united states
securities and exchange commission
washington, d.c. 20549
form n-csr
certified shareholder report of registered management
investment companies
Investment Company Act file number 811-22153
Dunham Funds
(Exact name of registrant as specified in charter)
10251 Vista Sorrento Pkwy, Ste. 200, San Diego, CA 92121
(Address of principal executive offices) (Zip code)
Richard Malinowski
Gemini Fund Services, LLC., 80 Arkay Drive, Suite 110, Hauppauge, NY 11788
(Name and address of agent for service)
Registrant's telephone number, including area code: 631-470-2619
Date of fiscal year end: 10/31
Date of reporting period: 4/30/18
Item 1. Reports to Stockholders.
This Semi-Annual Report contains “forward-looking statements” within the meaning of the Private Securities Litigation Reform Act of 1995. Forward-looking statements also include those preceded by, followed by or that include the words “believes”, “expects”, “anticipates” or similar expressions. Such statements should be viewed with caution. Actual results or experience could differ materially from the forward-looking statements as a result of many factors. Each Fund makes no commitments to disclose any revisions to forward-looking statements, or any facts, events or circumstances after the date hereof that may bear upon forward-looking statements. In addition, prospective purchasers of the Funds should consider carefully the information set forth herein and the applicable fund’s prospectus. Other factors and assumptions not identified above may also have been involved in the derivation of these forward-looking statements, and the failure of these other assumptions to be realized may also cause actual results to differ materially from those projected. |
Dear Fellow Shareholders,
During the fiscal six-month period, equities rallied into the new year, however from February through April, markets have experienced spikes in volatility. At the start of the fiscal year, the passing of tax legislation led markets to new heights as investors may have linked the lowering of business tax rates and repatriations of cash overseas to increasing free cash flow for businesses. However, fears of rising inflation and interest rates, coupled with tariffs and a potential trade war between the U.S and China led the Chicago Board Options Exchange Index to finally jump.
In February, Jerome Powell became the new Federal Reserve Chairman and expects three to four interest rates hikes in 2018, as inflation seems to be on track to reaching its 2 percent goal. In March, the Federal Reserve raised the Federal Funds Rate by 0.25 percent to 1.75 percent. Historical volatility returned, as U.S. markets experienced their first quarterly loss since 2015.
For the six months ending April 30, 2018, the S&P 500 Index increased 3.8 percent, the NASDAQ Composite Index appreciated 5.6 percent, and the Dow Jones Industrial Average grew 4.5 percent. International developed markets, as measured by the MSCI EAFE Index, advanced 3.7 percent during the same time period. Emerging markets, as measured by the MSCI Emerging Markets Index, increased 4.9 percent. Both domestic and international markets continued their growth, albeit at a slower rate compared to the previous six-month period.
Although equities have grown at a slower pace compared to the previous six-month period, the U.S. economy continues to show signs of health. Consumer confidence remains high, while jobless claims in the last week of April fell to their lowest level since 1969. Strong labor markets and higher-than-expected wage growth of 2.7 percent in March have counterbalanced the gradual tightening of U.S. monetary policy. In addition, manufacturing data has remained positive while headline inflation was reported at 2.4 percent in March, greater than the Federal Reserve’s 2.0 percent goal. Furthermore, GDP growth beat economic expectations, increasing 2.9 percent in the fourth calendar quarter versus the economic expectation of 2.7 percent, and GDP rose 2.3 percent for the first calendar quarter versus the 2.0 percent estimate. During its March meeting, the Federal Open Market Committee projected the U.S. to reach 2.7 percent GDP growth for 2018, as consumers should begin to feel the benefit of fiscal stimulus in upcoming quarters.
Overseas, the European Central Bank and the Bank of Japan held policy rates steady. Both the European Central Bank Governor Mario Draghi and Bank of Japan Governor Haruhiko Kuroda tried to downplay the perception that rate increases were imminent. The removal of the European Central Bank’s quantitative easing by the end of 2018 still seems likely, however it does not appear that interest rates will follow immediately afterward. U.K. equities were negatively impacted by the British Pound’s strength amid expectations that the Bank of England would lift rates sooner and faster than the market had previously anticipated. In addition, stormy weather negatively affected various industries in Europe during the start of 2018, specifically industrial companies engaged in construction, civil engineering, and distribution. These temporary factors such as bad weather and spikes in the British Pound are not expected to have a meaningful impact moving forward on European markets, as growth remains strong, unemployment is decreasing, and consumer confidence is healthy. In China, 2017 year GDP growth was 6.9 percent, lower than historical rates. Compared to U.S. markets, Chinese and European markets had mixed performance, while Japanese markets outperformed over the six-month period. The U.S. Dollar is at a near all-time high, although it declined slightly by 2.9 percent during the six-month period compared to major world currencies, as measured by the Bloomberg Dollar Spot Index. In late April, the leaders of North Korea and South Korea met and discussed to end the Korean War.
Oil prices increased over the period as the Organization of Petroleum Exporting Countries (OPEC) and Russia continue to try and work on limiting production. The uncertainty of the role of Iran in the international community also may have bumped oil prices higher. The last six months has seen the price of West Texas Intermediate crude oil steadily rise from $54 per barrel to just under $70 per barrel in late April. Production costs seem to be working as oil prices continue to climb.
Domestic bonds had a poor showing compared to U.S. equities over the period, while international bonds rose higher. The 10-year Treasury yield went from its lowest point of 2.31 percent at the start on October 31, 2017 to its highest point of 3.03 percent near the end of April, before settling at 2.95 percent to end the six-month period. The Barclays US Aggregate Bond Index decreased 1.9 percent for the previous six months. The Barclays Global Aggregate Bond Index ex- US returned 3.7 percent for the six-month period ended April 30, 2018, which was much higher compared to the broad US bond market.
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Overall, the global economy continues to expand as corporate earnings continue to beat estimates, the U.S. fiscal stimulus may increase consumer spending, and foreign countries sustain an accommodative monetary policy. Although the possibility of trade wars have rattled markets, the proposed tariffs on $60 billion worth of Chinese goods amounts to only about 0.1 percent of China’s GDP, while the Chinese tariffs on $3 billion worth of U.S. goods are less than 0.1 percent of the $19 trillion U.S. GDP; in other words, the proposed tariffs may have a negligible impact on each country. After successfully navigating volatility in recent months, we see signs of future opportunities on which we are poised to capitalize.
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
April 30, 2018
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Dunham Floating Rate Bond Fund (Unaudited) |
Message from the Sub-Adviser (Newfleet Asset Management, LLC) |
The bank loan market reached a milestone in April 2018 by totaling over $1 trillion in market size and constituting over 1,000 distinct borrowers. The bank loan market has doubled since 2010 and is now similar in size to the $1.1 trillion high yield market. Secondary market trading activity and liquidity have steadily improved, driven by the increased number of market participants seeking yield, deeper and broader secondary markets, and technological advancements. Over the six-month period ended April 30, 2018, U.S. stocks, as measured by the S&P 500, gained 3.8 percent. Over the same period, interest rates on the 10-year U.S. Treasury fluctuated within a 71 basis point range, hitting a low of 2.32 percent a few times in late November, then marching higher to 3.03 percent in late April, before settling at 2.95 percent to end the six-month period. In March, the Federal Reserve raised the Fed Funds Rate another 25 basis points, to 1.75 percent. Bond prices generally fall when interest rates rise. U.S. investment-grade bonds, as measured by the Bloomberg Barclays U.S. Aggregate Total Return Bond Index, fell 1.9 percent over the six-month period ended April 30, 2018. The movement in rates aided the performance of bank loans, as measured by the S&P/ LSTA Leveraged Loan Index, which gained 2.4 percent over the six-month period. The London Interbank Offered Rate (“LIBOR”) continued its upward trend during the fiscal period. Three-month LIBOR began the fiscal period at 1.38 percent, its lowest point of the six-month period, before beginning a steady climb to its high of 2.36 percent at the end of the fiscal period.
The Sub-Adviser looks for potential total return and income by investing in higher quality, non-investment grade bank loans. The Sub-Adviser uses extensive credit and company analysis and monitoring. The Sub-Adviser looks for securities with strong income potential while maintaining an emphasis on managing risk. The Sub-Adviser remains optimistic about the asset class’ potential as interest rates rise and investors continue to focus on income producing assets.
The yields on bank loans, as measured by the S&P / LSTA Leveraged Loan 100 Index, trended upward over the six-month period, but trailed the pace of rise in Treasury yields. Bank loans, in general, as measured by the S&P / LSTA Leveraged Loan 100 Index, ended the most recent six-month period with a yield-to-maturity of 5.2 percent. The changes in yield increased the spread to 1.3 percent when compared to their high-yield bond counterparts, as measured by the BofA Merrill Lynch High-Yield Bond Cash Pay Index, which ended the period with a 6.5 percent yield to maturity.
One of the top contributors to the Fund was iHeartMedia, Inc (BL1008384) (holding weight*: 0.59 percent), a diversified media and entertainment company in the United States. The bank loan had a price increase from $75.30 at the beginning of the six-month period to $79.91 at the end of the period, for a price return of 6.1 percent. Another strong contributor was Neiman Marcus Group Ltd LLC (BL1250440) (holding weight*: 0.35 percent), a luxury retailer conducting integrated store and online operations. Neiman Marcus’ bank loan had a price increase from $78.94 at the beginning of the six-month period to $88.19 at the end of the period, for a price return of 11.7 percent. Another top performer was Seadrill Operating LP (BL1232042) (holding weight*: 0.54 percent), a company that owns and operates drilling rigs. Seadrill’s bank loan had a price increase from $76.46 at the beginning of the six-month period to $85.96 at the end of the period, for a price return of 12.4 percent.
On the opposite end of the return spectrum, the Fund did have a few detractors. By far the worst performer was CPI Card Group (BL1785619) (holding weight*: 0.47 percent), a company that engages in design, production, data personalization, packaging, and fulfillment of financial payment cards. CPI’s bank loan had a price decrease from $73.00 at the beginning of the six-month period to $64.33 at the end of the period, for a price decline of 11.9 percent. Another detractors was Ultra Petroleum (BL2368753) (holding weight*: 0.30 percent), an independent exploration and production company focused on developing its long-life natural gas reserves in the Green River Basin of Wyoming. The bank loan had a price decrease from $100.16 at the beginning of the six-month period to $93.97 at the end of the period, for a price decline of 6.2 percent. Also doing poorly for the six-month period was Univision Communications, Inc. (BL2380501) (holding weight*: 1.60 percent), an American media company primarily serving Hispanic and Latino Americans. The bank loan had a price decrease from $99.83 at the beginning of the six-month period to $98.80 at the end of the period, for a price loss of 1.0 percent. Klöckner Pentaplast Group (BL2450726) (holding weight*: 0.40 percent), a company that is among the world’s largest suppliers of films for pharmaceutical, medical devices, food, electronics, and general packaging, also had a difficult six-month period. The bank loan had a price decrease from $100.98 at the beginning of the six-month period to $95.21 at the end of the period, for a price loss of 5.7 percent. Revlon Consumer Products Corporation (BL2148247) (holding weight*: 0.09 percent), a multinational cosmetics, skin care, fragrance, and personal care company, also had a difficult quarter. Revlon’s bank loan had a price decrease from $86.79 at the beginning of the six-month period to $77.56 at the end of the period, for a price loss of 10.6 percent.
The Sub-Adviser continues to find the loan market a compelling investment, especially in light of the impact that this year’s interest rate volatility has had on fixed-rate asset classes. The Sub-Adviser expects the coupon “carry” to continue for the remainder of the year, all else equal, and prove to be attractive on a risk-adjusted relative basis to fixed income alternatives. The Sub-Adviser also believes the constructive backdrop for credit spread assets is being met with continued spread tightening across the credit quality curve and transactions are becoming increasingly more aggressive on many levels. The Sub-Adviser feels that the fundamental backdrop for loans seems to be in good shape with low default rates, strong technicals, and strong investor demand. The Sub-Adviser is beginning to reassess risk positions from a credit quality and industry perspective with an eye towards slightly decreasing the overall risk in the Fund after having added risk since the summer of 2016 at broadly better valuations. The Sub-Adviser feels that the loan market is exhibiting late-cycle behavior, with the rise of single B-rated issuance, loosening loan terms and conditions, and a number of credit metrics exceeding pre-crisis levels. However, demand from retail and institutional investors remained at an above-average pace as rising rates and corresponding higher current yields relative to most other fixed income options has increased broad investor interest. With all of these factors, the Sub-Adviser does not currently view this current credit cycle as coming to end in the short-term, and the Sub-Adviser is contemplating how it might upgrade the credit quality of the Fund’s holdings, especially at current valuations.
* | Holdings percentage(s) as of 4/30/2018 |
Growth of $100,000 Investment
Total Returns as of April 30, 2018 | ||||
Annualized | Annualized | |||
Six | One | Three | Since Inception | |
Months | Year | Years | (11/1/13) | |
Class N | 1.45% | 2.88% | 2.89% | 2.67% |
Class C | 1.19% | 2.14% | 2.16% | 1.92% |
Class A with load of 4.50% | (3.24)% | (1.99)% | 1.07% | 1.36% |
Class A without load | 1.33% | 2.64% | 2.64% | 2.40% |
S&P/LSTA Leveraged Loan 100 Index | 2.39% | 4.42% | 3.38% | 3.52% |
Morningstar Bank Loan Category | 1.91% | 3.64% | 3.27% | 3.13% |
The S&P/LSTA Leveraged Loan 100 Index is designed to reflect the performance of the largest facilities in the leveraged loan market. Investors cannot invest directly in an index or benchmark.
The Morningstar Bank Loan Category is generally representative of mutual funds that primarily invest in floating-rate bank loans instead of bonds. These bank loans generally offer interest payments that typically float above a common short-term benchmark such as the London interbank offered rate, or LIBOR.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including cost of underlying funds, are 1.05% for Class N, 1.80% for Class C and 1.30% 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 |
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SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Floating Rate Bond Fund |
April 30, 2018 |
Security | Shares | Value | ||||||||||||
COMMON STOCK - 0.1% | ||||||||||||||
REAL ESTATE - 0.1% | ||||||||||||||
Vici Properties, Inc. * | 7,261 | $ | 132,005 | |||||||||||
TOTAL COMMON STOCK (Cost - $135,781) | 132,005 | |||||||||||||
EXCHANGE TRADED FUNDS - 2.1% | ||||||||||||||
DEBT EXCHANGE TRADED FUNDS - 2.1% | ||||||||||||||
PowerShares Senior Loan Portfolio | 88,407 | 2,043,086 | ||||||||||||
SPDR Bloomberg Barclays Short Term High Yield | 75,055 | 2,058,008 | ||||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $4,091,182) | 4,101,094 | |||||||||||||
Variable | Principal | Interest | Maturity | |||||||||||
Rate | Amount | Rate | Date | |||||||||||
BANK LOANS - 93.1% | ||||||||||||||
BASIC MATERIALS - 3.6% | ||||||||||||||
Atotech Bv, Initial Term B-1 Loan + | LIBOR + 3.000 | % | $ | 148,875 | 5.308 | % | 2/1/2024 | $ | 150,085 | |||||
Graftech International Ltd., Initial Term Loan + | LIBOR + 3.500 | 535,000 | 5.853 | 2/12/2025 | 538,009 | |||||||||
H.b. Fuller Company, Commitment + | LIBOR + 2.000 | 746,250 | 4.359 | 10/20/2024 | 749,515 | |||||||||
Ineos Finance PLC, New 2024 Dollar Term Loan + | LIBOR + 2.000 | 1,915,200 | 4.363 | 3/31/2024 | 1,923,847 | |||||||||
Ips Corp., Initial Term Loan + | LIBOR + 3.250 | 290,000 | 5.613 | 11/8/2024 | 292,900 | |||||||||
Kraton Polymers LLC, Dollar Replacement Term Loan + | LIBOR + 2.500 | 243,499 | 4.863 | 3/8/2025 | 245,859 | |||||||||
New Arclin Us Holding Corp., Replacement Term Loan + | LIBOR + 3.500 | 273,625 | 5.808 | 2/14/2024 | 276,361 | |||||||||
Omnova Solutions, Inc., Term B-2 Loan + | LIBOR + 3.250 | 504,144 | 5.613 | 8/24/2023 | 510,445 | |||||||||
Platform Specialty Products Corp., Tranche B-7 Term Loan + | LIBOR + 2.500 | 898,073 | 4.863 | 6/8/2020 | 903,296 | |||||||||
Pq Corp., Third Amendment Tranche B-1 Term Loan + | LIBOR + 2.500 | 136,266 | 4.863 | 2/8/2025 | 137,142 | |||||||||
Solenis LLC, Initial Dollar Term Loan + | LIBOR + 3.250 | 346,479 | 5.267 | 8/1/2021 | 347,129 | |||||||||
Tronox Finance LLC, Initial Dollar Term Loan + | LIBOR + 3.000 | 264,453 | 5.308 | 9/24/2024 | 267,491 | |||||||||
Tronox Finance LLC, Blocked Dollar Term Loan + | LIBOR + 3.000 | 114,597 | 5.308 | 9/24/2024 | 115,913 | |||||||||
Venator Finance Sarl, Initial Term Loan + | LIBOR + 3.000 | 512,425 | 5.363 | 8/8/2024 | 516,909 | |||||||||
6,974,901 | ||||||||||||||
COMMUNICATIONS - 16.3% | ||||||||||||||
Advantage Sales & Marketing LLC, Initial Term Loan (First Lien) + | LIBOR + 3.250 | 392,352 | 5.613 | 7/24/2021 | 376,577 | |||||||||
Advantage Sales & Marketing LLC, Term Loan (Second Lien) + | LIBOR + 6.500 | 247,000 | 8.863 | 7/24/2022 | 229,916 | |||||||||
Advantage Sales & Marketing LLC, Term B-2 Loan (First Lien) + | LIBOR + 3.250 | 317,775 | 5.613 | 7/24/2021 | 305,064 | |||||||||
Altice Financing Sa, March 2017 Refinancing Term Loan + | LIBOR + 2.250 | 332,300 | 4.613 | 7/28/2025 | 332,560 | |||||||||
Altice Financing Sa, March 2017 Refinancing Term Loan + | LIBOR + 2.750 | 415,800 | 5.105 | 7/16/2025 | 412,519 | |||||||||
Cbs Radio, Inc., Additional Term B-1 Loan + | LIBOR + 2.750 | 255,407 | 4.654 | 11/18/2024 | 256,871 | |||||||||
Centurylink, Inc., Initial Term B Loan + | LIBOR + 2.750 | 1,187,475 | 5.113 | 2/1/2025 | 1,171,515 | |||||||||
Charter Communications Operating LLC, Term B Loan + | LIBOR + 2.000 | 2,279,288 | 4.363 | 4/30/2025 | 2,292,108 | |||||||||
Csc Holdings, LLC, January 2018 Incremental Term Loan + | LIBOR + 2.500 | 130,000 | 4.855 | 1/24/2026 | 130,244 | |||||||||
Csc Holdings, LLC, March 2017 Refinancing Term Loan + | LIBOR + 2.250 | 1,774,221 | 4.605 | 7/16/2025 | 1,771,781 | |||||||||
Digicel International Finance Ltd., Initial Term B Loan (First Lien) + | LIBOR + 3.250 | 213,925 | 5.613 | 5/28/2024 | 214,059 | |||||||||
Frontier Communications Corporation, Term B-1 Loan + | LIBOR + 3.750 | 600,960 | 6.113 | 6/16/2024 | 594,857 | |||||||||
Global Tel*link Corp., Term Loan (First Lien) + | LIBOR + 4.000 | 603,220 | 6.308 | 5/24/2020 | 607,443 | |||||||||
Go Daddy Operating Co. LLC, Tranche B-1 Term Loan + | LIBOR + 2.250 | 382,444 | 4.613 | 2/16/2024 | 384,668 | |||||||||
Iheart Communications, Inc., Tranche D Term Loan + | LIBOR + 6.750 | 150,000 | 9.058 | 1/30/2019 | 1,206,679 | |||||||||
Level 3 Financing, Inc., Tranche B 2024 Term Loan + | LIBOR + 2.250 | 1,825,000 | 4.610 | 2/22/2024 | 1,835,138 | |||||||||
Mcc Georgia LLC, Tranche M Term Loan + | LIBOR + 2.000 | 791,139 | 4.369 | 1/16/2025 | 795,466 | |||||||||
Mcgraw-Hill Global Education Holdings LLC, Term B Loan (First Lien) + | LIBOR + 4.000 | 979,582 | 6.363 | 5/4/2022 | 962,851 | |||||||||
Mediacom LLC, Tranche N Term Loan + | LIBOR + 1.750 | 653,287 | 4.119 | 2/16/2024 | 656,553 | |||||||||
Mission Broadcasting, Inc., Term B-2 Loan + | LIBOR + 2.500 | 19,706 | 4.854 | 1/16/2024 | 19,814 | |||||||||
Nexstar Broadcasting, Inc., Term B-2 Loan + | LIBOR + 2.500 | 153,451 | 4.854 | 1/16/2024 | 154,295 | |||||||||
Radiate Holdco LLC, Closing Date Term Loan + | LIBOR + 3.000 | 1,229,248 | 5.363 | 1/31/2024 | 1,218,210 | |||||||||
Red Ventures LLC, Term Loan (First Lien) + | LIBOR + 4.000 | 537,300 | 6.363 | 11/8/2024 | 544,621 | |||||||||
Sba Senior Finance Ii LLC, Initial Term Loan + | LIBOR + 2.000 | 1,159,535 | 4.339 | 4/12/2025 | 1,164,127 | |||||||||
Securus Technologies Holdings, Inc., Initial Term Loan (First Lien) + | LIBOR + 4.500 | 548,625 | 6.863 | 10/31/2024 | 557,197 | |||||||||
Securus Technologies Holdings, Inc., Initial Loan (Second Lien) + | LIBOR + 8.250 | 340,000 | 10.613 | 10/31/2025 | 344,534 | |||||||||
SFR Group Sa, USD TLB-11 Term Loan + | LIBOR + 2.750 | 645,125 | 5.113 | 8/1/2025 | 636,484 | |||||||||
SFR Group Sa, USD TLB-12 Term Loan + | LIBOR + 3.000 | 696,500 | 5.355 | 2/1/2026 | 688,121 | |||||||||
Sinclair Television Group, Inc., Tranche B Term Loan + | LIBOR + 2.250 | 364,758 | 4.613 | 1/4/2024 | 366,582 | |||||||||
Sinclair Television Group, Inc., Term Loan B + | LIBOR + 2.500 | 1,800,000 | 4.607 | 12/12/2024 | 1,810,125 |
See accompanying notes to financial statements.
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SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Floating Rate Bond Fund (Continued) |
April 30, 2018 |
Variable | Principal | Interest | Maturity | |||||||||||
Security | Rate | Amount | Rate | Date | Value | |||||||||
BANK LOANS - 93.1% (Continued) | ||||||||||||||
COMMUNICATIONS (Continued) - 16.3% | ||||||||||||||
Sorenson Communications, Inc., Initial Term Loan (First Lien) + | LIBOR + 5.750 | % | $ | 387,895 | 8.058 | % | 4/30/2020 | $ | 389,673 | |||||
Sprint Communications, Inc., Initial Term Loan + | LIBOR + 2.500 | 1,053,889 | 4.863 | 2/2/2024 | 1,058,336 | |||||||||
Telenet Nv, Term Loan AL Facility + | LIBOR + 2.500 | 565,000 | 5.003 | 2/28/2026 | 568,286 | |||||||||
Tribune Media Co., Term B Loan + | LIBOR + 3.000 | 22,405 | 5.363 | 12/28/2020 | 22,447 | |||||||||
Tribune Media Co., Term C Loan + | LIBOR + 3.000 | 279,252 | 5.363 | 1/26/2024 | 280,125 | |||||||||
Univision Communications, Inc., 2017 Replacement Repriced First-Lien Term Loan + | LIBOR + 2.750 | 3,329,877 | 5.113 | 3/16/2024 | 3,290,052 | |||||||||
Upc Financing Partnership, Facility AR + | LIBOR + 2.500 | 750,000 | 5.003 | 1/16/2026 | 752,550 | |||||||||
Virgin Media Investment Holdings LTD., K Facility + | LIBOR + 2.500 | 1,255,000 | 4.855 | 1/16/2026 | 1,262,191 | |||||||||
Vivid Seats LLC, Initial Term Loan (First Lien) + | LIBOR + 3.500 | 238,200 | 5.863 | 6/30/2024 | 239,093 | |||||||||
West Corporation, Incremental Term B-1 Loan + | LIBOR + 3.500 | 250,000 | 5.863 | 10/10/2024 | 250,566 | |||||||||
West Corporation, Initial Term B Loan + | LIBOR + 4.000 | 449,663 | 6.363 | 10/10/2024 | 453,649 | |||||||||
Ziggo Nv, Term Loan E Facility + | LIBOR + 2.500 | 890,000 | 4.855 | 4/16/2025 | 886,849 | |||||||||
31,494,796 | ||||||||||||||
CONSUMER, CYCLICAL - 19.3% | ||||||||||||||
84 Lumber Co., Term B-1 Loan + | LIBOR + 5.250 | 452,375 | 7.616 | 10/24/2023 | 459,726 | |||||||||
Accuride Corporation, 2017 Refinancing Term Loan + | LIBOR + 5.250 | 455,474 | 7.608 | 11/16/2023 | 460,598 | |||||||||
Affinity Gaming LLC, Initial Term Loan + | LIBOR + 3.250 | 362,162 | 5.613 | 6/30/2023 | 365,897 | |||||||||
American Airlines, Inc., 2017 Class B Term Loan + | LIBOR + 2.000 | 494,555 | 4.355 | 12/14/2023 | 495,657 | |||||||||
American Airlines, Inc., 2017 Replacement Term Loan + | LIBOR + 2.000 | 426,723 | 4.358 | 6/28/2020 | 427,890 | |||||||||
American Axle & Manufacturing, Inc., Tranche B Term Loan + | LIBOR + 2.250 | 280,725 | 4.616 | 4/6/2024 | 282,568 | |||||||||
American Builders & Contractors Supply Co., Inc., Term B-2 Loan + | LIBOR + 2.000 | 583,418 | 4.363 | 11/1/2023 | 585,151 | |||||||||
American Greetings Corporation, Initial Term Loan + | LIBOR + 4.500 | 345,000 | 6.853 | 4/6/2024 | 348,019 | |||||||||
Aramark Services, Inc., U.S. Term B-1 Loan + | LIBOR + 2.000 | 1,451,363 | 4.363 | 3/12/2025 | 1,463,380 | |||||||||
Aramark Services, Inc., U.S. Term B Loan + | LIBOR + 2.000 | 330,489 | 4.363 | 3/28/2024 | 332,970 | |||||||||
Aristocrat Leisure Limited, Term B-2 Loan + | LIBOR + 2.000 | 600,187 | 4.359 | 10/20/2021 | 604,406 | |||||||||
Aristocrat Leisure Limited, 2017/2018 Incremental Term Loan + | LIBOR + 2.000 | 1,072,313 | 4.359 | 10/20/2024 | 1,079,588 | |||||||||
Bass Pro Group LLC, Initial Term Loan + | LIBOR + 5.000 | 696,500 | 7.363 | 9/24/2024 | 702,594 | |||||||||
Beacon Roofing Supply, Inc., Initial Term Loan + | LIBOR + 2.250 | 740,000 | 4.603 | 1/2/2025 | 745,354 | |||||||||
Boyd Gaming Corporation, Refinancing Term B Loan + | LIBOR + 2.500 | 803,526 | 4.863 | 9/16/2023 | 808,825 | |||||||||
Caesars Entertainment Operating Co., Inc., Term B Loan + | LIBOR + 2.000 | 1,411,463 | 4.363 | 10/8/2024 | 1,415,873 | |||||||||
Caesars Resort Collection LLC, Term B Loan + | LIBOR + 2.750 | 1,970,063 | 5.113 | 12/24/2024 | 1,988,394 | |||||||||
Caesars, Term B Loan + | LIBOR + 4.000 | 233,825 | 6.363 | 7/8/2024 | 236,603 | |||||||||
Carlisle Companies Incorporated, Delayed Draw Term Loan (First Lien) + | LIBOR + 3.000 | 103,067 | 5.248 | 3/20/2025 | 103,325 | |||||||||
Carlisle Companies Incorporated, Initial Term Loan (First Lien) + | LIBOR + 3.000 | 456,933 | 5.359 | 3/20/2025 | 458,075 | |||||||||
Cineworld Group PLC, Initial Dollar Tranche Term Loan + | LIBOR + 2.500 | 605,000 | 4.863 | 2/28/2025 | 604,936 | |||||||||
Cirque Du Soleil, Inc., Term B Loan (First Lien) + | LIBOR + 3.750 | 628,671 | 6.058 | 7/8/2022 | 629,588 | |||||||||
Citycenter Holdings LLC, Term B Loan + | LIBOR + 2.500 | 560,763 | 4.863 | 4/18/2024 | 564,231 | |||||||||
Cooper-standard Automotive, Inc., Additional Term B-1 Loan + | LIBOR + 2.000 | 187,127 | 4.308 | 11/2/2023 | 188,589 | |||||||||
Deck Chassis Acquisition, Inc., Initial Term Loan (Second Lien) + | LIBOR + 6.000 | 110,000 | 8.363 | 6/16/2023 | 112,200 | |||||||||
Dexko Global, Inc., Replacement U.S. Dollar Term B Loan (First Lien) + | LIBOR + 3.500 | 518,700 | 5.808 | 7/24/2024 | 524,779 | |||||||||
Eldorado Resorts, Inc., Term Loan + | LIBOR + 2.250 | 789,246 | 4.493 | 4/16/2024 | 795,659 | |||||||||
Federal Mogul Corporation, Tranche C Term Loan (2014) + | LIBOR + 3.750 | 774,024 | 6.107 | 4/16/2021 | 783,010 | |||||||||
Gateway Casinos & Entertainment Ltd., Initial Term Loan + | LIBOR + 3.000 | 395,000 | 5.353 | 11/30/2023 | 398,705 | |||||||||
Global Appliance, Inc., Tranche B Term Loan + | LIBOR + 4.000 | 402,975 | 6.363 | 9/28/2024 | 409,523 | |||||||||
Golden Nugget, Inc., Initial B Term Loan + | LIBOR + 2.750 | 476,370 | 5.102 | 10/4/2023 | 480,879 | |||||||||
Greektown Holdings LLC, Initial Term Loan + | LIBOR + 3.000 | 168,725 | 5.363 | 4/24/2024 | 169,288 | |||||||||
Gvc Holdings PLC, Facility B2 (USD) + | LIBOR + 2.500 | 575,000 | 4.863 | 3/28/2024 | 576,737 | |||||||||
Hayward Industries, Inc., Initial Term Loan (First Lien) + | LIBOR + 3.500 | 278,600 | 5.863 | 8/4/2024 | 280,691 | |||||||||
Hd Supply, Inc., Term B-3 Loan + | LIBOR + 2.250 | 344,215 | 4.558 | 8/12/2021 | 347,012 | |||||||||
Hd Supply, Inc., Term B-4 Loan + | LIBOR + 2.500 | 509,569 | 4.808 | 10/16/2023 | 513,646 | |||||||||
Hilton Worldwide Finance LLC, Series B-2 Term Loan + | LIBOR + 1.750 | 1,324,558 | 4.116 | 10/24/2023 | 1,336,896 | |||||||||
Isagenix International LLC, Term Loan + | LIBOR + 5.750 | 590,000 | 8.109 | 4/24/2025 | 592,950 | |||||||||
Kar Auction Services, Inc., Tranche B-5 Term Loan + | LIBOR + 2.500 | 57,867 | 4.808 | 3/8/2023 | 58,216 | |||||||||
Kar Auction Services, Inc., Tranche B-4 Term Loan + | LIBOR + 2.250 | 201,656 | 4.558 | 3/12/2021 | 202,885 | |||||||||
Las Vegas Sands LLC, Refinancing Term Loan (2018) + | LIBOR + 1.750 | 745,000 | 4.113 | 3/28/2025 | 749,846 | |||||||||
Leslie’s Poolmart, Inc., Tranche B-2 Term Loan + | LIBOR + 3.500 | 309,563 | 5.863 | 8/16/2023 | 313,143 | |||||||||
Libbey Glass, Inc., Initial Loan + | LIBOR + 3.000 | 561,586 | 5.337 | 4/8/2021 | 551,857 | |||||||||
Michaels Stores, Inc., 2016 New Replacement Term B-1 Loan + | LIBOR + 2.750 | 521,763 | 5.107 | 1/30/2023 | 525,431 |
See accompanying notes to financial statements.
