November 2015, Exercise Price $8.00 | 1,694 | 33,880 | ||||||
Bayer AG, Expiration December 2015, Exercise Price EUR 110.00 | 137 | 186,165 | ||||||
Bayer AG, Expiration November 2015, Exercise Price EUR 115.00 | 160 | 125,170 | ||||||
Bayer AG, Expiration November 2015, Exercise Price EUR 120.00 | 54 | 20,023 | ||||||
Bayer AG, Expiration December 2015, Exercise Price EUR 105.00 | 49 | 91,062 | ||||||
BP PLC, Expiration December 2015, Exercise Price $37.00 | 565 | 31,075 | ||||||
Broadcom Corp., Expiration November 2015, Exercise Price $47.00 | 61 | 28,213 | ||||||
Cablevision Systems Corp, Expiration January 2016, Exercise Price $33.00 | 353 | 23,828 | ||||||
Cablevision Systems Corp, Expiration December 2015, Exercise Price $32.00 | 179 | 21,480 | ||||||
CBS Corp, Expiration December 2015, Exercise Price $47.50 | 832 | 141,440 | ||||||
Charter Communications, Inc., Expiration January 2016, Exercise Price $210.00 | 52 | 14,560 | ||||||
Cigna Corp., Expiration November 2015, Exercise Price $130.00 | 164 | 123,410 | ||||||
Citigroup, Inc., Expiration December 2015, Exercise Price $52.50 | 403 | 82,615 | ||||||
Computer Sciences Corp., Expiration December 2015, Exercise Price $65.00 | 563 | 205,495 | ||||||
Computer Sciences Corp., Expiration December 2015, Exercise Price $62.50 | 282 | 153,690 | ||||||
DISH Network Corp, Expiration December 2015, Exercise Price $60.00 | 609 | 322,770 | ||||||
DISH Network Corp, Expiration December 2015, Exercise Price $62.50 | 203 | 77,140 | ||||||
DISH Network Corp, Expiration December 2015, Exercise Price $67.50 | 51 | 9,307 | ||||||
Dow Chemical Co., Expiration December 2015, Exercise Price $45.00 | 1,337 | 982,695 | ||||||
Dow Chemical Co., Expiration January 2016, Exercise Price $50.00 | 170 | 57,120 | ||||||
E. ON AG, Expiration December 2015, Exercise Price EUR 9.50 | 313 | 19,631 | ||||||
EI Du Pont de Nemours & Co., Expiration January 2016, Exercise Price $55.00 | 48 | 43,200 | ||||||
EMC Corp./MA, Expiration December 2015, Exercise Price $28.00 | 29 | 551 |
See accompanying notes to financial statements.
19
SCHEDULE OF INVESTMENTS |
Dunham Monthly Distribution Fund (Continued) |
October 31, 2015 |
Security | Contracts ++ | Value | ||||||
WRITTEN CALL OPTIONS (Continued) - (3.7)% | ||||||||
Energy Transfer Equity LP, Expiration January 2016, Exercise Price $22.50 | 126 | $ | 13,608 | |||||
Equinix Inc., Expiration January 2016, Exercise Price $250.00 | 39 | 228,735 | ||||||
General Electric Co., Expiration December 2015, Exercise Price $24.00 | 1,603 | 831,957 | ||||||
General Electric Co., Expiration January 2016, Exercise Price $29.00 | 897 | 86,112 | ||||||
General Electric Co., Expiration December 2015, Exercise Price $27.00 | 40 | 9,600 | ||||||
General Electric Co., Expiration December 2015, Exercise Price $26.00 | 26 | 8,450 | ||||||
General Motors Co., Expiration December 2015, Exercise Price $33.00 | 1,849 | 443,760 | ||||||
General Motors Co., Expiration January 2016, Exercise Price $34.00 | 226 | 45,653 | ||||||
General Motors Co., Expiration January 2016, Exercise Price $35.00 | 308 | 43,736 | ||||||
General Motors Co., Expiration January 2016, Exercise Price $36.00 | 149 | 14,602 | ||||||
Halliburton Co., Expiration December 2015, Exercise Price $40.00 | 49 | 5,439 | ||||||
Health Net Inc, Expiration January 2016, Exercise Price $62.50 | 368 | 128,800 | ||||||
Hertz Global Holdings Inc, Expiration December 2015, Exercise Price $18.00 | 721 | 155,015 | ||||||
Hertz Global Holdings Inc, Expiration November 2015, Exercise Price $19.00 | 1,023 | 122,760 | ||||||
Hertz Global Holdings Inc, Expiration November 2015, Exercise Price $20.00 | 1,023 | 66,495 | ||||||
Hewlett Packard Co., Expiration December 2015, Exercise Price $26.00 | 507 | 100,386 | ||||||
Humana Inc, Expiration January 2016, Exercise Price $170.00 | 107 | 166,920 | ||||||
Humana Inc, Expiration November 2015, Exercise Price $155.00 | 29 | 73,080 | ||||||
Humana Inc, Expiration November 2015, Exercise Price $180.00 | 76 | 59,280 | ||||||
Humana Inc, Expiration November 2015, Exercise Price $190.00 | 61 | 8,540 | ||||||
Huntsman Corp, Expiration January 2016, Exercise Price $13.00 | 2,349 | 258,390 | ||||||
Huntsman Corp, Expiration December 2015, Exercise Price $12.00 | 173 | 26,815 | ||||||
Huntsman Corp, Expiration November 2015, Exercise Price $13.00 | 376 | 18,800 | ||||||
Johnson Controls, Inc., Expiration January 2016, Exercise Price $43.00 | 2,013 | 624,030 | ||||||
McDonald’s Corp., Expiration December 2015, Exercise Price $95.00 | 368 | 678,960 | ||||||
McDonald’s Corp., Expiration January 2016, Exercise Price $100.00 | 149 | 191,465 | ||||||
MGM Resorts Intl, Expiration December 2015, Exercise Price $21.00 | 762 | 217,170 | ||||||
Microsoft Corp., Expiration December 2015, Exercise Price $45.00 | 1,298 | 1,083,830 | ||||||
Microsoft Corp., Expiration February 2016, Exercise Price $52.50 | 129 | 32,766 | ||||||
MYLAN NV, Expiration November 2015, Exercise Price $45.00 | 255 | 51,000 | ||||||
Northstar Realty Finance Corp., Expiration December 2015, Exercise Price $17.00 | 491 | 27,005 | ||||||
Partnerre Ltd, Expiration November 2015, Exercise Price $140.00 | 59 | 1,180 | ||||||
Perrigo Co. PLC, Expiration November 2015, Exercise Price $185.00 | 100 | 21,500 | ||||||
Pfizer Inc., Expiration December 2015, Exercise Price $30.00 | 463 | 193,303 | ||||||
Pfizer Inc., Expiration February 2016, Exercise Price $33.00 | 232 | 48,256 | ||||||
Royal Dutch Shell PLC, Expiration December 2015, Exercise Price GBP 1900.00 | 8 | 307 | ||||||
Royal Dutch Shell PLC, Expiration December 2015, Exercise Price GBP 2000.00 | 7 | 53 | ||||||
Sirius XM Radio, Inc., Expiration December 2015, Exercise Price $4.00 | 2,350 | 47,000 | ||||||
Sirius XM Radio, Inc., Expiration November 2015, Exercise Price $4.00 | 1,555 | 23,325 | ||||||
Sirius XM Radio, Inc., Expiration January 2016, Exercise Price $4.00 | 1,059 | 21,180 | ||||||
Solera Holdings Inc, Expiration December 2015, Exercise Price $55.00 | 85 | 3,188 | ||||||
SPX Corp., Expiration December 2015, Exercise Price $60.00 | 722 | 50,540 | ||||||
T-Mobile US Inc., Expiration November 2015, Exercise Price $40.00 | 740 | 25,160 | ||||||
T-Mobile US Inc., Expiration November 2015, Exercise Price $39.00 | 456 | 21,888 | ||||||
Vivendi, Expiration November 2015, Exercise Price EUR 19.50 | 683 | 185,622 |
See accompanying notes to financial statements.
20
SCHEDULE OF INVESTMENTS |
Dunham Monthly Distribution Fund (Continued) |
October 31, 2015 |
Security | Contracts ++ | Value | ||||||
WRITTEN CALL OPTIONS (Continued) - (3.7)% | ||||||||
Vivendi, Expiration January 2016, Exercise Price EUR 21.00 | 616 | $ | 104,379 | |||||
Vivendi, Expiration December 2015, Exercise Price EUR 21.50 | 580 | 62,541 | ||||||
Westrock Co, Expiration November 2015, Exercise Price $55.00 | 164 | 21,320 | ||||||
Williams Partners LP, Expiration December 2015, Exercise Price $35.00 | 152 | 14,440 | ||||||
Williams Partners LP, Expiration December 2015, Exercise Price $37.50 | 310 | 13,175 | ||||||
Williams Partners LP, Expiration November 2015, Exercise Price $35.00 | 212 | 8,480 | ||||||
W.R. Grace & Co., Expiration December 2015, Exercise Price $100.00 | 515 | 175,100 | ||||||
W.R. Grace & Co., Expiration December 2015, Exercise Price $97.50 | 72 | 33,120 | ||||||
Zoetis Inc., Expiration November 2015, Exercise Price $44.00 | 290 | 36,975 | ||||||
WRITTEN CALL OPTIONS - (Premiums Received - $8,313,803) | 10,703,621 | |||||||
WRITTEN PUT OPTIONS - (0.1)% | ||||||||
SPDR S&P 500 ETF Trust, Expiration January 2016, Exercise Price $195.00 | 330 | 81,840 | ||||||
SPDR S&P 500 ETF Trust, Expiration December 2015, Exercise Price $198.00 | 510 | 116,790 | ||||||
SPDR S&P 500 ETF Trust, Expiration December 2015, Exercise Price $198.00 | 258 | 50,826 | ||||||
TOTAL WRITTEN PUT OPTIONS - (Premiums Received - $257,025) | 249,456 |
Shares | ||||||||
SECURITIES SOLD SHORT * - (15.9)% | ||||||||
ACE Ltd. | 45,275 | 5,140,525 | ||||||
Alibaba Group Holding Ltd. | 120,611 | 10,110,820 | ||||||
Altera Corp. | 3,900 | 204,945 | ||||||
American Airlines Group, Inc. | 5,300 | 244,966 | ||||||
ARRIS Group, Inc. | 14,286 | 403,722 | ||||||
Avago Technologies Ltd. | 38,589 | 4,751,464 | ||||||
Brookfield Infrastructure Partners LP | 10,151 | 426,951 | ||||||
Charter Communications, Inc. | 21,182 | 4,044,491 | ||||||
Comcast Corp. | 76,210 | 4,779,129 | ||||||
Energy Transfer Equity LP | 4,481 | 96,566 | ||||||
Equinix, Inc. | 7,681 | 2,278,799 | ||||||
Halliburton Co. | 63,919 | 2,453,211 | ||||||
Lam Research Corp. | 32,510 | 2,489,941 | ||||||
Liberty Global Plc LiLAC | 1,319 | 50,957 | ||||||
M&T Bank Corp. | 28,443 | 3,408,894 | ||||||
Royal Dutch Shell PLC | 9,283 | 489,121 | ||||||
Schlumberger, Ltd. | 56,458 | 4,412,757 | ||||||
TOTAL SECURITIES SOLD SHORT - (Proceeds - $43,689,086) | 45,787,259 |
See accompanying notes to financial statements.
21
SCHEDULE OF INVESTMENTS |
Dunham Monthly Distribution Fund (Continued) |
October 31, 2015 |
Unrealized | ||||
Appreciation/ | ||||
(Depreciation) | ||||
LONG EQUITY SWAP CONTRACTS - (0.4)% | ||||
Altera Corp. Equity Swap, Bank of America - July 07, 2016 to receive total return of Altera Corp. less USD- 3 Month LIBOR plus 0.72% (NOTIONAL AMOUNT $6,360,684) | $ | 143,425 | ||
American International Group Equity Swap, JP Morgan - April 14, 2016 to receive total return of American International Group less USD- 3 Month LIBOR plus 0.69% (NOTIONAL AMOUNT $9,039,555) | 1,078,905 | |||
Amlin PLC Equity Swap, JP Morgan - October 9, 2016 to receive total return of Amlin PLC less USD- 3 Month LIBOR plus 0.64% (NOTIONAL AMOUNT $1,532,701) | 13,718 | |||
Andarko Petroleum Corp. Equity Swap, JP Morgan - December 16, 2015 to receive total return of Andarko Petroleum Corp. less USD- 3 Month LIBOR plus 1.14% (NOTIONAL AMOUNT $3,913,000) | (441,173 | ) | ||
Apollo Residential Mortgage Equity Swap, JP Morgan - April 27, 2016 to receive total return of Apollo Residential Mortgage less USD- 3 Month LIBOR plus 0.79% (NOTIONAL AMOUNT $2,011,513) | (316,839 | ) | ||
Asciano Group Equity Swap, JP Morgan - August 21, 2016 to receive total return of Asciano Group less USD- 3 Month LIBOR plus 0.74% (NOTIONAL AMOUNT $2,619,391) | (103,808 | ) | ||
AT&T, Inc. Equity Swap, JP Morgan - July 27, 2016 to receive total return of AT&T, Inc. less USD- 3 Month LIBOR plus 0.66% (NOTIONAL AMOUNT $2,170,557) | 205,805 | |||
Bayer AG Equity Swap, JP Morgan - September 19, 2016 to receive total return of Bayer AG less USD- 3 Month LIBOR plus 0.74% (NOTIONAL AMOUNT $5,680,082) | (374,729 | ) | ||
BG Group PLC Equity Swap, Bank of America - July 24, 2016 to receive total return of BG Group PLC less USD- 3 Month LIBOR plus 0.77% (NOTIONAL AMOUNT $51,564) | (2,631 | ) | ||
BG Group PLC Equity Swap, JP Morgan - October 4, 2016 to receive total return of BG Group PLC less USD- 3 Month LIBOR plus 0.64% (NOTIONAL AMOUNT $7,399,110) | (637,971 | ) | ||
CYS Investments, Inc. Equity Swap, JP Morgan - June 5, 2016 to receive total return of CYS Investments, Inc. less USD- 3 Month LIBOR plus 0.79% (NOTIONAL AMOUNT $2,421,547) | (321,238 | ) |
See accompanying notes to financial statements.
22
SCHEDULE OF INVESTMENTS |
Dunham Monthly Distribution Fund (Continued) |
October 31, 2015 |
Unrealized | ||||
Appreciation/ | ||||
(Depreciation) | ||||
LONG EQUITY SWAP CONTRACTS (Continued) - (0.4)% | ||||
Dow Chemical Co. Equity Swap, JP Morgan - June 2, 2016 to receive total return of Dow Chemical Co less USD- 3 Month LIBOR plus 0.64% (NOTIONAL AMOUNT $2,921,247) | $ | 321,478 | ||
Eaton Vance Floating Rate, Inc. Equity Swap, JP Morgan - April 1, 2016 to receive total return of Eaton Vance Floating Rate, Inc. less USD- 3 Month LIBOR plus 1.14% (NOTIONAL AMOUNT $3,301,149) | (94,650 | ) | ||
E. ON SE Floating Rate, Inc. Equity Swap, JP Morgan - December 16, 2015 to receive total return of E. ON SE Floating Rate, Inc. less USD- 3 Month LIBOR plus 0.74% (NOTIONAL AMOUNT $823,648) | (165,845 | ) | ||
Equity Commonwealth Equity Swap, JP Morgan - March 16, 2016 to receive total return of Equity Commonwealth less USD- 3 Month LIBOR plus 0.74% (NOTIONAL AMOUNT $1,855,326) | 206,516 | |||
First Trust Four Corners Senior Floating Rate Equity Swap, JP Morgan - April 1, 2016 to receive total return of First Trust Four Corners Senior Floating Rate less USD- 3 Month LIBOR plus 1.03% (NOTIONAL AMOUNT $1,104,335) | (34,898 | ) | ||
First Trust MLP & Energy Income Fund Equity Swap, JP Morgan - December 31, 2015 to receive total return of First Trust MLP & Energy Income Fund less USD- 3 Month LIBOR plus 1.14% (NOTIONAL AMOUNT $188,514) | (38,166 | ) | ||
General Motors Co. Equity Swap, JP Morgan - November 12, 2015 to receive total return of General Motors Co. less USD- 3 Month LIBOR plus 0.64% (NOTIONAL AMOUNT $5,945,172) | 375,702 | |||
Huntsman Corp. Equity Swap, JP Morgan - April 14, 2016 to receive total return of Huntsman Corp. less USD- 3 Month LIBOR plus 0.69% (NOTIONAL AMOUNT $5,640,420) | (2,315,876 | ) | ||
Nuveen Energy MLP Total Return Fund Equity Swap, JP Morgan - January 15, 2016 to receive total return of Nuveen Energy MLP Total Return Fund less USD- 3 Month LIBOR plus 1.14% (NOTIONAL AMOUNT $1,265,249) | (340,639 | ) | ||
Nokia OYJ Total Return Fund Equity Swap, Bank of America - July 24, 2016 to pay total return of Nokia OYJ Total Return Fund less USD- 3 Month LIBOR plus 0.03% (NOTIONAL AMOUNT $3,078,115) | (286,892 | ) |
See accompanying notes to financial statements.
23
SCHEDULE OF INVESTMENTS |
Dunham Monthly Distribution Fund (Continued) |
October 31, 2015 |
Unrealized | ||||
Appreciation/ | ||||
(Depreciation) | ||||
LONG EQUITY SWAP CONTRACTS (Continued) - (0.4)% | ||||
Pace PLC Equity Swap, Bank of America - May 21, 2016 to receive total return of Pace PLC less USD- 3 Month LIBOR plus 0.75% (NOTIONAL AMOUNT $1,972,645) | $ | 41,147 | ||
Pace PLC Equity Swap, JP Morgan - April 28, 2016 to receive total return of Pace PLC less USD- 3 Month LIBOR plus 0.64% (NOTIONAL AMOUNT $2,435,702) | (181,886 | ) | ||
SAI Global LTD Equity Swap, JP Morgan - June 3, 2016 to receive total return of SAI Global LTD less USD- 3 Month LIBOR plus 0.74% (NOTIONAL AMOUNT $332,940) | (14,110 | ) | ||
Sirius XM Radio, Inc. Equity Swap, JP Morgan - September 1, 2016 to receive total return of Sirius XM Radio, Inc. less USD- 3 Month LIBOR plus 0.64% (NOTIONAL AMOUNT $4,452) | 966 | |||
T-Mobile US, Inc. Equity Swap, JP Morgan - January 5, 2016 to receive total return of T-Mobile US, Inc. less USD- 3 Month LIBOR plus 0.69% (NOTIONAL AMOUNT $3,889,905) | 445,727 | |||
Telocity Group PLC, Equity Swap, Bank of America - April 6, 2016 to receive total return of Telocity Group PLC. less USD- 3 Month LIBOR plus 0.77% (NOTIONAL AMOUNT $6,029,399) | 456,445 | |||
TNT, Inc. Equity Swap, JP Morgan - August 13, 2016 to receive total return of TNT, Inc. less USD- 3 Month LIBOR plus 0.73% (NOTIONAL AMOUNT $919,697) | 4,483 | |||
Time Warner Cable, Inc. Equity Swap, JP Morgan - March 17, 2016 to receive total return of Time Warner Cable, Inc. less USD- 3 Month LIBOR plus 0.63% (NOTIONAL AMOUNT $10,098,628) | 1,574,650 | |||
Vivendi Equity Swap, JP Morgan - January 7, 2016 to receive total return of Vivendi less USD- 3 Month LIBOR plus 0.74% (NOTIONAL AMOUNT $4,699,706) | (166,163 | ) | ||
TOTAL LONG EQUITY SWAP CONTRACTS | (968,547 | ) | ||
SHORT EQUITY SWAP CONTRACTS - 0.4% | ||||
Alcatel-Lucent Equity Swap, Bank of America - July 24, 2016 to receive total return of Alcatel-Lucent less USD- 3 Month LIBOR plus 1.12% (NOTIONAL AMOUNT $2,847,105) | 436,754 | |||
Alcatel-Lucent Equity Swap, Bank of America - October 21, 2016 to receive total return of Alcatel-Lucent less USD- 3 Month LIBOR plus 1.12% (NOTIONAL AMOUNT $96,794) | 6,929 | |||
Arris Group, Inc. Equity Swap, Bank of America - May 22, 2016 to pay total return of Arris Group, Inc. less USD- 3 Month LIBOR plus 0.18% (NOTIONAL AMOUNT $1,255,546) | 9,223 | |||
Arris Group, Inc. Equity Swap, JP Morgan - April 29, 2016 to pay total return of Arris Group, Inc. less USD- 3 Month LIBOR plus 0.16% (NOTIONAL AMOUNT $1,713,923) | 230,353 | |||
Charter Communication CL Equity Swap, JP Morgan - August 26, 2016 to pay total return of Charter Communication CL less USD- 3 Month LIBOR plus 0.97% (NOTIONAL AMOUNT $1,412,070) | (42,291 | ) |
See accompanying notes to financial statements.
24
SCHEDULE OF INVESTMENTS |
Dunham Monthly Distribution Fund (Continued) |
October 31, 2015 |
Unrealized | ||||
Appreciation/ | ||||
(Depreciation) | ||||
SHORT EQUITY SWAP CONTRACTS (Continued) - 0.4% | ||||
Royal Dutch Shell PLC Equity Swap, Bank of America - July 24, 2016 to pay total return of Royal Dutch Shell PLC less USD- 3 Month LIBOR plus 0.013% (NOTIONAL AMOUNT $39,222) | $ | 3,059 | ||
Royal Dutch Shell PLC Equity Swap, JP Morgan - October 4, 2016 to pay total return of Royal Dutch Shell PLC less USD- 3 Month LIBOR plus 0.06% (NOTIONAL AMOUNT $5,268,104) | 666,675 | |||
Voya Prime Rate Equity Swap, JP Morgan - December 28, 2015 to receive total return of Voya Prime Rate less USD- 3 Month LIBOR plus 0.64% (NOTIONAL AMOUNT $1,133,951) | (58,527 | ) | ||
TOTAL SHORT EQUITY SWAP CONTRACTS | 1,252,175 | |||
TOTAL EQUITY SWAP CONTRACTS | $ | 283,628 |
Portfolio Composition * - (Unaudited) | ||||||||||
Financial | 22.25 | % | Basic Materials | 7.80 | % | |||||
Technology | 14.07 | % | Energy | 7.16 | % | |||||
Communications | 11.52 | % | Utilities | 1.14 | % | |||||
Consumer, Non-cyclical | 10.46 | % | Diversified | 0.70 | % | |||||
Industrial | 10.45 | % | Short-Term Investment | 6.44 | % | |||||
Consumer, Cyclical | 8.01 | % | Total | 100.00 | % |
* | Based on total value of investments as of October 31, 2015. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
25
Dunham Floating Rate Bond Fund |
Message from the Sub-Adviser (Newfleet Asset Management, LLC) |
Interest rates fluctuated throughout the fiscal year, declining as low as 1.6 percent at the end of the first fiscal quarter to nearly 2.5 percent during the volatile summer months. However, these swings in rates did not result in rates ending much lower than they started, as the yield on 10-year Treasuries began the fiscal year at 2.33 percent and ended at 2.15 percent. This decline in rates generally detracted from performance for bank loans, as measured by the S&P / LSTA Leveraged Loan Index. Bank loans managed a positive return for the fiscal year despite rates falling, rising 0.5 percent during the fiscal year. Although interest rates fell, the London Interbank Offered Rate (“LIBOR”) slightly rose during the fiscal year. Three-month LIBOR began the fiscal year at 0.23 percent and ended the fiscal year at 0.33 percent.
This most recent decline in interest rates coincided with equity market selloffs and comments made by the Federal Open Market Committee. The stall in raising interest rates prompted investors to sell out of bank loans, which broadly brought the average prices lower for the most recent fiscal quarter. At the beginning of the most recent fiscal quarter, the average bank loan in the Fund had a price in the $98 range. By the end of the fiscal quarter, the average had fallen to $96.8. The Sub-Adviser remains optimistic about the asset class’ potential as interest rates rise and investor sentiment towards the loan space allows the prices to rebound to historical averages. At the beginning of the most recent fiscal quarter, approximately 24 bank loans in the Fund had a price below $95 and by the end of the most recent fiscal quarter, the Fund held approximately 36 bank loans with a price below $95. Some of these declines occurred in the bank loans for energy-related companies, such as MEG Energy Corporation (BL0932949) (holding percentage*: 0.30 percent), an oil and gas company that is primarily involved in oil sands development and leases. The MEG Energy Corp. bank loan price depreciated 3.5 percent during the most recent fiscal quarter. However, the 3.75 percent coupon helped to offset nearly one-third of the decline.
The yields on bank loans, as measured by the S&P / LSTA Leveraged Loan 100 Index, moved opposite to broader Treasury yield movements during the fiscal year. Bank loans in general began the fiscal year with a yield-to-maturity of 4.8 percent, approximately 1.4 percent less than their traditional high-yield bond counterparts, as measured by the BofA Merrill Lynch High-Yield Bond Cash Pay Index. Bank loans slightly outperformed traditional high-yield bonds during the fiscal year by 2.5 percent. As bank loans outperformed traditional high-yield bonds, the yield gap between the bank loans and traditional high-yield bonds saw a slight expansion. At the end of the fiscal year, the yields on bank loans stood at 5.9 percent and traditional high-yield bonds ended at 7.6 percent. The Fund held approximately 5 percent of its assets in traditional high-yield bonds, which from an allocation perspective detracted from relative performance during the fiscal year.
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 held the traditional bond (527298AW3) (holding percentage*: 0.09 percent) of Level 3 Financing, Inc., an investment capital provider for its telecommunications parent company, as well as the company’s term bank loan (BL1332115) (holding percentage*: 0.41 percent). The Level 3 Financing, Inc. bank loan’s incremental 0.7 percent rise in value was enhanced by the 4.5 percent coupon during the fiscal year while the traditional bond’s price declined 0.9 percent but its 7.0 percent coupon more than offset the principal decline. Another example included the traditional bond (761735AP4) (holding percentage*: 0.06 percent) of Reynolds Group Issuer, Inc., a financing arm of Reynolds Group Issuer, as well as the company’s term bank loan (BL1168733) (holding percentage*: 0.52 percent). The Reynolds Group Issuer, Inc. bank loan’s price increased 0.7 percent while the traditional bond’s price declined 0.2 percent during the fiscal year.
The Sub-Adviser continued to focus on higher rated first lien loans within the bank loan space, limiting its exposure to bank loans rated CCC and lower. The exposure to lower-rated loans, second lien loans, and traditional bonds has been limited to instances where the Sub-Adviser has determined that the additional reward is expected to significantly outweigh the additional risk. For example, the Fund held the CCC-rated traditional bonds issued by Ardagh Packaging Finance PLC (03969AAD2) (holding percentage*: 0.24 percent), a packaging company that primarily works with federal government credit agencies in Ireland. The Ardagh Packaging Finance PLC bond’s price slightly increased, up 0.6 percent, during the fiscal year, while the 6.25 percent coupon helped to further improve its contribution to overall Fund performance. In addition, the Fund held the traditional CCC-rated bond issued by Clear Channel Communications Inc. (184502BL5) (holding percentage*: 0.15 percent), a mobile and on-demand entertainment and information service provider. The Clear Channel Communications Inc. bond value declined 12.7 percent since it was originally purchased in mid-July.
The Sub-Adviser also analyzes recovery expectations for bank loans that are issued by companies proceeding through restructurings or defaults. For example, the Fund held the Caesars Entertainment Operating Co., Inc. bank loan (BL1302209) (holding percentage*: 0.14 percent), a casino, restaurant, and convention-space operator, which defaulted on its debt during the first fiscal quarter. Although the Caesars Entertainment Operating Co., Inc. bank loan traded higher than $90 in the second fiscal quarter it fell back down to $86 at the end of the third fiscal quarter. However, the Caesars Entertainment Operating Co., Inc. bank loan ended the fiscal year above $89.
The Sub-Adviser remains optimistic that interest rates in general will eventually rise, and that bank loan investors may benefit from a highly-correlated increase in LIBOR. Although the Federal Open Market Committee has consistently renewed their commitment to raising interest rates in the near future, the precise timing remains unknown. Even in this environment, the Sub-Adviser remains encouraged by the positioning of the bank loan market.
* | Holdings percentage(s) as of 10/31/2015. |
Growth of $10,000 Investment - (Unaudited)
Total Returns as of October 31, 2015 | ||||
Annualized | ||||
One | Since Inception | |||
Year | (11/1/13) | |||
Class N | 0.51% | 0.97% | ||
Class C | (0.23)% | 0.20% | ||
Class A with load of 4.50% | (4.39)% | (1.61)% | ||
Class A without load | 0.16% | 0.68% | ||
S&P/LSTA Leverage Loan Index | 0.55% | 1.94% | ||
Morningstar Bank Loan Category | 0.78% | 1.62% |
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 1.29% for Class N, 2.04% for Class C and 1.54% 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.
26
SCHEDULE OF INVESTMENTS |
Dunham Floating Rate Bond Fund |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
BANK LOANS - 94.5% | ||||||||||||||
CONSUMER DISCRETIONARY - 28.9% | ||||||||||||||
Acosta, Inc. | $ | 241,230 | 4.2500 | % | 9/26/2021 | $ | 236,044 | |||||||
Advantage Sales & Marketing, Inc. | 349,101 | 4.2500 | 7/23/2021 | 342,211 | ||||||||||
Advantage Sales & Marketing, Inc. | 195,000 | 7.5000 | 7/25/2022 | 180,985 | ||||||||||
Allison Transmission, Inc. | 586,813 | 3.5000 | 8/23/2019 | 588,280 | ||||||||||
Alpha Topco Limited | 410,000 | 4.7500 | 7/30/2021 | 403,194 | ||||||||||
Aristocrat Technologies, Inc. | 381,000 | 4.7500 | 10/20/2021 | 382,549 | ||||||||||
Borgata | 111,575 | 6.5000 | 8/15/2018 | 111,853 | ||||||||||
Boyd Gaming Corp. | 480,488 | 4.0000 | 8/14/2020 | 481,689 | ||||||||||
Brickman Group Holdings, Inc. | 249,000 | 7.5000 | 12/17/2021 | 236,301 | ||||||||||
Caesars Entertainment Operating Co, Inc. * | 203,234 | 10.0000 | 3/1/2017 | 184,464 | ||||||||||
Caesars Entertainment Operating Co, Inc. * | 137,310 | 9.7500 | 1/28/2018 | 123,179 | ||||||||||
Caesars Entertainment Resort Properties, Inc. | 274,256 | 7.0000 | 10/11/2020 | 260,716 | ||||||||||
Caesars Growth Properties Holdings, LLC | 152,800 | 6.2500 | 5/7/2021 | 135,228 | ||||||||||
CBAC Borrower, LLC | 100,000 | 8.2500 | 7/2/2020 | 94,750 | ||||||||||
CDS U.S. Intermediate Holdings | 176,000 | 5.0000 | 7/8/2022 | 177,026 | ||||||||||
Cequel Communications, LLC | 328,085 | 3.5000 | 2/14/2019 | 324,565 | ||||||||||
Charter Communications Operations LLC | 328,492 | 3.0000 | 7/1/2020 | 325,876 | ||||||||||
Charter Communications Operations LLC | 138,000 | 3.2500 | 7/23/2021 | 137,988 | ||||||||||
Charter Communications Operations LLC | 708,000 | 3.5000 | 1/23/2023 | 708,442 | ||||||||||
CityCenter Holdings, LLC | 375,000 | 4.2500 | 10/16/2020 | 375,891 | ||||||||||
CS Intermediate Holdco 2 LLC | 412,780 | 4.0000 | 4/5/2021 | 410,652 | ||||||||||
CSC Holdings, LLC | 620,000 | 2.6880 | 10/19/2022 | 623,158 | ||||||||||
CSC Holdings, LLC | 726,868 | 2.6843 | 4/17/2020 | 727,776 | ||||||||||
Eldorado Resorts, Inc. | 129,675 | 4.2500 | 7/22/2022 | 129,999 | ||||||||||
FCA US LLC | 1,495,000 | 6.9343 | 1/30/2019 | 1,256,040 | ||||||||||
FCA US LLC | 575,113 | 3.2500 | 12/31/2018 | 574,035 | ||||||||||
Federal Mogul Corp. | 294,754 | 4.7500 | 4/15/2021 | 269,753 | ||||||||||
Golden Nugget, Inc. | 154,902 | 5.5000 | 11/21/2019 | 155,628 | ||||||||||
Golden Nugget, Inc. | 66,386 | 5.5000 | 11/21/2019 | 66,698 | ||||||||||
Graton Resort & Casino | 145,000 | 4.7500 | 10/3/2022 | 145,181 | ||||||||||
Hilton Hotels Corp. | 830,784 | 3.5000 | 10/26/2020 | 833,467 | ||||||||||
Hudson’s Bay Co. | 280,000 | 4.7500 | 8/13/2021 | 280,832 | ||||||||||
Infiltrator Systems | 78,803 | 5.2500 | 5/27/2022 | 78,881 | ||||||||||
Jarden | 49,873 | 2.9383 | 9/30/2020 | 49,977 | ||||||||||
Jarden | 348,000 | 2.9383 | 7/29/2022 | 348,498 | ||||||||||
KAR Auction Services, Inc. | 312,112 | 3.5000 | 3/11/2021 | 312,892 | ||||||||||
Key Safety Systems, Inc. | 343,530 | 4.7500 | 8/27/2021 | 340,845 | ||||||||||
Laureate Education, Inc. | 377,871 | 5.0000 | 6/15/2018 | 326,227 | ||||||||||
Leslie’s Poolmart, Inc. | 397,979 | 4.2500 | 10/16/2019 | 392,805 | ||||||||||
Libbey Glass, Inc. | 397,967 | 3.7500 | 4/9/2021 | 396,889 | ||||||||||
Life Time Fitness | 307,230 | 3.2500 | 6/10/2022 | 305,694 | ||||||||||
Mediacom Broadband, LLC | 301,278 | 3.2500 | 1/29/2021 | 297,387 | ||||||||||
Mediacom Broadband, LLC | 62,213 | 3.7500 | 6/30/2021 | 61,746 | ||||||||||
Mediacom Broadband, LLC | 156,420 | 3.7500 | 6/30/2021 | 155,116 | ||||||||||
MGM Results International | 1,093,810 | 3.5000 | 12/20/2019 | 1,093,474 | ||||||||||
Michaels Stores, Inc. | 534,262 | 3.7500 | 1/28/2020 | 534,890 | ||||||||||
Mohegan Tribal Gaming Authority | 151,184 | 5.5000 | 11/19/2019 | 149,823 | ||||||||||
MPG Holdco I Inc | 288,394 | 3.5000 | 10/20/2021 | 287,282 | ||||||||||
Numericable US LLC | 115,681 | 4.5000 | 5/21/2020 | 114,351 | ||||||||||
Numericable US LLC | 97,904 | 4.5000 | 5/21/2020 | 96,779 | ||||||||||
Numericable US LLC | 143,000 | 4.5000 | 10/21/2021 | 141,619 | ||||||||||
Party City Holdings, Inc. | 261,000 | 4.2500 | 9/1/2022 | 261,325 | ||||||||||
Penn National Gaming, Inc. | 407,738 | 3.2500 | 10/30/2020 | 406,590 |
See accompanying notes to financial statements.
27
SCHEDULE OF INVESTMENTS |
Dunham Floating Rate Bond Fund (Continued) |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
CONSUMER DISCRETIONARY (Continued) - 28.9% | ||||||||||||||
Petsmart, Inc. | $ | 544,635 | 4.2500 | % | 3/11/2022 | $ | 545,436 | |||||||
Pinnacle Entertainment, Inc. | 93,825 | 3.7500 | 8/13/2020 | 93,884 | ||||||||||
Scientific Games International, Inc. | 685,184 | 6.0000 | 10/1/2021 | 670,768 | ||||||||||
Servicemaster Co. | 901,788 | 4.2500 | 7/1/2021 | 903,352 | ||||||||||
Shingle Springs Tribal Gaming Authority | 142,890 | 6.2500 | 8/29/2019 | 143,604 | ||||||||||
Sinclair Television Group, Inc. | 374,063 | 3.5000 | 7/30/2021 | 371,023 | ||||||||||
Six Flags | 148,628 | 3.5000 | 7/8/2022 | 148,999 | ||||||||||
SRAM, LLC | 284,541 | 5.2500 | 4/10/2020 | 268,891 | ||||||||||
Staples, Inc. | 258,000 | 3.7500 | 4/23/2021 | 257,106 | ||||||||||
Station Casinos LLC | 256,460 | 4.2500 | 3/2/2020 | 256,909 | ||||||||||
TI Group Automotive | 32,000 | 4.5000 | 6/30/2022 | 31,733 | ||||||||||
Transtar Holding Co. | 34,388 | 5.7500 | 10/9/2018 | 33,098 | ||||||||||
Tribune Co. | 455,811 | 3.7500 | 12/24/2020 | 455,385 | ||||||||||
TWCC Holding Corp. | 223,000 | 7.0000 | 6/26/2020 | 223,139 | ||||||||||
TWCC Holding Corp. | 227,077 | 5.7500 | 2/11/2020 | 227,554 | ||||||||||
Univision Communications, Inc. | 264,072 | 4.0000 | 2/28/2020 | 262,752 | ||||||||||
Univision Communications, Inc. | 1,338,253 | 4.0000 | 3/1/2020 | 1,331,896 | ||||||||||
US Farathane LLC | 158,813 | 6.7500 | 12/23/2021 | 160,104 | ||||||||||
Virgin Media Investment Holdings Ltd. | 445,962 | 3.5000 | 6/8/2020 | 444,131 | ||||||||||
Ziggo NV | 154,941 | 3.5000 | 1/15/2022 | 152,800 | ||||||||||
Ziggo NV | 99,847 | 3.5000 | 1/15/2022 | 98,467 | ||||||||||
Ziggo NV | 164,212 | 3.5000 | 1/15/2022 | 161,943 | ||||||||||
24,680,514 | ||||||||||||||
CONSUMER STAPLES - 6.0% | ||||||||||||||
Albertsons, Inc. | 278,942 | 5.5000 | 8/25/2021 | 279,307 | ||||||||||
Aramark Corp. | 804,767 | 3.2500 | 2/24/2021 | 804,436 | ||||||||||
Charger Opco BV | 70,993 | 3.5000 | 7/2/2022 | 71,289 | ||||||||||
Coty | 102,976 | 3.7500 | 10/7/2022 | 103,523 | ||||||||||
Coty | 205,952 | 3.7500 | 10/21/2022 | 206,500 | ||||||||||
Del Monte Foods Co. | 261,025 | 5.5000 | 2/18/2021 | 256,131 | ||||||||||
Dole Foods, Inc. | 560,696 | 4.5000 | 11/1/2018 | 561,282 | ||||||||||
Hostess | 321,000 | 4.5000 | 7/28/2022 | 322,002 | ||||||||||
Hostess Brands LLC | 235,000 | 8.5000 | 8/3/2022 | 234,927 | ||||||||||
Kronos, Inc. | 834,734 | 4.5000 | 10/30/2019 | 834,317 | ||||||||||
Kronos Incorporated | 60,892 | 9.7500 | 4/30/2020 | 61,767 | ||||||||||
Pinnacle Foods Finance LLC | 455,496 | 3.0000 | 4/29/2020 | 455,212 | ||||||||||
Prestige Brands, Inc. | 443,409 | 5.7500 | 9/3/2021 | 444,163 | ||||||||||
Reynolds Group | 445,369 | 4.5000 | 11/30/2018 | 446,760 | ||||||||||
Spectrum Brands, Inc. | 81,231 | 3.5000 | 6/23/2022 | 81,652 | ||||||||||
5,163,268 | ||||||||||||||
ENERGY - 2.0% | ||||||||||||||
Arch Coal, Inc. | 301,119 | 6.2500 | 5/16/2018 | 157,994 | ||||||||||
Chelsea Petroleum | 203,000 | 5.2500 | 8/17/2021 | 202,239 | ||||||||||
Chief Exploration and Development LLC | 172,000 | 7.5000 | 5/12/2021 | 138,804 | ||||||||||
Drillships Financing Holding, Inc. | 142,093 | 6.0000 | 3/31/2021 | 82,414 | ||||||||||
Drillships Financing Holding, Inc. | 110,600 | 5.5000 | 7/26/2021 | 72,218 | ||||||||||
Fieldwood Energy LLC | 97,080 | 3.8750 | 9/28/2018 | 85,976 | ||||||||||
Fieldwood Energy LLC | 215,850 | 8.3750 | 9/30/2020 | 80,944 | ||||||||||
FTS International, Inc. | 49,200 | 5.7500 | 4/16/2021 | 13,186 | ||||||||||
Jonah Energy, LLC | 243,000 | 7.5000 | 5/12/2021 | 191,363 | ||||||||||
MEG Energy Corp. | 277,836 | 3.7500 | 3/31/2020 | 262,065 | ||||||||||
Paragon Offshore Finance Co. | 174,699 | 3.7500 | 7/16/2021 | 65,513 |
See accompanying notes to financial statements.
28
SCHEDULE OF INVESTMENTS |
Dunham Floating Rate Bond Fund (Continued) |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
ENERGY - (Continued) 2.0% | ||||||||||||||
Seadrill Ltd. | $ | 494,603 | 4.0000 | % | 2/21/2021 | $ | 290,426 | |||||||
TGGT Holdings, LLC | 54,471 | 7.5000 | 11/15/2018 | 42,215 | ||||||||||
1,685,357 | ||||||||||||||
FINANCIALS - 6.0% | ||||||||||||||
Alixpartners LLP | 518,000 | 4.5000 | 7/23/2022 | 518,648 | ||||||||||
Asurion, LLC | 85,353 | 5.0000 | 5/24/2019 | 81,610 | ||||||||||
Asurion, LLC | 191,520 | 4.2500 | 8/4/2021 | 181,465 | ||||||||||
Capital Automotive LP | 115,287 | 4.0000 | 4/10/2019 | 115,705 | ||||||||||
Capital Automotive LP | 197,005 | 6.0000 | 4/30/2020 | 199,140 | ||||||||||
Clipper Acquisitions Corp. | 294,750 | 3.0000 | 2/6/2020 | 290,329 | ||||||||||
Delos Aircraft, Inc. | 381,000 | 3.5000 | 3/6/2021 | 381,516 | ||||||||||
DTZ | 598,500 | 4.2500 | 8/26/2022 | 593,452 | ||||||||||
National Financial Partners Corp. | 280,948 | 4.5000 | 7/1/2020 | 277,657 | ||||||||||
Realogy Group LLC | 777,292 | 3.7500 | 3/5/2020 | 778,166 | ||||||||||
Starwood Property Trust, Inc. | 478,972 | 3.5000 | 4/17/2020 | 474,183 | ||||||||||
Trans Union LLC | 896,891 | 3.5000 | 4/9/2021 | 886,429 | ||||||||||
Walter Investment Management Corp. | 373,471 | 4.7500 | 12/18/2020 | 341,726 | ||||||||||
5,120,026 | ||||||||||||||
HEALTHCARE - 15.8% | ||||||||||||||
21st Century Oncology, Inc. | 209,475 | 6.5000 | 4/15/2022 | 202,405 | ||||||||||
Air Medical Group Holdings, Inc. | 19,950 | 0.0000 | 4/15/2022 | 19,659 | ||||||||||
Akorn, Inc. | 321,002 | 4.5000 | 4/16/2021 | 318,996 | ||||||||||
Alere, Inc. | 185,535 | 4.2500 | 6/20/2022 | 185,936 | ||||||||||
Amag Pharmaceuticals | 137,000 | 4.7500 | 7/8/2020 | 134,945 | ||||||||||
American Renal Holdings, Inc. | 149,986 | 8.5000 | 2/20/2020 | 150,173 | ||||||||||
Amneal Pharmaceuticals LLC | 346,142 | 5.0000 | 11/1/2019 | 343,459 | ||||||||||
Amsurg Corp. | 101,713 | 3.7500 | 7/16/2021 | 101,166 | ||||||||||
Ardent Legacy Acquisitions | 195,000 | 6.5000 | 8/24/2021 | 195,244 | ||||||||||
Capsugel Holdings US, Inc. | 212,090 | 3.5000 | 8/1/2018 | 211,693 | ||||||||||
CHG Buyer Corp. | 484,090 | 4.2500 | 11/19/2019 | 482,679 | ||||||||||
Community Health Systems, Inc. | 219,770 | 3.4343 | 12/31/2018 | 219,038 | ||||||||||
Community Health Systems, Inc. | 283,927 | 4.2500 | 12/31/2019 | 283,240 | ||||||||||
Community Health Systems, Inc. | 522,419 | 3.7500 | 1/27/2021 | 521,659 | ||||||||||
Concentra Health | 231,420 | 4.0000 | 6/1/2022 | 231,032 | ||||||||||
Concordia | 150,000 | 4.0000 | 9/30/2022 | 144,626 | ||||||||||
Convatec Inc | 10,973 | 4.2500 | 6/15/2020 | 10,954 | ||||||||||
Davita Healthcare Partners, Inc. | 551,891 | 3.5000 | 6/24/2021 | 554,306 | ||||||||||
DJO Finance LLC | 159,600 | 4.2500 | 6/24/2020 | 158,722 | ||||||||||
Emdeon, Inc. | 128,670 | 3.7500 | 11/2/2018 | 127,673 | ||||||||||
Emseon, Inc. | 495,000 | 3.7500 | 11/2/2018 | 491,287 | ||||||||||
Endo Pharmaceuticals | 622,000 | 3.7500 | 9/26/2022 | 612,962 | ||||||||||
Envision Healthcare Corp. | 191,008 | 4.0000 | 5/25/2018 | 190,709 | ||||||||||
FHC Health Systems, Inc. | 248,750 | 4.5000 | 12/23/2021 | 245,019 | ||||||||||
Greatbatch | 101,000 | 5.2500 | 10/7/2022 | 101,426 | ||||||||||
Horizon Pharma Holdings USA, Inc. | 131,670 | 4.5000 | 4/29/2021 | 123,111 | ||||||||||
IMS Health, Inc. | 452,609 | 3.5000 | 3/17/2021 | 452,084 | ||||||||||
Inventiv Health, Inc. | 233,269 | 7.7500 | 5/15/2018 | 232,833 | ||||||||||
Kinetic Concepts, Inc. | 419,547 | 4.5000 | 5/4/2018 | 419,998 | ||||||||||
Mallinckrodt International Finance | 155,630 | 3.2500 | 3/19/2021 | 148,217 | ||||||||||
Mallinckrodt International Finance | 226,216 | 3.5000 | 3/19/2021 | 217,207 | ||||||||||
Medimpact Healthcare | 157,000 | 5.7500 | 9/30/2022 | 156,804 | ||||||||||
MPH Acquicition Holdings LLC | 259,676 | 3.7500 | 3/31/2021 | 256,729 | ||||||||||
National Mentor Holdings, Inc. | 268,158 | 4.2500 | 1/31/2021 | 264,136 |
See accompanying notes to financial statements.
29
SCHEDULE OF INVESTMENTS |
Dunham Floating Rate Bond Fund (Continued) |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
HEALTHCARE (Continued) - 15.8% | ||||||||||||||
National Veterinary Associates, Inc. | $ | 351,406 | 6.0000 | % | 8/13/2021 | $ | 351,845 | |||||||
National Veterinary Associates, Inc. | 149,333 | 8.0000 | 8/12/2022 | 149,520 | ||||||||||
National Veterinary Associates, Inc. | 106,000 | 4.5000 | 1/24/2023 | 105,249 | ||||||||||
National Surgical Hospitals, Inc. | 117,705 | 5.2500 | 8/1/2019 | 115,792 | ||||||||||
Ortho-Clinical Diagnostics, Inc. | 427,588 | 4.7500 | 6/30/2021 | 422,243 | ||||||||||
Par Pharmaceutical Co., Inc. | 221,445 | 4.0000 | 9/30/2019 | 218,637 | ||||||||||
PharMEDium Healthcare Corp. | 188,111 | 4.2500 | 1/28/2021 | 187,915 | ||||||||||
PharMEDium Healthcare Corp. | 29,000 | 7.7500 | 1/28/2022 | 29,175 | ||||||||||
PRA Holdings, Inc. | 367,438 | 4.5000 | 9/23/2020 | 368,127 | ||||||||||
Quintiles Transnational Corp. | 122,692 | 3.2500 | 6/8/2018 | 122,999 | ||||||||||
Regional Care Hospital, Inc. | 315,359 | 6.0000 | 4/23/2019 | 311,944 | ||||||||||
RPI Finance Trust | 298,496 | 3.5000 | 11/9/2020 | 298,160 | ||||||||||
Schumacher Group | 225,000 | 5.0000 | 9/1/2022 | 224,156 | ||||||||||
Sterigenics- Nordion | 120,000 | 4.2500 | 5/15/2022 | 119,100 | ||||||||||
Surgery Center Holdings, Inc. | 46,648 | 5.2500 | 11/3/2020 | 46,492 | ||||||||||
Surgery Center Holdings, Inc. | 59,361 | 8.5000 | 11/3/2021 | 58,916 | ||||||||||
Surgical Care Affiliates, Inc. | 71,640 | 4.2500 | 3/17/2022 | 71,685 | ||||||||||
US Renal Care, Inc. | 372,037 | 4.2500 | 7/3/2019 | 372,113 | ||||||||||
Valeant Pharmaceuticals International, Inc. | 300,000 | 3.7500 | 8/5/2020 | 279,708 | ||||||||||
Valeant Pharmaceuticals International, Inc. | 662,020 | 3.5000 | 2/13/2019 | 618,823 | ||||||||||
Valeant Pharmaceuticals International, Inc. | 597,000 | 4.0000 | 4/1/2022 | 556,891 | ||||||||||
13,539,617 | ||||||||||||||
INDUSTRIALS - 12.0% | ||||||||||||||
Air Canada | 202,437 | 5.5000 | 9/26/2019 | 202,944 | ||||||||||
AlliedBarton Security Services | 77,849 | 4.2500 | 2/12/2021 | 76,389 | ||||||||||
AlliedBarton Security Services | 38,479 | 8.0000 | 8/13/2021 | 36,555 | ||||||||||
American Airlines, Inc. | 149,490 | 4.2500 | 10/11/2021 | 149,365 | ||||||||||
American Airlines, Inc. | 436,545 | 3.7500 | 6/29/2020 | 433,409 | ||||||||||
Beacon Roofing Supply | 51,000 | 4.0000 | 7/29/2022 | 51,040 | ||||||||||
Brickman Group Holdings, Inc. | 323,253 | 4.0000 | 12/18/2020 | 316,626 | ||||||||||
Brock Holdings III, Inc. | 305,758 | 6.0000 | 3/16/2017 | 297,923 | ||||||||||
Builders FirstSource | 273,000 | 6.0000 | 7/29/2022 | 271,550 | ||||||||||
Ceridian Corp. | 461,093 | 4.5000 | 9/15/2020 | 427,664 | ||||||||||
CSC Holdings LLC | 175,848 | 7.0000 | 5/22/2018 | 175,580 | ||||||||||
Dyncorp International, Inc. | 233,563 | 6.2500 | 7/7/2016 | 228,046 | ||||||||||
Filtration Group Corp. | 20,950 | 8.2500 | 11/19/2021 | 20,891 | ||||||||||
Filtration Group, Inc. | 163,000 | 4.2500 | 11/20/2020 | 163,102 | ||||||||||
Harland Clarke Holdings | 65,981 | 6.0000 | 8/2/2019 | 65,767 | ||||||||||
HD Supply, Inc. | 374,000 | 3.7500 | 11/4/2021 | 373,439 | ||||||||||
Headwaters, Inc. | 254,363 | 4.5000 | 3/24/2022 | 255,634 | ||||||||||
Husky Injection Molding Systems Ltd. | 172,135 | 4.2500 | 6/30/2021 | 169,209 | ||||||||||
Landmark Aviation, Inc. | 8,217 | 4.7500 | 10/25/2019 | 8,212 | ||||||||||
LM US Member LLC | 207,036 | 4.7500 | 10/25/2019 | 206,906 | ||||||||||
LM US Member LLC | 65,000 | 8.2500 | 1/25/2021 | 64,864 | ||||||||||
McJunkin Red Man Corp. | 140,339 | 5.0000 | 11/8/2019 | 137,182 | ||||||||||
Navistar, Inc. | 62,000 | 6.5000 | 8/7/2020 | 58,590 | ||||||||||
NN, Inc. | 281,000 | 3.5000 | 9/30/2022 | 280,301 | ||||||||||
Nortek, Inc. | 609,506 | 3.5000 | 10/30/2020 | 604,934 | ||||||||||
Quanex Building Products | 195,000 | 6.2500 | 8/1/2022 | 193,050 | ||||||||||
Quikrete Holdings, Inc. | 384,342 | 4.0000 | 9/28/2020 | 384,294 | ||||||||||
Rexnord Corp. | 483,239 | 4.0000 | 8/21/2020 | 478,407 | ||||||||||
Science Applications | 329,175 | 3.7500 | 4/21/2022 | 329,947 | ||||||||||
Sedgwick CMS Holdings, Inc. | 765,557 | 3.7500 | 3/1/2021 | 753,802 | ||||||||||
Sedgwick CMS Holdings, Inc. | 195,000 | 6.7500 | 2/28/2022 | 183,423 |
See accompanying notes to financial statements.
30
SCHEDULE OF INVESTMENTS |
Dunham Floating Rate Bond Fund (Continued) |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
INDUSTRIALS (Continued) - 12.0% | ||||||||||||||
Spin Holdco, Inc. | $ | 284,695 | 4.2500 | % | 11/14/2019 | $ | 282,204 | |||||||
Transdigm, Inc. | 81,963 | 3.7500 | 6/4/2021 | 80,949 | ||||||||||
Transdigm, Inc. | 398,096 | 3.5000 | 5/13/2022 | 390,757 | ||||||||||
Transdigm, Inc. | 950,382 | 3.7500 | 2/28/2020 | 939,424 | ||||||||||
United Continental | 433,620 | 3.7500 | 9/15/2021 | 432,970 | ||||||||||
US Airways Group, Inc. | 504,700 | 3.5000 | 5/23/2019 | 503,282 | ||||||||||
Waste Industries, Inc. | 215,915 | 4.2500 | 2/27/2020 | 216,961 | ||||||||||
10,245,592 | ||||||||||||||
INFORMATION TECHNOLOGY - 9.7% | ||||||||||||||
Allfrelx Holdings III, Inc. | 284,200 | 4.2500 | 7/17/2020 | 280,767 | ||||||||||
Applied Systems, Inc. | 231,037 | 5.5000 | 1/25/2021 | 229,774 | ||||||||||
Applied Systems, Inc. | 193,944 | 7.5000 | 1/24/2022 | 188,004 | ||||||||||
Avago Technologies Cayman Ltd. | 315,934 | 3.7500 | 5/6/2021 | 316,307 | ||||||||||
Blue Coat Systems, Inc. | 264,000 | 4.0000 | 5/20/2022 | 262,515 | ||||||||||
CCC Information Services, Inc. | 387,271 | 4.0000 | 12/20/2019 | 383,883 | ||||||||||
CDW Corp. | 1,157,613 | 3.2500 | 4/29/2020 | 1,155,876 | ||||||||||
Deltek, Inc. | 129,495 | 10.0000 | 6/27/2022 | 129,549 | ||||||||||
Deltek, Inc. | 94,000 | 4.5000 | 6/26/2023 | 94,000 | ||||||||||
Ellucian, Inc. | 320,000 | 8.5000 | 10/1/2022 | 320,000 | ||||||||||
Epicor Software Corp. | 164,588 | 4.7500 | 6/1/2022 | 163,950 | ||||||||||
Excelitas Technologies Corp. | 156,800 | 6.0000 | 11/2/2020 | 151,638 | ||||||||||
First Data Corp. | 38,000 | 4.0000 | 7/1/2022 | 37,976 | ||||||||||
First Data Corp. | 1,498,657 | 3.6818 | 9/24/2018 | 1,489,432 | ||||||||||
First Data Corp. | 53,399 | 3.6818 | 3/23/2018 | 53,090 | ||||||||||
Freescale Semiconductor, Inc. | 284,200 | 5.0000 | 1/15/2021 | 285,532 | ||||||||||
Infinity Acquisition LLC | 307,524 | 4.2500 | 8/6/2021 | 301,628 | ||||||||||
Infor, Inc. | 379,599 | 3.7500 | 6/3/2020 | 370,029 | ||||||||||
Infor, Inc. | 308,274 | 3.7500 | 6/3/2020 | 300,664 | ||||||||||
Interactive Data Corp. | 347,685 | 4.7500 | 5/3/2021 | 348,156 | ||||||||||
Mitchell International, Inc. | 371,271 | 4.5000 | 10/13/2020 | 371,735 | ||||||||||
Mitchell International, Inc. | 221,000 | 8.5000 | 10/11/2021 | 220,632 | ||||||||||
Presidio, Inc. | 203,577 | 6.2500 | 2/2/2022 | 202,655 | ||||||||||
Riverbed Technology, Inc. | 214,920 | 6.0000 | 4/24/2022 | 215,424 | ||||||||||
SS&S Technologies, Inc. | 288,915 | 4.0000 | 7/18/2022 | 290,202 | ||||||||||
SS&S Technologies, Inc. | 45,704 | 4.0000 | 7/8/2022 | 45,908 | ||||||||||
SS&S Technologies, Inc. | 25,872 | 4.0000 | 7/8/2022 | 25,856 | ||||||||||
SS&S Technologies, Inc. | 40,128 | 4.0000 | 7/8/2020 | 40,103 | ||||||||||
8,275,285 | ||||||||||||||
MATERIALS - 6.7% | ||||||||||||||
American Builders & Contractor Supply Co., Inc. | 697,800 | 3.5000 | 4/16/2020 | 694,639 | ||||||||||
Anchor Glass Container Corp. | 526,154 | 4.2500 | 7/1/2022 | 526,809 | ||||||||||
Ardah Holdings USA, Inc. | 46,295 | 4.0000 | 12/17/2019 | 46,317 | ||||||||||
Arizona Chem US, Inc. | 135,253 | 4.5000 | 6/11/2021 | 135,282 | ||||||||||
Berlin Packaging LLC | 292,422 | 4.5000 | 10/1/2021 | 292,467 | ||||||||||
Berry Plastics Group, Inc. | 164,000 | 4.0000 | 10/14/2022 | 164,548 | ||||||||||
Berry Plastics Group, Inc. | 417,785 | 3.5000 | 2/10/2020 | 418,016 | ||||||||||
Berry Plastics Group, Inc. | 240,075 | 3.7500 | 1/6/2021 | 238,374 | ||||||||||
CPG International | 279,287 | 4.7500 | 9/30/2020 | 276,844 | ||||||||||
FMG Resources Ltd. | 402,985 | 3.7500 | 6/28/2019 | 342,322 | ||||||||||
Huntsman International LLC | 287,825 | 3.7500 | 10/1/2021 | 285,786 | ||||||||||
Ineos US Finance LLC | 172,135 | 3.7500 | 3/31/2022 | 170,155 | ||||||||||
Ineos US Finance LLC | 628,382 | 4.2500 | 12/15/2020 | 614,244 | ||||||||||
Owens-Illinois | 89,775 | 3.5000 | 9/30/2022 | 90,205 | ||||||||||
Royal Adhesives & Sealants | 237,405 | 4.5000 | 6/20/2022 | 235,884 |
See accompanying notes to financial statements.
31
SCHEDULE OF INVESTMENTS |
Dunham Floating Rate Bond Fund (Continued) |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
MATERIALS (Continued) - 6.7% | ||||||||||||||
Solenis International LP | $ | 154,440 | 4.2500 | % | 7/31/2021 | $ | 152,297 | |||||||
Summit Materials | 392,018 | 4.2500 | 6/30/2022 | 391,282 | ||||||||||
Univar, Inc. | 392,000 | 5.0000 | 9/8/2022 | 387,416 | ||||||||||
W.R. Grace & Co. | 188,705 | 3.0000 | 2/3/2021 | 186,394 | ||||||||||
W.R. Grace & Co. | 67,908 | 2.7500 | 2/3/2021 | 67,076 | ||||||||||
5,716,357 | ||||||||||||||
TELECOMMUNICATION SERVICES - 3.8% | ||||||||||||||
Crown Castle Operating Co. | 411,723 | 3.0000 | 1/31/2021 | 412,258 | ||||||||||
Global Tel Link Corp. | 303,701 | 5.0000 | 5/26/2020 | 242,961 | ||||||||||
Level 3 Financing, Inc. | 355,000 | 4.0000 | 1/15/2020 | 356,242 | ||||||||||
Level 3 Financing, Inc. | 986,000 | 3.5000 | 5/31/2022 | 985,384 | ||||||||||
SBA Senior Finance II LLC | 160,597 | 3.2500 | 6/10/2022 | 159,152 | ||||||||||
SBA Senior Finance II LLC | 211,325 | 3.2500 | 3/24/2021 | 210,136 | ||||||||||
Securus Technologies, Inc. | 85,000 | 4.7500 | 4/30/2020 | 65,025 | ||||||||||
Securus Technologies, Inc. | 142,100 | 4.7500 | 4/30/2020 | 108,944 | ||||||||||
West Corp. | 446,073 | 3.2500 | 6/29/2018 | 442,698 | ||||||||||
XO Communications, Inc. - Class A | 261,025 | 4.2500 | 3/19/2021 | 260,046 | ||||||||||
3,242,846 | ||||||||||||||
UTILITIES - 3.6% | ||||||||||||||
Atlantic Power Ltd. | 57,386 | 4.7500 | 2/24/2021 | 57,458 | ||||||||||
Calpine Construction Finance Co., LP | 231,869 | 4.0000 | 10/9/2019 | 232,520 | ||||||||||
Calpine Corp. | 260,162 | 4.0000 | 1/31/2022 | 254,634 | ||||||||||
Calpine Corp. | 621,442 | 3.5000 | 5/27/2022 | 615,672 | ||||||||||
Calpine Corp. | 473,128 | 3.0000 | 5/4/2020 | 462,246 | ||||||||||
Granite Acquisition, Inc. | 423,048 | 5.0000 | 12/17/2021 | 414,192 | ||||||||||
Granite Acquisition, Inc. | 18,755 | 5.0000 | 12/17/2021 | 18,362 | ||||||||||
NRG Energy, Inc. | 827,420 | 2.7500 | 7/2/2018 | 806,561 | ||||||||||
Texas Competitive Electric Holdings | 636,627 | 4.6682 | 10/10/2017 | 217,376 | ||||||||||
3,079,021 | ||||||||||||||
TOTAL BANK LOANS (Cost - $82,982,673) | ||||||||||||||
80,747,883 | ||||||||||||||
BONDS & NOTES - 5.2% | ||||||||||||||
AIRLINES - 0.1% | ||||||||||||||
Air Canada - 144A | 75,000 | 6.7500 | 10/1/2019 | 79,687 | ||||||||||
American Airlines Group, Inc. - 144A | 45,000 | 4.6250 | 3/1/2020 | 44,719 | ||||||||||
124,406 | ||||||||||||||
CHEMICALS - 0.1% | ||||||||||||||
Hexion US Finance Corp. ^ | 150,000 | 6.6250 | 4/15/2020 | 127,875 | ||||||||||
COMMERCIAL SERVICES - 0.1% | ||||||||||||||
Interactive Data Corp. - 144A | 125,000 | 5.8750 | 4/15/2019 | 126,719 | ||||||||||
DIVERSIFIED FINANCIAL SERVICES - 0.6% | ||||||||||||||
Aircastle Ltd. | 75,000 | 6.2500 | 12/1/2019 | 82,122 | ||||||||||
Aircastle Ltd. | 25,000 | 4.6250 | 12/15/2018 | 26,000 | ||||||||||
Ally Financial, Inc. | 80,000 | 3.2500 | 2/13/2018 | 80,500 | ||||||||||
Ally Financial, Inc. | 50,000 | 4.1250 | 2/13/2022 | 50,718 | ||||||||||
Icahn Enterprises LP | 10,000 | 4.8750 | 3/15/2019 | 10,252 | ||||||||||
International Lease Finance Corp. | 120,000 | 3.8750 | 4/15/2018 | 122,100 | ||||||||||
Springleaf Finance Corp. ^ | 170,000 | 5.2500 | 12/15/2019 | 169,574 | ||||||||||
541,266 | ||||||||||||||
ELECTRIC - 0.1% | ||||||||||||||
RJS Power Holdings LLC - 144A | 100,000 | 5.1250 | 7/15/2019 | 91,980 |
See accompanying notes to financial statements.
32
SCHEDULE OF INVESTMENTS |
Dunham Floating Rate Bond Fund (Continued) |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
ENTERTAINMENT - 0.2% | ||||||||||||||
GLP Capital LP | $ | 50,000 | 4.8750 | % | 11/1/2020 | $ | 51,750 | |||||||
Isle of Capri Casinos, Inc. | 75,000 | 5.8750 | 3/15/2021 | 79,312 | ||||||||||
131,062 | ||||||||||||||
FOOD - 0.1% | ||||||||||||||
Dole Foods, Inc. - 144A | 70,000 | 7.2500 | 5/1/2019 | 70,420 | ||||||||||
HEALTHCARE-SERVICES - 0.6% | ||||||||||||||
Community Health Systems, Inc. | 75,000 | 5.1250 | 8/15/2018 | 76,781 | ||||||||||
HCA, Inc. | 200,000 | 3.7500 | 3/15/2019 | 203,997 | ||||||||||
Tenet Healthcare Corp. | 80,000 | 3.8372 | 6/15/2020 | 79,800 | ||||||||||
Tenet Healthcare Corp. ^ | 75,000 | 6.0000 | 10/1/2020 | 81,375 | ||||||||||
Tenet Healthcare Corp. - 144A ^ | 25,000 | 5.0000 | 3/1/2019 | 24,562 | ||||||||||
466,515 | ||||||||||||||
HOLDING COMPANIES - DIVERSIFIED - 0.2% | ||||||||||||||
Argos Merger Sub, Inc. - 144A ^ | 140,000 | 7.1250 | 3/15/2023 | 147,700 | ||||||||||
HOME BUILDERS - 0.1% | ||||||||||||||
Weyerhaeuser Real Estate | 70,000 | 4.3750 | 6/15/2019 | 69,913 | ||||||||||
HOME EQUITY ABS - 0.1% | ||||||||||||||
Residential Funding Mortgage | 125,083 | 6.1100 | 6/25/2037 | 127,073 | ||||||||||
HOUSEHOLD PRODUCTS - 0.1% | ||||||||||||||
Spectrum Brands, Inc. | 75,000 | 6.3750 | 11/15/2020 | 80,438 | ||||||||||
LODGING - 0.0% | ||||||||||||||
Boyd Gaming Corp. | 40,000 | 6.8750 | 5/15/2023 | 42,600 | ||||||||||
MEDIA - 0.8% | ||||||||||||||
CCO SAFARI II LLC - 144A | 300,000 | 3.5790 | 7/23/2020 | 301,381 | ||||||||||
Cequel Capital Corp. - 144A | 50,000 | 6.3750 | 9/15/2020 | 50,250 | ||||||||||
Clear Channel Communications | 150,000 | 9.0000 | 12/15/2019 | 127,502 | ||||||||||
RCN Telecom Services LLC - 144A | 110,000 | 8.5000 | 8/15/2020 | 114,946 | ||||||||||
Univision Communications, Inc. - 144A | 60,000 | 5.1250 | 5/15/2023 | 59,700 | ||||||||||
653,779 | ||||||||||||||
MINING - 0.1% | ||||||||||||||
Vendanta Resources - 144A | 100,000 | 9.5000 | 7/18/2018 | 94,250 | ||||||||||
OIL & GAS - 0.1% | ||||||||||||||
Halcon Resources Corp. | 50,000 | 8.6250 | 2/1/2020 | 43,312 | ||||||||||
OIL & GAS SERVICES - 0.1% | ||||||||||||||
FTS International | 120,000 | 7.8372 | 6/15/2020 | 83,479 | ||||||||||
FTS International - 144A | 50,000 | 6.2500 | 5/1/2022 | 11,750 | ||||||||||
PHI, Inc. | 25,000 | 5.2500 | 3/15/2019 | 22,250 | ||||||||||
117,479 | ||||||||||||||
PACKAGING & CONTAINERS - 0.5% | ||||||||||||||
Ardagh Holdings USA, Inc. - 144A | 200,000 | 6.2500 | 1/31/2019 | 203,250 | ||||||||||
Beverage Packaging Holdings Luxembourg II SA - 144A ^ | 130,000 | 6.0000 | 6/15/2017 | 131,138 | ||||||||||
Reynolds Group Issuer, Inc. ^ | 50,000 | 5.7500 | 10/15/2020 | 52,125 | ||||||||||
386,513 | ||||||||||||||
PHARMACEUTICALS - 0.2% | ||||||||||||||
Capsugel SA - 144A | 25,000 | 7.0000 | 5/15/2019 | 25,234 |
See accompanying notes to financial statements.
33
SCHEDULE OF INVESTMENTS |
Dunham Floating Rate Bond Fund (Continued) |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
PHARMACEUTICALS (Continued) - 0.2% | ||||||||||||||
Quintiles Transnational Corp. - 144A | $ | 40,000 | 4.8750 | % | 5/15/2023 | $ | 41,325 | |||||||
VRX Escrow Corp. - 144A ^ | 70,000 | 5.3750 | 3/15/2020 | 61,250 | ||||||||||
127,809 | ||||||||||||||
REITS - 0.3% | ||||||||||||||
iStar Financial, Inc. | 120,000 | 4.8750 | 7/1/2018 | 118,650 | ||||||||||
iStar Financial, Inc. | 60,000 | 5.0000 | 7/1/2019 | 58,950 | ||||||||||
iStar Financial, Inc. | 100,000 | 4.0000 | 11/1/2017 | 98,000 | ||||||||||
275,600 | ||||||||||||||
SOFTWARE - 0.2% | ||||||||||||||
First Data Corp. | 127,000 | 11.7500 | 8/15/2021 | 145,094 | ||||||||||
Fidelity National Information | 40,000 | 2.8500 | 10/15/2018 | 40,452 | ||||||||||
First Data Corporation - 144A | 20,000 | 7.0000 | 12/1/2023 | 20,400 | ||||||||||
205,946 | ||||||||||||||
TELECOMMUNICATIONS - 0.5% | ||||||||||||||
Avaya, Inc. - 144A ^ | 115,000 | 7.0000 | 4/1/2019 | 94,011 | ||||||||||
Frontier Communications Corp. | 155,000 | 6.2500 | 9/15/2021 | 139,190 | ||||||||||
Frontier Communications Corp. - 144A | 25,000 | 8.8750 | 9/15/2020 | 26,015 | ||||||||||
Intelsat Jackson Holdings SA | 85,000 | 6.6250 | 12/15/2022 | 67,574 | ||||||||||
Level 3 Financing, Inc. | 75,000 | 7.0000 | 6/1/2020 | 79,687 | ||||||||||
406,477 | ||||||||||||||
TOTAL BONDS & NOTES (Cost - $4,617,932) | 4,459,132 | |||||||||||||
Shares | ||||||||||||||
SHORT-TERM INVESTMENT - 1.1% | ||||||||||||||
MONEY MARKET FUND - 1.1% | ||||||||||||||
Fidelity Institutional Money Market Funds - Government Portfolio | 944,079 | 0.0100 | + | 944,079 | ||||||||||
TOTAL SHORT-TERM INVESTMENT - (Cost - $944,079) | ||||||||||||||
COLLATERAL FOR SECURITIES LOANED - 0.8% | ||||||||||||||
Mount Vernon Prime Portfolio 0.25% + (Cost - $727,440) | 727,440 | 727,440 | ||||||||||||
TOTAL INVESTMENTS - 101.6% (Cost - $89,272,124) | $ | 86,878,534 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.6)% | (1,391,581 | ) | ||||||||||||
NET ASSETS - 100.0% | $ | 85,486,953 |
ABS - Asset Back Security.
MBS - Mortgage Back Security.
REITS - Real Estate Investment Trusts.
^ | All or a portion of these securities are on loan. Total loaned securies had a value of $705,543 at October 31, 2015. |
+ | Variable rate security. Interest rate is as of October 31, 2015. |
* | Defaulted Security |
144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers.
Portfolio Composition * - (Unaudited) | ||||||||||
Bank Loans | 92.93 | % | Basic Materials | 0.26 | % | |||||
Communications | 1.21 | % | Technology | 0.24 | % | |||||
Consumer, Non-cyclical | 1.00 | % | Energy | 0.19 | % | |||||
Financial | 0.94 | % | Diversified | 0.17 | % | |||||
Collateral Securities | 0.84 | % | Asset Backed Securities | 0.15 | % | |||||
Industrial | 0.45 | % | Utilities | 0.11 | % | |||||
Consumer, Cyclical | 0.42 | % | Short-Term Investment | 1.09 | % | |||||
Total | 100.00 | % |
* | Based on total value of investments as of October 31, 2015. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
34
Dunham High-Yield Bond Fund |
Message from the Sub-Adviser (PENN Capital Management Company, Inc.) |
For a second fiscal year in a row, 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, for the fiscal year ended October 31, 2015. Although high-yield bonds outperformed Treasury bonds, as measured by the BofA ML US Treasury Master Index, last fiscal year, this time around they did not fare as well, underperforming for the fiscal year. Interest rates on 10-year Treasury bonds generally decreased at the beginning of the fiscal year, hitting a low on January 30, 2015. They subsequently reversed course and went on a general up-trend, hitting a high for the fiscal year on June 10, 2015, before trending down again, to finish the fiscal year lower than they began. During this fiscal year, Treasury bonds rose 2.59 percent, investment-grade corporate bonds gained 0.96 percent, while high-yield bonds lost 2.01 percent.
Interest rates on 10-year Treasury bonds expanded their range during the fiscal year, fluctuating by 84 basis points. Rates went from a low of 1.64 percent on January 30, 2015 to a high of 2.48 percent on June 10, 2015, before settling in and ending the fiscal year at 2.14 percent. The Fund’s single-B focus and shorter duration bias remained consistent and detracted from performance over the fiscal year ended October 31, 2015, as double-B rated bonds and longer duration credit generally outperformed. During the fiscal year, bonds rated single-B were down 2.8 percent, bonds rated double-B increased 1.2 percent, while those rated triple-C and below performed the worst, losing 10.3 percent. Currently, the Fund has over 60 percent invested in single-B rated credit and nearly 40 percent in double-B rated debt. As of October 31, 2015, 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 approximately 4.0 years versus 4.3 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 heavily underweight the metals and mining sector relative to the benchmark, which, in addition to security selection, benefitted the Fund over the fiscal year. One of the contributors from this sector was Alcoa, Inc. (013817AW1) (holdings percentage*: 0.55 percent), a producer of primary aluminum, fabricated aluminum, and is a miner of bauxite and refiner of alumina. The bond gained 1.1 percent in the Fund during the fiscal year ended October 31, 2015.
The telecommunications sector held the highest overweight relative to the benchmark throughout the fiscal year. Combined with sub-par security selection, the sector overweight detracted from the Fund over the fiscal year. One of the detractors from this sector was Windstream Services, LLC (97381WAN4) (holdings percentage*: 0.33 percent). The company offers telecommunications services, including local telephone, high-speed internet, long distance, network access, and video services to residential and business customers in rural communities throughout the United States. The bond lost 8.9 percent over the fiscal year ended October 31, 2015.
The gaming sector was a consistent contributor to the Fund throughout the fiscal year, while the media & broadcasting and healthcare sectors had good and bad periods over the course of the fiscal year. Overall, the media & broadcasting sector was a contributor to the Fund’s performance, while the healthcare sector was a detractor.
Going forward, the Sub-Adviser expects moderate gross domestic product growth of between 2 to 3 percent; U.S. economic momentum to continue due to gradual improvements in consumer confidence and the unemployment rate; and interest rates should remain low, albeit increasing at some point, most likely in early 2016. The Sub-Adviser expects strong high-yield, ex-energy, credit fundamentals and interest coverage ratios will help keep default rates low, despite modestly rising leverage, and believes spreads have room to compress and returns have upside, the degree to which will depend on Treasuries and oil prices. The Fund plans to focus on the middle tier, single-B quality with a tactical allocation to bank loans, convertibles, and lower quality. Any pull-back in the high-yield market due to interest rate volatility should be considered a buying opportunity.
* | Holdings percentage(s) as of 10/31/2015. |
Growth of $10,000 Investment - (Unaudited)
Total Returns as of October 31, 2015 | ||||||||||
Annualized | Annualized | Annualized | Annualized Since | |||||||
One Year | Three Years | Five Years | Ten Years | Inception(7/1/05) | ||||||
Class N | (1.63)% | 2.68% | 4.56% | 5.34% | 5.13% | |||||
Class C | (2.47)% | 1.89% | 3.78% | 3.78% | 4.34% | |||||
Class A with load of 4.50% | (6.28)% | 0.85% | 3.35% | N/A | 4.54%* | |||||
Class A without load | (1.88)% | 2.40% | 4.30% | N/A | 4.54%* | |||||
BofA ML BB-B U.S. Non-Distressed HY Index | 0.46% | 4.70% | 6.35% | 7.25% | 6.35% | |||||
Morningstar High-Yield Bond Category | (2.24)% | 3.43% | 5.17% | 5.79% | 5.63% |
* | Class A commenced operations on January 3, 2007. |
BofA ML BB-B U.S. Non-Distressed HY Index is an unmanaged portfolio constructed to mirror the public high- yield corporate debt market and is a subset of the Merrill Lynch High Yield Master II Index. Investors cannot invest directly in an index or benchmark.
The Morningstar High- Yield Bond Category is generally representative of mutual funds that primarily invest in U.S. high-income debt securities where at least 65% or more of bond assets are not rated or are rated by a major agency such as Standard & Poor’s or Moody’s at the level of BB (considered speculative for taxable bonds) and below.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.09% for Class N, 1.84% for Class C and 1.34% 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.
35
SCHEDULE OF INVESTMENTS |
Dunham High-Yield Bond Fund |
October 31, 2015 |
Dividend | ||||||||||||||
Security | Shares | Rate | Value | |||||||||||
PREFERRED STOCK - 0.2% | ||||||||||||||
DIVERSIFIED FINANCIAL SERVICES - 0.2% | ||||||||||||||
Ally Financial, Inc. - 144A | 164 | 7.0000 | % | $ | 167,962 | |||||||||
TOTAL PREFERRED STOCK (Cost - $163,590) | ||||||||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | ||||||||||||
BONDS & NOTES - 95.3% | ||||||||||||||
AEROSPACE/DEFENSE - 0.5% | ||||||||||||||
Triumph Group, Inc. | $ | 520,000 | 4.8750 | % | 4/1/2021 | 466,700 | ||||||||
AIRLINES - 1.9% | ||||||||||||||
Air Canada - 144A | 360,000 | 7.7500 | 4/15/2021 | 376,650 | ||||||||||
Air Canada - 144A | 325,000 | 8.7500 | 4/1/2020 | 355,780 | ||||||||||
American Airlines Group, Inc. - 144A | 535,000 | 4.6250 | 3/1/2020 | 531,656 | ||||||||||
UAL | 602,385 | 6.6360 | 7/2/2022 | 639,170 | ||||||||||
1,903,256 | ||||||||||||||
AUTO MANUFACTURERS - 0.7% | ||||||||||||||
Fiat Chrysler Automobile - 144A ^ | 665,000 | 5.2500 | 4/15/2023 | 665,000 | ||||||||||
AUTO PARTS & EQUIPMENT - 0.8% | ||||||||||||||
Omega US Sub LLC | 350,000 | 8.7500 | 7/15/2023 | 331,185 | ||||||||||
Pittsburgh Glass Works LLC - 144A | 400,000 | 8.0000 | 11/15/2018 | 418,600 | ||||||||||
749,785 | ||||||||||||||
BANKS - 1.0% | ||||||||||||||
CIT Group, Inc. ^ | 295,000 | 5.3750 | 5/15/2020 | 318,968 | ||||||||||
Synovus Financial Corp. | 626,000 | 7.8750 | 2/15/2019 | 705,031 | ||||||||||
1,023,999 | ||||||||||||||
BEVERAGES - 0.8% | ||||||||||||||
Cott Beverages USA, Inc. - 144A | 445,000 | 5.3750 | 7/1/2022 | 443,895 | ||||||||||
Cott Beverages USA, Inc. - 144A | 300,000 | 6.7500 | 1/1/2020 | 318,748 | ||||||||||
762,643 | ||||||||||||||
BUILDING MATERIALS - 1.2% | ||||||||||||||
Builders FirstSource, Inc. - 144A | 390,000 | 7.6250 | 6/1/2021 | 417,287 | ||||||||||
Griffon Corp. | 525,000 | 5.2500 | 3/1/2022 | 517,780 | ||||||||||
Masonite International Corp. - 144A ^ | 265,000 | 5.6250 | 3/15/2023 | 278,250 | ||||||||||
1,213,317 | ||||||||||||||
CHEMICALS - 1.3% | ||||||||||||||
Blue Cube Spinco, Inc. | 350,000 | 9.7500 | 10/15/2023 | 378,873 | ||||||||||
Blue Cube Spinco, Inc. ^ | 180,000 | 10.0000 | 10/15/2025 | 196,200 | ||||||||||
TPC Group, Inc. - 144A | 835,000 | 8.7500 | 12/15/2020 | 686,870 | ||||||||||
1,261,943 | ||||||||||||||
COMMERCIAL SERVICES - 5.5% | ||||||||||||||
ADT Corp. | 480,000 | 4.8750 | 7/15/2042 | 369,600 | ||||||||||
Ahern Rentals, Inc. - 144A | 420,000 | 7.3750 | 5/15/2023 | 392,700 | ||||||||||
Avis Budget Car Rental LLC - 144A | 495,000 | 5.1250 | 6/1/2022 | 507,121 | ||||||||||
Cardtronics, Inc. - 144A | 570,000 | 5.1250 | 8/1/2022 | 555,750 | ||||||||||
Cenveo Corp. - 144A | 725,000 | 6.0000 | 8/1/2019 | 639,811 | ||||||||||
Jaguar Holding Co. | 505,000 | 6.3750 | 8/1/2023 | 506,893 | ||||||||||
Live Nation Entertainment, Inc. - 144A | 555,000 | 5.3750 | 6/15/2022 | 568,874 | ||||||||||
Live Nation Entertainment, Inc. - 144A | 325,000 | 7.0000 | 9/1/2020 | 346,118 | ||||||||||
United Rentals North America, Inc. | 275,000 | 5.5000 | 7/15/2025 | 275,343 | ||||||||||
United Rentals North America, Inc. ^ | 925,000 | 6.1250 | 6/15/2023 | 969,850 | ||||||||||
WEX, Inc. - 144A | 290,000 | 4.7500 | 2/1/2023 | 272,600 | ||||||||||
5,404,660 |
See accompanying notes to financial statements.
36
SCHEDULE OF INVESTMENTS |
Dunham High-Yield Bond Fund (Continued) |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
COMPUTERS - 1.0% | ||||||||||||||
Dell, Inc. | $ | 310,000 | 5.4000 | % | 9/10/2040 | $ | 229,400 | |||||||
SunGard Data Systems, Inc. | 715,000 | 6.6250 | 11/1/2019 | 742,705 | ||||||||||
972,105 | ||||||||||||||
COSMETICS/PERSONAL CARE - 0.8% | ||||||||||||||
Revlon Consumer Products Corp. | 760,000 | 5.7500 | 2/15/2021 | 773,300 | ||||||||||
DISTRIBUTION/WHOLESALE - 0.6% | ||||||||||||||
HD Supply, Inc. - 144A ^ | 530,000 | 5.2500 | 11/15/2021 | 558,488 | ||||||||||
DIVERSIFIED FINANCIAL SERVICES - 4.3% | ||||||||||||||
Aircastle Ltd. | 480,000 | 6.2500 | 12/1/2019 | 525,600 | ||||||||||
Ally Financial, Inc. | 790,000 | 8.0000 | 11/1/2031 | 960,816 | ||||||||||
Cogent Communications Finance, Inc. - 144A | 460,000 | 5.6250 | 4/15/2021 | 437,000 | ||||||||||
Credit Acceptance Corp. | 250,000 | 6.1250 | 2/15/2021 | 249,685 | ||||||||||
E*TRADE Financial Corp. | 270,000 | 4.6250 | 9/15/2023 | 279,450 | ||||||||||
Fly Leasing Ltd. | 410,000 | 6.3750 | 10/15/2021 | 423,323 | ||||||||||
Fly Leasing Ltd. | 420,000 | 6.7500 | 12/15/2020 | 442,041 | ||||||||||
International Lease Finance Corp. | 760,000 | 8.6250 | 1/15/2022 | 937,605 | ||||||||||
4,255,520 | ||||||||||||||
ELECTRIC - 3.3% | ||||||||||||||
Calpine Corp. | 350,000 | 5.3750 | 1/15/2023 | 336,436 | ||||||||||
Calpine Corp. | 350,000 | 5.7500 | 1/15/2025 | 332,935 | ||||||||||
Dynegy, Inc. ^ | 705,000 | 5.8750 | 6/1/2023 | 662,700 | ||||||||||
GenOn Energy, Inc. | 525,000 | 9.5000 | 10/15/2018 | 464,591 | ||||||||||
NRG Energy, Inc. ^ | 1,200,000 | 6.2500 | 5/15/2021 | 1,109,990 | ||||||||||
NRG Energy, Inc. ^ | 375,000 | 7.8750 | 7/15/2022 | 375,000 | ||||||||||
3,281,652 | ||||||||||||||
ELECTRICAL COMPONENTS & EQUIPMENT - 1.8% | ||||||||||||||
Anixter, Inc. | 425,000 | 5.1250 | 10/1/2021 | 436,686 | ||||||||||
Anixter, Inc. | 255,000 | 5.5000 | 3/1/2023 | 263,923 | ||||||||||
Belden, Inc. - 144A | 625,000 | 5.5000 | 9/1/2022 | 621,873 | ||||||||||
WESCO Distribution, Inc. | 435,000 | 5.3750 | 12/15/2021 | 423,035 | ||||||||||
1,745,517 | ||||||||||||||
ENTERTAINMENT - 4.1% | ||||||||||||||
Eldorado Resorts, Inc. | 335,000 | 7.000 | 8/1/2023 | 340,861 | ||||||||||
Isle of Capri Casinos, Inc. | 355,000 | 5.875 | 3/15/2021 | 375,410 | ||||||||||
Palace Entertainment Holdings LLC - 144A | 1,140,000 | 8.875 | 4/15/2017 | 1,107,897 | ||||||||||
Penn National Gaming, Inc. | 670,000 | 5.875 | 11/1/2021 | 686,750 | ||||||||||
Regal Entertainment Group | 550,000 | 5.750 | 6/15/2023 | 552,750 | ||||||||||
Scientific Games International, Inc. - 144A | 975,000 | 7.000 | 1/1/2022 | 984,750 | ||||||||||
4,048,418 | ||||||||||||||
FOOD - 0.8% | ||||||||||||||
ESAL GMBH - 144A | 295,000 | 6.2500 | 2/5/2023 | 288,361 | ||||||||||
JBS USA LLC - 144A | 475,000 | 5.8750 | 7/15/2024 | 466,685 | ||||||||||
755,046 | ||||||||||||||
HEALTHCARE-PRODUCTS - 0.5% | ||||||||||||||
Kinetics Concepts, Inc. | 460,000 | 10.500 | 11/1/2018 | 486,785 |
See accompanying notes to financial statements.
37
SCHEDULE OF INVESTMENTS |
Dunham High-Yield Bond Fund (Continued) |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
HEALTHCARE-SERVICES - 4.8% | ||||||||||||||
Amsurg Corp. | $ | 365,000 | 5.6250 | % | 7/15/2022 | $ | 359,980 | |||||||
Community Health Systems, Inc. | 1,265,000 | 6.8750 | 2/1/2022 | 1,280,795 | ||||||||||
Envision Healthcare Corp. - 144A | 475,000 | 5.1250 | 7/1/2022 | 463,123 | ||||||||||
HCA, Inc. | 260,000 | 7.5000 | 2/15/2022 | 267,800 | ||||||||||
HCA, Inc. | 150,000 | 5.3750 | 2/1/2025 | 173,242 | ||||||||||
Select Medical Corp. | 865,000 | 6.3750 | 6/1/2021 | 769,860 | ||||||||||
Tenet Healthcare Corp. | 340,000 | 6.0000 | 10/1/2020 | 434,000 | ||||||||||
Tenet Healthcare Corp. ^ | 400,000 | 8.1250 | 4/1/2022 | 674,661 | ||||||||||
Tenet Healthcare Corp. - 144A ^ | 635,000 | 5.0000 | 3/1/2019 | 334,050 | ||||||||||
4,757,511 | ||||||||||||||
HOLDING COMPANIES-DIVERSIFIED - 1.0% | ||||||||||||||
Argos Merger Sub, Inc. - 144A ^ | 400,000 | 7.1250 | 3/15/2023 | 422,000 | ||||||||||
James Hardie International Finance Ltd. - 144A | 500,000 | 5.8750 | 2/15/2023 | 520,000 | ||||||||||
942,000 | ||||||||||||||
HOME BUILDERS - 1.4% | ||||||||||||||
Taylor Morrison Communities, Inc. - 144A ^ | 690,000 | 5.2500 | 4/15/2021 | 698,623 | ||||||||||
William Lyon Homes, Inc. | 655,000 | 8.5000 | 11/15/2020 | 707,400 | ||||||||||
1,406,023 | ||||||||||||||
HOME FURNISHINGS - 1.0% | ||||||||||||||
Tempur Sealy International, Inc. | 390,000 | 5.6250 | 10/15/2023 | 410,473 | ||||||||||
Tempur Sealy International, Inc. | 530,000 | 6.8750 | 12/15/2020 | 569,740 | ||||||||||
980,213 | ||||||||||||||
INTERNET - 0.2% | ||||||||||||||
Netflix, Inc. | 235,000 | 5.3750 | 2/1/2021 | 249,384 | ||||||||||
LODGING - 3.2% | ||||||||||||||
Boyd Gaming Corp. | 405,000 | 6.8750 | 5/15/2023 | 431,323 | ||||||||||
Boyd Gaming Corp. | 465,000 | 9.0000 | 7/1/2020 | 503,335 | ||||||||||
Felcor Lodging LP | 720,000 | 5.6250 | 3/1/2023 | 748,800 | ||||||||||
MGM Resorts International | 390,000 | 6.7500 | 10/1/2020 | 417,300 | ||||||||||
MGM Resorts International | 950,000 | 7.7500 | 3/15/2022 | 1,058,014 | ||||||||||
3,158,772 | ||||||||||||||
MACHINERY-DIVERSIFIED - 1.1% | ||||||||||||||
Gardner Denver, Inc. - 144A | 1,215,000 | 6.8750 | 8/15/2021 | 1,057,050 | ||||||||||
MEDIA - 12.0% | ||||||||||||||
Altice Financing SA | 545,000 | 6.6250 | 2/15/2023 | 547,720 | ||||||||||
Cequel Communications Holdings I LLC - 144A | 830,000 | 6.3750 | 9/15/2020 | 834,134 | ||||||||||
Clear Channel Worldwide Holdings, Inc. | 740,000 | 6.5000 | 11/15/2022 | 774,230 | ||||||||||
Clear Channel Worldwide Holdings, Inc. | 495,000 | 7.6250 | 3/15/2020 | 515,401 | ||||||||||
CSC Holdings LLC | 180,000 | 6.7500 | 11/15/2021 | 175,140 | ||||||||||
CSC Holdings LLC | 460,000 | 8.6250 | 2/15/2019 | 489,877 | ||||||||||
DISH DBS Corp. ^ | 365,000 | 7.8750 | 9/1/2019 | 401,401 | ||||||||||
Entercom Radio LLC | 620,000 | 10.5000 | 12/1/2019 | 647,831 | ||||||||||
Gray Television, Inc. | 1,430,000 | 7.5000 | 10/1/2020 | 1,497,821 | ||||||||||
LIN Television Corp. | 390,000 | 6.3750 | 1/15/2021 | 408,022 | ||||||||||
Mediacom LLC | 660,000 | 7.2500 | 2/15/2022 | 670,691 | ||||||||||
Nexstar Broadcasting, Inc. | 325,000 | 6.1250 | 2/15/2022 | 325,811 | ||||||||||
Nexstar Broadcasting, Inc. - 144A | 1,140,000 | 6.8750 | 11/15/2020 | 1,182,750 | ||||||||||
Numericable Group SA - 144A | 630,000 | 6.2500 | 5/15/2024 | 631,570 | ||||||||||
Radio One, Inc. - 144A | 650,000 | 7.3750 | 4/15/2022 | 606,935 | ||||||||||
Sinclair Television Group, Inc. ^ | 265,000 | 5.6250 | 8/1/2024 | 260,693 | ||||||||||
Sinclair Television Group, Inc. - 144A | 560,000 | 6.3750 | 11/1/2021 | 579,600 |
See accompanying notes to financial statements.
38
SCHEDULE OF INVESTMENTS |
Dunham High-Yield Bond Fund (Continued) |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
MEDIA (CONTINUED) - 12.0% | ||||||||||||||
TEGNA, Inc. | $ | 85,000 | 5.5000 | % | 9/15/2024 | $ | 86,485 | |||||||
Townsquare Radio LLC - 144A | 400,000 | 6.5000 | 4/1/2023 | 385,500 | ||||||||||
Tribune Media Co. ^ | 305,000 | 5.8750 | 7/15/2022 | 314,150 | ||||||||||
Videotron Ltd. ^ | 425,000 | 5.0000 | 7/15/2022 | 445,187 | ||||||||||
11,780,949 | ||||||||||||||
MINING - 0.5% | ||||||||||||||
Alcoa, Inc. | 535,000 | 5.1250 | 10/1/2024 | 532,985 | ||||||||||
MISCELLANEOUS MANUFACTURING - 0.5% | ||||||||||||||
EnPro Industries, Inc. - 144A | 445,000 | 5.8750 | 9/15/2022 | 450,561 | ||||||||||
OFFICE/BUSINESS EQUIPMENT - 0.3% | ||||||||||||||
CDW LLC | 240,000 | 5.5000 | 12/1/2024 | 252,000 | ||||||||||
OIL & GAS - 8.4% | ||||||||||||||
Antero Resources Corp. | 250,000 | 5.3750 | 11/1/2021 | 231,250 | ||||||||||
Blue Racer Midstream LLC - 144A | 400,000 | 6.1250 | 11/15/2022 | 376,000 | ||||||||||
Bonanza Creek Energy, Inc. | 625,000 | 6.7500 | 4/15/2021 | 453,120 | ||||||||||
Carrizo Oil & Gas, Inc. ^ | 270,000 | 6.2500 | 4/15/2023 | 258,188 | ||||||||||
Carrizo Oil & Gas, Inc. ^ | 525,000 | 7.5000 | 9/15/2020 | 526,303 | ||||||||||
Concho Resources, Inc. | 530,000 | 5.5000 | 4/1/2023 | 535,300 | ||||||||||
EP Energy, Inc. | 210,000 | 6.3750 | 6/15/2023 | 160,123 | ||||||||||
EP Energy, Inc. | 185,000 | 9.3750 | 5/1/2020 | 161,873 | ||||||||||
Gulfport Energy Corp. | 825,000 | 7.7500 | 11/1/2020 | 820,873 | ||||||||||
Jones Energry Holdings | 460,000 | 6.7500 | 4/1/2022 | 371,450 | ||||||||||
Matador Resources Co. - 144A | 375,000 | 6.8750 | 4/15/2023 | 377,811 | ||||||||||
Memorial Resource Development Corp. | 525,000 | 7.6250 | 5/1/2021 | 354,381 | ||||||||||
Memorial Resource Development Corp. - 144A | 655,000 | 5.8750 | 7/1/2022 | 620,611 | ||||||||||
Oasis Petroleum, Inc. | 325,000 | 6.8750 | 3/15/2022 | 278,683 | ||||||||||
Rice Energy Corp. | 655,000 | 6.2500 | 5/1/2022 | 596,053 | ||||||||||
Sanchez Energy Corp. | 600,000 | 6.1250 | 1/15/2023 | 438,014 | ||||||||||
Western Refining Inc. | 1,040,000 | 6.2500 | 4/1/2021 | 1,040,000 | ||||||||||
Whiting Canadian Holding Co ULC. | 370,000 | 8.1250 | 12/1/2019 | 374,607 | ||||||||||
Whiting Petroleum Corp. | 245,000 | 5.0000 | 3/15/2019 | 233,973 | ||||||||||
8,208,613 | ||||||||||||||
PACKAGING & CONTAINERS - 0.8% | ||||||||||||||
Reynolds Group Issuer, Inc. ^ | 750,000 | 5.7500 | 10/15/2020 | 781,866 |
See accompanying notes to financial statements.
39
SCHEDULE OF INVESTMENTS |
Dunham High-Yield Bond Fund (Continued) |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
PHARMACEUTICALS - 2.1% | ||||||||||||||
Endo Finance LLC - 144A | $ | 525,000 | 6.0000 | % | 2/1/2025 | $ | 523,685 | |||||||
Endo Finance LLC - 144A | 200,000 | 6.0000 | 7/15/2023 | 201,000 | ||||||||||
Valeant Pharmaceuticals International - 144A | 560,000 | 6.3750 | 10/15/2020 | 504,000 | ||||||||||
Valeant Pharmaceuticals International - 144A | 375,000 | 6.7500 | 8/15/2021 | 335,624 | ||||||||||
Valeant Pharmaceuticals International - 144A | 260,000 | 5.6250 | 12/1/2021 | 226,850 | ||||||||||
Valeant Pharmaceuticals International - 144A | 340,000 | 5.8750 | 5/15/2023 | 287,936 | ||||||||||
2,079,095 | ||||||||||||||
PIPELINES - 4.4% | ||||||||||||||
DCP Midstream LLC - 144A | 180,000 | 4.7500 | 9/30/2021 | 160,196 | ||||||||||
DCP Midstream LLC - 144A | 105,000 | 5.3500 | 3/15/2020 | 97,965 | ||||||||||
DCP Midstream LLC - 144A | 310,000 | 5.8500 | 5/21/2043 | 248,773 | ||||||||||
DCP Midstream LLC - 144A | 160,000 | 6.7500 | 9/15/2037 | 132,462 | ||||||||||
MarkWest Energy Partners LP | 360,000 | 4.5000 | 7/15/2023 | 339,300 | ||||||||||
Rockies Express Pipeline LLC - 144A | 525,000 | 5.6250 | 4/15/2020 | 530,265 | ||||||||||
Rockies Express Pipeline LLC - 144A | 1,170,000 | 6.8750 | 4/15/2040 | 1,120,277 | ||||||||||
Sabine Pass Liquefaction LLC | 870,000 | 5.6250 | 2/1/2021 | 867,823 | ||||||||||
Sabine Pass Liquefaction LLC | 860,000 | 6.2500 | 3/15/2022 | 857,861 | ||||||||||
4,354,922 | ||||||||||||||
REAL ESTATE - 0.9% | ||||||||||||||
Realogy Group LLC - 144A ^ | 855,000 | 5.2500 | 12/1/2021 | 890,267 | ||||||||||
REITS - 2.5% | ||||||||||||||
Equinox, Inc. | 145,000 | 5.3750 | 4/1/2023 | 151,523 | ||||||||||
Equinox, Inc. | 575,000 | 5.3750 | 1/1/2022 | 603,578 | ||||||||||
iStar Financial, Inc. | 545,000 | 5.0000 | 7/1/2019 | 535,463 | ||||||||||
iStar Financial, Inc. | 630,000 | 7.1250 | 2/15/2018 | 653,612 | ||||||||||
RHP Hotel Properties LP | 480,000 | 5.0000 | 4/15/2021 | 489,600 | ||||||||||
2,433,775 | ||||||||||||||
RETAIL - 1.4% | ||||||||||||||
Dollar Tree, Inc. ^ | 420,000 | 5.7500 | 3/1/2023 | 444,675 | ||||||||||
Men’s Wearhouse, Inc. - 144A ^ | 855,000 | 7.0000 | 7/1/2022 | 893,463 | ||||||||||
1,338,138 | ||||||||||||||
SOFTWARE - 2.0% | ||||||||||||||
First Data Corp. | 485,000 | 7.0000 | 12/1/2023 | 494,700 | ||||||||||
First Data Corp. | 515,000 | 11.2500 | 1/15/2021 | 570,409 | ||||||||||
Nuance Communications, Inc. - 144A | 840,000 | 5.3750 | 8/15/2020 | 861,000 | ||||||||||
1,926,109 | ||||||||||||||
TELECOMMUNICATIONS - 14.1% | ||||||||||||||
Cincinnati Bell, Inc. | 490,000 | 8.3750 | 10/15/2020 | 512,044 | ||||||||||
Commscope, Inc. - 144A | 200,000 | 5.5000 | 6/15/2024 | 198,750 | ||||||||||
CyrusOne Finance Corp. | 840,000 | 6.3750 | 11/15/2022 | 869,400 | ||||||||||
Earthlink Holdings Corp. | 960,000 | 7.3750 | 6/1/2020 | 996,000 | ||||||||||
Earthlink Holdings Corp. | 536,000 | 8.8750 | 5/15/2019 | 556,107 | ||||||||||
Fairpoint Communications, Inc. - 144A | 1,050,000 | 8.7500 | 8/15/2019 | 1,085,380 | ||||||||||
Frontier Communications Corp. ^ | 115,000 | 6.2500 | 9/15/2021 | 103,270 | ||||||||||
Frontier Communications Corp. | 465,000 | 6.8750 | 1/15/2025 | 403,549 | ||||||||||
Frontier Communications Corp. | 730,000 | 8.5000 | 4/15/2020 | 753,699 | ||||||||||
Frontier Communications Corp. ^ | 855,000 | 9.2500 | 7/1/2021 | 872,061 | ||||||||||
Frontier Communications Corp. | 265,000 | 10.5000 | 9/15/2022 | 275,600 | ||||||||||
GCI, Inc. - 144A | 335,000 | 6.8750 | 4/15/2025 | 346,725 | ||||||||||
Intelsat Jackson Holdings ^ | 515,000 | 5.5000 | 8/1/2023 | 427,134 | ||||||||||
Intelsat Jackson Holdings | 230,000 | 7.2500 | 10/15/2020 | 211,020 | ||||||||||
Intelsat Jackson Holdings | 315,000 | 7.5000 | 4/1/2021 | 285,856 |
See accompanying notes to financial statements.
40
SCHEDULE OF INVESTMENTS |
Dunham High-Yield Bond Fund (Continued) |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
TELECOMMUNICATIONS (Continued) - 14.1% | ||||||||||||||
Level 3 Financing, Inc. | $ | 330,000 | 5.1250 | % | 5/1/2023 | $ | 334,125 | |||||||
Level 3 Financing, Inc. | 520,000 | 5.3750 | 8/15/2022 | 531,050 | ||||||||||
Level 3 Financing, Inc. - 144A | 925,000 | 6.1250 | 1/15/2021 | 977,013 | ||||||||||
Sprint Capital Corp. | 310,000 | 6.8750 | 11/15/2028 | 258,075 | ||||||||||
Sprint Communications, Inc. | 975,000 | 7.0000 | 8/15/2020 | 906,743 | ||||||||||
Sprint Corp. | 920,000 | 7.2500 | 9/15/2021 | 847,576 | ||||||||||
Sprint Corp. ^ | 590,000 | 7.8750 | 9/15/2023 | 547,225 | ||||||||||
ViaSat, Inc. | 375,000 | 6.8750 | 6/15/2020 | 393,260 | ||||||||||
Windstream Holdings, Inc. ^ | 350,000 | 7.7500 | 10/15/2020 | 316,312 | ||||||||||
Windstream Holdings, Inc. | 905,000 | 7.7500 | 10/1/2021 | 782,825 | ||||||||||
13,790,799 | ||||||||||||||
TRANSPORTATION - 1.8% | ||||||||||||||
Con-Way, Inc. | 665,000 | 7.2500 | 1/15/2018 | 673,744 | ||||||||||
Navios Maritime Acquisition Corp. - 144A | 420,000 | 8.1250 | 11/15/2021 | 403,725 | ||||||||||
Watco Co. LLC - 144A | 730,000 | 6.3750 | 4/1/2023 | 733,650 | ||||||||||
1,811,119 | ||||||||||||||
TOTAL BONDS & NOTES (Cost - $95,291,647) | 93,510,285 | |||||||||||||
Security | Shares | Rate | ||||||||||||
SHORT-TERM INVESTMENT - 3.6% | ||||||||||||||
MONEY MARKET FUND - 3.6% | ||||||||||||||
First American Government Obligations Fund | 3,537,902 | 0.01 | % + | 3,537,902 | ||||||||||
TOTAL SHORT-TERM INVESTMENT (Cost - $3,537,902) | ||||||||||||||
COLLATERAL FOR SECURITIES LOANED - 13.0% | ||||||||||||||
Mount Vernon Prime Portfolio 0.25% + (Cost - $12,722,190) | 12,722,190 | 12,722,190 | ||||||||||||
TOTAL INVESTMENTS - 112.1% (Cost - $111,715,329) | $ | 109,938,339 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - 12.1% | (11,829,973 | ) | ||||||||||||
NET ASSETS - 100.0% | $ | 98,108,366 |
^ | All or a portion of these securities are on loan. Total loaned securies had a value of $12,272,135 at October 31, 2015. |
+ | Variable rate security. Interest rate is as of October 31, 2015. |
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 * | ||||||||||
B3 | 22.1 | % | Caa1 | 9.2 | % | |||||
B1 | 18.1 | % | Ba2 | 7.8 | % | |||||
B2 | 14.9 | % | Ba1 | 1.7 | % | |||||
Collateral For Securities Loaned | 11.6 | % | Caa2 | 0.5 | % | |||||
Ba3 | 10.9 | % | Short-Term Investment | 3.2 | % | |||||
Total | 100.0 | % |
* | Based on total value of investments as of October 31, 2015. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
41
Dunham International Opportunity Bond Fund
Message from the Sub-Adviser (Rogge Global Partners PLC)
Catalysts for growth within international bonds were scarce over the first six months of the fiscal year as low levels of interest rates resulted in relatively muted global growth. Additionally, lower oil prices, the lack of velocity in the money supply, subdued inflation, and a monetary policy tilt to be accommodative to bond buying especially in Germany, Japan, and Sweden made it a difficult environment for this asset class. Similar themes within international bonds carried over for the final six months of the fiscal year. Global growth remained relatively muted, but the Sub-Adviser believes that inflation expectations are firming given ongoing global monetary accommodation. The U.S. output gap continued to close as the Fed appears to be on course for a possible hike in interest rates later this year or early 2016. European growth improved during the six month period. International bonds, as measured by the Barclays Global Aggregate Ex-U.S. Bond Index, had a disappointing fiscal year ended October 31, 2015, decreasing 6.7 percent. The international bond asset class was primarily helped by the stronger performance of emerging markets bonds, as measured by the Barclays Emerging Markets Ex-U.S. Aggregate Bond Index, which increased 0.7 percent during the most recent fiscal quarter. When compared with the United States’ bond market, as measured by the Barclays U.S. Aggregate Bond Index, global bonds underperformed domestic bonds during the fiscal quarter as U.S. bonds increased 2.0 percent.
The Fund’s Sub-Adviser selects investments by analyzing opportunities and risks in individual national economies by considering the business cycle, political, and macro-economic conditions in both emerging market and developed countries. In general, the Sub-Adviser buys securities that provide high current income that it believes possess attractive risk/reward characteristics. The Sub-Adviser generally measures a security’s risk/reward by comparing the security’s yield to the risks associated with the issuer, the issuer’s country and/or region, and compared to the yield available from other opportunities. It generally sells securities when they no longer meet the buy criteria or when a more attractive opportunity is identified.
Over the first six-month fiscal period, through the Fund’s foreign bond holdings, the largest currency exposure was the U.S. dollar. As the U.S. bull market remained in place over the fiscal period, despite a narrowing of the growth gap within developed markets, this significant exposure contributed to the relative performance of the Fund. Although the Sub-Adviser increased the allocation to the Euro over the time period, it is still relatively underweight. Along with the Euro, the Fund’s underweighting to the British pound contributed positively to performance over the fiscal period. The overweight to the Canadian dollar detracted from Fund performance and was closed out by the Sub-Adviser. In the third quarter of the fiscal year, the currency exposure slightly detracted from the performance of the Fund. To start the fiscal quarter, the U.S. dollar was the largest currency overweight. Over the fiscal period, the significant overweight to the U.S. dollar was reduced which benefited the portfolio as the U.S. dollar underperformed most major currencies. Two currencies that underperformed the U.S dollar were the Japanese yen and New Zealand dollar. The Fund’s underweight to foreign bonds denominated in these currencies contributed positively to the Fund. The Great Britain pound and the euro each had a relatively strong quarter as pressure on the U.S. dollar remained. These currency positions detracted from the Fund’s overall performance as the Fund was underweight versus the benchmark index.
After underperforming the third fiscal quarter, the U.S. dollar rebounded and outperformed most major currencies over the final quarter of the fiscal year. The Sub-Adviser increased the weighting to the U.S. Dollar at the beginning of the fiscal quarter but decreased the weighting by October 31 as the Fund sees this currency to be relatively flat through the end of 2015. In August, the Fund was short the Australian dollar which benefited the Fund. This position helped to protect against some of the drawdown as many commodity driven currencies suffered. The short was taken off prior to the Australian Dollar tracking back up. The Fund is also short the Taiwanese Dollar. This position may protect the portfolio if we see any further devaluation in China. Two currencies that detracted from performance over the fiscal quarter were the Norwegian Krone and the Mexican Peso. The Sub-Adviser believes that although evaluations look somewhat extreme for the Norwegian Krone, the value is at the bottom of its range as the country stabilizes.
Overall, the Sub- Adviser’s country selection contributed positively to the Fund’s performance over the first six months of the fiscal year. The overweight to Europe contributed positively to performance while the underweight to Japan slightly detracted. For example, the United Kingdom 4.5% Due 12/7/2042 JD7 (B1VPJ5) (holding percentage*: 1.48 percent) increased 7.9 percent over the most recent fiscal six-month period while the Japan -287 1.9% Due 6/20/2017 (B232YG0) (holding percentage*: 1.75 percent) decreased 0.8 percent. As mentioned above, the asset class was helped by the strong performance of emerging market bonds and the Sub-Adviser’s allocation to this space also positively contributed to Fund performance. An emerging market holding that contributed positively to the Fund was the Republic of Indonesia 144A 2.88% Due 7/8/2021 Ann- 7/8 (BP0S1C7) (holding percentage*: 0.46 percent) which increased 3.1 percent over the most recent six-month fiscal period. An allocation that detracted from the Fund’s performance over the most recent fiscal period was the allocation to inflation-linked bonds.
The Sub-Adviser’s country selection slightly detracted from Fund performance over the final six months of the fiscal year. In general, peripheral Europe declined amid Greek debt negotiations but rebounded as these concerns subsided. Two holdings from peripheral Europe that positively contributed relatively to performance were the Buoni Poliennali Del Tesoro 4.75% Due 9/1/2044 (B9B45S6) (holding percentage*: 0.89 percent) and the Bonos Y Oblig Del Estado 3.8% Due 04/30/2024 (BJ7BSG0) (holding percentage*: 1.52 percent). These holdings decreased 0.3 percent and 0.2 percent, respectively. As mentioned above, the asset class was helped by the strong relative performance of emerging market bonds and the allocation within the Fund to this asset class also positively contributed to Fund performance. The relative strong performance was driven by the Fund’s exposure to Mexico. The Mexican Government 6.5% Due 6/9/2022 (B4NDCC9) (holding percentage*: 2.62 percent) increased 3 percent over the most recent fiscal quarter. The Sub-Adviser believes this was driven by Mexican local rates exposure.
The Sub-Adviser believes that the key themes moving forward are stabilization of global growth, further action from the European Central Bank and the Federal Reserve, stability in inflation, and China’s growth uncertainty infecting market sentiment. The European Central Bank and the Federal Reserve have prepared for possible policy action in December and albeit in different directions. Mario Draghi referenced that the European Central Bank could potentially not just cut the deposit rate by 10 to 20 basis points, but they could also extend their bond purchase program to December 16. They could also increase the size of this program. The Sub-Adviser believes this theme of policy divergence should help the Euro- Dollar move. Even amid these themes, the Sub-Adviser is optimistic of the coming fiscal quarter and beyond. The Sub-Adviser also believes that credit looks fair overall and the fundamentals in financials remain strong, while valuations are still relatively attractive.
* | Holdings percentage(s) as of 10/31/2015. |
Growth of $10,000 Investment – (Unaudited)
Total Returns as of October 31, 2015
Annualized Since | ||
One Year | Inception (11/1/13) | |
Class N | (7.42)% | (5.24)% |
Class C | (8.11)% | (5.95)% |
Class A with load of 4.50% | (11.77)% | (7.62)% |
Class A without load | (7.65)% | (5.47)% |
Barclays Global ex-US Aggregate Bond Index Unhedged | (6.74)% | (4.29)% |
Morningstar World Bond Category | (5.77)% | (1.61)% |
The Barclays Global ex US Aggregate Bond Index Unhedged is designed to be a broad based measure of the global investment-grade, fixed rate, fixed income corporate markets outside the United States. Investors cannot invest directly in an index or benchmark.
The Morningstar World Bond Category 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 1.38% for Class N, 2.13% for Class C and 1.63% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month- end, please call 1-800- 442-4358 or visit our website www.dunham.com.
42
SCHEDULE OF INVESTMENTS |
Dunham International Opportunity Bond Fund |
October 31, 2015 |
Security | Principal Amount | Interest Rate | Maturity Date | Value | ||||||||
CORPORATE BONDS & NOTES - 37.9% | ||||||||||||
AGRICULTURE - 0.6% | ||||||||||||
Imperial Tobacco Finance PLC - 144A | 200,000 | USD | 2.9500 | % | 7/21/2020 | $ | 201,177 | |||||
AUTO MANUFACTURERS - 1.3% | ||||||||||||
Daimler AG | 300,000 | EUR | 4.1250 | 1/19/2017 | 347,351 | |||||||
Fiat Chrystler Finance | 100,000 | EUR | 4.7500 | 7/15/2022 | 117,470 | |||||||
464,821 | ||||||||||||
AUTO PARTS & EQUIPMENT - 0.3% | ||||||||||||
Samvardhana Motherson Automotive Systems Group BV | 100,000 | EUR | 4.1250 | 7/15/2021 | 107,731 | |||||||
BANKS - 20.7% | ||||||||||||
Abbey National Treasury Services PLC | 200,000 | EUR | 2.0000 | 1/14/2019 | 230,657 | |||||||
ABN AMRO Bank NV | 200,000 | EUR | 6.3750 | 4/27/2021 | 267,703 | |||||||
Barclays Bank PLC | 200,000 | EUR | 6.0000 | 1/14/2021 | 265,391 | |||||||
Barclays Bank PLC | 100,000 | GBP | 5.7500 | 8/17/2021 | 179,721 | |||||||
BNP Paribas SA | 200,000 | EUR | 2.8750 | 9/26/2023 | 245,834 | |||||||
BNP Paribas SA | 200,000 | EUR | 2.6250 | + | 10/14/2027 | 220,023 | ||||||
BPCE SA | 100,000 | EUR | 3.7500 | 7/21/2017 | 117,283 | |||||||
BPCE SA | 200,000 | EUR | 4.6250 | 7/18/2023 | 252,094 | |||||||
Commonwealth Bank of Australia | 200,000 | EUR | 4.2500 | 11/10/2016 | 230,493 | |||||||
Commonwealth Bank of Australia | 150,000 | EUR | 5.5000 | 8/6/2019 | 190,419 | |||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 250,000 | EUR | 5.8750 | 5/20/2019 | 321,668 | |||||||
Credit Agricole SA | 300,000 | EUR | 3.8750 | 2/13/2019 | 368,231 | |||||||
Credit Suisse AG | 250,000 | EUR | 5.1250 | 9/18/2017 | 301,281 | |||||||
Danske Bank AG | 150,000 | EUR | 3.8750 | 2/28/2017 | 173,904 | |||||||
HSBC Holdings PLC | 200,000 | EUR | 6.0000 | 6/10/2019 | 258,911 | |||||||
Intesa Sanpaolo SpA | 200,000 | EUR | 4.3750 | 10/15/2019 | 250,292 | |||||||
KBC Croep NV | 200,000 | EUR | 2.3750 | + | 11/25/2024 | 226,798 | ||||||
KBC IFIMA SA | 150,000 | EUR | 2.1250 | 9/10/2018 | 173,872 | |||||||
Lloyds Bank PLC | 150,000 | EUR | 6.5000 | 3/24/2020 | 200,861 | |||||||
National Australia Bank Ltd. | 150,000 | EUR | 4.6250 | 2/10/2020 | 187,323 | |||||||
National Australia Bank Ltd. | 100,000 | GBP | 5.1250 | 12/9/2021 | 174,353 | |||||||
Santander International Debt SAU | 100,000 | EUR | 4.0000 | 1/24/2020 | 125,204 | |||||||
Societe Generale SA | 350,000 | USD | 2.7500 | 10/12/2017 | 357,101 | |||||||
Societe Generale SA | 200,000 | EUR | 4.0000 | 6/7/2023 | 241,730 | |||||||
Sumitomo Mitsui Banking Corp. | 350,000 | USD | 1.5000 | 1/18/2018 | 348,297 | |||||||
Svenska Handelsbanken AB | 250,000 | EUR | 3.7500 | 2/24/2017 | 289,574 | |||||||
Swedbank AB | 300,000 | EUR | 3.3750 | 2/9/2017 | 345,328 | |||||||
Toronto-Dominion Bank | 300,000 | USD | 1.4000 | 4/30/2018 | 298,949 | |||||||
UBS AG/London | 200,000 | GBP | 6.6250 | 4/11/2018 | 342,757 | |||||||
UniCredit SpA | 100,000 | EUR | 3.3750 | 1/11/2018 | 117,238 | |||||||
Westpac Banking Corp. | 250,000 | EUR | 2.1250 | 7/9/2019 | 294,980 | |||||||
7,598,270 | ||||||||||||
CHEMICALS - 0.8% | ||||||||||||
Linde Fiance BV | 250,000 | EUR | 4.7500 | 4/24/2017 | 295,357 | |||||||
DIVERSIFIED FINANCIAL SERVICES - 0.4% | ||||||||||||
Arrow Global Finance PLC | 100,000 | GBP | 7.8750 | 3/1/2020 | 161,666 | |||||||
ELECTRIC - 2.8% | ||||||||||||
Electricite de France | 300,000 | EUR | 2.7500 | 3/10/2023 | 367,308 | |||||||
Engie SA | 200,000 | GBP | 7.0000 | 10/30/2028 | 424,631 | |||||||
Iberdrola Finanzas | 250,000 | EUR | 4.1250 | 3/23/2020 | 253,463 | |||||||
1,045,402 |
See accompanying notes to financial statements.
43
SCHEDULE OF INVESTMENTS |
Dunham International Opportunity Bond Fund (Continued) |
October 31, 2015 |
Security | Principal Amount | Interest Rate | Maturity Date | Value | ||||||||
ELECTRONICS - 0.9% | ||||||||||||
Trionista Holdco GmbH | 300,000 | EUR | 5.0000 | % | 4/30/2020 | $ | 345,727 | |||||
ENGINEERING & CONSTRUCTION - 0.2% | ||||||||||||
Heathrow Fiance PLC | 50,000 | GBP | 7.1250 | 3/1/2017 | 81,305 | |||||||
FOOD - 0.3% | ||||||||||||
Agrokor dd | 100,000 | EUR | 9.1250 | 2/1/2020 | 119,958 | |||||||
GAS - 0.9% | ||||||||||||
National Grid PLC | 250,000 | EUR | 4.3750 | 3/10/2020 | 320,331 | |||||||
INSURANCE - 2.9% | ||||||||||||
Allianz Finance II BV | 100,000 | EUR | 4.0000 | 11/23/2016 | 115,131 | |||||||
Allianz Finance II BV | 200,000 | EUR | 4.7500 | 7/22/2019 | 256,219 | |||||||
Allianz Finance II BV | 200,000 | EUR | 5.7500 | + | 7/8/2041 | 257,469 | ||||||
AXA SA | 150,000 | EUR | 5.2500 | + | 4/16/2040 | 184,463 | ||||||
Willow No 2 Ireland PLC for Zurich Insurance Co. Ltd. | 350,000 | EUR | 3.3750 | 6/27/2022 | 248,755 | |||||||
1,062,037 | ||||||||||||
INTERNET - 0.3% | ||||||||||||
United Group BV | 100,000 | EUR | 7.8750 | 11/15/2020 | 118,758 | |||||||
MEDIA - 0.9% | ||||||||||||
Cable Communications Systems NV | 100,000 | EUR | 7.5000 | 11/1/2020 | 117,193 | |||||||
Sky PLC | 200,000 | EUR | 1.5000 | 9/15/2021 | 223,453 | |||||||
340,646 | ||||||||||||
OIL & GAS - 0.3% | ||||||||||||
ONGC Videsh Ltd. | 100,000 | EUR | 2.7500 | 7/15/2021 | 112,101 | |||||||
REAL ESTATE - 0.3% | ||||||||||||
Deutsche Rastataetten Gruppe IV GmBH | 100,000 | EUR | 6.7500 | 12/30/2020 | 119,762 | |||||||
REITS - 0.3% | ||||||||||||
Societe Fonciere Lyonnaise SA | 100,000 | EUR | 4.6250 | 5/25/2016 | 113,259 | |||||||
SAVINGS & LOANS - 1.4% | ||||||||||||
Coventry Building Society | 150,000 | EUR | 2.2500 | 12/4/2017 | 171,939 | |||||||
Nationwide Building Society | 100,000 | GBP | 5.6250 | 9/9/2019 | 173,880 | |||||||
Silverstone Master Issuer PLC | 100,000 | GBP | 5.0630 | + | 1/21/2055 | 159,671 | ||||||
505,490 | ||||||||||||
TELECOMMUNICATIONS - 2.3% | ||||||||||||
America Movil SAB de CV | 200,000 | EUR | 3.0000 | 7/12/2021 | 241,230 | |||||||
Play Finance 2 SA | 100,000 | EUR | 5.2500 | 2/1/2019 | 114,429 | |||||||
Telecom Italia SpA | 50,000 | GBP | 6.3750 | 6/24/2019 | 84,031 | |||||||
Telefonica Europe BV | 100,000 | EUR | 5.8750 | + | Perpetual | 113,739 | ||||||
Virgin Media Secured Finance PLC | 100,000 | GBP | 5.5000 | 1/15/2021 | 164,930 | |||||||
Wind Acquisition Finance SA | 100,000 | EUR | 4.0000 | 7/12/2020 | 112,633 | |||||||
830,992 | ||||||||||||
TOTAL CORPORATE BONDS & NOTES (Cost - $15,567,010) | 13,944,790 | |||||||||||
FOREIGN GOVERNMENT BONDS - 58.1% | ||||||||||||
Austria Government Bond - 144A | 250,000 | EUR | 1.2000 | 10/20/2025 | 287,433 | |||||||
Belgium Government Bond | 150,000 | EUR | 4.2500 | 9/28/2022 | 210,361 | |||||||
Belgium Government Bond - 144A | 100,000 | EUR | 5.0000 | 3/28/2035 | 175,529 | |||||||
Bundesobligation | 750,000 | EUR | 0.5000 | 10/13/2017 | 842,461 |
See accompanying notes to financial statements.
44
SCHEDULE OF INVESTMENTS |
Dunham International Opportunity Bond Fund (Continued) |
October 31, 2015 |
Security | Principal Amount | Interest Rate | Maturity | Value | ||||||||
FOREIGN GOVERNMENT BONDS (Continued) - 58.1% | ||||||||||||
Bundesrepublik Deutschland | 300,000 | EUR | 1.0000 | % | 8/15/2025 | $ | 346,576 | |||||
Bundesrepublik Deutschland | 192,000 | EUR | 4.7500 | 7/4/2034 | 346,181 | |||||||
Bundesrepublik Deutschland | 350,000 | EUR | 4.7500 | 7/4/2040 | 683,872 | |||||||
Canadian Government Bond | 750,000 | CAD | 2.5000 | 6/1/2024 | 619,543 | |||||||
Canadian Government Bond | 300,000 | CAD | 5.7500 | 6/1/2033 | 348,053 | |||||||
Canadian Government Bond | 250,000 | CAD | 4.0000 | 6/1/2041 | 251,578 | |||||||
Denmark Government Bond | 1,850,000 | DKK | 3.0000 | 11/15/2021 | 318,832 | |||||||
France Government Bond OAT | 120,000 | EUR | 4.7500 | 4/25/2035 | 205,665 | |||||||
France Government Bond OAT | 150,000 | EUR | 4.5000 | 4/25/2041 | 263,661 | |||||||
Hungary Government International Bond | 100,000 | USD | 5.3750 | 3/25/2024 | 110,750 | |||||||
Indonesia Government International Bond - 144A | 150,000 | EUR | 2.8750 | 7/8/2021 | 165,214 | |||||||
Ireland Government Bond | 100,000 | EUR | 5.4000 | 3/13/2025 | 152,440 | |||||||
Italy Buoni Poliennali Del Tesoro | 250,000 | EUR | 4.5000 | 2/1/2020 | 323,613 | |||||||
Italy Buoni Poliennali Del Tesoro | 100,000 | EUR | 5.5000 | 11/1/2022 | 143,226 | |||||||
Italy Buoni Poliennali Del Tesoro | 340,000 | EUR | 4.5000 | 3/1/2024 | 468,940 | |||||||
Italy Buoni Poliennali Del Tesoro | 340,000 | EUR | 3.7500 | 9/1/2024 | 448,105 | |||||||
Italy Buoni Poliennali Del Tesoro | 290,000 | EUR | 5.0000 | 9/1/2040 | 467,660 | |||||||
Italy Buoni Poliennali Del Tesoro - 144A | 200,000 | EUR | 4.7500 | 9/1/2044 | 319,886 | |||||||
Italy Buoni Poliennali Del Tesoro - 144A | 30,000 | EUR | 3.2500 | 9/1/2046 | 37,952 | |||||||
Japan Government Ten Year Bond | 73,650,000 | JPY | 1.9000 | 6/20/2017 | 630,230 | |||||||
Japan Government Ten Year Bond | 270,650,000 | JPY | 1.4000 | 9/20/2019 | 2,366,632 | |||||||
Japan Government Thirty Year Bond | 130,100,000 | JPY | 2.5000 | 6/20/2036 | 1,353,135 | |||||||
Japan Government Thirty Year Bond | 80,300,000 | JPY | 2.0000 | 9/20/2041 | 773,671 | |||||||
Japan Government Twenty Year Bond | 99,050,000 | JPY | 1.9000 | 9/20/2023 | 935,183 | |||||||
Japan Government Twenty Year Bond | 146,700,000 | JPY | 2.1000 | 12/20/2027 | 1,452,057 | |||||||
Korea Treasury Bond | 832,150,000 | KRW | 3.0000 | 9/10/2024 | 784,236 | |||||||
Mexican Bonos | 14,900,000 | MXN | 6.5000 | 6/9/2022 | 944,408 | |||||||
Poland Government Bond | 300,000 | PLN | 5.7500 | 9/23/2022 | 94,310 | |||||||
Romanian Government International Bond | 100,000 | EUR | 2.8750 | 10/28/2024 | 114,513 | |||||||
Spain Government Bond - 144A | 80,000 | EUR | 5.4000 | 1/31/2023 | 113,838 | |||||||
Spain Government Bond - 144A | 200,000 | EUR | 4.4000 | 10/31/2023 | 271,186 | |||||||
Spain Government Bond - 144A | 420,000 | EUR | 3.8000 | 4/30/2024 | 548,857 | |||||||
Spain Government Bond - 144A | 450,000 | EUR | 1.6000 | 4/30/2025 | 497,677 | |||||||
Spain Government Bond - 144A | 120,000 | EUR | 4.2000 | 1/31/2037 | 167,696 | |||||||
Sweden Government Bond | 3,600,000 | SEK | 4.2500 | 3/12/2019 | 489,325 | |||||||
Switzerland Government Bond | 400,000 | CHF | 4.0000 | 2/11/2023 | 542,050 | |||||||
United Kingdom Gilt | 85,000 | GBP | 4.7500 | 12/7/2030 | 172,927 | |||||||
United Kingdom Gilt | 300,000 | GBP | 4.2500 | 6/7/2032 | 583,329 | |||||||
United Kingdom Gilt | 320,000 | GBP | 4.5000 | 12/7/2042 | 676,279 | |||||||
United Kingdom Gilt | 150,000 | GBP | 4.2500 | 12/7/2055 | 332,413 | |||||||
TOTAL FOREIGN GOVERNMENT BONDS (Cost - $22,570,225) | 21,381,483 | |||||||||||
COLLATERALIZED MORTGAGE BACK SECURITIES - EURO - 0.6% | ||||||||||||
German Residential Funding PLC 2013-1A (Cost - $231,506) | 186,663 | EUR | 1.1170 | + | 8/27/2024 | 207,715 | ||||||
WHOLE LOAN COLLATERAL - 1.1% | ||||||||||||
Bankinter 10 Fondo de Titulizacion de Activos | 100,783 | EUR | 0.1230 | + | 6/21/2043 | 106,048 | ||||||
Fondo de Titulizacion de Activos Santander Hipotecario 2 | 61,547 | EUR | 0.0980 | + | 1/18/2049 | 64,166 | ||||||
Silverstone Master Issuer PLC - 144A | 150,000 | GBP | 0.9506 | + | 1/20/2070 | 230,215 | ||||||
TOTAL WHOLE LOAN COLLATERAL (Cost - $402,304) | 400,429 | |||||||||||
SHORT-TERM INVESTMENTS - 0.5% | Shares | |||||||||||
MONEY MARKET FUND - 0.5% | ||||||||||||
Fidelity Institutional Money Market Funds - Government Portfolio | ||||||||||||
(Cost - $192,086) | 192,086 | 0.0001 | + | 192,086 |
See accompanying notes to financial statements.