5
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Floating Rate Bond Fund (Continued) |
April 30, 2018 |
Variable | Principal | Interest | Maturity | |||||||||||
Security | Rate | Amount | Rate | Date | Value | |||||||||
BANK LOANS - 93.1% (Continued) | ||||||||||||||
CONSUMER, CYCLICAL - 19.3% (Continued) | ||||||||||||||
Mohegan Tribal Gaming Authority, Term B Loan + | LIBOR + 4.000 | % | $ | 240,555 | 6.363 | % | 10/12/2023 | $ | 239,203 | |||||
NAI Entertainment Holdings LLC, Term Loan B + | LIBOR + 2.500 | 205,000 | 4.866 | 4/25/2025 | 206,111 | |||||||||
Navistar, Inc., Tranche B Term Loan + | LIBOR + 3.500 | 940,000 | 5.853 | 11/6/2024 | 947,492 | |||||||||
Neiman Marcus Group Ltd. LLC, Other Term Loan + | LIBOR + 3.250 | 820,892 | 5.603 | 10/24/2020 | 723,924 | |||||||||
Petsmart, Inc., Tranche B-2 Loan + | LIBOR + 3.000 | 729,962 | 5.369 | 3/12/2022 | 576,123 | |||||||||
Playa Resorts Holding Bv, Initial Term Loan + | LIBOR + 3.250 | 854,634 | 5.609 | 4/28/2024 | 860,937 | |||||||||
Scientific Games International, Inc., Initial Term B-5 Loan + | LIBOR + 2.750 | 808,013 | 5.069 | 8/14/2024 | 813,883 | |||||||||
Serta Simmons Bedding LLC, Initial Term Loan (First Lien) + | LIBOR + 3.500 | 302,175 | 5.821 | 11/8/2023 | 274,062 | |||||||||
Siteone Landscape Supply Holding LLC, Tranche D Term Loan + | LIBOR + 2.750 | 569,174 | 5.113 | 4/28/2022 | 572,734 | |||||||||
SMG Holdings, Inc., Initial Term Loan (First Lien) + | LIBOR + 3.250 | 120,000 | 5.613 | 1/24/2025 | 121,300 | |||||||||
Spin Holdco, Inc., Term B-1 Loan (First Lien) + | LIBOR + 3.250 | 828,571 | 5.002 | 11/14/2022 | 835,651 | |||||||||
SRAM LLC, New Term Loan (2018) (First Lien) + | LIBOR + 2.750 | 628,745 | 5.112 | 3/16/2024 | 632,285 | |||||||||
Staples, Inc., Closing Date Term Loan + | LIBOR + 4.000 | 368,078 | 6.354 | 9/12/2024 | 364,756 | |||||||||
Station Casinos LLC, Term B Facility Loan + | LIBOR + 2.500 | 877,909 | 4.863 | 6/8/2023 | 882,162 | |||||||||
Ti Automotive Ltd., Initial US Term Loan + | LIBOR + 2.500 | 245,738 | 4.863 | 6/30/2022 | 247,581 | |||||||||
Topco Alpha Ltd., Facility B3 (USD) + | LIBOR + 2.500 | 615,202 | 5.012 | 1/31/2024 | 615,106 | |||||||||
United Airlines, Inc., Class B Term Loan + | LIBOR + 2.000 | 490,050 | 4.363 | 3/31/2024 | 492,603 | |||||||||
Univar Usa, Inc., Term B-3 Loan + | LIBOR + 2.500 | 988,128 | 4.863 | 6/30/2024 | 998,088 | |||||||||
Us Airways Group, Inc., 2017 Class B Term Loans + | LIBOR + 2.000 | 88,110 | 4.363 | 4/28/2023 | 88,299 | |||||||||
Wastequip LLC, Closing Date Term Loan (First Lien) + | LIBOR + 3.500 | 640,000 | 5.859 | 3/20/2025 | 643,802 | |||||||||
Wyndham Hotels & Resorts, Inc., Term Loan B + | LIBOR + 1.750 | 1,135,000 | 4.058 | 3/28/2025 | 1,145,221 | |||||||||
37,356,913 | ||||||||||||||
CONSUMER, NON-CYCLICAL - 18.6% | ||||||||||||||
21st Century Oncology Holdings, Inc., Tranche B Term Loan + | LIBOR + 6.125 | 146,245 | 8.480 | 1/16/2023 | 140,980 | |||||||||
Acadia Healthcare Company, Inc., Tranche B-4 Term Loan + | LIBOR + 2.500 | 293,303 | 4.863 | 2/16/2023 | 296,543 | |||||||||
Air Medical Group Holdings, Inc., 2018 New Term Loan + | LIBOR + 4.250 | 94,763 | 6.605 | 3/14/2025 | 95,898 | |||||||||
Akorn, Inc., Loan + | LIBOR + 4.250 | 258,135 | 6.613 | 4/16/2021 | 254,263 | |||||||||
Albertson’s LLC, 2017-1 Term B-5 Loan + | LIBOR + 3.000 | 249,224 | 5.295 | 12/20/2022 | 247,761 | |||||||||
Albertson’s LLC, 2017-1 Term B-4 Loan + | LIBOR + 2.750 | 1,153,697 | 5.113 | 8/24/2021 | 1,144,542 | |||||||||
Amneal Pharmaceuticals LLC, Initial Term Loan + | LIBOR + 3.500 | 610,000 | 5.869 | 5/4/2025 | 613,623 | |||||||||
Amneal Pharmaceuticals LLC, Term Loan B Retired 05/04/2018 + | LIBOR + 3.500 | 327,205 | 5.863 | 11/2/2019 | 328,910 | |||||||||
Ardent Legacy Acquisitions, Inc., Term Loan + | LIBOR + 5.500 | 186,225 | 7.863 | 8/4/2021 | 187,389 | |||||||||
Asgn, Inc., Initial Term B-2 Loan + | LIBOR + 2.000 | 535,000 | 4.363 | 4/2/2025 | 538,344 | |||||||||
Avantor, Inc., Initial Dollar Term Loan + | LIBOR + 4.000 | 663,338 | 6.363 | 11/20/2024 | 671,573 | |||||||||
Brickman Group Holdings, Inc., Initial Term Loan (First Lien) + | LIBOR + 3.000 | 665,488 | 5.361 | 12/18/2020 | 670,400 | |||||||||
Brickman Group Holdings, Inc., Initial Term Loan (Second Lien) + | LIBOR + 6.500 | 116,553 | 8.859 | 12/16/2021 | 117,598 | |||||||||
Catalent Pharma Solutions, Inc., Dollar Term Loan + | LIBOR + 2.250 | 720,150 | 4.613 | 5/20/2024 | 724,258 | |||||||||
Change Healthcare Holdings, Inc., Closing Date Term Loan + | LIBOR + 2.750 | 985,050 | 5.113 | 2/29/2024 | 990,054 | |||||||||
CHG Healthcare Services, Inc., New Term Loan (2017) (First Lien) + | LIBOR + 3.000 | 269,635 | 5.363 | 6/8/2023 | 272,276 | |||||||||
CHG PPC Parent LLC, Initial Term Loan (First Lien) + | LIBOR + 2.750 | 590,000 | 5.113 | 4/1/2025 | 593,687 | |||||||||
Chobani LLC, New Term Loan (First Lien) + | LIBOR + 3.500 | 655,559 | 5.863 | 10/10/2023 | 659,928 | |||||||||
Community Health Systems, Inc., Incremental 2021 Term H Loan + | LIBOR + 3.250 | 810,064 | 5.267 | 1/28/2021 | 787,788 | |||||||||
Community Health Systems, Inc., Incremental 2019 Term G Loan + | LIBOR + 3.000 | 608,749 | 5.017 | 1/1/2020 | 600,142 | |||||||||
Concordia International Corp., Initial Dollar Term Loan + | LIBOR + 4.250 | 143,813 | 6.613 | 10/20/2021 | 131,033 | |||||||||
CPI Acquisition, Inc., Term Loan (First Lien) + | LIBOR + 4.500 | 1,518,336 | 6.837 | 8/16/2022 | 976,791 | |||||||||
Cryolife, Inc., Initial Term Loan + | LIBOR + 4.000 | 239,400 | 6.308 | 12/2/2024 | 242,393 | |||||||||
Diamond Bv, Initial USD Term Loan + | LIBOR + 3.000 | 588,525 | 5.308 | 9/6/2024 | 588,802 | |||||||||
Djo Finance LLC, Initial Term Loan + | LIBOR + 3.250 | 745,481 | 5.587 | 6/8/2020 | 749,905 | |||||||||
Dole Food Company, Inc., Tranche B Term Loan + | LIBOR + 2.750 | 529,875 | 5.109 | 4/6/2024 | 533,054 | |||||||||
Endo Luxembourg Finance Company I Sarl, Initial Term Loan + | LIBOR + 4.250 | 501,213 | 6.613 | 4/28/2024 | 499,255 | |||||||||
Envision Healthcare Corporation, Initial Term Loan + | LIBOR + 3.000 | 432,234 | 5.363 | 11/30/2023 | 434,665 | |||||||||
Explorer Holdings, Inc., Initial Term Loan + | LIBOR + 3.750 | 396,970 | 6.113 | 5/2/2023 | 400,939 | |||||||||
Fort Dearborn Holding Company, Inc., Initial Term Loan (First Lien) + | LIBOR + 4.000 | 396,619 | 6.321 | 10/20/2023 | 392,157 | |||||||||
Garda World Security Corporation, Term B Loan + | LIBOR + 3.500 | 229,511 | 5.525 | 5/24/2024 | 232,380 | |||||||||
Greatbatch Ltd., New Term B Loan (2017) + | LIBOR + 3.250 | 81,124 | 5.589 | 10/28/2022 | 81,986 | |||||||||
Greenrock Finance, Inc., Initial USD Term B Loan (First Lien) + | LIBOR + 3.500 | 254,363 | 5.808 | 6/28/2024 | 256,853 | |||||||||
Heartland Dental, LLC, Delayed Term Loan + | LIBOR + 3.750 | 81,448 | 6.112 | 4/18/2025 | 81,856 |
See accompanying notes to financial statements.
6
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Floating Rate Bond Fund (Continued) |
April 30, 2018 |
Variable | Principal | Interest | Maturity | |||||||||||
Security | Rate | Amount | Rate | Date | Value | |||||||||
BANK LOANS - 93.1% (Continued) | ||||||||||||||
CONSUMER, NON-CYCLICAL - 18.6% (Continued) | ||||||||||||||
Heartland Dental, LLC, Term Loan + | LIBOR + 3.750 | % | $ | 542,989 | 6.112 | % | 4/18/2025 | $ | 545,704 | |||||
Herbalife Nutrition Ltd., Senior Lien Term Loan + | LIBOR + 5.500 | 171,125 | 7.863 | 2/16/2023 | 173,478 | |||||||||
Hostess Brands LLC, November 2017 Refinancing Term B Loan + | LIBOR + 2.250 | 373,694 | 4.613 | 8/4/2022 | 377,010 | |||||||||
Immucor, Inc., Term B-3 Loan + | LIBOR + 5.000 | 39,700 | 7.308 | 6/16/2021 | 40,692 | |||||||||
Jaguar Holding Co., 2018 Term Loan + | LIBOR + 2.500 | 944,454 | 4.834 | 8/18/2022 | 950,730 | |||||||||
JBS USA LLC, Initial Term Loan + | LIBOR + 2.500 | 1,377,866 | 4.722 | 10/30/2022 | 1,378,727 | |||||||||
Kindred Healthcare, Inc., New Term Loan + | LIBOR + 3.500 | 168,501 | 5.837 | 4/8/2021 | 169,134 | |||||||||
Laureate Education, Inc., Series 2024 Term Loan + | LIBOR + 3.500 | 810,523 | 5.863 | 4/26/2024 | 817,109 | |||||||||
Milk Specialties Global Animal Nutrition, New Term Loan + | LIBOR + 4.000 | 337,855 | 6.308 | 8/16/2023 | 339,862 | |||||||||
Multiplan, Inc., Initial Term Loan + | LIBOR + 2.750 | 112,303 | 5.058 | 6/8/2023 | 113,012 | |||||||||
National Veterinary Associates, Inc., Term B-3 Loan (First Lien) + | LIBOR + 2.750 | 780,000 | 5.058 | 2/2/2025 | 784,387 | |||||||||
North American Bancard, Inc., 2018 Refinancing Term Loan + | LIBOR + 3.000 | 582,075 | 5.308 | 6/30/2024 | 586,682 | |||||||||
One Call Care Management, Inc., Term B Loan + | LIBOR + 4.000 | 779,558 | 6.354 | 11/28/2020 | 766,239 | |||||||||
Ortho-Clinical Diagnostics, Inc., Initial Term Loan + | LIBOR + 3.750 | 647,591 | 6.108 | 6/30/2021 | 652,716 | |||||||||
Parexel International Corporation, Initial Term Loan + | LIBOR + 2.750 | 621,875 | 5.113 | 9/28/2024 | 624,695 | |||||||||
Parfums Holding Co., Inc., Initial Term Loan (First Lien) + | LIBOR + 4.750 | 466,525 | 7.058 | 6/30/2024 | 472,258 | |||||||||
Petvet Care Centers LLC, Delayed Draw Term Loan (First Lien) + | LIBOR + 2.750 | 137,500 | 4.623 | 2/14/2025 | 136,190 | |||||||||
Petvet Care Centers LLC, Initial Term Loan (First Lien) + | LIBOR + 2.750 | 467,500 | 5.105 | 2/14/2025 | 463,045 | |||||||||
Pharmerica Corporation, Initial Term Loan (First Lien) + | LIBOR + 3.500 | 305,000 | 5.837 | 12/6/2024 | 306,906 | |||||||||
Pharmerica Corporation, Initial Term Loan (Second Lien) + | LIBOR + 7.750 | 30,000 | 10.087 | 12/4/2025 | 30,150 | |||||||||
Post Holdings, Inc., Series A Incremental Term Loan + | LIBOR + 2.000 | 771,931 | 4.362 | 5/24/2024 | 776,412 | |||||||||
Prestige Brands, Inc., Term B-4 Loan + | LIBOR + 2.000 | 138,000 | 4.363 | 1/26/2024 | 138,992 | |||||||||
Prime Security Services Borrower LLC, 2016-2 Refinancing Term B-1 Loan (First Lien) + | LIBOR + 2.750 | 467,665 | 5.113 | 5/2/2022 | 471,173 | |||||||||
Prospect Medical Holdings, Inc., Term B-1 Loan + | LIBOR + 5.500 | 255,000 | 7.863 | 2/22/2024 | 256,912 | |||||||||
Quorum Health Corp., Term Loan + | LIBOR + 6.750 | 128,964 | 9.113 | 4/28/2022 | 132,007 | |||||||||
Revlon Consumer Products Corporation, Initial Term B Loan + | LIBOR + 3.500 | 656,713 | 5.863 | 9/8/2023 | 509,363 | |||||||||
Select Medical Corp., Tranche B Term Loan + | LIBOR + 2.750 | 297,000 | 5.088 | 2/28/2021 | 300,341 | |||||||||
Servicemaster Company, LLC, Tranche C Term Loan + | LIBOR + 2.500 | 866,030 | 4.863 | 11/8/2023 | 873,339 | |||||||||
Sigma Bidco Bv Term, Term Loan B + | LIBOR + 3.000 | 555,000 | 5.057 | 3/8/2025 | 557,289 | |||||||||
Sotera Health Holdings LLC, Incremental Term Loan + | LIBOR + 3.000 | 1,021,823 | 5.363 | 5/16/2022 | 1,028,532 | |||||||||
St. George’s University, Term Loan + | LIBOR + 3.750 | 207,750 | 6.113 | 7/6/2022 | 209,827 | |||||||||
Surgery Center Holdings, Inc., Initial Term Loan + | LIBOR + 3.250 | 761,175 | 5.613 | 9/2/2024 | 763,911 | |||||||||
Syneos Health, Inc., Initial Term B Loan Retired 05/04/2018 + | LIBOR + 2.250 | 271,641 | 4.613 | 8/1/2024 | 272,999 | |||||||||
Tennessee Merger Sub, Inc., Initial Term Loan + | LIBOR + 2.750 | 294,834 | 5.113 | 2/6/2024 | 286,357 | |||||||||
Transunion LLC, 2017 Replacement Term B-3 Loan + | LIBOR + 3.500 | 1,150,194 | 4.363 | 4/10/2023 | 1,154,898 | |||||||||
U.S. Renal Care Inc., Initial Term Loan (First Lien) + | LIBOR + 4.250 | 622,985 | 6.558 | 12/30/2022 | 621,687 | |||||||||
US Foods, Inc., Initial Term Loan + | LIBOR + 2.500 | 460,793 | 4.863 | 6/28/2023 | 465,546 | |||||||||
Valeant Pharmaceuticals, Series F-4 Tranche B Term Loan + | LIBOR + 3.500 | 1,137,857 | 5.842 | 3/31/2022 | 1,152,023 | |||||||||
Wex Inc., Term B-2 Loan + | LIBOR + 2.250 | 488,273 | 4.613 | 6/30/2023 | 492,103 | |||||||||
Zep Inc., Initial Term Loan (First Lien) + | LIBOR + 4.000 | 278,600 | 6.363 | 8/12/2024 | 280,574 | |||||||||
36,011,037 | ||||||||||||||
ENERGY - 4.6% | ||||||||||||||
Blackhawk Mining LLC, Initial B-1 Term Loan (First Lien) + | LIBOR + 10.000 | 263,414 | 12.363 | 2/16/2022 | 225,631 | |||||||||
California Resources Corp., Initial Loan + | LIBOR + 4.750 | 405,000 | 7.109 | 1/1/2023 | 415,125 | |||||||||
Chesapeake Energy Corporation, Class A Loan + | LIBOR + 7.500 | 300,000 | 9.484 | 8/24/2021 | 318,000 | |||||||||
Chief Exploration & Development LLC, Term Loan (Second Lien) + | LIBOR + 6.500 | 172,000 | 8.722 | 5/16/2021 | 170,764 | |||||||||
Contura Energy, Inc., Term Loan + | LIBOR + 5.000 | 541,096 | 7.363 | 3/18/2024 | 542,449 | |||||||||
Delek Us Energy, Inc., Initial Loan + | LIBOR + 2.500 | 575,000 | 4.863 | 4/1/2025 | 579,853 | |||||||||
Fieldwood Energy LLC + | LIBOR + 7.125 | 134,102 | 8.459 | 9/30/2020 | 28,162 | |||||||||
Fieldwood Energy LLC, Closing Date Loan (First Lien) + | LIBOR + 5.250 | 180,554 | 7.613 | 4/12/2022 | 181,795 | |||||||||
Fieldwood Energy LLC, Closing Date Loan 2018 (Second Lien) + | LIBOR + 7.250 | 81,748 | 9.613 | 4/12/2023 | 79,219 | |||||||||
Gavilan Resources LLC, Initial Term Loan (Second Lien) + | LIBOR + 6.000 | 490,000 | 8.355 | 2/29/2024 | 489,591 | |||||||||
Mcdermott International, Inc., Term Loan B + | LIBOR + 5.000 | 715,000 | 7.321 | 4/4/2025 | 711,539 | |||||||||
Medallion Midland Acquisition LLC, Initial Term Loan + | LIBOR + 3.250 | 573,563 | 5.613 | 10/30/2024 | 575,713 | |||||||||
Meg Energy Corp., Initial Term Loan + | LIBOR + 3.500 | 112,897 | 5.808 | 1/1/2024 | 113,617 | |||||||||
MRC Global Inc., 2017 Refinancing Term Loan + | LIBOR + 3.500 | 399,000 | 5.863 | 9/20/2024 | 402,743 | |||||||||
Paragon Offshore Finance Co., Term Loan + | LIBOR + 2.750 | 1,425 | 4.500 | 7/16/2021 | — |
See accompanying notes to financial statements.
7
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Floating Rate Bond Fund (Continued) |
April 30, 2018 |
Variable | Principal | Interest | Maturity | |||||||||||
Security | Rate | Amount | Rate | Date | Value | |||||||||
BANK LOANS - 93.1% (Continued) | ||||||||||||||
ENERGY - 4.6% (Continued) | ||||||||||||||
Peabody Energy Corporation, 2018 Refinancing Term Loan + | LIBOR + 2.750 | % | $ | 136,149 | 5.113 | % | 4/1/2025 | $ | 136,731 | |||||
Seadrill Operating LP, Initial Term Loan + | LIBOR + 6.000 | 1,300,232 | 8.308 | 2/20/2021 | 1,117,653 | |||||||||
Terraform Power Operating LLC, Term Loan + | LIBOR + 2.750 | 608,475 | 5.113 | 11/8/2022 | 612,531 | |||||||||
Thermon Holding Corp., Term B Loan + | LIBOR + 3.750 | 161,550 | 6.104 | 10/30/2024 | 162,762 | |||||||||
Traverse Midstream PartnersLLC, Advance + | LIBOR + 4.000 | 580,000 | 6.308 | 9/28/2024 | 584,077 | |||||||||
Ultra Resources, Inc., Term Loan + | LIBOR + 3.000 | 665,000 | 5.355 | 4/12/2024 | 624,894 | |||||||||
Weatherford International Ltd., Term Loan + | LIBOR + 2.300 | 753,065 | 4.663 | 7/12/2020 | 746,008 | |||||||||
8,818,857 | ||||||||||||||
FINANCIAL - 7.5% | ||||||||||||||
Alixpartners, LLP, 2017 Refinancing Term Loan + | LIBOR + 2.750 | 1,149,892 | 5.058 | 4/4/2024 | 1,157,079 | |||||||||
Asurion LLC, Amendment No. 14 Replacement B-4 Term Loan + | LIBOR + 2.750 | 327,304 | 5.113 | 11/4/2023 | 330,015 | |||||||||
Asurion LLC, Replacement B-6 Term Loan + | LIBOR + 2.750 | 627,954 | 5.113 | 8/4/2022 | 632,958 | |||||||||
Asurion LLC, Second Lien Replacement B-2 Term Loan + | LIBOR + 6.000 | 537,456 | 8.363 | 8/4/2025 | 553,580 | |||||||||
Capital Automotive LP, Initial Tranche B Term Loan (Second Lien) + | LIBOR + 6.000 | 386,850 | 8.363 | 3/24/2025 | 392,653 | |||||||||
Capital Automotive LP, Initial Tranche B-2 Term Loan (First Lien) + | LIBOR + 2.500 | 1,015,350 | 4.863 | 3/24/2024 | 1,021,223 | |||||||||
Delos Finance Sarl, New Loan (2018) + | LIBOR + 1.750 | 300,000 | 4.058 | 10/6/2023 | 302,356 | |||||||||
Ditech Holding Corporation, Tranche B Term Loan + | LIBOR + 6.000 | 1,211,405 | 8.363 | 6/30/2022 | 1,141,749 | |||||||||
DTZ U.S. Borrower LLC, 2015-1 Additional Term Loan (First Lien) + | LIBOR + 3.250 | 583,500 | 5.488 | 11/4/2021 | 585,405 | |||||||||
Duff & Phelps LLC, Initial Term Loan + | LIBOR + 3.250 | 600,000 | 5.558 | 2/12/2025 | 602,061 | |||||||||
Focus Financial Partners, LLC, Tranche B-1 Term Loan (First Lien) + | LIBOR + 2.750 | 537,825 | 5.058 | 7/4/2024 | 541,942 | |||||||||
Fortress Investment Group LLC, Initial Term Loan + | LIBOR + 2.750 | 389,386 | 5.113 | 12/28/2022 | 394,092 | |||||||||
Genworth Holdings, Inc., Initial Loan + | LIBOR + 4.500 | 105,000 | 6.837 | 3/8/2023 | 106,969 | |||||||||
Istar Inc., Term Loan + | LIBOR + 3.000 | 14,709 | 5.364 | 9/30/2021 | 14,819 | |||||||||
Lightstone Generation LLC, Refinancing Term B Loan + | LIBOR + 3.750 | 7,884 | 6.113 | 1/30/2024 | 7,963 | |||||||||
Lightstone Generation LLC, Refinancing Term C Loan + | LIBOR + 3.750 | 123,139 | 6.113 | 1/30/2024 | 124,371 | |||||||||
MGM Growth Properties Operating Partnership LP, Term B Loan + | LIBOR + 2.000 | 369,460 | 4.363 | 4/24/2023 | 371,972 | |||||||||
Realogy Group LLC, Extended 2025 Term Loan + | LIBOR + 2.250 | 448,728 | 4.587 | 2/8/2025 | 452,060 | |||||||||
Sedgwick Holdings, Inc., Initial Loan (Second Lien) + | LIBOR + 5.750 | 1,665,011 | 5.113 | 2/28/2021 | 1,668,483 | |||||||||
Sedgwick Holdings, Inc., Initial Term Loan (First Lien) + | LIBOR + 2.750 | 425,000 | 8.113 | 2/28/2022 | 429,516 | |||||||||
Sedgwick Holdings, Inc., New Loan (Second Lien) + | LIBOR + 5.750 | 195,000 | 7.767 | 2/28/2022 | 197,072 | |||||||||
TKC Holdings, Inc., Initial Term Loan (First Lien) + | LIBOR + 4.250 | 633,749 | 6.613 | 1/31/2023 | 640,483 | |||||||||
UFC Holdings LLC, Term Loan (First Lien) + | LIBOR + 3.250 | 598,893 | 5.613 | 8/18/2023 | 602,849 | |||||||||
Uniti Group, Inc., Shortfall Term Loan + | LIBOR + 3.000 | 580,953 | 5.363 | 10/24/2022 | 561,590 | |||||||||
Vf Holding Corp., Term B-1 Loan (First Lien) + | LIBOR + 3.250 | 645,274 | 5.613 | 6/30/2023 | 651,414 | |||||||||
Vici Properties 1 LLC, Term B Loan + | LIBOR + 2.000 | 367,500 | 4.360 | 12/20/2024 | 369,286 | |||||||||
Zodiac Pool Solutions LLC, Term Loan B + | LIBOR + 2.250 | 550,000 | 4.321 | 3/8/2025 | 553,267 | |||||||||
14,407,227 | ||||||||||||||
INDUSTRIALS - 12.1% | ||||||||||||||
Accudyne Industries Borrower, Initial Term Loan + | LIBOR + 3.250 | 417,900 | 5.613 | 8/18/2024 | 421,178 | |||||||||
Advanced Disposal Services, Inc., Additional Term Loan + | LIBOR + 2.250 | 970,677 | 4.619 | 11/10/2023 | 978,025 | |||||||||
Anchor Glass Container Corp., July 2017 Additional Term Loan (First Lien) + | LIBOR + 2.750 | 432,432 | 5.100 | 12/8/2023 | 422,315 | |||||||||
Anchor Glass Container Corp., Term Loan (Second Lien) + | LIBOR + 7.750 | 244,000 | 10.092 | 12/8/2024 | 232,105 | |||||||||
Apergy Corp., Initial Term Loan + | LIBOR + 2.500 | 130,000 | 4.859 | 5/8/2025 | 130,975 | |||||||||
Berlin Packaging LLC, 2017 Replacement Term Loans (First Lien) + | LIBOR + 3.250 | 390,554 | 5.609 | 10/1/2021 | 391,992 | |||||||||
Berry Global, Inc., Term Q Loan + | LIBOR + 2.000 | 328,143 | 4.353 | 9/30/2022 | 330,655 | |||||||||
Berry Global, Inc., Term P Loan + | LIBOR + 2.000 | 417,785 | 4.337 | 1/6/2021 | 420,945 | |||||||||
Berry Global, Inc., Term O Loan + | LIBOR + 2.000 | 259,134 | 4.337 | 2/8/2020 | 260,970 | |||||||||
Berry Global, Inc., Term R Loan + | LIBOR + 2.000 | 526,690 | 4.337 | 1/20/2024 | 530,453 | |||||||||
Brand Energy & Infrastructure Services, Inc., Initial Term Loan + | LIBOR + 4.250 | 705,172 | 6.610 | 6/20/2024 | 713,021 | |||||||||
Bway Holding Co., Inc., Initial Term Loan + | LIBOR + 3.250 | 486,325 | 5.587 | 4/4/2024 | 489,800 | |||||||||
Casella Waste Systems, Inc., Term B-1 Loan + | LIBOR + 2.500 | 395,000 | 4.855 | 10/16/2023 | 398,458 | |||||||||
Circor International, Inc., Initial Term Loan + | LIBOR + 3.500 | 693,262 | 5.842 | 12/12/2024 | 697,166 | |||||||||
CPG International LLC, New Term Loan + | LIBOR + 3.750 | 536,106 | 6.058 | 5/4/2024 | 541,215 | |||||||||
Drillship Hydra Owners, Inc., Term Loan + | LIBOR + 8.000 | 28,380 | 8.000 | 9/20/2024 | 29,799 | |||||||||
Filtration Group, Inc., Initial Dollar Term Loan + | LIBOR + 3.000 | 865,000 | 5.308 | 3/28/2025 | 874,640 | |||||||||
Gardner Denver, Inc., Tranche B-1 Dollar Term Loan + | LIBOR + 2.750 | 1,378,108 | 5.058 | 7/30/2024 | 1,387,844 | |||||||||
Gates Global LLC, Initial B-2 Dollar Term Loan + | LIBOR + 2.750 | 629,609 | 5.058 | 3/31/2024 | 634,180 |
See accompanying notes to financial statements.