45
SCHEDULE OF INVESTMENTS |
Dunham International Opportunity Bond Fund (Continued) |
October 31, 2015 |
Value | ||||
TOTAL INVESTMENTS - 98.2% (Cost - $38,963,131) | $ | 36,126,503 | ||
OTHER ASSETS LESS LIABILITIES - 1.8% | 653,769 | |||
NET ASSETS - 100.0% | $ | 36,780,272 |
MBS - Mortgage Back Security | DKK - Danish Krone | MXN - Mexican Peso |
REIT - Real Estate Investment Trust | EUR - EURO | PLN - Polish Zloty |
AUD - Australian Dollar | GBP - United Kingdom Pound | SEK - Swedish Krona |
CAD - Canadian Dollar | JPY - Japanese Yen | |
CHF - Swiss Franc | KRW - South Korean Won |
+ | Variable rate security. Interest rate is as of October 31, 2015. |
144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers.
Perpetual - Perpetual bonds are fixed income instruments without defined maturity dates.
Unrealized | ||||||||
Appreciation | ||||||||
Futures Contracts | Contracts | (Depreciation) | ||||||
FUTURES CONTRACTS PURCHASED* | ||||||||
10 YR AUD Government Bond maturing December, 2015 | ||||||||
(Underlying Face Amount at Value $415,338) | 6 | $ | 5,518 | |||||
Euro BOBL Future maturing December, 2015 | ||||||||
(Underlying Face Amount at Value $1,001,607) | 7 | 3,582 | ||||||
NET UNREALIZED GAIN FROM FUTURES CONTRACTS PURCHASED | 9,100 | |||||||
FUTURES CONTRACTS SOLD * | ||||||||
Canadian 10 Year Bond maturing December, 2015 | ||||||||
(Underlying Face Amount at Value ($106,860) | (1 | ) | 1,392 | |||||
Euro Bund Future maturing December, 2015 | ||||||||
(Underlying Face Amount at Value ($1,216,680) | (7 | ) | (27,706 | ) | ||||
Euro Schatz maturing December, 2015 | ||||||||
(Underlying Face Amount at Value ($2,218,541) | (18 | ) | (3,919 | ) | ||||
Long Gilt Future maturing December, 2015 | ||||||||
(Underlying Face Amount at Value ($1,450,303) | (8 | ) | 11,208 | |||||
NET UNREALIZED LOSS FROM FUTURES CONTRACTS SOLD | (19,025 | ) | ||||||
NET UNREALIZED LOSS FROM FUTURES CONTRACTS | $ | (9,925 | ) |
* | Face amounts are the underlying reference notional amounts to stock exchange indices and bonds upon which the fair value of the futures contracts traded by the Fund are based. While face amounts do not represent the current fair value and are not necessarily indicative of the future cash flows of the Fund’s futures contracts, the underlying price changes in relation to the variables specified by the face amounts affect the fair value of these derivative financial instruments. |
Portfolio Composition ** - (Unaudited) | ||||||||||
Japan | 21.8 | % | Netherlands | 5.5 | % | |||||
Britain | 13.3 | % | Canada | 4.2 | % | |||||
France | 9.3 | % | Switzerland | 3.3 | % | |||||
Germany | 8.4 | % | Mexico | 3.3 | % | |||||
Italy | 7.4 | % | Other Countries | 17.6 | % | |||||
Spain | 5.9 | % | Total | 100.00 | % |
** | Based on total value of investments as of October 31, 2015. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
46
Dunham Dynamic Macro Fund
Message from the Sub-Adviser (Mellon Capital Management Corporation)
Global equity markets showed strength early in the fiscal six-month period as a result of various political and central bank actions that influenced the market significantly. Geopolitical risk fell off as Ukraine and Russia agreed to a cease fire and 15 central banks engaged in some form of quantitative easing, spurring a rally in global stocks. Later in the first six months of the fiscal year the U.S. began reporting lackluster economic data and relatively weak earnings releases. In contrast, the Euro zone displayed weakness through the end of 2014 and the beginning of 2015, but reversed course in the most recent months and showed positive economic momentum and improved company earnings. The second half of the fiscal quarter was dominated by political events in Greece, global growth concerns and trepidation regarding the magnitude and timing of a rise in interest rates. Volatility spiked in mid August amid China’s devaluation of its currency. Chinese growth concerns were additionally fueled by poor economic data, mostly from the external sector. Global growth concerns began to mount as risky assets were hit hard. The Federal Reserve affirmed these concerns by not raising interest rates in September.
Global macro strategies, as measured by the IQ Hedge Global Macro Beta Index, fell 2.7 percent over the most recent fiscal year ended October 31, 2015. Bonds, as measured by the Barclays Aggregate Bond Index, increased 2 percent. The performance of emerging market equities, as measured by the MSCI Emerging Markets Index, detracted from performance as the index decreased 14.5 percent over the same time period. Global macro strategies unperformed the S&P 500 which increased 5.2 percent over the fiscal period.
The Sub-Adviser seeks to construct a balanced growth portfolio that aims to deliver equity-like total returns with less risk and improved downside control. It attempts to achieve this goal by utilizing a multi-asset strategy that allocates dynamically across global equities, fixed income, and other major assets.. The strategy’s exposure is broken down into three different categories: growth assets which include developed market equities, emerging market equities, high-yield bonds, and emerging market debt; hedging assets which include developed and emerging market currency, global cash, investment-grade bonds, and global developed and sovereign bonds; and real assets which include global commodities, global inflation-linked bonds, and inflation-sensitive derivatives.
During the volatile fiscal year, the hedging assets were the best performing category. In the first three months of the fiscal year, the hedging assets contributed positively to the performance of the Fund by keeping balance in a volatile period amid geopolitical concerns, the beginning of quantitative easing in Europe, and a relatively disappointing beginning to the calendar fourth quarter’s earnings season. In the subsequent three months the Sub-Adviser was able to enhance the returns in the hedging assets by being long U.S. bonds and short Euro bunds. In the final six months of the fiscal period the Fund was overweight its allocation to U.S. Treasuries. Despite this overweight, the bond exposure in aggregate is well-diversified with a short positioning in German bunds, Canadian bonds, and Australian bonds. The Fund’s positioning in treasuries positively contributed to Fund performance over the most recent fiscal six-months.
The growth assets strategy exposure was the strongest contributor to the performance of the Fund over the first six months of the fiscal period. The growth asset strategy exposure slightly detracted from Fund performance in the third fiscal quarter, and that theme continued as growth detracted from performance over the most recent fiscal quarter ended October 31, 2015. The largest allocation in this strategy, developed ex-U.S. equities, were the best performers within this category for the first six months of the fiscal period. Many of these countries also benefited from a cheaper relative currency, specifically to aide in the increase in exports. This exposure slightly detracted from Fund performance over the third fiscal quarter. During the fiscal period, the Fund moved out of equities due to the risk presented by Greece and China but moved back in once a referendum was reached in Greece. The largest detractor from performance was the Fund’s exposure to German equities. The Sub-Adviser put risk back on the table in July by increasing the Fund’s allocation to growth assets. As volatility increased in August, the Fund’s growth assets declined as the markets experienced a “flight to safety.” The countries with large trade relationships with China, such as Germany, were hit hard over the most recent fiscal quarter. The Fund’s short position in United Kingdom equities contributed to Fund performance during this time. The Sub-Adviser moved out of Emerging Market Equities in early August, but not before experiencing a portion of the decline. The iShares MSCI Emerging Markets Index (EEM) (holding percentage**: 4.62 percent) declined 24.1 percent before being eliminated from the portfolio on August 24. Although German holdings were hit hard in August, the Sub-Adviser moved into German equities on September 16. The iShares Hedged MSCI Germany (HEWG) (holding percentage*: 4.63 percent) increased 4.6 percent once from September 16 to the end of the fiscal quarter. US equities performed well over the fiscal year. The SPDR S&P 500 ETF Trust (SPY) (holding percentage*: 30.17 percent) increased 5.2 percent over the fiscal year.
Over the fiscal year, the volatility in oil and the decisions of OPEC (Organization of Petroleum Exporting Countries) dominated the headlines. Despite the volatility, the Sub-Adviser’s tactical positioning within the real assets strategy were strong and benefited the Fund approximately 80 basis points. The Sub-Adviser completely divested the position in real assets during the most recent fiscal quarter as the Sub-Adviser believes the current risk/reward characteristics of this asset does not currently warrant a place in the portfolio. Due to the Fund’s dynamic nature, the Sub-Adviser’s view on real assets can change quickly.
The Sub-Adviser is optimistic for the coming fiscal quarter and fiscal year. The Sub-Adviser believes that this volatility-targeted strategy may 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 lower beta and less correlation than traditional equity investments.
* | Holdings percentage(s) as of 10/31/2015. |
** | 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, 2015
One | Annualized | Annualized | Annualized Since Inception | |
Year | Three Years | Five Years | (4/30/2010) | |
Class N | 1.66% | 1.42% | 1.54% | 1.71% |
Class C | 0.63% | 0.37% | 0.52% | 0.70% |
Class A with load of 5.75% | (4.48)% | (0.84)% | 0.07% | 0.35% |
Class A without load | 1.34% | 1.14% | 1.26% | 1.43% |
IQ Hedge Global Macro Beta Index | (2.74)% | (1.55)% | 0.82% | 1.51% |
Morningstar Long/Short Equity Category | (0.62)% | 1.48% | 1.41% | 1.53% |
The IQ Hedge Global Macro Beta Index seeks to replicate the risk-adjusted return characteristics of a combination of hedge funds pursuing a macro strategy and hedge funds pursuing an emerging markets strategy.
Investors cannot invest directly in an index or benchmark.
The Morningstar 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 4.05% for Class N, 5.05% for Class C and 4.30% 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.
47
SCHEDULE OF INVESTMENTS |
Dunham Dynamic Macro Fund |
October 31, 2015 |
Security | Shares | Value | ||||||||||||
EXCHANGE TRADED FUNDS - 41.4% | ||||||||||||||
DEBT FUND - 4.7% | ||||||||||||||
SPDR Barclays High Yield Bond ETF | 43,242 | $ | 1,577,036 | |||||||||||
EQUITY FUNDS - 36.7% | ||||||||||||||
iShares MSCI Emerging Markets ETF | 83,805 | 2,110,210 | ||||||||||||
SPDR S&P 500 ETF Trust ^ | 49,457 | 10,283,594 | ||||||||||||
12,393,804 | ||||||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $13,174,284) | 13,970,840 | |||||||||||||
OPTIONS * - 5.5% | ||||||||||||||
CALL OPTION ON FUTURES PURCHASED - 5.5% | Contacts + | |||||||||||||
Swiss Market IX, Expiration December 19, 2015 | ||||||||||||||
Exercise Price CHF 8,587.92 | 30 | 13,015 | ||||||||||||
Swiss Market IX, Expiration December 19, 2015 | ||||||||||||||
Exercise Price CHF 8,703.21 | 40 | 13,732 | ||||||||||||
US 10 Year Future, Expiration December 19, 2015 | ||||||||||||||
Exercise Price $116 | 153 | 1,790,579 | ||||||||||||
1,817,326 | ||||||||||||||
PUT OPTIONS ON FUTURES PURCHASED - 0.0% | ||||||||||||||
S&P 500 E-Mini Option, Expiration December 19, 2015 | ||||||||||||||
Exercise Price $1,875 | 64 | 23,360 | ||||||||||||
S&P 500 Option, Expiration November 21, 2015 | ||||||||||||||
Exercise Price $1,875 | 64 | 5,280 | ||||||||||||
28,640 | ||||||||||||||
TOTAL OPTIONS (Cost - $1,883,439) | 1,845,966 | |||||||||||||
Principal | Discount | |||||||||||||
Amount ($) | Rate | Maturity | ||||||||||||
SHORT-TERM INVESTMENTS - 53.2% | ||||||||||||||
U.S. GOVERNMENT SECURITIES - 43.8% | ||||||||||||||
US Treasury Bill ++ | 13,241,000 | 0.2750 | % | 3/10/2016 | 13,240,658 | |||||||||
US Treasury Bill | 1,540,000 | 0.2600 | % | 3/17/2016 | 1,539,635 | |||||||||
14,780,293 | ||||||||||||||
Shares | Interest Rate | |||||||||||||
MONEY MARKET - 9.4% | ||||||||||||||
STIT- Liquid Assets - Institutional Class | 3,182,806 | 0.1100 | % ^^ | 3,182,806 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS - (Cost - $17,963,099) | 17,963,099 | |||||||||||||
COLLATERAL FOR SECURITIES LOANED - 1.1% | ||||||||||||||
Mount Vernon Prime Portfolio + (Cost - $385,200) | 385,200 | 0.2500 | % | 385,200 | ||||||||||
TOTAL INVESTMENTS - 101.2% (Cost - $33,406,021) | $ | 34,165,105 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.2)% | (412,706 | ) | ||||||||||||
NET ASSETS - 100.0% | $ | 33,752,399 | ||||||||||||
Unrealized | ||||||||||||||
Appreciation | ||||||||||||||
Open Futures Contracts | Contracts | (Depreciation) | ||||||||||||
LONG FUTURES CONTRACTS ** - 1.7% | ||||||||||||||
10 YR Mini JBG Future, December 2015 | ||||||||||||||
(Underlying Face Amount at Value $4,562,114) | 37 | $ | 20,920 | |||||||||||
AEX Index (Amsterdam), November 2015 | ||||||||||||||
(Underlying Face Amount at Value $813,368) | 8 | 49,708 | ||||||||||||
CAC 40 10 Euro Future, November 2015 | ||||||||||||||
(Underlying Face Amount at Value $1,136,618) | 21 | 63,120 | ||||||||||||
DAX Index, December 2015 | ||||||||||||||
(Underlying Face Amount at Value $1,495,255) | 5 | 96,020 | ||||||||||||
Hang Seng Index Future, November 2015 | ||||||||||||||
(Underlying Face Amount at Value $1,609,811) | 11 | (24,765 | ) |
See accompanying notes to financial statements.
48
SCHEDULE OF INVESTMENTS |
Dunham Dynamic Macro Fund (Continued) |
October 31, 2015 |
Unrealized | ||||||||
Appreciation | ||||||||
Open Futures Contracts | Contracts | (Depreciation) | ||||||
LONG FUTURES CONTRACTS ** - 1.7% (Continued) | ||||||||
IBEX - 35 Index Future, November 2015 | ||||||||
(Underlying Face Amount at Value $1,023,419) | 9 | $ | 26,728 | |||||
Long Gilt Future, December 2015 | ||||||||
(Underlying Face Amount at Value $4,169,622) | 23 | (22,072 | ) | |||||
S&P/TSX 60 IX Future, December 2015 | ||||||||
(Underlying Face Amount at Value $964,284) | 8 | 13,666 | ||||||
SPI 200 Future, December 2015 | ||||||||
(Underlying Face Amount at Value $1,302,979) | 14 | (5,627 | ) | |||||
TOPIX Index Future, December 2015 | ||||||||
(Underlying Face Amount at Value $4,657,258) | 36 | 367,285 | ||||||
US 10 Year Future, December 2015 | ||||||||
(Underlying Face Amount at Value $1,021,504) | 8 | 236 | ||||||
TOTAL FUTURES CONTRACTS PURCHASED | 585,219 | |||||||
SHORT FUTURES CONTRACTS ** - (0.8)% | ||||||||
10 YR AUD Government Bond, December 2015 | ||||||||
(Underlying Face Amount at Value $11,709,064) | (17 | ) | (15,634 | ) | ||||
Canadian 10 Year Bond, December r 2015 | ||||||||
(Underlying Face Amount at Value $320,581) | (3 | ) | 738 | |||||
Euro-Bund Future, December 2015 | ||||||||
(Underlying Face Amount at Value $10,776,305) | (62 | ) | (138,578 | ) | ||||
FTSE 100 Index, December 2015 | ||||||||
(Underlying Face Amount at Value $2,335,265) | (24 | ) | (88,615 | ) | ||||
FTSE/MIS Index Future, December 2015 | ||||||||
(Underlying Face Amount at Value $496,238) | (4 | ) | (1,683 | ) | ||||
S&P 500 E- Mini Future, December 2015 | ||||||||
(Underlying Face Amount at Value $311,063) | (3 | ) | (863 | ) | ||||
TOTAL FUTURES CONTRACTS SOLD | (244,635 | ) | ||||||
WRITTEN PUT FUTURE OPTIONS - 0.0% | ||||||||
Swiss Market IX, Expiration December 19, 2015 | ||||||||
Exercise Price CHF 8,587.92 | (30 | ) | (2,650 | ) | ||||
Swiss Market IX, Expiration December 19, 2015 | ||||||||
Exercise Price CHF 8,703.21 | (40 | ) | (4,593 | ) | ||||
TOTAL WRITTEN PUT FUTURE OPTIONS - (Proceeds - $18,703) | (7,243 | ) |
ETF - Exchange Traded Fund
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $374,274 at October 31, 2015. |
* | Non income producing security. |
+ | Each option contract allows holder to purchase/sell 100 sahres of the underlying security at the exercise price. |
++ | All or part of the security was held as collateral for futures outstanding as of October 31, 2015 |
^^ | Variable rate security. Interest rate is as of October 31, 2015. |
** | The amounts shown are the underlying reference notional amounts to stock exchange indices, debt securities and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund. |
Portfolio Composition * - (Unaudited) | ||||||||||
U.S. Government Securities | 43.3 | % | Debt Funds | 4.6 | % | |||||
Equity Funds | 36.3 | % | Put Option On Futures Purchased | 0.1 | % | |||||
Money Market Fund | 9.3 | % | Collateral for security Loaned | 1.1 | % | |||||
Call Options On Futures Purchased | 5.3 | % | Total | 100.0 | % |
* | Based on total value of investments as of October 31, 2015. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
49
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, boasted significantly positive performance when viewing the fiscal year in its entirety. During the 12-month period, managed futures strategies increased 13.4 percent. However, these strategies increased 20.1 percent in the first fiscal quarter and then each of the three remaining fiscal quarters saw negative performance. The second and third fiscal quarters declined 1.2 percent each, and then the fourth fiscal quarter experienced a 3.3 percent decline to finish the fiscal year. Domestic equity markets, as measured by the S&P 500 Index, also saw an increase during the fiscal year, rising 5.2 percent. Emerging markets equities, as measured by the MSCI Emerging Markets Index, dropped in three out of the four fiscal quarters, ending the fiscal year down 14.5 percent. Foreign developed markets, as measured by the MSCI EAFE Index, fell only 0.1 percent, outperforming their developing counterparts. With the diversified nature of managed futures, exposure to multiple asset classes may provide non-correlated returns as reflected in the performance of the Credit Suisse Managed Futures Liquid Index. The Sub-Adviser continues to believe that the trend conditions of the various asset classes offer the Fund an advantageous investment environment on the back-drop of the multiple year divergence that has occurred between the domestic equity markets and other investment asset classes.
Commodities, as measured by the Thomson Reuters / Jefferies CRB Commodity index, declined 28.1 percent during the fiscal year. Much of the decline in commodities attributable to large declines in oil prices, which was a pervasive theme throughout the 12-month period. The Sub-Adviser continued to periodically implement short-term oriented positions designed to capture the inverse performance of oil such as the ProShares UltraShort Bloomberg Crude Oil ETF (SCO) (holding percentage**: 2.52 percent). The Sub-Adviser primarily implemented these short-term trades at the end of August, after oil prices had surged more than 28 percent in one week. In the first days of September oil prices quickly declined, allowing the Sub-Adviser the opportunity to exit the Fund’s position in SCO with an approximate16.6 percent gain. Subsequent to exiting the ProShares UltraShort Bloomberg Crude Oil ETF, the Sub-Adviser purchased the PowerShares DB Oil Fund (DBO) (holding percentage*: 5.03 percent), which fluctuated along with oil price movements through the end of the fiscal quarter. Since its initial purchase during the fiscal quarter through quarter-end, DBO appreciated a modest amount, increasing 2.0 percent.
Although energy prices generally experienced predominantly negative pressure from beginning to end, hard asset prices, such as gold and silver, experienced a positive end to an otherwise difficult fiscal year. In the early fiscal quarters, when the general trend in gold prices appeared to the Sub-Adviser to be in a downward trajectory, the Sub-Adviser attempted to exploit negative trends in gold prices by using the DB Gold Short ETN (DGZ) (holding percentage**: 2.22 percent). However, in the most recent fiscal quarter, the Sub-Adviser identified positive trends in gold prices. Therefore, the Sub-Adviser utilized the SPDR Gold Shares Trust (GLD) (holding percentage*: 5.09 percent), which attempts to follow the performance of gold prices. GLD showed a negative 3.0 percent return for the fiscal year, but during the most recent fiscal quarter, GLD appreciated 4.2 percent as gold prices generally moved higher. This was not the only holding in the Fund related to precious metals. The Fund also held the iShares Silver Trust (SLV) (holding percentage*: 3.15 percent). In general, silver prices experienced a significantly more volatile fiscal quarter than gold, experiencing both a negative August and a negative September before surging more than 6 percent in October. The Sub-Adviser implemented the holding in SLV at the beginning of October, riding up most of the positive performance in the final month of the fiscal quarter. Even with this most recent appreciation, SLV was down 4.5 percent when measured over the entire fiscal year.
The Sub-Adviser implemented various U.S. sector ETFs during the fiscal year such as the Health Care Select Sector SPDR Fund (XLV) (holding percentage*: 2.01 percent) and the Financial Select Sector SPDR Fund (XLF) (holding percentage*: 2.93 percent). Although the Health Care Select Sector SPDR Fund and Financial Select Sector SPDR Fund were some of the largest positive contributors to Fund performance in the second and third fiscal quarters, these two sector exchange traded funds proved to be some of the more significant detractors from performance in the most recent fiscal quarter. During the most recent fiscal quarter, XLV and XLF fell 6.5 percent and 4.0 percent, respectively. During the fiscal year, XLV and XLF rose 7.5 percent and 2.9 percent, respectively.
The Sub-Adviser’s focus on both short-term and long-term trends continued to provide mixed results, as volatility and concern in the markets generally caused some sharp reversals in trends during the most recent fiscal quarter. These dramatic shifts may provide opportunities for the Sub-Adviser to find another short-term trend, but may also cause additional losses, especially in the holdings that were established by longer-term trends. For these reasons, the Sub-Adviser’s selection of established trends that meet strict requirements generally aided the Fund’s performance relative to the benchmark index, as did the Sub-Adviser’s discipline of using stop losses when trends move in an undesired direction.
* | Holdings percentage(s) as of 10/31/2015. |
** | 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, 2015
Annualized | Annualized | Annualized Since | ||
One Year | Three Years | Five Years | Inception (2/12/09) | |
Class N | (0.41)% | 0.99% | (0.08)% | 1.13% |
Class C | (1.39)% | (0.01)% | (0.77)% | (0.40)% * |
Class A with load of 5.75% | (6.38)% | (1.25)% | (1.53)% | 0.17% ** |
Class A without load | (0.66)% | 0.72% | (0.36)% | 1.07% ** |
Dow Jones Credit Suisse Managed Futures Liquid Index | 13.36% | 8.67% | 2.03% | 2.36% |
Morningstar Managed Futures Category | 3.86% | 2.00% | (0.85)% | (1.31)% |
* | Inception date for Class C is May 14, 2009. |
** | Inception date for Class A is March 25, 2009, performance for Class A includes the operations of the predecessor, Sherwood Forest Alternative Fund (formerly Class P). |
Class N and Class C performance includes the operations of the predecessor, Sherwood Forest Alternative Fund (formerly Class I and Class C, respectively).
The Dow Jones Credit Suisse Managed Futures Liquid Index allocates assets among four major asset classes (equities, fixed-income, commodities and currencies) represented by 18 trading vehicles using a methodology that, in part, seeks to replicate a managed futures strategy that historically has produced gains during periods of rising and declining markets. Investors cannot invest directly in an index or benchmark.
The Morningstar Managed Futures Category is generally representative of funds that trade liquid global futures, options, swaps, and foreign exchange contracts, both listed and over-the-counter. A majority of these funds follow trend-following, price-momentum strategies.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses before and after fee waiver, including underlying funds, are 1.99% for Class N, 2.99% for Class C and 2.24% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com
50
SCHEDULE OF INVESTMENTS |
Dunham Alternative Strategy Fund |
October 31, 2015 |
Security | Shares | Value | ||||||
EXCHANGE TRADED FUNDS - 85.8% | ||||||||
ASSET ALLOCATION FUNDS - 5.0% | ||||||||
Yield Shares High Income ETF ^ | 62,700 | $ | 1,186,284 | |||||
COMMODITY FUNDS - 13.3% | ||||||||
iShares Silver Trust * | 50,700 | 750,360 | ||||||
PowerShares DB Oil Fund * ^ | 103,400 | 1,198,406 | ||||||
SPDR Gold Shares * | 11,100 | 1,213,230 | ||||||
3,161,996 | ||||||||
CURRENCY - 8.1% | ||||||||
PowerShares DB US Dollar Index Bullish Fund * | 15,500 | 1,245,425 | ||||||
ProShares UltraShort Yen * | 27,200 | 686,800 | ||||||
1,932,225 | ||||||||
DEBT FUND - 3.9% | ||||||||
ProShares Short 20+ Year Treasury * | 37,900 | 931,961 | ||||||
DIVERSFIED FINANCIAL SERVICES - 2.9% | ||||||||
Financial Select Sector SPDR Fund ^ | 29,000 | 698,320 | ||||||
ENERGY FUNDS - 10.2% | ||||||||
Alerian MLP ETF ^ | 84,800 | 1,152,432 | ||||||
Energy Select Sector SPDR Fund ^ | 18,500 | 1,258,555 | ||||||
2,410,987 | ||||||||
EQUITY FUNDS - 7.4% | ||||||||
Consumer Staples Select Sector SPDR Fund ^ | 23,500 | 1,172,180 | ||||||
Materials Select Sector SPDR Fund ^ | 12,800 | 579,584 | ||||||
1,751,764 | ||||||||
GROWTH & INCOME - SMALL CAP - 4.8% | ||||||||
Direxion Daily Small Cap Bull 3X Shares | 16,700 | 1,148,292 | ||||||
HEALTH & BIOTECHNOLOGY - 2.0% | ||||||||
Health Care Select Sector SPDR Fund ^ | 6,700 | 477,978 | ||||||
LEISURE INDUSTRY - 5.1% | ||||||||
Consumer Discretionary Select Sector SPDR Fund ^ | 14,900 | 1,206,453 | ||||||
PRECIOUS METALS - 10.3% | ||||||||
Market Vectors Gold Miners ETF | 82,600 | 1,235,696 | ||||||
Market Vectors Junior Gold Miners ETF | 58,800 | 1,203,048 | ||||||
2,438,744 |
Security | Shares | Value | ||||||
REAL ESTATE - 5.7% | ||||||||
iShares US Real Estate ETF | 6,100 | $ | 459,696 | |||||
SPDR S&P Homebuilders ETF ^ | 25,300 | 904,222 | ||||||
1,363,918 | ||||||||
TECHNOLOGY - 5.2% | ||||||||
Powershares QQQ Trust Series 1 ^ | 4,400 | 498,652 | ||||||
Technology Select Sector SPDR Fund ^ | 17,000 | 742,050 | ||||||
1,240,702 | ||||||||
UTILITY - 1.9% | ||||||||
Utilities Select Sector SPDR Fund | 10,200 | 446,250 | ||||||
TOTAL EXCHANGE TRADED FUNDS - (Cost - $19,974,620) | 20,395,874 | |||||||
SHORT - TERM INVESTMENT - 14.4% | ||||||||
MONEY MARKET FUND - 14.4% | ||||||||
Invesco STIT-Treasury Portfolio - 0.02% + | ||||||||
(Cost - $3,406,882) | 3,406,882 | 3,406,882 | ||||||
COLLATERAL FOR SECURITIES LOANED - 33.5% | ||||||||
Mount Vernon Prime Portfolio 0.25% + (Cost - $7,957,439) | 7,957,439 | 7,957,439 | ||||||
TOTAL INVESTMENTS - 133.7% (Cost - $31,338,941) | $ | 31,760,195 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (33.7)% | (7,997,761 | ) | ||||||
NET ASSETS - 100.0% | $ | 23,762,434 |
ETF - Exchange Traded Fund
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $7,698,756 on October 31, 2015 |
* | Non income producing security. |
+ | Variable rate security. Interest rate is as of October 31, 2015. |
Portfolio Composition * - (Unaudited) | ||||||||||
Commodity Funds | 10.0 | % | Real Estate | 4.3 | % | |||||
Precious Metals | 7.7 | % | Technology | 3.9 | % | |||||
Energy Funds | 7.6 | % | Leisure Industry | 3.8 | % | |||||
Currency | 6.1 | % | Growth & Income Small Cap | 3.6 | % | |||||
Equity Funds | 5.5 | % | Other | 47.5 | % | |||||
Total | 100.0 | % |
* | Based on total value of investments as of October 31, 2015. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
51
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 Convertibles All Qualities Index, fell 0.1 percent over the fiscal year ended October 31, 2015. Convertibles underperformed broader equity indexes, such as the S&P 500 Index, which gained 5.2 percent during the same time period. Convertible securities also underperformed bonds in general, as the Barclays Aggregate Bond Index gained 2.0 percent.
For the fiscal year ended October 31, 2015, the Sub-Adviser allocated less than 5 percent to investment grade convertible bonds, just over 16 percent to non-investment grade convertible bonds, and nearly 75 percent of the Fund to non-rated convertibles. The idea was that they would be able to create more alpha by exploiting higher inefficiencies in these non- rated securities that are less followed by analysts.
The Sub-Adviser had an overweight to the technology sector relative to the benchmark in two out of four fiscal quarters. In addition to the net overweight to the sector, superior security selection relative to the benchmark led to an overall benefit for the Fund over the fiscal year and made it the best performing sector in the Fund for the fiscal year ended October 31, 2015. One holding that benefitted the sector was Akamai Technologies, Inc. (00971TAG6) (holding percentage*: 3.87 percent), a provider of services for accelerating and improving the delivery of content and applications over the internet, ranging from live and on-demand streaming video capabilities to conventional content on websites, to tools that help people transact business and reach out to new and existing customers. The stock was up 0.9 percent, while the bonds lost 0.1 percent over the fiscal year.
The financials sector had the largest negative impact on the Fund over the fiscal year. While it held the largest underweight relative to the benchmark, security selection in the sector was sub-par, causing it to be the highest detractor from Fund performance over the fiscal year ended October 31, 2015. A holding that detracted from the Fund was FXCM, Inc. (302693AB2) (holding percentage*: 1.65 percent). The company offers foreign exchange trading services over the internet by allowing customers to trade currency pairs on the over-the-counter foreign exchange markets. They earn fees by adding a mark-up to the price of each trade. The stock lost 94.7 percent, while the bonds lost 37.5 percent over the fiscal year.
While it was the largest detractor from the Fund over the fourth fiscal quarter, the healthcare sector benefited the Fund over the first through third fiscal quarters, resulting in the sector providing a net contribution to the performance of the Fund over the fiscal year ended October 31, 2015. A holding from the sector that benefited the Fund was DepoMed, Inc. (249908AA2) (holding percentage*: 1.55 percent), which develops new and proprietary oral drug delivery technologies. The company developed a system designed to be retained in the stomach for an extended period of time while it delivers the incorporated drug or drugs. DepoMed has also developed a system designed to reduce gastrointestinal irritation. The stock was up 13.6 percent, while the bonds were up 6.3 percent over the fiscal year.
Going forward, the Sub-Adviser expects moderate gross domestic product growth of between 2 to 3 percent; U.S. economic momentum will continue due to gradual improvements in consumer confidence and the unemployment rate; and interest rates should remain low, albeit increasing at some point, most likely in early 2016. The Sub-Adviser believes that corporate cash flows are strong due to low absolute interest rates that have been locked in from refinancing, which enhances interest rate coverage and free cash flow. The Sub-Adviser 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. With historically strong performance during periods of volatile upward-moving equity markets, convertible securities appear to be an attractive investment in the current market conditions.
* | Holdings percentage(s) as of 10/31/2015. |
Growth of $10,000 Investment – (Unaudited)
Total Returns as of October 31, 2015
Annualized | Annualized | Annualized | Annualized Since | ||
One Year | Three Years | Five Years | Ten Years | Inception (12/10/04) | |
Class N | (2.67)% | 7.46% | 6.33% | 5.94% | 5.53% |
Class C | (3.53)% | 6.39% | 5.27% | 4.90% | 4.49% |
Class A with load of 5.75% | (8.41)% | 5.11% | 4.8 3% | N/A | 4.19%* |
Class A without load | (2.84)% | 7.20% | 6.09% | N/A | 4.89%* |
Bof A Merrill Lynch All Convertibles All Qualifies Index | (0.13)% | 11.99% | 9.14% | 7.25% | 6.66% |
Morningstar Convertibles Category | (1.63)% | 9.28% | 7.03% | 6.16% | 6.17% |
* | Class A commenced operations on January 3, 2007. |
The Merrill Lynch All Convertibles All Qualities Index is a widely used index that measures convertible securities’ performance. It measures the performance of U.S. dollar-denominated convertible securities not currently in bankruptcy with a total market value greater than $50 million at issuance.
The Morningstar Convertibles Category is generally representative of convertible bond portfolios that are designed to offer some of the capital-appreciation of stock portfolios, while also supplying some of the safety and yield of bond portfolios.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.63% for Class N, 2.63% for Class C and 1.88% 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.
52
SCHEDULE OF INVESTMENTS |
Dunham Appreciation & Income Fund |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
CONVERTIBLE BONDS - 74.0% | ||||||||||||||
BIOTECHNOLOGY - 3.6% | ||||||||||||||
Acorda Therapeutics, Inc. | $ | 1,000,000 | 1.7500 | % | 6/15/2021 | $ | 1,067,500 | |||||||
COMPUTERS - 4.1% | ||||||||||||||
Sandisk Corp. | 745,000 | 1.5000 | 8/15/2017 | 1,192,000 | ||||||||||
DIVERSIFIED FINANCIAL SERVICES - 5.2% | ||||||||||||||
FXCM, Inc. | 715,000 | 2.2500 | 6/15/2018 | 489,775 | ||||||||||
PRA Group, Inc. | 960,000 | 3.0000 | 8/1/2020 | 1,038,000 | ||||||||||
1,527,775 | ||||||||||||||
ELECTRICAL COMPONENTS & EQUIPMENT - 3.5% | ||||||||||||||
SunPower Corp. | 1,120,000 | 0.8750 | 6/1/2021 | 1,029,700 | ||||||||||
HEALTHCARE-PRODUCTS - 4.6% | ||||||||||||||
Cepheid, Inc. | 545,000 | 1.2500 | 2/1/2021 | 492,035 | ||||||||||
Wright Medical Group, Inc. - 144A | 895,000 | 2.0000 | 6/15/2019 | 850,230 | ||||||||||
1,342,265 | ||||||||||||||
HEALTHCARE-SERVICES - 2.4% | ||||||||||||||
Molina Healthcare, Inc. | 440,000 | 1.1250 | 1/15/2020 | 704,275 | ||||||||||
HOME BUILDERS - 2.7% | ||||||||||||||
CalAtlantic Group, Inc. | 700,000 | 1.2500 | 8/1/2032 | 798,875 | ||||||||||
INSURANCE - 1.4% | ||||||||||||||
AmTrust Financial Services, Inc. | 405,000 | 2.7500 | 12/15/2044 | 401,709 | ||||||||||
INTERNET - 9.3% | ||||||||||||||
Ctrip.com International Ltd. - 144A | 580,000 | 1.0000 | 7/1/2020 | 647,425 | ||||||||||
FireEye, Inc. - 144A | 1,075,000 | 1.0000 | 6/1/2035 | 935,250 | ||||||||||
HomeAway, Inc. | 940,000 | 0.1250 | 4/1/2019 | 904,750 | ||||||||||
Twitter, Inc. | 285,000 | 1.0000 | 9/15/2021 | 250,101 | ||||||||||
2,737,526 | ||||||||||||||
MACHINERY-DIVERSIFIED - 1.3% | ||||||||||||||
Chart Industries, Inc. ^ | 450,000 | 2.0000 | 8/1/2018 | 394,875 | ||||||||||
OIL & GAS - 1.9% | ||||||||||||||
Whiting Petroleum Corp. - 144A | 625,000 | 1.2500 | 4/1/2020 | 553,532 | ||||||||||
PHARMACEUTICALS - 5.9% | ||||||||||||||
Akorn, Inc. | 110,000 | 3.5000 | 6/1/2016 | 336,050 | ||||||||||
Depomed, Inc. | 405,000 | 2.5000 | 9/1/2021 | 457,650 | ||||||||||
Impax Laboratories, Inc. - 144A | 1,020,000 | 2.0000 | 6/15/2022 | 943,500 | ||||||||||
1,737,200 | ||||||||||||||
REAL ESTATE - 2.9% | ||||||||||||||
Forest City Enterprises, Inc. - Class A | 790,000 | 3.6250 | 8/15/2020 | 859,520 | ||||||||||
RETAIL - 2.5% | ||||||||||||||
GNC Holdings, Inc. - 144A ^ | 895,000 | 1.5000 | 8/15/2020 | 738,371 | ||||||||||
SEMICONDUCTORS - 9.5% | ||||||||||||||
Micron Technology, Inc. ^ | 690,000 | 3.0000 | 11/15/2043 | 627,888 | ||||||||||
ON Semiconductor Corp. - 144A | 1,205,000 | 1.0000 | 12/1/2020 | 1,189,937 |
See accompanying notes to financial statements.
53
SCHEDULE OF INVESTMENTS |
Dunham Appreciation & Income Fund (Continued) |
October 31, 2015 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
SEMICONDUCTORS (Continued) - 9.5% | ||||||||||||||
Rambus, Inc. | $ | 900,000 | 1.1250 | % | 8/15/2018 | $ | 982,125 | |||||||
2,799,950 | ||||||||||||||
SOFTWARE - 10.3% | ||||||||||||||
Akamai Technologies, Inc. | 1,130,000 | 0.0000 | 2/15/2019 | 1,146,249 | ||||||||||
Interactive Intelligence Group, Inc. - 144A | 145,000 | 1.2500 | 6/1/2020 | 121,438 | ||||||||||
Medidata Solutions, Inc. | 760,000 | 1.0000 | 8/1/2018 | 798,950 | ||||||||||
PROS Holdings, Inc. - 144A | 950,000 | 2.0000 | 12/1/2019 | 952,969 | ||||||||||
3,019,606 | ||||||||||||||
TELECOMMUNICATIONS - 2.9% | ||||||||||||||
Finisar Corp. | 932,000 | 0.5000 | 12/15/2033 | 835,888 | ||||||||||
TOTAL CONVERTIBLE BONDS (Cost - $22,783,602) | 21,740,567 | |||||||||||||
Dividend | ||||||||||||||
Shares | Rate | |||||||||||||
PREFERRED STOCK - 16.3% | ||||||||||||||
FOOD - 1.5% | ||||||||||||||
Tyson Foods, Inc. | 8,325 | 4.7500 | 435,814 | |||||||||||
INSURANCE - 3.1% | ||||||||||||||
Maiden Holding Ltd. | 16,170 | 7.2500 | 895,009 | |||||||||||
OIL & GAS - 0.8% | ||||||||||||||
Rex Energy Corp. | 7,000 | 6.0000 | 239,750 | |||||||||||
PHARMACEUTICALS - 2.6% | ||||||||||||||
Allergan plc | 735 | 5.5000 | 769,273 | |||||||||||
REITS - 4.8% | ||||||||||||||
Crown Castle International Corp. | 5,750 | 4.5000 | 611,053 | |||||||||||
iStar Financial, Inc. | 15,000 | 4.5000 | 803,429 | |||||||||||
1,414,482 | ||||||||||||||
TELECOMUNICATIONS - 3.5% | ||||||||||||||
Frontier Communications Corp. ^ | 10,500 | 11.1250 | 1,040,864 | |||||||||||
TOTAL PREFERRED STOCK (Cost - $4,888,211) | 4,795,192 | |||||||||||||
Interest | ||||||||||||||
Rate | ||||||||||||||
SHORT-TERM INVESTMENT - 10.5% | ||||||||||||||
MONEY MARKET FUND - 10.5% | ||||||||||||||
First American Government Obligations Fund | 3,069,103 | 0.01 | %+ | 3,069,103 | ||||||||||
TOTAL SHORT-TERM INVESTMENT (Cost - $3,069,103) | ||||||||||||||
COLLATERAL FOR SECURITIES LOANED - 4.3% | ||||||||||||||
Mount Vernon Prime Portfolio 0.25% + (Cost - $1,273,140) | 1,273,140 | 1,273,140 | ||||||||||||
TOTAL INVESTMENTS - 105.1% (Cost - $32,014,056) | $ | 30,878,002 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (5.1)% | (1,500,977 | ) | ||||||||||||
TOTAL NET ASSETS - 100.0% | $ | 29,377,025 |
^ | All or a portion of these securities are on loan. Total loaned securies had a value of $1,247,332 at October 31, 2015. |
* | Non-income producing security. |
+ | Variable rate security. Interest rate is as of October 31, 2015. |
REITS - Real Estate Investment Trusts.
144A- Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers.
See accompanying notes to financial statements.
54
SCHEDULE OF INVESTMENTS |
Dunham Appreciation & Income Fund (Continued) |
October 31, 2015 |
Portfolio Composition * - (Unaudited) | ||||
Convertible Bonds | 70.4 | % | ||
Preferred Stock | 15.5 | % | ||
Short-Term Investment | 9.9 | % | ||
Collateral For Securities Loaned | 4.1 | % | ||
Total | 100.0 | % |
* | Based on total value of investments as of October 31, 2015. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
55
Dunham Large Cap Value Fund |
Message from the Sub-Adviser (Rothschild Asset Management, Inc.) |
Large cap value stocks, as measured by the Russell 1000 Value Index, increased 0.5 percent during the fiscal year ended October 31, 2015. Large cap growth stocks, by comparison, outperformed as the Russell 1000 Growth Index increased 9.2 percent during the same time period. While this was occurring the Sub-Adviser changed on July 1, 2015. The Fund is now sub-advised by Rothschild Asset Management, Inc.
The healthcare sector added to performance on an absolute and relative basis and was by far the strongest sector during the first six-month of the fiscal year. Stocks held by the Fund in this sector outpaced those held within the benchmark index by more than 7 percent and the overall index by more than 13 percent. A moderate overweight to this sector also added to performance. The holdings in this sector alone added 1.2 percent to the total return of the Fund. AmerisourceBergen Corporation (ABC) (holding percentage**: 4.6 percent), an international pharmaceutical wholesaler, was the largest contributor to performance in the Fund and was also the largest single position. The stock increased by 34.7 percent in the first six months of the fiscal year.
Exposure to the energy sector detracted slightly from performance, mainly to a small underweight to the sector. Security selection had a positive effect. Oil prices, which had hit multi-year lows during the first part of the six-month period, rebounded somewhat and stabilized toward the end of the period. The Sub-Adviser focused on firms that have a large percentage of their business concentrated in refining and services, thus their profits are more dependent on volume rather than the price of oil. One of the best performing stocks held by the Fund in this sector was Baker Hughes, Inc. (BHI) (holdings percentage*: 1.6 percent), an oil services and equipment firm, which had a total return of 29.6 percent in the first six months of the fiscal year.
For the first two months of the third fiscal quarter JPMorgan Chase & Co. (JPM) (holding percentage*: 3.23 percent), a financial holding company that provides financial services worldwide, increased 7.1 percent. Wells Fargo & Co (WFC) (percentage*: 2.52 percent), a financial services and bank holding company, also contributed to overall performance by increasing 2.8 percent over the same time period. The health care sector, which was the best performing sector the previous quarter, was one of the worst performers for the first two months of the third fiscal quarter.
As previously mentioned, the Fund undertook a sub-adviser change on July 1, 2015. Beginning on that date, Rothschild Asset Management, Inc. replaced C.S. Mckee as the Fund’s sub-adviser. The Sub-Adviser believes a portfolio of stocks with attractive valuations and upside expectations will lead to outperformance and limit down markets. The Sub-Adviser implements a blended analytical approach that includes both the judgment of experienced fundamental analysts and the objectivity and efficiency of quantitative tools in order to provide an investment decision-making platform for consistency and repeatability. The disciplined use of risk controls and desire to minimize the influence of factor-based risks also drives consistency of relative performance, and potentially leads to attractive portfolio returns with less volatility than the benchmark. Stock selection is the core strength of the Sub-Adviser.
Due to strong earnings releases, holdings within the technology sector were some of the strongest performers within the final month of the fiscal quarter. Western Digital Corp (WDC) (holding percentage*: 1.18 percent), a data storage solutions company, increased 9.7 percent in the month of July. Microsoft Corp. (MSFT) (holding percentage*: 2.54 percent), a company that engages in the developing, licensing and supporting a range of software products and services, increased 5.8 percent over the same time period. A holding within the sector that detracted from performance was Oracle Corp. (ORCL) (holding percentage**: 0.89 percent), a provider of enterprise software and computer hardware products, and services. Oracle Corp. decreased 0.5 percent in July.
Although the energy sector slightly detracted from performance in the first fiscal six-month period, this sector was one of the best performers for the second half of the fiscal year. Within this sector the Sub-Adviser likes to hold companies with strong balance sheets and better market position than competitors. A good example is EOG Resources Inc. (EOG) (holding percentage*: 2.11 percent), a company engaged in the exploration, development, production and marketing of crude oil and natural gas. The Sub-Adviser believes that EOG Resources Inc. is the most efficient shell producer in the United States. They can produce at lower rates than its competitors and take a longer term view on its assets. The Sub-Adviser believes that the same could be said about Exxon Mobil Corp. (XOM) (Holding Percentage*: 4.41 percent), a company that engages in the exploration and production of crude oil and natural gas. Both of these energy holdings contributed positively to Fund performance with EOG Resources Inc. increasing 11.4 percent and Exxon Mobil Corp increasing 5.5 percent over the most recent fiscal quarter.
A sector that detracted from the overall performance of the Fund was the financial services sector. The Sub-Adviser believes that the most value in this sector can be found in asset sensitive names. These types of stocks are relatively cheap as well as having significant operating leverage and tend to benefit from a rise in interest rates. With rates declining over the most recent fiscal quarter, these holdings suffered. MetLife Inc. (MET) (holding percentage*: 1.65 percent), a provider of life insurance, annuities, employee benefits, and asset management, was one of those companies. Over the most recent fiscal quarter MetLife Inc. declined 8.9 percent. The Fund was underweight property and casualty insurers. These holdings are not as asset sensitive and outperformed relatively over the most recent fiscal quarter.
The Sub-Adviser believes that the corporate earnings will drive market performance in the coming quarter. So far, corporate earnings have come in above expectations albeit expectations were very low. The Sub-Adviser also believes that valuations are fair and we should see a pickup in Merger and Acquisition activity. The Sub-Adviser is confident for the coming fiscal quarter and beyond as it believes outperformance comes down to picking the best stocks and its repeatable stock selection process will enable them to continuously upgrade the portfolio with the best stocks available.
* | Holdings percentage(s) as of 10/31/2015. |
** | 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, 2015 | ||||||||||
Annualized | Annualized | Annualized | Annualized Since Inception | |||||||
One Year | Three Years | Five Years | Ten Years | (12/10/04) | ||||||
Class N | 1.41% | 12.70% | 11.27% | 5.55% | 5.89% | |||||
Class C | 0.38% | 11.57% | 10.15% | 4.50% | 4.84% | |||||
Class A with load of 5.75% | (4.69)% | 10.19% | 9.67% | N/A | 3.47%* | |||||
Class A without load | 1.15% | 12.40% | 10.98% | N/A | 4.17%* | |||||
Russell 1000 Value Index | 0.53% | 14.52% | 13.26% | 6.75% | 6.73% | |||||
Morningstar Large Cap Value Category | 0.24% | 13.00% | 11.49% | 5.88% | 5.82% |
* | 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 1.26% for Class N, 2.26% for Class C and 1.51% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.
56
SCHEDULE OF INVESTMENTS |
Dunham Large Cap Value Fund |
October 31, 2015 |
Security | Shares | Value | ||||||
COMMON STOCK - 97.6% | ||||||||
AEROSPACE / DEFENSE - 3.8% | ||||||||
Boeing Co. | 3,934 | $ | 582,507 | |||||
Northrop Grumman Corp. | 5,653 | 1,061,351 | ||||||
Raytheon Co. | 4,576 | 537,222 | ||||||
2,181,080 | ||||||||
AIRLINES - 1.4% | ||||||||
JetBlue Airways Corp. * | 31,189 | 774,735 | ||||||
BANKS - 11.9% | ||||||||
Bank of America Corp. | 98,531 | 1,653,350 | ||||||
Capital One Financial Corp. ^ | 8,850 | 698,265 | ||||||
JPMorgan Chase & Co. | 28,569 | 1,835,558 | ||||||
Regions Financial Corp. | 78,848 | 737,229 | ||||||
SunTrust Banks, Inc. | 12,039 | 499,859 | ||||||
Wells Fargo & Co. | 25,097 | 1,358,752 | ||||||
6,783,013 | ||||||||
BEVERAGES - 2.0% | ||||||||
Coca-Cola Enterprises, Inc. | 7,837 | 402,352 | ||||||
PepsiCo, Inc. | 6,989 | 714,206 | ||||||
1,116,558 | ||||||||
BIOTECHNOLOGY - 2.1% | ||||||||
Amgen, Inc. | 3,314 | 524,208 | ||||||
Gilead Sciences, Inc. | 6,298 | 681,003 | ||||||
1,205,211 | ||||||||
CHEMICALS - 2.1% | ||||||||
Dow Chemical Co. | 11,967 | 618,335 | ||||||
LyondellBasell Industries NV | 6,360 | 590,908 | ||||||
1,209,243 | ||||||||
COMPUTERS - 1.4% | ||||||||
Apple, Inc. | 2,695 | 322,053 | ||||||
Western Digital Corp. | 7,278 | 486,316 | ||||||
808,369 | ||||||||
COSMETICS / PERSONAL CARE - 0.7% | ||||||||
The Procter & Gamble Co. | 5,303 | 405,043 | ||||||
DIVERSIFIED FINANCIAL SERVICES - 4.6% | ||||||||
American Express Co. | 8,963 | 656,629 | ||||||
Ameriprise Financial, Inc. | 6,191 | 714,194 | ||||||
Discover Financial Services | 14,066 | 790,790 | ||||||
Raymond James Financial, Inc. | 8,282 | 456,421 | ||||||
2,618,034 | ||||||||
ELECTRIC - 5.8% | ||||||||
American Electric Power, Inc. | 17,238 | 976,533 | ||||||
CMS Energy Corp. ^ | 16,268 | 586,787 | ||||||
DTE Energy Co. ^ | 9,671 | 789,057 | ||||||
Public Service Enterprise Group, Inc. ^ | 23,448 | 968,168 | ||||||
3,320,545 | ||||||||
ENGINEERING & CONSTRUCTION - 0.9% | ||||||||
Fluor Corp. | 10,402 | 497,320 | ||||||
ENVIRONMETNAL CONTROL - 1.3% | ||||||||
Waste Management, Inc. | 14,357 | 771,832 |
Security | Shares | Value | ||||||
FOOD - 1.6% | ||||||||
Kroger Co. ^ | 11,835 | $ | 447,363 | |||||
Pinnacle Foods, Inc. | 10,907 | 480,781 | ||||||
928,144 | ||||||||
HEALTHCARE PRODUCTS - 1.3% | ||||||||
Becton Dickinson and Co. | 5,283 | 752,933 | ||||||
HEALTHCARE SERVICES - 1.6% | ||||||||
Aetna, Inc. | 7,949 | 912,386 | ||||||
HOME BUILDERS - 1.3% | ||||||||
PulteGroup, Inc. | 38,961 | 714,155 | ||||||
INSURANCE - 5.5% | ||||||||
Allstate Corp. | 14,174 | 877,087 | ||||||
American International Group, Inc. | 15,519 | 978,628 | ||||||
Berkshire Hathaway, Inc. - Class B * | 2,484 | 337,874 | ||||||
MetLife, Inc. | 18,613 | 937,723 | ||||||
3,131,312 | ||||||||
MEDIA - 3.0% | ||||||||
CBS Corp. | 11,819 | 549,820 | ||||||
Comcast Corp. | 9,362 | 586,248 | ||||||
Time Warner, Inc. | 7,293 | 549,455 | ||||||
1,685,523 | ||||||||
MINING - 0.6% | ||||||||
Alcoa, Inc. | 40,437 | 361,102 | ||||||
MISCELLANEOUS MANUFACTURING - 4.6% | ||||||||
3M Co. ^ | 3,274 | 514,705 | ||||||
Dover Corp. | 11,602 | 747,517 | ||||||
General Electric Co. | 27,559 | 797,006 | ||||||
Textron, Inc. | 13,596 | 573,343 | ||||||
2,632,571 | ||||||||
OIL & GAS - 11.8% | ||||||||
Chevron Corp. ^ | 12,156 | 1,104,737 | ||||||
ConocoPhillips | 18,773 | 1,001,540 | ||||||
EOG Resource, Inc. | 14,008 | 1,202,587 | ||||||
Exxon Mobil Corp. ^ | 30,312 | 2,508,015 | ||||||
Marathon Oil Corp. ^ | 23,793 | 437,315 | ||||||
Marathon Petroleum Corp. | 9,326 | 483,087 | ||||||
6,737,281 | ||||||||
PHARMACEUTICALS - 9.0% | ||||||||
Cardinal Health, Inc. | 8,328 | 684,562 | ||||||
Johnson & Johnson ^ | 15,786 | 1,594,860 | ||||||
Merck & Co., Inc. | 15,893 | 868,711 | ||||||
Pfizer, Inc. | 58,549 | 1,980,127 | ||||||
5,128,260 | ||||||||
REITS - 4.2% | ||||||||
Alexandria Real Estate Equities, Inc. | 3,720 | 333,833 | ||||||
Equity LifeStyle Properties, Inc. | 9,711 | 587,321 | ||||||
Equity Residential | 9,383 | 725,494 | ||||||
Public Storage ^ | 3,181 | 729,912 | ||||||
2,376,560 |
See accompanying notes to financial statements.
57
SCHEDULE OF INVESTMENTS |
Dunham Large Cap Value Fund |
October 31, 2015 |
Security | Shares | Value | ||||||
RETAIL - 4.4% | ||||||||
Home Depot, Inc. | 5,297 | $ | 654,921 | |||||
Macy’s, Inc. ^ | 15,583 | 794,421 | ||||||
Target Corp. | 13,722 | 1,059,064 | ||||||
2,508,406 | ||||||||
SEMICONDUCTORS - 1.5% | ||||||||
Intel Corp. | 24,750 | 838,035 | ||||||
SOFTWARE - 3.8% | ||||||||
Microsoft Corp. | 31,352 | 1,650,369 | ||||||
Oracle Corp. | 13,023 | 505,813 | ||||||
2,156,182 | ||||||||
TELECOMMUNICATIONS - 5.4% | ||||||||
ARRIS Group, Inc. * ^ | 10,322 | 291,700 | ||||||
AT&T, Inc. ^ | 29,027 | 972,695 | ||||||
Cisco Systems, Inc. | 37,759 | 1,089,347 | ||||||
Juniper Networks, Inc. | 22,367 | 702,100 | ||||||
3,055,842 | ||||||||
TOTAL COMMON STOCK (Cost - $50,102,954) | 55,609,675 |
Security | Shares | Value | ||||||
SHORT - TERM INVESTMENT - 2.2% | ||||||||
MONEY MARKET FUND - 2.2% | ||||||||
STIT-STIC Prime Portfolio - 0.08% + | ||||||||
(Cost - $1,283,618) | 1,283,618 | $ | 1,283,618 | |||||
COLLATERAL FOR SECURITIES LOANED - 16.0% | ||||||||
Mount Vernon Prime Portfolio 0.25% + | 9,134,370 | 9,134,370 | ||||||
(Cost - 9,134,370) | ||||||||
TOTAL INVESTMENTS - 115.8% (Cost - $60,520,942) | $ | 66,027,663 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (15.8)% | (9,025,874 | ) | ||||||
NET ASSETS - 100.0% | $ | 57,001,789 |
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $8,909,138 at October 31, 2015. |
* | Non-income producing security. |
+ | Variable rate security. Interest rate is as of October 31, 2015. |
(Unaudited) | ||||||||||
Financial | 22.6 | % | Consumer, Cyclical | 6.1 | % | |||||
Consumer, Non-Cyclical | 15.8 | % | Technology | 5.8 | % | |||||
Collateral for Securities Loaned | 13.8 | % | Utilities | 5.0 | % | |||||
Energy | 10.2 | % | Basic Materials | 2.4 | % | |||||
Industrial | 9.2 | % | Funds | 1.9 | % | |||||
Communications | 7.2 | % | Total | 100.0 | % |
* | Based on total value of investments as of October 31, 2015. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
58
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 2.0 percent over the 12- month period ended October 31, 2015, underperforming the broader equity indexes, such as the S&P 500 Index, which increased 5.2 percent during the same time period. Positive results were achieved in two of the four fiscal quarters, with the largest returns coming in the first and fourth fiscal quarters, a flat second fiscal quarter and a 1.6 percent decrease in the third fiscal quarter. The Sub-Adviser made relatively large shifts in the weighting of the Fund toward master limited partnerships, pipeline management, and energy management firms as the price of oil fluctuated. This was generally beneficial, though being the largest component of the Fund, it still had a negative effect. Holdings in the tobacco and technology sectors had a positive impact on performance.
To achieve the dividend yield the Fund seeks as of October 31, 2015, the Sub-Adviser has invested approximately 43 percent of the Fund in oil and gas pipeline partnerships, pipeline management firms, and energy management firms. Another 13 percent is invested in utility stocks, 12 percent in telecommunications stocks, 11 percent in technology, 8 percent in tobacco, 6 percent in pharmaceuticals, 2 percent in both REITs and manufacturing, 1 percent in mining, and 2 percent in cash and cash equivalents. In addition, approximately 18 percent of the Fund is invested in high dividend-paying international stocks, which are comprised mostly of telecommunications and utilities stocks.
Tobacco stocks performed extremely well during the fiscal year, outperforming the overall benchmark index by a wide margin. This enhanced value on an absolute basis, as tobacco holdings in the Fund outperformed the Dow Jones U.S. Select Dividend Index. Reynolds American, Inc. (RAI) (holding percentage*: 5.3 percent), a large U.S. cigarette manufacturer, was the largest holding in the Fund at the end of the period and was responsible for the bulk of the outperformance. Its stock price increased by more than 59 percent in the 12-month period ended October 31, 2015. Solid earnings reports and a recently completed merger with another major tobacco company seemed to drive the performance. In addition, the firm raised its dividend payout by 7.5 percent in 2015, according to the Sub-Adviser. A smaller position in Altria Group, Inc. (MO) (holding percentage*: 2.5 percent), maker of Marlboro cigarettes and other well-known brands, returned more than 30% over the same time period. Comprising nearly 8 percent of the Fund, these two stocks were responsible for a significant portion of the Fund’s performance.
Exposure to master limited partnerships detracted from performance three of the four fiscal quarters, with the exception of the second fiscal quarter when the price of oil saw a rebound from extreme lows. The Sub-Adviser noted that these firms generally have little exposure to the actual price of oil and lower gasoline prices should spur higher consumption, which means that more oil will need to be transported via pipeline regardless of the price of the underlying commodity. However, these types of companies often fall in sympathy with other oil related firms, such as drillers, which actually do see a sharp decline in profits when the price of oil falls. Magellan Midstream Partners LP (MMP) (holding percentage*: 0.9 percent), which engages in the transportation, storage and distribution of refined petroleum products in the U.S., was one of the better performing master limited partnerships held by the Fund. Still, it suffered an 18.2 percent loss during the period.
Stocks in the technology sector added value as the Sub-Adviser’s selections outperformed the benchmark index. Microchip Techno logy, Inc. (MCHP) (holding percentage*: 3.3 percent), a semi-conductor producer, saw a 13.6 percent return over the fiscal quarter. Technology stocks held by the Fund had positive returns in three of the four fiscal quarters. The exception was the third fiscal quarter, which saw a significant selloff of technology stocks in general.
Exposure to the utilities sector had a negative impact on performance over the fiscal year, underperforming in three of the four fiscal quarters. Despite a positive first fiscal quarter, utilities stocks mostly saw declines as fear of anticipation of an interest rate increase took hold. Utility companies tend to be highly leveraged, so any rise in rates will make their businesses more expensive to run. Sempra Energy (SRE) (holdings percentage*: 1.4 percent), a San Diego based diversified utilities company, declined by 4.4 percent in the 12-month period ended October 31, 2015. 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.
Going forward, the Sub-Adviser remains optimistic about the economy and believes lower energy costs will be a windfall for firms that produce consumer oriented products and is encouraged by developments in the second half of the year. No major changes are planned for the Fund, though exposure to financial stocks may increase as interest rates rise. The Sub-Adviser noted, however, that it expects interest rates to increase later rather than sooner.
* | Holdings percentage(s) as of 10/31/2015. |
Growth of $10,000 Investment – (Unaudited)
Total Returns as of October 31, 2015 | ||||
Annualized | ||||
Since | ||||
One | Inception | |||
Year | (9/14/12) | |||
Class N | (6.51)% | 4.43% | ||
Class C | (7.49)% | 3.40% | ||
Class A with load of 5.75% | (12.21)% | 2.20% | ||
Class A without load | (6.82)% | 4.15% | ||
Dow Jones US Select Dividend Index | 2.03% | 13.35% | ||
Morningstar Large Cap Value Category | 0.24% | 11.68% |
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 Large Cap Value 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 1.84% for Class N, 2.84% for Class C and 2.09% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%.The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.
59
SCHEDULE OF INVESTMENTS |
Dunham Alternative Income Fund |
October 31, 2015 |
Security | Shares | Value | ||||||
COMMON STOCK - 97.4% | ||||||||
AGRICULTURE - 8.6% | ||||||||
Altria Group, Inc. ^ | 3,000 | $ | 181,410 | |||||
Reynolds American, Inc. | 8,000 | 386,560 | ||||||
Vector Group Ltd. | 2,000 | 48,500 | ||||||
616,470 | ||||||||
AUTO MANUFACTURERS - 2.1% | ||||||||
Ford Motor Co. ^ | 10,000 | 148,100 | ||||||
CHEMICALS - 2.9% | ||||||||
Dow Jones Chemical Co. | 4,000 | 206,680 | ||||||
COMMERCIAL SERVICES - 4.8% | ||||||||
Macquarie Infrastructure Co. LLC | 3,000 | 238,650 | ||||||
RR Donnelley & Sons Co. ^ | 6,000 | 101,220 | ||||||
339,870 | ||||||||
ELECTRIC - 6.8% | ||||||||
Dominion Resources, Inc. ^ | 2,000 | 142,860 | ||||||
Pepco Holdings, Inc. | 13,000 | 346,190 | ||||||
489,050 | ||||||||
ENGINEERING & CONSTRUCTION - 0.6% | ||||||||
Chicago Bridge & Iron Co. ^ | 1,000 | 44,870 | ||||||
ENVIRONMENTAL CONTROL - 3.5% | ||||||||
Coventa Holding Corp. | 15,000 | 251,400 | ||||||
GAS - 6.2% | ||||||||
Atmos Energy Corp. | 2,000 | 126,000 | ||||||
National Grid PLC - ADR | 3,000 | 214,800 | ||||||
Sempra Energy ^ | 1,000 | 102,410 | ||||||
443,210 | ||||||||
IRON / STEEL - 0.6% | ||||||||
Mesabi Trust ^ | 5,000 | 43,800 | ||||||
MINING - 0.3% | ||||||||
Freeport-McMoran, Inc. | 2,000 | 23,540 | ||||||
MISCELLANEOUS MANUFACTURING - 1.6% | ||||||||
General Electric Co. | 4,000 | 115,680 | ||||||
OIL & GAS - 7.9% | ||||||||
BP PLC - ADR | 5,000 | 178,500 | ||||||
ConocoPhillips | 2,000 | 106,700 | ||||||
Marathon Petroleum Corp. | 2,000 | 103,600 | ||||||
Phillips 66 | 2,000 | 178,100 | ||||||
566,900 | ||||||||
PHARMACEUTICALS - 3.6% | ||||||||
AstraZeneca PLC - ADR | 4,000 | 127,560 | ||||||
GlaxoSmithKline PLC - ADR | 3,000 | 129,180 | ||||||
256,740 | ||||||||
PIPELINES - 18.9% | ||||||||
Buckeye Partners LP - MLP | 1,000 | 67,830 | ||||||
Enbridge, Inc. ^ | 2,000 | 85,380 | ||||||
Energy Transfer Equity LP - MLP | 2,000 | 43,100 | ||||||
Energy Transfer Partners LP - MLP | 3,000 | 132,462 | ||||||
Enterprise Products Partners LP - MLP | 2,000 | 55,260 | ||||||
Kinder Morgan, Inc. | 4,000 | 109,400 | ||||||
Magellan Midstream Partners LP - MLP | 1,000 | 63,810 |
Security | Shares | Value | ||||||
PIPELINES - 18.9% (Continued) | ||||||||
MarkWest Energy Partners LP - MLP | 1,000 | $ | 43,680 | |||||
ONEOK Partners LP - MLP ^ | 1,000 | 31,830 | ||||||
Pembina Pipeline Corp. | 2,000 | 50,240 | ||||||
Plains All American Pipeline LP - MLP ^ | 2,000 | 63,440 | ||||||
Spectra Energy Corp. | 3,000 | 85,710 | ||||||
Sunoco Logistics Partners LP - MLP | 2,000 | 58,080 | ||||||
Tallgrass Energy Partners LP - MLP ^ | 2,000 | 86,640 | ||||||
Targa Resources Partners LP - MLP ^ | 1,169 | 35,070 | ||||||
TransCanada Corp. ^ | 1,000 | 33,590 | ||||||
Williams Cos., Inc. | 6,000 | 236,640 | ||||||
Williams Partners LP - MLP | 2,000 | 67,600 | ||||||
1,349,762 | ||||||||
REITS - 1.7% | ||||||||
Highwoods Properties, Inc. | 1,000 | 43,450 | ||||||
Lexington Realty Trust | 3,000 | 26,520 | ||||||
Universal Health Realty Income Trust | 1,000 | 49,690 | ||||||
119,660 | ||||||||
SEMICONDUCTORS - 8.1% | ||||||||
Intel Corp. | 10,000 | 338,600 | ||||||
Microchip Technology, Inc. ^ | 5,000 | 241,450 | ||||||
580,050 | ||||||||
SOFTWARE - 1.8% | ||||||||
Press Ganey Holdings, Inc. * | 4,000 | 125,360 | ||||||
TELECOMMUNICATIONS - 17.4% | ||||||||
AT&T, Inc. | 3,000 | 100,530 | ||||||
CenturyLink, Inc. ^ | 3,000 | 84,630 | ||||||
Cisco Systems, Inc. | 10,000 | 288,500 | ||||||
Deutsche Telekom AG - ADR | 20,000 | 373,200 | ||||||
Frontier Communications Corp. ^ | 20,000 | 102,800 | ||||||
Vodafone Group PLC - ADR | 9,000 | 296,730 | ||||||
1,246,390 | ||||||||
TOTAL COMMON STOCK (Cost - $7,127,488) | 6,967,532 | |||||||
EXCHANGE TRADED FUND - 1.6% | ||||||||
EQUITY FUND - 1.6% | ||||||||
iShares Russell 2000 ETF (Cost - $123,170) | 1,000 | 115,340 | ||||||
SHORT-TERM INVESTMENT - 2.2% | ||||||||
MONEY MARKET FUND - 2.2% | ||||||||
Fidelity Institutional Money Market Funds - Money Market Portfolio 0.10% + | ||||||||
(Cost - $157,834) | 157,834 | 157,834 | ||||||
COLLATERAL FOR SECURITIES LOANED - 18.0% | ||||||||
Mount Vernon Prime Portfolio 0.25% + (Cost - $1,285,047) | 1,285,047 | 1,285,047 | ||||||
TOTAL INVESTMENTS - 119.2% (Cost - $8,693,539) | $ | 8,525,753 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (19.2)% | (1,373,008 | ) | ||||||
NET ASSETS - 100.0% | $ | 7,152,745 |
ADR - American Depositary Receipt
ETF - Exchange Traded Funds
REIT - Real Estate Investment Trust
MLP - Master Limited Partnership
^ | All or a portion of these securities are on loan. Total loaned securies had a value of $1,225,663 at October 31, 2015. |
* | Non income Producing Security. |
+ | Variable Rate Security. Interest rate as of October 31, 2015. |
See accompanying notes to financial statements.
60
SCHEDULE OF INVESTMENTS |
Dunham Alternative Income Fund (Continued) |
October 31, 2015 |
Portfolio Composition * - (Unaudited) | ||||||||||
Energy | 22.5 | % | Basic Materials | 3.2 | % | |||||
Collateral for Securities Loaned | 15.1 | % | Money Market Fund | 1.9 | % | |||||
Communications | 14.6 | % | Consumer, Cyclical | 1.7 | % | |||||
Consumer, Non-Cyclical | 14.2 | % | Financial | 1.4 | % | |||||
Utilities | 10.9 | % | Exchange Traded Fund | 1.4 | % | |||||
Technology | 8.3 | % | Total | 100.0 | % | |||||
Industrial | 4.8 | % |
* | Based on total value of investments as of October 31, 2015. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
61
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 currency devaluations, waning oil prices, and uncertainty regarding the timing of the Federal Reserve (Fed) interest rate hike. Large cap growth stocks, as measured by the Russell 1000 Growth Index, had a relatively strong fiscal year with a return of 9.2 percent. The most recent performance outpaced other broader equity indexes, such as the S&P 500 Index, which returned 5.2 percent.
The most damaging quarter for the Fund was the fourth quarter of the most recent fiscal year. The Sub-Adviser attributes this difficult quarter to certain macroeconomic factors, such as the devaluation of China’s currency; market uncertainty with the Fed raising interest rates; and a decreasing U.S. energy sector. The Sub-Adviser also believes that low oil prices throughout the year and the possibility of a Greek exit from the Euro may have detracted from potential growth. One holding that detracted from performance during this period was LinkedIn Corp. (LNKD) (Holding Percentage*: 5.51 percent), an online professional network. From the beginning of the fiscal year through August 31, 2015 LinkedIn Corp. declined 21.1 percent. 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 33.4 percent to close out the remainder of the fiscal year.
A strong performer in the Fund was Starbucks Corp. (SBUX) (Holding Percentage*: 6.64 percent), which is a premier roaster, marketer, and retailer of specialty coffee in the world. The Sub-Adviser believes strong performance has come from the company’s implementation of their “Mobile Order & Pay” application, continued expansion of stores in China, and the successful release of multiple new products. Over the fiscal year Starbucks Corp climbed 67.9 percent. A weak performer in the Fund was Illumina, Inc. (ILMN) (Holding Percentage*: 2.18 percent), which declined by 25.6 percent over the fiscal year. The company develops, manufactures, and sells systems for the analysis of genetic variation and biological function. The Sub-Adviser credits underperformance of the holding to sales levels that have decreased from the previous year.
Another positive contributor to the Fund was Amazon.com, Inc. (AMZN) (Holding Percentage*: 3.68 percent), an online retailer that offers a wide range of products, personalized shopping services, and direct shipping to customers. Over the fiscal year, Amazon.com, Inc. increased 104.9 percent, which the Sub-Adviser believes is primarily due to an increase in Amazon Prime members, the successful release of “Amazon Web Services”, and a strong earnings report during the fiscal year. A large detractor from the Fund was FireEye Inc. (FEYE) (Holding Percentage*: 0.87 percent), a provider of malware protection systems and network threat prevention solutions. FireEye Inc. declined 23.1 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 cyber attacks will likely lead to an increase in growth rate and that the recent decrease in performance has been due to the cost of the company’s premier product against competitors’ pricing models.
During the most recent fiscal year, two strong holdings within the Fund were Palo Alto Networks, Inc. (PANW) (Holding Percentage*: 2.25 percent), a provider of network security solutions to customers worldwide, and Facebook, Inc. (FB) (Holding percentage*: 7.68 percent), which operates a social networking website. Palo Alto Networks, Inc. increased 52.3 percent during the fiscal year. The Sub-Adviser attributes Palo Alto Networks, Inc. strong performance to the company’s product quality and ease of use for new clients, which is offered at a competitive price. The Sub-Adviser is also optimistic for the growth of Facebook, Inc. which gained 36.0 percent during the fiscal year. The Sub-Adviser believes that continued growth in user participation allows the company to increase profits through advertisements. They also see long term potential strength in the company as it continues to acquire and develop other businesses.
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 10/31/2015. |
Growth of $10,000 Investment - (Unaudited)
Total Returns as of October 31, 2015 | ||||||
Annualized | Annualized Since | |||||
One | Three | Inception | ||||
Year | Years | (12/8/11) | ||||
Class N | 13.06% | 18.17% | 14.92% | |||
Class C | 11.93% | 17.01% | 13.80% | |||
Class A with load of 5.75% | 6.19% | 15.60% | 12.89% | |||
Class A without load | 12.68% | 17.89% | 14.62% | |||
Russell 1000 Growth Index | 9.18% | 17.94% | 17.55% | |||
Morningstar Large Cap Growth Category | 6.55% | 16.46% | 15.60% |
The Russell 1000 Growth Index is a subset of the Russell 1000 Index which measures the performance of the stocks of the 1000 largest companies in the Russell 3000 Index based on market capitalization. The Russell 1000 Growth Index measures the performance of those stocks of the Russell 1000 with higher price-to-book ratios and higher relative forecasted growth rates. Investors cannot invest directly in an index or benchmark.
The Morningstar Large Cap Growth Category is generally representative of mutual funds that primarily invest in big (large capitalization) U.S. companies that are projected to grow faster than other large-cap stocks.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.15% for Class N, 2.15% for Class C and 1.40% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.
62
SCHEDULE OF INVESTMENTS |
Dunham Focused Large Cap Growth Fund |
October 31, 2015 |
Security | Shares | Value | ||||||
COMMON STOCK - 99.5% | ||||||||
AEROSPACE/DEFENSE - 2.3% | ||||||||
TransDigm Group, Inc. | 6,887 | $ | 1,514,107 | |||||
APPAREL - 4.9% | ||||||||
NIKE, Inc. | 4,818 | 631,303 | ||||||
Under Armour, Inc. - Class A * ^ | 26,685 | 2,537,210 | ||||||
3,168,513 | ||||||||
BIOTECHNOLOGY - 16.0% | ||||||||
Alexion Pharmaceuticals, Inc. * | 8,723 | 1,535,248 | ||||||
Biogen Idec, Inc. * | 4,120 | 1,196,901 | ||||||
BioMarin Pharmaceutical, Inc. * | 5,080 | 594,563 | ||||||
Celgene Corp. * ^ | 21,483 | 2,636,179 | ||||||
Illumina, Inc. * | 9,936 | 1,423,630 | ||||||
Regeneron Pharmaceuticals, Inc. * | 5,524 | 3,079,022 | ||||||
10,465,543 | ||||||||
COMMERCIAL SERVICES - 5.6% | ||||||||
MasterCard, Inc. - Class A ^ | 27,164 | 2,688,964 | ||||||
PayPal Holdings, Inc. | 26,009 | 936,584 | ||||||
3,625,548 | ||||||||
COMPUTERS - 2.8% | ||||||||
Apple, Inc. | 15,402 | 1,840,539 | ||||||
DIVERSIFIED FINANCIAL SERVICES - 5.2% | ||||||||
Visa, Inc. - Class A ^ | 44,034 | 3,416,158 | ||||||
INTERNET - 30.8% | ||||||||
Alphabet Inc | 2,747 | 1,952,595 | ||||||
Amazon.com, Inc. * | 3,844 | 2,405,960 | ||||||
Baidu, Inc. - ADR * ^ | 5,046 | 945,974 | ||||||
Facebook, Inc. - Class A * | 49,287 | 5,025,795 | ||||||
Fireeye, Inc. * ^ | 21,645 | 566,017 | ||||||
LinkedIn Corp. - Class A * | 14,955 | 3,602,211 | ||||||
Priceline Group, Inc. * | 2,424 | 3,525,078 | ||||||
Splunk, Inc. * ^ | 19,689 | 1,105,734 | ||||||
TripAdvisor Inc | 11,964 | 1,002,344 | ||||||
20,131,708 | ||||||||
MACHINERY-DIVERSIFIED - 2.0% | ||||||||
The Middleby Corp. * | 11,355 | 1,327,854 |
Security | Shares | Value | ||||||
MEDIA - 2.7% | ||||||||
Walt Disney Co. ^ | 15,427 | $ | 1,754,667 | |||||
RETAIL - 15.1% | ||||||||
Chipotle Mexican Grill, Inc. - Class A * ^ | 1,471 | 941,778 | ||||||
Domino’s Pizza Inc.^ | 5,675 | 605,352 | ||||||
Restoration Hardware Holding ^ | 6,149 | 633,900 | ||||||
Starbucks Corp. ^ | 69,444 | 4,345,111 | ||||||
TJX Cos. Inc. ^ | 19,991 | 1,463,141 | ||||||
Ulta Salon, Cosmetics & Frag. | 10,937 | 1,902,601 | ||||||
9,891,883 | ||||||||
SEMICONDUCTORS - 2.9% | ||||||||
ARM Holdings PLC - ADR ^ | 40,054 | 1,899,761 | ||||||
SOFTWARE - 6.9% | ||||||||
Salesforce.com, Inc. * | 44,398 | 3,450,169 | ||||||
Workday, Inc. - Class A * ^ | 13,004 | 1,026,926 | ||||||
4,477,095 | ||||||||
TELECOMMUNICATIONS - 2.3% | ||||||||
Palo Alto Networks, Inc. * ^ | 9,134 | 1,470,574 | ||||||
TOTAL COMMON STOCK (Cost - $49,801,272) | 64,983,950 | |||||||
SHORT-TERM INVESTMENT - 0.7% | ||||||||
MONEY MARKET FUND - 0.7% | ||||||||
First American Obligations Fund, 0.06% + | 426,007 | 426,007 | ||||||
TOTAL SHORT-TERM INVESTMENT (Cost - $426,007) | ||||||||
COLLATERAL FOR SECURITIES LOANED - 22.2% | ||||||||
Mount Vernon Prime Portfolio 0.25% + (Cost - $14,496,161) | 14,496,161 | 14,496,161 | ||||||
TOTAL INVESTMENTS - 122.4% (Cost - $64,723,440) | $ | 79,906,118 | ||||||
LIABILITIES LESS OTHER ASSETS - (22.4%) | (14,609,824 | ) | ||||||
NET ASSETS - 100.0% | $ | 65,296,294 |
^ | All or a portion of these securities are on loan. Total loaned securies had a value of $14,071,213 at October 31, 2015. |
* | Non-Income producing security. |
ADR - American Depositary Receipt.
+ | Variable rate security. Interest rate is as of October 31, 2015. |
Portfolio Composition * - (Unaudited) | ||||||||||
Communications | 29.2 | % | Technology | 10.3 | % | |||||
Collateral For Securities Loaned | 18.1 | % | Financial | 4.3 | % | |||||
Consumer, Non-Cyclical | 17.6 | % | Basic Materials | 3.6 | % | |||||
Consumer, Cyclical | 16.4 | % | Short-Term Investments | 0.5 | % | |||||
Total | 100.0 | % |
* | Based on total value of investments as of October 31, 2015. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
63
Dunham International Stock Fund |
Message from the Sub-Adviser (Arrowstreet Capital, L.P.) |
International equity markets, as measured by the MSCI All Country World ex USA Index (Net) (referred to as the “Index”), detracted 4.68 percent during the year ended October 31, 2015 (the “fiscal year”).
The best performing developed market countries as measured by the Index during the fiscal year were Ireland, up 17.77 percent, and Israel, up 11.19 percent. The worst performing developed market countries were Norway, down 23.90 percent, and Australia, down 20.66 percent. The best performing emerging market countries during the fiscal year as measured by the Index were Hungary, up 12.91 percent and China, down 0.70 percent. The worst performing emerging market countries were Greece, down 55.98 percent, and Brazil, down 45.97 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: the United Kingdom, primarily due to underweights to the energy and materials sectors; and Canada, primarily due to underweights to the energy and materials sector. Countries contributing most to underperformance relative to the Index included: Switzerland, primarily due to overweights to the health care sector; and China and Turkey, primarily due to overweights to the financials sectors.
Sectors contributing most to returns relative to the Index during the fiscal year included: the energy sector, primarily due to underweights in the United Kingdom and Canada; the materials sector, primarily due to underweights in the United Kingdom, Canada, and Australia; and the information technology sector, primarily due to overweights in Germany and France. The sectors contributing the most to underperformance relative to the Index was the utilities sector, primarily due to overweights in Italy, Spain, and Germany; and the consumer discretionary sector, primarily due to overweights in Germany.
The stocks contributing most to returns relative to the Index during the fiscal year included: Peugeot SA, (holding percentage*: 0.19 percent) a French consumer discretionary company; Novo Nordisk A/S Class B (holding percentage*: 1.53 percent), a Denmark health care company; and OSRAM Licht AG (holding percentage*: 0.22 percent), a German industrials company. During the fiscal year, Peugeot SA, Novo Nordisk A/S Class B; and OSRAM Licht AG appreciated 69.4 percent, 36.0 percent, and 95.6 percent, respectively. Stocks contributing most to underperformance relative to the Index included: Volkswagen Ag Pref (holding percentage*: 0.29 percent), a German consumer discretionary company; Roche Holding Ltd Genussch. (holding percentage*: 1.25 percent), a Swiss health care company; and Nokia Oyj (holding percentage**: 0.00 percent), a Finish information technology company. During the fiscal year, Volkswagen Ag Pref and Roche Holding Ltd Genussch. depreciated 34.5 percent and 2.5 percent, respectively. From the beginning of the fiscal year through the date it was sold in September, Nokia Oyj depreciated 22.2 percent.
The foregoing Sub-Adviser Background and Insights from the Sub-Adviser are provided by Arrowstreet as of October 31, 2015 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 10/31/2015. |
** | 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, 2015 | ||||||||||
Annualized | Annualized | Annualized | Annualized Since Inception | |||||||
One Year | Three Years | Five Years | Ten Years | (12/10/04) | ||||||
Class N | (4.10)% | 4.69% | 2.61% | 4.43% | 4.74% | |||||
Class C | (5.06)% | 6.50% | 2.67% | 3.39% | 3.71% | |||||
Class A with load of 5.75% | (9.85)% | 5.24% | 2.23% | N/A | 0.61%* | |||||
Class A without load | (4.26)% | 7.33% | 3.45% | N/A | 1.29%* | |||||
MSCI All Country World ex US Index (net) | (4.68)% | 4.69% | 2.61% | 4.16% | 5.05% | |||||
Morningstar Foreign Large Cap Blend Category | (1.55)% | 6.57% | 3.79% | 3.62% | 4.41% |
* | Class A commenced operations on January 3, 2007. |
The MSCI All Country World ex US Index (net) is a free float-adjusted market capitalization index designed to measure equity market performance in the global developed and emerging markets excluding holdings in the United States and is net of any withholding taxes. Investors cannot invest directly in an index or benchmark.
The Morningstar Foreign Large Cap Blend Category is generally representative of mutual funds that primarily invest in non-U.S. stocks that have market caps in the top 70% of each economically integrated market (such as Europe or Asia ex-Japan). The blend style is generally applicable where neither growth nor value characteristics predominate.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 2.04% for Class N, 3.04% for Class C and 2.29% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%.The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distribution. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.
64
SCHEDULE OF INVESTMENTS |
Dunham International Stock Fund |
October 31, 2015 |
Security | Shares | Value | ||||||
COMMON STOCK - 96.5% | ||||||||
ADVERTISING - 0.6% | ||||||||
WPP PLC | 24,372 | $ | 545,260 | |||||
AEROSPACE / DEFENSE - 0.9% | ||||||||
Airbus Group NV | 10,769 | 753,960 | ||||||
Airbus Group NV - ADR ^ | 2,823 | 48,810 | ||||||
802,770 | ||||||||
AGRICULTURE - 1.8% | ||||||||
British American Tobacco PLC - ADR | 576 | 68,026 | ||||||
Japan Tobacco, Inc. | 20,600 | 714,187 | ||||||
KT&G Corp. | 502 | 50,137 | ||||||
Swedish Match AB | 26,881 | 850,564 | ||||||
1,682,914 | ||||||||
AIRLINES - 0.1% | ||||||||
Japan Airlines Co., Ltd. | 2,300 | 86,792 | ||||||
Turk Hava Yollari * | 1 | 3 | ||||||
86,795 | ||||||||
APPAREL - 0.6% | ||||||||
Christian Dior SE | 377 | 74,497 | ||||||
LVMH Moet Hennessy Louis Vuitton | 2,680 | 501,634 | ||||||
576,131 | ||||||||
AUTO MANUFACTURERS - 1.4% | ||||||||
Honda Motor Co. Ltd. | 3,700 | 122,601 | ||||||
Hyundai Motor Co. - GDR | 2,288 | 108,909 | ||||||
Nissan Motor Co. Ltd. | 17,300 | 179,633 | ||||||
Peugeot SA * | 9,897 | 174,826 | ||||||
Porsche Automobil Holding SE - ADR | 14,473 | 67,299 | ||||||
Renault SA | 2,660 | 251,992 | ||||||
Volkswagen AG | 1,083 | 150,776 | ||||||
Volvo AB | 24,943 | 259,680 | ||||||
1,315,716 | ||||||||
AUTO PARTS & EQUIPMENT - 3.3% | ||||||||
Aisin Seiki Co. Ltd. | 5,800 | 230,578 | ||||||
Bridgestone Corp. | 4,400 | 161,620 | ||||||
Cie Generale des Etablissements Michelin - ADR | 2,615 | 261,537 | ||||||
Cie Generale des Etablissements Michelin | 6,951 | 137,665 | ||||||
Continental AG | 2,278 | 549,975 | ||||||
GKN PLC | 95,089 | 419,472 | ||||||
Magna International, Inc. | 4,362 | 228,783 | ||||||
NHK Spring Co. Ltd. | 17,900 | 182,487 | ||||||
NOK Corp | 4,100 | 96,509 | ||||||
Sumitomo Electric Industries Ltd. | 15,100 | 206,426 | ||||||
Toyota Gosei Co. Ltd. | 8,400 | 192,865 | ||||||
Toyota Industries Corp. | 1,900 | 100,010 | ||||||
Valeo SA | 2,303 | 357,566 | ||||||
3,125,493 | ||||||||
BANKS - 5.2% | ||||||||
Agricultural Bank of China Ltd. | 411,000 | 168,074 | ||||||
Bank Hapoalim BM | 92,680 | 483,114 | ||||||
Bank Leumi Le-Israel BM * | 54,789 | 208,184 | ||||||
Bank of China Ltd. - ADR | 853,000 | 402,268 | ||||||
Bank of Communications Co. Ltd. | 384,000 | 283,256 | ||||||
Bank of Yokohama Ltd. | 38,000 | 237,556 | ||||||
China CITIC Bank Corp. Ltd. * | 573,000 | 370,569 | ||||||
China Construction Bank Corp. | 2,000 | 1,450 | ||||||
China Merchants Bank Co. Ltd. | 111,000 | 289,830 | ||||||
China Minsheng Banking Corp. Ltd. | 91,500 | 91,959 | ||||||
Commerzbank AG * | 36,810 | 407,017 | ||||||
Deutsche Bank AG | 13,648 | 384,058 | ||||||
Industrial & Commercial Bank of China Ltd. - ADR | 4,057 | 51,321 | ||||||
Industrial & Commercial Bank of China Ltd. | 1,096,000 | 695,244 |
Security | Shares | Value | ||||||
BANKS (Continued) - 5.2% | ||||||||
Mediobanca SpA | 13,676 | $ | 138,280 | |||||
Nordea Bank AB | 32,468 | 360,589 | ||||||
Sberbank of Russia - ADR | 11,858 | 72,725 | ||||||
Seven Bank Ltd | 39,400 | 179,826 | ||||||
Turkiye Is Bankasi | 1 | 1 | ||||||
4,825,321 | ||||||||
BEVERAGES - 6.9% | ||||||||
Ambev SA - ADR | 51,300 | 249,831 | ||||||
Ambev SA | 193,500 | 962,659 | ||||||
Anheuser-Busch InBev NV - ADR | 9,505 | 1,134,232 | ||||||
Anheuser-Busch InBev NV | 10,607 | 1,272,524 | ||||||
Asahi Group Holdings Ltd. | 4,900 | 151,397 | ||||||
Carlsberg A/S | 7,167 | 590,350 | ||||||
Diageo PLC - ADR | 2,735 | 314,744 | ||||||
Fomento Economico Mexicano SAB de CV - ADR | 949 | 94,036 | ||||||
Heineken Holding NV | 2,258 | 181,374 | ||||||
Heineken NV - ADR | 263 | 11,990 | ||||||
Heineken NV | 12,174 | 1,114,842 | ||||||
Kirin Holdings Co. Ltd. | 5,300 | 75,190 | ||||||
SABMiller PLC | 5,092 | 312,323 | ||||||
6,465,492 | ||||||||
BUILDING MATERIALS - 1.7% | ||||||||
Asahi Glass Co., Ltd. | 102,000 | 584,970 | ||||||
Cie de Saint-Gobain | 4,573 | 192,466 | ||||||
Geberit AG | 742 | 240,028 | ||||||
HeidelbergCement AG | 3,171 | 237,421 | ||||||
Lafarge SA | 5,551 | 313,348 | ||||||
Sika AG | 18 | 59,173 | ||||||
1,627,406 | ||||||||
CHEMICALS - 1.1% | ||||||||
EMS-Chemie Holding AG | 367 | 155,675 | ||||||
Givaudan SA | 31 | 55,566 | ||||||
K+S AG | 5,344 | 135,630 | ||||||
Lonza Group AG | 1,211 | 178,174 | ||||||
Mitsubishi Chemical Holdings Corp. | 22,500 | 140,443 | ||||||
Novozymes A/S - ADR ^ | 7,260 | 336,719 | ||||||
1,002,207 | ||||||||
COMMERCIAL SERVICES - 1.1% | ||||||||
Adecco SA | 1,286 | 95,823 | ||||||
Atlantia SpA | 9,006 | 250,756 | ||||||
Dai Nippon Printing Co. Ltd. | 18,000 | 186,467 | ||||||
Edenred | 6,784 | 125,234 | ||||||
Experian PLC | 7,594 | 129,118 | ||||||
Randstad Holding NV | 2,342 | 140,424 | ||||||
Toppan Printing Co. Ltd. | 9,000 | 80,841 | ||||||
1,008,663 | ||||||||
COMPUTERS - 0.6% | ||||||||
Fujitsu Ltd. | 30,000 | 142,034 | ||||||
TDK Corp. | 6,300 | 401,954 | ||||||
543,988 | ||||||||
COSMETICS / PERSONAL CARE - 4.5% | ||||||||
Beiersdorf AG | 855 | 81,644 | ||||||
Kao Corp. | 8,900 | 457,678 | ||||||
L’Oreal SA - ADR | 2,000 | 72,940 | ||||||
L’Oreal SA | 1,725 | 316,177 | ||||||
Shiseido Co. Ltd. | 3,300 | 78,519 | ||||||
Svenska Cellulosa AB SCA - ADR | 3,200 | 94,320 | ||||||
Svenska Cellulosa AB SCA | 3,916 | 116,098 | ||||||
Unicharm Corp | 9,900 | 211,778 | ||||||
Unilever NV - Dutch Cert | 14,343 | 655,137 | ||||||
Unilever NV - NY Reg. Shares | 13,957 | 627,786 |
See accompanying notes to financial statements.
65
SCHEDULE OF INVESTMENTS |
Dunham International Stock Fund (Continued) |
October 31, 2015 |
Security | Shares | Value | ||||||
COSMETICS / PERSONAL CARE - 4.5% (Continued) | ||||||||
Unilever PLC - ADR | 21,693 | $ | 964,254 | |||||
Unilever PLC | 12,331 | 548,179 | ||||||
4,224,510 | ||||||||
DISTRIBUTION / WHOLESALE - 0.6% | ||||||||
Mitsubishi Corp. | 18,100 | 329,615 | ||||||
Sumitomo Corp. | 17,200 | 188,434 | ||||||
518,049 | ||||||||
DIVERSIFIED FINANANCIAL SERVICES - 1.4% | ||||||||
CITIC Securities Co. Ltd. | 5,000 | 10,775 | ||||||
Deutsche Boerse AG | 3,727 | 345,505 | ||||||
Haitong Securities Co. Ltd. | 72,800 | 126,673 | ||||||
Hana Financial Group, Inc. | 11,900 | 289,272 | ||||||
Hong Kong Exchanges and Clearing Ltd. - ADR | 5,700 | 149,197 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 3,500 | 91,597 | ||||||
Julius Baer Group Ltd. - ADR | 6,600 | 65,076 | ||||||
Partners Group Holding AG | 469 | 170,110 | ||||||
Shinhan Financial Group Co. Ltd. | 972 | 37,081 | ||||||
1,285,286 | ||||||||
ELECTRIC - 0.4% | ||||||||
Chubu Electric Power Co., Inc. | 13,900 | 214,179 | ||||||
Fortum OYJ | 5,010 | 75,536 | ||||||
Korea Electric Power Corp. | 2,476 | 111,433 | ||||||
401,148 | ||||||||
ELECTRICAL COMPONENTS & EQUIPMENT - 1.1% | ||||||||
Brother Industries Ltd. | 17,100 | 218,926 | ||||||
Legrand A | 2,937 | 161,830 | ||||||
Osram Licht AG * | 3,407 | 201,293 | ||||||
Schneider Electric SE | 7,618 | 461,967 | ||||||
1,044,016 | ||||||||
ELECTRONICS - 1.2% | ||||||||
Hoya Corp | 5,300 | 219,077 | ||||||
Keyence Corp. | 200 | 104,295 | ||||||
Murata Manufacturing Co. Ltd. | 2,900 | 413,504 | ||||||
Omron Corp. | 5,200 | 172,473 | ||||||
Radiant Opto-Electronics Corp. | 42,000 | 129,451 | ||||||
Yokogawa Electric Corp. | 5,200 | 58,182 | ||||||
1,096,982 | ||||||||
ENGINEERING & CONSTRUCTION - 0.4% | ||||||||
ACS Actividades de Construccion y Servicios SA | 4,807 | 163,976 | ||||||
Daelim Industrial Co. Ltd. | 3,235 | 211,109 | ||||||
375,085 | ||||||||
FOOD - 10.2% | ||||||||
Ajinomoto Co., Inc. | 21,000 | 468,531 | ||||||
Aryzta AG | 3,395 | 153,241 | ||||||
BRF SA - ADR | 8,200 | 125,706 | ||||||
BRF SA | 11,900 | 186,383 | ||||||
Carrefour SA | 2,360 | 77,319 | ||||||
Chocoladefabriken Lindt & Sprungli AG | 39 | 238,591 | ||||||
Colruyt SA | 4,359 | 216,777 | ||||||
Delhaize Group | 13,593 | 315,629 | ||||||
ICA Gruppen AB | 7,703 | 276,599 | ||||||
JBS SA | 67,400 | 250,300 | ||||||
Jeronimo Martins SGPS SA | 138,038 | 1,948,084 | ||||||
Kerry Group PLC | 1,389 | 113,264 | ||||||
Koninklijke Ahold NV - ADR | 3,800 | 77,064 | ||||||
Koninklijke Ahold NV | 4,533 | 92,713 | ||||||
MEIJI Holdings Co. Ltd. | 2,000 | 157,861 | ||||||
Nestle SA - ADR | 19,350 | 1,474,857 | ||||||
Nestle SA | 15,364 | 1,176,206 |
Security | Shares | Value | ||||||
FOOD (Continued) - 10.2% | ||||||||
Nissin Foods Holdings Co. Ltd. | 5,100 | $ | 236,155 | |||||
Orkla ASA - ADR | 17,173 | 145,799 | ||||||
Orkla ASA | 97,257 | 829,269 | ||||||
Seven & I Holdings Co. Ltd. - ADR ^ | 3,700 | 83,768 | ||||||
Seven & I Holdings Co. Ltd. | 13,900 | 632,453 | ||||||
Toyo Suisan Kaisha Ltd. | 6,100 | 225,145 | ||||||
9,501,714 | ||||||||
GAS - 0.2% | ||||||||
Gas Natural SDG SA | 9,028 | 196,349 | ||||||
HAND / MACHINE TOOLS - 0.5% | ||||||||
Sandvik AB | 35,754 | 335,654 | ||||||
Schindler Holding AG | 1,047 | 170,818 | ||||||
506,472 | ||||||||
HEALTHCARE - PRODUCTS - 0.8% | ||||||||
Coloplast A/S | 2,282 | 164,557 | ||||||
Essilor International SA | 1,861 | 245,603 | ||||||
QIAGEN NV * | 4,600 | 111,182 | ||||||
Sonova Holding AG | 647 | 88,490 | ||||||
Sysmex Corp. - ADR | 735 | 21,028 | ||||||
Sysmex Corp. | 1,400 | 80,155 | ||||||
711,015 | ||||||||
HEALTHCARE - SERVICES- 0.2% | ||||||||
Fresenius Medical Care AG & Co KGaA - ADR | 4,001 | 179,765 | ||||||
HOLDING COMPANIES-DIVERSIFIED - 0.1% | ||||||||
Haci Omer Sabanci Holdings AS | 1 | 2 | ||||||
Industrivarden AB - C shares | 4,303 | 78,616 | ||||||
Swire Pacific Ltd. | 30,000 | 64,892 | ||||||
143,510 | ||||||||
HOME FURNISHINGS - 1.5% | ||||||||
Arcelik AS | 1 | 5 | ||||||
Electrolux AB - Series B | 9,343 | 276,677 | ||||||
Hanssem Co. Ltd. | 1,117 | 228,681 | ||||||
Panasonic Corp. | 14,100 | 165,706 | ||||||
Sharp Corp. * | 508,000 | 557,732 | ||||||
Sony Corp. * | 7,100 | 202,156 | ||||||
1,430,957 | ||||||||
HOUSEHOLD PRODUCTS - 0.6% | ||||||||
Henkel AG & Co KGaA | 2,766 | 256,691 | ||||||
Kimberly-Clark de Mexico SAB de CV | 49,022 | 117,127 | ||||||
Societe BIC SA | 978 | 156,695 | ||||||
530,513 | ||||||||
INSURANCE - 5.5% | ||||||||
Aegon NV | 16,547 | 102,090 | ||||||
Aegon NV - NY Reg. Shares | 19,047 | 117,139 | ||||||
Ageas | 10,347 | 458,749 | ||||||
China Life Insurance Co. Ltd. - ADR | 22,973 | 414,892 | ||||||
China Life Insurance Co. Ltd. - H Shares | 1,000 | 3,606 | ||||||
China Pacific Insurance Group Co. Ltd. | 31,400 | 125,087 | ||||||
Dai-ichi Life Insurance Co. Ltd. | 29,500 | 511,176 | ||||||
Hannover Rueck SE | 2,790 | 324,297 | ||||||
MS&AD Insurance Group Holdings, Inc. | 10,500 | 310,060 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 1,340 | 268,634 | ||||||
New China Life Insurance Co. Ltd. | 6,000 | 26,422 | ||||||
Ping An Insurance Group Co of China Ltd | 4,500 | 25,261 | ||||||
Power Corp of Canada | 18,700 | 418,005 | ||||||
Power Financial Corp. | 8,400 | 206,678 |
See accompanying notes to financial statements.
66
SCHEDULE OF INVESTMENTS |
Dunham International Stock Fund (Continued) |
October 31, 2015 |
Security | Shares | Value | ||||||
INSURANCE - 5.5% (Continued) | ||||||||
Sony Financial Holdings Inc. | 12,900 | $ | 231,585 | |||||
Swiss Re AG | 1,508 | 360,198 | ||||||
T&D Holdings, Inc. | 16,400 | 215,866 | ||||||
Tokio Marine Holdings, Inc. - ADR ^ | 6,248 | 240,798 | ||||||
Tokio Marine Holdings, Inc. | 14,800 | 571,216 | ||||||
Zurich Insurance Group AG | 581 | 153,691 | ||||||
5,085,450 | ||||||||
INTERNET - 0.2% | ||||||||
United Internet AG | 3,514 | 183,444 | ||||||
IRON / STEEL - 0.9% | ||||||||
JFE Holdings, Inc. | 7,800 | 122,824 | ||||||
Severstal PAO - GDR | 61,448 | 722,628 | ||||||
845,452 | ||||||||
LEISURE TIME - 0.4% | ||||||||
Carnival PLC ^ | 6,000 | 334,500 | ||||||
MACHINERY CONSTRUCTION & MINING - 1.6% | ||||||||
ABB Ltd. - ADR | 1,160 | 21,901 | ||||||
ABB Ltd. | 20,038 | 378,932 | ||||||
Altas Copco AB - ADR | 4,100 | 107,789 | ||||||
Atlas Copco AB - A Shares | 6,565 | 172,210 | ||||||
Atlas Copco AB - B Shares | 5,645 | 137,362 | ||||||
Doosan Infracore Co. Ltd. * | 15,880 | 86731 | ||||||
Hitachi Ltd. | 30,000 | 173,351 | ||||||
Komatsu Ltd. | 11,100 | 182,759 | ||||||
Mitsubishi Electric Corp. | 25,000 | 260,801 | ||||||
1,521,836 | ||||||||
MACHINERY - DIVERSIFIED - 0.3% | ||||||||
Hexagon AB - B Shares | 5,707 | 199,247 | ||||||
Kone OYJ | 2,252 | 96,569 | ||||||
295,816 | ||||||||
MEDIA - 1.5% | ||||||||
Altice NV - Class A | 11,577 | 201,593 | ||||||
Altice NV - Class B | 3,859 | 68,904 | ||||||
Grupo Televisa SAB | 4,080 | 118,891 | ||||||
ITV PLC | 54,584 | 211,552 | ||||||
Lagardere SCA | 3,000 | 87,759 | ||||||
ProSiebenSat.1 Media AG | 5,944 | 322,926 | ||||||
Telenet Group Holding NV * | 370 | 21,637 | ||||||
Thomson Reuters Corp. | 3,500 | 142,896 | ||||||
Vivendi SA | 10,120 | 244,772 | ||||||
1,420,930 | ||||||||
METAL FABRICATE / HARDWARE - 0.4% | ||||||||
Assa Abloy AB - ADR | 16,500 | 164,505 | ||||||
Assa Abloy AB | 7,878 | 157,745 | ||||||
SKF AB | 4,804 | 84,970 | ||||||
407,220 | ||||||||
MINING - 0.2% | ||||||||
BHP Billiton Ltd. | 13,906 | 227,397 | ||||||
MISCELLANEOUS MANUFACTURING - 2.3% | ||||||||
Doosan Corp. | 2,301 | 222,368 | ||||||
FUJIFILM Holdings Corp. | 17,600 | 703,208 | ||||||
Konica Minolta Holdings, Inc. | 24,000 | 246,996 | ||||||
Largan Precision Co. Ltd. | 12,000 | 928,742 | ||||||
2,101,314 | ||||||||
OFFICE / BUSINESS EQUIPMENT - 0.7% | ||||||||
Canon, Inc. - ADR ^ | 3,492 | 103,992 | ||||||
Canon, Inc. | 18,700 | 559,348 | ||||||
663,340 |
Security | Shares | Value | ||||||
OIL & GAS - 7.2% | ||||||||
BP PLC - ADR | 10,518 | $ | 375,493 | |||||
Gazprom OAO - ADR | 340,311 | 1,422,500 | ||||||
Lukoil OAO - ADR | 55,796 | 2,025,395 | ||||||
Neste Oil OYJ | 8,670 | 212,540 | ||||||
Novatek OAO - GDR | 2,585 | 236,398 | ||||||
Rosneft OAO - GDR | 80,809 | 322,105 | ||||||
Royal Dutch Shell PLC - ADR | 3,139 | 164,672 | ||||||
SK Innovation Co. Ltd. * | 2,918 | 302,433 | ||||||
S-Oil Corp. | 3,242 | 193,811 | ||||||
Statoil ASA | 27,628 | 447,453 | ||||||
Surgutneftegas OAO - ADR | 24,000 | 162,120 | ||||||
Surgutneftegas OAO - ADR | 22,795 | 125,311 | ||||||
Tatneft OAO - ADR | 9,047 | 280,412 | ||||||
TOTAL SA - ADR | 501 | 24,163 | ||||||
Tupras Turkiye Petrol Rafinerileri AS * | 16,976 | 448,439 | ||||||
6,743,245 | ||||||||
PHARMACEUTICALS - 10.6% | ||||||||
Actelion Ltd. | 6,086 | 846,837 | ||||||
Astellas Pharma, Inc. | 30,000 | 436,157 | ||||||
AstraZeneca PLC - ADR | 6,800 | 216,852 | ||||||
Bayer AG - ADR | 700 | 93,408 | ||||||
Bayer AG | 7,635 | 1,023,525 | ||||||
Chugai Pharmaceutical Co. Ltd. | 10,100 | 325,658 | ||||||
Eaisai Co. Ltd. | 4,400 | 275,675 | ||||||
GlaxoSmithKline PLC - ADR | 10,305 | 443,733 | ||||||
Grifols SA - ADR | 2,652 | 92,316 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 14,000 | 231,145 | ||||||
Medipal Holdings Corp. | 9,900 | 173,062 | ||||||
Novo Nordisk A/S - ADR | 8,187 | 435,385 | ||||||
Novo Nordisk A/S | 26,786 | 1,430,095 | ||||||
Otsuka Holdings Co Ltd | 6,200 | 206,681 | ||||||
Richter Gedeon Nyrt | 34,309 | 575,312 | ||||||
Roche Holding AG-BR | 848 | 232,554 | ||||||
Roche Holding AG- Genusschein | 4,305 | 1,171,588 | ||||||
Shire PLC - ADR | 3,316 | 752,898 | ||||||
Shire PLC | 3,647 | 275,776 | ||||||
Takeda Pharmaceutical Co. Ltd. | 4,800 | 234,784 | ||||||
Teva Pharmaceutical Industries Ltd. - ADR | 3,200 | 189,408 | ||||||
Teva Pharmaceutical Industries Ltd. | 4,238 | 251,978 | ||||||
9,914,827 | ||||||||
REAL ESTATE - 0.8% | ||||||||
China Resources Land Ltd. | 84,000 | 218,296 | ||||||
Vonovia SE | 14,557 | 487,867 | ||||||
706,163 | ||||||||
REITS - 0.6% | ||||||||
H&R Real Estate Investment Trust | 13,900 | 221,800 | ||||||
Link REIT | 29,500 | 176,265 | ||||||
RioCan Real Estate Investment Trust | 9,000 | 174,551 | ||||||
572,616 | ||||||||
RETAIL - 4.6% | ||||||||
Aeon Co. Ltd. | 11,800 | 175,122 | ||||||
Dixons Carphone PLC | 20,323 | 144,056 | ||||||
Dollarama, Inc. | 1,100 | 73,900 | ||||||
FamilyMart Co. Ltd. | 3,000 | 122,834 | ||||||
Fast Retailing Co. Ltd. | 800 | 292,711 | ||||||
Hennes & Mauritz AB - B Shares - ADR | 9,673 | 75,063 | ||||||
Hennes & Mauritz AB - B Shares | 21,765 | 851,616 | ||||||
Industria de Diseno Textil SA | 27,444 | 1,033,184 | ||||||
Kering | 547 | 101,712 | ||||||
Luxottica Group SpA | 5,980 | 421,468 | ||||||
Swatch Group - ADR | 2,400 | 46,752 |
See accompanying notes to financial statements.
67
SCHEDULE OF INVESTMENTS |
Dunham International Stock Fund (Continued) |
October 31, 2015 |
Security | Shares | Value | ||||||
RETAIL - 4.6% (Continued) | ||||||||
Swatch Group AG/THE - BR | 564 | $ | 220,789 | |||||
Swatch Group AG/THE - REG | 7,952 | 575,835 | ||||||
Yamada Denki Co. Ltd. | 25,200 | 113,554 | ||||||
4,248,596 | ||||||||
SEMICONDUCTORS - 0.8% | ||||||||
ARM Holdings PLC - ADR ^ | 3,250 | 154,147 | ||||||
Samsung Electronics Co. Ltd. - GDR | 303 | 181,346 | ||||||
Samsung Electronics Co. Ltd. - GDR - Reg S | 375 | 193,125 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 54,000 | 226,620 | ||||||
755,238 | ||||||||
SOFTWARE - 0.5% | ||||||||
Amadeus IT Holding SA - A Shares | 10,559 | 451,574 | ||||||
TELECOMMUNICATIONS - 5.5% | ||||||||
BT Group PLC - ADR | 2,688 | 192,649 | ||||||
Elisa OYJ | 6,671 | 252,698 | ||||||
KDDI Corp. | 8,900 | 215,723 | ||||||
MTN Group Ltd. - ADR | 5,880 | 67,091 | ||||||
MTN Group Ltd. | 43,624 | 496,718 | ||||||
NICE-Systems Ltd | 789 | 48,834 | ||||||
Nippon Telegraph & Telephone Corp. - ADR | 20827 | 764,976 | ||||||
Nippon Telegraph & Telephone Corp. | 7,800 | 286,434 | ||||||
NTT DOCOMO, Inc. - ADR | 10,800 | 212,004 | ||||||
NTT DOCOMO, Inc. | 8800 | 171,669 | ||||||
Orange SA - ADR | 21,206 | 372,165 | ||||||
Proximus | 6,096 | 212,092 | ||||||
TDC A/S | 1,721 | 9,046 | ||||||
Telecom Italia SpA * | 299,775 | 420,474 | ||||||
Telecom Italia - RSP | 227,627 | 257,216 | ||||||
Telefonaktiebolaget LM Ericsson - ADR | 24,728 | 240,851 | ||||||
Telefonaktiebolaget LM Ericsson | 6,555 | 64,215 | ||||||
Telenor ASA | 7,556 | 142,617 | ||||||
Turk Telekomunikasyon AS | 37,604 | 81,198 | ||||||
Vodafone Group PLC - ADR | 19,177 | 632,266 | ||||||
5,140,936 | ||||||||
TEXTILES - 0.1% | ||||||||
Formosa Taffeta Co. Ltd. | 94,000 | 92,605 | ||||||
TRANSPORTATION - 2.8% | ||||||||
AP Moeller - Maersk A/S | 200 | 288,323 | ||||||
Canadian Pacific Railway Ltd. | 900 | 125,780 | ||||||
Central Japan Railway Co. | 1,800 | 328,889 | ||||||
Deutsche Post AG - ADR | 7,242 | 215,015 | ||||||
Deutsche Post AG | 14,034 | 419,155 | ||||||
DSV A/S | 8,466 | 345,395 | ||||||
East Japan Railway Co. | 3,100 | 295,224 | ||||||
Hankyu Hanshin Holdings, Inc. | 41,000 | 267,523 | ||||||
Keio Corp. | 18,000 | 146,741 | ||||||
Nippon Express Co. Ltd. | 27,000 | 139,326 | ||||||
2,571,371 | ||||||||
TOTAL COMMON STOCK (Cost - $88,416,415) | 90,037,397 |
Security | Dividend Rate | Shares | Value | |||||||||
PREFERRED STOCK - 1.5% | ||||||||||||
AUTO MANUFACTURERS - 0.5% | ||||||||||||
Bayerische Motoren Werke AG | 2.9200 | (%) | 2,202 | $ | 179,033 | |||||||
Porsche Automobil Holding SE | 2.0100 | 1,500 | 70,495 | |||||||||
Volkswagon AG | 4.8600 | 2,216 | 267,437 | |||||||||
516,965 | ||||||||||||
COSMETICS - 0.7% | ||||||||||||
Amorepacific Corp. | 0.4600 | 3,580 | 605,669 | |||||||||
ELECTRIC - 0.2% | ||||||||||||
Cia Energetica de Sao Paulo | 5.4143 | 20,600 | 86,970 | |||||||||
RWE AG | 1.0000 | 11,323 | 124,989 | |||||||||
211,959 | ||||||||||||
SEMICONDUCTORS - 0.1% | ||||||||||||
Samsung Electronics Co. Ltd. | 2.2900 | 77 | 80,390 | |||||||||
TOTAL PREFERRED STOCK (Cost - $2,047,444) | 1,414,983 | |||||||||||
SHORT-TERM INVESTMENT - 1.8% | ||||||||||||
MONEY MARKET FUND - 1.8% | ||||||||||||
Fidelity Institutional Money Market Funds - Government | ||||||||||||
Portfolio 0.01% +, ^^ (Cost - $1,708,506) | 1,708,506 | 1,708,506 | ||||||||||
COLLATERAL FOR SECURITIES LOANED - 0.7% | ||||||||||||
Mount Vernon Prime Portfolio 0.25% + (Cost - $663,425) | 663,425 | 663,425 | ||||||||||
TOTAL INVESTMENTS - 100.5% (Cost - $92,835,790) | $ | 93,824,311 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.5)% | (532,785 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 93,291,526 |
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $643,867 at October 31, 2015. |
* | Non-income producing security. |
ADR - American Depositary Receipt.
GDR - Global Depositary Receipt.
NV - Non-Voting
REIT - Real Estate Investment Trust.
+ | Variable rate security. Interest rate is as of October 31, 2015. |
^^ | All or part of the security was held as collateral for forward foreign currency contracts outstanding as of October 31, |
Portfolio Composition * - (Unaudited) | ||||||||||
Japan | 21.1 | % | Sweden | 5.2 | % | |||||
Switzerland | 9.2 | % | Belgium | 3.9 | % | |||||
Germany | 7.4 | % | Denmark | 3.8 | % | |||||
Britain | 7.3 | % | China | 3.3 | % | |||||
Russia | 5.7 | % | Other Countries | 27.5 | % | |||||
France | 5.6 | % | Total | 100.0 | % |
* | Based on total value of investments as of October 31, 2015. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
68
Dunham Real Estate Stock Fund |
Message from the Sub-Adviser (Cornerstone Real Estate Advisers 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, 2015, returning 4.8 percent. It slightly outperformed major U.S. stock indexes, such as the S&P 500 Index, which gained 5.2 percent over the same time period. The majority of the gains were logged in the first fiscal quarter, which saw a 10.0 percent return. REITs dropped precipitously in the second fiscal quarter, losing 6.9 percent as investors anticipated a June interest rate hike that never materialized. This was the only fiscal quarter loss for the index, after which it slowly recovered and mostly outperformed the broader indexes, particularly during August and September when the major U.S. indexes suffered significant losses. In the Fund, self-storage and apartment REITs were among the best performers while office and hotel REITs lagged.
Exposure to self-storage REITs added value on both a relative and absolute basis in the 12-month period ended October 31, 2015. The outperformance was mainly driven by a strong overweight to the sector, though security selection had a significant effect as well. The Fund’s selections in this space returned approximately 40 percent during the fiscal quarter, while self-storage companies within the benchmark advanced by nearly 30 percent over the same time period. 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. This shortage of space also allows for more frequent rent increases. The Sub-Adviser focuses on smaller companies that can generate outsized growth in occupancies, shying away from self-storage behemoths, such as Public Storage, Inc. (PSA), which the Sub-Adviser believes have little room for further growth. Extra Space Storage, Inc. (EXR) (holding percentage*: 3.4 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 40.7 percent return in the 12-month period ended October 31, 2015.
Exposure to office REITs had somewhat of a negative effect on the Fund, mostly due to security selection, though a moderate overweight to the sector also detracted slightly. Highwoods Properties, Inc. (HIW) (holding percentage*: 2.6 percent), a North Carolina based REIT that engages in leasing, management, development, construction, and other customer-related services for its properties and for third parties, was one of the better performing REITs in this sector. It increased by 5.4 percent in the 12-month period ended October 31, 2015, matching the benchmark index. The Sub-Adviser plans to maintain an overweight to the sector, noting a variety of factors that should favor office properties. Namely, improving earnings in the sector and strong occupancies that are still below peak, creating an environment that favors continued rent growth.
Hotel REITs were the largest negative contributor to performance in the Fund. The Sub-Adviser maintained a weighting that was nearly double that of the index, which was mostly responsible for the underperformance, though security selection had a negative effect as well. Chesapeake Lodging Trust (CHSP) (holdings percentage*: 1.6 percent) was the largest holding in this sector. The firm primarily invests in upscale hotels in major business and convention markets. Despite a 12.9 percent decline in the 12-month period ended October 31, 2015, it outperformed the majority of hotel REITs contained within the benchmark index. A moderate overweight to the sector will be maintained despite lackluster performance, as it is believed that the economy will continue to recover and a boost in consumer spending should elevate lodging REITs.
A large overweight to the apartment REIT sector led to outperformance in every fiscal quarter in the 12-month period ended October 31, 2015. Although security selection also had a positive effect, the severe overweight was largely responsible for adding value. The Fund had a 23 average percent weight toward apartment REITs versus 11.4 percent in the index. AvalonBay Communities, Inc. (AVB) (holding percentage*: 4.2 percent), a REIT that engages in the acquisition, development and management of multi-family properties throughout the United States, produced a 15.5 percent return in the 12-month period ended October 31, 2015. The Sub-Adviser anticipates keeping a large overweight to this sector, as rent growth has been strong and a strengthening economy has produced more demand from the millennial generation that would like to move out of their parent’s home but may not be able to buy a house of their own yet.
Going forward, the Sub-Adviser believes the U.S. economic recovery is still on track, despite global events that have caused uncertainty in the financial markets. Real estate fundamentals remain positive and conditions to support listed real estate, namely a low interest rate environment, improving albeit choppy employme nt growth and limited new supply, are expected to remain in place through 2015 and 2016. Although events outside of the United States can slow the recovery, the Fund remains confident that its current portfolio positioning will provide above average returns during this point in the economic recovery.
* | Holdings percentage(s) as of 10/31/2015. |
Growth of $10,000 Investment - (Unaudited)
Total Returns as of October 31, 2015 | ||||||||||
One | Annualized | Annualized | Annualized | Annualized Since Inception | ||||||
Year | Three Years | Five Years | Ten Years | (12/10/04) | ||||||
Class N | 5.13% | 11.83% | 11.93% | 6.92% | 7.11% | |||||
Class C | 4.08% | 10.70% | 10.81% | 5.85% | 6.04% | |||||
Class A with load of 5.75% | (1.19)% | 9.36% | 10.33% | N/A | 3.27%* | |||||
Class A without load | 4.85% | 11.53% | 11.63% | N/A | 3.96%* | |||||
FTSE NAREIT All REITs Index | 4.80% | 10.89% | 12.03% | 7.22% | 7.12% | |||||
Morningstar Real Estate Category | 5.14% | 10.80% | 11.31% | 6.79% | 7.03% |
* | 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 1.59% for Class N, 2.59% for Class C and 1.84% 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.
69
SCHEDULE OF INVESTMENTS |
Dunham Real Estate Stock Fund |
October 31, 2015 |
Security | Shares | Value | ||||||
COMMON STOCK - 1.3% | ||||||||
LODGING - 1.3% | ||||||||
Hilton Worldwide Holdings, Inc. ^ | 24,630 | $ | 615,504 | |||||
TOTAL COMMON STOCK (Cost - $649,368) | ||||||||
REITS - 97.6% | ||||||||
APARTMENTS - 18.0% | ||||||||
AvalonBay Communities, Inc. | 11,512 | 2,012,643 | ||||||
Equity Residential | 37,020 | 2,862,386 | ||||||
Essex Property Trust, Inc. ^ | 8,670 | 1,911,215 | ||||||
UDR, Inc. ^ | 52,150 | 1,797,089 | ||||||
8,583,333 | ||||||||
DIVERSIFIED - 2.4% | ||||||||
Digital Realty Trust, Inc. | 15,490 | 1,145,640 | ||||||
HEALTHCARE - 9.0% | ||||||||
National Health Investors, Inc. | 5,760 | 338,342 | ||||||
Physicians Realty Trust | 37,810 | 604,204 | ||||||
Ventas, Inc. ^ | 22,180 | 1,191,510 | ||||||
Welltower, Inc. | 33,120 | 2,148,494 | ||||||
4,282,550 | ||||||||
HOTELS - 7.5% | ||||||||
Ashford Hospitality Trust, Inc. | 24,006 | 165,161 | ||||||
Chatham Lodging Trust | 16,100 | 368,529 | ||||||
Chesapeake Lodging Trust | 28,270 | 778,556 | ||||||
DiamondRock Hospitality Co. | 51,840 | 605,491 | ||||||
FelCor Lodging Trust, Inc. | 99,680 | 802,424 | ||||||
Host Hotels & Resorts, Inc. ^ | 47,820 | 828,721 | ||||||
3,548,882 | ||||||||
OFFICE - 14.1% | ||||||||
BioMed Realty Trust, Inc. | 11,610 | 271,790 | ||||||
Boston Properties, Inc. | 16,830 | 2,118,056 | ||||||
Highwoods Properties, Inc. | 28,400 | 1,233,980 | ||||||
Kilroy Realty Corp. ^ | 24,993 | 1,645,539 | ||||||
Paramount Group Inc. | 81,080 | 1,440,792 | ||||||
6,710,157 | ||||||||
OFFICE/INDUSTRIAL - 3.9% | ||||||||
Duke Reality Corp. | 89,620 | 1,855,134 |
Security | Shares | Value | ||||||
REGIONAL MALLS - 18.1% | ||||||||
Macerich Co. | 18,590 | $ | 1,575,317 | |||||
Simon Property Group, Inc. | 27,101 | 5,459,767 | ||||||
Taubman Centers, Inc. | 20,410 | 1,571,162 | ||||||
8,606,246 | ||||||||
SHOPPING CENTERS - 12.1% | ||||||||
Acadia Realty Trust | 35,378 | 1,163,582 | ||||||
Kimco Realty Corp. | 62,480 | 1,672,590 | ||||||
Regency Centers Corp. | 29,070 | 1,975,597 | ||||||
Tanger Factory Outlet Centers, Inc. ^ | 27,850 | 973,358 | ||||||
5,785,127 | ||||||||
SELF STORAGE - 5.4% | ||||||||
Extra Space Storage, Inc. ^ | 20,200 | 1,600,648 | ||||||
Public Storage, Inc. | 4,210 | 966,027 | ||||||
2,566,675 | ||||||||
INDUSTRIAL 7.1% | ||||||||
Prologis, Inc. ^ | 79,350 | 3,390,626 | ||||||
TOTAL REITS (Cost - $39,022,759) | 46,474,370 | |||||||
SHORT-TERM INVESTMENT -1.3% | ||||||||
MONEY MARKET FUND - 1.3% | ||||||||
Fidelity Institutional Money Market | ||||||||
Fund - Government Portfolio, 0.01% + | 622,000 | 622,000 | ||||||
TOTAL SHORT-TERM INVESTMENT | ||||||||
(Cost - $622,000) | ||||||||
COLLATERAL FOR SECURITIES LOANED - 11.1% | ||||||||
Mount Vernon Prime Portfolio 0.25% + (Cost - $5,283,727) | 5,283,727 | 5,283,727 | ||||||
TOTAL INVESTMENTS - 111.3% (Cost - $45,577,854) | $ | 52,995,601 | ||||||
LIABILITIES LESS OTHER ASSETS - (11.3)% | (5,383,756 | ) | ||||||
TOTAL NET ASSETS - 100.00% | $ | 47,611,845 |
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $5,048,362 at October 31, 2015. |
REITS - Real Estate Investment Trusts
+ | Variable rate security. Interest rate is as of October 31, 2015. |
Portfolio Composition * - (Unaudited) | ||||||||||
Regional Mall | 16.2 | % | Hotels | 6.7 | % | |||||
Apartments | 16.1 | % | Industrial | 6.4 | % | |||||
Office | 12.7 | % | Self Storage | 4.8 | % | |||||
Shopping Centers | 10.9 | % | Office/Industrial | 3.5 | % | |||||
Collateral For Securities Loaned | 10.0 | % | Diversified | 2.2 | % | |||||
Healthcare | 8.1 | % | Short-Term Investment | 1.2 | % | |||||
Common Stock - Lodging | 1.2 | % | ||||||||
100.0 | % |
* | Based on total value of investments as of October 31, 2015. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
70
Dunham Small Cap Value Fund |
Message from the Sub-Adviser (Piermont Capital Management LLC) |
Small cap value stocks, as measured by the Russell 2000 Value Index, decreased by 2.9 percent in the 12-month period ended October 31, 2015. All but one of the fiscal quarters in the period was negative, while the opposite was the case with small cap growth stocks. Comparatively, small cap growth stocks in the Russell 2000 Growth Index outperformed small value stocks by a wide margin, rising 3.5 percent over the fiscal year. On a broader level, small cap stocks, as measured by the Russell 2000 Index, vastly underperformed large cap stocks, as measured by the S&P 500 Index. During the fiscal period, the Russell 2000 Index increased by 0.3 percent, while the S&P 500 Index rose 5.2 percent. Top performing sectors in the Fund included technology and financials while the consumer disscretionary and transportation sectors lagged somewhat.
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.
Exposure to the technology sector had a decidedly positive impact on the Fund, as technology stocks held by the Sub-Adviser outperformed those within the benchmark by an astounding 13.6 percent. Tech stocks in the Fund increased 15.6 percent while those contained in the index rose only 2.0 percent. With a weighting of more than 10 percent, this sector was a very important driver of performance. Tessera Technologies, Inc. (TSRA) (Holding Percentage**: 1.3 percent), a firm that develops, licenses, and delivers semiconductor packaging and interconnect solutions, gained more than 30 percent before being sold late in the second fiscal quarter. It was decided that the stock was overvalued after its ranking fell significantly and other opportunities seemed more promising. Subsequently, the firm’s stock price did fall well below what the Fund sold it for, which bolstered confidence in the process. DST Systems, Inc. (DST) (holding percentage*: 1.3 percent), a business software and services firm that continues to be held by the Fund, increased 28.2 percent in the 12-month period ended October 31, 2015.
Stocks in the consumer discretionary sector detracted from performance but were a relatively small part of the overall Fund wit h a weighting of approximately 2.6 percent. Nautilus Group, Inc. (NLS) (holding percentage*: 0.8 percent), a consumer fitness products company, was the best performing stock in this sector with a 27.3 percent return. Meritor, Inc. (MTOR) (holding percentage**: 0.9 percent), an auto parts manufacturer, is another stock that was sold in the second fiscal quarter for a gain, albeit a much smaller one (approximately 4 percent), but later declined and is now at a 5.4 percent loss for the fiscal year.
The financials sector, which includes banking, insurance and “other financial”, enhanced performance on a relative basis. Banking and insurance stocks mainly drove performance, though “other financial”, which includes credit card companies, mortgage companies and payday lenders, outperformed as well. The Hanover Insurance Group, Inc. (THG) (holding percentage*: 1.5 percent), a property and casualty insurance company, was the third largest holding in the Fund and rose 28.7 percent over the fiscal quarter. Lending Tree, Inc. (TREE) (holding percentage*: 1.3 percent), an online marketplace that provides an array of different loan types and other credit-based offerings, was the largest contributor to performance in this sector, adding 45 basis points to the total return. The stock has achieved a 56.1 percent return since the Sub-Adviser purchased the firm’s securities in early July, after it had already had a significant run-up in price.
Holdings in the transportation sector lagged somewhat due to security selection. ArcBest Corporation (ARCB) (holding percentage*: 1.0 percent), a firm that provides freight transportation services and integrated logistics solutions worldwide, was the bottom contributor to performance in this sector, losing a combined 20.2 percent since shares were purchased in both June and September. Still, the company maintains a high ranking in the Sub-Adviser’s model, which is why the Fund added to the position in September after it had sustained significant losses.
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 10/31/2015. |
** | 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, 2015 | ||||||||||
Annualized Since | ||||||||||
Annualized | Annualized | Annualized | Inception | |||||||
One Year | Three Years | Five Years | Ten Years | (12/10/04) | ||||||
Class N | (1.59)% | 12.46% | 10.31% | 5.97% | 5.01% | |||||
Class C | (2.56)% | 11.36% | 9.24% | 4.93% | 3.98% | |||||
Class A with load of 5.75% | (7.49)% | 10.00% | 8.79% | N/A | 4.00%* | |||||
Class A without load | (1.83)% | 12.19% | 10.08% | N/A | 3.31%* | |||||
Russell 2000 Value Index | (2.88)% | 11.65% | 10.53% | 6.19% | 6.09% | |||||
Morningstar Small Cap Value Category | (1.99)% | 12.38% | 10.87% | 6.53% | 6.57% |
* | Class A commenced operations on January 3, 2007. |
The Russell 2000 Value Index is an unmanaged index that measures the performance of small cap companies in the Russell 2000 Index with lower price-to-book ratios and lower forecasted growth rates. Investors cannot invest directly in an index or benchmark.
The Morningstar Small Cap Value Category is generally representative of mutual funds that primarily invest in small (small capitalization) U.S. companies that are less expensive or growing more slowly than other small-cap stocks.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.45% for Class N, 2.45% for Class C and 1.70% 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 invest or’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.