8
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Floating Rate Bond Fund (Continued) |
April 30, 2018 |
Variable | Principal | Interest | Maturity | |||||||||||
Security | Rate | Amount | Rate | Date | Value | |||||||||
BANK LOANS - 93.1% (Continued) | ||||||||||||||
INDUSTRIALS - 12.1% (Continued) | ||||||||||||||
Gopher Resource LLC, Initial Term Loan + | LIBOR + 3.250 | % | $ | 475,000 | 5.297 | % | 3/6/2025 | $ | 481,234 | |||||
Husky Injection Molding Systems Ltd., Initial Term Loan + | LIBOR + 3.000 | 1,020,000 | 5.363 | 3/28/2025 | 1,022,550 | |||||||||
Klockner Pentaplast Of America, Inc., Dollar Term Loan + | LIBOR + 4.250 | 870,625 | 6.613 | 6/30/2022 | 828,957 | |||||||||
Nn, Inc., 2017 Incremental Term Loan + | LIBOR + 3.250 | 182,400 | 5.613 | 4/2/2021 | 182,628 | |||||||||
Nn, Inc., Tranche B Term Loan + | LIBOR + 3.750 | 214,577 | 6.113 | 10/20/2022 | 214,845 | |||||||||
Paladin Brands Holding, Inc., Term Loan + | LIBOR + 5.500 | 259,310 | 7.808 | 8/16/2022 | 262,551 | |||||||||
Pro Mach Group, Inc., Initial Term Loan (First Lien) + | LIBOR + 3.000 | 565,000 | 5.057 | 3/8/2025 | 566,766 | |||||||||
Quikrete Companies, LLC, Initial Loan (First Lien) + | LIBOR + 2.750 | 786,538 | 5.113 | 11/16/2023 | 790,829 | |||||||||
Rexnord LLC, Refinancing Term Loan + | LIBOR + 2.250 | 883,830 | 4.610 | 8/20/2024 | 891,290 | |||||||||
Reynolds Group Holdings Ltd., Incremental U.S. Term Loan + | LIBOR + 2.750 | 830,940 | 5.113 | 2/4/2023 | 837,330 | |||||||||
Robertshaw US Holding Corp., Initial Term Loan (First Lien) + | LIBOR + 3.500 | 455,000 | 5.863 | 2/28/2025 | 459,480 | |||||||||
Spectrum Plastics Group, Delayed Draw Term Loan (First Lien) + | LIBOR + 3.250 | 43,650 | 5.017 | 1/31/2025 | 43,823 | |||||||||
Spectrum Plastics Group, 2017 Refinancing Term Loan + | LIBOR + 5.250 | 441,350 | 5.613 | 2/1/2025 | 446,315 | |||||||||
Summit Materials, LLC, New Term Loan + | LIBOR + 2.250 | 937,650 | 4.613 | 11/20/2024 | 944,392 | |||||||||
Tekni-Plex, Inc., Tranche B-1 Term Loan + | LIBOR + 3.250 | 498,750 | 5.613 | 10/16/2024 | 502,179 | |||||||||
Transdigm Group, Inc., New Tranche F Term Loan + | LIBOR + 2.750 | 1,103,136 | 5.094 | 6/8/2023 | 1,109,154 | |||||||||
Transdigm Group, Inc., New Tranche E Term Loan + | LIBOR + 2.750 | 388,528 | 5.113 | 5/14/2022 | 390,601 | |||||||||
Transdigm Group, Inc., New Tranche G Term Loan + | LIBOR + 2.500 | 745,379 | 4.820 | 8/22/2024 | 749,986 | |||||||||
Transplace Holdings, Inc., Closing Date Term Loan (First Lien) + | LIBOR + 4.250 | 534,500 | 6.103 | 10/8/2024 | 538,709 | |||||||||
Tricorbraun Holdings, Inc., Delayed Draw Term Loan (First Lien) + | LIBOR + 3.750 | 58,982 | 5.734 | 11/30/2023 | 59,440 | |||||||||
Tricorbraun Holdings, Inc., Closing Date Term Loan (First Lien) + | LIBOR + 3.750 | 585,372 | 6.058 | 11/30/2023 | 589,920 | |||||||||
Trident TPI Holdings, Inc., Incremental Term Loan + | LIBOR + 3.250 | 105,000 | 5.571 | 10/5/2024 | 105,656 | |||||||||
Us Farathane LLC, Term B-4 Loan + | LIBOR + 3.500 | 397,077 | 5.808 | 12/24/2021 | 398,069 | |||||||||
Wrangler Buyer Corp., Initial Term Loan + | LIBOR + 3.000 | 763,088 | 5.363 | 9/28/2024 | 767,739 | |||||||||
Zodiac Pool Solutions Sas, Tranche B-1 Term Loan (First Lien) + | LIBOR + 4.000 | 320,946 | 6.308 | 12/20/2023 | 321,547 | |||||||||
23,391,726 | ||||||||||||||
TECHNOLOGY - 9.0% | ||||||||||||||
Aon Hewitt LLC, Initial Term Loan + | LIBOR + 3.000 | 555,800 | 5.363 | 4/30/2024 | 559,679 | |||||||||
Applied Systems, Inc., Initial Term Loan (First Lien) + | LIBOR + 3.250 | 631,825 | 5.558 | 9/20/2024 | 638,143 | |||||||||
Applied Systems, Inc., Initial Term Loan (Second Lien) + | LIBOR + 7.000 | 105,000 | 9.308 | 9/20/2025 | 108,727 | |||||||||
Blackboard Inc., Term B-4 Loan (First Lien) + | LIBOR + 5.000 | 808,269 | 7.359 | 6/30/2021 | 764,320 | |||||||||
BMC Software Finance, Inc., Initial B-2 US Term Loan + | LIBOR + 3.250 | 1,025,684 | 5.613 | 9/10/2022 | 1,031,177 | |||||||||
Dell International LLC, Refinancing Term B Loan + | LIBOR + 2.000 | 1,471,692 | 4.363 | 9/8/2023 | 1,477,668 | |||||||||
Everi Payments, Inc., Term B Loan + | LIBOR + 3.500 | 392,038 | 5.808 | 5/8/2024 | 395,531 | |||||||||
First Data Corporation, 2022D New Dollar Term Loan + | LIBOR + 2.250 | 1,381,406 | 4.612 | 7/8/2022 | 1,387,885 | |||||||||
First Data Corporation, 2024A New Dollar Term Loan + | LIBOR + 2.250 | 1,611,807 | 4.612 | 4/26/2024 | 1,619,286 | |||||||||
Harland Clarke Holdings Corp., Initial Term Loan + | LIBOR + 4.750 | 347,398 | 7.058 | 11/4/2023 | 350,764 | |||||||||
Infor, Inc., Tranche B-6 Term Loan + | LIBOR + 2.750 | 1,236,272 | 5.113 | 1/31/2022 | 1,243,486 | |||||||||
Intralinks Holdings, Inc., Initial Term Loan (First Lien) + | LIBOR + 4.000 | 523,687 | 6.363 | 11/14/2024 | 528,052 | |||||||||
Iqvia, Inc., Term B-1 Dollar Loan + | LIBOR + 2.000 | 318,995 | 4.308 | 3/8/2024 | 321,268 | |||||||||
Iqvia, Inc., Incremental Term B-2 Dollar Loan + | LIBOR + 2.000 | 74,625 | 4.308 | 1/16/2025 | 75,082 | |||||||||
Kronos, Inc., Incremental Term Loan (First Lien) + | LIBOR + 3.000 | 1,383,013 | 5.354 | 10/31/2023 | 1,396,643 | |||||||||
Kronos, Inc., Initial Term Loan (Second Lien) + | LIBOR + 8.250 | 120,000 | 10.604 | 10/31/2024 | 124,706 | |||||||||
Leidos Innovations Corp., B Term Loan + | LIBOR + 1.750 | 208,295 | 4.113 | 8/16/2023 | 210,248 | |||||||||
Neustar, Inc., TLB4 (First Lien) + | LIBOR + 3.500 | 233,825 | 5.863 | 8/8/2024 | 234,786 | |||||||||
Neustar, Inc., TLB3 (First Lien) + | LIBOR + 2.500 | 48,856 | 4.808 | 1/8/2020 | 49,168 | |||||||||
Presidio LLC, Term B Loan + | LIBOR + 2.750 | 584,433 | 5.063 | 2/2/2024 | 587,814 | |||||||||
Rackspace Hosting, Inc., Term B Loan (First Lien) + | LIBOR + 3.000 | 871,385 | 5.353 | 11/4/2023 | 870,357 | |||||||||
Science Applications International Corp., Tranche B Incremental Loan + | LIBOR + 2.000 | 231,946 | 4.353 | 5/4/2022 | 234,361 | |||||||||
SS&C Technologies, Inc., Term B-3 Loan + | LIBOR + 2.500 | 1,330,402 | 4.863 | 4/16/2025 | 1,340,965 | |||||||||
SS&C Technologies, Inc., Term B-4 Loan + | LIBOR + 2.500 | 474,598 | 4.863 | 4/16/2025 | 478,366 | |||||||||
Veritas Technologies LLC, New Dollar Term B Loan + | LIBOR + 4.500 | 565,760 | 6.808 | 1/28/2023 | 558,247 | |||||||||
Western Digital Corporation, U.S. Term B-3 Loan + | LIBOR + 2.000 | 749,972 | 4.358 | 4/28/2023 | 755,866 | |||||||||
17,342,595 |
See accompanying notes to financial statements.
9
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Floating Rate Bond Fund (Continued) |
April 30, 2018 |
Variable | Principal | Interest | Maturity | |||||||||||
Security | Rate | Amount | Rate | Date | Value | |||||||||
BANK LOANS - 93.1% (Continued) | ||||||||||||||
UTILITIES - 2.1% | ||||||||||||||
Aplp Holdings LP, Term Loan + | LIBOR + 3.000 | % | $ | 324,214 | 5.363 | % | 4/12/2023 | $ | 326,343 | |||||
Calpine Construction Finance Co. LP, Term B Loan + | LIBOR + 2.500 | 722,351 | 4.863 | 1/16/2025 | 724,666 | |||||||||
Calpine Corporation, Term Loan (2016) + | LIBOR + 2.500 | 260,362 | 4.808 | 6/1/2023 | 261,783 | |||||||||
NRG Energy, Inc., Term Loan + | LIBOR + 1.750 | 950,403 | 4.058 | 6/30/2023 | 953,924 | |||||||||
Talen Energy Supply LLC, Term B-1 Loan + | LIBOR + 4.000 | 197,505 | 6.363 | 7/16/2023 | 196,064 | |||||||||
Talen Energy Supply LLC, Initial Term Loan + | LIBOR + 4.000 | 330,980 | 6.363 | 4/16/2024 | 328,565 | |||||||||
Texas Competitive Electric Holdings Co. LLC Escrow Bonds + | 635,000 | - | 10/1/2020 | 444 | ||||||||||
Texas Competitive Electric Holdings Co. LLC, Initial Term C Loan + | LIBOR + 2.500 | 41,209 | 4.863 | 8/4/2023 | 41,544 | |||||||||
Vistra Energy Corp., 2016 Incremental Term Loan + | LIBOR + 2.250 | 118,500 | 4.607 | 12/14/2023 | 119,411 | |||||||||
Vistra Energy Corp., Tranche C-2 Term Loan + | LIBOR + 2.500 | 908,981 | 4.860 | 2/8/2024 | 915,953 | |||||||||
Vistra Operations Co. LLC, Initial Term Loan + | LIBOR + 2.500 | 229,745 | 4.863 | 8/4/2023 | 231,612 | |||||||||
4,100,309 | ||||||||||||||
TOTAL BANK LOANS (Cost - $179,860,897) | 179,898,361 | |||||||||||||
BONDS & NOTES - 5.6% | ||||||||||||||
BUILDING MATERIALS - 0.2% | ||||||||||||||
CPG Merger Sub LLC - 144A | 190,000 | 8.000 | 10/1/2021 | 195,700 | ||||||||||
Standard Industries, Inc. - 144A | 95,000 | 5.500 | 2/15/2023 | 98,325 | ||||||||||
294,025 | ||||||||||||||
CHEMICALS - 0.2% | ||||||||||||||
Hexion, Inc. | 105,000 | 6.625 | 4/15/2020 | 98,831 | ||||||||||
INEOS - 144A ^ | 200,000 | 5.625 | 8/1/2024 | 202,500 | ||||||||||
NOVA Chemicals Corp. - 144A | 55,000 | 5.000 | 5/1/2025 | 53,075 | ||||||||||
NOVA Chemicals Corp. - 144A | 75,000 | 4.875 | 6/1/2024 | 72,844 | ||||||||||
427,250 | ||||||||||||||
COAL - 0.1% | ||||||||||||||
Alliance Resource Operating Partners LP - 144A | 257,000 | 7.500 | 5/1/2025 | 271,777 | ||||||||||
COMPUTERS - 0.3% | ||||||||||||||
Dell International LLC - 144A | 570,000 | 5.450 | 6/15/2023 | 600,174 | ||||||||||
DIVERSIFIED FINANANCIAL SERVICES - 0.1% | ||||||||||||||
Springleaf Financial | 250,000 | 6.125 | 5/15/2022 | 257,188 | ||||||||||
FOOD - 0.1% | ||||||||||||||
Dole Food Co., Inc. - 144A | 175,000 | 7.250 | 6/15/2025 | 177,187 | ||||||||||
HEALTHCARE-SERVICES - 0.5% | ||||||||||||||
CHS/Community Health Systems, Inc. | 190,000 | 6.250 | 3/31/2023 | 174,325 | ||||||||||
Eagle Holding Co II LLC - 144A | 90,000 | 7.625 | 5/15/2022 | 177,625 | ||||||||||
Surgery Center Holdings, Inc. - 144A | 130,000 | 8.875 | 4/15/2021 | 134,225 | ||||||||||
Tenet Healthcare Corp. - 144A ^ | 405,000 | 4.625 | 7/15/2024 | 392,384 | ||||||||||
878,559 | ||||||||||||||
HOME BUILDERS - 0.3% | ||||||||||||||
Lennar Corp. - 144A | 420,000 | 2.950 | 11/29/2020 | 411,058 | ||||||||||
TRI Pointe Group, Inc. | 70,000 | 4.375 | 6/15/2019 | 70,438 | ||||||||||
TRI Pointe Group, Inc. | 130,000 | 4.875 | 7/1/2021 | 130,650 | ||||||||||
612,146 | ||||||||||||||
LODGING - 0.1% | ||||||||||||||
Hilton Domestic Operating Co., Inc. - 144A | 295,000 | 5.125 | 5/1/2026 | 296,475 | ||||||||||
MEDIA - 0.9% | ||||||||||||||
CCO Holdings LLC - 144A | 180,000 | 4.000 | 3/1/2023 | 174,150 | ||||||||||
Charter Communications Operating LLC ^ | 225,000 | 4.464 | 7/23/2022 | 229,606 | ||||||||||
Dish DBS Corp. ^ | 175,000 | 5.875 | 7/15/2022 | 161,613 | ||||||||||
iHeartCommunications, Inc. | 95,000 | 9.000 | 12/15/2019 | 76,950 | ||||||||||
Meredith - 144A + | LIBOR + 3.000 | 900,000 | 5.363 | 2/1/2025 | 907,034 | |||||||||
Univision Communications, Inc. - 144A | 200,000 | 5.125 | 5/15/2023 | 190,500 | ||||||||||
1,739,853 |
See accompanying notes to financial statements.
10
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Floating Rate Bond Fund (Continued) |
April 30, 2018 |
Principal | Interest | Maturity | ||||||||||
Security | Amount | Rate | Date | Value | ||||||||
BONDS & NOTES - 5.6% (Continued) | ||||||||||||
MINING - 0.1% | ||||||||||||
FMG Resources August 2006 Pty Ltd. - 144A | $ | 185,000 | 5.125 | % | 3/15/2023 | $ | 184,537 | |||||
OIL & GAS - 0.5% | ||||||||||||
Alta Mesa Holdings LP | 135,000 | 7.875 | 12/15/2024 | 140,400 | ||||||||
Carrizo Oil & Gas, Inc. ^ | 140,000 | 6.250 | 4/15/2023 | 144,200 | ||||||||
Chesapeake Energy Corp. | 170,000 | 6.625 | 8/15/2020 | 175,100 | ||||||||
Denbury Resources, Inc. - 144A | 60,000 | 9.250 | 3/31/2022 | 62,925 | ||||||||
EP Energy LLC / Everest Acquisition Finance, Inc. - 144A | 160,000 | 8.000 | 11/29/2024 | 166,400 | ||||||||
Range Resources Corp. | 125,000 | 5.000 | 3/15/2023 | 120,875 | ||||||||
Sunoco LP - 144A | 140,000 | 4.875 | 1/15/2023 | 138,176 | ||||||||
948,076 | ||||||||||||
OIL & GAS SERVICES - 0.1% | ||||||||||||
Bristow Group, Inc. - 144A | 200,000 | 8.750 | 3/1/2023 | 207,000 | ||||||||
FTS International, Inc. | 50,000 | 6.250 | 5/1/2022 | 50,562 | ||||||||
257,562 | ||||||||||||
PACKAGING & CONTAINERS - 0.4% | ||||||||||||
Ardagh Packaging Finance PLC - 144A | 235,000 | 6.000 | 2/15/2025 | 238,231 | ||||||||
BWAY Holding Co. - 144A | 265,000 | 5.500 | 4/15/2024 | 266,988 | ||||||||
Reynolds Group Holdings Ltd. - 144A | 325,000 | 7.000 | 7/15/2024 | 339,016 | ||||||||
844,235 | ||||||||||||
PHARMACEUTICALS - 0.2% | ||||||||||||
Valeant Pharmaceuticals International, Inc. - 144A | 445,000 | 5.500 | 11/1/2025 | 444,444 | ||||||||
PIPELINES - 0.1% | ||||||||||||
Energy Transfer Equity LP ^ | 190,000 | 4.250 | 3/15/2023 | 183,825 | ||||||||
PRIVATE EQUITY - 0.2% | ||||||||||||
Icahn Enterprises LP | 310,000 | 6.250 | 2/1/2022 | 316,975 | ||||||||
REAL ESTATE - 0.1% | ||||||||||||
Greystar Real Estate Partners LLC - 144A | 105,000 | 5.758 | 12/1/2025 | 104,213 | ||||||||
REAL ESTATE INVESTMENT TRUSTS - 0.2% | ||||||||||||
IStar Financial, Inc. | 60,000 | 6.000 | 4/1/2022 | 60,150 | ||||||||
IStar Financial, Inc. | 335,000 | 5.250 | 9/15/2022 | 325,787 | ||||||||
385,937 | ||||||||||||
RETAIL - 0.2% | ||||||||||||
Cumberland Farms, Inc. - 144A | 125,000 | 6.750 | 5/1/2025 | 130,000 | ||||||||
Ferrellgas Partners LP ^ | 200,000 | 6.750 | 6/15/2023 | 181,750 | ||||||||
311,750 | ||||||||||||
SEMICONDUCTORS - 0.2% | ||||||||||||
Broadcom Corp. | 500,000 | 2.200 | 1/15/2021 | 483,761 | ||||||||
SOFTWARE - 0.2% | ||||||||||||
First Data Corp. - 144A | 190,000 | 5.375 | 8/15/2023 | 194,237 | ||||||||
First Data Corp. - 144A | 90,000 | 5.000 | 1/15/2024 | 91,012 | ||||||||
First Data Corp. - 144A | 25,000 | 5.750 | 1/15/2024 | 25,406 | ||||||||
310,655 | ||||||||||||
TELECOMMUNICATIONS - 0.3% | ||||||||||||
Frontier Communications Corp. | 90,000 | 8.500 | 4/15/2020 | 90,900 | ||||||||
Sprint Corp. ^ | 175,000 | 7.875 | 9/15/2023 | 188,125 | ||||||||
T-Mobile USA, Inc. | 205,000 | 6.000 | 4/15/2024 | 215,250 | ||||||||
494,275 | ||||||||||||
TOTAL BONDS & NOTES (Cost - $10,928,742) | 10,824,879 |
See accompanying notes to financial statements.
11
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Floating Rate Bond Fund (Continued) |
April 30, 2018 |
Principal | Interest | Maturity | ||||||||||
Security | Amount | Rate | Date | Value | ||||||||
ASSET BACKED SECURITIES - 0.8% | ||||||||||||
JP Morgan Mortgage Trust - 144A | $ | 779,373 | 3.180 | % | 10/26/2048 | $ | 773,276 | |||||
Residential Mortgage Trust | 64,454 | 6.110 | 6/25/2037 | 64,671 | ||||||||
Vericrest Opportunity Loan Trust - 144A | 381,540 | 3.500 | 3/25/2047 | 382,017 | ||||||||
Vericrest Opportunity Loan Trust - 144A | 241,918 | 3.125 | 9/25/2047 | 240,247 | ||||||||
TOTAL ASSET BACKED SECURITIES (Cost - $1,478,512) | 1,460,211 | |||||||||||
Security | Shares | Value | ||||||||||
RIGHTS - 0.0% | ||||||||||||
Fieldwood Energy, Inc. Rights Subscription | 42,857 | $ | 42,857 | |||||||||
TRA Rights | 10,588 | 7,284 | ||||||||||
TOTAL RIGHTS (Cost - $60,327) | 50,141 | |||||||||||
Principal | Interest | Maturity | ||||||||||
Security | Amount | Rate | Date | Value | ||||||||
U.S. GOVERNMENT & AGENCY - 1.0% | ||||||||||||
U.S. TREASURY OBLIGATIONS - 1.0% | ||||||||||||
United States Treasury Note/Bond | $ | 2,040,000 | 2.250 | % | 3/31/2020 | $ | 2,031,274 | |||||
TOTAL U.S. GOVERNMENT & AGENCY (Cost - $2,038,925) | ||||||||||||
Interest | ||||||||||||
Rate | ||||||||||||
SHORT-TERM INVESTMENT - 3.7% | ||||||||||||
MONEY MARKET FUND - 3.7% | ||||||||||||
Fidelity Investments Money Market Fund - Class I | 7,205,335 | 1.58% | + | 7,205,335 | ||||||||
TOTAL SHORT-TERM INVESTMENT - (Cost - $7,205,335) | ||||||||||||
COLLATERAL FOR SECURITIES LOANED - 0.9% | ||||||||||||
Mount Vernon Prime Portfolio (Cost - $1,735,350) | 1,735,350 | 2.00% | + | 1,735,350 | ||||||||
TOTAL INVESTMENTS - 107.3% (Cost - $207,535,051) | 207,438,650 | |||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (7.3)% | (14,109,734 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 193,328,916 |
REITs - Real Estate Investment Trusts.
LP - Limited Partnership.
LLC - Limited Liability Company.
144A- Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. As of April 30, 2018 the total market value of 144A securities is $7,948,358 or 4.11% of net assets.
* | Non-Income producing security. |
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $1,700,874 at April 30, 2018. |
+ | Variable rate security. Interest rate is as of April 30, 2018 |
Portfolio Composition * - (Unaudited) | ||||||||||
Bank Loans | 86.7 | % | Asset Backed Securities | 0.7 | % | |||||
Short-Term Investment | 3.5 | % | Oil & Gas | 0.5 | % | |||||
Other ** | 2.6 | % | Healthcare-Services | 0.4 | % | |||||
Exchange Traded Funds | 2.0 | % | Packaging & Containers | 0.4 | % | |||||
U.S. Government & Agency | 1.0 | % | Computers | 0.3 | % | |||||
Collateral for Securities Loaned | 0.8 | % | Home Builders | 0.3 | % | |||||
Media | 0.8 | % | Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2018 |
** | Groupings less than 0.20% of holdings. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
12
Dunham Corporate/Government Bond Fund (Unaudited) |
Message from the Sub-Adviser (Newfleet Asset Management, LLC) |
Investment-grade bonds, as measured by the Bloomberg Barclays Aggregate Bond Index, fell 1.9 percent in the six-month period ended April 30, 2018, after increasing 0.9 percent over the previous fiscal year. Treasuries in the middle of the yield curve, as measured by the ICE BofA ML Treasuries 5-7 Years Index, fell 2.5 percent, while long-term Treasuries, as measured by the ICE BofA ML Treasuries 10+ Years Index, tumbled 2.9 percent over the same six months. Corporate bonds, as measured by the ICE BofA ML U.S. Corporate Bond Master Index, outperformed intermediate-term Treasury bonds, falling 2.3 percent over the fiscal six-month period. High-yield bonds, as measured by the ICE BofA ML High-Yield Bond Cash Pay Index, also had a disappointing performance falling .3 percent.
The Fund continued to balance risk versus reward by choosing to emphasize lower duration bonds and overweighting lower credit quality securities, which benefitted the Fund for a fourth consecutive six-month period. The average effective duration of the Fund was 5.15 years, while the benchmark index had an average duration of 6.05 years. While the lower duration exposure did not adversely affect performance during the most recent fiscal period, the overweight to lower credit quality securities versus the benchmark contributed to the Fund’s performance. Treasury yields fluctuated within a 72 basis point range over the fiscal period. The 10-year Treasury yield went from its lowest point of 2.31 percent early in the first fiscal quarter to its highest point of 3.03 late in the fiscal period, before settling at 2.95 percent to end the three-month period. The overweight to securitized products contributed positively to Fund performance over the fiscal period. The Sub-Adviser’s overweight to the securitized products was slightly more than the previous six month period’s overweight, combining for over 17 percent of the fund. The index has significantly less to these products. The overweight to corporate investment-grade securities was held consistent over the fiscal six-month period, equaling roughly 35 percent of the Fund’s assets, and more than 9 percent greater than the index’s allocation to that sector.
Contributors over the fiscal six-month period included the City of Bristol VA 4.21% 01/01/2042 (110331PQ2) (holding weight*: 0.63 percent). This relatively new issue came to market on January 25, 2018. This bond is backed by the State of Virginia State Aid program and therefore is rated higher than just the underlying. The bond was issued as a 30 year maturity with a 10 year call, which the Sub-Adviser believed to be attractively priced and had the potential to tighten closer to where other similarly rated issues in the secondary market were being priced and traded. The Sub-Adviser attributes the positive performance to a combination of limited taxable muni issuance, spreads on the issue moving more towards other taxable muni levels and secondary trading levels. Another contributor to Fund performance was the Government of South Africa 4.3% 10/12/2028 (836205AU8) (holding weight*:0.34 percent). South African bonds and the country’s currency rebounded sharply in the fourth quarter of 2017. The reason was that Cyril Ramaphosa became President of the African National Congress at the 54th National Conference and Jacob Zuma was removed, the country’s corrupt former President. By contrast, Ramaphosa is a reformer. This powerful shift started to be detected by the markets early in the first fiscal quarter. However, reform is never simple. In the most recent fiscal quarter, civil unrest and depreciation of the local currency weighed on South African bonds.
A detractor over the fiscal six-month period was Tops Holding LLC 8% 06/15/2022 (89078YAA3) (holding weight*: 0.1 percent). The Sub-Adviser believes that Tops bonds declined on continued margin compression driven by an unprecedented deflationary period for food prices and a highly promotional competitive environment in food retailing. Compounding the industry-wide headwinds, Tops faced liquidity concerns as the many maturities approached. Additionally, the Tops filed for bankruptcy in February as the company faced liquidity concerns as gross margin pressure, rising wages, and debt service costs reduced cash flow. For the six-month fiscal period, these bonds declined over 30 percent. Another detractor from Fund performance was the CPI Acquisition 6.837% 8/17/2022 (BL1785619) (holding weight**: 0.16 percent). The company reported disappointing fourth quarter earnings. Many investors expected card volumes to remain consistent with prior quarters, but instead the company reported a large sequential and year on year decline losses. This position was sold from the Fund on April 4, 2018.
The Sub-Adviser sees value in spread sectors and expects them to benefit from the projected improvement in global growth. The Sub-Adviser also believes that housing and consumer fundamentals are still in good shape and feels good about mortgage credit and the Fund’s exposure to asset-backed securities. Sound and improving fundamentals, strong technicals, and still accommodative central banks remain supportive. They believe that valuations are fair to rich within the fixed income market so selection of positioning within sectors is critical. It is also 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 they are well positioned to take advantage of those opportunities as they arise.
* | Holdings percentage(s) as of 4/30/2018. |
** | Holdings percentage(s) as of the date prior to the sale of the security. |
Growth of $100,000 Investment
Total Returns as of April 30, 2018 | ||||||
Six | Annualized | Annualized | Annualized | Annualized Since Inception | ||
Months | One Year | Three Years | Five Years | Ten Years | (12/10/04) | |
Class N | (2.32)% | (0.66)% | 0.82% | 1.09% | 3.72% | 3.71% |
Class C | (2.69)% | (1.40)% | 0.05% | 0.32% | 2.94% | 2.94% |
Class A with load of 4.50% | (6.83)% | (5.45)% | (0.98)% | (0.10)% | 2.98% | 3.08%* |
Class A without load | (2.44)% | (0.98)% | 0.55% | 0.82% | 3.45% | 3.50%* |
Barclays Aggregate Bond Index | (1.87)% | (0.32)% | 1.07% | 1.47% | 3.57% | 3.84% |
Morningstar Intermediate-Term Bond Category | (1.72)% | (0.10)% | 1.11% | 1.38% | 3.56% | 3.48% |
* | 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 1.36% for Class N, 2.11% for Class C and 1.61% 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. |
13
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Corporate/Government Bond Fund |
April 30,2018 |
Variable | Principal | Interest | Maturity | |||||||||||
Security | Rate | Amount | Rate% | Date | Value | |||||||||
CORPORATE BONDS & NOTES - 65.4% | ||||||||||||||
AEROSPACE / DEFENSE - 0.1% | ||||||||||||||
TransDigm, Inc. | $ | 45,000 | 6.500 | 5/15/2025 | $ | 45,900 | ||||||||
AUTO MANUFACTURERS - 1.3% | ||||||||||||||
Carnow Auto Receivables Trust | 101,307 | 2.920 | 9/15/2022 | 100,819 | ||||||||||
Daimler Finance LLC - 144A | 165,000 | 2.200 | 10/30/2021 | 158,310 | ||||||||||
Ford Motor Credit Co. LLC. | 270,000 | 5.750 | 2/1/2021 | 285,221 | ||||||||||
General Motors Financial Co., Inc. | 60,000 | 4.200 | 3/1/2021 | 61,083 | ||||||||||
Hyundai Capital America - 144A | 135,000 | 2.450 | 6/15/2021 | 130,299 | ||||||||||
735,732 | ||||||||||||||
AUTO PARTS & EQUIPMENT - 0.6% | ||||||||||||||
Aptiv PLC | 105,000 | 3.150 | 11/19/2020 | 104,483 | ||||||||||
Delphi Corp. | 30,000 | 4.150 | 3/15/2024 | 30,449 | ||||||||||
Lear Corp. ^ | 195,000 | 3.800 | 9/15/2027 | 186,029 | ||||||||||
320,961 | ||||||||||||||
AUTOMOBILE ABS - 6.1% | ||||||||||||||
American Credit Acceptance Receivables Trust 2017-2 - 144A | 135,000 | 2.860 | 6/12/2023 | 134,030 | ||||||||||
AmeriCredit Automobile Receivables Trust 2013-5 | 214,751 | 2.860 | 12/9/2019 | 214,848 | ||||||||||
Avid Automobile Receivables Trust 2018-1 - 144A | 227,077 | 2.840 | 8/15/2023 | 225,938 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC - 144A | 115,000 | 2.970 | 2/20/2020 | 115,075 | ||||||||||
California Republic Auto Receivables Trust 2014-3 | 92,199 | 1.790 | 3/16/2020 | 92,043 | ||||||||||
Capital Auto Receivables Asset Trust 2017-1 - 144A | 160,000 | 2.700 | 9/20/2022 | 157,197 | ||||||||||
CPS Auto Receivables Trust 2017-D - 144A | 100,000 | 2.430 | 1/18/2022 | 98,876 | ||||||||||
Drive Auto Receivables Trust | 135,000 | 2.800 | 7/15/2022 | 134,443 | ||||||||||
Drive Auto Receivables Trust 2015-D - 144A | 82,319 | 3.380 | 11/15/2021 | 82,517 | ||||||||||
Drive Auto Receivables Trust 2017-A - 144A | 160,000 | 2.980 | 1/18/2022 | 159,800 | ||||||||||
DT Auto Owner Trust 2017-3 - 144A | 160,000 | 3.010 | 5/15/2023 | 159,287 | ||||||||||
Exeter Automobile Receivables Trust 2017-2 - 144A | 160,000 | 2.820 | 5/16/2022 | 159,086 | ||||||||||
First Investors Auto Owner Trust 2017-2 - 144A | 135,000 | 2.650 | 11/15/2022 | 133,059 | ||||||||||
Flagship Credit Auto Trust 2016-1 - 144A | 41,136 | 2.770 | 12/15/2020 | 41,149 | ||||||||||
Flagship Credit Auto Trust 2017-3 - 144A | 160,000 | 2.910 | 9/15/2023 | 157,617 | ||||||||||
GLS Auto Receivables Trust | 160,000 | 2.980 | 12/15/2021 | 158,747 | ||||||||||
Hyundai Auto Lease Securitization Trust 2018-A - 144A | 175,000 | 2.550 | 8/17/2020 | 174,619 | ||||||||||
Hyundai Auto Receivables Trust 2017-B | 160,000 | 2.230 | 2/15/2023 | 155,428 | ||||||||||
OneMain Direct Auto Receivables Trust 2017-2 - 144A | 135,000 | 2.820 | 7/15/2024 | 132,437 | ||||||||||
Prestige Auto Receivables Trust 2017-1 - 144A | 160,000 | 2.810 | 1/17/2023 | 156,789 | ||||||||||
Santander Drive Auto Receivables Trust 2014-4 | 160,000 | 3.100 | 11/16/2020 | 160,391 | ||||||||||
Santander Drive Auto Receivables Trust 2016-1 | 120,000 | 3.090 | 4/15/2022 | 120,236 | ||||||||||
Tesla Auto Lease Trust 2018-A - 144A | 224,026 | 2.320 | 12/20/2019 | 223,134 | ||||||||||
3,346,746 | ||||||||||||||
BANKS - 10.1% | ||||||||||||||
Banco de Credito e Inversiones SA - 144A | 370,000 | 3.500 | 10/12/2027 | 342,944 | ||||||||||
Banco Santander Chile - 144A | 150,000 | 3.875 | 9/20/2022 | 151,316 | ||||||||||
Bank of America Corp. | 291,000 | 4.200 | 8/26/2024 | 291,759 | ||||||||||
Bank of Montreal | 3 Month LIBOR + 1.432% | 39,000 | 3.800 | + | 12/15/2032 | 36,783 | ||||||||
Bank of New York Mellon Corp. | 3 Month LIBOR + 3.420% | 135,000 | 4.950 | + | 12/29/2049 | 137,869 | ||||||||
Bank of New York Mellon Corp. | 165,000 | 2.800 | 5/4/2026 | 154,643 | ||||||||||
BBVA Bancomer SA/Texas - 144A | 5 Year Treasury Note + 2.650% | 200,000 | 5.125 | + | 1/18/2033 | 189,750 | ||||||||
Capital One Financial Corp. | 165,000 | 4.200 | 10/29/2025 | 161,442 | ||||||||||
Capital One Financial Corp. | 165,000 | 3.750 | 7/28/2026 | 154,715 | ||||||||||
Citigroup, Inc. | 160,000 | 4.050 | 7/30/2022 | 161,976 | ||||||||||
Citigroup, Inc. | 41,215 | 2.350 | 8/2/2021 | 40,014 | ||||||||||
Citigroup, Inc. | 52,000 | 3.200 | 10/21/2026 | 48,521 | ||||||||||
Development Bank of Kazakhstan JSC - 144A | 200,000 | 4.125 | 12/10/2022 | 200,148 | ||||||||||
Goldman Sachs Group, Inc. | 200,000 | 4.250 | 10/21/2025 | 198,226 | ||||||||||
Huntington Bancshares, Inc. | 3 Month LIBOR + 2.880% | 105,000 | 5.700 | + | 7/15/2166 | 105,131 | ||||||||
JPMorgan Chase & Co. | 3 Month LIBOR +3.800% | 205,000 | 5.300 | + | 12/29/2049 | 211,171 | ||||||||
KeyCorp | 3 Month LIBOR + 3.606% | 170,000 | 5.000 | + | 12/29/2049 | 166,600 | ||||||||
M&T Bank Corp. | 3 Month LIBOR + 3.520% | 170,000 | 5.125 | + | 12/29/2049 | 169,464 | ||||||||
Macquarie Group Ltd. - 144A | 125,000 | 6.250 | 1/14/2021 | 133,151 | ||||||||||
Mizuho Financial Group, Inc. - 144A | 200,000 | 2.630 | 4/12/2021 | 195,421 | ||||||||||
Morgan Stanley | 275,000 | 6.375 | 7/24/2042 | 347,335 | ||||||||||
PNC Financial Services Group, Inc. | 3 Month LIBOR + 3.040% | 310,000 | 4.850 | + | 5/29/2049 | 308,915 | ||||||||
PNC Financial Services Group, Inc. | 3 Month LIBOR + 3.300% | 170,000 | 5.000 | + | 12/29/2049 | 168,300 | ||||||||
Santander Holdings USA, Inc. | 65,000 | 4.400 | 7/13/2027 | 63,799 | ||||||||||
Santander Holdings USA, Inc. | 165,000 | 3.700 | 3/28/2022 | 163,697 |
See accompanying notes to financial statements.