71
SCHEDULE OF INVESTMENTS |
Dunham Small Cap Value Fund |
October 31, 2015 |
Security | Shares | Value | ||||||
COMMON STOCK - 93.8% | ||||||||
AEROSPACE / DEFENSE - 0.8% | ||||||||
Ducommun, Inc. * | 10,840 | $ | 234,578 | |||||
AUTO PARTS & EQUIPMENT - 1.2% | ||||||||
Cooper Tire & Rubber Co. | 8,170 | 341,424 | ||||||
BANKS - 16.8% | ||||||||
BancFirst Corp. ^ | 2,200 | 135,586 | ||||||
BancorpSouth, Inc. ^ | 12,250 | 305,392 | ||||||
Banner Corp. | 7,870 | 386,181 | ||||||
CenterState Banks, Inc. | 12,670 | 184,729 | ||||||
Central Pacific Financial Corp | 12,519 | 279,925 | ||||||
Chemical Financial Corp | 5,017 | 170,227 | ||||||
Fidelity Southern Corp. | 7,912 | 165,756 | ||||||
First Citizens BancShares, Inc. - Class B | 1,110 | 284,315 | ||||||
First Commonwealth Financial Corp. ^ | 18,890 | 173,599 | ||||||
First Interstate BancSystem, Inc. | 8,468 | 240,152 | ||||||
First Midwest Bancorp, Inc. | 15,830 | 282,091 | ||||||
FirstMerit Corp. | 14,890 | 279,783 | ||||||
Great Southern Bancorp, Inc. | 3,107 | 150,161 | ||||||
Southwest Bancorp, Inc. | 12,160 | 205,626 | ||||||
Towne Bank/Portsmouth VA | 8,990 | 192,925 | ||||||
Trico Bancshares | 6,711 | 176,902 | ||||||
Trustmark Corp. | 14,210 | 341,466 | ||||||
Umpqua Holdings Corp. ^ | 16,150 | 269,705 | ||||||
Wintrust Financial Corp. ^ | 6,653 | 335,910 | ||||||
Yadkin Financial Corp. ^ | 8,395 | 197,702 | ||||||
4,758,133 | ||||||||
BUILDING MATERIALS - 0.8% | ||||||||
Apogee Enterprises, Inc. | 4,800 | 237,744 | ||||||
CHEMICALS - 2.3% | ||||||||
Kronos Worldwide, Inc. | 23,300 | 184,070 | ||||||
Minerals Technologies, Inc. ^ | 4,240 | 249,906 | ||||||
Stepan Co. ^ | 4,100 | 217,013 | ||||||
650,989 | ||||||||
COMMERCIAL SERVICES - 4.5% | ||||||||
Korn/Ferry International | 7,440 | 270,593 | ||||||
LendingTree, Inc. * | 3,100 | 376,216 | ||||||
Navigant Consulting, Inc. * | 20,400 | 350,880 | ||||||
RPX Corp. * | 19,030 | 270,987 | ||||||
1,268,676 | ||||||||
COMPUTERS - 2.5% | ||||||||
DST Systems, Inc. | 3,070 | 375,000 | ||||||
Insight Enterprises, Inc. * | 13,390 | 340,106 | ||||||
715,106 | ||||||||
ELECTRIC - 4.0% | ||||||||
ALLETE, Inc. ^ | 4,750 | 238,497 | ||||||
NorthWestern Corp. | 5,690 | 308,341 | ||||||
PNM Resources, Inc. | 10,190 | 286,543 | ||||||
Portland General Electric Co. | 8,050 | 298,494 | ||||||
1,131,875 | ||||||||
ELECTRICAL COMPONENTS & EQUIPMENT - 1.1% | ||||||||
Littelfuse, Inc. | 3,030 | 302,788 |
Security | Shares | Value | ||||||
ELECTRONICS - 4.0% | ||||||||
Checkpoint Systems, Inc. | 10,500 | $ | 78,540 | |||||
II-VI, Inc. * | 14,840 | 268,901 | ||||||
OSI Systems, Inc. * | 4,110 | 354,200 | ||||||
Sanmina Corp. * | 12,975 | 268,193 | ||||||
Zagg, Inc. * | 18,412 | 156,134 | ||||||
1,125,968 | ||||||||
ENGINEERING & CONSTRUCTION - 0.9% | ||||||||
KBR, Inc. | 13,210 | 243,592 | ||||||
ENTERTAINMENT - 1.2% | ||||||||
Marriott Vacations Worldwide Corp. | 5,420 | 349,048 | ||||||
FOOD - 2.1% | ||||||||
Dean Foods Co. | 17,561 | 318,030 | ||||||
Ingles Markets, Inc. | 5,608 | 280,063 | ||||||
598,093 | ||||||||
FOREST PRODUCTS & PAPER - 0.6% | ||||||||
PH Glatfelter Co. | 9,230 | 179,062 | ||||||
GAS - 2.4% | ||||||||
Laclede Group, Inc. | 6,010 | 352,006 | ||||||
Southwest Gas Corp. | 5,220 | 320,821 | ||||||
672,827 | ||||||||
HEALTHCARE - PRODUCTS - 1.2% | ||||||||
Greatbatch, Inc. * | 6,060 | 323,907 | ||||||
HOME BUILDERS - 2.0% | ||||||||
M/I Homes, Inc. * | 10,658 | 244,601 | ||||||
Taylor Morrison Home Corp. Class A ^ | 17,130 | 315,706 | ||||||
560,307 | ||||||||
INSURANCE - 6.2% | ||||||||
Aspen Insurance Holdings Ltd. | 6,600 | 320,826 | ||||||
CNO Financial Group, Inc. ^ | 17,770 | 341,362 | ||||||
Employers Holdings, Inc. | 9,040 | 239,289 | ||||||
Hanover Insurance Group, Inc. | 4,950 | 417,037 | ||||||
Radian Group, Inc. ^ | 17,130 | 247,871 | ||||||
Stewart Information Services | 4,630 | 185,987 | ||||||
1,752,372 | ||||||||
LEISURE TIME - 0.8% | ||||||||
Nautilus, Inc. * | 12,898 | 219,782 | ||||||
MISCELLANEOUS MANUFACTURING - 2.9% | ||||||||
Crane Co. | 4,400 | 231,616 | ||||||
Federal Signal Corp. | 19,850 | 298,941 | ||||||
ITT Corp. | 7,470 | 295,663 | ||||||
826,220 | ||||||||
OIL & GAS - 2.3% | ||||||||
PDC Energy, Inc. * | 5,569 | 336,033 | ||||||
Unit Corp. * | 9,580 | 120,804 | ||||||
WPX Energy, Inc. ^ | 26,180 | 179,595 | ||||||
636,432 | ||||||||
OIL & GAS SERVICES - 1.4% | ||||||||
Gulf Island Fabrication, Inc. | 11,440 | 115,658 | ||||||
Oceaneering International, Inc. | 6,840 | 287,417 | ||||||
403,075 |
See accompanying notes to financial statements.
72
SCHEDULE OF INVESTMENTS |
Dunham Small Cap Value Fund (Continued) |
October 31, 2015 |
Security | Shares | Value | ||||||
PHARMACEUTICALS - 2.8% | ||||||||
PharMerica Corp. * | 10,570 | $ | 301,985 | |||||
Progenics Pharmaceuticals, Inc. * ^ | 39,500 | 289,930 | ||||||
Sagent Pharmaceuticals, Inc. * | 11,590 | 194,828 | ||||||
786,743 | ||||||||
REAL ESTATE - 1.0% | ||||||||
Alexander & Baldwin, Inc. | 7,110 | 268,331 | ||||||
REITS - 13.8% | ||||||||
Apollo Commercial Real Estate Finance, Inc. | 15,800 | 262,438 | ||||||
Cedar Realty Trust, Inc. | 45,120 | 315,389 | ||||||
Cousins Properties, Inc. | 33,480 | 336,139 | ||||||
EastGroup Properties, Inc. | 4,860 | 272,938 | ||||||
First Industrial Realty Trust | 13,750 | 298,100 | ||||||
Franklin Street Properties Corp. | 26,937 | 280,684 | ||||||
Hersha Hospitality Trust | 9,553 | 229,368 | ||||||
Invesco Mortgage Capital, Inc. | 17,000 | 204,850 | ||||||
LaSalle Hotel Properties | 8,420 | 247,632 | ||||||
Lexington Realty Trust | 37,070 | 327,699 | ||||||
Mack-Cali Realty Corp. | 14,760 | 321,178 | ||||||
MFA Financial, Inc. ^ | 34,500 | 238,740 | ||||||
Ramco-Gershenson Properties Trust | 17,530 | 294,504 | ||||||
Summit Hotel Properties, Inc. | 21,499 | 281,207 | ||||||
3,910,866 | ||||||||
RETAIL - 4.2% | ||||||||
American Eagle Outfitters, Inc. ^ | 17,090 | 261,135 | ||||||
Big Lots, Inc. ^ | 5,430 | 250,323 | ||||||
Build-A-Bear Workshop, Inc. * | 16,132 | 251,014 | ||||||
Sonic Corp. | 9,940 | 283,688 | ||||||
Stage Stores, Inc. | 13,500 | 131,355 | ||||||
1,177,515 | ||||||||
SAVINGS & LOANS - 2.2% | ||||||||
Banc of California, Inc. | 10,052 | 131,078 | ||||||
Homestreet, Inc. * | 12,335 | 258,172 | ||||||
Meta Financial Group, Inc. | 5,650 | 243,402 | ||||||
632,652 | ||||||||
SEMICONDUCTORS - 2.2% | ||||||||
Fairchild Semiconductor International, Inc. * | 19,810 | 330,431 | ||||||
Rudolph Technologies, Inc. * | 21,570 | 275,880 | ||||||
606,311 |
Security | Shares | Value | ||||||
TELECOMMUNICATIONS - 3.6% | ||||||||
EarthLink Holdings Corp. | 31,426 | $ | 268,692 | |||||
Polycom, Inc. * | 22,780 | 313,908 | ||||||
Spok Holdings, Inc. | 10,330 | 186,250 | ||||||
West Corp. | 10,880 | 259,053 | ||||||
1,027,903 | ||||||||
TRANSPORTATION - 2.0% | ||||||||
ArcBest Corp. | 10,390 | 269,101 | ||||||
Werner Enterprises, Inc. | 11,320 | 299,527 | ||||||
568,628 | ||||||||
TOTAL COMMON STOCK - (Cost - $25,852,874) | 26,510,947 | |||||||
EXCHANGE TRADED FUND - 4.7% | ||||||||
EQUITY FUND - 4.7% | ||||||||
iShares Russell 2000 Value ETF ^ (Cost - $1,306,830) | 14,000 | 1,330,980 | ||||||
SHORT-TERM INVESTMENT - 1.7% | ||||||||
MONEY MARKET FUND - 1.7% | ||||||||
Invesco STIT-Treasury Portfolio Institutional - 0.01% + | 462,866 | 462,866 | ||||||
(Cost - $462,866) | ||||||||
COLLATERAL FOR SECURITIES LOANED - 14.2% | ||||||||
Mount Vernon Prime Portfolio 0.25% + | 4,020,726 | 4,020,726 | ||||||
(Cost - $4,020,726) | ||||||||
TOTAL INVESTMENTS - 114.4% (Cost - $31,643,296) | $ | 32,325,519 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (14.4)% | (4,073,915 | ) | ||||||
NET ASSETS - 100.0% | $ | 28,251,604 |
ETF - Exchange Traded Fund
REIT - Real Estate Investment Trust
^ | All or a portion of these securiites are on loan. Total loaned securities had a value of $3,814,322 at October 31, 2015. |
* | Non Income producing security. |
+ | Variable rate security - interest rate is as October 31, 2015. |
Portfolio Composition * - (Unaudited) | ||||||||||
Financial | 35.0 | % | Technology | 4.1 | % | |||||
Collateral for Securities Loaned | 12.4 | % | Energy | 3.2 | % | |||||
Industrial | 11.0 | % | Communications | 3.2 | % | |||||
Consumer, Non-Cyclical | 9.2 | % | Basic Materials | 2.6 | % | |||||
Consumer, Cyclical | 8.2 | % | Short Term Investment | 1.4 | % | |||||
Utilities | 5.6 | % | Total | 100.0 | % | |||||
Equity Fund | 4.1 | % |
* | Based on total value of investments as of October 31, 2015. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
73
Dunham Emerging Markets Stock Fund
Message from the Sub-Adviser (Bailard, Inc.)
Emerging market equities, as measured by the MSCI Emerging Markets Index, had a volatile fiscal year ended October 31, 2015 declining 14.5 percent. Despite various geopolitical concerns and a decline in commodities during the first six months of the fiscal period, emerging market equities increased 3.9 percent. In the final six months of the fiscal period emerging markets declined 17.8 percent as global growth concerned heightened. The index underperformed its U.S. counterpart, as measured by the S&P 500 Index, which increased 5.2 percent over the same time period.
The Sub-Adviser continued to focus on individual countries and bottom-up stock selection within those countries, with overweights or underweights to economic sectors being largely incidental. On an absolute basis, top performing countries in the Fund included Indonesia, Pakistan, and Hungary, while Russia, India, and Korea lagged. For the fiscal year, overall country selection and stock selection slightly detracted from performance relative to the benchmark index.
The largest country allocation within the Fund was the allocation to Chinese equities. Anta Sports Products (2020 HK) (holding percentage*: 1.14 percent), a maker of footwear and sports apparel, rallied 48.4 percent during the most recent fiscal quarter. The Sub-Adviser believes that the management for Anta Sports Products has executed brilliantly by capturing significant market share from its competitors. The Sub-Adviser also believes that Anta Sports Products has benefited from a rise in consumer demand. Chinese citizens have more disposable income now than they have had historically. Another holding that benefited the Fund was NetEase.com Inc. ADR (NTES) (holding percentage*: 1.18 percent). NetEase.com Inc. has been active in online advertising, search, and e-commerce, but its real strength is in online gaming, one area where there is no evidence of slowdown in Chinese demand. The Sub-Adviser believes that it is a competitive business but NetEase.com Inc. ADR is handling the transition to mobile gaming apps well. It currently publishes the top grossing game on the China App Store and has recently released three games so far on the iOS App Store in the United States. They’ve also invested in a privately held Finnish game developer as part of their Western expansion. The Sub-Adviser is aware that gamers can be a fickle group, but innovative licensing deals with a wide range of game developers should help keep its lineup fresh and popular. This holding increased 54.7 percent through the end of the fiscal quarter. Huaneng Power International Inc. (902 HK) (holding percentage* 0.54 percent), a power plant operator, was one of the Fund’s detractors over the fiscal period. Over the fiscal year prior to being sold on October 2, 2015 Huaneng Power International Inc fell 5.2 percent. The Sub-Adviser believes this is currently a challenging country to invest in due to the difficulty in deciphering and determining the validity of the available data.
The Indian holdings within the Fund had mixed results, but the Fund’s stock selection and country weight in India detracted from Fund performance. Infosys (INFY) (holding percentage*: 3 percent), an IT consulting firm, positively contributed to Fund performance over the fiscal year increasing 11 percent. The Sub-Adviser believes that the strong performance is due to the company outperforming its competitors in India and resisting downward pricing pressure that has been seen in the industry. A holding that detracted from performance, on an absolute basis, over the fiscal year was Bajaj Auto (BJAUT IN) (holding percentage*: 0.62 percent), a diversified financial services group offering a range of services. BAJAJ Auto declined 9.7 percent over the most recent fiscal quarter.
As mentioned above, the Fund’s allocation to Korea detracted from Fund Performance. Mirae Asset Securities (037620 KS) (holding percentage**: 0.60 percent), provides wealth management, brokerage, investment banking, and retirement pension solutions in South Korea. Mirae Asset Securities announced very ambitious plans during the fiscal quarter to purchase one of the larger brokerage firms in South Korea. The Sub-Adviser believes investors were skeptical of current management and their ability to successfully complete this transaction. Due to this skepticism Mirae Asset Management was eliminated from the Fund. Prior to being sold on 09/18/2015, Mirae Asset Securities declined 28.5 percent. NCsoft Corp (037620 KS) (holding percentage*: 0.51 percent), a company that develops and markets on-line games that enable users to play over the internet and computer software, such as web editing software, also negatively impacted Fund performance. This position was initiated on August 8, 2015 and declined 14.3 percent to finish the fiscal year ended October 31, 2015
Going forward, the Sub-Adviser is optimistic for emerging market companies and believes value can be found. The Sub-Adviser believes that we have seen a shift in investor sentiment from momentum being in favor earlier in the year to now where investors are putting a greater importance on value characteristics. This could explain why we are seeing new countries coming into the fold such as Korea and Columbia. The Sub-Adviser believes that investors will need to look for value over the next year because positive earnings will be tough to come by.
* | Holdings percentage(s) as of 10/31/2015. |
** | 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, 2015
Annualized | Annualized | Annualized | Annualized Since Inception | ||
One Year | Three Years | Five Years | Ten Years | (12/10/04) | |
Class N | (17.79)% | (4.24)% | (5.44)% | 2.92% | 4.59% |
Class C | (18.60)% | (5.21)% | (6.39)% | 1.90% | 3.56% |
Class A with load of 5.75% | (22.65)% | (6.31)% | (6.77)% | N/A | (2.31)%* |
Class A without load | (17.94)% | (4.44)% | (5.65)% | N/A | (1.65)%* |
MSCI Emerging Markets Index (net) | (14.53)% | (2.87)% | (2.80)% | 5.70% | 7.46% |
Morningstar Diversified Emerging Markets Category | (14.44)% | (2.42)% | (2.93)% | 4.71% | 6.44% |
* | Class A commenced operations on January 3, 2007. |
The MSCI Emerging Markets Index (net) is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. Investors cannot invest directly in an index or benchmark.
The Morningstar Diversified Emerging Markets Category is generally representative of mutual funds that primarily invest among 20 or more developing nations, with a general focus on the emerging markets of Asia and Latin America rather than on the emerging markets countries in the Middle East, Africa, or Europe.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.33% for Class N, 2.33% for Class C and 1.58% 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.
74
SCHEDULE OF INVESTMENTS |
Dunham Emerging Markets Stock Fund |
October 31, 2015 |
Security | Shares | Value | ||||||
COMMON STOCK - 92.4% | ||||||||
AGRICULTURE - 1.5% | ||||||||
Astral Foods Ltd. | 20,000 | $ | 251,282 | |||||
KT&G Corp. | 5,000 | 499,370 | ||||||
750,652 | ||||||||
AUTO MANUFACTURERS - 2.6% | ||||||||
Geely Automobile Holdings Ltd. | 600,000 | 319,981 | ||||||
Kia Motors Corp. | 20,000 | 975,823 | ||||||
1,295,804 | ||||||||
AUTO PARTS & EQUIPMENT - 0.7% | ||||||||
Hota Industrial Manufacturing Co. Ltd. * | 100,000 | 330,186 | ||||||
BANKS - 16.9% | ||||||||
Bancolombia SA - ADR | 15,000 | 519,300 | ||||||
BDO UniBank, Inc. | 250,000 | 541,564 | ||||||
China Construction Bank Corp. | 1,250,000 | 906,003 | ||||||
China Merchants Bank Co. Ltd. | 100,000 | 261,109 | ||||||
Credicorp Ltd. | 5,000 | 565,900 | ||||||
FirstRand Ltd. | 80,000 | 293,192 | ||||||
Grupo Financiero Galicia SA - ADR ^ | 20,000 | 535,000 | ||||||
ICICI Bank Ltd. - ADR | 80,000 | 689,600 | ||||||
Industrial & Commercial Bank of China Ltd. | 600,000 | 380,608 | ||||||
Krung Thai Bank PCL -NVDR | 800,000 | 383,673 | ||||||
OTP Bank PLC | 85,000 | 1,653,533 | ||||||
Sberbank of Russia - ADR | 120,000 | 735,960 | ||||||
Turkiye Garanti Bankasi AS | 275,000 | 712,852 | ||||||
Turkiye Halk Bankasi AS | 100,000 | 375,018 | ||||||
8,553,312 | ||||||||
CHEMICALS - 3.9% | ||||||||
Engro Corp Ltd. | 450,000 | 1,300,285 | ||||||
Nan Ya Plastics Corp. | 125,000 | 247,041 | ||||||
UPL Ltd. | 60,000 | 421,107 | ||||||
1,968,433 | ||||||||
COAL - 0.4% | ||||||||
Coal India Ltd. | 40,000 | 195,606 | ||||||
COMMERCIAL SERVICES - 1.5% | ||||||||
Zhejiang Expressway Co., Ltd. | 600,000 | 737,657 | ||||||
COMPUTERS - 3.3% | ||||||||
Datatec Ltd. | 55,000 | 235,215 | ||||||
Infosys Ltd. - ADR ^ | 80,000 | 1,452,800 | ||||||
1,688,015 | ||||||||
DISTRIBUTION / WHOLESALE - 1.4% | ||||||||
Hanwha Corp. | 21,200 | 694,879 | ||||||
DIVERSIFIED FINANCIAL SERVICES - 4.4% | ||||||||
BNK Financial Group, Inc. | 31,576 | 386,444 | ||||||
Capitec Bank Holdings Ltd. | 10,000 | 432,050 | ||||||
CTBC Financial Holding Co., Ltd. | 1,368,167 | 746,535 | ||||||
Fubon Financial Holding Co. Ltd. | 200,000 | 321,960 | ||||||
Hyundai Securities Co. Ltd. | 60,000 | 361,697 | ||||||
2,248,686 | ||||||||
ELECTRIC - 1.9% | ||||||||
China Resources Power Holdings Co. Ltd. | 150,000 | 339,347 | ||||||
Korea Electric Power Corp. | 13,700 | 616,572 | ||||||
955,919 | ||||||||
ELECTRONICS - 4.6% | ||||||||
Hon Hai Precision Industry Co., Ltd. | 420,000 | 1,111,881 | ||||||
Pegatron Corp. | 500,000 | 1,216,902 | ||||||
2,328,783 |
Security | Shares | Value | ||||||
ENGINEERING & CONSTRUCTION - 2.6% | ||||||||
Hyundai Engineering & Construction Co. Ltd. | 25,000 | $ | 753,479 | |||||
TAV Havalimanlari Holding AS | 75,000 | 588,984 | ||||||
1,342,463 | ||||||||
FOOD - 2.0% | ||||||||
JBS SA | 200,000 | 742,729 | ||||||
Magnit PJSC - GDR | 6,000 | 272,271 | ||||||
1,015,000 | ||||||||
FOREST PRODUCTS & PAPER - 1.2% | ||||||||
Mondi Ltd. | 25,000 | 580,973 | ||||||
HOME FURNISHINGS - 1.6% | ||||||||
Skyworth Digital Holdings Ltd. | 360,000 | 266,445 | ||||||
Steinhoff International Holdings Ltd. | 90,000 | 550,293 | ||||||
816,738 | ||||||||
INSURANCE - 2.5% | ||||||||
Dongbu Insurance Co. Ltd. | 6,000 | 359,658 | ||||||
PICC Property & Casualty Co., Ltd. | 400,000 | 907,687 | ||||||
1,267,345 | ||||||||
INTERNET- 2.6% | ||||||||
MercadoLibre, Inc. ^ | 3,000 | 295,110 | ||||||
NCSoft Corp. | 1,500 | 248,627 | ||||||
Tencent Holdings Ltd. | 40,000 | 754,024 | ||||||
1,297,761 | ||||||||
IRON / STEEL- 0.8% | ||||||||
Eregli Demir ve Celik Fabrikalari TAS | 300,000 | 425,619 | ||||||
LEISURE TIME - 0.6% | ||||||||
Bajaj Auto Ltd. | 8,000 | 312,801 | ||||||
LODGING - 0.9% | ||||||||
Kangwon Land, Inc. | 12,500 | 463,158 | ||||||
MINING - 2.4% | ||||||||
MMC Norilsk Nickel OJSC - ADR | 45,000 | 669,825 | ||||||
Southern Copper Corp. ^ | 20,000 | 555,200 | ||||||
1,225,025 | ||||||||
MISCELLANEOUS MANUFACTURING - 0.6% | ||||||||
Largan Precision Co. Ltd. | 4,000 | 309,581 | ||||||
OIL & GAS - 8.4% | ||||||||
China Petroleum & Chemical Corp. | 800,000 | 576,712 | ||||||
Gazprom OAO - ADR | 180,000 | 752,400 | ||||||
Lukoil OAO - ADR | 30,000 | 1,089,000 | ||||||
MOL Hungarian Oil & Gas PLC | 12,000 | 544,372 | ||||||
Pakistan Petroleum Ltd. | 200,000 | 241,224 | ||||||
SK Innovation Co. Ltd. * | 5,000 | 518,220 | ||||||
YPF SA - ADR | 25,000 | 534,000 | ||||||
4,255,928 | ||||||||
PACKAGING & CONTAINERS - 0.6% | ||||||||
Lee & Man Paper Manufacturing Ltd. | 500,000 | 311,302 | ||||||
PHARMACEUTICALS - 3.5% | ||||||||
Dr. Reddy’s Laboratories Ltd. - ADR | 10,000 | 647,900 | ||||||
Richter Gedeon Nyrt | 45,000 | 754,585 | ||||||
Sino Biopharmaceutical Ltd. | 299,234 | 371,882 | ||||||
1,774,367 | ||||||||
REAL ESTATE - 1.6% | ||||||||
China Overseas Land & Investment Ltd. | 240,000 | 775,218 | ||||||
China Overseas Property Holdings Ltd. * | 80,000 | 13,729 | ||||||
788,947 |
See accompanying notes to financial statements.
75
SCHEDULE OF INVESTMENTS |
Dunham Emerging Markets Stock Fund (Continued) |
October 31, 2015 |
Security | Shares | Value | ||||||
RETAIL - 3.0% | ||||||||
ANTA Sports Products | 200,000 | $ | 559,502 | |||||
China Resources Beer Holdings Company Ltd. - NVDR | 150,000 | 283,244 | ||||||
CP ALL PCL - NVDR | 300,000 | 421,691 | ||||||
SM Investments Corp. | 15,000 | 279,577 | ||||||
1,544,014 | ||||||||
SEMICONDUCTORS - 4.8% | ||||||||
Samsung Electronics Co. Ltd. | 1,500 | 1,798,367 | ||||||
SK Hynix, Inc. | 8,000 | 214,006 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR ^ | 20,000 | 439,200 | ||||||
2,451,573 | ||||||||
SOFTWARE - 2.2% | ||||||||
HCL Technologies Ltd. | 40,000 | 533,415 | ||||||
NetEase, Inc. - ADR | 4,000 | 578,120 | ||||||
1,111,535 | ||||||||
TELECOMMUNICATIONS - 6.9% | ||||||||
China Mobile Ltd. | 130,000 | 1,558,787 | ||||||
Chunghwa Telecom Co Ltd. - ADR | 15,000 | 459,600 | ||||||
Globe Telecom, Inc. | 8,000 | 388,240 | ||||||
Mobile TeleSystems PJSC - ADR | 60,000 | 421,800 | ||||||
MTN Group Ltd. | 35,000 | 398,522 | ||||||
Philippine Long Distance Telephone Co. | 6,000 | 281,098 | ||||||
3,508,047 | ||||||||
TRANSPORTATION - 0.5% | ||||||||
Super Group Ltd. * | 100,000 | 234,932 | ||||||
TOTAL COMMON STOCK (Cost - $47,639,280) | 46,785,041 |
Security | Shares | Value | ||||||
EXCHANGE TRADED FUNDS - 4.6% | ||||||||
EQUITY FUNDS - 4.6% | ||||||||
iShares MSCI South Africa ETF | 13,100 | $ | 746,176 | |||||
iShares MSCI Taiwan ETF | 50,000 | 695,000 | ||||||
Market Vectors Russia ETF | 52,000 | 868,920 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $2,338,297) | 2,310,096 | |||||||
SHORT-TERM INVESTMENT - 0.2% | ||||||||
MONEY MARKET - 0.2% | ||||||||
First American Government Obligations Fund 0.01% + | ||||||||
(Cost - $105,150) | 105,150 | 105,150 | ||||||
COLLATERAL FOR SECURITIES LOANED - 3.1% | ||||||||
Mount Vernon Prime Portfolio 0.25% + | ||||||||
(Cost - $1,595,560) | 1,595,560 | 1,595,560 | ||||||
TOTAL INVESTMENTS - 100.3% (Cost - $51,678,287) | $ | 50,795,847 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3)% | (154,925 | ) | ||||||
NET ASSETS - 100.0% | $ | 50,640,922 |
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $1,466,213 at October 31, 2015. |
* | Non-income producing security. |
+ | Variable rate security. Interest rate is as of October 31, 2015. |
ADR - American Depositary Receipt. | ETF - Exchange Traded Funds |
GDR - Global Depositary Receipt. | NVDR - Non-Voting Depositary Receipt |
Portfolio Composition * - (Unaudited) | ||||||||||
South Korea | 15.5 | % | Russia | 7.7 | % | |||||
China | 11.8 | % | Hong Kong | 7.7 | % | |||||
Taiwan | 10.2 | % | South Africa | 5.9 | % | |||||
India | 8.4 | % | Hungary | 5.8 | % | |||||
United States | 7.9 | % | Other Countries | 19.1 | % | |||||
Total | 100 | % |
* | Based on total value of investments as of October 31, 2015. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
76
Dunham Small Cap Growth Fund
Message from the Sub-Adviser (Pier Capital, LLC)
Following a banner year for small capitalization growth stocks, fiscal year 2015 saw increased volatility and tamer returns, as small capitalization growth stocks, measured by the Russell 2000 Growth Index, gained 3.5 percent for the fiscal year ending October 31, 2015. Growth stocks in the small capitalization space lagged their larger capitalization peers, as measured by the Russell 1000 Growth Index, which rose 9.2 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, which fell 2.9 percent after also experiencing a volatile year. Small capitalization growth stocks, in general, lagged the market as a whole, as measured by the Russell 3000 Index, which saw an increase of 4.5 percent for the year ending October 31, 2015.
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 information technology and healthcare. Small capitalization growth information technology stocks in the Fund were primarily helped by Globant S.A (GLOB) (holdings percentage*: 1.06 percent), which provides engineering, design, and innovation services for clients throughout North America and Europe. The Sub-Adviser initiated the position on May 1, 2015, where the holding gained 64.5 percent from initiation to the end of the fiscal year. In the healthcare sector, Synageva BioPharma Corp. (GEVA) (holdings percentage**: 0.91 percent), a clinical stage biopharmaceutical company that focuses on the discovery, development, and commercialization of therapeutic products for patients with life-threatening rare diseases and unmet medical needs. Alexion Pharmaceuticals, Inc. announced the acquisition of Synageva BioPharma Corp. for a total consideration of $7.9 billion with an anticipated close date of June 24, 2015. The Sub-Adviser exited the position on June 6, 2015, realizing a gain of 184.6 percent during the fiscal year.
Underperforming sectors within the Fund for the fiscal year were industrials and consumer discretionary. The Industrials sector was hurt by the performance of Saia Inc. (SAIA) (holdings percentage**: 0.63 percent), a provider of trucking transportation to the retail, petrochemical, and manufacturing industries within the United States. The Sub-Adviser lost conviction in the holding and exited the position on March 12, 2015, realizing a drop of 6.1 percent for the Fund. Kate Spade & Co. (KATE) (holdings percentage**: 0.51 percent), a holding from the consumer discretionary sector, detracted from Fund performance. The company designs and markets branded women’s and men’s apparel, accessories, and fragrance products. Their portfolio of brands includes most apparel and non-apparel categories. The products are available at retail locations throughout the world and on e-commerce sites.
The Sub-Adviser initiated the position on December 2, 2014 and exited the position on July 16, 2015, experiencing a 34.9 percent decline. The Sub-Adviser believes there has been an increase in small capitalization companies’ business investment and hiring, which may be supported by recent U.S. jobs reports. They see this as an advantage that could lead to rising small growth stocks performance in the future year. 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 10/31/2015. |
** | 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, 2015
Annualized | Annualized | Annualized | Annualized Since Inception | ||
One Year | Three Years | Five Years | Ten Years | (12/10/04) | |
Class N | 5.36% | 15.27% | 11.95% | 8.05% | 7.89% |
Class C | 4.29% | 14.10% | 10.83% | 6.98% | 6.82% |
Class A with load of 5.75% | (0.95)% | 12.71% | 10.34% | N/A | 6.76%* |
Class A without load | 5.12% | 14.97% | 11.66% | N/A | 7.48%* |
Russell 2000 Growth Index | 3.52% | 16.16% | 13.56% | 8.67% | 8.15% |
Morningstar Small Cap Growth Category | 1.55% | 13.69% | 11.74% | 6.93% | 6.79% |
* | Class A commenced operations on January 3, 2007. |
The Russell 2000 Growth Index measures the performance of the Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. Investors cannot invest directly in an index or benchmark.
The Morningstar Small Cap Growth Category is generally representative of mutual funds that primarily invest in small (small capitalization) U.S. companies that are projected to grow faster than other small-cap stocks.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.84% for Class N, 2.84% for Class C and 2.09% 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 Small Cap Growth Fund |
October 31, 2015 |
Security | Shares | Value | ||||||
COMMON STOCK - 95.0% | ||||||||
AIRLINES - 1.9% | ||||||||
Allegiant Travel Co. | 1,474 | $ | 291,041 | |||||
Virgin America, Inc. * | 9,630 | 342,925 | ||||||
633,966 | ||||||||
APPAREL - 2.0% | ||||||||
G-III Apparel Group Ltd. * | 5,529 | 304,592 | ||||||
Steven Madden Ltd. *^ | 10,029 | 349,511 | ||||||
654,103 | ||||||||
BANKS - 4.2% | ||||||||
Bank of the Ozarks ^ | 7,061 | 353,191 | ||||||
BankUnited, Inc. | 8,592 | 319,451 | ||||||
FCV Financial Holdings, Inc. | 9,282 | 330,068 | ||||||
Western Alliance Bancorp * | 9,972 | 356,499 | ||||||
1,359,209 | ||||||||
BIOTECHNOLOGY - 0.8% | ||||||||
Dynavax Technologies Corp. | 11,260 | 255,715 | ||||||
BUILDING MATERIALS - 0.9% | ||||||||
Apogee Enterprises, Inc. | 6,124 | 303,322 | ||||||
COMMERICAL SERVICES - 8.1% | ||||||||
Booz Allen Hamilton Holding Corp. | 7,736 | 227,903 | ||||||
Healthcare Services Group, Inc. | 8,283 | 308,625 | ||||||
INC Research Holdings, Inc. | 6,782 | 282,877 | ||||||
Korn Ferry International | 4,098 | 149,044 | ||||||
LendingTree, Inc. | 1,202 | 145,875 | ||||||
Nord Anglia Education, Inc. * | 12,601 | 246,980 | ||||||
On Assignment, Inc. * | 6,500 | 293,215 | ||||||
Sabre Corp. | 13,764 | 403,560 | ||||||
TrueBlue, Inc. | 5,156 | 149,369 | ||||||
Vantiv, Inc. | 8,721 | 437,358 | ||||||
2,644,806 | ||||||||
COMPUTERS - 5.2% | ||||||||
EPAM Systems * | 3,869 | 299,267 | ||||||
Exlservice Holdings, Inc. | 8,451 | 374,041 | ||||||
Globant SA * ^ | 10,023 | 346,495 | ||||||
Manhattan Associates, Inc. * | 5,490 | 399,947 | ||||||
Mercury Systems, Inc. * | 16,834 | 288,872 | ||||||
1,708,622 | ||||||||
DIVERSIFIED FINANCIAL SERVICES - 2.7% | ||||||||
ELLIE Mae, Inc. * | 4,121 | 300,751 | ||||||
Portfolio Recovery Associates, Inc. *^ | 4,888 | 267,862 | ||||||
WageWorks, Inc. * ^ | 6,636 | 318,661 | ||||||
887,274 | ||||||||
ELECTRONICS - 1.1% | ||||||||
IMAX Corp. * ^ | 9,296 | 356,873 | ||||||
ENGINEERING & CONSTRUCTION - 0.7% | ||||||||
Comfort Systems USA, Inc. | 6,802 | 217,188 | ||||||
ENTERTAINMENT - 0.4% | ||||||||
AMC Entertainment Holdings, Inc. | 5,058 | 138,438 | ||||||
ENVIRONMENTAL CONTROL - 0.8% | ||||||||
US Ecology, Inc. | 6,753 | 264,785 |
Security | Shares | Value | ||||||
FOOD - 1.4% | ||||||||
Blue Buffalo Pet Products, Inc. ^ | 7,499 | $ | 134,532 | |||||
Pinnacle Foods, Inc. | 7,588 | 334,479 | ||||||
469,011 | ||||||||
HEALTHCARE-PRODUCTS - 7.0% | ||||||||
AltriCure, Inc. | 13,962 | 258,646 | ||||||
Edwards Lifesciences Corp. | 2,315 | 363,802 | ||||||
Glaukos Corp. ^ | 4,879 | 97,775 | ||||||
Inogen, Inc. ^ | 3,150 | 134,631 | ||||||
Intersect ENT, Inc. * | 13,532 | 259,273 | ||||||
K2M Group Holdings, Inc. * | 14,042 | 256,265 | ||||||
Nanostring Technologies, Inc. * | 10,072 | 146,145 | ||||||
Nevro Corp. | 3,188 | 129,975 | ||||||
West Pharmaceutical Services | 5,556 | 333,416 | ||||||
Zeltiq Aesthetics, Inc. * ^ | 9,030 | 304,672 | ||||||
2,284,600 | ||||||||
HEALTHCARE-SERVICES - 4.0% | ||||||||
Acadia Healthcare Co., Inc. * | 4,393 | 269,774 | ||||||
Adeptus Health, Inc. ^ | 2,972 | 192,853 | ||||||
Amsurg Corp. ^ | 3,835 | 268,795 | ||||||
LCH Group, Inc. | 6,591 | 297,023 | ||||||
Surgical Care Affiliates, Inc. * | 9,145 | 270,784 | ||||||
1,299,229 | ||||||||
HOME BUILDERS - 1.6% | ||||||||
Installed Building Products, Inc. | 11,594 | 256,807 | ||||||
LGI Homes, Inc. ^ | 9,243 | 259,081 | ||||||
515,888 | ||||||||
HOME FURNISHINGS - 0.5% | ||||||||
American Woodmark Corp. | 2,026 | 147,290 | ||||||
INTERNET - 5.5% | ||||||||
Marketo, Inc. ^ | 10,470 | 308,132 | ||||||
Q2 Holdings, Inc. | 14,401 | 354,985 | ||||||
Ringcentral, Inc. * ^ | 22,300 | 412,550 | ||||||
Shopify, Inc. ^ | 8,286 | 266,975 | ||||||
Stamps.com, Inc. * | 2,077 | 157,042 | ||||||
Zendesk, Inc. * | 14,922 | 300,230 | ||||||
1,799,914 | ||||||||
LEISURE TIME - 2.1% | ||||||||
Norwegian Cruise Line Holdings Ltd. | 5,971 | 379,875 | ||||||
Planet Fitness, Inc. ^ | 18,042 | 294,806 | ||||||
674,681 | ||||||||
METAL FABRICATE / HARDWARE - 0.5% | ||||||||
Advanced Drainage Systems, Inc. ^ | 5,458 | 171,490 | ||||||
MISCELLANEOUS MANUFACTURING - 1.7% | ||||||||
Hexcel Corp. | 6,374 | 295,243 | ||||||
Proto Labs, Inc. * ^ | 4,064 | 263,510 | ||||||
558,753 | ||||||||
OFFICE FURNISHINGS - 1.8% | ||||||||
Interface, Inc. | 13,444 | 262,830 | ||||||
Knoll, Inc. | 14,099 | 327,661 | ||||||
590,491 | ||||||||
OIL & GAS - 2.9% | ||||||||
Diamondback Energy, Inc. * | 4,491 | 331,616 | ||||||
PDC Energy, Inc. * ^ | 5,375 | 324,327 |
See accompanying notes to financial statements.
78
SCHEDULE OF INVESTMENTS |
Dunham Small Cap Growth Fund (Continued) |
October 31, 2015 |
Security | Shares | Value | ||||||
OIL & GAS (CONTINUED)- 2.9% | ||||||||
RSP Permian, Inc. * ^ | 10,568 | $ | 289,775 | |||||
945,718 | ||||||||
PHARMACEUTICALS - 4.5% | ||||||||
Chiasma, Inc. ^ | 13,804 | 313,903 | ||||||
Depomed, Inc. * | 5,596 | 97,930 | ||||||
DexCom, Inc. * | 3,144 | 261,958 | ||||||
Diplomat Pharmacy, Inc. * ^ | 10,530 | 295,999 | ||||||
PRA Health Sciences, Inc. ^ | 3,950 | 138,408 | ||||||
Quintiles Transnational Holdings, Inc. * | 5,525 | 351,666 | ||||||
1,459,864 | ||||||||
REAL ESTATE - 1.0% | ||||||||
Marcus & Millichap, Inc. * | 7,551 | 328,997 | ||||||
RETAIL - 8.9% | ||||||||
Buffalo Wild Wings, Inc. * | 982 | 151,493 | ||||||
Burlington Stores, Inc. * ^ | 5,929 | 285,066 | ||||||
Carmax, Inc. * ^ | 5,129 | 302,662 | ||||||
Casey’s General Stores, Inc. | 2,787 | 296,035 | ||||||
Chuy’s Holdings, Inc. | 9,197 | 250,250 | ||||||
Five Below, Inc. | 8,811 | 302,570 | ||||||
Kirkland’s, Inc. | 13,637 | 313,515 | ||||||
Restoration Hardware Holding * ^ | 3,009 | 310,198 | ||||||
Signet Jewelers Ltd. | 2,695 | 406,783 | ||||||
Texas Roadhouse, Inc. | 8,307 | 285,346 | ||||||
2,903,918 | ||||||||
SAVINGS & LOANS - 0.4% | ||||||||
Sterling Bancorp. | 8,052 | 123,920 | ||||||
SEMICONDUCTORS - 4.7% | ||||||||
Cavium, Inc. * | 5,032 | 357,021 | ||||||
CEVA, Inc. ^ | 7,241 | 169,222 | ||||||
Inphi Corp. | 9,884 | 294,247 | ||||||
MA-COM Technology Solutions Holdings, Inc. * | 9,646 | 325,456 | ||||||
Monolithic Power Systems, Inc. ^ | 5,977 | 373,084 | ||||||
1,519,030 | ||||||||
SOFTWARE - 13.5% | ||||||||
2U, Inc. ^ | 1,771 | 37,156 | ||||||
Activision Blizzard, Inc. | 11,307 | 393,031 | ||||||
Appfolio, Inc. ^ | 8,630 | 151,111 | ||||||
Benefitfocus, Inc. * ^ | 8,645 | 276,294 |
Security | Shares | Value | ||||||
SOFTWARE (CONTINUED)- 13.5% | ||||||||
Broadsoft, Inc. ^ | 8,797 | $ | 281,240 | |||||
Callidus Software, Inc. | 21,835 | 379,274 | ||||||
Cvent, Inc. * | 11,317 | 357,730 | ||||||
CyberArk Software ltd. ^ | 2,963 | 147,083 | ||||||
Evolent Health, Inc. | 17,082 | 219,504 | ||||||
Hortonworks, Inc.^ | 13,264 | 258,117 | ||||||
MicroStrategy, Inc. | 1,154 | 198,569 | ||||||
Paycom Software, Inc. ^ | 7,249 | 275,535 | ||||||
Proofpoint, Inc. * ^ | 5,540 | 390,238 | ||||||
Qlik Technologies, Inc. * | 9,705 | 304,446 | ||||||
Red Hat, Inc. ^ | 4,464 | 353,147 | ||||||
Tyler Technolgies, Inc. | 2,316 | 394,554 | ||||||
4,417,029 | ||||||||
TELECOMMUNICATIONS - 3.1% | ||||||||
Ciena Corp. ^ | 12,898 | 311,358 | ||||||
Gigamon, Inc. | 14,983 | 393,004 | ||||||
ShoreTel, Inc. | 31,216 | 294,679 | ||||||
999,041 | ||||||||
TRANSPORTATION - 1.1% | ||||||||
Old Dominion Freight Line, Inc. * | 2,384 | 147,665 | ||||||
Swift Transportation Co. * | 13,607 | 212,677 | ||||||
360,342 | ||||||||
TOTAL COMMON STOCK | 30,993,507 | |||||||
(Cost - $28,908,229) | ||||||||
SHORT-TERM INVESTMENT - 5.2% | ||||||||
MONEY MARKET FUND - 5.2% | ||||||||
Fidelity Institutional Money Market Funds - | ||||||||
Government Portfolio, 0.01% + | 1,696,721 | 1,696,721 | ||||||
TOTAL SHORT-TERM INVESTMENT (Cost - $1,696,721) | ||||||||
COLLATERAL FOR SECURITIES LOANED - 25.3% | ||||||||
Mount Vernon Prime Portfolio 0.25% + (Cost - $8,261,703) | 8,261,703 | 8,261,703 | ||||||
TOTAL INVESTMENTS - 125.5% (Cost - $38,866,653) | $ | 40,951,931 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (25.5)% | (8,311,480 | ) | ||||||
NET ASSETS - 100.0% | $ | 32,640,451 |
^ | All or a portion of these securities are on loan. Total loaned securies had a value of $7,768,778 at October 31, 2015. |
* | Non-Income producing security. |
+ | Variable rate security. Interest rate is as of October 31, 2015. |
Portfolio Composition * - (Unaudited) | ||||||||||
Consumer, Non-cyclical | 20.5 | % | Communications | 6.8 | % | |||||
Collateral For Securities Loaned | 20.2 | % | Financial | 6.6 | % | |||||
Technology | 18.7 | % | Industrial | 5.5 | % | |||||
Consumer, Cyclical | 15.3 | % | Energy | 2.3 | % | |||||
Short-Term Investment | 4.1 | % | ||||||||
Total | 100.0 | % |
* | Based on total value of investments as of October 30, 2015. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
79
STATEMENTS OF ASSETS AND LIABILITIES |
October 31, 2015 |
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 | $ | 51,211,947 | $ | 310,705,575 | $ | 89,272,124 | $ | 111,715,329 | $ | 38,963,131 | $ | 33,406,021 | $ | 31,338,941 | $ | 32,014,056 | ||||||||||||||||
Investments in securities, at value | $ | 51,249,299 | $ | 294,529,013 | $ | 86,878,534 | $ | 109,938,339 | $ | 36,126,503 | $ | 34,165,105 | $ | 31,760,195 | $ | 30,878,002 | ||||||||||||||||
Foreign currency, at value (Cost $82,375, $104,611 and $10,799, respectively) | — | 76,525 | — | — | 104,448 | 10,775 | — | — | ||||||||||||||||||||||||
Deposits with brokers | — | 18,726,712 | — | — | 154,612 | — | — | — | ||||||||||||||||||||||||
Unrealized appreciation on swap contracts | — | 6,221,960 | — | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized appreciation on futures | — | — | — | — | 21,700 | 638,421 | — | — | ||||||||||||||||||||||||
Cash | — | 25,640,000 | — | — | — | — | — | — | ||||||||||||||||||||||||
Receivable for securities sold | 281,192 | 11,731,711 | 1,131,476 | 308,900 | — | 4,408 | 6,454,999 | 109,182 | ||||||||||||||||||||||||
Interest and dividends receivable | 479,524 | 585,010 | 529,121 | 1,561,084 | 410,771 | — | 15,935 | 112,220 | ||||||||||||||||||||||||
Receivable for fund shares sold | 2,614 | 60,288 | 10,695 | 10,667 | 4,534 | 8,319 | 4,553 | 10,203 | ||||||||||||||||||||||||
Receivable for open forward foreign currency contracts | — | 300,429 | — | 119,231 | — | — | — | |||||||||||||||||||||||||
Prepaid expenses and other assets | 23,665 | 46,225 | 26,700 | 24,076 | 26,033 | 29,951 | 20,188 | 20,238 | ||||||||||||||||||||||||
Total Assets | 52,036,294 | 357,917,873 | 88,576,526 | 111,843,066 | 36,967,832 | 34,856,979 | 38,255,870 | 31,129,845 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Option contracts written (premiums received $8,570,828 and $18,703) | — | 10,953,077 | — | — | — | 7,243 | — | — | ||||||||||||||||||||||||
Payable upon return of securities loaned | 802,900 | — | 727,440 | 12,722,190 | — | 385,200 | 7,957,439 | 1,273,140 | ||||||||||||||||||||||||
Securities sold short (proceeds $43,689,086) | — | 45,787,259 | — | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized depreciation on swaps | — | 5,938,332 | — | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized depreciation on futures | — | — | — | 31,625 | 297,837 | — | — | |||||||||||||||||||||||||
Payable for dividends on short sales | — | 113,688 | — | — | — | — | — | — | ||||||||||||||||||||||||
Payable to broker for futures | — | — | — | — | — | 308,778 | — | — | ||||||||||||||||||||||||
Payable for securities purchased | 642,833 | 5,758,466 | 2,165,644 | 767,359 | — | 6,472,056 | 405,354 | |||||||||||||||||||||||||
Payable for fund shares redeemed | 43,238 | 249,019 | 87,867 | 112,046 | 24,808 | 26,699 | 16,456 | 23,195 | ||||||||||||||||||||||||
Payable for closed swaps | — | 216,801 | — | — | — | — | — | — | ||||||||||||||||||||||||
Payable for open forward foreign currency contracts | — | 149,141 | — | — | 57,701 | — | — | — | ||||||||||||||||||||||||
Distributions payable | 926 | 85,877 | 1,569 | 18,051 | — | — | — | — | ||||||||||||||||||||||||
Payable to adviser | 21,611 | 161,029 | 44,085 | 50,116 | 19,114 | 18,293 | 13,073 | 16,202 | ||||||||||||||||||||||||
Payable to sub-adviser | 6,106 | 61,280 | 29,390 | 13,862 | 7,489 | 28,509 | 6,415 | 5,069 | ||||||||||||||||||||||||
Payable for distribution fees | 3,731 | 58,895 | 1,428 | 19,209 | — | 2,230 | 1,035 | 8,960 | ||||||||||||||||||||||||
Payable for administration fees | 7,277 | 14,500 | 8,925 | 6,850 | 6,202 | 1,376 | 1,023 | 1,750 | ||||||||||||||||||||||||
Payable for fund accounting fees | — | 7,500 | 2,250 | 2,500 | 2,725 | 1,303 | 815 | 725 | ||||||||||||||||||||||||
Payable for transfer agent fees | 1,688 | 1,600 | 1,425 | 1,450 | 2,765 | 1,671 | 1,976 | 1,125 | ||||||||||||||||||||||||
Payable for custody fees | — | 8,750 | 1,100 | 925 | 13,713 | 2,362 | 2,475 | 750 | ||||||||||||||||||||||||
Accrued expenses and other liabilities | 31,046 | 47,592 | 18,450 | 20,142 | 21,418 | 23,079 | 20,673 | 16,550 | ||||||||||||||||||||||||
Total Liabilities | 1,561,356 | 69,612,806 | 3,089,573 | 13,734,700 | 187,560 | 1,104,580 | 14,493,436 | 1,752,820 | ||||||||||||||||||||||||
Net Assets | $ | 50,474,938 | $ | 288,305,067 | $ | 85,486,953 | $ | 98,108,366 | $ | 36,780,272 | $ | 33,752,399 | $ | 23,762,434 | $ | 29,377,025 | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Paid in capital | $ | 51,769,989 | $ | 310,968,857 | $ | 88,936,075 | $ | 107,871,755 | $ | 39,746,411 | $ | 34,152,469 | $ | 24,792,561 | $ | 29,329,674 | ||||||||||||||||
Accumulated net investment income (loss) | 16,342 | (1,394,664 | ) | 27,400 | 108,995 | (70,155 | ) | (42,659 | ) | (126,022 | ) | 956,577 | ||||||||||||||||||||
Accumulated net realized gain (loss) on investments, options, securities sold short, futures, swap contracts, and foreign currency transactions | (1,348,745 | ) | (1,041,203 | ) | (1,082,932 | ) | (8,095,394 | ) | (70,916 | ) | (1,502,507 | ) | (1,325,359 | ) | 558,767 | |||||||||||||||||
Net unrealized appreciation (depreciation) on investments, options, securities sold short, futures, swap contracts, and foreign currency translations | 37,352 | (20,227,918 | ) | (2,393,590 | ) | (1,776,990 | ) | (2,825,068 | ) | 1,145,096 | 421,254 | (1,467,993 | ) | |||||||||||||||||||
Net Assets | $ | 50,474,938 | $ | 288,305,067 | $ | 85,486,953 | $ | 98,108,366 | $ | 36,780,272 | $ | 33,752,399 | $ | 23,762,434 | $ | 29,377,025 | ||||||||||||||||
Net Asset Value Per Share | ||||||||||||||||||||||||||||||||
Class N Shares: | ||||||||||||||||||||||||||||||||
Net Assets | $ | 41,988,746 | $ | 163,842,577 | $ | 73,316,363 | $ | 78,654,050 | $ | 31,934,642 | $ | 28,518,286 | $ | 21,184,260 | $ | 20,209,907 | ||||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 3,053,702 | 4,506,138 | 7,637,391 | 8,822,086 | 3,580,377 | 2,907,773 | 870,159 | 2,308,655 | ||||||||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 13.75 | $ | 36.36 | $ | 9.60 | $ | 8.92 | $ | 8.92 | $ | 9.81 | $ | 24.35 | $ | 8.75 | ||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||||||||||
Net Assets | $ | 4,788,125 | $ | 74,247,039 | $ | 8,597,511 | $ | 10,223,574 | $ | 3,207,701 | $ | 3,296,301 | $ | 1,715,471 | $ | 4,210,972 | ||||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 348,622 | 2,083,569 | 896,125 | 1,137,520 | 360,528 | 335,970 | 71,750 | 482,474 | ||||||||||||||||||||||||
Net asset value and redemption price per share * | $ | 13.73 | $ | 35.63 | $ | 9.59 | $ | 8.99 | $ | 8.90 | $ | 9.81 | $ | 23.91 | $ | 8.73 | ||||||||||||||||
Front-end sales charge factor | 0.9550 | 0.9425 | 0.9550 | 0.9550 | 0.9550 | 0.9425 | 0.9425 | 0.9425 | ||||||||||||||||||||||||
Offering price per share (Net asset value per share / front-end sales charge factor) | $ | 14.38 | $ | 37.80 | $ | 10.04 | $ | 9.41 | $ | 9.32 | $ | 10.41 | $ | 25.37 | $ | 9.26 | ||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||||||||||
Net Assets | $ | 3,698,067 | $ | 50,215,451 | $ | 3,573,079 | $ | 9,230,742 | $ | 1,637,929 | $ | 1,937,812 | $ | 862,703 | $ | 4,956,146 | ||||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 270,922 | 1,674,231 | 372,532 | 1,041,892 | 185,344 | 202,239 | 38,072 | 578,963 | ||||||||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 13.65 | $ | 29.99 | $ | 9.59 | $ | 8.86 | $ | 8.84 | $ | 9.58 | $ | 22.66 | $ | 8.56 |
* | 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.
80
STATEMENTS OF ASSETS AND LIABILITIES (Continued) |
October 31, 2015 |
Dunham | Dunham | |||||||||||||||||||||||||||||||
Dunham | Dunham | Focused | Dunham | Dunham | Dunham | Emerging | Dunham | |||||||||||||||||||||||||
Large Cap | Alternative | Large Cap | International | Real Estate | 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 | $ | 60,520,942 | $ | 8,693,539 | $ | 64,723,440 | $ | 92,835,790 | $ | 45,577,854 | $ | 31,643,296 | $ | 51,678,287 | $ | 38,866,653 | ||||||||||||||||
Investments in securities, at value | $ | 66,027,663 | $ | 8,525,753 | $ | 79,906,118 | $ | 93,824,311 | $ | 52,995,601 | $ | 32,325,519 | $ | 50,795,847 | $ | 40,951,931 | ||||||||||||||||
Foreign currency, at value (Cost $5, $96,998 and $1,290,983, respectively) | — | 5 | — | 95,640 | — | — | 1,287,605 | — | ||||||||||||||||||||||||
Receivable for securities sold | 589,961 | — | — | 947,326 | 2,325,473 | — | 2,869,486 | 1,191,063 | ||||||||||||||||||||||||
Interest and dividends receivable | 53,362 | 13,534 | 4,322 | 188,502 | 35,654 | 12,006 | 35,938 | 3,177 | ||||||||||||||||||||||||
Receivable for fund shares sold | 12,096 | 4,000 | 10,964 | 15,615 | 11,924 | 5,377 | 6,763 | 11,673 | ||||||||||||||||||||||||
Receivable for open forward foreign currency contracts | — | — | — | 453,743 | — | — | — | — | ||||||||||||||||||||||||
Prepaid expenses and other assets | 24,328 | 6,272 | 33,900 | 26,015 | 22,770 | 20,725 | 24,129 | 22,608 | ||||||||||||||||||||||||
Total Assets | 66,707,410 | 8,549,564 | 79,955,304 | 95,551,152 | 55,391,422 | 32,363,627 | 55,019,768 | 42,180,452 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Payable upon return of securities loaned | 9,134,370 | 1,285,047 | 14,496,161 | 663,425 | 5,283,727 | 4,020,726 | 1,595,560 | 8,261,703 | ||||||||||||||||||||||||
Payable to custodian for cash overdraft | — | — | — | — | — | — | 1,059,270 | — | ||||||||||||||||||||||||
Payable for securities purchased | 356,363 | 48,825 | — | 1,130,154 | 2,389,743 | — | 1,599,925 | 1,186,014 | ||||||||||||||||||||||||
Payable for fund shares redeemed | 71,871 | 32,744 | 72,555 | 85,037 | 41,624 | 24,140 | 42,720 | 16,564 | ||||||||||||||||||||||||
Payable for open forward foreign currency contracts | — | — | — | 197,615 | — | — | — | — | ||||||||||||||||||||||||
Payable to adviser | 30,643 | 3,887 | 34,406 | 49,206 | 26,406 | 15,365 | 28,151 | 18,160 | ||||||||||||||||||||||||
Payable to sub-adviser | 72,784 | 375 | 26,188 | 55,895 | 19,206 | 16,305 | 6,337 | 26,992 | ||||||||||||||||||||||||
Payable for distribution fees | 6,560 | 3,357 | 4,071 | 9,728 | 2,567 | 3,555 | 5,914 | 2,008 | ||||||||||||||||||||||||
Payable for administration fees | 2,916 | 943 | 2,504 | 4,951 | 2,350 | 4,493 | 1,971 | 1,725 | ||||||||||||||||||||||||
Payable for fund accounting fees | 2,294 | — | 1,174 | 1,995 | 1,125 | 228 | 1,365 | 850 | ||||||||||||||||||||||||
Payable for transfer agent fees | 3,630 | 1,216 | 1,375 | — | 1,125 | 1,432 | 2,203 | 1,175 | ||||||||||||||||||||||||
Payable for custody fees | 198 | 1,555 | 1,450 | — | 1,875 | 2,103 | 11,846 | 2,250 | ||||||||||||||||||||||||
Accrued expenses and other liabilities | 23,992 | 18,870 | 19,126 | 61,620 | 9,829 | 23,676 | 23,584 | 22,560 | ||||||||||||||||||||||||
Total Liabilities | 9,705,621 | 1,396,819 | 14,659,010 | 2,259,626 | 7,779,577 | 4,112,023 | 4,378,846 | 9,540,001 | ||||||||||||||||||||||||
Net Assets | $ | 57,001,789 | $ | 7,152,745 | $ | 65,296,294 | $ | 93,291,526 | $ | 47,611,845 | $ | 28,251,604 | $ | 50,640,922 | $ | 32,640,451 | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Paid in capital | $ | 37,613,782 | $ | 7,327,931 | $ | 50,864,657 | $ | 93,175,004 | $ | 36,254,074 | $ | 26,706,504 | $ | 59,558,321 | $ | 28,048,161 | ||||||||||||||||
Accumulated net investment income (loss) | 373,351 | 133,450 | (612,912 | ) | (322,883 | ) | 206,337 | — | 108,161 | — | ||||||||||||||||||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 13,507,935 | (140,855 | ) | (138,130 | ) | (778,149 | ) | 3,733,687 | 862,877 | (8,131,742 | ) | 2,507,012 | ||||||||||||||||||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 5,506,721 | (167,781 | ) | 15,182,679 | 1,217,554 | 7,417,747 | 682,223 | (893,818 | ) | 2,085,278 | ||||||||||||||||||||||
Net Assets | $ | 57,001,789 | $ | 7,152,745 | $ | 65,296,294 | $ | 93,291,526 | $ | 47,611,845 | $ | 28,251,604 | $ | 50,640,922 | $ | 32,640,451 | ||||||||||||||||
Net Asset Value Per Share | ||||||||||||||||||||||||||||||||
Class N Shares: | ||||||||||||||||||||||||||||||||
Net Assets | $ | 44,619,736 | $ | 2,299,520 | $ | 51,311,993 | $ | 76,992,075 | $ | 33,379,102 | $ | 22,068,108 | $ | 42,831,414 | $ | 23,151,734 | ||||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 2,733,964 | 218,861 | 3,024,328 | 5,406,227 | 1,735,857 | 1,546,141 | 3,578,326 | 1,355,771 | ||||||||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 16.32 | $ | 10.51 | $ | 16.97 | $ | 14.24 | $ | 19.23 | $ | 14.27 | $ | 11.97 | $ | 17.08 | ||||||||||||||||
Class A Shares: | �� | |||||||||||||||||||||||||||||||
Net Assets | $ | 6,577,004 | $ | 2,564,390 | $ | 8,761,890 | $ | 9,031,877 | $ | 10,385,513 | $ | 3,800,518 | $ | 4,593,942 | $ | 6,326,122 | ||||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 404,479 | 244,369 | 521,582 | 635,773 | 539,112 | 268,037 | 392,401 | 380,735 | ||||||||||||||||||||||||
Net asset value, and redemption price per share * | $ | 16.26 | $ | 10.49 | $ | 16.80 | $ | 14.21 | $ | 19.26 | $ | 14.18 | $ | 11.71 | $ | 16.62 | ||||||||||||||||
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) | $ | 17.25 | $ | 11.13 | $ | 17.82 | $ | 15.08 | $ | 20.44 | $ | 15.05 | $ | 12.42 | $ | 17.63 | ||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||||||||||
Net Assets | $ | 5,805,049 | $ | 2,288,835 | $ | 5,222,411 | $ | 7,267,574 | $ | 3,847,230 | $ | 2,382,978 | $ | 3,215,566 | $ | 3,162,595 | ||||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 368,808 | 219,061 | 319,838 | 529,324 | 207,953 | 182,520 | 288,587 | 216,478 | ||||||||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 15.74 | $ | 10.45 | $ | 16.33 | $ | 13.73 | $ | 18.50 | $ | 13.06 | $ | 11.14 | $ | 14.61 |
* | 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.
81
STATEMENTS OF OPERATIONS | ||
For the Year Ended October 31, 2015 |
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 | $ | 2,133,664 | $ | 1,678,249 | $ | 3,766,731 | $ | 6,635,405 | $ | 910,915 | $ | 4,110 | $ | 1,895 | $ | 960,669 | ||||||||||||||||
Dividend income | 54,515 | 3,109,744 | 1,545 | 16,040 | — | 191,159 | 286,355 | 248,722 | ||||||||||||||||||||||||
Less: Foreign withholding taxes | — | (39,682 | ) | — | 1,136 | (10,065 | ) | (1,876 | ) | — | — | |||||||||||||||||||||
Total Investment Income | 2,188,179 | 4,748,311 | 3,768,276 | 6,652,581 | 900,850 | 193,393 | 288,250 | 1,209,391 | ||||||||||||||||||||||||
Operating Expenses: | ||||||||||||||||||||||||||||||||
Investment advisory fees | 269,264 | 1,905,882 | 500,765 | 690,883 | 284,479 | 161,056 | 139,285 | 188,182 | ||||||||||||||||||||||||
Sub-advisory fees | 161,558 | 2,199,093 | 333,844 | 460,588 | 213,359 | 186,529 | 118,954 | 130,280 | ||||||||||||||||||||||||
Sub-advisory performance fees | (78,150 | ) | 78,457 | (68,823 | ) | (262,839 | ) | (68,361 | ) | 47,677 | (52,146 | ) | (55,977 | ) | ||||||||||||||||||
Fund accounting fees | 16,736 | 85,683 | 24,592 | 33,600 | 15,026 | 7,778 | 6,842 | 8,340 | ||||||||||||||||||||||||
Distribution fees- Class C Shares | 27,538 | 522,180 | 26,572 | 79,755 | 13,690 | 18,358 | 9,494 | 44,840 | ||||||||||||||||||||||||
Distribution fees- Class A Shares | 10,531 | 188,120 | 23,089 | 36,983 | 12,955 | 6,614 | 5,314 | 10,964 | ||||||||||||||||||||||||
Administration fees | 82,109 | 180,135 | 101,999 | 89,598 | 48,990 | 14,434 | 13,259 | 20,699 | ||||||||||||||||||||||||
Registration fees | 40,323 | 59,361 | 41,393 | 47,305 | 45,940 | 49,752 | 26,477 | 39,999 | ||||||||||||||||||||||||
Transfer agent fees | 16,585 | 46,935 | 22,931 | 27,337 | 18,865 | 16,639 | 16,890 | 16,478 | ||||||||||||||||||||||||
Custodian fees | 21,311 | 173,071 | 21,517 | 12,411 | 48,902 | 8,251 | 10,207 | 5,050 | ||||||||||||||||||||||||
Professional fees | 15,058 | 29,370 | 32,574 | 20,464 | 16,834 | 21,141 | 15,813 | 16,338 | ||||||||||||||||||||||||
Chief Compliance Officer fees | 5,620 | 41,519 | 12,131 | 16,897 | 7,669 | 1,788 | 3,936 | 4,232 | ||||||||||||||||||||||||
Printing and postage expense | 10,001 | 90,595 | 12,714 | 14,813 | 5,344 | 13,480 | 1,727 | 6,317 | ||||||||||||||||||||||||
Trustees’ fees | 3,588 | 17,688 | 4,909 | 7,291 | 6,904 | 860 | 1,124 | 1,730 | ||||||||||||||||||||||||
Insurance expense | 683 | 1,214 | 2,157 | 3,953 | 754 | 201 | 361 | 753 | ||||||||||||||||||||||||
Non 12b-1 shareholder servicing fees | 1,842 | 46,781 | 1,288 | 7,760 | 1,044 | 1,842 | 3,498 | 2,950 | ||||||||||||||||||||||||
Dividend expenses on short sales | — | 1,171,445 | — | — | — | — | — | — | ||||||||||||||||||||||||
Interest expense | — | — | 3,904 | — | — | — | — | — | ||||||||||||||||||||||||
Security borrowing fees | — | 224,794 | — | — | — | — | — | — | ||||||||||||||||||||||||
Miscellaneous expenses | 3,596 | 16,123 | 11,174 | 7,466 | 8,805 | 4,587 | 2,200 | 2,860 | ||||||||||||||||||||||||
Total Operating Expenses | 608,193 | 7,078,446 | 1,108,730 | 1,294,265 | 681,199 | 560,987 | 323,235 | 444,035 | ||||||||||||||||||||||||
Less: Advisory/Sub-advisory fees waived | — | (238,561 | ) | — | — | — | — | — | — | |||||||||||||||||||||||
Net Operating Expenses | 608,193 | 6,839,885 | 1,108,730 | 1,294,265 | 681,199 | 560,987 | 323,235 | 444,035 | ||||||||||||||||||||||||
Net Investment Income (Loss) | 1,579,986 | (2,091,574 | ) | 2,659,546 | 5,358,316 | 219,651 | (367,594 | ) | (34,985 | ) | 765,356 | |||||||||||||||||||||
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 | (802,542 | ) | 1,078,583 | (989,927 | ) | (4,691,852 | ) | (2,618,338 | ) | (722,252 | ) | (95,801 | ) | 898,618 | ||||||||||||||||||
Futures | — | — | — | — | (139,729 | ) | 226,794 | — | — | |||||||||||||||||||||||
Options purchased | — | (3,751,944 | ) | — | — | — | (349,352 | ) | — | — | ||||||||||||||||||||||
Securities sold short | — | (3,668,874 | ) | — | — | — | — | — | — | |||||||||||||||||||||||
Written options | — | 12,788,109 | — | — | — | 61,129 | — | — | ||||||||||||||||||||||||
Swap Contracts | (519,615 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||
Capital gain distributions received from other investment companies | — | — | — | — | — | — | 51,809 | — | ||||||||||||||||||||||||
Foreign currency transactions | — | (246,133 | ) | — | — | (240,201 | ) | (1,371 | ) | — | — | |||||||||||||||||||||
Foreign currency exchange contracts | — | 2,985,045 | — | — | (45,046 | ) | 453 | — | — | |||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||
Investments | (628,811 | ) | (12,282,474 | ) | (1,351,525 | ) | (2,895,283 | ) | (1,383,349 | ) | 618,461 | (231,388 | ) | (2,532,611 | ) | |||||||||||||||||
Futures | — | — | — | — | 23,366 | 213,026 | — | — | ||||||||||||||||||||||||
Options purchased | — | 60,075 | — | — | — | 9,069 | — | — | ||||||||||||||||||||||||
Securities sold short | — | 2,294,831 | — | — | — | — | — | — | ||||||||||||||||||||||||
Written options | — | (3,730,459 | ) | — | — | — | 11,460 | — | — | |||||||||||||||||||||||
Swap contracts | — | 1,621,299 | — | — | — | — | — | — | ||||||||||||||||||||||||
Foreign currency translations | — | (3,347 | ) | — | — | 11,607 | 33,968 | — | — | |||||||||||||||||||||||
Foreign currency exchange contracts | — | (490,621 | ) | — | — | 162,507 | — | — | — | |||||||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | (1,431,353 | ) | (3,865,525 | ) | (2,341,452 | ) | (7,587,135 | ) | (4,229,183 | ) | 101,385 | (275,380 | ) | (1,633,993 | ) | |||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 148,633 | $ | (5,957,099 | ) | $ | 318,094 | $ | (2,228,819 | ) | $ | (4,009,532 | ) | $ | (266,209 | ) | $ | (310,365 | ) | $ | (868,637 | ) |
See accompanying notes to financial statements.
82
STATEMENTS OF OPERATIONS (Continued) |
For the Year Ended October 31, 2015 |
Dunham | Dunham | |||||||||||||||||||||||||||||||
Dunham | Dunham | Focused | Dunham | Dunham | Dunham | Emerging | Dunham | |||||||||||||||||||||||||
Large Cap | Alternative | Large Cap | International | Real Estate | 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 | $ | 1,171 | $ | 90 | $ | 214 | $ | 220 | $ | 65 | $ | 132 | $ | 74 | $ | 108 | ||||||||||||||||
Dividend income | 1,192,215 | 320,424 | 204,496 | 1,910,354 | 1,213,293 | 488,481 | 1,226,255 | 94,963 | ||||||||||||||||||||||||
Less: Foreign withholding taxes | — | (2,246 | ) | — | (275,141 | ) | — | — | (167,201 | ) | (1,582 | ) | ||||||||||||||||||||
Total Investment Income | 1,193,386 | 318,268 | 204,710 | 1,635,433 | 1,213,358 | 488,613 | 1,059,128 | 93,489 | ||||||||||||||||||||||||
Operating Expenses: | ||||||||||||||||||||||||||||||||
Investment advisory fees | 361,580 | 51,466 | 390,906 | 511,780 | 322,741 | 188,627 | 292,998 | 216,616 | ||||||||||||||||||||||||
Sub-advisory fees | 215,251 | 31,672 | 210,488 | 511,780 | 198,611 | 130,587 | 225,379 | 166,181 | ||||||||||||||||||||||||
Sub-advisory performance fees | (119,668 | ) | (22,197 | ) | 18,989 | 188,056 | 131,692 | 55,742 | 43,750 | 3,408 | ||||||||||||||||||||||
Fund accounting fees | 18,233 | 2,702 | 17,183 | 24,115 | 14,438 | 8,638 | 14,040 | 9,749 | ||||||||||||||||||||||||
Distribution fees- Class C Shares | 56,983 | 24,067 | 46,437 | 69,873 | 40,404 | 23,959 | 33,714 | 33,349 | ||||||||||||||||||||||||
Distribution fees- Class A Shares | 16,114 | 6,850 | 38,631 | 20,840 | 24,781 | 8,768 | 10,839 | 17,149 | ||||||||||||||||||||||||
Administration fees | 34,907 | 5,996 | 34,357 | 78,398 | 28,959 | 22,887 | 34,393 | 20,764 | ||||||||||||||||||||||||
Registration fees | 38,388 | 7,820 | 39,751 | 40,885 | 43,145 | 45,311 | 41,753 | 40,833 | ||||||||||||||||||||||||
Transfer agent fees | 20,714 | 14,211 | 19,657 | 24,713 | 18,928 | 16,833 | 16,988 | 16,931 | ||||||||||||||||||||||||
Custodian fees | 6,581 | 5,207 | 17,087 | 169,687 | 13,382 | 11,253 | 70,128 | 12,366 | ||||||||||||||||||||||||
Professional fees | 21,626 | 15,043 | 16,974 | 19,845 | 17,628 | 17,651 | 17,952 | 16,986 | ||||||||||||||||||||||||
Chief Compliance Officer fees | 8,984 | 962 | 8,504 | 11,782 | 7,346 | 7,330 | 7,919 | 4,949 | ||||||||||||||||||||||||
Printing and postage expense | 7,280 | — | 7,934 | 9,187 | 10,181 | 5,001 | 8,201 | 7,626 | ||||||||||||||||||||||||
Trustees’ fees | 2,864 | 475 | 3,586 | 4,424 | 3,023 | 1,401 | 2,129 | 1,958 | ||||||||||||||||||||||||
Insurance expense | 835 | 56 | 1,450 | 349 | 1,516 | 298 | 559 | 888 | ||||||||||||||||||||||||
Non 12b-1 shareholder servicing fees | 1,842 | 2,848 | 3,477 | 1,426 | 2,366 | 2,144 | 1,842 | 2,102 | ||||||||||||||||||||||||
Miscellaneous expenses | 3,992 | 1,406 | 7,852 | 10,260 | 3,495 | 4,642 | 16,068 | 3,613 | ||||||||||||||||||||||||
Net Operating Expenses | 696,506 | 148,584 | 883,263 | 1,697,400 | 882,636 | 551,072 | 838,652 | 575,468 | ||||||||||||||||||||||||
Net Investment Income (Loss) | 496,880 | 169,684 | (678,553 | ) | (61,967 | ) | 330,722 | (62,459 | ) | 220,476 | (481,979 | ) | ||||||||||||||||||||
Realized and Unrealized Gain (Loss) on Investments and Foreign Currency: | ||||||||||||||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||||||||||||||
Investments | 15,237,873 | (158,995 | ) | 638,277 | (528,007 | ) | 4,411,509 | 960,175 | (4,157,749 | ) | 3,247,630 | |||||||||||||||||||||
Foreign currency transactions | — | — | — | (7,399 | ) | — | — | 50,717 | — | |||||||||||||||||||||||
Foreign currency exchange contracts Options | — | (80 | ) | — | 13,006 | — | — | (160,906 | ) | — | ||||||||||||||||||||||
Capital gain distributions received from other investment companies | — | 4,768 | — | — | — | — | — | — | ||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||
Investments | (15,021,215 | ) | (580,945 | ) | 7,298,519 | (2,479,123 | ) | (2,058,419 | ) | (1,248,260 | ) | (4,281,457 | ) | (1,058,568 | ) | |||||||||||||||||
Foreign currency translations | — | 5 | — | 279 | — | — | (11,168 | ) | — | |||||||||||||||||||||||
Foreign currency exchange contracts | — | — | — | 90,710 | — | — | — | — | ||||||||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | 216,658 | (735,247 | ) | 7,936,796 | (2,910,534 | ) | 2,353,090 | (288,085 | ) | (8,560,563 | ) | 2,189,062 | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 713,538 | $ | (565,563 | ) | $ | 7,258,243 | $ | (2,972,501 | ) | $ | 2,683,812 | $ | (350,544 | ) | $ | (8,340,087 | ) | $ | 1,707,083 |
See accompanying notes to financial statements.
83
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 | Bond Fund | Bond Fund | Fund | |||||||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||
Oct. 31, 2015 | Oct. 31, 2014 | Oct. 31, 2015 | Oct. 31, 2014 | Oct. 31, 2015 | Oct. 31, 2014 | Oct. 31, 2015 | Oct. 31, 2014 | Oct. 31, 2015 | Oct. 31, 2014 | Oct. 31, 2015 | Oct. 31, 2014 | |||||||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,579,986 | $ | 1,486,703 | $ | (2,091,574 | ) | $ | 512,463 | $ | 2,659,546 | $ | 1,827,661 | $ | 5,358,316 | $ | 6,650,678 | $ | 219,651 | $ | 237,796 | $ | (367,594 | ) | $ | 173,976 | ||||||||||||||||||||||
Net realized gain (loss) from investments, foreign currency, securities sold short, futures, swap contracts and options | (802,542 | ) | (332,208 | ) | 8,665,171 | 23,019,455 | (989,927 | ) | (53,987 | ) | (4,691,852 | ) | 1,765,927 | (3,043,314 | ) | (160,302 | ) | (784,599 | ) | 200,686 | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments, foreign currency, securities sold short, futures, swap contracts and options | (628,811 | ) | 749,743 | (12,530,696 | ) | (14,801,536 | ) | (1,351,525 | ) | (1,042,065 | ) | (2,895,283 | ) | (3,217,654 | ) | (1,185,869 | ) | (1,639,199 | ) | 885,984 | (46,550 | ) | ||||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | 148,633 | 1,904,238 | (5,957,099 | ) | 8,730,382 | 318,094 | 731,609 | (2,228,819 | ) | 5,198,951 | (4,009,532 | ) | (1,561,705 | ) | (266,209 | ) | 328,112 | |||||||||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net Realized Gains: | ||||||||||||||||||||||||||||||||||||||||||||||||
Class N | — | (191,951 | ) | (3,465,984 | ) | (6,012,613 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Class A | — | (14,055 | ) | (1,580,917 | ) | (2,955,457 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Class C | — | (18,187 | ) | (1,315,549 | ) | (1,996,319 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||||||||||||||||||||||||||
Class N | (1,444,152 | ) | (1,407,855 | ) | — | — | (2,306,306 | ) | (1,506,355 | ) | (4,206,990 | ) | (5,200,564 | ) | (20,234 | ) | — | — | (123,821 | ) | ||||||||||||||||||||||||||||
Class A | (123,639 | ) | (97,767 | ) | — | — | (280,234 | ) | (260,777 | ) | (633,882 | ) | (916,366 | ) | (1,136 | ) | — | — | (27,716 | ) | ||||||||||||||||||||||||||||
Class C | (89,766 | ) | (103,240 | ) | — | — | (90,378 | ) | (68,934 | ) | (426,203 | ) | (515,994 | ) | — | — | — | (19,736 | ) | |||||||||||||||||||||||||||||
Distributions From Paid In Capital: | ||||||||||||||||||||||||||||||||||||||||||||||||
Class N | — | — | (1,924,706 | ) | (913,335 | ) | — | — | — | — | — | (224,660 | ) | — | — | |||||||||||||||||||||||||||||||||
Class A | — | — | (906,907 | ) | (449,313 | ) | — | — | — | — | — | (10,256 | ) | — | — | |||||||||||||||||||||||||||||||||
Class C | — | — | (731,788 | ) | (309,594 | ) | — | — | — | — | — | (1,461 | ) | — | — | |||||||||||||||||||||||||||||||||
Total Distributions to Shareholders | (1,657,557 | ) | (1,833,055 | ) | (9,925,851 | ) | (12,636,631 | ) | (2,676,918 | ) | (1,836,066 | ) | (5,267,075 | ) | (6,632,924 | ) | (21,370 | ) | (236,377 | ) | — | (171,273 | ) | |||||||||||||||||||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||||||||||||||||||||||||||
Class N | 11,821,827 | 8,510,305 | 59,506,155 | 50,381,636 | 26,805,380 | 69,872,906 | 14,380,469 | 17,352,248 | 12,663,574 | 47,351,487 | 19,642,140 | 11,725,933 | ||||||||||||||||||||||||||||||||||||
Class A | 2,730,333 | 1,612,475 | 32,835,909 | 40,490,119 | 7,478,894 | 14,942,559 | 7,270,669 | 5,739,293 | 4,644,903 | 4,013,190 | 2,239,845 | 1,398,067 | ||||||||||||||||||||||||||||||||||||
Class C | 982,704 | 496,826 | 20,947,149 | 25,701,584 | 1,313,889 | 4,576,138 | 1,348,348 | 2,406,391 | 674,903 | 2,589,886 | 671,518 | 679,798 | ||||||||||||||||||||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||||||||||||||||||||||||||
Class N | 1,443,731 | 1,598,729 | 5,020,988 | 6,726,777 | 2,305,799 | 1,506,190 | 4,059,205 | 4,604,843 | 20,234 | 224,659 | — | 33,572 | ||||||||||||||||||||||||||||||||||||
Class A | 118,869 | 104,336 | 2,064,283 | 2,540,692 | 263,845 | 246,728 | 539,405 | 799,676 | 1,098 | 9,815 | — | 26,374 | ||||||||||||||||||||||||||||||||||||
Class C | 87,339 | 119,432 | 1,582,690 | 1,884,730 | 89,580 | 68,862 | 362,639 | 429,779 | — | 1,461 | — | 18,864 | ||||||||||||||||||||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||||||||||||||||||||||||||
Class N | (13,876,442 | ) | (47,484,087 | ) | (49,477,110 | ) | (59,855,935 | ) | (16,957,527 | ) | (7,418,283 | ) | (36,343,091 | ) | (52,959,839 | ) | (19,792,147 | ) | (3,535,358 | ) | (2,621,968 | ) | (7,335,922 | ) | ||||||||||||||||||||||||
Class A | (1,627,587 | ) | (4,918,860 | ) | (35,643,072 | ) | (31,369,421 | ) | (12,506,881 | ) | (1,315,978 | ) | (18,668,200 | ) | (4,168,167 | ) | (4,479,173 | ) | (378,493 | ) | (658,270 | ) | (1,489,076 | ) | ||||||||||||||||||||||||
Class C | (958,740 | ) | (4,670,592 | ) | (16,937,091 | ) | (15,656,857 | ) | (1,119,025 | ) | (1,202,842 | ) | (3,431,763 | ) | (4,799,855 | ) | (753,425 | ) | (647,358 | ) | (453,699 | ) | (1,035,059 | ) | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest | 722,034 | (44,631,436 | ) | 19,899,901 | 20,843,325 | 7,673,954 | 81,276,280 | (30,482,319 | ) | (30,595,631 | ) | (7,020,033 | ) | 49,629,289 | 18,819,566 | 4,022,551 | ||||||||||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets | (786,890 | ) | (44,560,253 | ) | 4,016,951 | 16,937,076 | 5,315,130 | 80,171,823 | (37,978,213 | ) | (32,029,604 | ) | (11,050,935 | ) | 47,831,207 | 18,553,357 | 4,179,390 | |||||||||||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Beginning 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 | ||||||||||||||||||||||||||||||||||||
End of Year * | $ | 50,474,938 | $ | 51,261,828 | $ | 288,305,067 | $ | 284,288,116 | $ | 85,486,953 | $ | 80,171,823 | $ | 98,108,366 | $ | 136,086,579 | $ | 36,780,272 | $ | 47,831,207 | $ | 33,752,399 | $ | 15,199,042 | ||||||||||||||||||||||||
* Includes undistributed net investment income (loss) at end of year | $ | 16,342 | $ | 13,411 | $ | (1,394,669 | ) | $ | 1,364,137 | $ | 27,400 | $ | 20,255 | $ | 108,995 | $ | 17,754 | $ | (70,155 | ) | $ | 93,827 | $ | (42,659 | ) | $ | — |
See accompanying notes to financial statements.
84
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 | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||||||||
Oct. 31, 2015 | Oct. 31, 2014 | Oct. 31, 2015 | Oct. 31, 2014 | Oct. 31, 2015 | Oct. 31, 2014 | Oct. 31, 2015 | Oct. 31, 2014 | Oct. 31, 2015 | Oct. 31, 2014 | |||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (34,985 | ) | $ | (204,341 | ) | $ | 765,356 | $ | 221,675 | $ | 496,880 | $ | 350,088 | $ | 169,684 | $ | 127,065 | $ | (678,553 | ) | $ | (444,063 | ) | ||||||||||||||||
Net realized gain (loss) from investments and foreign currency transactions | (95,801 | ) | 332,590 | 898,618 | 4,607,521 | 15,237,873 | 2,770,154 | (159,075 | ) | 142,850 | 638,277 | (686,421 | ) | |||||||||||||||||||||||||||
Capital gain distributions received from other investment companies | 51,809 | — | — | — | — | — | 4,768 | — | — | — | ||||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | (231,388 | ) | 488,948 | (2,532,611 | ) | (2,610,842 | ) | (15,021,215 | ) | 2,840,219 | (580,940 | ) | 75,183 | 7,298,519 | 4,363,169 | |||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | (310,365 | ) | 617,197 | (868,637 | ) | 2,218,354 | 713,538 | 5,960,461 | (565,563 | ) | 345,098 | 7,258,243 | 3,232,685 | |||||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||||||||||||
Net Realized Gains: | ||||||||||||||||||||||||||||||||||||||||
Class N | — | — | (2,968,783 | ) | — | — | — | (46,343 | ) | (30,417 | ) | — | (11,605 | ) | ||||||||||||||||||||||||||
Class A | — | — | (748,302 | ) | — | — | — | (43,217 | ) | (54,314 | ) | — | (159,295 | ) | ||||||||||||||||||||||||||
Class C | — | — | (649,083 | ) | — | — | — | (34,496 | ) | (35,392 | ) | — | (8,445 | ) | ||||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||||||||||||||||||
Class N | — | — | (287,785 | ) | (229,783 | ) | (323,640 | ) | (429,743 | ) | (37,971 | ) | (40,604 | ) | — | — | ||||||||||||||||||||||||
Class A | — | — | (61,328 | ) | (51,341 | ) | (42,004 | ) | (48,768 | ) | (32,002 | ) | (50,281 | ) | — | — | ||||||||||||||||||||||||
Class C | — | — | (23,109 | ) | (18,910 | ) | — | (9,655 | ) | (11,994 | ) | (23,218 | ) | — | — | |||||||||||||||||||||||||
Total Distributions to Shareholders | — | — | (4,738,390 | ) | (300,034 | ) | (365,644 | ) | (488,166 | ) | (206,023 | ) | (234,226 | ) | — | (179,345 | ) | |||||||||||||||||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||||||||||||||||||
Class N | 10,062,695 | 3,386,957 | 6,612,666 | 3,653,653 | 10,056,662 | 7,303,589 | 1,253,954 | 2,290,988 | 18,681,958 | 36,989,379 | ||||||||||||||||||||||||||||||
Class A | 2,168,236 | 1,124,027 | 1,658,013 | 1,058,835 | 2,688,351 | 4,479,463 | 227,426 | 286,838 | 9,683,964 | 10,900,494 | ||||||||||||||||||||||||||||||
Class C | 368,291 | 367,370 | 2,201,019 | 706,746 | 1,091,246 | 1,373,157 | 745,505 | 810,596 | 1,171,037 | 4,504,988 | ||||||||||||||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||||||||||||||||||
Class N | — | — | 3,247,305 | 229,479 | 323,513 | 429,513 | 81,003 | 69,433 | — | 11,605 | ||||||||||||||||||||||||||||||
Class A | — | — | 583,948 | 29,715 | 41,709 | 47,655 | 50,605 | 72,503 | — | 157,494 | ||||||||||||||||||||||||||||||
Class C | — | — | 669,690 | 18,702 | — | 9,650 | 35,683 | 47,034 | — | 8,445 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||||||||||||||||||
Class N | (4,021,907 | ) | (4,348,672 | ) | (4,405,250 | ) | (2,445,331 | ) | (8,002,850 | ) | (7,929,190 | ) | (1,755,032 | ) | (490,587 | ) | (9,982,425 | ) | (2,624,037 | ) | ||||||||||||||||||||
Class A | (2,375,119 | ) | (14,753,758 | ) | (1,625,832 | ) | (1,287,058 | ) | (3,835,677 | ) | (2,303,419 | ) | (198,374 | ) | (72,871 | ) | (22,089,093 | ) | (3,409,226 | ) | ||||||||||||||||||||
Class C | (550,889 | ) | (478,336 | ) | (1,088,712 | ) | (739,874 | ) | (950,437 | ) | (1,339,098 | ) | (402,771 | ) | (208,701 | ) | (843,277 | ) | (899,697 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest | 5,651,307 | (14,702,412 | ) | 7,852,847 | 1,224,867 | 1,412,517 | 2,071,320 | 37,999 | 2,805,233 | (3,377,836 | ) | 45,639,445 | ||||||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets | 5,340,942 | (14,085,215 | ) | 2,245,820 | 3,143,187 | 1,760,411 | 7,543,615 | (733,587 | ) | 2,916,105 | 3,880,407 | 48,692,785 | ||||||||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||||||||||
Beginning of Year | 18,421,492 | 32,506,707 | 27,131,205 | 23,988,018 | 55,241,378 | 47,697,763 | 7,886,332 | 4,970,227 | 61,415,887 | 12,723,102 | ||||||||||||||||||||||||||||||
End of Year * | $ | 23,762,434 | $ | 18,421,492 | $ | 29,377,025 | $ | 27,131,205 | $ | 57,001,789 | $ | 55,241,378 | $ | 7,152,745 | $ | 7,886,332 | $ | 65,296,294 | $ | 61,415,887 | ||||||||||||||||||||
* Includes undistributed net investment income (loss) at end of year | $ | (126,022 | ) | $ | (259,611 | ) | $ | 956,577 | $ | 259,459 | $ | 373,351 | $ | 242,115 | $ | 133,450 | $ | 89,941 | $ | (612,912 | ) | $ | (390,591 | ) |
See accompanying notes to financial statements.
85
STATEMENTS OF CHANGES IN NET ASSETS (Continued) |
Dunham | Dunham | Dunham | Dunham | Dunham | ||||||||||||||||||||||||||||||||||||
International | Real Estate | Small Cap | Emerging Markets | Small Cap | ||||||||||||||||||||||||||||||||||||
Stock Fund | Stock Fund | Value Fund | Stock Fund | Growth Fund | ||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||||||||
Oct. 31, 2015 | Oct. 31, 2014 | Oct. 31, 2015 | Oct. 31, 2014 | Oct. 31, 2015 | Oct. 31, 2014 | Oct. 31, 2015 | Oct. 31, 2014 | Oct. 31, 2015 | Oct. 31, 2014 | |||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (61,967 | ) | $ | 601,389 | $ | 330,722 | $ | 299,653 | $ | (62,459 | ) | $ | 39,706 | $ | 220,476 | $ | 470,735 | $ | (481,979 | ) | $ | (447,061 | ) | ||||||||||||||||
Net realized gain (loss) from investments and foreign currency transactions | (522,400 | ) | 6,288,227 | 4,411,509 | 2,612,926 | 960,175 | 1,843,545 | (4,267,938 | ) | 252,461 | 3,247,630 | 3,012,814 | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | (2,388,134 | ) | (5,945,140 | ) | (2,058,419 | ) | 5,655,443 | (1,248,260 | ) | 659,185 | (4,292,625 | ) | 239,745 | (1,058,568 | ) | (1,082,990 | ) | |||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | (2,972,501 | ) | 944,476 | 2,683,812 | 8,568,022 | (350,544 | ) | 2,542,436 | (8,340,087 | ) | 962,941 | 1,707,083 | 1,482,763 | |||||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||||||||||||
Net Realized Gains: | ||||||||||||||||||||||||||||||||||||||||
Class N | (213,428 | ) | — | (1,801,657 | ) | (803,480 | ) | (1,480,348 | ) | (843,473 | ) | — | — | (1,843,030 | ) | (2,932,007 | ) | |||||||||||||||||||||||
Class A | (29,714 | ) | — | (494,611 | ) | (63,694 | ) | (199,656 | ) | (84,887 | ) | — | — | (582,886 | ) | (536,416 | ) | |||||||||||||||||||||||
Class C | (24,848 | ) | — | (214,050 | ) | (67,922 | ) | (163,574 | ) | (105,306 | ) | — | — | (313,703 | ) | (1,095,637 | ) | |||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||||||||||||||||||
Class N | (1,143,359 | ) | (860,471 | ) | (214,891 | ) | (412,071 | ) | (55,192 | ) | (20,015 | ) | (471,950 | ) | — | — | — | |||||||||||||||||||||||
Class A | (136,048 | ) | (78,868 | ) | (48,514 | ) | (20,595 | ) | — | — | (46,968 | ) | — | — | — | |||||||||||||||||||||||||
Class C | (70,549 | ) | (47,089 | ) | — | (9,227 | ) | — | — | (18,608 | ) | — | — | — | ||||||||||||||||||||||||||
Total Distributions to Shareholders | (1,617,946 | ) | (986,428 | ) | (2,773,723 | ) | (1,376,989 | ) | (1,898,770 | ) | (1,053,681 | ) | (537,526 | ) | — | (2,739,619 | ) | (4,564,060 | ) | |||||||||||||||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||||||||||||||||||
Class N | 30,030,021 | 12,144,401 | 10,087,909 | 9,009,495 | 5,052,309 | 8,710,390 | 18,180,906 | 13,375,215 | 6,472,774 | 9,728,560 | ||||||||||||||||||||||||||||||
Class A | 4,446,411 | 7,762,059 | 9,349,776 | 2,000,357 | 1,406,383 | 2,437,388 | 2,545,109 | 2,168,739 | 1,939,467 | 4,181,090 | ||||||||||||||||||||||||||||||
Class C | 1,892,802 | 1,654,454 | 1,047,720 | 1,763,615 | 373,937 | 719,325 | 1,043,954 | 1,322,370 | 650,423 | 1,219,199 | ||||||||||||||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||||||||||||||||||
Class N | 1,356,407 | 860,058 | 1,959,665 | 1,187,201 | 1,534,285 | 863,221 | 471,942 | — | 1,836,187 | 2,930,877 | ||||||||||||||||||||||||||||||
Class A | 146,152 | 75,419 | 537,515 | 83,235 | 197,400 | 83,535 | 46,050 | — | 414,220 | 738,749 | ||||||||||||||||||||||||||||||
Class C | 94,504 | 46,594 | 205,692 | 77,149 | 163,312 | 105,306 | 18,512 | — | 312,902 | 536,416 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||||||||||||||||||
Class N | (8,142,350 | ) | (5,539,023 | ) | (15,912,244 | ) | (12,691,307 | ) | (6,542,402 | ) | (3,649,194 | ) | (4,402,409 | ) | (3,134,012 | ) | (5,627,001 | ) | (6,027,134 | ) | ||||||||||||||||||||
Class A | (2,889,429 | ) | (4,617,949 | ) | (3,240,007 | ) | (1,270,176 | ) | (801,068 | ) | (1,180,665 | ) | (1,122,138 | ) | (665,010 | ) | (2,284,547 | ) | (3,360,870 | ) | ||||||||||||||||||||
Class C | (833,335 | ) | (747,149 | ) | (1,555,919 | ) | (896,298 | ) | (428,369 | ) | (485,363 | ) | (764,943 | ) | (474,119 | ) | (801,682 | ) | (826,816 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest | 26,101,183 | 11,638,864 | 2,480,107 | (736,729 | ) | 955,787 | 7,603,943 | 16,016,983 | 12,593,183 | 2,912,743 | 9,120,071 | |||||||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets | 21,510,736 | 11,596,912 | 2,390,196 | 6,454,304 | (1,293,527 | ) | 9,092,698 | 7,139,370 | 13,556,124 | 1,880,207 | 6,038,774 | |||||||||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||||||||||
Beginning of Year | 71,780,790 | 60,183,878 | 45,221,649 | 38,767,345 | 29,545,131 | 20,452,433 | 43,501,552 | 29,945,428 | 30,760,244 | 24,721,470 | ||||||||||||||||||||||||||||||
End of Year * | $ | 93,291,526 | $ | 71,780,790 | $ | 47,611,845 | $ | 45,221,649 | $ | 28,251,604 | $ | 29,545,131 | $ | 50,640,922 | $ | 43,501,552 | $ | 32,640,451 | $ | 30,760,244 | ||||||||||||||||||||
* Includes undistributed net investment income (loss) at end of year | $ | (322,883 | ) | $ | 874,937 | $ | 206,337 | $ | 139,020 | $ | — | $ | 37,382 | $ | 108,161 | $ | 535,400 | $ | — | $ | — |
See accompanying notes to financial statements.
86
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, | ||||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 14.14 | $ | 14.07 | $ | 14.74 | $ | 14.32 | $ | 14.99 | ||||||||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.42 | 0.38 | 0.37 | 0.36 | 0.52 | |||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.37 | ) | 0.16 | (0.36 | ) | 0.77 | (0.20 | ) | ||||||||||||||||||||||||||||||||
Total income from investment operations | 0.05 | 0.54 | 0.01 | 1.13 | 0.32 | |||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.44 | ) | (0.42 | ) | (0.41 | ) | (0.42 | ) | (0.56 | ) | ||||||||||||||||||||||||||||||
Distributions from net realized gains | 0.00 | (0.05 | ) | (0.27 | ) | (0.29 | ) | (0.43 | ) | |||||||||||||||||||||||||||||||
Total distributions | (0.44 | ) | (0.47 | ) | (0.68 | ) | (0.71 | ) | (0.99 | ) | ||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 13.75 | $ | 14.14 | $ | 14.07 | $ | 14.74 | $ | 14.32 | ||||||||||||||||||||||||||||||
Total return +# | 0.36 | % | 3.85 | % | 0.09 | % | 8.10 | % | 2.33 | % | ||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 41,989 | $ | 43,888 | $ | 81,201 | $ | 103,912 | $ | 58,810 | ||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | 1.06 | % | 1.37 | % | 1.21 | % | 1.14 | % | 1.30 | % | ||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: | 3.00 | % | 2.69 | % | 2.56 | % | 2.50 | % | 3.62 | % | ||||||||||||||||||||||||||||||
Portfolio turnover rate | 54 | % | 60 | % | 173 | % | 211 | % | 178 | % | ||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 14.13 | $ | 14.06 | $ | 14.73 | $ | 14.31 | $ | 14.98 | $ | 14.05 | $ | 13.98 | $ | 14.64 | $ | 14.23 | $ | 14.90 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.38 | 0.35 | 0.34 | 0.29 | 0.49 | 0.31 | 0.27 | 0.26 | 0.27 | 0.41 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.37 | ) | 0.15 | (0.36 | ) | 0.79 | (0.20 | ) | (0.37 | ) | 0.16 | (0.35 | ) | 0.74 | (0.20 | ) | ||||||||||||||||||||||||
Total income (loss) from investment operations | 0.01 | 0.50 | (0.02 | ) | 1.08 | 0.29 | (0.06 | ) | 0.43 | (0.09 | ) | 1.01 | 0.21 | |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.41 | ) | (0.38 | ) | (0.38 | ) | (0.37 | ) | (0.53 | ) | (0.34 | ) | (0.31 | ) | (0.30 | ) | (0.31 | ) | (0.45 | ) | ||||||||||||||||||||
Distributions from net realized gains | 0.00 | (0.05 | ) | (0.27 | ) | (0.29 | ) | (0.43 | ) | 0.00 | (0.05 | ) | (0.27 | ) | (0.29 | ) | (0.43 | ) | ||||||||||||||||||||||
Total distributions | (0.41 | ) | (0.43 | ) | (0.65 | ) | (0.66 | ) | (0.96 | ) | (0.34 | ) | (0.36 | ) | (0.57 | ) | (0.60 | ) | (0.88 | ) | ||||||||||||||||||||
Net asset value, end of year | $ | 13.73 | $ | 14.13 | $ | 14.06 | $ | 14.73 | $ | 14.31 | $ | 13.65 | $ | 14.05 | $ | 13.98 | $ | 14.64 | $ | 14.23 | ||||||||||||||||||||
Total return + # | 0.04 | % | 3.59 | % | (0.15 | )% | 7.78 | % | 2.15 | % | (0.45 | )% | 3.08 | % | (0.59 | )% | 7.30 | % | 1.57 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 4,788 | $ | 3,684 | $ | 6,888 | $ | 3,598 | $ | 610 | $ | 3,698 | $ | 3,690 | $ | 7,733 | $ | 9,007 | $ | 9,250 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 1.31 | % | 1.62 | % | 1.46 | % | 1.39 | % | 1.55 | % | 1.81 | % | 2.12 | % | 1.96 | % | 1.89 | % | 2.05 | % | ||||||||||||||||||||
Ratios of net investment income to average net assets: | 2.74 | % | 2.44 | % | 2.37 | % | 2.25 | % | 3.37 | % | 2.27 | % | 1.94 | % | 1.80 | % | 1.75 | % | 2.87 | % | ||||||||||||||||||||
Portfolio turnover rate | 54 | % | 60 | % | 173 | % | 211 | % | 178 | % | 54 | % | 60 | % | 173 | % | 211 | % | 178 | % |
* | The net investment income per share data was determined using the average shares outstanding throughout each year |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
# | 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.
87
FINANCIAL HIGHLIGHTS |
Dunham Monthly Distribution Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each year |
Class N | ||||||||||||||||||||||||||||||||||||||||
Year Ended | ||||||||||||||||||||||||||||||||||||||||
October 31, | ||||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 38.16 | $ | 38.47 | $ | 37.22 | $ | 35.87 | $ | 36.52 | ||||||||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | (0.18 | ) | 0.17 | 0.36 | 0.14 | 0.01 | ||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.39 | ) | 1.35 | 2.13 | 2.41 | 0.53 | ||||||||||||||||||||||||||||||||||
Total income from investment operations | (0.57 | ) | 1.52 | 2.49 | 2.55 | 0.54 | ||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | 0.00 | 0.00 | (0.41 | ) | (0.22 | ) | 0.00 | |||||||||||||||||||||||||||||||||
Distributions from net realized gains | (0.80 | ) | (1.59 | ) | (0.83 | ) | (0.32 | ) | (1.19 | ) | ||||||||||||||||||||||||||||||
Tax return of capital | (0.45 | ) | (0.24 | ) | 0.00 | (0.66 | ) | 0.00 | ||||||||||||||||||||||||||||||||
Total distributions | (1.23 | ) | (1.83 | ) | (1.24 | ) | (1.20 | ) | (1.19 | ) | ||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 36.36 | $ | 38.16 | $ | 38.47 | $ | 37.22 | $ | 35.87 | ||||||||||||||||||||||||||||||
Total return + | (1.53 | )% | 4.01 | % | 6.75 | % | 7.19 | % | 1.47 | % | ||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 163,843 | $ | 156,964 | $ | 161,347 | $ | 127,346 | $ | 65,621 | ||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||
After waivers | 2.09 | % | 2.53 | % | 2.23 | % | 2.75 | % | 2.57 | % | ||||||||||||||||||||||||||||||
Dividends/borrowings on short sales | 0.47 | % | 0.59 | % | 0.24 | % | 0.52 | % | 0.30 | % | ||||||||||||||||||||||||||||||
Excluding dividends/borrowings on short sales: | ||||||||||||||||||||||||||||||||||||||||
Before fee waivers | 2.17 | % | 2.11 | % | 2.10 | % | 2.23 | % | 2.27 | % | ||||||||||||||||||||||||||||||
After fee waivers | 1.62 | % | 1.94 | % | 1.99 | % | 2.23 | % | 2.27 | % | ||||||||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Before fee waivers | (0.56 | )% | 0.26 | % | 0.84 | % | 0.39 | % | 0.03 | % | ||||||||||||||||||||||||||||||
After fee waivers | (0.48 | )% | 0.43 | % | 0.95 | % | 0.39 | % | 0.03 | % | ||||||||||||||||||||||||||||||
Portfolio turnover rate | 155 | % | 229 | % | 227 | % | 205 | % | 227 | % | ||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 37.52 | $ | 37.95 | $ | 36.82 | $ | 35.58 | $ | 36.32 | $ | 32.01 | $ | 32.87 | $ | 32.29 | $ | 31.55 | $ | 32.59 | ||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | (0.27 | ) | 0.07 | 0.24 | 0.03 | (0.09 | ) | (0.46 | ) | (0.20 | ) | (0.07 | ) | (0.18 | ) | (0.32 | ) | |||||||||||||||||||||||
Net realized and unrealized gain (loss) ** | (0.39 | ) | 1.33 | 2.13 | 2.40 | 0.54 | (0.33 | ) | 1.17 | 1.89 | 2.09 | 0.47 | ||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.66 | ) | 1.40 | 2.37 | 2.43 | 0.45 | (0.79 | ) | 0.97 | 1.82 | 1.91 | 0.15 | ||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | 0.00 | 0.00 | (0.41 | ) | (0.21 | ) | 0.00 | 0.00 | 0.00 | (0.41 | ) | (0.19 | ) | 0.00 | ||||||||||||||||||||||||||
Distributions from net realized gains | (0.80 | ) | (1.59 | ) | (0.83 | ) | (0.32 | ) | (1.19 | ) | (0.80 | ) | (1.59 | ) | (0.83 | ) | (0.32 | ) | (1.19 | ) | ||||||||||||||||||||
Tax return of capital | (0.43 | ) | (0.24 | ) | 0.00 | (0.66 | ) | 0.00 | (0.43 | ) | (0.24 | ) | 0.00 | (0.66 | ) | 0.00 | ||||||||||||||||||||||||
Total distributions | (1.23 | ) | (1.83 | ) | (1.24 | ) | (1.19 | ) | (1.19 | ) | (1.23 | ) | (1.83 | ) | (1.24 | ) | (1.17 | ) | (1.19 | ) | ||||||||||||||||||||
Net asset value, end of year | $ | 35.63 | $ | 37.52 | $ | 37.95 | $ | 36.82 | $ | 35.58 | $ | 29.99 | $ | 32.01 | $ | 32.87 | $ | 32.29 | $ | 31.55 | ||||||||||||||||||||
Total return + | (1.80 | )% | 3.74 | % | 6.50 | % | 6.92 | % | 1.22 | % | (2.53 | )% | 2.99 | % | 5.71 | % | 6.13 | % | 0.43 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 74,247 | $ | 79,132 | $ | 68,427 | $ | 51,485 | $ | 32,381 | $ | 50,215 | $ | 48,193 | $ | 37,577 | $ | 30,206 | $ | 27,701 | ||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||
After waivers | 2.33 | % | 2.78 | % | 2.48 | % | 3.00 | % | 2.82 | % | 3.09 | % | 3.53 | % | 3.23 | % | 3.75 | % | 3.57 | % | ||||||||||||||||||||
Dividends/borrowings on short sales | 0.47 | % | 0.59 | % | 0.24 | % | 0.52 | % | 0.30 | % | 0.47 | % | 0.59 | % | 0.24 | % | 0.52 | % | 0.30 | % | ||||||||||||||||||||
Excluding dividends/borrowings on short sales: | ||||||||||||||||||||||||||||||||||||||||
Before fee waivers | 2.42 | % | 2.36 | % | 2.34 | % | 2.48 | % | 2.52 | % | 3.16 | % | 3.11 | % | 3.10 | % | 3.23 | % | 3.27 | % | ||||||||||||||||||||
After fee waivers | 1.86 | % | 2.19 | % | 2.24 | % | 2.48 | % | 2.52 | % | 2.62 | % | 2.94 | % | 2.99 | % | 3.23 | % | 3.27 | % | ||||||||||||||||||||
Ratios of net investment loss to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Before fee waivers | (0.79 | )% | 0.01 | % | 0.52 | % | 0.14 | % | (0.22 | )% | (1.54 | )% | (0.74 | )% | (0.32 | )% | (0.61 | )% | (0.97 | )% | ||||||||||||||||||||
After fee waivers | (0.71 | )% | 0.18 | % | 0.63 | % | 0.14 | % | (0.22 | )% | (1.46 | )% | (0.57 | )% | (0.21 | )% | (0.61 | )% | (0.97 | )% | ||||||||||||||||||||
Portfolio turnover rate | 155 | % | 229 | % | 227 | % | 205 | % | 277 | % | 155 | % | 229 | % | 227 | % | 205 | % | 277 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each period. |
+ | Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
See accompanying notes to financial statements.
88
FINANCIAL HIGHLIGHTS |
Dunham Floating Rate Bond Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each year. |
Class N | Class A | Class C | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
October 31, | October 31, | October 31, | October 31, | October 31, | October 31, | |||||||||||||||||||
2015 | 2014* | 2015 | 2014* | 2015 | 2014* | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.87 | $ | 10.00 | $ | 9.87 | $ | 10.00 | $ | 9.86 | $ | 10.00 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income** | 0.32 | 0.29 | 0.30 | 0.28 | 0.24 | 0.22 | ||||||||||||||||||
Net realized and unrealized loss | (0.27 | ) | (0.15 | ) | (0.28 | ) | (0.16 | ) | (0.26 | ) | (0.16 | ) | ||||||||||||
Total income (loss) from investment operations | 0.05 | 0.14 | 0.02 | 0.12 | (0.02 | ) | 0.06 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | (0.32 | ) | (0.27 | ) | (0.30 | ) | (0.25 | ) | (0.25 | ) | (0.20 | ) | ||||||||||||
Total distributions | (0.32 | ) | (0.27 | ) | (0.30 | ) | (0.25 | ) | (0.25 | ) | (0.20 | ) | ||||||||||||
Net asset value, end of period | $ | 9.60 | $ | 9.87 | $ | 9.59 | $ | 9.87 | $ | 9.59 | $ | 9.86 | ||||||||||||
Total return + | 0.51 | % | 1.43 | % | 0.16 | % | 1.20 | % | (0.23 | )% | 0.63 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 73,316 | $ | 63,120 | $ | 8,598 | $ | 13,664 | $ | 3,573 | $ | 3,888 | ||||||||||||
Ratios of expenses to average net assets: ^ | 1.27 | % | 1.27 | % | 1.52 | % | 1.52 | % | 2.02 | % | 2.02 | % | ||||||||||||
Ratios of net investment income to average net assets: ^ | 3.24 | % | 2.87 | % | 2.99 | % | 2.84 | % | 2.49 | % | 2.24 | % | ||||||||||||
Portfolio turnover rate | 51 | % | 50 | % (1) | 51 | % | 50 | % (1) | 51 | % | 50 | % (1) |
* | The Fund commenced operations on November 1, 2013. |
** | The net investment income per share data was determined using the average shares outstanding throughout each period. |
+ | Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
(1) | Not annualized. |
^ | Annualized for periods less than one year. |
See accompanying notes to financial statements.
89
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, | ||||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 9.51 | $ | 9.61 | $ | 9.52 | $ | 9.08 | $ | 9.36 | ||||||||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.44 | 0.46 | 0.47 | 0.53 | 0.65 | |||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.59 | ) | (0.10 | ) | 0.09 | 0.44 | (0.28 | ) | ||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.15 | ) | 0.36 | 0.56 | 0.97 | 0.37 | ||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.44 | ) | (0.46 | ) | (0.47 | ) | (0.53 | ) | (0.65 | ) | ||||||||||||||||||||||||||||||
Total distributions | (0.44 | ) | (0.46 | ) | (0.47 | ) | (0.53 | ) | (0.65 | ) | ||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 8.92 | $ | 9.51 | $ | 9.61 | $ | 9.52 | $ | 9.08 | ||||||||||||||||||||||||||||||
Total return + | (1.63 | )% | 3.77 | % | 6.05 | % | 10.96 | % | 4.03 | % | ||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 78,654 | $ | 102,412 | $ | 134,487 | $ | 114,810 | $ | 45,586 | ||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.02 | % | 1.09 | % | 1.11 | % | 1.23 | % | 1.38 | % | ||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: | 4.77 | % | 4.72 | % | 4.89 | % | 5.70 | % | 6.92 | % | ||||||||||||||||||||||||||||||
Portfolio turnover rate | 51 | % | 62 | % | 94 | % | 58 | % | 49 | % | ||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 9.58 | $ | 9.68 | $ | 9.59 | $ | 9.15 | $ | 9.42 | $ | 9.46 | $ | 9.55 | $ | 9.47 | $ | 9.04 | $ | 9.31 | ||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.41 | 0.44 | 0.45 | 0.51 | 0.63 | 0.37 | 0.38 | 0.40 | 0.47 | 0.58 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.59 | ) | (0.10 | ) | 0.09 | �� | 0.44 | (0.27 | ) | (0.60 | ) | (0.08 | ) | 0.08 | 0.43 | (0.28 | ) | |||||||||||||||||||||||
Total income (loss) from investment operations | (0.18 | ) | 0.34 | 0.54 | 0.95 | 0.36 | (0.23 | ) | 0.30 | 0.48 | 0.90 | 0.30 | ||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.41 | ) | (0.44 | ) | (0.45 | ) | (0.51 | ) | (0.63 | ) | (0.37 | ) | (0.39 | ) | (0.40 | ) | (0.47 | ) | (0.57 | ) | ||||||||||||||||||||
Total distributions | (0.41 | ) | (0.44 | ) | (0.45 | ) | (0.51 | ) | (0.63 | ) | (0.37 | ) | (0.39 | ) | (0.40 | ) | (0.47 | ) | (0.57 | ) | ||||||||||||||||||||
Net asset value, end of year | $ | 8.99 | $ | 9.58 | $ | 9.68 | $ | 9.59 | $ | 9.15 | $ | 8.86 | $ | 9.46 | $ | 9.55 | $ | 9.47 | $ | 9.04 | ||||||||||||||||||||
Total return + | (1.88 | )% | 3.49 | % | 5.74 | % | 10.70 | % | 3.84 | % | (2.47 | )% | 3.13 | % | 5.17 | % | 10.19 | % | 3.28 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 10,224 | $ | 22,022 | $ | 19,888 | $ | 13,722 | $ | 6,457 | $ | 9,231 | $ | 11,652 | $ | 13,741 | $ | 14,457 | $ | 10,404 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 1.27 | % | 1.34 | % | 1.36 | % | 1.48 | % | 1.63 | % | 1.77 | % | 1.84 | % | 1.86 | % | 1.98 | % | 2.13 | % | ||||||||||||||||||||
Ratios of net investment income to average net assets: | 4.52 | % | 4.47 | % | 4.64 | % | 5.45 | % | 6.67 | % | 4.02 | % | 3.97 | % | 4.15 | % | 4.95 | % | 6.17 | % | ||||||||||||||||||||
Portfolio turnover rate | 51 | % | 62 | % | 94 | % | 58 | % | 49 | % | 51 | % | 62 | % | 94 | % | 58 | % | 49 | % |
* | The net investment income per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
See accompanying notes to financial statements.
90
FINANCIAL HIGHLIGHTS |
Dunham International Opportunity Bond Fund |
The table sets forth financial data for one share of beneficial interest outstanding for each year. |
Class N | Class A | Class C | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | ||||||||||||||||||||||
October 31, | October 31, | October 31, | October 31, | October 31, | October 31, | |||||||||||||||||||
2015 | 2014* | 2015 | 2014* | 2015 | 2014* | |||||||||||||||||||
Net asset value, beginning of year | $ | 9.64 | $ | 10.00 | $ | 9.64 | $ | 10.00 | $ | 9.62 | $ | 10.00 | ||||||||||||
Loss from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)** | 0.05 | 0.07 | 0.02 | 0.04 | (0.02 | ) | (0.01 | ) | ||||||||||||||||
Net realized and unrealized loss | (0.77 | ) | (0.37 | ) | (0.76 | ) | (0.36 | ) | (0.76 | ) | (0.36 | ) | ||||||||||||
Total loss from investment operations | (0.72 | ) | (0.30 | ) | (0.74 | ) | (0.32 | ) | (0.78 | ) | (0.37 | ) | ||||||||||||
Less distributions: | ||||||||||||||||||||||||
Tax return of capital | (0.00 | ) (a) | (0.06 | ) | (0.00 | ) (a) | (0.04 | ) | 0.00 | (0.01 | ) | |||||||||||||
Total distributions | (0.00 | ) | (0.06 | ) | (0.00 | ) | (0.04 | ) | 0.00 | (0.01 | ) | |||||||||||||
Net asset value, end of year | $ | 8.92 | $ | 9.64 | $ | 8.90 | $ | 9.64 | $ | 8.84 | $ | 9.62 | ||||||||||||
Total return + | (7.42 | )% | (2.99 | )% | (7.65 | )% | (3.22 | )% | (8.11 | )% | (3.72 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 31,935 | $ | 42,440 | $ | 3,208 | $ | 3,513 | $ | 1,638 | $ | 1,879 | ||||||||||||
Ratios of expenses to average net assets | 1.38 | % | 1.38 | % | 1.63 | % | 1.63 | % | 2.13 | % | 2.13 | % | ||||||||||||
Ratios of net investment income (loss) to average net assets | 0.52 | % | 0.66 | % | 0.29 | % | 0.41 | % | (0.24 | )% | �� | (0.09 | )% | |||||||||||
Portfolio turnover rate | 52 | % | 60 | % (1) | 52 | % | 60 | % (1) | 52 | % | 60 | % (1) |
* | The Fund commenced operations on November 1, 2013. |
** | The net investment income (loss) per share data was determined using the average shares outstanding throughout the period. |
(a) | Represents less than $0.01 per share. |
+ | Assumes reinvestment of all dividends and distributions, if any. |
Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.
(1) | Not annualized. |
See accompanying notes to financial statements.
91
FINANCIAL HIGHLIGHTS |
Dunham Dynamic Macro Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each year |
Class N | ||||||||||||||||||||||||||||||||||||||||
Year Ended | ||||||||||||||||||||||||||||||||||||||||
October 31, | ||||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 9.65 | $ | 9.67 | $ | 9.95 | $ | 10.10 | $ | 10.17 | ||||||||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) * | (0.14 | ) | 0.19 | 0.33 | 0.30 | 0.17 | ||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) ** | 0.30 | (0.02 | ) | (0.25 | ) | 0.02 | (0.15 | ) | ||||||||||||||||||||||||||||||||
Total income from investment operations | 0.16 | 0.17 | 0.08 | 0.32 | 0.02 | |||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | 0.00 | (0.19 | ) | (0.33 | ) | (0.35 | ) | 0.00 | ||||||||||||||||||||||||||||||||
Distributions from net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | (0.09 | ) | ||||||||||||||||||||||||||||||||||
Tax return of capital | 0.00 | 0.00 | (0.03 | ) | (0.12 | ) | 0.00 | |||||||||||||||||||||||||||||||||
Total distributions | 0.00 | (0.19 | ) | (0.36 | ) | (0.47 | ) | (0.09 | ) | |||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 9.81 | $ | 9.65 | $ | 9.67 | $ | 9.95 | $ | 10.10 | ||||||||||||||||||||||||||||||
Total return + # | 1.66 | % | 1.80 | % | 0.80 | % | 3.29 | % | 0.20 | % | ||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 28,518 | $ | 11,758 | $ | 7,185 | $ | 9,002 | $ | 8,798 | ||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | 2.15 | % | 1.90 | % | 1.67 | % | 2.28 | % | 1.98 | % | ||||||||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | (1.37 | )% | 1.96 | % | 3.35 | % | 2.94 | % | 1.71 | % | ||||||||||||||||||||||||||||||
Portfolio turnover rate | 70 | % | 238 | % | 292 | % | 418 | % | 704 | % | ||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 9.68 | $ | 9.70 | $ | 9.98 | $ | 10.06 | $ | 10.16 | $ | 9.52 | $ | 9.56 | $ | 9.86 | $ | 9.96 | $ | 10.13 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) * | (0.14 | ) | 0.18 | 0.31 | 0.26 | 0.02 | (0.26 | ) | 0.11 | 0.23 | 0.17 | 0.07 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) ** | 0.27 | (0.04 | ) | (0.25 | ) | 0.03 | (0.03 | ) | 0.32 | (0.04 | ) | (0.26 | ) | 0.05 | (0.15 | ) | ||||||||||||||||||||||||
Total income (loss) from investment operations | 0.13 | 0.14 | 0.06 | 0.29 | (0.01 | ) | 0.06 | 0.07 | (0.03 | ) | 0.22 | (0.08 | ) | |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | 0.00 | (0.16 | ) | (0.31 | ) | (0.25 | ) | 0.00 | 0.00 | (0.11 | ) | (0.24 | ) | (0.20 | ) | 0.00 | ||||||||||||||||||||||||
Distributions from net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | (0.09 | ) | 0.00 | 0.00 | 0.00 | 0.00 | (0.09 | ) | ||||||||||||||||||||||||||||
Tax return of capital | 0.00 | 0.00 | (0.03 | ) | (0.12 | ) | 0.00 | 0.00 | 0.00 | (0.03 | ) | (0.12 | ) | 0.00 | ||||||||||||||||||||||||||
Total distributions | 0.00 | (0.16 | ) | (0.34 | ) | (0.37 | ) | (0.09 | ) | 0.00 | (0.11 | ) | (0.27 | ) | (0.32 | ) | (0.09 | ) | ||||||||||||||||||||||
Net asset value, end of year | $ | 9.81 | $ | 9.68 | $ | 9.70 | $ | 9.98 | $ | 10.06 | $ | 9.58 | $ | 9.52 | $ | 9.56 | $ | 9.86 | $ | 9.96 | ||||||||||||||||||||
Total return + # | 1.34 | % | 1.52 | % | 0.55 | % | 3.00 | % | (0.10 | )% | 0.63 | % | 0.78 | % | (0.29 | )% | 2.27 | % | (0.79 | )% | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 3,296 | $ | 1,729 | $ | 1,782 | $ | 2,230 | $ | 1,788 | $ | 1,938 | $ | 1,712 | $ | 2,053 | $ | 1,786 | $ | 1,067 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 2.40 | % | 2.15 | % | 1.92 | % | 2.53 | % | 2.23 | % | 3.15 | % | 2.90 | % | 2.67 | % | 3.28 | % | 2.98 | % | ||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | (1.63 | )% | 1.92 | % | 3.13 | % | 2.69 | % | 1.46 | % | (2.35 | )% | 1.19 | % | 2.38 | % | 1.94 | % | 0.71 | % | ||||||||||||||||||||
Portfolio turnover rate | 70 | % | 238 | % | 292 | % | 418 | % | 704 | % | 70 | % | 238 | % | 292 | % | 418 | % | 704 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year. |
** | The amount of net realized and unrealized gain (loss) on investment per share for the years ended October 31, 2015 and 2014 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values. |
+ | Assumes reinvestment of all dividends and distributions, if any. 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.
92
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, | ||||||||||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 * | 2013 | 2012 | 2011 | |||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.45 | $ | 23.74 | $ | 23.85 | $ | 23.45 | $ | 26.90 | $ | 25.15 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) ** | (0.03 | ) | (0.21 | ) | (0.07 | ) | (0.10 | ) | (0.29 | ) | (0.21 | ) | ||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.07 | ) | 0.92 | (0.04 | ) | 0.50 | (1.66 | ) | 1.96 | |||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.10 | ) | 0.71 | (0.11 | ) | 0.40 | (1.95 | ) | 1.75 | |||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | 0.00 | 0.00 | 0.00 | 0.00 | (1.50 | ) | 0.00 | |||||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||||||||||||||||
Total distributions | 0.00 | 0.00 | 0.00 | 0.00 | (1.50 | ) | 0.00 | |||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 24.35 | $ | 24.45 | $ | 23.74 | $ | 23.85 | $ | 23.45 | $ | 26.90 | ||||||||||||||||||||||||||||||||||||
Total return +, # | (0.41 | )% | 2.99 | % | (0.46 | )% | 1.71 | % | (7.23 | )% | 6.96 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 21,184 | $ | 15,355 | $ | 15,873 | $ | 15,641 | $ | 10,818 | $ | 15,716 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers ^(1) | 1.43 | % | 1.84 | % | 1.85 | % | 2.35 | % | 2.29 | % | 1.94 | % | ||||||||||||||||||||||||||||||||||||
After fee waivers ^(1) | 1.43 | % | 1.84 | % | 1.85 | % | 1.67 | % | 1.65 | % | 1.65 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers ^(1,2) | (0.11 | )% | (0.87 | )% | (1.13 | )% | (1.11 | )% | (1.79 | )% | (1.06 | )% | ||||||||||||||||||||||||||||||||||||
After fee waivers ^(1,2) | (0.11 | )% | (0.87 | )% | (1.13 | )% | (0.43 | )% | (1.15 | )% | (0.77 | )% | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 4,847 | % | 4,686 | % | 934 | % | 2,340 | % | 5,840 | % | 1,959 | % | ||||||||||||||||||||||||||||||||||||
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, | |||||||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 * | 2013 | 2012 | 2011 | 2015 | 2014 | 2013 * | 2013 | 2012 | 2011 | |||||||||||||||||||||||||||||||||||||
Net asset value, beginning 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 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) ** | (0.06 | ) | (0.22 | ) | (0.07 | ) | (0.11 | ) | (0.35 | ) | (0.27 | ) | (0.19 | ) | (0.42 | ) | (0.12 | ) | (0.35 | ) | (0.53 | ) | (0.47 | ) | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.10 | ) | 0.86 | (0.05 | ) | 0.44 | (1.66 | ) | 1.93 | (0.13 | ) | 0.85 | (0.04 | ) | 0.51 | (1.64 | ) | 1.92 | ||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.16 | ) | 0.64 | (0.12 | ) | 0.33 | (2.01 | ) | 1.66 | (0.32 | ) | 0.43 | (0.16 | ) | 0.16 | (2.17 | ) | 1.45 | ||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | 0.00 | 0.00 | 0.00 | 0.00 | (1.50 | ) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (1.50 | ) | 0.00 | ||||||||||||||||||||||||||||||||||
Distributions from net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||||||||||
Total distributions | 0.00 | 0.00 | 0.00 | 0.00 | (1.50 | ) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (1.50 | ) | 0.00 | ||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 23.91 | $ | 24.07 | $ | 23.43 | $ | 23.55 | $ | 23.22 | $ | 26.73 | $ | 22.66 | $ | 22.98 | $ | 22.55 | $ | 22.71 | $ | 22.55 | $ | 26.22 | ||||||||||||||||||||||||
Total return +, # | (0.66 | )% | 2.73 | % | (0.51 | )% | 1.42 | % | (7.51 | )% | 6.62 | % | (1.39 | )% | 1.91 | % | (0.70 | )% | 0.71 | % | (8.33 | )% | 5.85 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 1,715 | $ | 2,008 | $ | 15,484 | $ | 10,591 | $ | 1,016 | $ | 12,069 | $ | 863 | $ | 1,058 | $ | 1,150 | $ | 972 | $ | 212 | $ | 1,854 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers ^(1) | 1.68 | % | 2.09 | % | 2.10 | % | 2.36 | % | 2.54 | % | 2.19 | % | 2.43 | % | 2.84 | % | 2.85 | % | 3.11 | % | 3.29 | % | 2.94 | % | ||||||||||||||||||||||||
After fee waivers ^(1) | 1.68 | % | 2.09 | % | 2.10 | % | 1.98 | % | 1.90 | % | 1.90 | % | 2.43 | % | 2.84 | % | 2.85 | % | 2.67 | % | 2.65 | % | 2.65 | % | ||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers ^(1,2) | (0.19 | )% | (1.25 | )% | (1.14 | )% | (0.85 | )% | (2.04 | )% | (1.31 | )% | (1.05 | )% | (1.87 | )% | (2.06 | )% | (1.99 | )% | (2.80 | )% | (2.06 | )% | ||||||||||||||||||||||||
After fee waivers ^(1,2) | (0.19 | )% | (1.25 | )% | (1.14 | )% | (0.48 | )% | (1.40 | )% | (1.02 | )% | (1.05 | )% | (1.87 | )% | (2.06 | )% | (1.56 | )% | (2.16 | )% | (1.77 | )% | ||||||||||||||||||||||||
Portfolio turnover rate | 4,847 | % | 4,686 | % | 934 | % | 2,340 | % | 5,840 | % | 1,959 | % | 4,847 | % | 4,686 | % | 934 | % | 2,340 | % | 5,840 | % | 1,959 | % |
* | The Fund’s fiscal year end changed from July 31 to October 31 effective August 1, 2013. |
** | The net investment income (loss) per share data was determined using the average shares outstanding throughout each period |
(a) | Represents less than $0.01 per share. |
+ | Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
^ | Annualized for periods less than one year. |
(1) | The ratios of expenses to average net assets and net investment loss to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests. |
(2) | Recognition of net investment loss by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
See accompanying notes to financial statements.
93
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, | ||||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 10.88 | $ | 10.09 | $ | 8.90 | $ | 8.86 | $ | 8.47 | ||||||||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.27 | 0.11 | 0.16 | 0.10 | 0.08 | |||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.51 | ) | 0.83 | 1.28 | 0.05 | 0.55 | ||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.24 | ) | 0.94 | 1.44 | 0.15 | 0.63 | ||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.17 | ) | (0.15 | ) | (0.25 | ) | (0.11 | ) | (0.24 | ) | ||||||||||||||||||||||||||||||
Distributions from net realized gains | (1.72 | ) | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||||||||
Total distributions | (1.89 | ) | (0.15 | ) | (0.25 | ) | (0.11 | ) | (0.24 | ) | ||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 8.75 | $ | 10.88 | $ | 10.09 | $ | 8.90 | $ | 8.86 | ||||||||||||||||||||||||||||||
Total return + | (2.67 | )% | 9.37 | % | 16.59 | % | 1.83 | % | 7.56 | % | ||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 20,210 | $ | 18,576 | $ | 15,855 | $ | 23,843 | $ | 24,475 | ||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | 1.34 | % | 1.44 | % | 1.39 | % | 1.60 | % | 1.91 | % | ||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: | 2.83 | % | 1.07 | % | 1.70 | % | 1.13 | % | 0.90 | % | ||||||||||||||||||||||||||||||
Portfolio turnover rate | 82 | % | 129 | % | 62 | % | 51 | % | 69 | % | ||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 10.85 | $ | 10.06 | $ | 8.88 | $ | 8.83 | $ | 8.45 | $ | 10.66 | $ | 9.90 | $ | 8.74 | $ | 8.70 | $ | 8.32 | ||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.24 | 0.09 | 0.13 | 0.08 | 0.06 | 0.18 | 0.01 | 0.06 | 0.01 | (0.01 | ) | |||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.50 | ) | 0.82 | 1.27 | 0.06 | 0.55 | (0.50 | ) | 0.80 | 1.26 | 0.06 | 0.55 | ||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.26 | ) | 0.91 | 1.40 | 0.14 | 0.61 | (0.32 | ) | 0.81 | 1.32 | 0.07 | 0.54 | ||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.14 | ) | (0.12 | ) | (0.22 | ) | (0.09 | ) | (0.23 | ) | (0.06 | ) | (0.05 | ) | (0.16 | ) | (0.03 | ) | (0.16 | ) | ||||||||||||||||||||
Distributions from net realized gains | (1.72 | ) | 0.00 | 0.00 | 0.00 | 0.00 | (1.72 | ) | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||
Total distributions | (1.86 | ) | (0.12 | ) | (0.22 | ) | (0.09 | ) | (0.23 | ) | (1.78 | ) | (0.05 | ) | (0.16 | ) | (0.03 | ) | (0.16 | ) | ||||||||||||||||||||
Net asset value, end of year | $ | 8.73 | $ | 10.85 | $ | 10.06 | $ | 8.88 | $ | 8.83 | $ | 8.56 | $ | 10.66 | $ | 9.90 | $ | 8.74 | $ | 8.70 | ||||||||||||||||||||
Total return + | (2.84 | )% | 9.10 | % | 16.21 | % | 1.63 | % | 7.33 | % | (3.53 | )% | 8.21 | % | 15.35 | % | 0.84 | % | 6.49 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 4,211 | $ | 4,509 | $ | 4,368 | $ | 4,470 | $ | 2,994 | $ | 4,956 | $ | 4,046 | $ | 3,765 | $ | 3,867 | $ | 4,130 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 1.59 | % | 1.69 | % | 1.64 | % | 1.85 | % | 2.16 | % | 2.34 | % | 2.44 | % | 2.39 | % | 2.60 | % | 2.91 | % | ||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | 2.56 | % | 0.83 | % | 1.45 | % | 0.88 | % | 0.65 | % | 1.91 | % | 0.08 | % | 0.70 | % | 0.13 | % | (0.10 | )% | ||||||||||||||||||||
Portfolio turnover rate | 82 | % | 129 | % | 62 | % | 51 | % | 69 | % | 82 | % | 129 | % | 62 | % | 51 | % | 69 | % |
* | The net investment income per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
See accompanying notes to financial statements.