14
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Corporate/Government Bond Fund (Continued) |
April 30,2018 |
Variable | Principal | Interest | Maturity | |||||||||||
Security | Rate | Amount | Rate% | Date | Value | |||||||||
CORPORATE BONDS & NOTES - 65.4% (Continued) | ||||||||||||||
BANKS - 10.1% (Continued) | ||||||||||||||
Turkiye Vakiflar Bankasi TAO - 144A | $ | 200,000 | 5.625 | 5/30/2022 | $ | 195,671 | ||||||||
UBS AG/Stamford CT | 650,000 | 7.625 | 8/17/2022 | 732,030 | ||||||||||
Wells Fargo & Co. | 3 Month LIBOR + 3.110% | 165,000 | 5.900 | + | 12/15/2165 | 168,094 | ||||||||
Zions Bancorporation | 140,000 | 4.500 | 6/13/2023 | 141,483 | ||||||||||
5,540,368 | ||||||||||||||
BUILDING MATERIALS - 1.2% | ||||||||||||||
CRH America Finance, Inc. - 144A | 200,000 | 3.400 | 5/9/2027 | 189,526 | ||||||||||
Masco Corp. | 56,000 | 5.950 | 3/15/2022 | 60,693 | ||||||||||
Masco Corp. | 30,000 | 4.450 | 4/1/2025 | 30,412 | ||||||||||
Masco Corp. | 50,000 | 3.500 | 4/1/2021 | 50,023 | ||||||||||
Owens Corning | 165,000 | 3.400 | 8/15/2026 | 155,065 | ||||||||||
Vulcan Materials Co. ^ | 165,000 | 3.900 | 4/1/2027 | 159,484 | ||||||||||
645,203 | ||||||||||||||
CHEMICALS - 0.3% | ||||||||||||||
NOVA Chemicals Corp. - 144A | 105,000 | 5.000 | 5/1/2025 | 101,325 | ||||||||||
NOVA Chemicals Corp. - 144A | 65,000 | 4.875 | 6/1/2024 | 63,131 | ||||||||||
164,456 | ||||||||||||||
COMMERCIAL MBS - 2.8% | ||||||||||||||
Aventura Mall Trust 2013-AVM - 144A | 3 Month LIBOR + 2.151% | 155,000 | 3.867 | + | 12/5/2032 | 157,412 | ||||||||
Aventura Mall Trust 2013-AVM - 144A | 3 Month LIBOR + 2.151% | 100,000 | 3.867 | + | 12/5/2032 | 100,107 | ||||||||
BAMLL Commercial Mortgage Securities Trust 2015-200P - 144A | 105,000 | 3.218 | 4/14/2033 | 102,708 | ||||||||||
Caesars Palace Las Vegas Trust 2017-VICI - 144A | 100,000 | 4.138 | 10/15/2034 | 101,128 | ||||||||||
Cold Storage Trust 2017-ICE3 -144A | 1 Month LIBOR + 1.000% | 260,000 | 2.897 | + | 4/15/2036 | 261,393 | ||||||||
GAHR Commercial Mortgage Trust 2015-NRF - 144A | 3 Month LIBOR + 1.906% | 105,000 | 3.382 | + | 12/15/2034 | 104,645 | ||||||||
GS Mortgage Securities Corp Trust 2012-ALOHA -144A | 132,000 | 3.551 | 4/10/2034 | 133,258 | ||||||||||
Hilton USA Trust 2016-SFP - 144A | 185,000 | 3.323 | 11/5/2035 | 180,989 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 - 144A | 54,667 | 4.106 | 7/15/2046 | 54,625 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 - 144A | 100,000 | 4.388 | 7/15/2046 | 103,064 | ||||||||||
One Market Plaza Trust 2017-1MKT - 144A | 105,000 | 3.614 | 2/10/2032 | 104,943 | ||||||||||
RETL 2018-RVP - 144A | 1 Month LIBOR + 2.050% | 140,000 | 3.947 | + | 3/15/2033 | 141,026 | ||||||||
1,545,298 | ||||||||||||||
COMPUTERS - 0.4% | ||||||||||||||
Dell International LLC / EMC Corp - 144A | 30,000 | 6.020 | 6/15/2026 | 31,866 | ||||||||||
Dell International LLC / EMC Corp - 144A | 65,000 | 8.100 | 7/15/2036 | 77,013 | ||||||||||
Hewlett Packard Enterprise Co. | 100,000 | 4.900 | 10/15/2025 | 102,874 | ||||||||||
211,753 | ||||||||||||||
DIVERSIFIED FINANCIAL SERVICES - 1.6% | ||||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 150,000 | 3.650 | 7/21/2027 | 139,308 | ||||||||||
BrightSphere Investment Group PLC | 165,000 | 4.800 | 7/27/2026 | 163,326 | ||||||||||
Brookfield Finance LLC | 174,000 | 4.000 | 4/1/2024 | 173,453 | ||||||||||
Centre Point Funding LLC | 107,230 | 2.610 | 8/20/2021 | 106,154 | ||||||||||
Jefferies Group LLC | 14,000 | 6.875 | 4/15/2021 | 15,175 | ||||||||||
Jefferies Group LLC | 30,000 | 5.125 | 1/20/2023 | 31,417 | ||||||||||
Navient Corp. | 105,000 | 6.750 | 6/25/2025 | 106,312 | ||||||||||
Navient Corp. | 35,000 | 7.250 | 9/25/023 | 36,750 | ||||||||||
Springleaf Finance Corp. | 95,000 | 6.875 | 3/15/2025 | 96,188 | ||||||||||
868,083 | ||||||||||||||
ELECTRIC - 1.2% | ||||||||||||||
American Electric Power Co., Inc. | 130,000 | 3.200 | 11/13/2027 | 122,134 | ||||||||||
Duke Energy Corp. | 170,000 | 2.650 | 9/1/2026 | 154,365 | ||||||||||
Exelon Corp. | 230,000 | 3.497 | 6/1/2022 | 226,582 | ||||||||||
PNM Resources, Inc. | 155,000 | 3.250 | 3/9/2021 | 154,023 | ||||||||||
657,104 | ||||||||||||||
ELECTRONICS - 0.5% | ||||||||||||||
Arrow Electronics, Inc. | 175,000 | 3.875 | 1/12/2028 | 165,091 | ||||||||||
Jabil, Inc. | 105,000 | 3.950 | 1/12/2028 | 100,141 | ||||||||||
265,232 | ||||||||||||||
ENERGY - ALTERNATE RESOURCES - 0.2% | ||||||||||||||
TerraForm Power Operating LLC - 144A | 125,000 | 5.000 | 1/31/2028 | 116,719 | ||||||||||
ENTERTAINMENT - 0.2% | ||||||||||||||
Gateway Casinos & Entertainment Ltd. - 144A | 45,000 | 8.250 | 3/1/2024 | 47,869 | ||||||||||
Scientific Games International, Inc. | 80,000 | 6.625 | 5/15/2021 | 82,000 | ||||||||||
129,869 |
See accompanying notes to financial statements.
15
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Corporate/Government Bond Fund (Continued) |
April 30, 2018 |
Variable | Principal | Interest | Maturity | |||||||||||
Security | Rate | Amount | Rate% | Date | Value | |||||||||
CORPORATE BONDS & NOTES - 65.4% (Continued) | ||||||||||||||
FOOD - 0.4% | ||||||||||||||
Kraft Heinz Foods Co. | $ | 165,000 | 3.000 | 6/1/2026 | $ | 150,056 | ||||||||
Safeway, Inc. | 85,000 | 7.250 | 2/1/2031 | 70,550 | ||||||||||
220,606 | ||||||||||||||
HEALTHCARE PRODUCTS - 1.4% | ||||||||||||||
Abbott Laboratories | 35,000 | 3.400 | 11/30/2023 | 34,595 | ||||||||||
Abbott Laboratories | 270,000 | 3.750 | 11/30/2026 | 266,727 | ||||||||||
Becton Dickinson and Co. | 33,000 | 3.363 | 6/6/2024 | 31,793 | ||||||||||
Becton Dickinson and Co. | 200,000 | 3.700 | 6/6/2027 | 189,808 | ||||||||||
Fresenius US Finance II, Inc. - 144A | 25,000 | 4.500 | 1/15/2023 | 25,461 | ||||||||||
Zimmer Biomet Holdings Inc | 230,000 | 3.550 | 4/1/2025 | 221,884 | ||||||||||
770,268 | ||||||||||||||
HEALTHCARE - SERVICES - 1.2% | ||||||||||||||
Anthem, Inc. ^ | 35,000 | 3.650 | 12/1/2027 | 33,386 | ||||||||||
Anthem, Inc. | 175,000 | 4.101 | 3/1/2028 | 171,934 | ||||||||||
CHS/Community Health Systems, Inc. | 85,000 | 6.250 | 3/31/2023 | 77,988 | ||||||||||
Envision Healthcare Corp. - 144A | 30,000 | 6.250 | 12/1/2024 | 31,350 | ||||||||||
HCA, Inc. | 125,000 | 5.375 | 2/1/2025 | 124,687 | ||||||||||
Surgery Center Holdings, Inc. - 144A | 100,000 | 8.875 | 4/15/2021 | 103,250 | ||||||||||
Tenet Healthcare Corp. - 144A ^ | 145,000 | 4.625 | 7/15/2024 | 140,483 | ||||||||||
683,078 | ||||||||||||||
HOME BUILDERS - 0.8% | ||||||||||||||
Lennar Corp. - 144A | 140,000 | 5.250 | 6/1/2026 | 137,550 | ||||||||||
PulteGroup, Inc. | 130,000 | 6.375 | 5/15/2033 | 136,045 | ||||||||||
William Lyon Homes, Inc. - 144A | 140,000 | 6.000 | 9/1/2023 | 140,545 | ||||||||||
414,140 | ||||||||||||||
HOME EQUITY ABS - 0.5% | ||||||||||||||
GSAA Trust 2005-1 AF4 (a) | 140,096 | 5.619 | 11/25/2034 | 142,606 | ||||||||||
NovaStar Mortgage Funding Trust Series 2004-4 | 1 Month LIBOR + 1.725% | 121,240 | 3.622 | + | 3/25/2035 | 121,760 | ||||||||
264,366 | ||||||||||||||
INSURANCE - 2.2% | ||||||||||||||
Allstate Corp. | 3 Month LIBOR + 2.938% | 150,000 | 5.750 | + | 8/15/2053 | 155,250 | ||||||||
Athene Holding Ltd. | 135,000 | 4.125 | 1/12/2028 | 126,620 | ||||||||||
Manulife Financial Corp. | 160,000 | 4.150 | 3/4/2026 | 161,198 | ||||||||||
MetLife, Inc. | 195,000 | 4.368 | 9/15/2023 | 201,745 | ||||||||||
MetLife, Inc. | 3 Month LIBOR + 2.959% | 76,000 | 5.875 | + | 9/15/2166 | 77,282 | ||||||||
Prudential Financial, Inc. | 3 Month LIBOR + 3.920% | 300,000 | 5.625 | + | 6/15/2043 | 313,500 | ||||||||
Teachers Insurance & Annuity Association of America - 144A | 3 Month LIBOR + 2.661% | 111,000 | 4.380 | + | 9/15/2054 | 108,350 | ||||||||
Trinity Acquisition PLC | 60,000 | 4.400 | 3/15/2026 | 60,171 | ||||||||||
Trinity Acquisition PLC | 10,000 | 3.500 | 9/15/2021 | 9,972 | ||||||||||
1,214,088 | ||||||||||||||
INVESTMENT COMPANIES - 0.9% | ||||||||||||||
Ares Capital Corp. | 80,000 | 3.500 | 2/10/2023 | 76,550 | ||||||||||
Ares Capital Corp. | 105,000 | 4.250 | 3/1/2025 | 101,052 | ||||||||||
FS Investment Corp. | 110,000 | 4.250 | 1/15/2020 | 109,798 | ||||||||||
FS Investment Corp. | 50,000 | 4.750 | 5/15/2022 | 49,938 | ||||||||||
Leucadia National Corp. | 130,000 | 5.500 | 10/18/2023 | 135,415 | ||||||||||
472,753 | ||||||||||||||
IRON/STEEL - 0.6% | ||||||||||||||
GTL Trade Finance, Inc. / Gerdau Holdings, Inc. - 144A | 150,000 | 5.893 | 4/29/2024 | 158,730 | ||||||||||
United States Steel Corp. | 140,000 | 6.250 | 3/15/2026 | 139,300 | ||||||||||
298,030 | ||||||||||||||
LODGING - 0.4% | ||||||||||||||
Wyndham Worldwide Corp. | 175,000 | 5.100 | 10/1/2025 | 181,354 | ||||||||||
Wyndham Worldwide Corp. | 45,000 | 4.500 | 4/1/2027 | 44,616 | ||||||||||
225,970 | ||||||||||||||
MACHINERY- DIVERSIFIED - 0.4% | ||||||||||||||
CNH Industrial NV | 137,000 | 4.500 | 8/15/2023 | 139,228 | ||||||||||
CNH Industrial NV | 71,000 | 3.850 | 11/15/2027 | 67,972 | ||||||||||
207,200 | ||||||||||||||
MEDIA - 0.9% | ||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp - 144A | 60,000 | 4.000 | 3/1/2023 | 58,050 | ||||||||||
Discovery Communications LLC ^ | 160,000 | 3.950 | 3/20/2028 | 152,285 | ||||||||||
Meredith Corp. - 144A | 65,000 | 6.875 | 2/1/2026 | 65,891 | ||||||||||
Telenet Finance Luxembourg Notes Sarl - 144A | 200,000 | 5.500 | 3/1/2028 | 192,000 | ||||||||||
468,226 |
See accompanying notes to financial statements.
16
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Corporate/Government Bond Fund (Continued) |
April 30, 2018 |
Variable | Principal | Interest | Maturity | |||||||||||
Security | Rate | Amount | Rate% | Date | Value | |||||||||
CORPORATE BONDS & NOTES - 65.4% (Continued) | ||||||||||||||
MINING - 1.2% | ||||||||||||||
Anglo American Capital PLC - 144A | $ | 200,000 | 4.000 | 9/11/2027 | $ | 188,705 | ||||||||
BHP Billiton Finance USA Ltd - 144A | 3 Month LIBOR + 5.093 | 200,000 | 6.750 | + | 10/19/2075 | 222,950 | ||||||||
FMG Resources August 2006 Pty Ltd. - 144A | 90,000 | 5.125 | 3/15/2023 | 89,775 | ||||||||||
Glencore Funding LLC - 144A | 165,000 | 4.000 | 3/27/2027 | 157,576 | ||||||||||
659,006 | ||||||||||||||
MISCELLANEOUS MANUFACTURING - 1.0% | ||||||||||||||
Bombardier, Inc. - 144A | 110,000 | 6.125 | 1/15/2023 | 111,237 | ||||||||||
General Electric Co. ^ | 3 Month LIBOR + 3.330% | 421,000 | 5.000 | + | 6/15/2066 | 417,317 | ||||||||
528,554 | ||||||||||||||
OFFICE / BUSINESS EQUIPMENT - 0.3% | ||||||||||||||
Pitney Bowes, Inc. | 159,000 | 3.875 | 5/15/2022 | 150,454 | ||||||||||
OIL & GAS - 2.3% | ||||||||||||||
EP Energy LLC / Everest Acquisition Finance, Inc. - 144A | 65,000 | 8.000 | 11/29/2024 | 67,600 | ||||||||||
Helmerich & Payne International Drilling Co. | 100,000 | 4.650 | 3/15/2025 | 103,406 | ||||||||||
Holly Frontier Corp. | 165,000 | 5.875 | 4/1/2026 | 176,748 | ||||||||||
Jagged Peak Energy LLC - 144A | 110,000 | 5.875 | 5/1/2026 | 110,619 | ||||||||||
Petrobras Global Finance BV | 160,000 | 7.375 | 1/17/2027 | 171,840 | ||||||||||
Petroleos Mexicanos | 215,000 | 6.500 | 3/13/2027 | 222,925 | ||||||||||
Range Resources Corp. | 145,000 | 4.875 | 5/15/2025 | 134,941 | ||||||||||
State Oil Co. of the Azerbaijan Republic | 200,000 | 6.950 | 3/18/2030 | 215,438 | ||||||||||
Sunoco Finance Corp. - 144A | 85,000 | 5.500 | 2/15/2026 | 82,237 | ||||||||||
1,285,754 | ||||||||||||||
OIL & GAS SERVICES - 0.3% | ||||||||||||||
Bristow Group, Inc. - 144A | 50,000 | 8.750 | 3/1/2023 | 51,750 | ||||||||||
USA Compression Partners LP / USA Compression Finance Corp. - 144A | 105,000 | 6.800 | 4/1/2023 | 107,494 | ||||||||||
159,244 | ||||||||||||||
OTHER ABS - 5.8% | ||||||||||||||
American Homes 4 Rent 2014-SFR2 Trust - 144A | 130,000 | 4.705 | 10/17/2036 | 134,878 | ||||||||||
American Homes 4 Rent 2015-SFR2 Trust - 144A | 120,000 | 4.691 | 10/17/2045 | 125,572 | ||||||||||
Bayview Opportunity Master Fund IVa Trust 2017-RT1 - 144A | 3 Month LIBOR + 1.465% | 100,362 | 3.000 | + | 3/28/2057 | 96,841 | ||||||||
Bayview Opportunity Master Fund IVa Trust 2017-SPL1 - 144A | 100,000 | 4.250 | 10/28/2064 | 102,652 | ||||||||||
Bayview Opportunity Master Fund IVa Trust 2017-SPL5 - 144A | 100,000 | 4.000 | 6/28/2057 | 102,022 | ||||||||||
Bayview Opportunity Master Fund IVb Trust 2017-SPL3 - 144A | 100,000 | 4.250 | 11/28/2053 | 103,726 | ||||||||||
CWABS Asset-Backed Certificates Trust 2005-1 (a) | 172,830 | 5.997 | 7/25/2035 | 178,403 | ||||||||||
Diamond Resorts Owner Trust - 144A | 136,877 | 3.270 | 10/22/2029 | 133,605 | ||||||||||
MVW Owner Trust 2016-1 - 144A | 95,507 | 2.250 | 12/20/2033 | 92,943 | ||||||||||
MVW Owner Trust 2017-1 - 144A | 144,119 | 2.420 | 12/20/2034 | 140,519 | ||||||||||
Oak Hill Advisors Residential Loan Trust 2017-NPL2 - 144A (a) | 203,112 | 3.000 | 7/25/2057 | 201,651 | ||||||||||
Pretium Mortgage Credit Partners I 2017-NPL2 LLC - 144A (a) | 170,746 | 3.250 | 3/28/2057 | 169,953 | ||||||||||
Pretium Mortgage Credit Partners I 2017-NPL5 LLC - 144A | 87,664 | 3.327 | 12/30/2032 | 87,529 | ||||||||||
RCO Mortgage LLC 2017-1 - 144A (a) | 191,516 | 3.375 | 8/25/2022 | 190,942 | ||||||||||
Sierra Timeshare 2014-2 Receivables Funding LLC - 144A | 13,426 | 2.050 | 6/20/2031 | 13,357 | ||||||||||
Sofi Consumer Loan Program 2017-5 LLC -144A | 105,000 | 2.780 | 9/25/2026 | 104,047 | ||||||||||
Sofi Consumer Loan Program 2017-6 LLC -144A | 100,000 | 2.820 | 11/25/2026 | 99,237 | ||||||||||
Taco Bell Funding LLC - 144A | 172,813 | 3.832 | 5/25/2046 | 173,852 | ||||||||||
TGIF Funding LLC 2017-1A - 144A | 132,300 | 6.202 | 4/30/2047 | 133,181 | ||||||||||
Towd Point Mortgage Trust 2015-1 - 144A | 172,000 | 3.250 | 10/25/2053 | 171,005 | ||||||||||
Towd Point Mortgage Trust 2015-1 - 144A | 190,000 | 3.250 | 11/25/2060 | 185,776 | ||||||||||
Towd Point Mortgage Trust 2015-6 - 144A | 130,000 | 3.750 | 4/25/2055 | 130,776 | ||||||||||
Towd Point Mortgage Trust 2016-2 - 144A | 1,918 | 3.000 | 8/25/2055 | 1,901 | ||||||||||
Towd Point Mortgage Trust 2017-1 -144A | 115,000 | 3.750 | 10/25/2056 | 115,117 | ||||||||||
Tricon American Homes 2017-SFR1 Trust - 144A | 100,000 | 2.716 | 9/17/2034 | 96,399 | ||||||||||
VSE 2017-A VOI Mortgage LLC - 144A | 114,859 | 2.330 | 3/20/2035 | 111,515 | ||||||||||
3,197,399 | ||||||||||||||
PHARMACEUTICALS - 2.0% | ||||||||||||||
AbbVie, Inc. | 55,000 | 3.600 | 5/14/2025 | 53,302 | ||||||||||
AbbVie, Inc. | 100,000 | 3.200 | 5/14/2026 | 93,510 | ||||||||||
AmerisourceBergen Corp. | 105,000 | 3.450 | 12/15/2027 | 98,306 | ||||||||||
CVS Health Corp. | 154,000 | 4.300 | 3/25/2028 | 152,632 | ||||||||||
Cardinal Health, Inc. | 105,000 | 3.079 | 6/15/2024 | 99,513 | ||||||||||
Cardinal Health, Inc. | 140,000 | 3.410 | 6/15/2027 | 130,405 | ||||||||||
Mylan NV | 45,000 | 3.150 | 6/15/2021 | 44,207 | ||||||||||
Mylan NV | 105,000 | 3.950 | 6/15/2026 | 99,930 | ||||||||||
Owens & Minor, Inc. | 30,000 | 3.875 | 9/15/2021 | 29,457 |
See accompanying notes to financial statements.
17
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Corporate/Government Bond Fund (Continued) |
April 30, 2018 |
Variable | Principal | Interest | Maturity | |||||||||||
Security | Rate | Amount | Rate% | Date | Value | |||||||||
CORPORATE BONDS & NOTES - 65.4% (Continued) | ||||||||||||||
PHARMACEUTICALS - 2.0% (Contined) | ||||||||||||||
Shire Acquisitions Investments Ireland DAC | $ | 75,000 | 2.400 | 9/23/2021 | $ | 72,007 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV ^ | 95,000 | 3.150 | 10/1/2026 | 75,856 | ||||||||||
Valeant Pharmaceuticals International, Inc. - 144A | 50,000 | 5.500 | 3/1/2023 | 45,375 | ||||||||||
Valeant Pharmaceuticals International, Inc. - 144A | 10,000 | 6.500 | 3/15/2022 | 10,413 | ||||||||||
Valeant Pharmaceuticals International, Inc. - 144A | 20,000 | 7.000 | 3/15/2024 | 21,175 | ||||||||||
Valeant Pharmaceuticals International, Inc. - 144A | 70,000 | 5.500 | 11/1/2025 | 69,913 | ||||||||||
1,096,001 | ||||||||||||||
PIPELINES - 2.6% | ||||||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp. | 135,000 | 4.250 | 12/1/2027 | 131,572 | ||||||||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp. | 115,000 | 5.750 | 4/1/2025 | 114,569 | ||||||||||
Enbridge Energy Partners LP | 165,000 | 5.875 | 10/15/2025 | 180,387 | ||||||||||
Energy Transfer LP | 165,000 | 4.200 | 4/15/2027 | 157,750 | ||||||||||
Kinder Morgan, Inc. | 45,000 | 7.750 | 1/15/2032 | 56,353 | ||||||||||
Kinder Morgan, Inc. ^ | 160,000 | 4.300 | 6/1/2025 | 160,185 | ||||||||||
MPLX LP | 135,000 | 4.875 | 12/1/2024 | 140,139 | ||||||||||
NuStar Logistics LP | 155,000 | 5.625 | 4/28/2027 | 147,396 | ||||||||||
Sabine Pass Liquefaction LLC | 100,000 | 6.250 | 3/15/2022 | 108,024 | ||||||||||
Sabine Pass Liquefaction LLC | 30,000 | 4.200 | 3/15/2028 | 29,210 | ||||||||||
TransMontaigne Partners LP / TLP Finance Corp. | 55,000 | 6.125 | 2/15/2026 | 55,000 | ||||||||||
Valero Energy Partners LP | 170,000 | 4.500 | 3/15/2028 | 168,262 | ||||||||||
1,448,847 | ||||||||||||||
PRIVATE EQUITY - 0.5% | ||||||||||||||
Apollo Management Holdings LP - 144A | 135,000 | 4.000 | 5/30/2024 | 133,609 | ||||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp. | 145,000 | 6.375 | 12/15/2025 | 145,725 | ||||||||||
279,334 | ||||||||||||||
REITS - 5.4% | ||||||||||||||
Alexandria Real Estate Equities, Inc. | 100,000 | 3.950 | 1/15/2027 | 97,261 | ||||||||||
American Tower Corp. | 63,000 | 3.000 | 6/15/2023 | 60,462 | ||||||||||
Brixmor Operating Partnership LP | 45,000 | 3.875 | 8/15/2022 | 44,898 | ||||||||||
Corporate Office Properties LP | 366,000 | 3.600 | 5/15/2023 | 355,325 | ||||||||||
Education Realty Operating Partnership LP | 135,000 | 4.600 | 12/1/2024 | 135,122 | ||||||||||
EPR Properties | 220,000 | 4.750 | 12/15/2026 | 215,718 | ||||||||||
Healthcare Realty Trust, Inc. | 90,000 | 3.875 | 5/1/2025 | 87,655 | ||||||||||
Healthcare Trust of America Holdings LP | 60,000 | 3.375 | 7/15/2021 | 59,706 | ||||||||||
Healthcare Trust of America Holdings LP ^ | 150,000 | 3.750 | 7/1/2027 | 142,266 | ||||||||||
Highwoods Realty LP | 185,000 | 3.625 | 1/15/2023 | 181,577 | ||||||||||
Hospitality Mortgage Trust | 165,000 | 4.950 | 2/15/2027 | 165,100 | ||||||||||
Hospitality Mortgage Trust | 100,000 | 3.075 | 5/8/2030 | 100,346 | ||||||||||
Kilroy Realty LP | 165,000 | 4.375 | 10/1/2025 | 165,145 | ||||||||||
Life Storage LP | 65,000 | 3.875 | 12/15/2017 | 61,725 | ||||||||||
Life Storage LP / CA | 205,000 | 3.500 | 7/1/2016 | 191,242 | ||||||||||
MPT Operating Partnership LP / MPT Finance Corp | 60,000 | 5.500 | 5/1/2024 | 61,050 | ||||||||||
MPT Operating Partnership LP / MPT Finance Corp | 15,000 | 6.375 | 3/1/2024 | 15,750 | ||||||||||
MPT Operating Partnership LP / MPT Finance Corp | 85,000 | 5.000 | 10/15/2027 | 80,750 | ||||||||||
National Retail Properties Inc | 50,000 | 4.000 | 11/15/2025 | 48,884 | ||||||||||
Physicians Realty LP | 140,000 | 3.950 | 1/15/2028 | 131,904 | ||||||||||
Retail Opportunity Investments Partnership LP | 105,000 | 4.000 | 12/15/2024 | 99,860 | ||||||||||
Select Income REIT | 170,000 | 4.500 | 2/1/2025 | 166,428 | ||||||||||
Welltower, Inc. | 175,000 | 4.000 | 6/1/2025 | 171,972 | ||||||||||
WP Carey, Inc. | 135,000 | 4.600 | 4/1/2024 | 136,523 | ||||||||||
2,976,669 | ||||||||||||||
RETAIL - 0.9% | ||||||||||||||
Dollar General Corp. | 199,000 | 4.125 | 5/1/2028 | 197,777 | ||||||||||
L Brands, Inc. | 75,000 | 6.875 | 11/1/2035 | 70,875 | ||||||||||
QVC, Inc. | 195,000 | 4.375 | 3/15/2023 | 194,140 | ||||||||||
Tops Holding LLC / Tops Markets II Corp. - 144A | 110,000 | 8.000 | 6/15/2022 | 52,800 | ||||||||||
515,592 | ||||||||||||||
SEMICONDUCTORS - 0.6% | ||||||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 75,000 | 3.000 | 1/15/2022 | 73,184 | ||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 135,000 | 3.625 | 1/15/2024 | 131,320 | ||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. ^ | 115,000 | 3.125 | 1/15/2025 | 106,783 | ||||||||||
311,287 | ||||||||||||||
SOFTWARE - 0.6% | ||||||||||||||
Citrix Systems, Inc. | 165,000 | 4.500 | 12/1/2027 | 160,412 | ||||||||||
Vmware, Inc. | 83,000 | 2.950 | 8/21/2022 | 79,847 | ||||||||||
Vmware, Inc. | 88,000 | 3.900 | 8/21/2027 | 83,161 | ||||||||||
323,420 |
See accompanying notes to financial statements.
18
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Corporate/Government Bond Fund (Continued) |
April 30, 2018 |
Variable | Principal | Interest | Maturity | |||||||||||
Security | Rate | Amount | Rate% | Date | Value | |||||||||
CORPORATE BONDS & NOTES - 65.4% (Continued) | ||||||||||||||
STUDENT LOAN ABS - 0.6% | ||||||||||||||
Navient Private Education Loan Trust 2017-A - 144A | $ | 160,000 | 2.880 | 12/16/2058 | $ | 155,824 | ||||||||
SoFi Professional Loan Program 2016-C LLC - 144A | 205,000 | 2.360 | 12/25/2032 | 198,577 | ||||||||||
354,401 | ||||||||||||||
TELECOMMUNICATIONS - 1.7% | ||||||||||||||
AT&T, Inc. - 144A ^ | 206,000 | 4.100 | 2/15/2028 | 200,298 | ||||||||||
Consolidated Communications, Inc. | 99,000 | 6.500 | 10/1/2022 | 91,575 | ||||||||||
Frontier Communications Corp. | 50,000 | 7.125 | 1/15/2023 | 36,000 | ||||||||||
Frontier Communications Corp. | 45,000 | 7.625 | 4/15/2024 | 29,812 | ||||||||||
Frontier Communications Corp. - 144A | 70,000 | 8.500 | 4/1/2026 | 68,250 | ||||||||||
Level 3 Financing, Inc. | 140,000 | 5.375 | 1/15/2024 | 138,950 | ||||||||||
Verizon Communications, Inc. ^ | 215,000 | 4.125 | 3/16/2027 | 215,365 | ||||||||||
Wind Tre SpA - 144A | 20,000 | 5.000 | 1/20/2026 | 169,061 | ||||||||||
949,311 | ||||||||||||||
TRANSPORTATION - 0.3% | ||||||||||||||
Kazakhstan Temir Zholy National Co. JSC - 144A | 200,000 | 4.850 | 11/17/2027 | 198,752 | ||||||||||
TRUCKING & LEASING - 0.5% | ||||||||||||||
Aviation Capital Group LLC - 144A | 205,000 | 3.500 | 11/1/2027 | 190,647 | ||||||||||
Penske Truck Leasing Co. LP - 144A | 55,000 | 3.375 | 2/1/2022 | 54,544 | ||||||||||
245,191 | ||||||||||||||
WHOLE LOAN COLLATERAL CMO - 2.5% | ||||||||||||||
Banc of America Funding 2005-1 Trust | 44,408 | 5.500 | 2/25/2035 | 44,560 | ||||||||||
Citigroup Mortgage Loan Trust Inc. | 54,062 | 6.750 | 8/25/2034 | 58,563 | ||||||||||
Citigroup Mortgage Loan Trust Inc. - 144A | 202,921 | 3.000 | 9/25/2064 | 200,302 | ||||||||||
COLT 2018-1 Mortgage Loan Trust - 144A | 95,608 | 2.930 | 2/25/2048 | 95,840 | ||||||||||
Galton Funding Mortgage Trust 2017-1 -144A | 135,565 | 3.500 | 11/25/2057 | 134,408 | ||||||||||
JP Morgan Mortgage Trust 2017-3 - 144A | 109,370 | 2.500 | 8/25/2047 | 106,048 | ||||||||||
JP Morgan Mortgage Trust 2017-5 - 144A | 324,041 | 3.180 | 10/26/2018 | 321,506 | ||||||||||
MASTR Alternative Loan Trust 2004-4 | 63,573 | 5.500 | 4/25/2034 | 66,132 | ||||||||||
Metlife Securitization Trust 2005-A1 - 144A | 100,000 | 3.634 | 4/25/2055 | 99,791 | ||||||||||
Residential Asset Securitization Trust 2005-A1 | 84,552 | 5.500 | 4/25/2035 | 87,210 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2004-4 | 3 Month LIBOR + 1.926% | 88,671 | 3.878 | + | 4/25/2034 | 90,057 | ||||||||
Verus Securitization Trust 2018-1 - 144A | 98,924 | 2.930 | 2/25/2048 | 99,023 | ||||||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S8 Trust | 3,482 | 5.000 | 9/25/2018 | 3,490 | ||||||||||
1,406,930 | ||||||||||||||
TOTAL CORPORATE BONDS & NOTES (Cost - $36,491,650) | 35,918,295 | |||||||||||||
FOREIGN GOVERNMENT BONDS - 2.1% | ||||||||||||||
Argentine Republic Government International Bond | 150,000 | 7.625 | 4/22/2046 | 145,500 | ||||||||||
Argentine Republic Government International Bond | 130,000 | 6.875 | 1/26/2027 | 129,676 | ||||||||||
Argentine Republic Government International Bond | 85,000 | 5.875 | 1/11/2028 | 78,020 | ||||||||||
Argentine Republic Government International Bond | 80,000 | 6.875 | 1/11/2048 | 71,230 | ||||||||||
Dominican Republic International Bond - 144A | 100,000 | 5.950 | 1/25/2027 | 102,500 | ||||||||||
Oman Government International Bond - 144A | 200,000 | 5.625 | 1/17/2028 | 191,387 | ||||||||||
Republic of South Africa Government International Bond | 200,000 | 4.300 | 10/12/2028 | 184,052 | ||||||||||
Turkey Government International Bond | 200,000 | 7.375 | 2/5/2025 | 219,606 | ||||||||||
TOTAL FOREIGN GOVERNMENT BONDS - (Cost - $1,160,651) | 1,121,971 | |||||||||||||
MUNICIPAL BONDS - 5.3% | ||||||||||||||
City of Bristol VA | 340,000 | 4.210 | 1/1/2042 | 342,666 | ||||||||||
Port Authority of New York & New Jersey | 470,000 | 5.000 | 4/15/2057 | 525,310 | ||||||||||
Rockdale County Water & Sewerage Authority | 305,000 | 3.060 | 7/1/2024 | 300,051 | ||||||||||
San Diego County Regional Airport Authority | 325,000 | 5.594 | 7/1/2043 | 358,522 | ||||||||||
State of California | 765,000 | 7.600 | 11/1/2040 | 1,164,024 | ||||||||||
State of Texas | 245,000 | 3.011 | 10/1/2026 | 236,949 | ||||||||||
TOTAL MUNICIPAL - (Cost - $2,947,950) | 2,927,522 | |||||||||||||
U.S. GOVERNMENT & AGENCY - 19.3% | ||||||||||||||
U.S. GOVERNMENT AGENCY - 10.3% | ||||||||||||||
Fannie Mae Pool | 70,456 | 6.500 | 5/1/2037 | 78,910 | ||||||||||
Fannie Mae Pool | 112,692 | 3.000 | 3/1/2043 | 109,622 | ||||||||||
Fannie Mae Pool | 286,754 | 3.500 | 8/1/2045 | 285,289 | ||||||||||
Fannie Mae Pool | 329,649 | 3.000 | 8/1/2045 | 319,252 | ||||||||||
Fannie Mae Pool | 310,140 | 3.500 | 8/1/2045 | 308,599 | ||||||||||
Fannie Mae Pool | 194,140 | 3.500 | 12/1/2045 | 193,055 | ||||||||||
Fannie Mae Pool | 208,535 | 3.500 | 1/1/2046 | 207,369 | ||||||||||
Fannie Mae Pool | 327,182 | 3.000 | 4/1/2046 | 316,224 |
See accompanying notes to financial statements.
19
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Corporate/Government Bond Fund (Continued) |
April 30, 2018 |
Variable | Principal | Interest | Maturity | |||||||||||
Security | Rate | Amount | Rate% | Date | Value | |||||||||
U.S. GOVERNMENT AGENCY - 10.3% (Continued) | ||||||||||||||
Fannie Mae Pool | $ | 398,593 | 4.000 | 4/1/2046 | $ | 406,758 | ||||||||
Fannie Mae Pool | 245,058 | 4.000 | 9/1/2044 | 250,345 | ||||||||||
Fannie Mae Pool | 23,502 | 6.000 | 11/1/2034 | 26,234 | ||||||||||
Fannie Mae Pool | 25,014 | 6.000 | 3/1/2036 | 27,917 | ||||||||||
Fannie Mae Pool | 365,850 | 3.500 | 6/1/2046 | 363,810 | ||||||||||
Fannie Mae Pool | 38,162 | 5.500 | 4/1/2038 | 41,941 | ||||||||||
Fannie Mae Pool | 74,076 | 6.000 | 8/1/2038 | 83,429 | ||||||||||
Fannie Mae Pool | 187,636 | 5.500 | 9/1/2036 | 205,315 | ||||||||||
Fannie Mae Pool | 30,295 | 5.000 | 4/1/2038 | 32,820 | ||||||||||
Fannie Mae Pool | 153,689 | 5.000 | 6/1/2039 | 165,507 | ||||||||||
Fannie Mae Pool | 446,417 | 3.500 | 1/1/2046 | 443,922 | ||||||||||
Fannie Mae Pool | 471,700 | 4.000 | 6/1/2047 | 481,257 | ||||||||||
Fannie Mae Pool | 744,322 | 4.000 | 7/1/2047 | 759,480 | ||||||||||
Freddie Mac Gold Pool | 203,941 | 5.000 | 12/1/2035 | 220,580 | ||||||||||
Freddie Mac Gold Pool | 33,086 | 5.500 | 10/1/2039 | 36,253 | ||||||||||
Freddie Mac Gold Pool | 281,953 | 3.500 | 4/1/2046 | 281,042 | ||||||||||
5,644,930 | ||||||||||||||
U.S. TREASURY OBLIGATIONS - 9.0% | ||||||||||||||
United States Treasury Bond | 1,185,000 | 3.125 | 2/15/2043 | 1,194,582 | ||||||||||
United States Treasury Bond ^ | 1,075,000 | 2.500 | 2/15/2046 | 955,826 | ||||||||||
United States Treasury Bond ^ | 2,835,000 | 1.125 | 2/28/2019 | 2,809,086 | ||||||||||
4,959,494 | ||||||||||||||
TOTAL U.S. GOVERNMENT & AGENCY (Cost - $10,806,585) | 10,604,424 | |||||||||||||
BANK LOANS - 5.5% | ||||||||||||||
ADVERTISTING - 0.1% | ||||||||||||||
Red Ventures LLC Term Loan | 1 Month LIBOR + 4.000% | 74,625 | 6.363 | + | 11/8/2024 | 75,642 | ||||||||
AEROSPACE - 0.1% | ||||||||||||||
Accudyne Industries Initial Term Loan | 1 Month LIBOR + 3.250% | 69,650 | 5.613 | + | 8/18/2024 | 70,196 | ||||||||
AUTO MANUFACTURERS - 0.2% | ||||||||||||||
Navistar, Inc. Tranche B Term Loan | 1 Month LIBOR + 3.500% | 90,000 | 5.853 | + | 11/6/2024 | 90,717 | ||||||||
CHEMICALS - 0.1% | ||||||||||||||
Tronox Blocked Borrower Blocked Dollar Term Loan | 3 Month LIBOR + 3.000% | 17,398 | 5.308 | + | 9/24/2024 | 17,598 | ||||||||
Tronox Finance LLC Term Loan | 3 Month LIBOR + 3.000% | 7,539 | 5.308 | + | 9/24/2024 | 7,626 | ||||||||
25,224 | ||||||||||||||
COMMERCIAL SERVICES - 0.3% | ||||||||||||||
CHG Healthcare Services, Inc. New Term Loan | 2 Month LIBOR + 3.000% | 75,615 | 5.363 | + | 6/8/2023 | 76,356 | ||||||||
Genworth Holdings, Inc. Term Loan | 1 Month LIBOR + 4.500% | 5,000 | 6.837 | + | 3/8/2023 | 5,094 | ||||||||
Parexel International Corporation Initial Term Loan | 1 Month LIBOR + 2.750% | 19,900 | 5.113 | + | 9/28/2024 | 19,990 | ||||||||
Sedgwick Claims Management Services, Inc. New Loan | 3 Month LIBOR + 5.750% | 85,000 | 7.767 | + | 2/28/2022 | 85,903 | ||||||||
187,343 | ||||||||||||||
DISTRIBUTION / WHOLESALE - 0.2% | ||||||||||||||
Beacon Roofing Supply, Inc. Term Loan B | 1 Month LIBOR + 2.250% | 125,000 | 4.603 | + | 1/2/2025 | 125,904 | ||||||||
DIVERSIFIED - FINANCIAL SERVICES - 0.3% | ||||||||||||||
Capital Automotive LP Initial Tranche B-2 Term Loan | 1 Month LIBOR + 2.500% | 153,735 | 4.863 | + | 3/24/2024 | 154,624 | ||||||||
ELECTRIC - 0.3% | ||||||||||||||
NRG Energy, Inc. Term Loan | 3 Month LIBOR + 1.750% | 111,290 | 4.058 | + | 6/30/2023 | 111,702 | ||||||||
Vista Operations Co. LLC Initial Term Loan | 1 Month LIBOR + 2.500% | 46,856 | 4.863 | + | 8/4/2023 | 47,237 | ||||||||
Vista Operations Co. LLC Initial Term Loan | 1 Month LIBOR + 2.500% | 8,242 | 4.863 | + | 8/4/2023 | 8,309 | ||||||||
167,248 |
See accompanying notes to financial statements.
20
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Corporate/Government Bond Fund (Continued) |
April 30, 2018 |
Variable | Principal | Interest | Maturity | |||||||||||
Security | Rate | Amount | Rate% | Date | Value | |||||||||
BANK LOANS - 5.5% (Continued) | ||||||||||||||
ELECTRONICS - 0.1% | ||||||||||||||
SharkNinja Operating LLC Tranche B Term Loan | 1 Month LIBOR + 4.000% | $ | 49,750 | 6.363 | + | 9/28/2024 | $ | 50,558 | ||||||
ENTERTAINMENT - 0.3% | ||||||||||||||
Cineworld Group PLC Term Loan | 1 Month LIBOR + 2.500% | 45,000 | 4.863 | + | 2/28/2025 | 44,995 | ||||||||
Gateway Casinos & Entertainment Limited PLC | 3 Month LIBOR + 3.000% | 30,000 | 5.353 | + | 11/30/2023 | 30,282 | ||||||||
GVC Holdings PLC Term Loan | 3 Month LIBOR + 2.500% | 90,000 | 4.863 | + | 3/28/2024 | 90,272 | ||||||||
Scientific Games International, Inc. Term Loan | 2 Month LIBOR + 2.750% | 5,000 | 5.069 | + | 8/14/2024 | 5,036 | ||||||||
170,585 | ||||||||||||||
FOOD - 0.3% | ||||||||||||||
Albertsons LLC 2017-1 Term B-4 Loan | 1 Month LIBOR + 2.750% | 68,611 | 5.113 | + | 8/24/2021 | 68,067 | ||||||||
Aramark Intermediate HoldCo Corporation Term Loan | 1 Month LIBOR + 2.000% | 69,825 | 4.363 | + | 3/12/2025 | 70,403 | ||||||||
138,470 | ||||||||||||||
HEALTHCARE - 0.1% | ||||||||||||||
Quorum Health Corp. Term Loan | 1 Month LIBOR + 6.750% | 34,809 | 9.113 | + | 4/28/2022 | 35,630 | ||||||||
INVESTMENT COMPANIES - 0.2% | ||||||||||||||
TKC Holdings, Inc. Initial Term Loan | 1 Month LIBOR + 4.250% | 59,400 | 6.613 | + | 1/31/2023 | 60,031 | ||||||||
UFC Holdings LLC Term Loan | 1 Month LIBOR + 3.250% | 67,043 | 5.613 | + | 8/18/2023 | 67,486 | ||||||||
127,517 | ||||||||||||||
LODGING - 0.3% | ||||||||||||||
Playa Resorts and Hotels Initial Term Loan | 1 Month LIBOR + 3.250% | 84,537 | 5.609 | + | 4/28/2024 | 85,160 | ||||||||
Station Casino LLC Term B Facility Loan | 1 Month LIBOR + 2.500% | 55,920 | 4.863 | + | 6/8/2023 | 56,191 | ||||||||
Wyndham Hotels & Resorts, Inc. | 3 Month LIBOR + 1.750% | 30,000 | 4.058 | + | 3/28/2025 | 30,270 | ||||||||
171,621 | ||||||||||||||
MACHINERY - DIVERSIFIED - 0.2% | ||||||||||||||
Zodiac Pool Solutions LLC Tranche B-1 Term Loan | 3 Month LIBOR + 4.000% | 79,002 | 6.308 | + | 12/20/2023 | 79,150 | ||||||||
Zodiac Pool Solutions LLC Tranche B-1 Term Loan | 3 Month LIBOR + 2.250% | 35,000 | 4.321 | + | 3/8/2025 | 35,208 | ||||||||
114,358 | ||||||||||||||
MEDIA - 0.6% | ||||||||||||||
Meredith Corporation Term Loan | 1 Month LIBOR + 3.000% | 115,000 | 5.363 | + | 2/1/2025 | 115,899 | ||||||||
Sinclair Television Group, Inc. Term Loan | 3 Month LIBOR + 2.500% | 95,000 | 4.607 | + | 12/12/2024 | 95,535 | ||||||||
Univision Communications, Inc. 2017 Replacement Repriced First Lien Term Loan | 1 Month LIBOR + 2.750% | 144,216 | 5.113 | + | 3/16/2024 | 142,491 | ||||||||
353,925 | ||||||||||||||
MISCELLANEOUS MANUFACTURING - 0.1% | ||||||||||||||
US Farathane LLC Term B-4 Loan | 3 Month LIBOR + 3.500% | 73,518 | 5.808 | + | 12/24/2021 | 73,702 | ||||||||
OIL & GAS - 0.2% | ||||||||||||||
Delek U.S. Holdings, Inc. | 1 Month LIBOR + 2.500% | 25,000 | 4.863 | + | 4/1/2025 | 25,211 | ||||||||
Ultra Petroleum Loan | 1 Month LIBOR + 3.000% | 85,000 | 5.355 | + | 4/12/2024 | 79,874 | ||||||||
105,085 | ||||||||||||||
PHARMACEUTICALS - 0.2% | ||||||||||||||
Endo Luxembourg Finance Company Initial Term Loan | 1 Month LIBOR + 4.250% | 94,288 | 6.613 | + | 4/28/2024 | 93,919 | ||||||||
HLF Financing US LLC Senior Lien Term Loan | 1 Month LIBOR + 5.500% | 27,750 | 7.863 | + | 2/16/2023 | 28,132 | ||||||||
122,051 | ||||||||||||||
REGIONAL- 0.2% | ||||||||||||||
Seminole Indian Tribe of Florida Term B Loan | 1 Month LIBOR + 1.750% | 89,550 | 4.113 | + | 7/8/2024 | 90,311 | ||||||||
RETAIL - 0.2% | ||||||||||||||
84 Lumber Initial Term Loan Retired | 1 Month LIBOR + 5.250% | 81,813 | 7.616 | + | 10/24/2023 | 83,142 | ||||||||
SOFTWARE - 0.5% | ||||||||||||||
Rackspace Hosting, Inc. 2017 Refinancing Term B Loan | 3 Month LIBOR + 3.000% | 131,018 | 5.353 | + | 11/4/2023 | 130,863 | ||||||||
SS&C Technologies Holdings, Inc. Term Loan | 1 Month LIBOR + 2.500% | 103,189 | 4.863 | + | 4/16/2025 | 104,009 | ||||||||
SS&C Technologies Holdings, Inc. Term Loan | 1 Month LIBOR + 2.500% | 36,811 | 4.863 | + | 4/16/2025 | 37,103 | ||||||||
271,975 | ||||||||||||||
TELECOMMUNICATIONS - 0.4% | ||||||||||||||
CenturyLink, Inc. Term Loan | 1 Month LIBOR + 2.750% | 114,713 | 5.113 | + | 2/1/2025 | 113,171 | ||||||||
Digicel International Finance Limited Term Loan | 3 Month LIBOR + 3.250% | 14,962 | 5.613 | + | 5/28/2024 | 14,972 | ||||||||
Level 3 Financing, Inc. Tranche B 2024 Term Loan | 1 Month LIBOR + 2.250% | 105,000 | 4.610 | + | 2/22/2024 | 105,583 | ||||||||
233,726 | ||||||||||||||
TOTAL BANK LOANS - (Cost - $3,022,118) | 3,039,554 |
See accompanying notes to financial statements.
21
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Corporate/Government Bond Fund (Continued) |
April 30, 2018 |
Security | Shares | Interest Rate% | Value | |||||
SHORT-TERM INVESTMENT -1.9% | ||||||||
MONEY MARKET FUND - 1.9% | ||||||||
Fidelity Institutional Money Market Fund - Government Portfolio | ||||||||
(Cost - $1,059,428) | 1,059,428 | 1.580 | + | $ | 1,059,428 | |||
COLLATERAL FOR SECURITIES LOANED - 10.1% | ||||||||
Mount Vernon Prime Portfolio # (Cost - $5,513,346) | 5,513,346 | 2.000 | + | 5,513,346 | ||||
TOTAL INVESTMENTS - 109.6% (Cost - $61,001,728) | $ | 60,184,540 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (9.6)% | (5,278,396 | ) | ||||||
NET ASSETS - 100.0% | $ | 54,906,144 |
LLC - Limited Liability Corporation
ABS - Asset Backed Security
MBS - Mortgage Backed Security
LP - Limited Partnership
REIT - Real Estate Investment Trust
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $5,408,156 at April 30, 2018. |
+ | Variable rate security. Interest rate is as of April 30, 2018. |
144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The 144A securities amounted to $14,473,402 or 26.4% of net assets.
(a) | Step-Up Bond; the interest rate shown is the rate in effect as of April 30, 2018. |
# | The Trust’s securities lending policies and procedures require that the borrower. (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%. |
Portfolio Composition * - (Unaudited) | ||||||||||
Corporate Bonds & Notes | 59.7 | % | Municipal | 4.9 | % | |||||
U.S. Government & Agencies | 17.6 | % | Foreign Government Bonds | 1.9 | % | |||||
Collateral For Securities Loaned | 9.1 | % | Short - Term | 1.8 | % | |||||
Bank Loans | 5.0 | % | Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2018. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
22
Dunham Monthly Distribution Fund (Unaudited) |
Message from the Sub-Adviser (Perella Weinberg Partners) |
The equity markets began the fiscal year with volatility near all-time lows, and three months later, volatility spiked to levels not seen in nearly two years. In addition, threats of rising interest rates to stem inflation exacerbated investor concerns regarding future earnings potential. Therefore, as many companies reported positive earnings results that generally met or exceeded expectations, the equity markets broadly headed lower in the latter half of the six-month period ended April 30, 2018. During the first fiscal quarter, 10 out of 11 sectors posted positive returns, with nine of those above 7 percent. In the second fiscal quarter, 10 sectors were negative and the only positive sector provided a 1.9 percent return. While this dispersion in returns generally provided additional opportunities to exploit, the increased trepidation that we may be at the end of an expansionary phase of the economic cycle placed additional downward pressure on valuations. Global equities, as measured by the MSCI All Country World Index Net, rose 3.6 percent during the six-month period, and absolute return strategies, as measured by the HFRX Absolute Return Index, increased 0.1 percent.
The Sub-Adviser implements a combination of tactical long/short and event-driven equity investing in order to maintain a diversified, low-net portfolio of mid and large cap equites. Event driven strategies, as measured by the HFRX Event Driven Index, decreased 4.4 percent over the six-month period, while long/short strategies in general, as measured by the Credit Suisse Long/Short Index, increased 3.1 percent. The Sub-Adviser allocated approximately one-third of the Fund to event driven opportunities during the six-month period. This continued to include mergers and acquisitions such as the $30 billion cash and stock acquisition of Rockwell Collins, Inc. (COL) (holding weight*: 3.60 percent) by United Technologies Corp. (UTX) (holding weight*: -0.82 percent) and the $107 billion cash and stock acquisition of Time Warner Inc. (TWX) (holding weight*: 3.51 percent) by AT&T Corp. (T) (holding weight*: -1.28 percent). During the six-month period, the aviation instrument and communication device supplier, COL, decreased 1.8 percent, while the elevator-making, engine-building, air conditioning equipment company, UTX, rose 1.5 percent. The Fund’s loss on an absolute basis was increased due to the spread between UTX and COL widening primarily due to performance in the first fiscal quarter. Similarly, as media titan, TWX, reported a 2.7 percent decline during the six-month period, the massive communications holding company, T, broadcasted a decline of 0.1 percent. The overall expansion in this deal spread also primarily took place in the first fiscal quarter.
During the second fiscal quarter, the Sub-Adviser purchased shares of Marathon Petroleum Corporation (MPC) (holding weight*: -1.13 percent), a crude oil refining company. Since its purchase through April 26, when the Sub-Adviser exited the holding, MPC surged 28.0 percent. However, on April 30 MPC and Andeavor (ANDV) (holding weight*: 2.02 percent), another oil refiner, announced a $30 billion cash or stock deal, at which point the Sub-Adviser added this to the event driven allocation for the Fund. Within the same sector, energy, one of the largest short positions at the end of the six-month period was in Concho Resources Inc. (CXO) (holding weight*: -3.56 percent), an oil and natural gas driller focused on the Permian Basin. The opposing component of this short position is in the all-stock acquisition target of CXO, RSP Permian Inc. (RSPP) (holding weight*: 3.51 percent), another oil exploration company in the Permian Basin. Although this deal is valued at close to $9 billion, it is dissimilar to the aforementioned mega-deals, in that its expected completion is within six months of its announcement date at the end of March. Although CXO increased 9.8 percent since it was initially added shortly after the announcement of the deal through April 30, 2018, RSPP outpaced it, rising 10.2 percent and netting the Fund a positive return on the overall position.
Approximately two-thirds of the Fund was allocated to the long/short equity strategy during the six-month period. This strategy is designed to have a low-net exposure to the overall equity markets. Therefore, the Sub-Adviser not only implements short positions in individual stocks, but also diligently incorporates short positions in broad sector ETFs. During the six-month period, the Fund’s largest short ETF holding was the Consumer Staples Select Sector SPDR Fund (XLP) (holding weight*: -0.48 percent). During the six-month period, XLP decreased 3.7 percent, contributing positively to the Fund’s return. The Sub-Adviser generally uses these short sector positions to isolate idiosyncratic risk and control the overall risk profile of the long/short strategy. Therefore, this benefit from being short the overall consumer staples sector helped to isolate the performance of Mondelez International Inc. (MDLZ) (holding weight*: 0.47 percent), one of the world’s largest snack companies, and Dr. Pepper Snapple Group Inc. (DPS) (holding weight*: 0.98 percent), the popular non-alcoholic beverage bottler and distributor. During the second fiscal quarter, MDLZ declined 10.2 percent while DPS increased 0.9 percent, and XLP fell 12.3 percent, aiding the Fund in benefitting from the relative outperformance of both of these holdings. In addition to using individual short positions in sector ETFs, the Sub-Adviser also manages broader market risk through options on indices such as the S&P 500 Index. During the six-month period, the Sub-Adviser entered into a form of vertical put spread, where it wrote out of the money puts and purchased puts closer to the current S&P price, thereby benefitting from moderate declines in the broad market.
Although the recent volatility has presented many new opportunities, the Sub-Adviser has been careful to diligently manage overall risk while seeking to capitalize on the dispersion. In addition, the Sub-Adviser is encouraged by overall positive earnings reports to start 2018. The Sub-Adviser believes that fundamentals are the driver of value in the long-term, but sentiment, positioning, technical factors, behavioral factors, and macro factors all have the ability to influence stock price in the short-term. The Sub-Adviser is encouraged by the announcements of many high quality mergers and believes that there are ample opportunities to benefit the Fund over the second half of the fiscal year.
* | Holdings percentage(s) as of 4/30/2018 |
Growth of $100,000 Investment
Total Returns as of April 30, 2018 | |||||
Annualized | Annualized | Annualized Since | |||
Six Months | One Year | Three Years | Five Years | Inception (8/1/08)* | |
Class N | (2.20)% | 0.83% | 0.68% | 1.88% | 3.31%** |
Class C | (2.68)% | (0.19)% | (0.34)% | 0.86% | 1.90% |
Class A with load of 5.75% | (7.93)% | (5.21)% | (1.53)% | 0.42% | 2.04% |
Class A without load | (2.32)% | 0.57% | 0.43% | 1.62% | 2.66% |
IQ Hedge Market Neutral Total Return Index | 0.12% | 1.90% | 1.57% | 1.70% | 2.93% |
IQ Hedge Market Neutral Beta Index*** | 0.23% | 3.15% | 1.33% | 1.84% | 2.36% |
Morningstar Multialternative Category | (0.17)% | 2.47% | 0.24% | 1.03% | 0.88% |
* | 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. |
*** | Change in the Fund’s benchmark. As a result, the Fund’s performance is compared to both indices in the table above. |
IQ Hedge Market Neutral Total Return Index seeks to replicate the risk-adjusted return characteristics of the collective hedge funds using a market neutral hedge fund investment style. Market Neutral hedge funds typically invest in both long and short positions in asset classes while minimizing exposure to systematic risk.
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 2.74% for Class N, 3.74% for Class C and 2.99% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.
23
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Monthly Distribution Fund |
April 30, 2018 |
Security | Shares | Value | ||||||
COMMON STOCKS - 76.4% | ||||||||
AEROSPACE/DEFENSE - 6.7% | ||||||||
Orbital ATK, Inc. | 40,800 | $ | 5,401,104 | |||||
Raytheon Co. | 13,920 | 2,852,765 | ||||||
Rockwell Collins, Inc. | 80,834 | 10,713,738 | ||||||
18,967,607 | ||||||||
AIRLINES - 0.7% | ||||||||
American Airlines Group, Inc. * | 101,283 | 101,283 | ||||||
Delta Air Lines, Inc. | 38,848 | 2,028,643 | ||||||
2,129,926 | ||||||||
BANKS - 2.2% | ||||||||
Bank of America Corp. | 204,797 | 6,127,526 | ||||||
BEVERAGES - 1.0% | ||||||||
Dr. Pepper Snapple Group, Inc. | 24,201 | 2,903,152 | ||||||
BIOTECHNOLOGY - 0.9% | ||||||||
Avexis, Inc. * | 12,453 | 2,648,255 | ||||||
CHEMICALS - 5.1% | ||||||||
A. Schulman, Inc. | 44,665 | 1,916,129 | ||||||
Huntsman Corp. | 50,201 | 1,494,484 | ||||||
Monsanto Co. | 81,688 | 10,241,225 | ||||||
WR Grace & Co. | 10,816 | 740,247 | ||||||
14,392,085 | ||||||||
COAL - 0.4% | ||||||||
Alliance Holdings GP LP | 43,973 | 1,124,829 | ||||||
COMPUTERS - 2.1% | ||||||||
Apple, Inc. | 15,806 | 2,612,100 | ||||||
Dell Technologies, Inc. * | 48,032 | 3,447,257 | ||||||
6,059,357 | ||||||||
COSMETICS/PERSONAL CARE - 0.6% | ||||||||
Colgate-Palmolive Co. | 25,822 | 1,684,369 | ||||||
ELECTRIC - 0.2% | ||||||||
NextEra Energy, Inc. | 2,697 | 442,065 | ||||||
ELECTRONICS - 0.6% | ||||||||
Honeywell International, Inc. | 12,315 | 1,781,734 | ||||||
FOOD - 0.5% | ||||||||
Mondelez International, Inc. | 35,380 | 1,397,510 | ||||||
GAS - 1.4% | ||||||||
Vectren Corp. | 55,492 | 3,899,423 | ||||||
HEALTHCARE-PRODUCTS - 1.0% | ||||||||
NxStage Medical, Inc. * | 33,645 | 895,630 | ||||||
Thermo Fisher Scientific, Inc. | 9,320 | 1,960,462 | ||||||
2,856,092 | ||||||||
HEALTHCARE-SERVICES - 3.2% | ||||||||
Aetna, Inc. | 45,522 | 8,150,714 | ||||||
Kindred Healthcare, Inc. * | 113,126 | 1,006,821 | ||||||
9,157,535 | ||||||||
HOUSEWARES - 0.2% | ||||||||
Newell Brands, Inc. | 25,678 | 709,483 | ||||||
See accompanying notes to financial statements.
24
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Monthly Distribution Fund (Continued) |
April 30, 2018 |
Security | Shares | Value | ||||||
COMMON STOCKS - 76.4% (Continued) | ||||||||
INSURANCE - 4.6% | ||||||||
Validus Holdings Ltd. | 67,335 | $ | 4,563,293 | |||||
XL Group Ltd. | 152,984 | 8,504,381 | ||||||
13,067,674 | ||||||||
INTERNET - 0.5% | ||||||||
Amazon.com, Inc. * | 888 | 1,390,723 | ||||||
LEISURE PRODUCTS - 0.2% | ||||||||
Royal Caribbean Cruises Ltd. | 5,647 | 610,949 | ||||||
LODGING - 5.4% | ||||||||
Caesars Entertainment Corp. * | 161,705 | 1,835,352 | ||||||
ILG, Inc. | 187,820 | 6,410,297 | ||||||
Marriott International, Inc. | 22,836 | 3,121,224 | ||||||
MGM Resorts International | 65,647 | 2,062,629 | ||||||
Wynn Resorts Ltd. | 9,831 | 1,830,434 | ||||||
15,259,936 | ||||||||
MACHINERY - CONSTRUCTION & MINING - 1.0% | ||||||||
Caterpillar, Inc. | 19,739 | 2,849,522 | ||||||
MEDIA - 6.2% | ||||||||
Comcast Corp. | 87,487 | 2,746,217 | ||||||
Time Warner, Inc. | 110,143 | 10,441,556 | ||||||
Twenty-First Century Fox, Inc. | 123,132 | 4,501,706 | ||||||
17,689,479 | ||||||||
OIL & GAS - 8.4% | ||||||||
Anadarko Petroleum Corp. | 29,900 | 2,012,868 | ||||||
Andeavor | 43,407 | 6,004,056 | ||||||
Devon Energy Corp. | 60,884 | 2,211,916 | ||||||
Marathon Petroleum Corp. | 24,441 | 1,830,875 | ||||||
Petroleo Brasileiro SA - ADR * | 94,252 | 1,328,011 | ||||||
RSP Permian, Inc. * | 210,459 | 10,440,871 | ||||||
23,828,597 | ||||||||
PACKAGING & CONTAINERS - 1.6% | ||||||||
KapStone Paper and Packaging Corp. | 131,025 | 4,509,881 | ||||||
PHARMACEUTICALS - 3.4% | ||||||||
Bristol-Myers Squibb Co. | 29,498 | 1,537,731 | ||||||
CVS Health Corp. | 7,563 | 528,124 | ||||||
Express Scripts Holding Co. * | 60,339 | 4,567,662 | ||||||
Zoetis, Inc. | 35,776 | 2,986,580 | ||||||
9,620,097 | ||||||||
PIPELINES - 0.7% | ||||||||
Columbia Pipeline Group, Inc. * | 84,102 | 2,144,180 | ||||||
REAL ESTATE INVESTMENT TRUSTS - 3.5% | ||||||||
American Tower Corp. | 8,348 | 1,138,333 | ||||||
Crown Castle International Corp. | 5,765 | 581,516 | ||||||
CYS Investments, Inc. | 187,010 | 1,340,862 | ||||||
GGP, Inc. | 213,119 | 4,260,249 | ||||||
SBA Communications Corp. * | 3,708 | 594,133 | ||||||
Ventas, Inc. | 12,720 | 654,062 | ||||||
Weyerhaeuser Co. | 17,675 | 650,086 | ||||||
Winthrop Realty Trust | 102,617 | 700,874 | ||||||
9,920,115 | ||||||||
See accompanying notes to financial statements.