94
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, | ||||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 16.21 | $ | 14.55 | $ | 11.74 | $ | 10.60 | $ | 9.96 | ||||||||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income * | 0.17 | 0.13 | 0.16 | 0.12 | 0.06 | |||||||||||||||||||||||||||||||||||
Net realized and unrealized gain | 0.06 | 1.70 | 2.78 | 1.07 | 0.64 | |||||||||||||||||||||||||||||||||||
Total income from investment operations | 0.23 | 1.83 | 2.94 | 1.19 | 0.70 | |||||||||||||||||||||||||||||||||||
Less distributions: | �� | |||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.12 | ) | (0.17 | ) | (0.13 | ) | (0.05 | ) | (0.06 | ) | ||||||||||||||||||||||||||||||
Total distributions | (0.12 | ) | (0.17 | ) | (0.13 | ) | (0.05 | ) | (0.06 | ) | ||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 16.32 | $ | 16.21 | $ | 14.55 | $ | 11.74 | $ | 10.60 | ||||||||||||||||||||||||||||||
Total return +,# | 1.41 | % | 12.64 | % | 25.30 | % | 11.29 | % | 7.06 | % | ||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 44,620 | $ | 41,917 | $ | 37,688 | $ | 37,650 | $ | 34,171 | ||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | 1.12 | % | 1.26 | % | 1.00 | % | 1.17 | % | 1.62 | % | ||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: | 1.03 | % | 0.82 | % | 1.25 | % | 1.04 | % | 0.53 | % | ||||||||||||||||||||||||||||||
Portfolio turnover rate | 101 | % | 22 | % | 16 | % | 30 | % | 30 | % | ||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 16.16 | $ | 14.52 | $ | 11.72 | $ | 10.57 | $ | 9.95 | $ | 15.68 | $ | 14.09 | $ | 11.36 | $ | 10.31 | $ | 9.73 | ||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.13 | 0.09 | 0.13 | 0.09 | 0.04 | 0.00 | (a) | (0.03 | ) | 0.03 | 0.00 | (a) | (0.05 | ) | ||||||||||||||||||||||||||
Net realized and unrealized gain | 0.06 | 1.69 | 2.77 | 1.08 | 0.64 | 0.06 | 1.65 | 2.71 | 1.05 | 0.63 | ||||||||||||||||||||||||||||||
Total income from investment operations | 0.19 | 1.78 | 2.90 | 1.17 | 0.68 | 0.06 | 1.62 | 2.74 | 1.05 | 0.58 | ||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.09 | ) | (0.14 | ) | (0.10 | ) | (0.02 | ) | (0.06 | ) | 0.00 | (0.03 | ) | (0.01 | ) | 0.00 | 0.00 | |||||||||||||||||||||||
Total distributions | (0.09 | ) | (0.14 | ) | (0.10 | ) | (0.02 | ) | (0.06 | ) | 0.00 | (0.03 | ) | (0.01 | ) | 0.00 | 0.00 | |||||||||||||||||||||||
Net asset value, end of year | $ | 16.26 | $ | 16.16 | $ | 14.52 | $ | 11.72 | $ | 10.57 | $ | 15.74 | $ | 15.68 | $ | 14.09 | $ | 11.36 | $ | 10.31 | ||||||||||||||||||||
Total return +, # | 1.15 | % | 12.31 | % | 24.99 | % | 11.04 | % | 6.78 | % | 0.38 | % | 11.49 | % | 24.09 | % | 10.18 | % | 5.96 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 6,577 | $ | 7,685 | $ | 4,980 | $ | 2,969 | $ | 2,874 | $ | 5,805 | $ | 5,639 | $ | 5,029 | $ | 5,431 | $ | 6,129 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 1.37 | % | 1.51 | % | 1.25 | % | 1.42 | % | 1.87 | % | 2.12 | % | 2.26 | % | 2.00 | % | 2.17 | % | 2.62 | % | ||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | 0.78 | % | 0.57 | % | 0.99 | % | 0.79 | % | 0.28 | % | 0.03 | % | (0.18 | )% | 0.25 | % | 0.04 | % | (0.47 | )% | ||||||||||||||||||||
Portfolio turnover rate | 101 | % | 22 | % | 16 | % | 30 | % | 30 | % | 101 | % | 22 | % | 16 | % | 30 | % | 30 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
(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.
95
FINANCIAL HIGHLIGHTS |
Dunham Alternative Income 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, | |||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 * | |||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.58 | $ | 11.24 | $ | 9.73 | $ | 10.00 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss)** | 0.32 | 0.28 | 0.17 | (0.07 | ) | |||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.07 | ) | 0.57 | 1.46 | (0.20 | ) | ||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.75 | ) | 0.85 | 1.63 | (0.27 | ) | ||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.15 | ) | (0.25 | ) | (0.12 | ) | 0.00 | |||||||||||||||||||||||||
Distributions from net realized gains | (0.17 | ) | (0.26 | ) | 0.00 | 0.00 | ||||||||||||||||||||||||||
Total distributions | (0.32 | ) | (0.51 | ) | (0.12 | ) | 0.00 | |||||||||||||||||||||||||
Net asset value, end of period | $ | 10.51 | $ | 11.58 | $ | 11.24 | $ | 9.73 | ||||||||||||||||||||||||
Total return + # | (6.51 | )% | 7.76 | % | 16.84 | % | (2.70 | )% | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 2,300 | $ | 2,961 | $ | 1,099 | $ | 341 | ||||||||||||||||||||||||
Ratios of expenses to average net assets ^ | 1.49 | % | 1.83 | % | 2.90 | % | 9.47 | % | ||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets ^ | 2.52 | % | 2.40 | % | 1.66 | % | (6.42 | )% | ||||||||||||||||||||||||
Portfolio turnover rate | 59 | % | 120 | % | 69 | % | 7 | % (1) | ||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||
Year Ended | Period Ended | Year Ended | Period Ended | |||||||||||||||||||||||||||||
October 31, | October 31, | October 31, | October 31, | |||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 * | 2015 | 2014 | 2013 | 2012 * | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.57 | $ | 11.24 | $ | 9.73 | $ | 10.00 | $ | 11.53 | $ | 11.21 | $ | 9.72 | $ | 10.00 | ||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss)** | 0.26 | 0.26 | 0.15 | (0.08 | ) | 0.17 | 0.17 | 0.07 | (0.11 | ) | ||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.04 | ) | 0.56 | 1.46 | (0.19 | ) | (1.03 | ) | 0.56 | 1.46 | (0.17 | ) | ||||||||||||||||||||
Total income (loss) from investment operations | (0.78 | ) | 0.82 | 1.61 | (0.27 | ) | (0.86 | ) | 0.73 | 1.53 | (0.28 | ) | ||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.13 | ) | (0.23 | ) | (0.10 | ) | 0.00 | (0.05 | ) | (0.15 | ) | (0.04 | ) | 0.00 | ||||||||||||||||||
Distributions from net realized gains | (0.17 | ) | (0.26 | ) | 0.00 | 0.00 | (0.17 | ) | (0.26 | ) | 0.00 | 0.00 | ||||||||||||||||||||
Total distributions | (0.30 | ) | (0.49 | ) | (0.10 | ) | 0.00 | (0.22 | ) | (0.41 | ) | (0.04 | ) | 0.00 | ||||||||||||||||||
Net asset value, end of period | $ | 10.49 | $ | 11.57 | $ | 11.24 | $ | 9.73 | $ | 10.45 | $ | 11.53 | $ | 11.21 | $ | 9.72 | ||||||||||||||||
Total return +, # | (6.82 | )% | 7.43 | % | 16.60 | % | (2.70 | )% | (7.49 | )% | 6.68 | % | 15.75 | % | (2.80 | )% | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 2,564 | $ | 2,768 | $ | 2,405 | $ | 1,106 | $ | 2,289 | $ | 2,157 | $ | 1,466 | $ | 525 | ||||||||||||||||
Ratios of expenses to average net assets ^ | 1.74 | % | 2.08 | % | 3.15 | % | 9.72 | % | 2.49 | % | 2.83 | % | 3.90 | % | 10.47 | % | ||||||||||||||||
Ratios of net investment income (loss) to average net assets ^ | 2.29 | % | 2.36 | % | 1.42 | % | (6.67 | )% | 1.54 | % | 1.56 | % | 0.67 | % | (7.42 | )% | ||||||||||||||||
Portfolio turnover rate | 59 | % | 120 | % | 69 | % | 7 | % (1) | 59 | % | 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. |
# | 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.
96
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 | Year Ended | Period Ended | |||||||||||||||||||||||||||||
October 31, | October 31, | October 31, | October 31, | |||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 * | |||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.01 | $ | 14.02 | $ | 10.42 | $ | 10.00 | ||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||
Net investment loss** | (0.16 | ) | (0.11 | ) | (0.10 | ) | (0.16 | ) | ||||||||||||||||||||||||
Net realized and unrealized gain | 2.12 | 1.29 | 3.70 | 0.58 | ||||||||||||||||||||||||||||
Total income from investment operations | 1.96 | 1.18 | 3.60 | 0.42 | ||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||
Distributions from net realized gains | 0.00 | (0.19 | ) | 0.00 | 0.00 | |||||||||||||||||||||||||||
Total distributions | 0.00 | (0.19 | ) | 0.00 | 0.00 | |||||||||||||||||||||||||||
Net asset value, end of period | $ | 16.97 | $ | 15.01 | $ | 14.02 | $ | 10.42 | ||||||||||||||||||||||||
Total return + | 13.06 | % | 8.48 | % | 34.55 | % | 4.20 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 51,312 | $ | 37,106 | $ | 814 | $ | 450 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||
Before fee waivers ^ | 1.34 | % | 1.16 | % | 1.71 | % | 2.11 | % | ||||||||||||||||||||||||
After fee waivers ^ | 1.34 | % | 1.16 | % | 1.69 | % | 1.80 | % | ||||||||||||||||||||||||
Ratios of net investment loss to average net assets: | ||||||||||||||||||||||||||||||||
Before fee waivers ^ | (1.00 | )% | (0.76 | )% | (0.70 | )% | (1.06 | )% | ||||||||||||||||||||||||
After fee waivers ^ | (1.00 | )% | (0.76 | )% | (0.67 | )% | (0.75 | )% | ||||||||||||||||||||||||
Portfolio turnover rate | 45 | % | 29 | % | 91 | % | 27 | % (1) | ||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||||||||
October 31, | October 31, | October 31, | October 31, | October 31, | October 31, | October 31, | October 31, | |||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 * | 2015 | 2014 | 2013 | 2012 * | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.91 | $ | 13.96 | $ | 10.39 | $ | 10.00 | $ | 14.59 | $ | 13.76 | $ | 10.33 | $ | 10.00 | ||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||
Net investment loss** | (0.19 | ) | (0.21 | ) | (0.11 | ) | (0.09 | ) | (0.31 | ) | (0.26 | ) | (0.26 | ) | (0.30 | ) | ||||||||||||||||
Net realized and unrealized gain | 2.08 | 1.35 | 3.68 | 0.48 | 2.05 | 1.28 | 3.69 | 0.63 | ||||||||||||||||||||||||
Total income from investment operations | 1.89 | 1.14 | 3.57 | 0.39 | 1.74 | 1.02 | 3.43 | 0.33 | ||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||
Distributions from net realized gains | 0.00 | (0.19 | ) | 0.00 | 0.00 | 0.00 | (0.19 | ) | 0.00 | 0.00 | ||||||||||||||||||||||
Total distributions | 0.00 | (0.19 | ) | 0.00 | 0.00 | 0.00 | (0.19 | ) | 0.00 | 0.00 | ||||||||||||||||||||||
Net asset value, end of period | $ | 16.80 | $ | 14.91 | $ | 13.96 | $ | 10.39 | $ | 16.33 | $ | 14.59 | $ | 13.76 | $ | 10.33 | ||||||||||||||||
Total return + | 12.68 | % | 8.23 | % | 34.36 | % | 3.90 | % | 11.93 | % | 7.47 | % | 33.20 | % | 3.30 | % | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 8,762 | $ | 19,949 | $ | 11,399 | $ | 10,344 | $ | 5,222 | $ | 4,361 | $ | 510 | $ | 146 | ||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||
Before fee waivers ^ | 1.59 | % | 1.41 | % | 1.96 | % | 2.36 | % | 2.34 | % | 2.16 | % | 2.71 | % | 3.11 | % | ||||||||||||||||
After fee waivers ^ | 1.59 | % | 1.41 | % | 1.94 | % | 2.05 | % | 2.34 | % | 2.16 | % | 2.69 | % | 2.80 | % | ||||||||||||||||
Ratios of net investment loss to average net assets: | ||||||||||||||||||||||||||||||||
Before fee waivers ^ | (1.20 | )% | (1.48 | )% | (0.95 | )% | (1.31 | )% | (2.00 | )% | (1.87 | )% | (1.70 | )% | (2.06 | )% | ||||||||||||||||
After fee waivers ^ | (1.20 | )% | (1.48 | )% | (0.92 | )% | (1.00 | )% | (2.00 | )% | (1.87 | )% | (1.67 | )% | (1.75 | )% | ||||||||||||||||
Portfolio turnover rate | 45 | % | 29 | % | 91 | % | 27 | % (1) | 45 | % | 29 | % | 91 | % | 27 | % (1) |
* | The Fund commenced operations on December 8, 2011. |
** | The net investment loss per share data was determined using the average shares outstanding throughout each period. |
^ | Annualized for periods less than a year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
(1) | Not annualized. |
See accompanying notes to financial statements.
97
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, | ||||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 15.21 | $ | 15.22 | $ | 12.05 | $ | 11.85 | $ | 12.79 | ||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) * | 0.00 | 0.15 | 0.07 | 0.14 | 0.15 | |||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.61 | ) | 0.10 | 3.24 | 0.22 | (0.98 | ) | |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.61 | ) | 0.25 | 3.31 | 0.36 | (0.83 | ) | |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.30 | ) | (0.26 | ) | (0.14 | ) | (0.16 | ) | (0.11 | ) | ||||||||||||||||||||||||||||||
Distributions from net realized gains | (0.06 | ) | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||||||||
Total distributions | (0.36 | ) | (0.26 | ) | (0.14 | ) | (0.16 | ) | (0.11 | ) | ||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 14.24 | $ | 15.21 | $ | 15.22 | $ | 12.05 | $ | 11.85 | ||||||||||||||||||||||||||||||
Total return + # | (4.10 | )% | 1.66 | % | 27.64 | % | 3.16 | % | (6.56 | )% | ||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 76,992 | $ | 57,359 | $ | 49,815 | $ | 44,947 | $ | 39,163 | ||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | 2.04 | % | 2.04 | % | 2.11 | % | 1.97 | % | 2.28 | % | ||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: | 0.03 | % | 0.99 | % | 0.52 | % | 1.24 | % | 1.19 | % | ||||||||||||||||||||||||||||||
Portfolio turnover rate | 125 | % | 117 | % | 131 | % | 142 | % | 110 | % | ||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 15.16 | $ | 15.19 | $ | 12.03 | $ | 11.84 | $ | 12.79 | $ | 14.68 | $ | 14.70 | $ | 11.64 | $ | 11.44 | $ | 12.37 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | (0.03 | ) | 0.15 | 0.06 | 0.10 | 0.18 | (0.14 | ) | (0.00 | ) (a) | (0.06 | ) | 0.03 | 0.02 | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.60 | ) | 0.06 | 3.22 | 0.22 | (1.04 | ) | (0.59 | ) | 0.10 | 3.13 | 0.21 | (0.95 | ) | ||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.63 | ) | 0.21 | 3.28 | 0.32 | (0.86 | ) | (0.73 | ) | 0.10 | 3.07 | 0.24 | (0.93 | ) | ||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.26 | ) | (0.24 | ) | (0.12 | ) | (0.13 | ) | (0.09 | ) | (0.16 | ) | (0.12 | ) | (0.01 | ) | (0.04 | ) | 0.00 | |||||||||||||||||||||
Distributions from net realized gains | (0.06 | ) | 0.00 | 0.00 | 0.00 | 0.00 | (0.06 | ) | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||
Total distributions | (0.32 | ) | (0.24 | ) | (0.12 | ) | (0.13 | ) | (0.09 | ) | (0.22 | ) | (0.12 | ) | (0.01 | ) | (0.04 | ) | 0.00 | |||||||||||||||||||||
Net asset value, end of year | $ | 14.21 | $ | 15.16 | $ | 15.19 | $ | 12.03 | $ | 11.84 | $ | 13.73 | $ | 14.68 | $ | 14.70 | $ | 11.64 | $ | 11.44 | ||||||||||||||||||||
Total return + # | (4.26 | )% | 1.35 | % | 27.40 | % | 2.80 | % | (6.78 | )% | (5.06 | )% | 0.67 | % | 26.40 | % | 2.10 | % | (7.52 | )% | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 9,032 | $ | 7,871 | $ | 4,741 | $ | 1,580 | $ | 1,309 | $ | 7,268 | $ | 6,551 | $ | 5,627 | $ | 5,881 | $ | 6,849 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 2.29 | % | 2.29 | % | 2.36 | % | 2.22 | % | 2.53 | % | 3.04 | % | 3.04 | % | 3.11 | % | 2.97 | % | 3.28 | % | ||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | (0.19 | )% | 0.97 | % | 0.41 | % | 0.99 | % | 0.94 | % | (0.94 | )% | (0.02 | )% | (0.46 | )% | 0.24 | % | 0.19 | % | ||||||||||||||||||||
Portfolio turnover rate | 125 | % | 117 | % | 131 | % | 142 | % | 110 | % | 125 | % | 117 | % | 131 | % | 142 | % | 110 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each period |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions |
(a) | Represents less than $0.01 per share. |
See accompanying notes to financial statements.
98
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, | ||||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 19.27 | $ | 16.53 | $ | 15.79 | $ | 13.80 | $ | 12.84 | ||||||||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income * | 0.15 | 0.13 | 0.23 | 0.21 | 0.14 | |||||||||||||||||||||||||||||||||||
Net realized and unrealized gain | 0.85 | 3.20 | 1.27 | 1.90 | 0.98 | |||||||||||||||||||||||||||||||||||
Total income from investment operations | 1.00 | 3.33 | 1.50 | 2.11 | 1.12 | |||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.11 | ) | (0.20 | ) | (0.23 | ) | (0.12 | ) | (0.16 | ) | ||||||||||||||||||||||||||||||
Distributions from net realized gains | (0.93 | ) | (0.39 | ) | (0.53 | ) | 0.00 | 0.00 | ||||||||||||||||||||||||||||||||
Total distributions | (1.04 | ) | (0.59 | ) | (0.76 | ) | (0.12 | ) | (0.16 | ) | ||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 19.23 | $ | 19.27 | $ | 16.53 | $ | 15.79 | $ | 13.80 | ||||||||||||||||||||||||||||||
Total return + | 5.13 | % | 21.09 | % | 9.85 | % | 15.46 | % | 8.82 | % | ||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 33,379 | $ | 37,143 | $ | 33,545 | $ | 20,424 | $ | 12,507 | ||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | 1.64 | % | 1.59 | % | 1.30 | % | 1.46 | % | 1.51 | % | ||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: | 0.80 | % | 0.77 | % | 1.40 | % | 1.42 | % | 1.09 | % | ||||||||||||||||||||||||||||||
Portfolio turnover rate | 110 | % | 97 | % | 163 | % | 123 | % | 59 | % | ||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 19.33 | $ | 16.55 | $ | 15.77 | $ | 13.80 | $ | 12.85 | $ | 18.65 | $ | 16.02 | $ | 15.33 | $ | 13.40 | $ | 12.49 | ||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) * | 0.10 | 0.08 | 0.15 | 0.21 | 0.13 | (0.04 | ) | (0.04 | ) | 0.07 | 0.07 | 0.01 | ||||||||||||||||||||||||||||
Net realized and unrealized gain | 0.85 | 3.22 | 1.31 | 1.87 | 0.95 | 0.82 | 3.11 | 1.23 | 1.86 | 0.94 | ||||||||||||||||||||||||||||||
Total income from investment operations | 0.95 | 3.30 | 1.46 | 2.08 | 1.08 | 0.78 | 3.07 | 1.30 | 1.93 | 0.95 | ||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.09 | ) | (0.13 | ) | (0.15 | ) | (0.11 | ) | (0.13 | ) | 0.00 | (0.05 | ) | (0.08 | ) | 0.00 | (0.04 | ) | ||||||||||||||||||||||
Distributions from net realized gains | (0.93 | ) | (0.39 | ) | (0.53 | ) | 0.00 | 0.00 | (0.93 | ) | (0.39 | ) | (0.53 | ) | 0.00 | 0.00 | ||||||||||||||||||||||||
Total distributions | (1.02 | ) | (0.52 | ) | (0.68 | ) | (0.11 | ) | (0.13 | ) | (0.93 | ) | (0.44 | ) | (0.61 | ) | 0.00 | (0.04 | ) | |||||||||||||||||||||
Net asset value, end of year | $ | 19.26 | $ | 19.33 | $ | 16.55 | $ | 15.77 | $ | 13.80 | $ | 18.50 | $ | 18.65 | $ | 16.02 | $ | 15.33 | $ | 13.40 | ||||||||||||||||||||
Total return + | 4.85 | % | 20.73 | % | 9.60 | % | 15.20 | % | 8.48 | % | 4.08 | % | 19.88 | % | 8.73 | % | 14.40 | % | 7.65 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 10,386 | $ | 3,913 | $ | 2,539 | $ | 709 | $ | 6,962 | $ | 3,847 | $ | 4,166 | $ | 2,684 | $ | 2,370 | $ | 1,944 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 1.89 | % | 1.84 | % | 1.55 | % | 1.71 | % | 1.76 | % | 2.64 | % | 2.59 | % | 2.30 | % | 2.46 | % | 2.51 | % | ||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | 0.53 | % | 0.48 | % | 1.15 | % | 1.17 | % | 0.81 | % | (0.21 | )% | (0.24 | )% | 0.40 | % | 0.42 | % | 0.07 | % | ||||||||||||||||||||
Portfolio turnover rate | 110 | % | 97 | % | 163 | % | 123 | % | 59 | % | 110 | % | 97 | % | 163 | % | 123 | % | 59 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
See accompanying notes to financial statements.
99
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, | ||||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 15.45 | $ | 14.65 | $ | 11.21 | $ | 10.44 | $ | 9.78 | ||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) * | (0.01 | ) | 0.04 | 0.07 | 0.00 | (a) | 0.02 | |||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.18 | ) | 1.45 | 3.40 | 0.77 | 0.66 | ||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.19 | ) | 1.49 | 3.47 | 0.77 | 0.68 | ||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.04 | ) | (0.02 | ) | (0.03 | ) | 0.00 | (0.02 | ) | |||||||||||||||||||||||||||||||
Distributions from net realized gains | (0.95 | ) | (0.67 | ) | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||||||||||||||
Total distributions | (0.99 | ) | (0.69 | ) | (0.03 | ) | 0.00 | (0.02 | ) | |||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 14.27 | $ | 15.45 | $ | 14.65 | $ | 11.21 | $ | 10.44 | ||||||||||||||||||||||||||||||
Total return + # | (1.59 | )% | 10.30 | % | 31.05 | % | 7.38 | % | 6.94 | % | ||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 22,068 | $ | 23,783 | $ | 16,640 | $ | 15,764 | $ | 14,739 | ||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | 1.79 | % | 1.45 | % | 1.29 | % | 2.02 | % | 2.10 | % | ||||||||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | (0.10 | )% | 0.27 | % | 0.62 | % | 0.04 | % | 0.06 | % | ||||||||||||||||||||||||||||||
Portfolio turnover rate | 122 | % | 106 | % | 147 | % | 62 | % | 50 | % | ||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 15.36 | $ | 14.59 | $ | 11.16 | $ | 10.40 | $ | 9.75 | $ | 14.32 | $ | 13.74 | $ | 10.59 | $ | 9.96 | $ | 9.40 | ||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | (0.05 | ) | (0.00 | ) | 0.01 | 0.00 | (a) | (0.01 | ) | (0.15 | ) | (0.10 | ) | (0.03 | ) | (0.10 | ) | (0.09 | ) | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.18 | ) | 1.44 | 3.42 | 0.76 | 0.66 | (0.16 | ) | 1.35 | 3.18 | 0.73 | 0.65 | ||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.23 | ) | 1.44 | 3.43 | 0.76 | 0.65 | (0.31 | ) | 1.25 | 3.15 | 0.63 | 0.56 | ||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (0.95 | ) | (0.67 | ) | 0.00 | 0.00 | 0.00 | (0.95 | ) | (0.67 | ) | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||
Total distributions | (0.95 | ) | (0.67 | ) | 0.00 | 0.00 | 0.00 | (0.95 | ) | (0.67 | ) | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||
Net asset value, end of year | $ | 14.18 | $ | 15.36 | $ | 14.59 | $ | 11.16 | $ | 10.40 | $ | 13.06 | $ | 14.32 | $ | 13.74 | $ | 10.59 | $ | 9.96 | ||||||||||||||||||||
Total return + # | (1.83 | )% | 10.02 | % | 30.74 | % | 7.31 | % | 6.67 | % | (2.56 | )% | 9.22 | % | 29.75 | % | 6.33 | % | 5.96 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 3,801 | $ | 3,268 | $ | 1,756 | $ | 567 | $ | 193 | $ | 2,383 | $ | 2,494 | $ | 2,057 | $ | 2,099 | $ | 2,574 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 2.04 | % | 1.70 | % | 1.54 | % | 2.27 | % | 2.35 | % | 2.79 | % | 2.45 | % | 2.29 | % | 3.02 | % | 3.10 | % | ||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | (0.36 | )% | (0.06 | )% | 0.15 | % | (0.21 | )% | (0.22 | )% | (1.11 | )% | (0.70 | )% | (0.37 | )% | (0.96 | )% | (0.95 | )% | ||||||||||||||||||||
Portfolio turnover rate | 122 | % | 106 | % | 147 | % | 62 | % | 50 | % | 122 | % | 106 | % | 147 | % | 62 | % | 50 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
(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.
100
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, | ||||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 14.75 | $ | 14.66 | $ | 13.82 | $ | 13.43 | $ | 16.03 | ||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.08 | 0.20 | 0.00 | (a) | 0.04 | (0.05 | ) | |||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) ** | (2.67 | ) | (0.11 | ) | 0.84 | 0.35 | (2.55 | ) | ||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (2.59 | ) | 0.09 | 0.84 | 0.39 | (2.60 | ) | |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.19 | ) | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||||||||
Total distributions | (0.19 | ) | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 11.97 | $ | 14.75 | $ | 14.66 | $ | 13.82 | $ | 13.43 | ||||||||||||||||||||||||||||||
Total return +, # | (17.73 | )% | 0.61 | % | 6.08 | % | 2.90 | % | (16.22 | )% | ||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 42,831 | $ | 35,872 | $ | 24,736 | $ | 16,017 | $ | 14,616 | ||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | 1.76 | % | 1.29 | % | 2.00 | % | 1.75 | % | 2.10 | % | ||||||||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | 0.59 | % | 1.39 | % | 0.03 | % | 0.29 | % | (0.35 | )% | ||||||||||||||||||||||||||||||
Portfolio turnover rate | 137 | % | 108 | % | 166 | % | 104 | % | 98 | % | ||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 14.44 | $ | 14.39 | $ | 13.59 | $ | 13.23 | $ | 15.83 | $ | 13.76 | $ | 13.82 | $ | 13.16 | $ | 12.90 | $ | 15.56 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.05 | 0.16 | (0.07 | ) | 0.05 | (0.12 | ) | (0.06 | ) | 0.04 | (0.14 | ) | (0.09 | ) | (0.20 | ) | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) ** | (2.62 | ) | (0.11 | ) | 0.87 | 0.31 | (2.48 | ) | (2.49 | ) | (0.10 | ) | 0.80 | 0.35 | (2.46 | ) | ||||||||||||||||||||||||
Total income (loss) from investment operations | (2.57 | ) | 0.05 | 0.80 | 0.36 | (2.60 | ) | (2.55 | ) | (0.06 | ) | 0.66 | 0.26 | (2.66 | ) | |||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.16 | ) | 0.00 | 0.00 | 0.00 | 0.00 | (0.07 | ) | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||
Total distributions | (0.16 | ) | 0.00 | 0.00 | 0.00 | 0.00 | (0.07 | ) | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||
Net asset value, end of year | $ | 11.71 | $ | 14.44 | $ | 14.39 | $ | 13.59 | $ | 13.23 | $ | 11.14 | $ | 13.76 | $ | 13.82 | $ | 13.16 | $ | 12.90 | ||||||||||||||||||||
Total return +, # | (17.94 | )% | 0.35 | % | 5.89 | % | 2.72 | % | (16.42 | )% | (18.60 | )% | (0.43 | )% | 5.02 | % | 2.02 | % | (17.10 | )% | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 4,594 | $ | 4,036 | $ | 2,475 | $ | 11,364 | $ | 951 | $ | 3,216 | $ | 3,593 | $ | 2,735 | $ | 2,497 | $ | 2,755 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 2.01 | % | 1.54 | % | 2.25 | % | 2.00 | % | 2.35 | % | 2.76 | % | 2.29 | % | 3.00 | % | 2.75 | % | 3.10 | % | ||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | 0.40 | % | 1.14 | % | (0.48 | )% | 0.04 | % | (0.80 | )% | (0.48 | )% | 0.34 | % | (1.03 | )% | (0.71 | )% | (1.35 | )% | ||||||||||||||||||||
Portfolio turnover rate | 137 | % | 108 | % | 166 | % | 104 | % | 98 | % | 137 | % | 108 | % | 166 | % | 104 | % | 98 | % |
(a) | Represents less than $0.01 per share. |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each 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. 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.
101
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, | ||||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 17.71 | $ | 20.62 | $ | 15.69 | $ | 14.75 | $ | 13.67 | ||||||||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment loss* | (0.24 | ) | (0.29 | ) | (0.19 | ) | (0.17 | ) | (0.18 | ) | ||||||||||||||||||||||||||||||
Net realized and unrealized gain | 1.19 | 1.11 | 6.10 | 1.11 | 1.26 | |||||||||||||||||||||||||||||||||||
Total income from investment operations | 0.95 | 0.82 | 5.91 | 0.94 | 1.08 | |||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (1.58 | ) | (3.73 | ) | (0.98 | ) | 0.00 | 0.00 | ||||||||||||||||||||||||||||||||
Total distributions | (1.58 | ) | (3.73 | ) | (0.98 | ) | 0.00 | 0.00 | ||||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 17.08 | $ | 17.71 | $ | 20.62 | $ | 15.69 | $ | 14.75 | ||||||||||||||||||||||||||||||
Total return + # | 5.36 | % | 3.64 | % | 40.28 | % | 6.37 | % | 7.90 | % | ||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 23,152 | $ | 21,153 | $ | 16,146 | $ | 14,627 | $ | 14,975 | ||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | 1.58 | % | 1.84 | % | 1.35 | % | 1.34 | % | 1.45 | % | ||||||||||||||||||||||||||||||
Ratios of net investment loss to average net assets: | (1.30 | )% | (1.61 | )% | (1.08 | )% | (1.12 | )% | (1.15 | )% | ||||||||||||||||||||||||||||||
Portfolio turnover rate | 138 | % | 192 | % | 231 | % | 211 | % | 235 | % | ||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||
October 31, | October 31, | |||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 17.31 | $ | 20.28 | $ | 15.49 | $ | 14.59 | $ | 13.56 | $ | 15.51 | $ | 18.66 | $ | 14.43 | $ | 13.69 | $ | 12.82 | ||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment loss* | (0.27 | ) | (0.34 | ) | (0.24 | ) | (0.21 | ) | (0.24 | ) | (0.36 | ) | (0.42 | ) | (0.32 | ) | (0.30 | ) | (0.31 | ) | ||||||||||||||||||||
Net realized and unrealized gain | 1.16 | 1.10 | 6.01 | 1.11 | 1.27 | 1.04 | 1.00 | 5.53 | 1.04 | 1.18 | ||||||||||||||||||||||||||||||
Total income from investment operations | 0.89 | 0.76 | 5.77 | 0.90 | 1.03 | 0.68 | 0.58 | 5.21 | 0.74 | 0.87 | ||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (1.58 | ) | (3.73 | ) | (0.98 | ) | 0.00 | 0.00 | (1.58 | ) | (3.73 | ) | (0.98 | ) | 0.00 | 0.00 | ||||||||||||||||||||||||
Total distributions | (1.58 | ) | (3.73 | ) | (0.98 | ) | 0.00 | 0.00 | (1.58 | ) | (3.73 | ) | (0.98 | ) | 0.00 | 0.00 | ||||||||||||||||||||||||
Net asset value, end of year | $ | 16.62 | $ | 17.31 | $ | 20.28 | $ | 15.49 | $ | 14.59 | $ | 14.61 | $ | 15.51 | $ | 18.66 | $ | 14.43 | $ | 13.69 | ||||||||||||||||||||
Total return + # | 5.12 | % | 3.36 | % | 39.88 | % | 6.17 | % | 7.60 | % | 4.29 | % | 2.56 | % | 38.87 | % | 5.41 | % | 6.79 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 6,326 | $ | 6,443 | $ | 5,890 | $ | 2,418 | $ | 1,950 | $ | 3,163 | $ | 3,165 | $ | 2,685 | $ | 2,694 | $ | 3,193 | ||||||||||||||||||||
Ratios of expenses to average net assets: | 1.83 | % | 2.09 | % | 1.60 | % | 1.59 | % | 1.70 | % | 2.58 | % | 2.84 | % | 2.35 | % | 2.34 | % | 2.45 | % | ||||||||||||||||||||
Ratios of net investment loss to average net assets: | (1.53 | )% | (1.86 | )% | (1.33 | )% | (1.37 | )% | (1.40 | )% | (2.29 | )% | (2.61 | )% | (2.08 | )% | (2.12 | )% | (2.15 | )% | ||||||||||||||||||||
Portfolio turnover rate | 138 | % | 192 | % | 231 | % | 211 | % | 235 | % | 138 | % | 192 | % | 231 | % | 211 | % | 235 | % |
* | The net investment loss per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
# | 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.
102
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 |
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; International Stock Fund; Real Estate 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.
UFund | UPrimary Objective | |||
Corporate/Government Bond Monthly Distribution Floating Rate Bond High-Yield Bond | Current income and capital appreciation Positive returns in rising and falling market environments High level of current income High level of current income | |||
International Opportunity Bond Dynamic Macro | High level of current income Maximize total return from capital appreciation and dividends | |||
Alternative Strategy
Appreciation & Income | Long-term capital appreciation by realizing gains during periods of rising and declining markets 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 | |||
International Stock Real Estate Stock | Maximize total return from capital appreciation and dividends Maximize total return from capital appreciation and dividends | |||
Small Cap Value Emerging Markets Stock | Maximize total return from capital appreciation and income Maximize capital appreciation | |||
Small Cap Growth | Maximize capital appreciation | |||
Currently, each Fund offers Class A, Class C and Class N shares. Each class represents an interest in the same assets of the applicable Fund with the only differences being that Class A shares are subject to a front-end sales charge and an annual service fee, Class C shares are subject to an annual service and distribution fee and Class N shares have a higher minimum investment amount. Investors that purchase $1,000,000 or more of Class A shares will not pay any initial sales charge on the purchase. However, purchases of $1,000,000 or more of Class A shares may be subject to a contingent deferred sales charge ("CDSC") on shares redeemed during the first 18 months after their purchase in the amount of the commissions paid on the shares redeemed. The Class C and Class N shares, with the exception of Monthly Distribution, High-Yield Bond, Dynamic Macro, Focused Large Cap Growth, Alternative 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. The Funds follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies.
103
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
The following is a summary of significant accounting policies followed by the Fund in preparation of their financial statements.
a. Security Valuation – In determining each Fund’s Net Asset Value (“NAV”) per share, equity securities for which market quotations are readily available are valued at current market value using the last reported sales price. NASDAQ traded securities are valued using the NASDAQ official closing price (“NOCP”). If no sale price is reported, the mean between the current bid and ask price is used. If market quotations are not readily available, then securities are valued at fair value as determined by the Board of Trustees of the Trust (the “Board”) (or its delegate). U.S. Government and agency securities are valued at the mean between the most recent bid and ask prices. Short-term debt instruments with a remaining maturity of more than 60 days, intermediate and long-term bonds, convertible bonds, bank loans and other debt securities are generally valued on the basis of dealer supplied quotations or by a pricing system selected by Dunham & Associates Investment Counsel, Inc. (“Dunham & Associates” or the “Adviser”) and approved by the Board. Where such prices are not available, valuations will be obtained from brokers who are market makers for such securities. However, in circumstances where the Adviser deems it appropriate to do so, the mean of the bid and ask prices for over-the-counter securities or the last available sale price for exchange-traded debt securities may be used. Where no last sale price for exchange traded debt securities is available, the mean of the bid and ask prices may be used. Short-term debt securities with a remaining maturity of 60 days or less may be valued at amortized cost, provided such valuations represent fair value.
Options are valued at the last reported sale price at the close of the exchange on which the security is primarily traded. If no sales are reported for the exchange-traded options, or the options are not exchange-traded, then they are valued at the mean of their most recent quoted bid and ask price.
Equity swaps are valued at the last reported sale price at the close of the exchange on which the underlying security is primarily traded. If no sale price is reported, then they are valued at the mean of their most recent quoted bid and asked price.
Futures and future options are valued at the final settled price or, in the absence of a settled price, at the mean between the current bid and ask prices on the day of valuation.
Trading in securities on far eastern securities exchanges and over-the-counter markets is normally completed well before the close of business on each business day in New York (i.e., a day on which the New York Stock Exchange (“NYSE”) is open). In addition, far eastern securities trading generally, or in a particular country or countries, may not take place on all business days in New York. Furthermore, trading takes place in Japanese markets on certain Saturdays and in various foreign markets on days, which are not business days in New York, and on which a Fund’s NAV is not calculated. Each Fund calculates NAV per share, and therefore effects sales, redemptions and repurchases of its shares, as of the close of regular trading on the NYSE once on each day on which the NYSE is open. Such calculation may not take place contemporaneously with the determination of the prices of the majority of the portfolio securities used in such calculation. If events that may materially affect the value of such securities occur between the time when their price is determined and the time when the Fund’s NAV is calculated, such securities may be valued at fair value as determined in good faith in accordance with procedures approved by the Board.
Securities in which the Funds invest may be traded in markets that close before 4:00 p.m. Eastern Time (“ET”). Normally, developments that occur between the close of the foreign markets and 4:00 p.m. ET will not be reflected in a Fund’s NAV. However, Funds may determine that such developments are so significant that they will materially affect the value of a Fund’s securities, and the Fund may adjust the previous closing prices to reflect what the Board believes to be the fair value of these securities as of 4:00 p.m. ET. Effective July 1, 2009, both International Stock and Emerging Markets Stock began using fair value prices as provided by an independent pricing vendor on a daily basis for those securities traded on a foreign exchange.
Securities for which current market quotations are not readily available, or for which quotations are not deemed to be representative of market values, are valued at fair value as determined in good faith by or under the direction of the Board in accordance with the Trust’s Portfolio Securities Valuation Procedures (the “Procedures”). The Procedures consider, among others, the following factors to determine a security’s fair value: the nature and pricing history (if any) of the security; whether any dealer quotations for the security are available; and possible valuation methodologies that could be used to determine the fair value of the security.
Valuation of Fund of Funds - The Funds may invest in portfolios of open-end investment companies. Open-end investment companies are valued at their respective net asset values as reported by such investment companies. Open-end investment companies value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based on the methods established by the board of directors of the open-end funds.
The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities.
104
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
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, 2015 for the Funds’ assets and liabilities measured at fair value:
Corporate/Government Bond
Assets | Level 1 | Level 2 | Level 3 | Total |
Corporate Bonds & Notes * | $ - | $ 28,615,628 | $ - | $ 28,615,628 |
Foreign Government Bonds | - | 397,407 | - | 397,407 |
Municipal | - | 3,381,967 | - | 3,381,967 |
U.S. Government & Agency | - | 12,900,624 | - | 12,900,624 |
Bank Loans * | - | 2,877,734 | - | 2,877,734 |
Preferred Stock * | 760,680 | - | - | 760,680 |
Short-Term Investment | 1,512,359 | - | - | 1,512,359 |
Collateral for Securities Loaned | 802,900 | - | - | 802,900 |
Total | $ 3,075,939 | $ 48,173,360 | $ - | $ 51,249,299 |
Monthly Distribution
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 232,224,565 | $ - | $ - | $ 232,224,565 |
Rights | 61,356 | - | - | 61,356 |
Closed End Funds | 1,515,206 | - | - | 1,515,206 |
Preferred Stock * | 14,522,410 | - | - | 14,522,410 |
Bonds & Notes * | - | 24,825,710 | - | 24,825,710 |
Purchased Put Options | 1,005,232 | 1,323,876 | - | 2,329,108 |
Purchased Call Options | 14,280 | 6,045 | - | 20,325 |
Short-Term Investment | 19,030,333 | - | - | 19,030,333 |
Total Assets | $ 268,373,382 | $ 26,155,631 | $ - | $ 294,529,013 |
Derivatives | ||||
Forward Currency Exchange Contracts | - | 300,429 | - | 300,429 |
Equity Swap Contracts | 6,221,960 | - | 6,221,960 | |
Total Derivatives | $ 6,221,960 | $ 300,429 | $ - | $ 6,522,389 |
Liabilities-Securities Sold Short | 45,787,259 | - | 45,787,259 | |
Total Liabilities | $ 45,787,259 | $ - | $ - | $ 45,787,259 |
Liabilities-Derivatives | ||||
Written Call Options | 8,493,895 | 2,209,726 | - | 10,703,621 |
Written Put Options | 249,456 | - | - | 249,456 |
Equity Swap Contracts | 5,938,332 | - | - | 5,938,332 |
Forward Currency Exchange Contracts | - | 149,141 | - | 149,141 |
Total Derivatives | $ 14,681,683 | $ 2,358,867 | $ - | $ 17,040,550 |
105
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
Floating Rate Bond
Assets | Level 1 | Level 2 | Level 3 | Total |
Bank Loans * | $ - | $ 80,747,883 | $ - | $ 80,747,883 |
Bonds & Notes * | - | 4,459,132 | - | 4,459,132 |
Short-Term Investment | 944,079 | - | - | 944,079 |
Collateral for Securities Loaned | 727,440 | - | - | 727,440 |
Total | $ 1,671,519 | $ 85,207,015 | $ - | $ 86,878,534 |
High-Yield Bond
Assets | Level 1 | Level 2 | Level 3 | Total |
Preferred Stock * | $ 167,962 | $ - | $ - | $ 167,962 |
Bonds & Notes * | - | 93,510,285 | - | 93,510,285 |
Short-Term Investment | 3,537,902 | - | - | 3,537,902 |
Collateral for Securities Loaned | 12,722,190 | - | - | 12,722,190 |
Total | $ 16,428,054 | $ 93,510,285 | $ - | $ 109,938,339 |
International Opportunity Bond
Assets | Level 1 | Level 2 | Level 3 | Total |
Corporate Bonds & Notes * | $ - | $ 13,944,790 | $ - | $ 13,944,790 |
Foreign Government Bonds * | - | 21,381,483 | - | 21,381,483 |
Collateral Mortgage Backed Security | - | 207,715 | - | 207,715 |
Whole Loan Collateral | - | 400,429 | - | 400,429 |
Short-Term Investment | 192,086 | - | - | 192,086 |
Total Assets | $ 192,086 | $ 35,934,417 | $ - | $ 36,126,503 |
Derivatives | ||||
Futures Contracts | $ 21,700 | $ - | $ - | $ 21,700 |
Foreign Currency Exchange Contracts | - | 119,231 | - | 119,231 |
Total Derivatives | $ 21,700 | $ 119,231 | $ - | $ 140,931 |
Liabilities-Derivatives | ||||
Futures Contracts | $ 31,625 | $ - | $ - | $ 31,625 |
Foreign Currency Exchange Contracts | - | 57,701 | - | 57,701 |
Total Derivatives | $ 31,625 | $ 57,701 | $ - | $ 89,326 |
Dynamic Macro
Assets | Level 1 | Level 2 | Level 3 | Total |
Exchange Traded Funds * | $ 13,970,840 | $ - | $ - | $ 13,970,840 |
Short-Term Investments | 3,182,806 | 14,780,293 | - | 17,963,099 |
Collateral for Securities Loaned | 385,200 | - | - | 385,200 |
Derivatives | ||||
Purchased Options | 1,845,966 | - | - | 1,845,966 |
Futures | 638,421 | - | - | 638,421 |
Total | $ 20,023,233 | $ 14,780,293 | $ - | $ 34,803,526 |
Liabilities - Derivatives | ||||
Futures | $ 297,837 | $ - | $ - | $ 297,837 |
Written Options | 7,243 | - | - | 7,243 |
Total | $ 305,080 | $ - | $ - | $ 305,080 |
Alternative Strategy
Assets | Level 1 | Level 2 | Level 3 | Total |
Exchange Traded Funds * | $ 20,395,874 | $ - | $ - | $ 20,395,874 |
Short-Term Investment | 3,406,882 | - | - | 3,406,882 |
Collateral for Securities Loaned | 7,957,439 | - | - | 7,957,439 |
Total | $ 31,760,195 | $ - | $ - | $ 31,760,195 |
106
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
Appreciation & Income
Assets | Level 1 | Level 2 | Level 3 | Total |
Convertible Bonds * | $ - | $ 21,740,567 | $ - | $ 21,740,567 |
Preferred Stock * | 4,795,192 | - | - | 4,795,192 |
Short-Term Investment | 3,069,103 | - | - | 3,069,103 |
Collateral for Securities Loaned | 1,273,140 | - | - | 1,273,140 |
Total | $ 9,137,435 | $ 21,740,567 | $ - | $ 30,878,002 |
Large Cap Value
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 55,609,675 | $ - | $ - | $ 55,609,675 |
Short-Term Investment | 1,283,618 | - | - | 1,283,618 |
Collateral for Securities Loaned | 9,134,370 | - | - | 9,134,370 |
Total | $ 66,027,663 | $ - | $ - | $ 66,027,663 |
Alternative Income
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 6,967,532 | $ - | $ - | $ 6,967,532 |
Exchange Traded Fund * | 115,340 | - | - | 115,340 |
Short-Term Investment | 157,834 | - | - | 157,834 |
Collateral for Securities Loaned | 1,285,047 | - | - | 1,285,047 |
Total | $ 8,525,753 | $ - | $ - | $ 8,525,753 |
Focused Large Cap Growth
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 64,983,950 | $ - | $ - | $ 64,983,950 |
Short-Term Investment | 426,007 | - | - | 426,007 |
Collateral for Securities Loaned | 14,496,161 | - | - | 14,496,161 |
Total | $ 79,906,118 | $ - | $ - | $ 79,906,118 |
International Stock
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 24,139,120 | $ 65,898,277 | $ - | $ 90,037,397 |
Preferred Stock * | - | 1,414,983 | �� - | 1,414,983 |
Short-Term Investment | 1,708,506 | - | - | 1,708,506 |
Collateral for Securities Loaned | 663,425 | - | - | 663,425 |
Total Assets | $ 26,511,051 | $ 67,313,260 | $ - | $ 93,824,311 |
Assets - Derivatives | ||||
Forward Currency Exchange Contracts | $ - | $ 453,743 | $ - | $ 453,743 |
Liabilities - Derivatives | ||||
Forward Currency Exchange Contracts | $ - | $ 197,615 | $ - | $ 197,615 |
International Stock | |
Transfer into Level 2 from Level 1 | $ 86,970 |
Transfers out of Level 2 into Level 1 | - |
Net Transfers in/(out) of Level 2 | $ 86,970 |
Transfers that were made out of Level 1 into Level 2 represent securities that are being fair valued in the active market.
107
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
Real Estate Stock
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock* | $ 615,504 | $ - | $ - | $ 615,504 |
REITS * | 46,474,370 | - | - | 46,474,370 |
Short-Term Investment | 622,000 | - | - | 622,000 |
Collateral for Securities Loaned | 5,283,727 | - | - | 5,283,727 |
Total | $ 52,995,601 | $ - | $ - | $ 52,995,601 |
Small Cap Value
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 26,510,947 | $ - | $ - | $ 26,510,947 |
Exchange Traded Funds | 1,330,980 | - | - | 1,330,980 |
Short-Term Investment | 462,866 | - | - | 462,866 |
Collateral for Securities Loaned | 4,020,726 | - | - | 4,020,726 |
Total | $ 32,325,519 | $ - | $ - | $ 32,325,519 |
Emerging Markets Stock
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 11,969,444 | $ 34,815,597 | $ - | $ 46,785,041 |
Exchange Traded Funds | 2,310,096 | - | - | 2,310,096 |
Short-Term Investment | 105,150 | - | - | 105,150 |
Collateral for Securities Loaned | 1,595,560 | - | - | 1,595,560 |
Total | $ 15,980,250 | $ 34,815,597 | $ - | $ 50,795,847 |
Emerging Markets Stock | |
Transfer into Level 2 from Level 1 | $ 241,224 |
Transfers out of Level 2 into Level 1 | - |
Net Transfers in/(out) of Level 2 | $ 241,224 |
Transfers that were made out of Level 1 into Level 2 represent securities that are being fair valued in the active market.
Small Cap Growth
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 30,993,507 | $ - | $ - | $ 30,993,507 |
Short-Term Investment | 1,696,721 | - | - | 1,696,721 |
Collateral for Securities Loaned | 8,261,703 | - | - | 8,261,703 |
Total | $ 40,951,931 | $ - | $ - | $ 40,951,931 |
* See each Fund’s Schedule of Investments for breakdown by industry.
The Funds did not hold any Level 3 securities during the period.
There were no transfers into or out of Level 1 or Level 2 during the period. It is the Funds’ policy to recognize transfers into and out of Level 1 and Level 2 at the end of the reporting period.
b. Foreign Currency Translations – The accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency, and income receipts and expense payments, are translated into U.S. dollars using the prevailing exchange rate at the London market close. Purchases and sales of securities are translated into U.S. dollars at the contractual currency rates established at the approximate time of the trade.
Net realized gains and losses on foreign currency transactions represent net gains and losses from currency realized between the trade and settlement dates on securities transactions and the difference between income accrued versus income received. The effects of changes in foreign currency exchange rates on investments in securities are included with the net realized and unrealized gain or loss on investment securities.
108
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
c. Forward Currency Contracts – As foreign securities are purchased, a Fund generally enters into forward currency exchange contracts in order to hedge against foreign currency exchange rate risks. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. A Fund may also enter into forward currency contracts as an investment strategy consistent with that Fund’s investment objective. Realized gains and losses from contract transactions are included as a component of net realized gains (losses) from investments and foreign currency in the Statements of Operations.
d. Options – Monthly Distribution and Dynamic Macro are subject to stock market risk in the normal course of pursuing their investment objectives and may purchase or sell options to help hedge against this risk.
A Fund may write call options only if it (i) owns an offsetting position in the underlying security or (ii) has an absolute or immediate right to acquire that security without additional cash consideration or exchange of other securities held in its portfolio. When a Fund writes an option, there is no taxable event and an amount equal to the premium received is recorded by that Fund as a liability. The liability is thereafter valued to reflect the current value of the option. If the option is not exercised and expires, or if a Fund effects a closing purchase transaction, the Fund realizes a gain (or loss in the case of a closing purchase transaction where the cost to close the transaction exceeds the original premium received), and the liability related to the option is extinguished. Any such gain or loss generally is a short-term capital gain or loss for federal income tax purposes. If a call option that a Fund has written on any equity security is exercised, that Fund will realizes a capital gain or loss (long-term or short-term, depending on the holding period of the underlying security) from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. If a put option that a Fund has written on an equity security is exercised, the amount of the premium originally received reduces the cost of the security that a Fund purchases upon exercise of the option. When a Fund writes a put option, that Fund must deposit cash or liquid securities into a segregated account equal to the put option’s exercise value (number of shares times strike price).
A Fund may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in that Fund’s portfolio. If such a decline occurs, the put options will permit that Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by that Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to that Fund. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to that Fund, the benefits realized by that Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities.
e. Swap Agreements – Monthly Distribution is subject to stock market risk in the normal course of pursuing its investment objectives. The Fund may enter into various swap transactions for investment purposes to manage equity risk. These are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments. The gross returns to be exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund amortizes upfront payments and/or accrues for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of its current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statements of Assets and Liabilities. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the contract’s remaining life, to the extent that that amount is positive.
f. Futures Contracts – International Opportunity Bond and Dynamic Macro are subject to equity interest rate risk and forward currency exchange rate risk in the normal course of pursuing their investment objectives. The Funds may purchase or sell futures contracts to gain exposure to, or hedge against, changes in the value of equities and interest rates. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Fund’s agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, the Funds recognize a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. If the Funds were unable to liquidate a futures
109
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
contract and/or enter into an offsetting closing transaction, the Funds would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. The Funds segregate cash having a value at least equal to the amount of the current obligation under any open futures contract. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. With futures, there is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
The notional value of the derivative instruments outstanding as of October 31, 2015 as disclosed in the Schedule of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within the Statement of Operations serve as indicators of the volume of derivative activity for the Funds.
g. Short Sales – A "short sale" is a transaction in which a Fund sells a security it does not own but has borrowed in anticipation that the market price of that security will decline. The Fund would be obligated to replace the security borrowed by purchasing it on the open market at a later date. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will incur a loss. Conversely, if the price declines, the Fund will realize a gain.
h. Impact of Derivatives on the Statements of Assets and Liabilities and Statements of Operations – The following is a summary of the location of derivative investments of each Fund in the Statement of Assets and Liabilities as of October 31, 2015:
Location on the Statements of Assets and Liabilities | |||
Derivates Investment Type | Asset Derivatives | Liability Derivatives | |
Equity/Currency/Commodity | Investment securites | Options contracts written | |
Interest rate contracts | Unrealized appreciation on Swap Contracts | Unrealized depreciation on Swap Contracts | |
Unrealized appreciation on futures | Unrealized depreciation on futures | ||
Receivable for open forward foreign currency contracts | Payable for open forward foreign currency contracts | ||
The following table sets forth the fair value of each Fund’s derivative contracts by primary risk exposure as of October 31, 2015:
Asset Derivatives Investment value | |||||
Equity Contracts | Currency Contracts | Commodity Contracts | Interest Rate Contracts | Total value at October 31, 2015 | |
Monthly Distribution | |||||
Forward Foreign Currency Contracts | $ - | $ 300,429 | $ - | $ - | $ 300,429 |
Swaps | 6,221,960 | - | - | - | 6,221,960 |
Purchased Options | 2,349,433 | - | - | - | 2,349,433 |
International Opportunity Bond | |||||
Forward Foreign Currency Contracts | $ - | $ 119,231 | $ - | $ - | $ 119,231 |
Futures | 11,208 | - | - | 10,492 | 21,700 |
Dynamic Macro | |||||
Futures | $ 616,527 | $ - | $ - | $ 21,894 | $ 638,421 |
Purchase Options | 55,387 | - | - | 1,790,579 | 1,845,966 |
International Stock | |||||
Forward Foreign Currency Contracts | $ - | $ 453,743 | $ - | $ - | $ 453,743 |
110
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
The following is a summary of the location of derivative investments of each Fund in the Statements of Assets and Liabilities for the year ended October 31, 2015.
Liability Derivatives Investment value | |||||
Equity Contracts | Currency Contracts | Commodity Contracts | Interest Rate Contracts | Total value at October 31, 2015 | |
Monthly Distribution | |||||
Forward Foreign Currency Contracts | $ - | $ 149,141 | $ - | $ - | $ 149,141 |
Swaps | 5,938,332 | - | - | - | 5,938,332 |
Written Options | 10,953,077 | - | - | - | 10,953,077 |
International Opportunity Bond | |||||
Forward Foreign Currency Contracts | $ - | $ 57,701 | $ - | $ - | $ 57,701 |
Futures | - | 3,919 | - | 27,706 | 31,625 |
Dynamic Macro | |||||
Futures | $ 121,553 | $ - | $ - | $ 176,284 | $ 297,837 |
Written Options | 7,243 | - | - | - | 7,243 |
International Stock | |||||
Forward Foreign Currency Contracts | $ - | $ 197,615 | $ - | $ - | $ 197,615 |
Derivative Investment Type | Location of Gain (Loss) on Derivatives | |
Equity/Currency/Commodity/ | Net Realized gain (loss) from: Futures, Options purchased, Written options, Swap contracts, Foreign currency exchange contracts | |
Interest rate contracts | ||
Net change in unrealized appreciation (depreciation) on: Futures, Options purchased, Written options, Swap contracts, Foreign currency exchange contracts | ||
The following is a summary of each Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the year ended October 31, 2015:
111
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
Realized gain/(loss) on derivatives recognized in the Statements of Operations | |||||
Derivative Investment type | Equity Contracts | Currency Contracts | Commodity Contracts | Interest Rate Contracts | Total value at October 31, 2015 |
Monthly Distribution | |||||
Forward Foreign Currency Contracts | $ - | $ 2,985,045 | $ - | $ - | $ 2,985,045 |
Swaps | (519,615) | - | - | - | (519,615) |
Purchased Options | (3,751,944) | - | - | - | (3,751,944) |
Written Options | 12,788,109 | - | - | - | 12,788,109 |
International Opportunity Bond | |||||
Forward Foreign Currency Contracts | $ - | $ (45,046) | $ - | $ - | $ (45,046) |
Futures | - | - | (139,729) | (139,729) | |
Dynamic Macro | |||||
Forward Foreign Currency Contracts | $ - | $ 453 | $ - | $ - | $ 453 |
Futures | (194,643) | - | (12,373) | 433,810 | 226,794 |
Purchased Options | (609,094) | - | - | 259,742 | (349,352) |
Written Options | 61,129 | - | - | - | 61,129 |
International Stock | |||||
Forward Foreign Currency Contracts | $ - | $ 13,006 | $ - | $ - | $ 13,006 |
Emerging Markets Stock | |||||
Forward Foreign Currency Contracts | $ - | $ (160,906) | $ - | $ - | $ (160,906) |
112
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
i. Offsetting of Financial Assets and Derivative Assets – Monthly Distribution, International Opportunity Bond, Dynamic Macro and International Stock policies are to recognize a net asset or liability equal to the unrealized on futures contracts, forward foreign currency contracts, swaps and written options. During the year ended October 31, 2015, 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, 2015.
Monthly Distribution | |||||||||||
Assets: | Gross Amounts Not Offset in the Statement of Assets & Liabilities | ||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets & Liabilities | Net Amounts of Assets Presented in the Statement of Assets & Liabilities | Financial Instruments | Cash Collateral Received | Net Amount | |||||
Equity Swap Contracts | $ 6,221,960 | $ - | $ 6,221,960 | $ (5,938,332) | $ - | $ 283,628 | |||||
Forward Foreign Currency Contracts | 300,429 | - | 300,429 | (149,141) | - | 151,288 | |||||
Total | $ 6,522,389 | $ - | $ 6,522,389 | $ (6,087,473) | $ - | $ 434,916 | |||||
Liabilities: | Gross Amounts Not Offset in the Statement of Assets & Liabilities | ||||||||||
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets & Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets & Liabilities | Financial Instruments | Cash Collateral Pledged (1) | Net Amount | |||||
Written Options | (10,953,077) | - | (10,953,077) | 10,953,077 | - | - | |||||
Equity Swap Contracts | (5,938,332) | - | (5,938,332) | 5,938,332 | - | - | |||||
Forward Foreign Currency Contracts | (149,141) | - | (149,141) | 149,141 | - | - | |||||
Total | $ (17,040,550) | $ - | $ (17,040,550) | $ 17,040,550 | $ - | $ - |
(1) The amount is limited to the derivative liability balance and accordingly, does not include excess collateral pledged.
113
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
Dynamic Macro | |||||||||||
Assets: | Gross Amounts Not Offset in the Statement of Assets & Liabilities | ||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets & Liabilities | Net Amounts of Assets Presented in the Statement of Assets & Liabilities | Financial Instruments | Cash Collateral Pledged | Net Amount | |||||
Futures Contracts | $ 638,421 | $ - | $ 638,421 | $ (297,837) | $ - | $ 340,584 | |||||
Total | $ 638,421 | $ - | $ 638,421 | $ (297,837) | $ - | $ 340,584 | |||||
Liabilities: | Gross Amounts Not Offset in the Statement of Assets & Liabilities | ||||||||||
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets & Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets & Liabilities | Financial Instruments | Cash Collateral Pledged (1) | Net Amount | |||||
Futures Contracts | $ (297,837) | $ - | $ (297,837) | $ 297,837 | $ - | $ - | |||||
Written Options | (7,243) | - | $ (7,243) | - | 7,243 | - | |||||
Total | $ (305,080) | $ - | $ (305,080) | $ 297,837 | $ 7,243 | $ - |
(1) The amount is limited to the derivative liability balance and accordingly, does not include excess collateral pledged.
j. Exchange Traded Funds – The Funds may invest in exchange traded funds (“ETFs”). ETFs are a type of index fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities designed to track the performance and dividend yield of a particular domestic or foreign market index. A Fund may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market while awaiting purchase of underlying securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.
k. Investment Transactions, Investment Income and Expenses – Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions and foreign exchange transactions are calculated using the identified
114
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
cost method. Dividend income and expense is recorded on the ex-dividend date (“ex-date”) except in the case of certain dividends from foreign securities, which are recorded as soon after the ex-date as the respective Fund, using reasonable diligence, becomes aware of such dividends. Interest income is recorded on an accrual basis. Discounts are accreted and premiums are amortized as adjustments to interest income and the identified cost of investments. Expenses of the Trust that are directly identifiable to a specific fund are charged to that fund. Expenses, which are not readily identifiable to a specific fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the funds. Each Fund’s income, expenses (other than the class specific distribution fees) and realized and unrealized gains and losses are allocated proportionally each day between the classes based upon the relative net assets of each class.
l. Concentration of Risk – Investing in securities of foreign issuers and currency transactions may involve certain considerations and risks not typically associated with investments in the United States. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region. These conditions could cause the securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. government securities.
Small capitalization (“small cap”) companies may be more vulnerable than larger capitalization companies to adverse business or economic developments. Small cap companies may also have limited product lines, markets or financial resources, and may be dependent on a relatively small management group. Securities of such companies may be less liquid and more volatile than securities of larger capitalization companies or the market averages in general and therefore may involve greater risk than investing in larger capitalization companies.
The ability of issuers of debt securities held by the Funds to meet their obligations may be affected by economic and political developments particular to a specific industry, country, state or region. Investments in lower grade debt securities are subject to special risks, including greater price volatility and a greater risk of loss of principal and interest.
Certain Funds may invest in collateralized mortgage obligations which are secured by groups of individual mortgages, but are similar to a conventional bond where the investor looks only to the issuer for payment of principal and interest. Although the obligations are recourse obligations to the issuer, the issuer typically has no significant assets, other than assets pledged as collateral for the obligations, and the market value of the collateral, which is sensitive to interest rate movements, may affect the market value of the obligations. A public market for a particular collateralized mortgage obligation may or may not develop and thus, there can be no guarantee of liquidity of an investment in such obligations.
The risk in writing a call option is that a Fund may forgo the opportunity of profit if the market value of the underlying security increases and the option is exercised, although any potential loss is reduced by the amount of option premium received. The risk in writing a put option is that a Fund may be called on to pay the exercise price of the option for a security that has decreased (potentially to zero) in market price, although any potential loss is reduced by the amount of option premium received. Generally, option transactions also involve risks concerning liquidity of the options market. An illiquid market for an option may limit a Fund’s ability to write options or enter closing transactions. As the options written by the Funds are traded on a national exchange, counterparty and credit risk are limited to the failure of the exchange on which the options are traded.
m. Federal Income Taxes – It is each Fund’s policy to continue to comply with all sections of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income and gains, if any, to its shareholders and therefore, no provision for federal income tax has been made. Each Fund is treated as a separate taxpayer for federal income tax purposes. The Funds recognize the tax benefits of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed the tax positions in the open tax years of 2012 to 2014 (and July 31, 2013 for Alternative Strategy), and expected to be taken in tax year 2015 and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken in the above open tax years. The Funds identify their major tax jurisdictions as U.S. Federal. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties. Generally tax authorities can examine tax returns filed for the last three years.
n. Distributions to Shareholders – It is each Fund’s policy to distribute its respective net investment income and net capital gains, if any, annually except for Monthly Distribution, Corporate/Government Bond, High-Yield Bond, Floating Rate Bond and International Opportunity Bond which will distribute their respective net investment income, if any, monthly. For Dynamic Macro 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. The Monthly Distribution Fund’s distribution policy is to make twelve monthly distributions to shareholders. The level of monthly distributions (including any return of capital) is not fixed but is expected to be at or near the level of the prime interest rate (“Prime Rate”). Additionally, the Monthly Distribution Fund’s distribution policy is not designed
115
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
to generate, and is not expected to result in distributions that equal a fixed percentage of the Monthly Distribution’s Fund’s current net asset value per share. Shareholders receiving periodic payments form the Monthly Distribution Fund may be under the impression that they are receiving net profits. However, all or a portion of a distribution may consist of a return of capital. Shareholders should not assume that the source of a distribution from the Monthly Distribution is net profit.
o. Indemnification – The Trust indemnifies its officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, each Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnities. A Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss due to these warranties and indemnities to be remote.
3. INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
a. | Management Fees – Dunham & Associates serves as each Fund’s investment adviser. Pursuant to an investment advisory agreement with the Trust, on behalf of the Funds, Dunham & Associates, subject to the supervision of the Board and in conformity with the stated policies of the Funds, manages the operations of the Funds. The Adviser, subject to the review and approval of the Board, selects Sub-Advisers for each Fund and supervises and monitors the performance of each Sub-Adviser. As compensation for its services, each Fund pays the Adviser a fixed fee, accrued daily and paid monthly, based on each Fund’s respective average daily net assets. The Adviser has entered into a Sub-Advisory Agreement with each Sub-Adviser and the Trust, on behalf of each Fund. Under the Sub-Advisory Agreements, each Fund pays the Sub-Adviser a “Fulcrum Fee.” A Fulcrum Fee is a performance fee whereby the Sub-Adviser is rewarded when out-performing, or is penalized when under-performing, a Fund’s benchmark index. 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. |
|
Management Fee | Adviser’s Portion | Sub-Adviser’s 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% – 1.35% | 0.65% | 0.30% – 0.70% |
Appreciation & Income | 0.85% – 1.35% | 0.65% | 0.20% – 0.70% |
Large Cap Value **** | 0.75% – 1.35% | 0.65% | 0.10% – 0.50% |
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% |
International Stock | 0.95% – 1.65% | 0.65% | 0.30% – 1.00% |
Real Estate Stock | 0.75% – 1.35% | 0.65% | 0.10% – 0.70% |
Small Cap Value | 0.75% – 1.45% | 0.65% | 0.10% – 0.80% |
Emerging Markets Stock | 0.75% – 1.55% | 0.65% | 0.10% – 0.90% |
Small Cap Growth | 0.65% – 1.65% | 0.65% | 0.00% – 1.00% |
* | Effective April 1, 2013, the Sub-Adviser had contractually agreed to waive a portion of its fee (excluding 12b-1 fees) until at least February 29, 2016, 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. |
*** Effective April 1, 2015, the Sub-Adviser had contractually agreed to reduce its base Sub-Advisory fee by 0.15%, from 0.65% to 0.50% annually as of April 1, 2015 until April 30, 2016.
**** Effective July 1, 2015, Rothschild Asset Management Inc. (“Rothschild” or “Sub-Adviser”) replaced C.S. McKee, L.P. (“C.S. McKee”) as sub-adviser to the Dunham Large Cap Value Fund.
Each Fund’s Sub-Advisory Fulcrum Fee is calculated daily using an annual base Sub-Advisory fee of a specified amount of the average daily net assets of the Fund (the “Base Fee”), adjusted by the Fund’s Class N share performance relative to the Fund’s benchmark (the “Performance Fee”). Depending on a Fund’s net performance versus its benchmark, the Sub-Adviser will receive a fee adjustment in accordance with a formula that equates a percentage of out- or under-performance to a percentage of fee increases or decreases, respectively. In addition, most Fulcrum Fees employ a “null zone” around the base fee, whereby small differences in performance versus the benchmark will not trigger a fee increase or decrease. During the first 12 months of the Fulcrum Fee arrangement, the Performance Fee is calculated daily from inception date of the agreement to the calculation date and is applied to the average daily net assets of the Funds during the calculation period. After the initial 12 months, the Performance Fee is calculated on a daily basis based
116
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
on comparative performance over a rolling 12-month period. All Funds, with the exception of Large Cap Value which is in its initial year of the Fulcrum Fee arrangement, are calculating Performance Fees on a rolling 12-month basis as of April 30, 2015.
Depending on the particular Sub-Advisory Agreement, the Performance Fee can adjust the Base Fee up or down by as much as 100% of the Base Fee, such that the Sub-Advisory fee can vary anywhere from 0.00% (the “Minimum Fee”) to twice the Base Fee (the “Maximum Fee”). However, because each such Sub-Advisory Agreement requires that the Sub-Adviser only be paid out the monthly Minimum Fee during the first year (in most cases, 0.10%), the Sub-Adviser, in most cases, will receive less compensation until the end of the first year. At the end of the first year of the agreement, the Sub-Adviser will be paid a lump sum that reflects the accrued Fulcrum Fee over the year, less any Minimum Fees paid out during the first year. Therefore, in the first year, the Fulcrum Fee methodology has three elements: 1) daily calculation of the Performance Fee and daily accrual of the Fulcrum Fee; 2) monthly payment of the Minimum Fee only (if any); and 3) a lump sum payment at the end of the initial 12-month period of the accrued Fulcrum Fee less the Minimum Fee.
By virtue of using average daily net assets over a “rolling” 12-month period for purposes of calculating the Performance Fee while using average daily net assets for the most recent month for purposes of calculating the Base Fee, the actual total Fulcrum Fee paid by the Fund to the Sub-Adviser may be higher or lower than the maximum or minimum annual rates described above if the average daily net assets do not remain constant during the rolling 12-month period. If the Fund is significantly underperforming versus the Index and the Fund’s net assets have declined significantly, the monthly total Fulcrum Fee can be a negative number (although the performance fee rate can never be negative, the Performance Fee can be negative). In such instances, if the negative Fulcrum Fee is not earned back or offset the following month, the Sub-Adviser must reimburse the Fund the amount of the negative Fulcrum Fee within an agreed upon time. Likewise, in the case where the Fund has significantly underperformed versus the Index but net assets have increased significantly, the monthly total Fulcrum Fee can be positive although the performance fee rate may be 0.00%. In such instances, the Fund will pay the Sub-Adviser the monthly Fulcrum Fee.
The table below lists the current Sub-Advisers along with their Fulcrum Fee arrangements.
Fund |
Sub-Adviser |
Benchmark |
Base Fee |
Null Zone |
Minimum Fee |
Maximum Fee |
Corporate/Government Bond | Newfleet Asset Management, LLC | Barclays Aggregate Bond Index | 0.30% | +/- 0.10% | 0.15% | 0.45% |
Monthly Distribution* | Westchester Capital Management, LLC | IQ Hedge Market Neutral Beta Index | 0.75% | +/- 0.15% | 0.25% | 1.25% |
Floating Rate Bond | Newfleet Asset Management, LLC | S&P/LSTA Leveraged Loan Index | 0.40% | +/- 0.00% | 0.20% | 0.60% |
High-Yield Bond | PENN Capital Management Co., Inc. | BofA Merrill Lynch U.S. Non-Distressed BB-B High-Yield Index | 0.40% | +/- 0.20% | 0.20% | 0.60% |
International Opportunity Bond | Rogge Global Partners PLC | Barclays Global ex US Aggregate Bond Index | 0.45% | +/-0.00% | 0.20% | 0.70% |
Dynamic Macro ** | Mellon Capital Management Corporation | IQ Hedge Global Macro Beta Index | 0.75% | +/- 0.00% | 0.40% | 1.10% |
Alternative Strategy *** | Market Concepts, LLC | Dow Jones Credit Suisse Managed Futures Liquid Index | 0.50% | +/- 0.15% | 0.30% | 0.70% |
Appreciation & Income | PENN Capital Management Co., Inc. | Merrill Lynch All Convertibles All Qualities Index | 0.45% | +/- 0.25% | 0.20% | 0.70% |
Large Cap Value **** | Rothschild Asset Management, Inc. | Russell 1000 Value Index | 0.30% | +/- 0.00% | 0.10% | 0.50% |
Alternative Income | Harbor Springs Financial Management, LLC | Dow Jones US Select Dividend Index | 0.40% | +/- 0.30% | 0.10% | 0.70% |
Focused Large Cap Growth | The Ithaka Group, LLC | Russell 1000 Growth Index | 0.35% | +/- 0.30% | 0.20% | 0.50% |
International Stock | Arrowstreet Capital L.P. | MSCI All Country World Index ex USA (Net) | 0.65% | +/- 0.20% | 0.30% | 1.00% |
Real Estate Stock | Cornerstone Real Estate Advisers LLC | FTSE NAREIT All REITs Index | 0.40% | +/- 0.00% | 0.10% | 0.70% |
Small Cap Value | Piermont Capital Management, LLC | Russell 2000 Value Index | 0.45% | +/- 0.00% | 0.10% | 0.80% |
Emerging Markets Stock | Bailard, Inc. | MSCI Emerging Markets Index USD (Net) | 0.50% | +/- 0.00% | 0.10% | 0.90% |
117
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
Small Cap Growth | Pier Capital, LLC | Russell 2000 Growth Index | 0.50% | +/- 0.20% | 0.00% | 1.00% |
* | Effective April 1, 2013, the Sub-Adviser had contractually agreed to waive a portion of its fee (excluding 12b-1 fees) until at least February 29, 2016, so 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. |
*** Effective April 1, 2015, the Sub-Adviser had contractually agreed to reduce its base Sub-Advisory fee by 0.15%, from 0.65% to 0.50% annually as of April 1, 2015 until April 30, 2016.
**** Effective July 1, 2015, Rothschild Asset Management Inc. (“Rothschild” or “Sub-Adviser”) replaced C.S. McKee, L.P. (“C.S. McKee”) as sub-adviser to the Dunham Large Cap Value Fund (the “Fund”).
b. Administration, Fund Accounting and Transfer Agency Fees – Gemini Fund Services, LLC (“GFS” or the “Administrator”) serves as the administrator, fund accountant and transfer agent for the Funds. GFS receives from each Fund a monthly fee based on the combined average daily net assets at the following annual rates: 0.07% on the first $250 million of average net assets; 0.06% on average net assets between $250 million and $500 million; 0.05% on average net assets over $500 million; 0.3% on average net assets over $1 billion. Such fees are subject to 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.
Pursuant to the terms of a Custody Administration Agreement, Monthly Distribution pays GFS a monthly fee of $300.
Blu Giant, LLC, (“Blu Giant”), (formally “Gemcom”), an affiliate of GFS, provides EDGAR conversion and filing services as well as some print management services for the Funds on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Funds.
An officer of GFS is also an officer of the Trust.
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 who is not an interested person of the trust will receive $4,250 for each Board meeting attended in-person; $250 for all telephonic Board meetings; $500 for in-person committee meetings and $250 for telephonic committee meetings, unless the committee meeting is on the same day as a Board meeting, in which case the Trustee will not be compensated. The Funds also reimburse each such Trustee for travel and other expenses incurred in attending meetings of the Board.
With the exception of the Trust’s Chief Compliance Officer as discussed below, officers of the Trust and Trustees who are interested persons of the Trust do not receive any compensation from the Trust or any other Funds managed by the Adviser. The Trust has agreed to pay the Adviser a fee in the amount of $135,000 per annum plus an annual discretionary bonus as may be awarded as compensation for providing an officer or employee of the Adviser to serve as Chief Compliance Officer for the Funds (each Fund bearing its pro rata share of the fee), plus the cost of reasonable expenses related to the performance of the Chief Compliance Officer’s duties, including travel expenses, and may compensate the Adviser for the time of other officers or employees of the Adviser who serve in other compliance capacities for the Funds.
e. Other Affiliates–During the year ended October 31, 2015, Bethel Fisher & Co., a registered broker/dealer and an affiliate of Harbor Springs Financial Management, LLC, Alternative Income’s Sub-Adviser, executed trades on behalf of Alternative Income. The affiliated broker for Alternative Income received $6,597 in trade commissions for the year ended October 31, 2015. Gar Wood Securities, LLC a registered broker/dealer and an affiliate of the Market Concepts, LLC, Alternative Strategy’s Sub-Adviser, executed trades on behalf of Alternative Strategy. The affiliated broker for Alternative Strategy received $233,746 in trade commissions for the year ended October 31, 2015.
118
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
4. INVESTMENT TRANSACTIONS
The cost of purchases and the proceeds from sales of investments, other than short-term investments, for the year ended October 31, 2015 were as follows:
Fund |
Purchases (excluding U.S. Government Securities) | Sale Proceeds (excluding U.S. Government Securities) |
Purchases of U.S. Government Securities |
Proceeds of U.S. Government Securities | ||||
Corporate/Government Bond | $18,266,210 | $16,124,833 | $12,913,255 | $11,881,601 | ||||
Monthly Distribution | 498,639,330 | 409,495,867 | - | - | ||||
Floating Rate Bond | 50,142,586 | 41,309,604 | - | - | ||||
High-Yield Bond | 56,007,747 | 84,862,009 | - | - | ||||
International Opportunity Bond | 23,782,947 | 29,385,143 | - | - | ||||
Dynamic Macro | 14,118,646 | 6,314,027 | - | - | ||||
Alternative Strategy | 684,096,628 | 677,030,243 | - | - | ||||
Appreciation & Income | 25,041,529 | 22,426,125 | - | - | ||||
Large Cap Value | 55,325,322 | 54,427,611 | - | - | ||||
Alternative Income | 4,654,124 | 4,648,030 | - | - | ||||
Focused Large Cap Growth | 27,173,326 | 31,067,756 | - | - | ||||
International Stock | 120,670,034 | 96,291,853 | - | - | ||||
Real Estate Stock | 54,060,542 | 53,632,415 | - | - | ||||
Small Cap Value | 34,698,484 | 35,523,921 | - | - | ||||
Emerging Markets Stock | 75,186,142 | 60,209,774 | - | - | ||||
Small Cap Growth | 44,085,821 | 44,791,966 | - | - |
Transactions in option contracts purchased/written during the year ended October 31, 2015 were as follows:
Monthly Distribution
Options Purchased | Options Written | |||
Contracts | Premium | Contracts | Premium | |
Outstanding at October 31, 2014 | 22,879 | $ 5,470,610 | 42,957 | $ 6,382,121 |
Options purchased/written during period | 148,098 | 19,108,126 | 234,315 | 50,809,392 |
Options exercised during period | (4,594) | (1,419,990) | (22,162) | (4,285,616) |
Options expired during period | (66,737) | (5,205,246) | (43,292) | (4,149,794) |
Options closed during period | (70,319) | (14,406,608) | (169,793) | (40,185,276) |
Outstanding at October 31, 2015 | 29,327 | $ 3,546,892 | 42,025 | $ 8,570,827 |
Dynamic Macro
Options Purchased | Options Written | |||
Contracts | Premium | Contracts | Premium | |
Outstanding at October 31, 2014 | 101 | $ 532,416 | - | $ - |
Options purchased/written during period | 1,786 | 7,369,014 | 446 | 158,009 |
Options exercised during period | - | - | - | - |
Options expired during period | (471) | (395,317) | (180) | (39,574) |
Options closed during period | (1,065) | (5,622,674) | (196) | (99,732) |
Outstanding at October 31, 2015 | 351 | $ 1,883,439 | 70 | $ 18,703 |
119
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
5. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS
The identified cost of investments in securities owned by each Fund for federal income tax purposes, and its respective gross unrealized appreciation and depreciation at October 31, 2015, were as follows:
Gross | Gross | Net Unrealized | ||||||
Tax | Unrealized | Unrealized | Appreciation | |||||
Fund | Cost | Appreciation | Depreciation | (Depreciation) | ||||
Corporate/Government Bond | $ 51,211,949 | $ 892,011 | $ (854,661) | $ 37,350 | ||||
Monthly Distribution | 258,609,463 | 14,388,663 | (35,209,449) | (20,820,786) | ||||
Floating Rate Bond | 89,272,641 | 203,531 | (2,597,638) | (2,394,107) | ||||
High-Yield Bond | 111,739,479 | 1,374,222 | (3,175,362) | (1,801,140) | ||||
International Opportunity Bond | 38,963,131 | 142,690 | (2,979,318) | (2,836,628) | ||||
Dynamic Macro | 33,555,637 | 913,067 | (310,842) | 602,225 | ||||
Alternative Strategy | 31,465,572 | 547,603 | (252,980) | 294,623 | ||||
Appreciation & Income | 32,350,921 | 740,214 | (2,213,133) | (1,472,919) | ||||
Large Cap Value | 61,271,084 | 7,021,842 | (2,265,263) | 4,756,579 | ||||
Alternative Income | 8,641,840 | 657,038 | (773,125) | (116,087) | ||||
Focused Large Cap Growth | 65,243,116 | 16,744,803 | (2,081,801) | 14,663,002 | ||||
International Stock | 93,018,493 | 5,519,635 | (4,713,817) | 805,818 | ||||
Real Estate Stock | 46,175,629 | 7,940,423 | (1,120,451) | 6,819,972 | ||||
Small Cap Value | 31,679,255 | 2,495,698 | (1,849,434) | 646,264 | ||||
Emerging Markets Stock | 51,687,656 | 2,492,971 | (3,384,780) | (891,809) | ||||
Small Cap Growth | 39,055,785 | 3,716,291 | (1,820,145) | 1,896,146 |
6. | FORWARD FOREIGN CURRENCY CONTRACTS |
At October 31, 2015, Monthly Distribution, International Opportunity Bond, Dynamic Macro and International Stock had the following open forward foreign currency contracts:
Monthly Distribution: | Unrealized | ||||
Settlement | Local | U.S. Dollar | Appreciation | ||
Foreign Currency | Date | Counterparty | Currency | Value | (Depreciation) |
To Buy: | |||||
Australian Dollar | 1/7/2016 | JP Morgan | 645,529 | $ 458,899 | $ (1,206) |
Australian Dollar | 2/10/2016 | JP Morgan | 8,790 | 6,218 | 113 |
British Pound | 3/23/2016 | JP Morgan | 3,548 | 5,460 | (20) |
Euro | 11/18/2015 | JP Morgan | 78,250 | 86,536 | 203 |
Euro | 12/10/2015 | JP Morgan | 144,646 | 160,032 | (3,334) |
Euro | 12/16/2015 | JP Morgan | 154,273 | 170,709 | (3,006) |
Euro | 1/20/2016 | JP Morgan | 2,108,306 | 2,334,863 | (67,654) |
Euro | 4/21/2016 | JP Morgan | 839,280 | 931,487 | (23,864) |
$ 4,154,204 | $ (98,768) |
120
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
Monthly Distribution: | Unrealized | ||||
Settlement | Local | U.S. Dollar | Appreciation | ||
Foreign Currency | Date | Counterparty | Currency | Value | (Depreciation) |
To Sell: | |||||
Australian Dollar | 1/7/2016 | JP Morgan | 2,996,337 | 2,122,905 | 27,467 |
Australian Dollar | 2/10/2016 | JP Morgan | 459,094 | 324,767 | 9,476 |
British Pound | 12/4/2015 | JP Morgan | 984,513 | $ 1,515,426 | $ 7,751 |
British Pound | 2/23/2016 | JP Morgan | 1,019,934 | 1,569,651 | (2,990) |
British Pound | 3/23/2016 | JP Morgan | 1,814,066 | 2,791,614 | (36,651) |
British Pound | 4/21/2016 | JP Morgan | 2,049,846 | 3,154,240 | 22,800 |
Euro | 11/18/2015 | JP Morgan | 751,188 | 830,733 | 22,053 |
Euro | 12/10/2015 | JP Morgan | 4,005,086 | 4,431,103 | 103,522 |
Euro | 12/16/2015 | JP Morgan | 4,661,469 | 5,158,088 | 76,491 |
Euro | 1/20/2016 | JP Morgan | 2,108,379 | 2,334,786 | (10,416) |
Euro | 4/21/2016 | JP Morgan | 1,718,456 | 1,907,252 | 30,553 |
$ 26,140,565 | $ 250,056 |
International Opportunity Bond: | Unrealized | ||||
Settlement | Local | U.S. Dollar | Appreciation | ||
Foreign Currency | Date | Counterparty | Currency | Value | (Depreciation) |
To Buy | |||||
Australian Dollar | 12/14/2015 | Credit Suisse | 1,132,626 | $ 803,430 | $ 2,573 |
British Pound | 12/14/2015 | Barclays Bank | 178,468 | 274,706 | 1,934 |
Canadian Dollar | 12/14/2015 | Credit Suisse | 567,831 | 431,779 | (1,369) |
Indian Rupee | 12/9/2015 | Citigroup | 51,960,000 | 789,659 | 14,610 |
Israeli Shekel | 12/9/2015 | Deutsche Bank | 530,000 | 137,213 | 1,358 |
Japanese Yen | 12/14/2015 | Barclays Bank | 146,074,279 | 1,213,523 | (3,347) |
Japanese Yen | 12/14/2015 | Credit Suisse | 37,985,608 | 315,568 | (2,395) |
Japanese Yen | 12/14/2015 | Deutsche Bank | 193,217,644 | 1,605,169 | (4,414) |
Malaysian Ringgit | 12/9/2015 | Deutsche Bank | 680,000 | 158,184 | (3,875) |
Mexican Peso | 12/9/2015 | Barclays Bank | 10,928,020 | 658,576 | 12,905 |
Mexican Peso | 12/9/2015 | Deutsche Bank | 5,232,739 | 315,350 | 3,500 |
New Zealand Dollar | 12/14/2015 | Barclays Bank | 140,863 | 94,766 | 3,479 |
Philippine Peso | 12/9/2015 | Citigroup | 35,121,000 | 749,664 | (2,391) |
Russian Ruble | 12/9/2015 | Barclays Bank | 3,760,000 | 58,160 | 6,195 |
Singapore Dollar | 12/9/2015 | Barclays Bank | 120,000 | 85,591 | 310 |
Singapore Dollar | 12/9/2015 | Deutsche Bank | 40,000 | 28,531 | 95 |
South African Rand | 12/9/2015 | Barclays Bank | 70,000 | 5,023 | (201) |
South African Rand | 12/9/2015 | Credit Suisse | 1,930,000 | 138,488 | (5,551) |
South Korean Won | 12/9/2015 | Deutsche Bank | 144,995,000 | 126,974 | 3,657 |
Turkish Lira New | 12/9/2015 | Deutsche Bank | 410,000 | 139,114 | 3,800 |
$ 8,129,468 | $ 30,873 |
International Opportunity Bond: | Unrealized | ||||
Settlement | Local | U.S. Dollar | Appreciation | ||
Foreign Currency | Date | Counterparty | Currency | Value | (Depreciation) |
To Sell: | |||||
British Pound | 12/14/2015 | Barclays Bank | 60,000 | $ 92,355 | $ (524) |
British Pound | 12/14/2015 | Deutsche Bank | 80,000 | 123,140 | (1,930) |
Euro | 12/14/2015 | Barclays Bank | 1,596,947 | 1,766,992 | 31,717 |
Euro | 12/14/2015 | Credit Suisse | 403,226 | 446,162 | 3,963 |
Euro | 12/14/2015 | Deutsche Bank | 1,231,399 | 1,362,520 | 20,264 |
Indian Rupee | 12/9/2015 | Citigroup | 51,960,000 | 789,659 | 2,838 |
Israeli Shekel | 12/9/2015 | Barclays Bank | 110,000 | 28,478 | (301) |
Japanese Yen | 12/14/2015 | Barclays Bank | 10,400,000 | 86,399 | (522) |
Mexican Peso | 12/9/2015 | Barclays Bank | 5,600,201 | 337,495 | (10,092) |
Mexican Peso | 12/9/2015 | Deutsche Bank | 7,122,315 | 429,225 | (15,291) |
South Korean Won | 12/9/2015 | Barclays Bank | 97,650,000 | 85,513 | (3,032) |
Taiwan Dollar | 12/9/2015 | Citigroup | �� 25,010,000 | 767,425 | 2,469 |
Turkish Lira New | 12/9/2015 | Deutsche Bank | 110,000 | 37,323 | (1,734) |
$ 6,352,686 | $ 27,825 |
121
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
International Stock: | Unrealized | ||||
Settlement | Local | U.S. Dollar | Appreciation | ||
Foreign Currency | Date | Counterparty | Currency | Value | (Depreciation) |
To Buy: | |||||
Australian Dollar | 12/16/2015 | Royal Bank of Scotland | 7,307,376 | $ 5,182,965 | $ 58,186 |
Brazilian Real | 11/3/2015 | US Bank | 351,500 | 91,478 | 437 |
British Pound | 12/16/2015 | Royal Bank of Scotland | 6,075,553 | 9,351,741 | 23,608 |
Canadian Dollar | 12/16/2015 | UBS | 7,043,165 | 5,355,576 | 21,993 |
Danish Krone | 12/16/2015 | UBS | 2,003,312 | 297,376 | (8,366) |
Euro | 11/2/2015 | Bank of New York Mellon | 119,993 | 132,670 | 1,151 |
Euro | 12/16/2015 | Bank of New York Mellon | 4,161,355 | 4,604,693 | (75,639) |
Hong Kong Dollar | 12/16/2015 | UBS | 12,345,324 | 1,593,180 | 470 |
Israeli Shekel | 12/16/2015 | Royal Bank of Scotland | 91,493 | 23,688 | (70) |
Japanese Yen | 12/16/2015 | Bank of New York Mellon | 241,986,250 | 2,010,455 | (15,816) |
New Zealand Dollar | 12/16/2015 | Royal Bank of Scotland | 476,646 | 320,616 | 14,258 |
Norwegian Krone | 12/16/2015 | Royal Bank of Scotland | 918,491 | 108,226 | (3,601) |
Singapore Dollar | 12/16/2015 | UBS | 1,105,806 | 788,537 | 11,753 |
Swedish Krona | 12/16/2015 | UBS | 1,921,441 | 226,635 | (4,116) |
Swiss Franc | 12/16/2015 | UBS | 1,072,378 | 1,089,257 | (32,115) |
$ 31,177,093 | $ (7,867) |
International Stock: | Unrealized | ||||
Settlement | Local | U.S. Dollar | Appreciation | ||
Foreign Currency | Date | Counterparty | Currency | Value | (Depreciation) |
To Sell: | |||||
Australian Dollar | 12/16/2015 | Royal Bank of Scotland | 644,616 | $ 457,212 | $ (5,254) |
Brazil Real | 11/3/2015 | US Bank | 324,504 | 84,452 | (404) |
British Pound | 12/16/2015 | Royal Bank of Scotland | 1,383,977 | 2,130,274 | (10,447) |
Canadian Dollar | 11/2/2015 | UBS | 201,636 | 153,356 | (211) |
Canadian Dollar | 12/16/2015 | UBS | 1,264,903 | 961,824 | (10,629) |
Danish Krone | 12/16/2015 | UBS | 17,530,868 | 2,602,320 | 39,297 |
Danish Krone | 12/16/2015 | UBS | 1,111,970 | 165,063 | (935) |
Euro | 12/16/2015 | Bank of New York Mellon | 8,249,462 | 9,128,335 | 120,175 |
Euro | 12/16/2015 | UBS | 68,028 | 75,276 | 935 |
Hong Kong Dollar | 11/2/2015 | UBS | 1,942,354 | 250,626 | (3) |
Hong Kong Dollar | 12/16/2015 | UBS | 658,877 | 85,029 | (20) |
Israeli Shekel | 12/16/2015 | Royal Bank of Scotland | 3,468,198 | 897,965 | (12,629) |
Japanese Yen | 12/16/2015 | Bank of New York Mellon | 752,330,054 | 6,250,459 | 40,912 |
New Zealand Dollar | 12/16/2015 | Royal Bank of Scotland | 446,058 | 300,041 | (17,360) |
Norwegian Krone | 12/16/2015 | Royal Bank of Scotland | 10,125,863 | 1,193,132 | 46,416 |
Singapore Dollar | 12/16/2015 | UBS | 12,121 | 8,643 | - |
Swedish Krona | 12/16/2015 | Bank of New York Mellon | 11,270,127 | 1,329,318 | 11,710 |
Swedish Krona | 12/16/2015 | UBS | 15,129,101 | 1,784,486 | 21,611 |
Swiss Franc | 12/16/2015 | UBS | 3,395,496 | 3,456,596 | 40,831 |
$ 31,314,407 | $ 263,995 |
122
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
7. SHARES OF BENEFICIAL INTEREST
At October 31, 2015, each Fund had an unlimited number of shares authorized with no par value.
Following is a summary of shareholder transactions for each Fund for the years ended October 31, 2015 and October 31, 2014, respectively:
For the Year Ended October 31, 2015:
Class N Shares | Class A Shares | ||||||||
Fund | Issued | Distributions Reinvested | Redeemed | Net Increase (Decrease) in Shares | Issued | Distributions Reinvested | Redeemed | Net Increase (Decrease) in Shares | |
Corporate/Government Bond | 845,565 | 103,425 | (998,123) | (49,133) | 196,543 | 8,530 | (117,162) | �� 87,911 | |
Monthly Distribution | 1,565,620 | 133,194 | (1,305,539) | 393,275 | 877,718 | 55,831 | (959,070) | (25,521) | |
Floating Rate Bond | 2,743,474 | 235,935 | (1,738,796) | 1,240,613 | 762,696 | 27,014 | (1,278,597) | (488,887) | |
High-Yield Bond | 1,563,647 | 443,465 | (3,951,501) | (1,944,389) | 792,543 | 58,311 | (2,010,978) | (1,160,124) | |
International Opportunity Bond | 1,385,937 | 2,121 | (2,208,993) | (820,935) | 499,486 | 115 | (503,468) | (3,867) | |
Dynamic Macro | 1,956,574 | - | (267,309) | 1,689,265 | 224,440 | - | (67,122) | 157,318 | |
Alternative Strategy | 407,011 | - | (164,945) | 242,066 | 88,643 | - | (100,328) | (11,685) | |
Appreciation & Income | 708,844 | 362,827 | (471,083) | 600,588 | 175,495 | 65,318 | (174,098) | 66,715 | |
Large Cap Value | 620,117 | 19,465 | (491,285) | 148,297 | 166,148 | 2,513 | (239,724) | (71,063) | |
Alternative Income | 113,565 | 7,349 | (157,679) | (36,765) | 20,645 | 4,600 | (20,095) | 5,150 | |
Focused Large Cap Growth | 1,177,969 | - | (625,830) | 552,139 | 626,283 | - | (1,443,105) | (816,822) | |
International Stock | 2,084,717 | 92,841 | (543,221) | 1,634,337 | 302,319 | 10,011 | (195,629) | 116,701 | |
Real Estate Stock | 525,476 | 100,754 | (817,583) | (191,353) | 476,856 | 27,523 | (167,669) | 336,710 | |
Small Cap Value | 348,595 | 101,946 | (443,428) | 7,113 | 96,740 | 13,178 | (54,638) | 55,280 | |
Emerging Markets Stock | 1,440,620 | 33,977 | (327,502) | 1,147,095 | 197,080 | 3,384 | (87,560) | 112,904 | |
Small Cap Growth | 363,216 | 107,442 | (309,334) | 161,324 | 111,426 | 24,863 | (127,706) | 8,583 |
Class C Shares | ||||
Fund | Issued | Distributions Reinvested | Redeemed | Net Increase (Decrease) in Shares |
Corporate/Government Bond | 71,275 | 6,301 | (69,409) | 8,167 |
Monthly Distribution | 660,112 | 50,517 | (542,015) | 168,614 |
Floating Rate Bond | 134,346 | 9,176 | (114,562) | 28,960 |
High-Yield Bond | 147,503 | 39,862 | (377,837) | (190,472) |
International Opportunity Bond | 74,858 | - | (84,776) | (9,918) |
Dynamic Macro | 68,579 | - | (46,093) | 22,486 |
Alternative Strategy | 16,033 | - | (24,003) | (7,970) |
Appreciation & Income | 243,786 | 75,929 | (120,326) | 199,389 |
Large Cap Value | 69,089 | - | (59,967) | 9,122 |
Alternative Income | 66,949 | 3,224 | (38,172) | 32,001 |
Focused Large Cap Growth | 75,706 | - | (54,770) | 20,936 |
International Stock | 133,023 | 6,655 | (56,755) | 82,923 |
Real Estate Stock | 56,624 | 10,900 | (82,900) | (15,376) |
Small Cap Value | 27,913 | 11,766 | (31,345) | 8,334 |
Emerging Markets Stock | 85,900 | 1,420 | (59,863) | 27,457 |
Small Cap Growth | 41,709 | 21,228 | (50,521) | 12,416 |
123
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
Year Ended October 31, 2014:
Class N Shares | Class A Shares | ||||||||
Fund | Issued | Distributions Reinvested | Redeemed | Net Increase (Decrease) in Shares | Issued | Distributions Reinvested | Redeemed | Net Increase (Decrease) in 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 | |
International Stock | 799,836 | 56,397 | (357,947) | 498,286 | 510,054 | 4,952 | (308,127) | 206,879 | |
Real Estate Stock | 544,572 | 77,292 | (723,897) | (102,033) | 117,278 | 5,391 | (73,685) | 48,984 | |
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 |
Class C Shares | ||||
Fund | Issued | Distributions Reinvested | Redeemed | Net Increase (Decrease) in 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 |
International Stock | 110,428 | 3,140 | (50,032) | 63,536 |
Real Estate Stock | 103,703 | 5,147 | (53,022) | 55,828 |
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 |
124
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
8. DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL
The tax character of dividends paid during the year ended October 31, 2015 and October 31, 2014 was as follows:
Permanent book and tax differences, primarily attributable to the reclass of net operating losses and short-term capital gains, and fund distributions and adjustments for non-deductible expenses, book/tax treatment of foreign currency exchange gains (losses), section 305(c) deemed dividend distributions, paydown gains (losses), C Corp return of capital, swap gains (losses), passive foreign investment companies, reclassifications of gains on contingent payment debt securities, real estate investment trusts, partnerships, grantor trusts, royalty trusts, corporation mergers, and the capitalization of in lieu dividend payments made in connection with short sales of stock that have not been held open for more than 45 days resulted in reclassification for the tax year ended October 31, 2015 as follows:
Net assets were unaffected by the above reclassifications.
125
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
As of each of the Fund’s tax year-ended October 31, 2015, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Capital Loss | Other | Unrealized | Total | |||||||||
Ordinary | Long-Term | Carry | Book/Tax | Appreciation | Accumulated | |||||||||
Fund | Income | Capital Gains | Forwards | Differences | Late Year Loss | (Depreciation) | Earnings(Deficits) | |||||||
Corporate/Government Bond | $ 17,268 | $ - | $ (1,348,743) | $ (926) | $ - | $ 37,350 | $ (1,295,051) | |||||||
Monthly Distribution | - | - | - | (737,546) | (1,099,608) | (20,826,636) | (22,663,790) | |||||||
Floating Rate Bond | 27,400 | - | (1,082,415) | - | - | (2,394,107) | (3,449,122) | |||||||
High-Yield Bond | 108,995 | - | (8,071,244) | - | - | (1,801,140) | (9,763,389) | |||||||
International Opportunity Bond | - | - | (70,916) | - | - | (2,895,223) | (2,966,139) | |||||||
Dynamic Macro | - | - | (1,327,645) | - | (42,659) | 970,234 | (400,070) | |||||||
Alternative Strategy | - | - | (1,198,728) | - | (126,022) | 294,623 | (1,030,127) | |||||||
Appreciation & Income | 1,513,898 | 6,372 | - | - | - | (1,472,919) | 47,351 | |||||||
Large Cap Value | 373,351 | 14,258,077 | - | - | - | 4,756,579 | 19,388,007 | |||||||
Alternative Income | 81,323 | - | (140,427) | - | - | (116,082) | (175,186) | |||||||
Focused Large Cap Growth | - | 381,547 | - | - | (612,912) | 14,663,002 | 14,431,637 | |||||||
International Stock | 43,150 | - | (747,547) | - | - | 820,919 | 116,522 | |||||||
Real Estate Stock | 1,880,234 | 2,657,565 | - | - | - | 6,819,972 | 11,357,771 | |||||||
Small Cap Value | 51,644 | 847,192 | - | - | - | 646,264 | 1,545,100 | |||||||
Emerging Markets Stock | 117,530 | - | (8,131,742) | - | - | (903,187) | (8,917,399) | |||||||
Small Cap Growth | 911,397 | 1,784,747 | - | - | - | 1,896,146 | 4,592,290 |
The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income/(loss) and accumulated net realized gain (loss) from security transactions are primarily attributable to the tax deferral of losses on wash sales and straddles, adjustments for gains on contingent convertible debt securities, the mark-to-market treatment of open forward foreign currency contracts, options, futures and swap contracts, and adjustments for section 305(c) deemed dividend distributions, accrued dividend payable, real estate investment trusts, partnerships, passive foreign investment companies, royalty trusts, constructive sales of securities held short, straddles and C Corporation return of capital distributions. In addition, the amount listed under other book/tax differences for the Monthly Distribution Fund is primarily attributable to the tax deferral of losses on straddles and constructive sales.
Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Funds incurred and elected to defer such late year losses as follows:
Late Year | |
Fund | Losses |
Corporate/Government Bond | - |
Monthly Distribution | 1,099,608 |
Floating Rate Bond | - |
High-Yield Bond | - |
International Opportunity Bond | - |
Dynamic Macro | 42,659 |
Alternative Strategy | 126,022 |
Appreciation & Income | - |
Large Cap Value | - |
Alternative Income | - |
Focused Large Cap Growth | 612,912 |
International Stock | - |
Real Estate Stock | - |
Small Cap Value | - |
Emerging Markets Stock | - |
Small Cap Growth | - |
126
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
At October 31, 2015, the following Funds had capital loss carryforwards for federal income tax purposes available to offset future capital gains through the indicated expiration date as follows:
For Monthly Distribution, $674,128 of capital loss carryforward expired in the current fiscal year.
9. UNDERLYING INVESTMENT IN OTHER INVESTMENT COMPANIES
Dynamic Macro currently invests a portion of its assets in SPDR S&P 500 ETF Trust. Dynamic Macro may redeem its investment for the SPDR S&P 500 ETF Trust at any time if the Sub-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, 2015, the percentage of the Fund’s net assets invested in SPDR S&P 500 ETF Trust was 30.5%.
10. LINE OF CREDIT
Until September 2015, Floating Rate Bond had a line of credit agreement with The Bank of Nova Scotia, which permitted the Fund to borrow up to $10 million at a rate, per annum, equal to 0.20% plus the 3 month LIBOR rate to be paid quarterly. Floating Rate Bond was permitted to borrow for investment purposes, to meet repurchase requests or for temporary, extraordinary or emergency purposes. During the year ended October 31, 2015, the Fund paid $3,904 in interest on the line of credit. Average borrowings and the average interest rate during the year ended October 31, 2015 were $500,000 and 0.20%, respectively. The largest outstanding amount borrowed during the period was $3,500,000. There was no balance on the line of credit as of October 31, 2015.
Currently, the Funds have a $40,000,000 uncommitted line of credit provided by U.S. Bank National Association (the “Bank”) under an agreement (the “Uncommitted Line”). Any advance under the Uncommitted Line is contemplated primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable on an annualized basis. The Uncommitted Line is not a “committed” line of credit, which is to say that the Bank is not obligated to lend money to a Fund. Accordingly, it is possible that a Fund may wish to borrow money for a temporary or emergency purpose but may not be able to do so.
During the year ended October 31, 2015, Alternative Income paid less than $.01 in interest on the Uncommitted Line. Average borrowings and the average interest rate in the course of the year ended October 31, 2015 was $2,367 and 0.20%, respectively. The largest outstanding amount borrowed during the period was $35,000. There was no balance on the Uncommitted Line as of October 31, 2015.
127
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
11. SECURITIES LENDING
The Funds have entered into a Securities Lending Agreement (“Agreement”) with the Bank. Each participating fund can lend their securities to brokers, dealers and other financial institutions approved by the Board to earn additional income. Loans are collateralized at a value at least equal to 105% of the then current Market Value of any loaned security that are foreign, or 102% of the then current market value of any other loaned security. All interest and dividend payments received on securities which are held as collateral, provided that there is no material default, will be paid to the respective Fund. A portion of the income generated by the investment in the collateral, net of any rebates paid by the Bank to the borrowers is remitted to the Bank as lending agent and the remainder is paid to the Fund(s).
Securities lending income, if any, is disclosed in the Fund’s Statement of Operations. Although risk is mitigated by the collateral, the Fund could experience a delay in recovering its securities and possible loss of income or value if the Borrower fails to return them. Should the borrower of the securities fail financially, each Fund has the right to repurchase the securities using the collateral in the open market.
The following table presents financial instruments that are subject to enforceable netting arrangements as of October 31, 2015.
(1) | The amount is limited to the loaned securities and accordingly, does not include excess collateral pledged. |
12. SUBSEQUENT EVENTS
128
NOTES TO FINANCIAL STATEMENTS |
October 31, 2015 (Continued) |
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.
129
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees and the Shareholders 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 Floating Rate Bond Fund, Dunham High-Yield Bond Fund, Dunham International Opportunity Bond Fund, Dunham Dynamic Macro 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 International Stock Fund, Dunham Real Estate 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, 2015, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended and the financial highlights for each of the years or periods presented. 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 two-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, 2015 by correspondence with the custodian, agent banks, and brokers and by other appropriate auditing procedures where responses from agent banks and 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, 2015, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and their financial highlights for each of the years 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.
BBD, LLP
Philadelphia, Pennsylvania
December 30, 2015
130
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: 75 | 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: 84 | 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: 68 | 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: 54 | 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: 56 | Treasurer & Principal Financial Officer | Since January 2008 | Chief Financial Officer, Dunham & Associates Investment Counsel, Inc. (registered investment adviser, broker-dealer and distributor for mutual funds), 1999-present; Chief Financial Officer, Dunham & Associates Holdings, Inc. (holding company), 1999-present; Chief Financial Officer, Dunham & Associates Securities, Inc. (general partner for various limited partnerships), 1999-present; Chief Financial Officer, Asset Managers, Inc. (general partner for various limited partnerships), 1999-present; Chief Financial Officer and Director, Dunham Trust Company, 1999-present. | N/A | N/A |
Joseph P. Kelly II Age: 40 | 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: 44 | Secretary and AML Officer | Since October 2015 – Secretary (December 2008 - Assistant Secretary); Since September 2010 – AML Officer | Chief Operating Officer, Dunham & Associates Investment Counsel, Inc. (registered investment adviser, broker-dealer and distributor for mutual funds), 2008- present; Senior Executive Vice President, Marketing and Operations, Kelmoore Investment Co., Inc., 1998-2008.. | N/A | N/A |
Ryan Dykmans Age: 33 | Assistant Secretary | Since October 2015 | Director of Research, June 2013-present; Senior Investment Analyst from 2009- 2013, Dunham & Associates Investment Counsel, Inc. (registered investment adviser, broker-dealer and distributor for mutual funds). | N/A | N/A |
James Colantino 80 Arkay Dr., Ste. 110 Hauppauge, NY 11788 Age: 46 | 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).
131
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 23, 2015
At a regular meeting (the “Meeting”) of the Board of Trustees (the “Board”) held on June 23, 2015, the Board, including a majority 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 Rothschild Asset Management Inc. (“Rothschild”) (the “New Sub-Advisory Agreement”) on behalf of Large Cap Value.
In connection with its review and approval of the New Sub-Advisory Agreement at the June 23, 2015 Meeting, the Independent Trustees present considered materials furnished by Rothschild, including information about, but not limited to, Rothschild’s personnel and operations and financial condition. At the Meeting, representatives from the Adviser and Rothschild presented to the Board information regarding Rothschild 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 all the Independent Trustees present at the Meeting, in connection with its approval of the New Sub-Advisory Agreement included the following:
Performance. As to investment performance, the Trustees reviewed Rothschild’s Large Cap Value Composite performance report, which provided the performance of separate accounts managed by Rothschild with a similar strategy over various time periods ended March 31, 2015 as compared to the Fund’s benchmark index, the Russell 1000 Value Index (the “Index”), composite returns of a peer group of eight managers selected by Rothschild (the “Peer Group”), a group of funds in Morningstar’s large value (open-end) and large value (separate accounts) securities categories that have a similar style and investment approach (the “Morningstar Category Averages”) and other accounts managed by Rothschild (“Other Accounts”) (collectively, the “Comparison Group”) and discussed the same with representatives from Rothschild and an analyst from the Adviser. The Trustees noted Rothschild’s strong performance for the 5- and 10-year periods and discussed Rothschild’s explanation that the 1-year underperformance was primarily due to sector exposures and some stock holdings that Rothschild believes were temporarily out of favor. The Trustees agreed that the outlook for the Fund’s long-term performance with Rothschild as sub-adviser is promising.
Nature, Extent and Quality of Services. As to the nature, quality and extent of the services to be provided by Rothschild pursuant to the New Sub-Advisory Agreement, the Trustees considered that Rothschild currently manages approximately $5.8 billion in assets and is a member of the Rothschild group of financial companies. The Trustees discussed the nature of Rothschild’s operations and noted, with respect to its professional investment management staff, their long-term tenure at Rothschild and industry experience. The Board also reviewed Rothschild’s methodology, research and analysis for selecting investments and noted Rothschild’s portfolio risk management controls. The Trustees discussed in detail the nature of the comments received from the SEC in connection with its most recent examination of Rothschild and were satisfied that reasonable actions were taken by Rothschild in response to those comments. The Trustees also considered the report from the Trust’s CCO concerning his compliance conference call with Rothschild’s CCO and his review of Rothschild’s compliance policies and procedures. The Trustees concluded that Rothschild has the depth of personnel, experience, resources, and investment and compliance processes to provide quality services to the Fund.
132
ADDITIONAL INFORMATION (Unaudited) (Continued) |
Cost of Services and Profitability. As to the cost of the services to be provided and the profits to be realized by Rothschild, the Board noted that the Fund will pay the sub-adviser a fulcrum fee consisting of a base fee of 0.30% annually and a performance fee component at a rate that will vary by +/- 0.20% 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 Index for a range of 0.10% to 0.50%. The Board also noted that the performance fee rate will increase or decrease by one basis point (0.01%) for each 0.075% of outperformance/underperformance of the Index and they discussed with the analyst how the performance increments were developed and negotiated. The Trustees noted that the sub-adviser 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 0.10% is low and that the base fee is lower than every separate account Rothschild currently manages in the large cap value strategy. The Independent Trustees concluded that the Adviser negotiated a fair sub-advisory agreement with Rothschild and that the fee adjustments under the fulcrum fee arrangement are reasonable and appropriate to reward or penalize outperformance or underperformance, respectively and that the index and performance adjustments are appropriate and result from meaningful performance differentials. 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 the sub-adviser are not duplicative. The Independent Trustees next considered the anticipated profits to be realized by Rothschild in relation to the operation of the Fund. They reviewed an analysis of profitability provided by Rothschild and noted that the estimated net profits to Rothschild would be 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 any material economies of scale could be realized and, consequently, the absence of breakpoints was acceptable at this time.
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 Rothschild as the Board believed to be reasonably necessary to evaluate the terms of the New Sub-Advisory Agreement, and as assisted by the advice of counsel, the Board, including all of the Independent Trustees present, unanimously concluded that the terms of the New Sub-Advisory Agreement were fair and reasonable.
Meeting of the Board of Trustees Held on October 2, 2015
At a regular meeting (the “Meeting”) of the Board of Trustees (the “Board”) of the Trust held on October 2, 2015, the Board, including a majority of the Trustees who are not interested persons of the Trust (the “Independent Trustees”), considered the continuance of the Sub-Advisory Agreement with Newfleet Asset Management LLC (“Newfleet”) with respect to Floating Rate Bond (the Newfleet Sub-Advisory Agreement”). In connection with its review and approval of each of the Newfleet Sub-Advisory Agreement, the Board considered materials furnished by Newfleet, including information about, but not limited to, its personnel, operations and resources; investment performance; the costs of the services provided to each Fund, the extent to which economies of scale will benefit shareholders; and the profits to be realized by each Sub-Adviser and its affiliates from their relationship with each Fund.
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 Newfleet Sub-Advisory Agreement with respect to Floating Rate Bond (the “Fund”) included the following:
133
ADDITIONAL INFORMATION (Unaudited) (Continued) |
Performance. As to investment performance, the Trustees reviewed the performance data of the Fund’s Class N shares for the 1- year period and since inception of the Fund in November 2013 through the calendar quarter ended June 30, 2015 as compared to a peer group of three comparable funds selected by Newfleet (the “Peer Group”), a group of funds in Morningstar’s bank loan category (the Morningstar Average”) and another floating rate fund that Newfleet sub-advises in a similar manner as the Fund (the “Other Account”) (collectively, the Comparative Group”). The Trustees noted that for the 1 year period, the Fund outperformed the Peer Group, was virtually in-line with the Morningstar Average, and trailed the Other Account. They noted that the outperformance of the Other Account was attributable to it having lower expenses then Floating Rate Bond. They further noted that the Fund underperformed the Comparative Group since the inception of the Fund and the sub-adviser’s explanation that this underperformance was primarily attributable to the first few months of the Fund’s operations when the sub-adviser was initiating positions for the Fund. A representative of the Adviser noted the delay in getting the Fund fully invested at the onset of operations was likely the result of the long settlement period for investments in bank loans. A representative of the Adviser then noted that, through September 30, 2015, the Fund was slightly ahead of the Morningstar Average. The Trustees considered the Fund’s recent relative performance and the specialized nature of the Fund and concluded that the Fund’s performance was satisfactory.
Nature, Extent and Quality of Services. As to the nature, quality and extent of the services provided by Newfleet, the Trustees considered that Newfleet reported there have been no changes in the sub-advisory services rendered by Newfleet to the Fund, including no changes in the key professionals servicing the Fund and no changes in monitoring compliance with the Fund’s investment objectives, policies and investment limitations. The Trustees noted that Newfleet is an indirect wholly owned subsidiary of Virtus Investment Partners (“Virtus”) and reviewed the description of legal and regulatory matters pertaining to Virtus and its affiliates that was provided by Newfleet. The Trustees were satisfied that such matters were not directly related to Newfleet and, even in the event of negative outcomes, would have no adverse effect on Newfleet’s ability to continue to provide quality and professional services to the Fund.
Cost of Services and Profitability. The Trustees discussed that the fulcrum fee is a +/-20 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 fee range of 0.20% to 0.60%. The Trustees noted that the fee range is consistent or below the fee charged by the sub-adviser for managing other accounts and is reasonable for managing this asset class. The Board, including the Independent Trustees, concluded that the fee adjustments under the fulcrum fee arrangement are reasonable and appropriate to reward or penalize outperformance or underperformance, respectively. The Trustees reviewed an analysis of profitability provided by Newfleet and noted that Newfleet receives no compensation from the Fund or the Adviser other than the sub-advisory fees earned pursuant to the Newfleet Sub-Advisory Agreement and concluded that the modest profit earned by Newfleet does not appear unreasonable.
Economies of Scale. As to economies of scale, it was the consensus of the Independent Trustees that based on the size of the Fund and the limited profitability accruing to Newfleet, the fees are appropriate as currently set.
Conclusion. During the Board’s deliberations, it was noted that the Trustees did not identify any single piece of information that was all important or controlling with respect to the Newfleet Sub-Advisory Agreement. Having requested and received such information from the Newfleet as the Trustees believed to be reasonably necessary to evaluate the terms of the Newfleet Sub-Advisory Agreement, and as assisted by the advice of independent counsel, the Board, including all of the Independent Trustees, concluded that the sub-advisory fee is reasonable and that continuance of the Newfleet Sub-Advisory Agreement is in the best interests of the Trust and shareholders of Floating Rate Bond.
134
ADDITIONAL INFORMATION (Unaudited) (Continued) |
Also, at the October 2, 2015 Meeting of the Board, the Board, including a majority of the Independent Trustees, considered the continuance of the Sub-Advisory Agreement with Rogge Global Partners PLC (“Rogge”) with respect to International Opportunity Bond (the “Rogge Sub-Advisory Agreement”). In connection with its review and approval of each of the Rogge Sub-Advisory Agreement, the Board considered materials furnished by Rogge, including information about, but not limited to, its personnel, operations and resources; investment performance; the costs of the services provided to the Fund, the extent to which economies of scale will benefit shareholders; and the profits to be realized by Rogge from its relationship with the Fund.
Matters considered by the Board, including the Independent Trustees, in connection with its approval of the continuance of the Rogge Sub-Advisory Agreement with respect to International Opportunity Bond included the following:
Performance. As to investment performance, the Trustees reviewed the Fund’s performance data for the 1- year period and since inception of the Fund in November 2013 through the calendar quarter ended June 30, 2015 as compared to a peer group of seven comparable funds selected by Rogge (the “Peer Group”), a group of funds in Morningstar’s world bank category (the “Morningstar Average”) and the Rogge composite account (the “Composite Account”) (collectively, the “Comparative Group”). The Trustees noted that the Fund underperformed the Comparative Group for the 1-year and since inception time periods. The Trustees recognized, however, that the Fund’s strategy does not align with the Morningstar category assigned to the Fund, the Morningstar World Bond Category, which is primarily comprised of funds that invest up to 10% in U.S. Bonds that outperformed foreign bonds during the relevant time periods. The Trustees also considered that a representative of the Adviser noted that the Fund’s performance compares more favorably to its benchmark index. The Trustees agreed to monitor the Fund’s performance as it would be more meaningful to re-evaluate the Fund over longer time periods.
Nature, Extent and Quality of Services. The Independent Trustees considered the materials furnished by Rogge and noted the size and organizational structure or Rogge, and experience of Rogge’s key portfolio management, trading, compliance and legal resources. The Board also took into account the favorable feedback from the Adviser regarding Rogge’s responsiveness and cooperation, including the CCO’s positive report on his on-site evaluation of Rogge. The Trustees noted no changes to the firm’s compliance monitoring process and no material compliance, legal or regulatory issues were reported by Rogge. The Trustees concluded that Rogge has the resources to continue to provide quality advisory services in a manner that is consistent with the Board’s expectations.
Cost of Services and Profitability. The Trustees discussed that the fulcrum fee is in a +/-25 basis points adjustment to the base fee of 45 basis points based on the performance of the Fund’s Class N shares versus the performance benchmark for a fee range of 0.20% to 0.70%. The Trustees noted that the base fee is in line with the fee charged by Rogge for managing similarly sized accounts while the minimum fee is substantially below that amount and the maximum fee would only be paid if the Fund performed very well. The Board, including the Independent Trustees, concluded that the fee adjustments under the fulcrum fee arrangement are reasonable and appropriate to reward or penalize outperformance or underperformance, respectively. The Trustees reviewed an analysis of profitability provided by Rogge and noted that Rogge receives no compensation from the Fund or the Adviser except the sub-advisory fees earned pursuant to the Rogge Sub-Advisory Agreement. The Trustees concluded that in light of Rogge’s expertise in the international bond market and the modest profit earned during the previous year, excessive profitability is not a concern.
Economies of Scale. As to economies of scale, after discussion, it was the consensus of the Independent Trustees that in light of the size of the Fund and the modest profit being realized by Rogge, the absence of breakpoints was acceptable at this time.
135
ADDITIONAL INFORMATION (Unaudited) (Continued) |
Conclusion. During the Board’s deliberations, it was noted that the Trustees did not identify any single piece of information that was all important or controlling with respect to the Rogge Sub-Advisory Agreement. Having requested and received such information from the Rogge as the Trustees believed to be reasonably necessary to evaluate the terms of the Rogge Sub-Advisory Agreement, and as assisted by the advice of independent counsel, the Board, including all of the Independent Trustees, concluded that the Sub-Advisory fee is reasonable and that continuance of the Rogge Sub-Advisory Agreement is in the best interests of the Trust and shareholders of International Opportunity Bond.
136
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 | 5/1/15 | 10/31/15 | Period* | 10/31/15 | Period* | |||||||
Class N: | ||||||||||||
Corporate/Government Bond Fund | 1.10% | $1,000.00 | $ 990.80 | $ 5.52 | $1,019.66 | $ 5.60 | ||||||
Monthly Distribution Fund | 2.45% | $1,000.00 | $1,026.70 | $12.31 | $1,012.65 | $12.23 | ||||||
Floating Rate Bond Fund | 1.27% | $1,000.00 | $ 986.50 | $ 6.26 | $1,018.15 | $ 6.71 | ||||||
High-Yield Bond Fund | 1.02% | $1,000.00 | $ 980,50 | $ 5.01 | $1,019.74 | $ 5.11 | ||||||
International Opportunity Bond Fund | 1.30% | $1,000.00 | $ 972.70 | $ 6.46 | $1,018.65 | $ 6.61 | ||||||
Dynamic Macro Fund | 2.03% | $1,000.00 | $ 958.90 | $10.02 | $1,014.97 | $10.31 | ||||||
Alternative Strategy Fund | 1.30% | $1,000.00 | $1,022.10 | $ 6.63 | $1,018.65 | $ 6.61 | ||||||
Appreciation & Income Fund | 1.34% | $1,000.00 | $ 937.80 | $ 6.44 | $1,017.29 | $11.58 | ||||||
Large Cap Value Fund | 1.32% | $1,000.00 | $ 981.90 | $ 6.59 | $1,018.55 | $ 6.72 | ||||||
Alternative Income Fund | 1.39% | $1,000.00 | $ 937.40 | $ 6.79 | $1,018.20 | $ 7.07 | ||||||
Focused Large Cap Growth Fund | 1.21% | $1,000.00 | $1,060.60 | $ 6.18 | $1,018.79 | $ 6.06 | ||||||
International Stock Fund | 2.16% | $1,000.00 | $ 897.90 | $10.33 | $1,014.32 | $10.97 | ||||||
Real Estate Stock Fund | 1.64% | $1,000.00 | $1,021.20 | $ 8.22 | $1,016.66 | $ 8.20 | ||||||
Small Cap Value Fund | 1.81% | $1,000.00 | $ 972.10 | $ 9.00 | $1,016.08 | $ 9.20 | ||||||
Emerging Markets Stock Fund | 1.67% | $1,000.00 | $ 819.90 | $ 7.66 | $1,016.79 | $ 8.49 | ||||||
Small Cap Growth Fund | 1.58% | $1,000.00 | $ 967.40 | $ 7.71 | $1,016.96 | $ 7.90 | ||||||
Class A: | ||||||||||||
Corporate/Government Bond Fund | 1.35% | $1,000.00 | $ 988.90 | $ 6.77 | $1,018.40 | $ 6.87 | ||||||
Monthly Distribution Fund | 2.70% | $1,000.00 | $1,025.30 | $13.56 | $1,011.41 | $13.47 | ||||||
Floating Rate Bond Fund | 1.50% | $1,000.00 | $ 985.20 | $ 7.38 | $1,016.86 | $ 8.00 | ||||||
High-Yield Bond Fund | 1.27% | $1,000.00 | $ 978.40 | $ 6.29 | $1,018.50 | $ 6.38 | ||||||
International Opportunity Bond Fund | 1.55% | $1,000.00 | $ 971.60 | $ 7.70 | $1,017.39 | $ 7.88 | ||||||
Dynamic Macro Fund | 2.28% | $1,000.00 | $ 957.10 | $11.25 | $1,013.71 | $11.57 | ||||||
Alternative Strategy Fund | 1.55% | $1,000.00 | $1,021.20 | $ 7.90 | $1,017.39 | $ 7.88 | ||||||
Appreciation & Income Fund | 1.59% | $1,000.00 | $ 936.70 | $ 7.64 | $1,016.91 | $ 7.95 | ||||||
Large Cap Value Fund | 1.57% | $1,000.00 | $ 980.70 | $ 7.84 | $1,017.29 | $ 7.98 | ||||||
Alternative Income Fund | 1.64% | $1,000.00 | $ 936.00 | $ 8.00 | $1,016.94 | $ 8.34 | ||||||
Focused Large Cap Growth Fund | 1.46% | $1,000.00 | $1,058.60 | $ 7.45 | $1,017.55 | $ 7.30 | ||||||
International Stock Fund | 2.41% | $1,000.00 | $ 897.10 | $11.52 | $1,013.06 | $12.23 | ||||||
Real Estate Stock Fund | 1.89% | $1,000.00 | $1,019.60 | $ 9.46 | $1,015.42 | $ 9.44 | ||||||
Small Cap Value Fund | 2.06% | $1,000.00 | $ 971.20 | $10.07 | $1,014.58 | $10.29 | ||||||
Emerging Markets Stock Fund | 1.92% | $1,000.00 | $ 819.50 | $ 8.81 | $1,015.53 | $ 9.75 | ||||||
Small Cap Growth Fund | 1.8% | $1,000.00 | $ 966.30 | $ 8.92 | $1,015.72 | $ 9.15 |
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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 | 5/1/15 | 10/31/15 | Period* | 10/31/15 | Period* | |||||||
Class C: | ||||||||||||
Corporate/Government Bond Fund | 1.85% | $1,000.00 | $ 987.10 | $ 9.27 | $1,015.88 | $ 9.40 | ||||||
Monthly Distribution Fund | 3.45% | $1,000.00 | $1,021.50 | $17.29 | $1,007.69 | $17.17 | ||||||
Floating Rate Bond Fund | 2.02% | $1,000.00 | $ 982.80 | $ 9.93 | $1,013.29 | $11.58 | ||||||
High-Yield Bond Fund | 1.77% | $1,000.00 | $ 976.70 | $ 8.68 | $1,016.02 | $ 8.85 | ||||||
International Opportunity Bond Fund | 2.30% | $1,000.00 | $ 969.30 | $11.42 | $1,013.61 | $11.67 | ||||||
Dynamic Macro Fund | 3.03% | $1,000.00 | $ 953.20 | $14.92 | $1,009.93 | $15.35 | ||||||
Alternative Strategy Fund | 2.30% | $1,000.00 | $1,017.40 | $11.70 | $1,013.61 | $11.67 | ||||||
Appreciation & Income Fund | 2.32% | $1,000.00 | $ 933.50 | $11.22 | $1,013.29 | $11.58 | ||||||
Large Cap Value Fund | 2.32% | $1,000.00 | $ 977.00 | $11.56 | $1,013.51 | $11.77 | ||||||
Alternative Income Fund | 2.39% | $1,000.00 | $ 932.90 | $11.64 | $1,013.16 | $11.68 | ||||||
Focused Large Cap Growth Fund | 2.21% | $1,000.00 | $1,054.90 | $11.26 | $1,013.84 | $11.03 | ||||||
International Stock Fund | 3.16% | $1,000.00 | $ 893.30 | $15.08 | $1,009.28 | $16.00 | ||||||
Real Estate Stock Fund | 2.64% | $1,000.00 | $1,015.90 | $13.20 | $1,011.70 | $13.17 | ||||||
Small Cap Value Fund | 2.81% | $1,000.00 | $ 967.40 | $13.71 | $1,010.86 | $14.01 | ||||||
Emerging Markets Stock Fund | 2.67% | $1,000.00 | $ 815.50 | $12.22 | $1,011.75 | $13.54 | ||||||
Small Cap Growth Fund | 2.58% | $1,000.00 | $ 967.50 | $12.55 | $1,012.05 | $12.87 |
* | 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, 2015). |
138
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 |
139
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 |
140
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).
141
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 2015 $ 192,000
FY 2014 $ 192,000
(b) | Audit-Related Fees |
FY 2015 $ 0
FY 2014 $ 0
Nature of the fees:
(c) | Tax Fees |
FY 2015 $ 32,000
FY 2014 $ 32,000
Nature of the fees: Preparation of federal and state tax returns and review of annual dividend calculations.
(d) | All Other Fees |
Registrant Adviser
FY 2015 $ 0 $ 0
FY 2014 $ 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 2015 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 2015 $32,000 $ None
FY 2014 $32,000 $ 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 1/9/16
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 1/9/16
By (Signature and Title)
/s/Denise Iverson
Denise Iverson, Treasurer
Date 1/9/16