25
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Monthly Distribution Fund (Continued) |
April 30, 2018 |
Security | Shares | Value | ||||||||||||||
COMMON STOCKS - 76.4% (Continued) | ||||||||||||||||
RETAIL - 2.8% | ||||||||||||||||
Lowe’s Companies, Inc. | 34,815 | $ | 3,166,548 | |||||||||||||
Macy’s, Inc. ^ | 65,390 | 2,031,667 | ||||||||||||||
Walmart, Inc. | 31,539 | 2,789,940 | ||||||||||||||
7,988,155 | ||||||||||||||||
SEMICONDUCTORS - 7.8% | ||||||||||||||||
Cavium, Inc. * | 81,310 | 6,099,063 | ||||||||||||||
Intel Corp. | 13,205 | 681,642 | ||||||||||||||
Microsemi Corp. * ^ | 111,678 | 7,224,450 | ||||||||||||||
NXP Semiconductors NV * | 60,421 | 6,338,163 | ||||||||||||||
QUALCOMM, Inc. | 33,318 | 1,699,551 | ||||||||||||||
22,042,869 | ||||||||||||||||
SOFTWARE - 2.3% | ||||||||||||||||
BORQS Technologies, Inc. * | 110,107 | 869,847 | ||||||||||||||
Microsoft Corp. | 38,796 | 3,628,202 | ||||||||||||||
Mitel Networks Corp. * | 50,965 | 568,769 | ||||||||||||||
MuleSoft, Inc. * | 33,865 | 1,509,702 | ||||||||||||||
6,576,520 | ||||||||||||||||
TELECOMMUNICATIONS - 0.6% | ||||||||||||||||
Oclaro, Inc. * | 198,191 | 1,569,673 | ||||||||||||||
TRANSPORTATION - 0.6% | ||||||||||||||||
Student Transportation, Inc. | 227,071 | 1,703,033 | ||||||||||||||
TOTAL COMMON STOCKS (Cost - $223,009,911) | 217,052,351 | |||||||||||||||
EXCHANGE TRADED FUNDS - 10.1% | ||||||||||||||||
DEBT EXCHANGE TRADED FUNDS - 8.4% | ||||||||||||||||
iShares iBoxx $Investment Grade Corporate Bond ETF ^ | 50,686 | 5,840,041 | ||||||||||||||
iShares MBS ETF ^ | 71,436 | 7,415,771 | ||||||||||||||
PowerShares Senior Loan Portfolio ETF | 257,444 | 5,949,531 | ||||||||||||||
SPDR Blackstone/GSO Senior Loan ETF | 96,040 | 4,556,138 | ||||||||||||||
TOTAL DEBT EXCHANGE TRADED FUNDS - (Cost - $23,974,506) | 23,761,481 | |||||||||||||||
EQUITY EXCHANGE TRADED FUND - 1.7% | ||||||||||||||||
Energy Select Sector SPDR Fund | 19,255 | 1,421,212 | ||||||||||||||
iShares U.S. Real Estate ETF | 18,730 | 1,416,737 | ||||||||||||||
SPDR S&P Regional Banking ETF ^ | 34,644 | 2,135,456 | ||||||||||||||
TOTAL EQUITY EXCHANGE TRADED FUNDS - (Cost - $4,971,006) | 4,973,405 | |||||||||||||||
TOTAL EXCHANGE TRADED FUNDS - (Cost - $28,945,512) | 28,734,886 | |||||||||||||||
RIGHTS - 0.0% | ||||||||||||||||
Nexstar Broadcasting Group, Inc. * | 87,600 | 876 | ||||||||||||||
TOTAL RIGHTS (Cost - $26,280) | ||||||||||||||||
WARRANTS - 0.0% | ||||||||||||||||
BORQS Technologies, Inc. * | 105,552 | 20,530 | ||||||||||||||
TOTAL WARRANTS (Cost - $8,254) | ||||||||||||||||
Counterparty | Contracts** | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||
PURCHASED CALL OPTION - 0.1% | ||||||||||||||||
Monsanto Co. | JP Morgan | 250 | $ | 3,134,250 | 120.00 | 7/20/2018 | $ | 170,000 | ||||||||
TOTAL PURCHASED CALL OPTION (Cost - $98,260) | ||||||||||||||||
PURCHASED PUT OPTIONS - 1.0% | ||||||||||||||||
Monsanto Co. | JP Morgan | 250 | 3,134,250 | 95.00 | 7/20/2018 | 7,000 | ||||||||||
S&P 500 Index | JP Morgan | 180 | 47,664,900 | 2,700.00 | 6/15/2018 | 1,403,101 | ||||||||||
S&P 500 Index | JP Morgan | 90 | 23,832,450 | 2,790.00 | 6/15/2018 | 1,323,450 | ||||||||||
TOTAL PURCHASED PUT OPTIONS (Cost - $1,715,964) | 2,733,551 | |||||||||||||||
See accompanying notes to financial statements.
26
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Monthly Distribution Fund (Continued) |
April 30, 2018 |
Interest | ||||||||
Security | Shares | Rate | Value | |||||
SHORT-TERM INVESTMENT - 35.0% | ||||||||
MONEY MARKET FUND - 35.0% | ||||||||
Fidelity Investments Money Market Fund - Class I | 99,574,138 | 1.58% + | $ | 99,574,138 | ||||
TOTAL SHORT-TERM INVESTMENT (Cost - $99,574,138) | ||||||||
COLLATERAL FOR SECURITIES LOANED - 3.3% | ||||||||
Mount Vernon Prime Portfolio (Cost - $9,394,734) | 9,394,734 | 2.00% + | 9,394,734 | |||||
TOTAL INVESTMENTS - 125.3% (Cost - $362,773,053) | $ | 357,681,066 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (25.3)% | (73,550,726 | ) | ||||||
NET ASSETS - 100.0% | $ | 284,130,340 | ||||||
* | Non-Income producing security. |
** | Each Purchased Option contract allows the option holder to buy/sell 100 shares of the underlying security at the exercise price. |
ADR - American Depositary Receipt.
ETF - Exchange Traded Fund
LLC - Limited Liability Company
PLC - Public Limited Company
REITS - Real Estate Investment Trusts
+ | Variable rate security. Interest rate is as of April 30, 2018. |
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $9,108,889 at April 30, 2018. |
Security | Counterparty | Contracts** | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||
WRITTEN CALL OPTIONS - (0.0)% | ||||||||||||||||
Caterpillar, Inc. | JP Morgan | 55 | $ | 793,980 | 155.00 | 5/18/2018 | $ | 2,695 | ||||||||
Monsanto Co. | JP Morgan | 250 | 3,134,250 | 125.00 | 7/20/2018 | 67,500 | ||||||||||
S&P 500 Index | JP Morgan | 90 | 23,832,450 | 2,790.00 | 6/15/2018 | 40,500 | ||||||||||
TOTAL WRITTEN CALL OPTIONS - (Premiums Received - $748,063) | 110,695 | |||||||||||||||
WRITTEN PUT OPTIONS - (0.3)% | ||||||||||||||||
Monsanto Co. | JP Morgan | 250 | 3,134,250 | 110.00 | 7/20/2018 | 24,250 | ||||||||||
S&P 500 Index | JP Morgan | 90 | 23,832,450 | 2,625.00 | 6/15/2018 | 387,450 | ||||||||||
S&P 500 Index | JP Morgan | 90 | 23,832,450 | 2,650.00 | 6/15/2018 | 472,500 | ||||||||||
TOTAL WRITTEN PUT OPTIONS - (Premiums Received - $773,348) | 884,200 | |||||||||||||||
Shares | ||||||||||||||||
SECURITIES SOLD SHORT * - (20.0)% | ||||||||||||||||
AEROSPACE/DEFENSE - (0.9)% | ||||||||||||||||
United Technologies Corp. | 20,335 | 2,443,250 | ||||||||||||||
AIRLINES - (0.1)% | ||||||||||||||||
American Airlines Group, Inc. | 5,810 | 249,423 | ||||||||||||||
AUTO MANUFACTURERS - (0.3)% | ||||||||||||||||
Tesla, Inc. | 3,062 | 899,922 | ||||||||||||||
CHEMICALS - (0.4)% | ||||||||||||||||
LyondellBasell Industries NV | 9,367 | 990,373 | ||||||||||||||
COAL - (0.4)% | ||||||||||||||||
Alliance Resource Partners LP | 64,468 | 1,137,860 | ||||||||||||||
COMPUTERS - (0.2)% | ||||||||||||||||
Lumentum Holdings, Inc. | 13,339 | 672,953 | ||||||||||||||
ELECTRIC - (0.0)% | ||||||||||||||||
Vistra Energy Corp. | 1 | 23 | ||||||||||||||
See accompanying notes to financial statements.
27
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Monthly Distribution Fund (Continued) |
April 30, 2018 |
Security | Shares | Value | ||||||
SECURITIES SOLD SHORT* - (20.0)% (Continued) | ||||||||
ENTERTAINMENT - (1.3)% | ||||||||
Marriott Vacations Worldwide Corp. | 30,936 | $ | 3,793,063 | |||||
HEALTHCARE-SERVICES - (0.5)% | ||||||||
Cigna Corp. | 8,264 | 1,419,920 | ||||||
INSURANCE - (0.6)% | ||||||||
American International Group, Inc. | 31,493 | 1,763,608 | ||||||
MACHINERY-DIVERSIFIED - (0.5)% | ||||||||
Cummins, Inc. | 8,589 | 1,373,038 | ||||||
MEDIA - (1.0)% | ||||||||
Walt Disney Co. | 27,649 | 2,774,024 | ||||||
EQUITY EXCHANGE TRADED FUND - (0.5)% | ||||||||
Consumer Staples Select Sector SPDR Fund | 28,394 | 1,432,477 | ||||||
OIL & GAS - (5.5)% | ||||||||
Concho Resources, Inc. | 67,312 | 10,582,119 | ||||||
Marathon Petroleum Corp. | 69,184 | 5,182,573 | ||||||
15,764,692 | ||||||||
PHARMACEUTICALS - (2.0)% | ||||||||
CVS Health Corp. | 52,211 | 3,645,894 | ||||||
Johnson & Johnson | 15,673 | 1,982,478 | ||||||
5,628,372 | ||||||||
REAL ESTATE - (0.2)% | ||||||||
Brookfield Property Partners LP | 27,012 | 522,142 | ||||||
REAL ESTATE INVESTMENT TRUST - (0.5)% | ||||||||
Two Harbors Investment Corp. | 91,181 | 1,391,422 | ||||||
RETAIL - (0.8)% | ||||||||
Chipotle Mexican Grill, Inc. | 1,979 | 837,770 | ||||||
Starbucks Corp. | 24,156 | 1,390,661 | ||||||
2,228,431 | ||||||||
SEMICONDUCTORS - (1.3)% | ||||||||
Marvell Technology Group Ltd. | 179,959 | 3,609,978 | ||||||
SOFTWARE - (1.7)% | ||||||||
Oracle Corp. | 31,089 | 1,419,835 | ||||||
salesforce.com, Inc. | 2,421 | 292,917 | ||||||
VMware, Inc. | 23,508 | 3,132,676 | ||||||
4,845,428 | ||||||||
TELECOMMUNICATIONS - (1.3)% | ||||||||
AT&T, Inc. | 116,727 | 3,816,973 | ||||||
TOTAL SECURITIES SOLD SHORT - (Proceeds - $56,581,680) | $ | 56,757,372 | ||||||
* | Non-Income producing security. |
** | Each Written Option contract allows the option holder to buy/sell 100 shares of the underlying security at the exercise price. |
ETF - Exchange Traded Fund
See accompanying notes to financial statements.
28
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Monthly Distribution Fund (Continued) |
April 30, 2018 |
Notional Amount at | Termination | Unrealized Appreciation/ | ||||||||||||||||
Number of Shares | Reference Entity | April 30, 2018 | Interest Rate Payable | Date | Counterparty | (Depreciation) | ||||||||||||
LONG TOTAL RETURN SWAPS | ||||||||||||||||||
1,067 | S&P 500 Index | $ | 2,845,805 | 1 Month LIBOR + 75 bps | 4/2/2019 | J.P. Morgan | $ | (21,802 | ) | |||||||||
SHORT TOTAL RETURN SWAPS | ||||||||||||||||||
2,596 | Consumer Discretionary Select Sector Index | 2,721,231 | Federal Fund Rate | 4/2/2019 | J.P. Morgan | 5,166 |
Portfolio Composition * - (Unaudited) | ||||||||||
Short-Term Investment | 27.9 | % | Communications | 5.8 | % | |||||
Technology | 9.7 | % | Basic Materials | 4.0 | % | |||||
Consumer, Non-Cyclical | 8.5 | % | Collateral For Securities Loaned | 2.6 | % | |||||
Industrials | 8.3 | % | Utilities | 1.2 | % | |||||
Financials | 8.1 | % | Options | 0.8 | % | |||||
Exchange Traded Funds | 8.0 | % | Warrants | 0.0 | % | |||||
Energy | 7.6 | % | Rights | 0.0 | % | |||||
Consumer, Cyclical | 7.5 | % | Total | 100.0 | % | |||||
* | Based on total value of investments as of April 30, 2018 |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
29
Dunham Dynamic Macro Fund (Unaudited) |
Message from the Sub-Adviser (Mellon Capital Management Corporation) |
Global equity markets experienced unexceptional, albeit positive, performance during the six month period ended April 30, 2018. U.S. stocks, as measured by the S&P 500, gained 3.8 percent, while international stocks, as measured by the MSCI ACWI ex US, rose 3.5 percent. The six-month fiscal period was a tale of two distinct three-month periods. The first three months saw global stocks rally behind continued strength in global economic growth. Also, investors were optimistic about lowered corporate and personal tax rates in the U.S., which they considered beneficial to companies and consumers throughout 2018 and possibly beyond. U.S. stocks rallied 10.2 percent over the first three months, while international stocks rose a handsome 8.8 percent.
Conversely, against the backdrop of continued positive U.S. economic data, including strong employment figures, volatility jolted markets early in the second three-month period, spiking to levels not seen since August 2015. Investors feared the Federal Reserve might increase the pace of interest rate hikes, as inflation bumped up against the Fed’s two percent target. Meanwhile, President Trump’s tariff threats against Chinese imports raised concerns of a global trade war. The perfect storm of investor skepticism in the continued global economic recovery dragged on equity markets across the globe. U.S. stocks fell 5.8 percent over the second half of the first fiscal six months, while international stocks lost 4.9 percent over the same 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 asset classes, with the ability to hold long or short positions, depending on the risk/reward profile of the investment. The overall strategy is divided into three sub-strategies: growth assets, which includes U.S. equities, developed markets ex-U.S. equities, and high-yield bonds; defensive assets, which includes exposure to U.S. bonds, developed markets ex-U.S. bonds, and cash, with a diversifying/hedging component utilized to attempt to achieve the desired downside protection; and real assets, which consists of Treasury Inflation-Protected Securities (TIPS) and commodities.
The growth asset strategy detracted from performance and held the largest allocation in the Fund, fluctuating from an exposure 65.2 percent at the beginning of the fiscal six-month period, to a low of 49.6 percent after the first month, to a high of 70.8 percent one-third of the way through, before finishing at a 55.6 percent allocation. Long exposures to U.S. and Japan equities held the highest weighting in the Fund most of the way through the six-month period and contributed the most to Fund performance from the equities bucket. The long U.S. equity exposure was implemented through the SPDR S&P 500 ETF Trust (SPY) (holding weight*: 30.07 percent), which gained 3.8 percent on an absolute basis. With a net 16.6 percent allocation, U.S. equities added 0.6 percent to the Fund’s performance over the six-month period. Japan equities exposure was accessed through the iShares Currency Hedged MSCI Japan ETF (HEWJ) (holding weight*: 9.03 percent), which increased 1.0 percent on an absolute basis. The 9.0 percent allocation to Japan equities resulted in a 0.1 percent contribution to the Fund’s return. The Fund held a short exposure to Hong Kong equities at -0.9 percent, which did not meaningfully contribute to Fund performance over the fiscal six-month period. Exposure to high-yield bonds was generally steady throughout the six months ended April 30, 2018, at approximately 5.0 percent. That exposure was gained through the SPDR Bloomberg Barclays High Yield Bond ETF (JNK) (holding weight*: 4.74 percent), which declined 1.1 percent on an absolute basis, but with a roughly 5.0 percent allocation to high-yield bonds, the overall impact was somewhat insignificant, detracting less than 0.1 percent.
The defensive assets strategy was the biggest detractor from Fund performance over the fiscal six-months ended April 30, 2018. The allocation to defensive assets fluctuated from 30.1 percent at the beginning of the fiscal six-month period, hit a high of 45.7 percent after the first month, saw its low of 23.8 percent one-third of the way through, before finishing the fiscal period at a 34.6 percent allocation. Over the entire fiscal period, the Fund was long U.S., Canadian, and Australian bonds; short other developed markets bonds, including German Bunds and British Gilts; and a slight exposure to cash. The negative impact of the defensive assets strategy came as yields in the U.S. moved higher more so than yields elsewhere in the world, which resulted in the exposure to U.S. Treasuries detracting from the Fund’s return. Options protection within the diversifying/hedging component, designed to guard against tail risk, helped the Fund, particularly as volatility increased midway through the fiscal six-month period. The Sub-Adviser’s ability to collect premiums on short calls and benefit from increasing value in purchased put options contributed to the Fund’s fiscal period performance.
The real assets strategy, while the smallest allocation in the Fund, was the only positive strategy over the fiscal six-month period. Real assets fluctuated from 4.8 percent at the beginning of the fiscal period, to a high of 10.1 percent two-thirds of the way through, before finishing the fiscal quarter at a 9.8 percent allocation. The goal of the strategy is to hedge against inflation. The real assets strategy portion of the Fund was up 0.2 percent over the fiscal period, as a rise in inflation and expectations for further increases in inflation negatively affected inflation-sensitive asset class returns. Inflation hedges are accessed through TIPS via the iShares TIPS ETF (TIP) (holding weight*: 4.79 percent), and commodities via the iShares Commodities Select Strategy ETF (COMT) (holding weight*: 5.02 percent). While TIP was flat over the fiscal six-month period, COMT increased 12.0 percent.
The Sub-Adviser is optimistic for opportunities within the asset categories the Fund invests in for the rest of 2018, albeit with continued volatility. The Sub-Adviser believes that this volatility-targeted strategy may provide investors with more consistent returns than traditional asset classes. It believes that through the flexibility of the strategy and the use of alternative investments, the Fund may provide what may be considered to be attractive returns with lower systematic risk and lower correlation than traditional equity investments.
* | Holdings percentage(s) as of 4/30/2018. |
Growth of $100,000 Investment
Total Returns as of April 30, 2018 | |||||
Annualized | Annualized Since | ||||
Six | One | Three | Annualized | Inception | |
Months | Year | Years | Five Years | (4/30/2010) | |
Class N | (3.05)% | 1.33% | (1.19)% | 0.20% | 1.25% |
Class C | (3.49)% | 0.32% | (2.20)% | (0.81)% | 0.25% |
Class A with load of 5.75% | (8.66)% | (4.66)% | (3.39)% | (1.25)% | 0.24% |
Class A without load | (3.06)% | 1.13% | (1.45)% | (0.07)% | 0.98% |
IQ Hedge Global Macro Beta Index | (1.04)% | (0.86)% | (0.33% | (0.21)% | 1.27% |
Morningstar Multialternative Category | (0.17)% | 2.47% | 0.24% | 1.03% | 1.50% |
The IQ Hedge Global Macro Beta Index seeks to replicate the risk-adjusted return characteristics of the collective hedge funds using a global macro investment style. Investors cannot invest directly in an index or benchmark.
The Morningstar Multialternative Category is generally representative of mutual funds with static allocations to alternative strategies and asset classes. The gross short exposure in these mutual funds is generally greater than 20%.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.98% for Class N, 2.98% for Class C and 2.23% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.
30
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Dynamic Macro Fund |
April 30, 2018 |
Security | Shares | Value | ||||||||||||||
EXCHANGE TRADED FUNDS - 59.5% | ||||||||||||||||
COMMODITY EXCHANGE TRADED FUNDS - 5.0% | ||||||||||||||||
iShares Commodities Select Strategy ETF ^ | 56,569 | $ | 2,172,815 | |||||||||||||
DEBT EXCHANGE TRADED FUNDS - 9.6% | ||||||||||||||||
iShares TIPS Bond ETF | 18,429 | 2,075,290 | ||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF ^ | 57,272 | 2,054,347 | ||||||||||||||
4,129,637 | ||||||||||||||||
EQUITY EXCHANGE TRADED FUNDS - 44.9% | ||||||||||||||||
iShares Currency Hedged MSCI Germany ETF | 87,865 | 2,484,822 | ||||||||||||||
iShares Currency Hedged MSCI Japan ETF | 118,751 | 3,910,470 | ||||||||||||||
SPDR S&P 500 ETF Trust | 49,213 | 13,017,331 | ||||||||||||||
19,412,623 | ||||||||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $20,966,107) | 25,715,075 | |||||||||||||||
Expiration | Expiration | |||||||||||||||
Counter Party | Contracts + | Notional | Date | Price | ||||||||||||
OPTIONS * - 6.3% | ||||||||||||||||
CALL OPTION ON FUTURES PURCHASED - 5.0% | ||||||||||||||||
Swiss Market Index | Bank of New York Mellon | 40 | 1,843,202 | 6/15/2018 | CHF 8,417 | 18,432 | ||||||||||
Swiss Market Index | Bank of New York Mellon | 30 | 575,696 | 6/15/2018 | CHF 8,749 | 5,757 | ||||||||||
US 10 Year Future | Goldman Sachs | 203 | 215,688 | 5/29/2018 | US $109 | 2,156,875 | ||||||||||
2,181,064 | ||||||||||||||||
PUT OPTIONS ON FUTURES PURCHASED - 1.3% | ||||||||||||||||
Euro-Bund Option | Goldman Sachs | 30 | 40,813 | 5/29/2018 | EUR 170 | 408,130 | ||||||||||
S&P 500 E-Mini Option | Goldman Sachs | 58 | 69,020 | 9/24/2018 | US $2,100 | 34,510 | ||||||||||
S&P 500 E-Mini Option | Goldman Sachs | 58 | 220,980 | 12/24/2018 | US $2,250 | 110,490 | ||||||||||
553,130 | ||||||||||||||||
TOTAL OPTIONS (Cost - $2,937,560) | 2,734,194 | |||||||||||||||
Principal | Discount | |||||||||||||||
Amount ($) | Rate (%) | Maturity | ||||||||||||||
SHORT-TERM INVESTMENTS - 35.2% | ||||||||||||||||
U.S. GOVERNMENT SECURITIES - 24.2% | ||||||||||||||||
US Treasury Bill ++ | 1,555,000 | 0.0066 | 6/7/2018 | 1,552,367 | ||||||||||||
US Treasury Bill ^ | 4,456,000 | 0.0083 | 6/14/2018 | 4,446,660 | ||||||||||||
US Treasury Bill | 4,456,000 | 0.0140 | 9/13/2018 | 4,424,501 | ||||||||||||
10,423,528 | ||||||||||||||||
Shares | Interest Rate (%) | |||||||||||||||
MONEY MARKET - 11.0% | ||||||||||||||||
Morgan Stanley Institutional Liquidity Fund | 4,756,601 | 1.6100 | ^^ | 4,756,601 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS - (Cost - $15,180,129) | 15,180,129 | |||||||||||||||
COLLATERAL FOR SECURITIES LOANED - 19.4% | ||||||||||||||||
Mount Vernon Prime Portfolio (Cost - $8,369,676) | 8,369,676 | 2.0000 | ^^ | 8,369,676 | ||||||||||||
TOTAL INVESTMENTS - 120.4% (Cost - $47,453,472) | $ | 51,999,074 | ||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (20.4)% | (8,796,296 | ) | ||||||||||||||
NET ASSETS - 100.0% | $ | 43,202,778 | ||||||||||||||
Unrealized | ||||||||||||||||
Expiration | Appreciation | |||||||||||||||
Open Futures Contracts | Counter Party | Contracts | Notional | Date | (Depreciation) | |||||||||||
LONG FUTURES CONTRACTS ** -0.7% | ||||||||||||||||
Amsterdam Index Future | Goldman Sachs | 3 | $ | 400,845 | 5/18/2018 | $ | 7,915 | |||||||||
AUST 10 YR Bond Future | Goldman Sachs | 108 | 10,426,351 | 6/15/2018 | 56,518 | |||||||||||
CAC 40 10 Euro Future | Goldman Sachs | 6 | 396,749 | 5/18/2018 | 14,879 | |||||||||||
CAN 10 YR Bond Future | Goldman Sachs | 80 | 8,203,128 | 6/20/2018 | 9,469 | |||||||||||
See accompanying notes to financial statements.
31
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Dynamic Macro Fund (Continued) |
April 30, 2018 |
Unrealized | ||||||||||||||||
Appreciation | ||||||||||||||||
Open Futures Contracts | Counter Party | Contracts | Notional | Expiration | (Depreciation) | |||||||||||
LONG FUTURES CONTRACTS ** - 0.7% (Continued) | ||||||||||||||||
FTSE 100 Index Future | Goldman Sachs | 36 | $ | 3,699,013 | 6/15/2018 | $ | 185,292 | |||||||||
FTSE/MIB Index Future | Goldman Sachs | 9 | 1,283,000 | 6/15/2018 | 66,605 | |||||||||||
IBEX - 35 Index Future | Goldman Sachs | 8 | 963,989 | 5/18/2018 | 21,202 | |||||||||||
MSCI Emerging Markets Future | Goldman Sachs | 14 | 806,540 | 6/15/2018 | (51,570 | ) | ||||||||||
S&P/TSX 60 IX Future | Goldman Sachs | 9 | 1,291,641 | 6/14/2018 | 4,254 | |||||||||||
SPI 200 Index Future | Goldman Sachs | 1 | 112,586 | 6/21/2018 | 1,121 | |||||||||||
TOTAL FUTURES CONTRACTS PURCHASED | 315,685 | |||||||||||||||
SHORT FUTURES CONTRACTS ** - (0.4)% | ||||||||||||||||
Dax Index Future | Goldman Sachs | (2) | (761,830 | ) | 6/15/2018 | (24,617 | ) | |||||||||
Euro-Bond Future | Goldman Sachs | (43) | (8,246,956 | ) | 6/7/2018 | (45,210 | ) | |||||||||
Hang Seng Index Future | Goldman Sachs | (2) | (390,724 | ) | 5/30/2018 | (6,791 | ) | |||||||||
Long Gilt Future | Goldman Sachs | (61) | (10,272,089 | ) | 6/27/2018 | (99,271 | ) | |||||||||
S&P 500 Emini Future | Goldman Sachs | (32) | (4,235,200 | ) | 6/15/2018 | 12,564 | ||||||||||
TOTAL FUTURES CONTRACTS SOLD | (163,325 | ) | ||||||||||||||
Exercise Price | Value | |||||||||||||||
WRITTEN PUT FUTURE OPTIONS *+- (0.0)% | ||||||||||||||||
Swiss Market Index | Bank of New York Mellon | (40) | (170,240 | ) | 6/15/2018 | CHF 8,417 | (1,703 | ) | ||||||||
Swiss Market Index | Bank of New York Mellon | (30) | (331,020 | ) | 6/15/2018 | CHF 8,749 | (3,310 | ) | ||||||||
TOTAL WRITTEN FUTURE OPTIONS - (Premium - $16,413) | (5,013 | ) | ||||||||||||||
CHF - Swiss Franc
ETF - Exchange Traded Fund
EUR - Euro
* | Non income producing security. |
+ | Each option contract allows holder to purchase/sell 100 shares of the underlying security at the exercise price. |
++ | All or part of the security was held as collateral for futures outstanding as of April 30, 2018. |
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $8,189,369. |
^^ | Variable rate security. Interest rate is as of April 30, 2018. |
** | The amounts shown are the underlying reference notional amounts to stock exchange indices, debt securities and equities upon which the fair value of the futures contracts held by the Fund are based Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund. |
See accompanying notes to financial statements.
32
Dunham High-Yield Bond Fund (Unaudited) |
Message from the Sub-Adviser (PineBridge Investments LLC) |
High-yield bonds, as measured by the ICE BofA ML US Cash Pay High-Yield Index, outperformed investment-grade corporate bonds, as measured by the ICE BofA ML US Corporate Index, and Treasury bonds, as measured by the ICE BofA ML US Treasury Index, during the most recent fiscal six-month period. In the six-month period ended April 30, 2018, high-yield bonds fell 0.3 percent, investment-grade corporate bonds fell 2.3 percent, while Treasury bonds declined 1.6 percent. This outperformance of high-yield bonds comes on the tail of strong outperformance in the previous fiscal year, when high-yield bonds increased 9.1 percent versus a 3.5 percent increase for investment-grade corporate bonds and a decline of 0.70 percent for Treasury bonds. In 2017, the Fed increased the Fed Funds rate three times for a total increase of 0.75 percent. For 2018, investors were given guidance that three increases could be on the way with a slight possibility of a fourth. The first of these increases occurred on March 22.
The first half of the fiscal year was a tale of two halves for the high yield market. In the first fiscal quarter, Congress made surprising progress on U.S. tax reform, supporting investors moving capital back into the asset class currently offering attractive spread levels and all-in yields. Positive investor sentiment continued into December as the market was able to easily absorb the passage of the GOP tax bill, a Fed rate hike, and multi-year highs in oil prices. The narrative for corporate fundamentals continued to improve amid upgrades to global growth expectations and optimism around the impact of GOP tax reform. However, toward the beginning of the second fiscal quarter, optimism began to wane as U.S. Treasury yields surged to reach the highest levels seen since 2014. Negative investor sentiment translated into outflows from the asset class, creating a negative technical environment and driving spreads wider. Risk-off sentiment continued into February as evidence of stronger global growth and wage gains led to concerns around inflation and the potential for a more accelerated pace of central bank policy tightening. Later in the most recent fiscal quarter, investors had to contend with a Fed rate hike, softer global growth data, negative headlines related to several large technology companies, and the threat of an escalating trade war between the United States and China.
The Sub-Adviser’s approach to high-yield is generally focused on single-B and higher-rated debt, and has limited exposure to triple-C rated bonds. High-yield bonds rated double-B and single-B, as measured by the Bloomberg Barclays US High-Yield Ba/B 2% Issuer Capped Index, experienced a 106 basis point increase in yields from beginning to end of the fiscal six-month period. Although the yield has increased to 5.71 since the beginning of the fiscal year, it is still well below the five year high of 7.63 percent that occurred in January 2016.
In the first fiscal quarter, the Fund benefited relatively from security selection while sector selection served as a slight detraction for the period. From a sector selection standpoint, negative contributions resulted from an underweight to aerospace and defense and an overweight to healthcare REITs, while the Fund received positive contributions from an underweight allocation to wirelines and an overweight allocation to midstream names. In the second fiscal quarter, contributions switched, as the Fund benefited relatively security selection while sector selection served as a slight detraction. From a sector selection standpoint, the Fund benefited from an underweight allocation to banking companies and an overweight allocation to finance companies, as a whole. However, these contributions were more than offset by the impact of an underweight allocation to wirelines and retailers, as both sectors outperformed. From a security selection standpoint, the Fund was negatively impacted by credits in the metals and mining, wireless, and wireline sectors. Two holdings that contributed to Fund performance over the most recent fiscal quarter were the Navient Corp 5.625% bond maturing in 2033 (78442FAZ1) (holding weight* 0.82 percent) and the Arch Merger Sub Inc. 8.5% bond maturing in 2025 (03939PAA2) (holding weight*: 0.81 percent). These bonds returned 4.2 percent and 0.9 percent, respectively.
Two of the largest positions within the Fund came from the communications sector and had a meaningful impact on performance. For example, the Fund continued to hold the Sprint Corp. 7.875% bond maturing in 2023 (85207UAF2) (holding weight*: 1.99 percent). Sprint is currently the fourth largest wireless carrier in the United States, and during the most recent fiscal quarter, the Sprint Corp. bond increased 2.8 percent after declining 4.5 in percent the first fiscal quarter. The selloff in the first fiscal quarter was triggered with the withdrawal of Sprint’s acquisition of T-Mobile in mid-November. The subsequent rally was sparked by the announcement of T-Mobile’s acquisition of Sprint. The second largest holding in the Fund at the end of the most recent fiscal quarter was the SFR Group SA 7.375% bond maturing in 2026 (67054KAA7) (holding weight*: 1.70 percent), a French cable and fiber optic service provider for both businesses and end-consumers. During the most recent fiscal quarter, the SFR Group SA bond also detracted from performance within the Fund, falling 3.2 percent, after falling 6.5 percent the previous fiscal quarter.
The Sub-Adviser believes that fundamentals remain supportive, as issuers continue to report generally positive earnings growth and outlooks remain constructive. With that being said, the Sub-Adviser also believes that the pace of earnings growth will likely slow and continue to see more aggressive leverage profiles. Despite increased volatility, expectations remain that the default rate will continue to stay below historical averages. The Sub-Adviser is closely monitoring the two major risks facing credit investors today: an upside inflation surprise leading to a more hawkish central bank narrative, and a rapidly evolving geopolitical backdrop negatively affecting global trade. However, high-yield issuers tend to be more domestically focused and thus relatively insulated from global trade and the Sub-Adviser views the prospect of a sustained uptick in inflation to be unlikely given structural headwinds in the form of demographics and technological automation. From a valuation standpoint, the Sub-Adviser views spreads in the 340 – 360 range as fair and is seeing many issuer specific opportunities. Finally, technical conditions have been neutral overall. Retail outflows continue, however, the impact has been roughly offset by lower supply compared to previous years and there is anecdotal evidence of institutional inflows into the high-yield asset class.
* | Holdings percentage(s) as of 4/30/2018 |
Growth of $100,000 Investment
Total Returns as of April 30, 2018 | ||||||
Annualized | Annualized | Annualized | Annualized Since | |||
Six Months | One Year | Three Years | Five Years | Ten Years | Inception (7/1/05) | |
Class N | (1.10)% | 2.06% | 3.40% | 2.95% | 5.47% | 5.09% |
Class C | (1.35)% | 1.44% | 2.71% | 2.21% | 4.71% | 4.32% |
Class A with load of 4.50% | (5.58)% | (2.84)% | 1.55% | 1.73% | 4.72% | 4.15%* |
Class A without load | (1.21)% | 1.80% | 3.11% | 2.68% | 5.20% | 4.57%* |
BofA ML BB-B U.S. Non-Distressed HY Index | (0.64)% | 2.77% | 3.86% | 4.20% | 6.28% | 6.15% |
Barclays U.S. Corporate High-Yield Bond | (0.64)% | 2.66% | 4.04% | 3.86% | 6.90% | 6.58% |
Ba/B 2% Issuer Capped Index** Morningstar High-Yield Bond Category | (0.39)% | 2.45% | 3.58% | 3.52% | 5.92% | 5.65% |
* | Class A commenced operations on January 3, 2007. |
** | Change in the Fund’s benchmark. As a result, the Fund’s performance is compared to both indices in the table above. |
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.
Barclays U.S. Corporate High-Yield Bond Ba/B 2% Issuer Capped Index is an issuer-constrained version of the flagship US Corporate High Yield Index, which measures the USD-denominated, high yield, fixed-rate corporate bond market.
The Morningstar High-Yield Bond Category is generally representative of mutual funds that primarily invest in U.S. high-income debt securities where at least 65% or more of bond assets are not rated or are rated by a major agency such as Standard & Poor’s or Moody’s at the level of BB (considered speculative for taxable bonds) and below.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.20% for Class N, 1.95% for Class C and 1.45% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com
33
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham High-Yield Bond Fund |
April 30, 2018 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
BONDS & NOTES - 96.8% | ||||||||||||||
AEROSPACE/DEFENSE - 1.1% | ||||||||||||||
Triumph Group, Inc. ^ | $ | 975,000 | 4.875 | % | 4/1/2021 | $ | 950,625 | |||||||
UAL 2007-1 Pass Through Trust | 251,868 | 6.636 | 7/2/2022 | 266,552 | ||||||||||
1,217,177 | ||||||||||||||
AUTO MANUFACTURERS - 0.3% | ||||||||||||||
JB Poindexter & Co., Inc. - 144A | 370,000 | 7.125 | 4/15/2026 | 378,325 | ||||||||||
AUTO PARTS & EQUIPMENT - 0.7% | ||||||||||||||
Allison Transmission, Inc. - 144A | 175,000 | 5.000 | 10/1/2024 | 172,322 | ||||||||||
Delphi Technologies PLC - 144A | 690,000 | 5.000 | 10/1/2025 | 665,419 | ||||||||||
837,741 | ||||||||||||||
BUILDING MATERIALS - 1.0% | ||||||||||||||
Boise Cascade Co. - 144A | 525,000 | 5.625 | 9/1/2024 | 534,187 | ||||||||||
Standard Industries, Inc. - 144A | 550,000 | 6.000 | 10/15/2025 | 573,375 | ||||||||||
1,107,562 | ||||||||||||||
CHEMICALS - 3.7% | ||||||||||||||
Consolidated Energy - 144A | 685,000 | 6.875 | 6/15/2025 | 714,969 | ||||||||||
Kraton Polymers LLC - 144A | 550,000 | 7.000 | 4/15/2025 | 570,625 | ||||||||||
Nova Chemicals Corp. - 144A | 1,150,000 | 5.000 | 5/1/2025 | 1,109,750 | ||||||||||
Nufarm Australia Ltd. - 144A | 550,000 | 5.750 | 4/30/2026 | 549,312 | ||||||||||
OCI NV - 144A | 646,000 | 6.625 | 4/15/2023 | 657,467 | ||||||||||
Trinseo Materials Operating SCA - 144A | 580,000 | 5.375 | 9/1/2025 | 572,750 | ||||||||||
4,174,873 | ||||||||||||||
COAL - 0.8% | ||||||||||||||
SunCoke Energy Partners LP - 144A ^ | 835,000 | 7.500 | 6/15/2025 | 862,138 | ||||||||||
COMMERCIAL SERVICES - 2.7% | ||||||||||||||
ADT Corp. | 224,000 | 6.250 | 10/15/2021 | 234,640 | ||||||||||
Ahern Rentals, Inc. - 144A | 875,000 | 7.375 | 5/15/2023 | 848,750 | ||||||||||
Cimpress NV - 144A | 953,000 | 7.000 | 4/1/2022 | 993,503 | ||||||||||
Great Lakes Dredge & Dock Corp. ^ | 725,000 | 8.000 | 5/15/2022 | 741,312 | ||||||||||
Jurassic Holdings III - 144A | 262,000 | 6.875 | 2/15/2021 | 242,350 | ||||||||||
3,060,555 | ||||||||||||||
COMPUTERS - 3.3% | ||||||||||||||
Dell International LLC - 144A | 110,000 | 7.125 | 6/15/2024 | 117,255 | ||||||||||
Diebold Nixdorf, Inc. | 480,000 | 8.500 | 4/15/2024 | 499,800 | ||||||||||
Everi Payments, Inc. - 144A ^ | 805,000 | 7.500 | 12/15/2025 | 817,075 | ||||||||||
Harland Clarke Holdings Corp. - 144A | 880,000 | 8.375 | 8/15/2022 | 904,200 | ||||||||||
Seagate HDD Cayman ^ | 925,000 | 4.875 | 3/1/2024 | 907,018 | ||||||||||
Western Digital Corp. | 542,000 | 4.750 | 2/15/2026 | 534,886 | ||||||||||
3,780,234 | ||||||||||||||
COSMETICS/PERSONAL CARE - 1.0% | ||||||||||||||
Coty, Inc. - 144A | 575,000 | 6.500 | 4/15/2026 | 560,625 | ||||||||||
First Quality Finance Co., Inc. - 144A | 600,000 | 5.000 | 7/1/2025 | 576,000 | ||||||||||
1,136,625 | ||||||||||||||
DISTRIBUTION/WHOLESALE - 0.3% | ||||||||||||||
H&E Equipment Services, Inc. | 375,000 | 5.625 | 9/1/2025 | 377,813 | ||||||||||
See accompanying notes to financial statements.
34
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham High-Yield Bond Fund (Continued) |
April 30, 2018 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
BONDS & NOTES - 96.8% (Continued) | ||||||||||||||
DIVERSIFIED FINANCIAL SERVICES - 7.5% | ||||||||||||||
Alliance Data Systems Corp. - 144A | $ | 850,000 | 5.875 | % | 11/1/2021 | $ | 867,000 | |||||||
Ally Financial, Inc. | 675,000 | 5.125 | 9/30/2024 | 691,875 | ||||||||||
Ally Financial, Inc. | 145,000 | 5.750 | 11/20/2025 | 150,437 | ||||||||||
Credit Acceptance Corp. ^ | 762,000 | 7.375 | 3/15/2023 | 800,100 | ||||||||||
Enova International, Inc. | 69,000 | 9.750 | 6/1/2021 | 73,485 | ||||||||||
Enova International, Inc. - 144A | 860,000 | 8.500 | 9/1/2024 | 918,050 | ||||||||||
goeasy Ltd. - 144A | 625,000 | 7.875 | 11/1/2022 | 664,062 | ||||||||||
LPL Holdings, Inc. - 144A | 775,000 | 5.750 | 9/15/2025 | 753,688 | ||||||||||
Navient Corp. | 1,075,000 | 5.625 | 8/1/2033 | 929,875 | ||||||||||
Oxford Finance LLC - 144A | 609,000 | 6.375 | 12/15/2022 | 622,702 | ||||||||||
Quicken Loans, Inc. - 144A ^ | 875,000 | 5.750 | 5/1/2025 | 861,875 | ||||||||||
Springleaf Finance Corp. | 700,000 | 6.875 | 3/15/2025 | 708,750 | ||||||||||
Travelport Corporate Finance PLC - 144A | 448,000 | 6.000 | 3/15/2026 | 459,200 | ||||||||||
8,501,099 | ||||||||||||||
ELECTRIC - 0.9% | ||||||||||||||
Calpine Corp. - 144A | 522,000 | 5.250 | 6/1/2026 | 501,446 | ||||||||||
NextEra Energy Operating Partners LP - 144A | 164,000 | 4.250 | 9/15/2024 | 158,670 | ||||||||||
NRG Yield Operating LLC | 420,000 | 5.375 | 8/15/2024 | 423,150 | ||||||||||
1,083,266 | ||||||||||||||
ELECTRICAL COMPONENTS & EQUIPMENT - 0.6% | ||||||||||||||
EnerSys - 144A | 719,000 | 5.000 | 4/30/2023 | 725,291 | ||||||||||
ELECTRONICS - 1.2% | ||||||||||||||
Ingram Micro, Inc. | 600,000 | 4.950 | 12/15/2024 | 583,790 | ||||||||||
TTM Technologies, Inc. - 144A | 750,000 | 5.625 | 10/1/2025 | 736,875 | ||||||||||
1,320,665 | ||||||||||||||
ENERGY - 0.5% | ||||||||||||||
Pattern Energy Group, Inc. - 144A | 550,000 | 5.875 | 2/1/2024 | 563,750 | ||||||||||
ENGINEERING & CONSTRUCTION - 2.0% | ||||||||||||||
New Enterprise Stone & Lime Co., Inc. - 144A | 442,000 | 6.250 | 3/15/2026 | 448,630 | ||||||||||
Tutor Perini Corp. - 144A | 850,000 | 6.875 | 5/1/2025 | 873,120 | ||||||||||
Weekley Homes LLC | 950,000 | 6.000 | 2/1/2023 | 942,875 | ||||||||||
2,264,625 | ||||||||||||||
ENTERTAINMENT - 0.9% | ||||||||||||||
GLP Capital LP | 550,000 | 5.375 | 4/15/2026 | 555,500 | ||||||||||
Live Nation Entertainment, Inc. - 144A ^ | 469,000 | 5.650 | 3/15/2026 | 469,000 | ||||||||||
1,024,500 | ||||||||||||||
FOOD - 2.2% | ||||||||||||||
Albertsons Companies LLC | 835,000 | 5.750 | 3/15/2025 | 731,669 | ||||||||||
Harris Corp. - 144A | 535,000 | 7.450 | 3/15/2028 | 609,900 | ||||||||||
JBS USA LLC - 144A | 391,000 | 5.875 | 7/15/2024 | 380,736 | ||||||||||
JBS USA LLC - 144A | 204,000 | 5.750 | 6/15/2025 | 192,719 | ||||||||||
Pilgrim’s Pride Corp. - 144A | 605,000 | 5.875 | 9/30/2027 | 579,287 | ||||||||||
2,494,311 | ||||||||||||||
FOREST PRODUCTS & PAPER - 0.2% | ||||||||||||||
Cascades, Inc. - 144A | 183,000 | 5.500 | 7/15/2022 | 183,000 | ||||||||||
Cascades, Inc. - 144A | 102,000 | 5.750 | 7/15/2023 | 101,745 | ||||||||||
284,745 | ||||||||||||||
See accompanying notes to financial statements.
35
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham High-Yield Bond Fund (Continued) |
April 30, 2018 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
BONDS & NOTES - 96.8% (Continued) | ||||||||||||||
HEALTHCARE-SERVICES - 3.2% | ||||||||||||||
DaVita, Inc. | $ | 600,000 | 5.000 | % | 5/1/2025 | $ | 570,120 | |||||||
HCA, Inc. | 525,000 | 6.500 | 2/15/2020 | 549,937 | ||||||||||
HCA, Inc. | 250,000 | 7.500 | 2/15/2022 | 275,625 | ||||||||||
HCA, Inc. | 300,000 | 5.250 | 6/15/2026 | 302,250 | ||||||||||
MEDNAX, Inc. - 144A | 907,000 | 5.250 | 12/1/2023 | 902,465 | ||||||||||
Tenet Healthcare Corp. ^ | 525,000 | 6.750 | 6/15/2023 | 518,109 | ||||||||||
Tenet Healthcare Corp. - 144A ^ | 522,000 | 4.625 | 7/15/2024 | 505,740 | ||||||||||
3,624,246 | ||||||||||||||
HOME BUILDERS - 1.2% | ||||||||||||||
Mattamy Group Corp. - 144A ^ | 743,000 | 6.500 | 10/1/2025 | 744,857 | ||||||||||
William Lyon Homes, Inc. - 144A | 575,000 | 6.000 | 9/1/2023 | 577,237 | ||||||||||
1,322,094 | ||||||||||||||
HOUSEHOLD PRODUCTS - 0.5% | ||||||||||||||
Central Garden & Pet Co. | 600,000 | 5.125 | 2/1/2028 | 570,000 | ||||||||||
INTERNET - 0.9% | ||||||||||||||
Cogent Communications Group, Inc. - 144A | 400,000 | 5.375 | 3/1/2022 | 411,500 | ||||||||||
Netflix, Inc. | 563,000 | 5.875 | 2/15/2025 | 579,721 | ||||||||||
991,221 | ||||||||||||||
IRON/STEEL - 2.2% | ||||||||||||||
AK Steel Corp. ^ | 600,000 | 6.375 | 10/15/2025 | 565,134 | ||||||||||
Cleveland-Cliffs, Inc. | 600,000 | 5.750 | 3/1/2025 | 580,878 | ||||||||||
Commercial Metals Co. - 144A | 462,000 | 5.750 | 4/15/2026 | 463,733 | ||||||||||
United States Steel Corp. | 625,000 | 6.875 | 8/15/2025 | 640,625 | ||||||||||
United States Steel Corp. | 298,000 | 6.250 | 3/15/2026 | 296,510 | ||||||||||
2,546,880 | ||||||||||||||
LEISURE TIME - 1.3% | ||||||||||||||
Sabre GLBL, Inc. - 144A | 675,000 | 5.375 | 4/15/2023 | 684,922 | ||||||||||
Silversea Cruise Finance Ltd. - 144A | 700,000 | 7.250 | 2/1/2025 | 743,960 | ||||||||||
1,428,882 | ||||||||||||||
LODGING - 0.7% | ||||||||||||||
Wyndham Worldwide Corp. | 220,000 | 4.150 | 4/1/2024 | 218,787 | ||||||||||
Wyndham Worldwide Corp. | 565,000 | 4.500 | 4/1/2027 | 560,182 | ||||||||||
778,969 | ||||||||||||||
MACHINERY-CONSTRUCTION & MINING - 0.4% | ||||||||||||||
Terex Corp. - 144A ^ | 429,000 | 5.625 | 2/1/2025 | 427,391 | ||||||||||
MACHINERY-DIVERSIFIED - 0.9% | ||||||||||||||
Apergy Corp. - 144A | 273,000 | 6.375 | 5/1/2026 | 277,436 | ||||||||||
Cleaver-Brooks, Inc. - 144A | 719,000 | 7.875 | 3/1/2023 | 744,165 | ||||||||||
1,021,601 | ||||||||||||||
MEDIA - 9.7% | ||||||||||||||
Altice Financing SA - 144A | 460,000 | 7.500 | 5/15/2026 | 454,250 | ||||||||||
Altice Luxembourg SA - 144A | 950,000 | 7.625 | 2/15/2025 | 859,750 | ||||||||||
Belo Corp. | 626,000 | 7.750 | 6/1/2027 | 685,470 | ||||||||||
Block Communications, Inc. - 144A | 1,148,000 | 6.875 | 2/15/2025 | 1,159,480 | ||||||||||
CCO Holdings LLC - 144A | 275,000 | 5.375 | 5/1/2025 | 271,047 | ||||||||||
CCO Holdings LLC - 144A | 940,000 | 5.000 | 2/1/2028 | 872,677 | ||||||||||
See accompanying notes to financial statements.
36
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham High-Yield Bond Fund (Continued) |
April 30, 2018 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
BONDS & NOTES - 96.8% (Continued) | ||||||||||||||
MEDIA - 9.7% (Continued) | ||||||||||||||
CSC Holdings LLC | $ | 545,000 | 6.750 | % | 11/15/2021 | $ | 574,975 | |||||||
CSC Holdings LLC - 144A ^ | 595,000 | 5.500 | 4/15/2027 | 572,569 | ||||||||||
DISH DBS Corp. | 560,000 | 6.750 | 6/1/2021 | 558,600 | ||||||||||
DISH DBS Corp. | 300,000 | 7.750 | 7/1/2026 | 273,937 | ||||||||||
McGraw-Hill Global Education Holdings LLC - 144A ^ | 870,000 | 7.875 | 5/15/2024 | 812,363 | ||||||||||
SFR Group SA - 144A | 1,975,000 | 7.375 | 5/1/2026 | 1,920,687 | ||||||||||
Sirius XM Radio, Inc. - 144A | 560,000 | 5.375 | 7/15/2026 | 551,600 | ||||||||||
Univision Communications, Inc. - 144A | 575,000 | 5.125 | 5/15/2023 | 547,688 | ||||||||||
UPCB Finance IV Ltd. - 144A | 854,000 | 5.375 | 1/15/2025 | 839,055 | ||||||||||
10,954,148 | ||||||||||||||
METAL FABRICATE - 1.3% | ||||||||||||||
Grinding Media, Inc. - 144A | 750,000 | 7.375 | 12/15/2023 | 794,063 | ||||||||||
Novelis Corp. - 144A | 725,000 | 5.875 | 9/30/2026 | 721,375 | ||||||||||
1,515,438 | ||||||||||||||
MINING - 1.7% | ||||||||||||||
First Quantum Minerals Ltd. - 144A ^ | 473,000 | 7.250 | 4/1/2023 | 472,905 | ||||||||||
First Quantum Minerals Ltd. - 144A | 321,000 | 6.875 | 3/1/2026 | 305,753 | ||||||||||
Freeport-McMoRan, Inc. | 551,000 | 3.875 | 3/15/2023 | 529,649 | ||||||||||
Hudbay Minerals, Inc. - 144A | 550,000 | 7.250 | 1/15/2023 | 576,125 | ||||||||||
1,884,432 | ||||||||||||||
MISCELLANEOUS MANUFACTURING - 0.7% | ||||||||||||||
Bombardier, Inc. - 144A | 750,000 | 5.750 | 3/15/2022 | 755,625 | ||||||||||
OIL & GAS - 8.7% | ||||||||||||||
Carrizo Oil & Gas, Inc. ^ | 600,000 | 6.250 | 4/15/2023 | 618,000 | ||||||||||
Continental Resources, Inc. | 725,000 | 3.800 | 6/1/2024 | 709,594 | ||||||||||
Endeavor Energy Resources LP - 144A | 500,000 | 5.500 | 1/30/2026 | 503,750 | ||||||||||
Hilcorp Energy I LP - 144A | 1,060,000 | 5.000 | 12/1/2024 | 1,036,150 | ||||||||||
Lonestar Resources America, Inc. - 144A | 475,000 | 11.250 | 1/1/2023 | 480,938 | ||||||||||
MEG Energy Corp. - 144A ^ | 850,000 | 6.375 | 1/30/2023 | 771,375 | ||||||||||
MEG Energy Corp. - 144A | 250,000 | 6.500 | 1/15/2025 | 250,987 | ||||||||||
Newfield Exploration Co. | 700,000 | 5.375 | 1/1/2026 | 728,875 | ||||||||||
Noble Holding International Ltd. | 407,000 | 7.750 | 1/15/2024 | 383,597 | ||||||||||
Noble Holding International Ltd. - 144A ^ | 495,000 | 7.875 | 2/1/2026 | 499,331 | ||||||||||
Oasis Petroleum, Inc. - 144A | 247,000 | 6.250 | 5/1/2026 | 247,000 | ||||||||||
PBF Holding Co. LLC | 850,000 | 7.250 | 6/15/2025 | 884,000 | ||||||||||
QEP Resources, Inc. | 415,000 | 5.625 | 3/1/2026 | 398,919 | ||||||||||
Sanchez Energy Corp. ^ | 386,000 | 6.125 | 1/15/2023 | 280,699 | ||||||||||
Shelf Drilling Holdings Ltd. - 144A | 550,000 | 8.250 | 2/15/2025 | 560,313 | ||||||||||
Southwestern Energy Co. ^ | 575,000 | 7.500 | 4/1/2026 | 593,687 | ||||||||||
Trinidad Drilling Ltd. - 144A | 925,000 | 6.625 | 2/15/2025 | 891,469 | ||||||||||
9,838,684 | ||||||||||||||
OIL & GAS SERVICES - 2.5% | ||||||||||||||
Forum Energy Technologies | 605,000 | 6.250 | 10/1/2021 | 605,000 | ||||||||||
KCA Deutag UK Finance PLC - 144A | 700,000 | 9.875 | 4/1/2022 | 739,375 | ||||||||||
Pioneer Energy Services | 600,000 | 6.125 | 3/15/2022 | 540,570 | ||||||||||
USA Compression Partners LP - 144A | 528,000 | 6.875 | 4/1/2026 | 540,540 | ||||||||||
Weatherford International Ltd. ^ | 425,000 | 9.875 | 2/15/2024 | 411,188 | ||||||||||
2,836,673 | ||||||||||||||
See accompanying notes to financial statements.
37
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham High-Yield Bond Fund (Continued) |
April 30, 2018 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
BONDS & NOTES - 96.8% (Continued) | ||||||||||||||
PACKAGING & CONTAINERS - 1.9% | ||||||||||||||
Crown Americas LLC - 144A | $ | 256,000 | 4.750 | % | 2/1/2026 | $ | 247,680 | |||||||
Crown Cork & Seal Co., Inc. | 392,000 | 7.375 | 12/15/2026 | 438,060 | ||||||||||
Multi-Color Corp. - 144A | 725,000 | 4.875 | 11/1/2025 | 677,875 | ||||||||||
Owens-Brockway Glass Container, Inc. - 144A | 739,000 | 5.375 | 1/15/2025 | 739,924 | ||||||||||
2,103,539 | ||||||||||||||
PHARMACEUTICALS - 2.3% | ||||||||||||||
Endo Finance LLC - 144A | 550,000 | 5.375 | 1/15/2023 | 400,813 | ||||||||||
Endo Finance LLC - 144A | 225,000 | 6.000 | 2/1/2025 | 159,187 | ||||||||||
Valeant Pharmaceuticals International, Inc. - 144A ^ | 1,515,000 | 5.875 | 5/15/2023 | 1,397,588 | ||||||||||
Valeant Pharmaceuticals International, Inc. - 144A | 575,000 | 7.000 | 3/15/2024 | 608,781 | ||||||||||
2,566,369 | ||||||||||||||
PIPELINES - 5.8% | ||||||||||||||
Antero Midstream Partners LP | 600,000 | 5.375 | 9/15/2024 | 600,000 | ||||||||||
Cheniere Corpus Christi Holdings LLC | 900,000 | 7.000 | 6/30/2024 | 987,759 | ||||||||||
Cheniere Energy Partners - 144A | 792,000 | 5.250 | 10/1/2025 | 776,160 | ||||||||||
Energy Transfer Equity LP ^ | 620,000 | 4.250 | 3/15/2023 | 599,850 | ||||||||||
Genesis Energy LP | 900,000 | 6.000 | 5/15/2023 | 884,250 | ||||||||||
Holly Energy Partners LP - 144A | 585,000 | 6.000 | 8/1/2024 | 589,388 | ||||||||||
SemGroup Corp. | 875,000 | 5.625 | 7/15/2022 | 850,937 | ||||||||||
SemGroup Corp. | 145,000 | 5.625 | 11/15/2023 | 137,388 | ||||||||||
Summit Midstream Holdings LLC | 675,000 | 5.500 | 8/15/2022 | 658,125 | ||||||||||
Tallgrass Energy Partners LP - 144A | 500,000 | 5.500 | 9/15/2024 | 510,000 | ||||||||||
6,593,857 | ||||||||||||||
REAL ESTATE - 2.0% | ||||||||||||||
Greystar Real Estate Partners LLC - 144A | 610,000 | 5.750 | 12/1/2025 | 605,425 | ||||||||||
Kennedy-Wilson, Inc. | 935,000 | 5.875 | 4/1/2024 | 925,650 | ||||||||||
Realogy Group LLC - 144A | 755,000 | 4.875 | 6/1/2023 | 733,520 | ||||||||||
2,264,595 | ||||||||||||||
REAL ESTATE INVESTMENT TRUSTS - 5.2% | ||||||||||||||
CTR Partnership LP | 715,000 | 5.250 | 6/1/2025 | 707,850 | ||||||||||
ESH Hospitality, Inc. - 144A ^ | 1,050,000 | 5.250 | 5/1/2025 | 1,029,000 | ||||||||||
GEO Group, Inc. | 600,000 | 5.125 | 4/1/2023 | 595,500 | ||||||||||
Iron Mountain, Inc. - 144A | 680,000 | 4.875 | 9/15/2027 | 643,450 | ||||||||||
iStar, Inc. | 250,000 | 6.000 | 4/1/2022 | 250,625 | ||||||||||
iStar, Inc. | 733,000 | 5.250 | 9/15/2022 | 712,843 | ||||||||||
MPT Operating Partnership LP | 769,000 | 5.000 | 10/15/2027 | 730,550 | ||||||||||
Sabra Health Care LP | 275,000 | 5.125 | 8/15/2026 | 260,985 | ||||||||||
Starwood Property Trust, Inc. - 144A | 1,000,000 | 4.750 | 3/15/2025 | 965,000 | ||||||||||
5,895,803 | ||||||||||||||
RETAIL - 2.9% | ||||||||||||||
Asbury Automotive Group, Inc. | 448,000 | 6.000 | 12/15/2024 | 449,120 | ||||||||||
Brinker International, Inc. - 144A | 568,000 | 5.000 | 10/1/2024 | 558,060 | ||||||||||
Conn’s, Inc. | 584,000 | 7.250 | 7/15/2022 | 580,905 | ||||||||||
FirstCash, Inc. - 144A ^ | 350,000 | 5.375 | 6/1/2024 | 357,000 | ||||||||||
Golden Nugget, Inc. - 144A | 450,000 | 8.750 | 10/1/2025 | 471,375 | ||||||||||
Staples, Inc. - 144A | 980,000 | 8.500 | 9/15/2025 | 918,750 | ||||||||||
3,335,210 | ||||||||||||||
SEMICONDUCTORS - 0.4% | ||||||||||||||
Sensata Technologies BV - 144A | 434,000 | 4.875 | 10/15/2023 | 439,154 | ||||||||||
See accompanying notes to financial statements.
38
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham High-Yield Bond Fund (Continued) |
April 30, 2018 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
BONDS & NOTES - 96.8% (Continued) | ||||||||||||||
SOFTWARE - 1.1% | ||||||||||||||
BMC Software Finance, Inc. - 144A | $ | 405,000 | 8.125 | % | 7/15/2021 | $ | 406,013 | |||||||
Donnelley Financial Solutions, Inc. | 770,000 | 8.250 | 10/15/2024 | 818,125 | ||||||||||
1,224,138 | ||||||||||||||
TELECOMMUNICATIONS - 8.4% | ||||||||||||||
C&W Senior Financing Designated Activity Co. - 144A | 433,000 | 6.875 | 9/15/2027 | 430,186 | ||||||||||
CenturyLink, Inc. | 571,000 | 5.800 | 3/15/2022 | 571,000 | ||||||||||
CenturyLink, Inc. ^ | 550,000 | 6.750 | 12/1/2023 | 548,625 | ||||||||||
EMBARQ Corp. | 600,000 | 7.995 | 6/1/2036 | 572,928 | ||||||||||
Frontier Communications Corp. | 915,000 | 9.000 | 8/15/2031 | 565,012 | ||||||||||
Hughes Satellite Systems Corp. | 870,000 | 6.625 | 8/1/2026 | 865,650 | ||||||||||
Inmarsat Finance PLC - 144A | 945,000 | 6.500 | 10/1/2024 | 928,462 | ||||||||||
Intelsat Jackson Holdings SA | 800,000 | 5.500 | 8/1/2023 | 674,000 | ||||||||||
Plantronics, Inc. - 144A | 424,000 | 5.500 | 5/31/2023 | 425,060 | ||||||||||
Sprint Corp. | 1,065,000 | 7.250 | 9/15/2021 | 1,132,894 | ||||||||||
Sprint Corp. ^ | 2,090,000 | 7.875 | 9/15/2023 | 2,246,750 | ||||||||||
United States Cellular Corp. | 510,000 | 6.700 | 12/15/2033 | 539,325 | ||||||||||
9,499,892 | ||||||||||||||
TOTAL BONDS & NOTES (Cost - $111,480,597) | 109,614,136 | |||||||||||||
Interest | ||||||||||||||
Security | Shares | Rate | Value | |||||||||||
SHORT-TERM INVESTMENT - 3.1% | ||||||||||||||
MONEY MARKET FUND - 3.1% | ||||||||||||||
First American Government Obligations Fund - Class Z | 3,463,135 | 1.54 | % + | $ | 3,463,135 | |||||||||
TOTAL SHORT-TERM INVESTMENT (Cost - $3,463,135) | ||||||||||||||
COLLATERAL FOR SECURITIES LOANED - 16.9% | ||||||||||||||
Mount Vernon Prime Portfolio (Cost - $19,155,280) | 19,155,280 | 2.00 | % + | 19,155,280 | ||||||||||
TOTAL INVESTMENTS - 116.8% (Cost - $134,099,012) | $ | 132,232,551 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (16.8)% | (18,998,584 | ) | ||||||||||||
NET ASSETS - 100.0% | $ | 113,233,967 | ||||||||||||
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $18,770,456 at April 30, 2018. |
+ | Variable rate security. Interest rate is as of April 30, 2018. |
144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. As of April 30, 2018 the total market value of 144A securities is $64,600,640 or 57.05% of net assets.
LLC - Limited Liability Corporation
LP - Limited Partnership
Portfolio Composition ** - (Unaudited) | ||||||||||
B1 | 17.8 | % | Ba1 | 4.5 | % | |||||
Collateral For Securities Loaned | 14.5 | % | Short-Term Investment | 2.6 | % | |||||
B2 | 13.2 | % | Baa3 | 2.1 | % | |||||
B3 | 13.2 | % | Caa2 | 1.8 | % | |||||
Ba3 | 12.7 | % | Caa3 | 0.6 | % | |||||
Ba2 | 8.3 | % | Other | 0.6 | % | |||||
Caa1 | 8.1 | % | Total | 100.0 | % | |||||
** | Based on total value of investments as of April 30, 2018. Bond Ratings provided by Moody’s Ratings. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
39
Dunham Alternative Dividend Fund (Unaudited) |
Message from the Sub-Adviser (Sungarden Fund Management, LLC) |
The first half of the fiscal year was bifurcated into two polar environments. While the first fiscal quarter’s market environment was highly positive, led by the performance of growth-oriented stocks, the second fiscal quarter’s environment provided a stark contrast. U.S. stocks in general, as measured by the S&P 500 Index, returned 10.2 percent during the first fiscal quarter, but reversed course to decline 5.8 percent in the second fiscal quarter. When considering a broad group of dividend-paying stocks, as measured by the Dow Jones U.S. Select Dividend Index, the first fiscal quarter’s 7.1 percent return was met with a 3.4 percent decline in the second fiscal quarter. This most recent fiscal quarter’s performance brought the six-month period’s return for U.S. stocks and dividend-paying stocks within 0.3 percent of each other. A blend of equities and bonds, as measured by the Dow Jones Moderately Conservative Index, declined 2.2 percent during the second fiscal quarter, which resulted in a six-month return that lagged both dividend paying stock and U.S. stocks, in general.
The Sub-Adviser’s strategy primarily focuses on dividend-paying stocks and seeks to preserve capital. As of the end of the six-month period, the highest individual stock exposures were within the consumer discretionary, information technology, and real estate sectors. While the consumer discretionary sector was the strongest performer within the S&P 500 Index in the first fiscal quarter, it declined 3.5 percent in the second fiscal quarter. However, this was not enough to erase the 17.6 percent surge in the first fiscal quarter, leaving the six-month return at a robust 12.8 percent gain. The information technology sector experienced a moderate decline of 3.7 percent during the second fiscal quarter, which erased nearly half of the 8.9 percent return in the first fiscal quarter. The real estate sector declined 3.8 percent in the second fiscal quarter after returning a relatively flat 0.5 percent in the first fiscal quarter. Six-month performance for the information technology and real estate sectors settled at a positive 4.8 percent return for information technology and a negative 3.3 percent return for real estate. Although the financial services and utilities sectors have historically represented a high percentage of the market’s dividend payers, these sectors combined comprised less than 10 percent of the Fund’s stock holdings. Having less individual stock exposure to these sectors produced mixed results, as the financial services sector decreased 7.3 percent during the second fiscal quarter and the utilities sector increased 1.9 percent. During the six-month period, financial services boasted a 4.1 percent return, while utilities suffered a 4.8 percent overall decline.
Within the consumer discretionary sector, the Fund held three stocks consistently since the start of the fiscal year. This included the U.S. auto manufacturer, General Motors Co. (GM) (holding weight*: 1.98 percent), the casino owner/operator, Las Vegas Sands Corp. (LVS) (holding weight*: 2.05 percent), and the navigation device company, Garmin Ltd. (GRMN) (holding weight*: 1.99 percent). During the most recent three months, all three stocks experienced significant declines, as GM plummeted 12.5 percent, while LVS and GRMN dropped 4.4 percent and 6.0 percent, respectively. The Sub-Adviser also purchased put options on each of these holdings during the period, in-line with its hedging process and generally providing some support during the days and weeks with dramatic downturns. As some of these holdings experienced significant gains in the first fiscal quarter, the returns across the six-month period showed GM down 12.9 percent, but LVS and GRMN up 18.1 percent and 5.4 percent, respectively.
As the utilities sector generally lagged during the six-month period, the Fund continued to hold Entergy Corp. (ETR) (holding weight*: 3.05 percent), an integrated utility holding company. During the six-month period, ETR declined 3.3 percent, outpacing the utilities sector as a whole by 1.5 percent. Within the information technology and real estate sectors, the Fund held one of the largest computer chip companies, Intel Corp. (INTC) (holding weight*: 1.98 percent), and one of the largest self-storage companies, Public Storage (PSA) (holding weight*: 1.02 percent). During the second fiscal quarter, INTC and PSA increased 8.0 percent and 4.1 percent, respectively. This recent positive performance not only provided positive absolute performance amidst the sea of negative returns, but also helped to boost the six-month returns for INTC to 14.9 percent and recovered most of PSA’s first fiscal quarter decline, ending down only 0.7 percent.
The Sub-Adviser also implements opportunistic and hedging positions that include call and put options on ETFs and indices, long ETFs, and inverse ETFs. During the six-month period, each of these sub-strategies provided mixed results. The two ETFs held consistently since the beginning of the fiscal year were the Global SuperDividend US ETF (DIV) (holding weight*: 5.15 percent) and the iShares International Select Dividend ETF (IDV) (holding weight*: 4.09 percent). Although the performance varied greatly between the two dividend-stock focused products in the first fiscal quarter, both ETFs showed results within a tighter band in the second fiscal quarter. During the six-month period, DIV barely managed to stay positive, increasing 0.7 percent, while IDV rose 3.7 percent. Throughout the six-month period, the Sub-Adviser continued to trade positions in put options, holding close to 2 percent in put options at the end of the fiscal period. This positioning was in-line with the Sub-Adviser’s overall view of current risks within the equity markets.
The Sub-Adviser believes that market volatility will remain elevated with increased risks to the downside. The Sub-Adviser continues to believe that the market is in the final stages of a long equity and bond bull market. The Sub-Adviser uses fundamental and technical analysis, along with a proprietary market cycle gauge called the Investment Climate Indicator (ICI) to identify opportunities. In “weather” terms, the Sub-Adviser believes the market environment has been “stormy.” Per its proprietary ICI, stormy means the Sub-Adviser believes that equities are in a bear market with meaningful declines and only temporary periods of relief.
* | Holdings percentage(s) as of 4/30/2018. |
Growth of $100,000 Investment
Total Returns as of April 30, 2018 | |||
Annualized Since | |||
Six Months | One Year | Inception (8/31/2016) | |
Class N | 3.52% | 1.06% | 1.26% |
Class C | 2.98% | 0.00% | 0.27% |
Class A with load of 5.75% | (2.55)% | (5.02)% | (2.45)% |
Class A without load | 3.42% | 0.81% | 1.08% |
Dow Jones Moderately Conservative Portfolio Index | 1.54% | 6.06% | 4.94% |
Morningstar Long/Short Equity Category | 1.44% | 5.79% | 6.79% |
The Dow Jones Moderately Conservative Portfolio Index is a member of the Relative Risk Index Series and designed to measure a total portfolio of stocks, bonds, and cash, allocated to represent an investor’s desired risk profile. The Dow Jones Moderately Conservative Portfolio Index risk level is set to 40% of the Dow Jones Global Stock CMAC Index’s downside risk (past 36 months).
The Morningstar Long/Short Equity Category is generally representative of long/short portfolios that hold at least 75% of their assets in equity securities that are both long and short positions and their related derivatives.
As disclosed in the Trust’s latest registration statement as supplemented,, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.39% for Class N, 2.39% for Class C and 1.64% 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.
40
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Alternative Dividend Fund |
April 30, 2018 |
Security | Shares | Value | ||||||
COMMON STOCKS - 55.9% | ||||||||
AIRLINES - 1.0% | ||||||||
Alaska Air Group, Inc. | 9,800 | $ | 636,314 | |||||
APPAREL - 2.1% | ||||||||
Hanesbrands, Inc. ^ | 73,400 | 1,355,698 | ||||||
AUTO MANUFACTURERS - 2.0% | ||||||||
General Motors Co. | 33,800 | 1,241,812 | ||||||
CHEMICALS - 2.0% | ||||||||
LyondellBasell Industries NV | 12,200 | 1,289,906 | ||||||
COMMERCIAL SERVICES - 0.7% | ||||||||
Macquarie Infrastructure Corp. ^ | 12,000 | 454,800 | ||||||
COMPUTERS - 1.8% | ||||||||
International Business Machines Corp. | 8,100 | 1,174,176 | ||||||
ELECTRIC - 5.0% | ||||||||
Duke Energy Corp. ^ | 16,400 | 1,314,624 | ||||||
Entergy Corp. | 23,400 | 1,909,206 | ||||||
3,223,830 | ||||||||
ELECTRICAL COMPONENTS & EQUIPMENT - 1.8% | ||||||||
Emerson Electric Co. | 17,600 | 1,168,816 | ||||||
ELECTRONICS - 2.0% | ||||||||
Garmin Ltd. ^ | 21,200 | 1,243,804 | ||||||
FOOD - 2.8% | ||||||||
General Mills, Inc. | 27,500 | 1,202,850 | ||||||
Kroger Co. | 24,000 | 604,560 | ||||||
1,807,410 | ||||||||
GAS - 1.0% | ||||||||
National Grid PLC - ADR | 11,000 | 639,980 | ||||||
IRON/STEEL - 0.4% | ||||||||
United States Steel Corp. ^ | 8,000 | 270,640 | ||||||
LEISURE PRODUCTS - 0.8% | ||||||||
Polaris Industries, Inc. ^ | 5,000 | 524,100 | ||||||
LODGING - 2.0% | ||||||||
Las Vegas Sands Corp. | 17,500 | 1,283,275 | ||||||
MINING - 2.1% | ||||||||
Compass Minerals International, Inc. ^ | 20,200 | 1,359,460 | ||||||
OIL & GAS - 5.1% | ||||||||
Chevron Corp. | 10,900 | 1,363,699 | ||||||
ConocoPhillips | 10,000 | 655,000 | ||||||
Exxon Mobil Corp. | 16,200 | 1,259,550 | ||||||
3,278,249 | ||||||||
PHARMACEUTICALS - 4.2% | ||||||||
AbbVie, Inc. | 13,500 | 1,303,425 | ||||||
CVS Health Corp. | 20,100 | 1,403,583 | ||||||
2,707,008 | ||||||||
See accompanying notes to financial statements.
41
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Alternative Dividend Fund (Continued) |
April 30, 2018 |
Security | Shares | Value | ||||||||||||||||||
COMMON STOCKS - 55.9% (Continued) | ||||||||||||||||||||
REAL ESTATE INVESTMENT TRUSTS - 7.6% | ||||||||||||||||||||
Gaming and Leisure Properties, Inc. ^ | 10,000 | $ | 342,700 | |||||||||||||||||
Host Hotels & Resorts, Inc. | 67,000 | 1,310,520 | ||||||||||||||||||
Iron Mountain, Inc. ^ | 9,000 | 305,460 | ||||||||||||||||||
Public Storage ^ | 6,400 | 1,291,392 | ||||||||||||||||||
Simon Property Group, Inc. ^ | 8,400 | 1,313,256 | ||||||||||||||||||
WP Carey, Inc. | 5,000 | 319,250 | ||||||||||||||||||
4,882,578 | ||||||||||||||||||||
RETAIL - 1.0% | ||||||||||||||||||||
Walmart, Inc. | 7,000 | 619,220 | ||||||||||||||||||
SEMICONDUCTORS - 2.0% | ||||||||||||||||||||
Intel Corp. | 24,000 | 1,238,880 | ||||||||||||||||||
TELECOMMUNICATIONS - 5.9% | ||||||||||||||||||||
AT&T, Inc. ^ | 35,900 | 1,173,930 | ||||||||||||||||||
Cisco Systems, Inc. ^ | 28,000 | 1,240,120 | ||||||||||||||||||
Verizon Communications, Inc. | 27,100 | 1,337,385 | ||||||||||||||||||
3,751,435 | ||||||||||||||||||||
TRANSPORTATION - 2.1% | ||||||||||||||||||||
United Parcel Service, Inc. | 11,600 | 1,316,600 | ||||||||||||||||||
WATER - 0.5% | ||||||||||||||||||||
American Water Works Co., Inc. ^ | 4,000 | 346,320 | ||||||||||||||||||
TOTAL COMMON STOCKS (Cost - $34,378,684) | 35,814,311 | |||||||||||||||||||
EXCHANGE TRADED FUNDS - 16.0% | ||||||||||||||||||||
EQUITY EXCHANGE TRADED FUNDS - 16.0% | ||||||||||||||||||||
Global SuperDividend US ETF | 130,832 | 3,221,084 | ||||||||||||||||||
Global X MLP ETF | 148,000 | 1,342,360 | ||||||||||||||||||
iShares International Select Dividend ETF | 75,200 | 2,557,552 | ||||||||||||||||||
iShares MSCI India ETF | 36,000 | 1,258,200 | ||||||||||||||||||
PowerShares S&P 500 High Dividend Low Volatility ^ | 48,000 | 1,900,320 | ||||||||||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $10,032,879) | 10,279,516 | |||||||||||||||||||
Counterparty | Contracts** | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||
PURCHASED OPTIONS * - 3.0% | ||||||||||||||||||||
PURCHASED PUT OPTIONS * - 1.8% | ||||||||||||||||||||
AbbVie, Inc. | Pershing | 120 | $ | 1,158,600 | $ | 90.00 | 5/18/2018 | $ | 5,400 | |||||||||||
AT&T, Inc. | Pershing | 180 | 588,600 | 34.00 | 6/15/2018 | 29,700 | ||||||||||||||
Cisco Systems, Inc. | Pershing | 200 | 885,800 | 40.00 | 5/18/2018 | 3,400 | ||||||||||||||
Emerson Electric Co. | Pershing | 120 | 796,920 | 65.00 | 5/18/2018 | 13,800 | ||||||||||||||
Garmin Ltd. | Pershing | 100 | 586,700 | 55.00 | 5/18/2018 | 5,800 | ||||||||||||||
General Motors Co. | Pershing | 200 | 734,800 | 37.00 | 5/18/2018 | 13,800 | ||||||||||||||
Intel Corp. | Pershing | 180 | 923,760 | 47.00 | 5/18/2018 | 3,420 | ||||||||||||||
iShares 20+ Year Treasury Bond ETF | Pershing | 1,500 | 17,826,000 | 118.00 | 5/18/2018 | 85,500 | ||||||||||||||
iShares 7-10 Year Treasury Bond Fund | Pershing | 500 | 5,075,500 | 101.00 | 5/18/2018 | 8,000 | ||||||||||||||
iShares 7-10 Year Treasury Bond Fund | Pershing | 200 | 2,030,200 | 100.00 | 6/15/2018 | 3,000 | ||||||||||||||
Las Vegas Sands Corp. | Pershing | 140 | 1,026,620 | 70.00 | 5/18/2018 | 5,320 | ||||||||||||||
LyondellBasell Industries NV | Pershing | 100 | 1,057,300 | 100.00 | 5/18/2018 | 4,000 | ||||||||||||||
S&P 500 Index | Pershing | 50 | 13,240,250 | 600.00 | 5/18/2018 | 84,500 | ||||||||||||||
S&P 500 Index | Pershing | 250 | 66,201,250 | 600.00 | 6/15/2018 | 881,250 | ||||||||||||||
Verizon Communications, Inc. | Pershing | 130 | 641,550 | 44.00 | 6/15/2018 | 1,170 | ||||||||||||||
TOTAL PURCHASED PUT OPTIONS (Cost - $1,939,881) | 1,148,060 | |||||||||||||||||||
See accompanying notes to financial statements.
42
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Alternative Dividend Fund (Continued) |
April 30, 2018 |
Security | Counterparty | Contracts** | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||
PURCHASED OPTIONS * - 3.0% (Continued) | ||||||||||||||||||
PURCHASED CALL OPTIONS * - 1.2% | ||||||||||||||||||
Albemarle Corp. | Pershing | 100 | $ | 969,600 | $ | 95.00 | 6/15/2018 | $ | 63,000 | |||||||||
AT&T, Inc. | Pershing | 200 | 654,000 | 34.00 | 6/15/2018 | 10,200 | ||||||||||||
Cameco Corp. | Pershing | 500 | 526,500 | 11.00 | 6/15/2018 | 15,000 | ||||||||||||
Cameco Corp. | Pershing | 1,000 | 1,053,000 | 12.00 | 6/15/2018 | 7,500 | ||||||||||||
Enbridge, Inc. | Pershing | 800 | 2,421,600 | 35.00 | 5/18/2018 | 2,000 | ||||||||||||
Exxon Mobil Corp. | Pershing | 200 | 1,555,000 | 77.50 | 6/15/2018 | 35,200 | ||||||||||||
General Electric Co. | Pershing | 1,000 | 1,407,000 | 17.00 | 9/21/2018 | 18,000 | ||||||||||||
Interpublic Group of Cos., Inc. | Pershing | 250 | 589,750 | 24.00 | 5/18/2018 | 9,500 | ||||||||||||
iShares 20+ Year Treasury Bond | Pershing | 1,200 | 14,260,800 | 120.00 | 5/18/2018 | 64,800 | ||||||||||||
iShares 20+ Year Treasury Bond | Pershing | 300 | 3,565,200 | 122.00 | 5/18/2018 | 3,300 | ||||||||||||
iShares 20+ Year Treasury Bond | Pershing | 300 | 3,565,200 | 122.00 | 6/15/2018 | 13,500 | ||||||||||||
iShares U.S. Home Construction ETF | Pershing | 250 | 960,750 | 42.00 | 5/18/2018 | 1,250 | ||||||||||||
iShares U.S. Real Estate ETF | Pershing | 125 | 945,500 | 76.00 | 6/15/2018 | 16,125 | ||||||||||||
iShares U.S. Real Estate ETF | Pershing | 200 | 1,512,800 | 77.00 | 6/15/2018 | 15,200 | ||||||||||||
L Brands, Inc. | Pershing | 200 | 698,200 | 40.00 | 5/18/2018 | 2,000 | ||||||||||||
Macquarie Infrastructure | Pershing | 400 | 1,516,000 | 40.00 | 7/20/2018 | 36,000 | ||||||||||||
PowerShares QQQ Trust Series 1 | Pershing | 400 | 6,437,600 | 165.00 | 5/18/2018 | 41,200 | ||||||||||||
S&P 500 Index | Pershing | 50 | 13,240,250 | 675.00 | 5/18/2018 | 89,000 | ||||||||||||
S&P 500 Index | Pershing | 100 | 26,480,500 | 700.00 | 6/15/2018 | 251,000 | ||||||||||||
Ulta Beauty, Inc. | Pershing | 40 | 1,003,640 | 245.00 | 6/15/2018 | 62,600 | ||||||||||||
United States Steel Corp. | Pershing | 300 | 1,014,900 | 40.00 | 6/15/2018 | 14,100 | ||||||||||||
Utilities Select Sector SPDR Fund | Pershing | 200 | 1,031,200 | 52.00 | 6/15/2018 | 15,200 | ||||||||||||
Utilities Select Sector SPDR Fund | Pershing | 300 | 1,546,800 | 53.00 | 6/15/2018 | 11,400 | ||||||||||||
TOTAL PURCHASED CALL OPTIONS (Cost - $1,616,563) | 797,075 | |||||||||||||||||
TOTAL PURCHASED OPTIONS (Cost - $3,556,444) | 1,945,135 | |||||||||||||||||
Interest | ||||||||||||||||||
Security | Shares | Rate | Value | |||||||||||||||
SHORT-TERM INVESTMENT - 22.7% | ||||||||||||||||||
MONEY MARKET FUND - 22.7% | ||||||||||||||||||
Invesco Short-Term Investments Trust Treasury Portfolio - Institutional Class | 14,531,976 | 1.62% + | 14,531,976 | |||||||||||||||
TOTAL SHORT-TERM INVESTMENT (Cost - $14,531,976) | ||||||||||||||||||
COLLATERAL FOR SECURITIES LOANED - 16.8% | ||||||||||||||||||
Mount Vernon Prime Portfolio (Cost - $10,786,692) | 10,786,692 | 2.00% + | 10,786,692 | |||||||||||||||
TOTAL INVESTMENTS - 114.4% (Cost - $73,286,675) | ||||||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (14.4)% | $ | 73,357,630 | ||||||||||||||||
NET ASSETS - 100.0% | (9,240,138 | ) | ||||||||||||||||
$ | 64,117,492 |
* | Non-Income producing security. |
** | Each Purchased Put Option and Call Option contract allows the Fund to sell/buy 100 shares of the underlying security at the exercise price. |
+ | Variable rate security. Interest rate is as of April 30, 2018 |
^ | All of a portion of these securities are on loan. Total loaned securities had a value of $10,501,784 at April 30, 2018. |
ADR - American Depositary Receipt.
PLC - Public Limited Company
ETF - Exchange Traded Fund
Portfolio Composition * - (Unaudited) | ||||||||||
Short-Term Investment | 19.8 | % | Communications | 5.1 | % | |||||
Collateral for Securities Loaned | 14.7 | % | Industrial | 5.1 | % | |||||
Exchange Traded Funds | 14.0 | % | Energy | 4.5 | % | |||||
Consumer, Cyclical | 7.7 | % | Basic Materials | 4.0 | % | |||||
Consumer, Non-cyclical | 6.8 | % | Technology | 3.3 | % | |||||
Financial | 6.7 | % | Purchased Options | 2.6 | % | |||||
Utilities | 5.7 | % | Total | 100.0 | % | |||||
* | Based on total value of investments as of April 30, 2018. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
43
Dunham International Opportunity Bond Fund (Unaudited) |
Message from the Sub-Adviser (Allianz Global Investors) |
Similar to other broad asset classes, foreign bonds, as measured by the Bloomberg Barclays Global Aggregate ex-US Index, experienced a disjointed six-month period to mark the first half of the 2018 fiscal year. After surging 5.5 percent in the first three months of the fiscal year, foreign bonds fell 1.7 percent through the end of the six-month period. During the six-month period ended April 30, 2018, foreign bonds rose 3.7 percent. While increasing interest rates had a small impact on foreign bond performance, variations during the six-month period were primarily explained by significant shifts in the relative value of the U.S. dollar to other major currencies. During the six-month period, the U.S. dollar fell 2.9 percent when measured against a basket of major world currencies, as measured by the Bloomberg Dollar Spot Index. The U.S. dollar dropped 5.4 percent the first fiscal quarter and subsequently rose 2.4 percent in the second fiscal quarter. As these percentage shifts in the dollar are measured relative to a weighted basket of foreign currencies, the experience versus each individual currency varied widely during the six-month period.
As the world’s second largest bond issuer, Japan’s debt market and the Yen are significant to foreign bond performance. During the six-month period, Japan’s 2.1% government bond maturing in December 2027 (B2B35B7) (holding weight*: 2.60 percent) declined 0.1 percent when priced in local currency. This relatively flat return in local currency was dramatically different when converted to U.S. dollars. When measured over a six-month period, the Yen’s 3.9 percent appreciation versus the U.S. dollar resulted in these 10-year bonds appreciating more than 3 percent in U.S. dollar terms. One of the strongest performers in the Fund during the primarily negative second fiscal quarter was the Japan 30-year bond (BD8CPW5) (holding weight*: 1.21 percent), which increased 1.9 percent when measured in Yen and increased 1.7 percent after converting to U.S. dollars. Over the six-month period, the Japan 30-year bonds increased 3.3 percent when measured in Yen. The Bank of Japan continued to promote highly accommodative fiscal policy in a prolonged effort to jumpstart the Japanese economy. Japan’s central bank reiterated its stance of maintaining a negative 0.1 percent short-term interest rate as well as removed the timeframe that it expected the accommodative policy to achieve its 2 percent inflation target.
The second largest single country represented in the Fund during the six-month period was the United Kingdom. Unlike its holdings in Japan, where the Sub-Adviser primarily invests in long-term government bonds, the Fund’s allocation to the United Kingdom continued to be spread across both government bonds and local corporate bonds. For example, the Fund held the United Kingdom Treasury 3.25% bond maturing in 2044 (B84Z9V0) (holding weight*: 1.27 percent), as well as the Nationwide Building Society’s 5.625% bond maturing in 2019 (B40MS76) (holding weight*: 0.42 percent). During the six-month period, the United Kingdom Treasury increased 2.7 percent, while the Nationwide Building Society’s bonds increased 0.3 percent. However, the 3.6 percent gain in the British Pound versus the U.S. dollar meaningfully increased the gains on the United Kingdom Treasury and Nationwide Building Society bond. Most of this gain in the relative value of the British Pound was due to the 6.8 percent leap versus the U.S. dollar during the first fiscal quarter.
Across the English Channel, the European mainland’s countries continued to represent the vast majority of the remainder of the Fund’s holdings. BMW Finance NV, the Netherlands-based financing arm of the well-known German automaker, saw its 0.75% bonds maturing in 2024 (BZB12C2) (holding weight*: 1.39 percent) experience a 1.5 percent decline during the six-month period. The Fund’s largest holding in France continued to be Air Liquide Finance 0.75% maturing in 2024 (BZBYZT9) (holding weight*:1.74 percent). During the six-month period, the bonds of the natural gas financing arm saw a 1.1 percent decline in local currency terms. Germany provided similar performance to the Fund in local currency terms, as the German Bunds, Bundesrepublik Deutschland 0.25% maturing in 2027 (BYW2H66) (holding weight*: 1.66 percent), declined 1.1 percent during the same time period. Conversely, Spain helped to buck the trend in Europe, as the Spanish government bond, Bonos y Obligaciones del Estado 3.8% maturing in 2024 (BJ7BSG0) (holding weight*: 1.24 percent), returned more than 1.2 percent. During the six-month period, the Euro’s 3.7 percent gain versus the U.S. dollar was enough to turn each of the aforementioned losses into contributors to the Fund’s absolute performance.
While emerging markets fundamentals generally continued to see improvement, the Sub-Adviser has remained selective in the Fund’s exposure to the debt, especially in countries most exposed to the significant swings in commodity prices. This exposure to developing market debt generally does not involve the same local currency risk as the developed nations. Many emerging markets country issuers offer their debt in either euros or U.S. dollars, reducing the need for foreign investors to hedge their historically volatile currencies. For example, the Fund held U.S. dollar-denominated Russian Federation 4.25% bonds maturing in 2027 (BF1XJY9) (holding weight*: 0.56 percent). During the six-month period, the Russian Federation bonds detracted 2.1 percent. The Fund also held the Euro-denominated Argentina 5.25% bonds maturing in 2028 (BDFC3Q8) (holding weight*: 0.34 percent), which fell 1.4 percent during the six-month period. Since the 10-year Argentina bonds were priced in Euros, the 3.7 percent increase in the Euro reversed the absolute effect of the bonds.
The Sub-Adviser’s investment process relies on macroeconomic factors and as such, its economic outlook provides direction for the Fund’s allocation and positioning. The Sub-Adviser believes that as the U.S. continues to gradually increase interest rates domestically, foreign central banks should feel less pressure to maintain their own accommodative policies. In addition, the Sub-Adviser believes that the U.S. dollar’s most recent rally may not hold as the euro-zone and emerging market economies continue to show improving fundamentals and signs that support strengthening currencies versus the U.S. dollar. In regard to default rates, the Sub-Adviser believes that a slight increase may occur, but even a moderate increase would still be well-below long-term average default rates. Therefore, the Sub-Adviser remains optimistic about the strength of foreign economies, but believes that prudent country and security selection will remain imperative.
* | Holdings percentage(s) as of 4/30/2018. |
Growth of $100,000 Investment
Total Returns as of April 30, 2018 | ||||
Annualized | Annualized Since | |||
Six Months | One Year | Three Year | Inception (11/1/13) | |
Class N | 2.69% | 6.23% | 1.84% | (0.56)% |
Class C | 2.32% | 5.45% | 1.07% | (1.31)% |
Class A with load of 4.50% | (2.05)% | 1.18% | 0.07% | (1.79)% |
Class A without load | 2.60% | 5.92% | 1.61% | (0.79)% |
Barclays Global ex-US Aggregate Bond Index Unhedged | 3.70% | 7.68% | 3.09% | 0.53% |
Morningstar World Bond Category | 1.00% | 3.68% | 2.07% | 1.67% |
The Barclays Global ex US Aggregate Bond Index Unhedged is designed to be a broad based measure of the global investment-grade, fixed rate, fixed income corporate markets outside the United States. Investors cannot invest directly in an index or benchmark.
The Morningstar World Bond Category is generally representative of funds that invest at least 40% of bonds in foreign markets.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.54% for Class N, 2.29% for Class C and 1.79% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.
44
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham International Opportunity Bond Fund |
April 30, 2018 |
Principal | Maturity | ||||||||||||||||
Security | Variable Rate | Amount | Interest Rate % | Date | Value | ||||||||||||
CORPORATE BONDS & NOTES - 43.8% | |||||||||||||||||
AGRICULTURE - 0.7% | |||||||||||||||||
BAT International Finance PLC | 200,000 | EUR | 0.8750 | 10/13/2023 | $ | 239,771 | |||||||||||
APPAREL - 1.6% | |||||||||||||||||
LVMH Moet Hennessy Louis Vuitton SE | 450,000 | EUR | 0.3750 | 5/26/2022 | 545,459 | ||||||||||||
AUTO MANUFACTURERS - 2.1% | |||||||||||||||||
BMW Finance NV | 400,000 | EUR | 0.7500 | 4/15/2024 | 484,650 | ||||||||||||
FCE Bank PLC | 200,000 | EUR | 1.8750 | 6/24/2021 | 252,977 | ||||||||||||
737,627 | |||||||||||||||||
BANKS - 16.0% | |||||||||||||||||
ABN AMRO Bank NV | 200,000 | EUR | 6.3750 | 4/27/2021 | 283,296 | ||||||||||||
Banco de Sabadell SA | 300,000 | EUR | 0.6250 | 11/3/2020 | 369,051 | ||||||||||||
BPCE SA | 100,000 | EUR | 4.6250 | 7/18/2023 | 142,072 | ||||||||||||
CaixaBank SA | 400,000 | EUR | 0.6250 | 11/12/2020 | 492,108 | ||||||||||||
Commonwealth Bank of Australia | Euro 5 Year Swap Rate + 1.75% | 200,000 | EUR | 2.0000 | + | 4/22/2027 | 250,452 | ||||||||||
Credit Agricole SA/London | 200,000 | EUR | 1.8750 | 12/20/2026 | 248,499 | ||||||||||||
Credit Suisse Group Funding Guernsey Ltd. | 200,000 | EUR | 1.2500 | 4/14/2022 | 247,109 | ||||||||||||
Danske Bank A/S | 350,000 | EUR | 0.5000 | 5/6/2021 | 427,635 | ||||||||||||
HSBC Holdings PLC | 200,000 | EUR | 6.0000 | 6/10/2019 | 257,556 | ||||||||||||
ING Bank NV | Euro 5 Year Swap Rate + 2.25% | 200,000 | EUR | 3.6250 | + | 2/25/2026 | 261,959 | ||||||||||
Intesa Sanpaolo SpA | 100,000 | EUR | 3.9280 | 9/15/2026 | 131,103 | ||||||||||||
KBC Group NV | Euro 5 Year Swap Rate + 1.98% | 200,000 | EUR | 2.3750 | + | 11/25/2024 | 249,917 | ||||||||||
Lloyds Bank PLC | 200,000 | EUR | 6.5000 | 3/24/2020 | 270,236 | ||||||||||||
National Australia Bank Ltd. | 150,000 | GBP | 5.1250 | 12/9/2021 | 231,959 | ||||||||||||
Nordea Bank AB | Euro 5 Year Swap Rate + 1.25% | 200,000 | EUR | 1.0000 | + | 9/7/2026 | 243,189 | ||||||||||
Santander UK PLC | 100,000 | EUR | 2.0000 | 1/14/2019 | 122,745 | ||||||||||||
Societe Generale SA | 100,000 | EUR | 0.7500 | 5/26/2023 | 121,881 | ||||||||||||
Sumitomo Mitsui Financial Group, Inc. | 3M Libor + 0.74% | 250,000 | USD | 3.0928 | + | 1/17/2023 | 250,923 | ||||||||||
UBS Group Funding Switzerland AG | 200,000 | EUR | 1.2500 | 9/1/2026 | 237,531 | ||||||||||||
Westpac Banking Corp. | 650,000 | EUR | 0.3750 | 3/5/2023 | 776,305 | ||||||||||||
5,615,526 | |||||||||||||||||
BEVERAGES - 2.8% | |||||||||||||||||
Anheuser-Busch InBev SA/NV | 300,000 | EUR | 0.8750 | 3/17/2022 | 370,833 | ||||||||||||
Anheuser-Busch InBev SA/NV | 70,000 | EUR | 2.7500 | 3/17/2036 | 90,277 | ||||||||||||
Heineken NV | 200,000 | EUR | 3.5000 | 3/19/2024 | 279,544 | �� | |||||||||||
Pernod Richard SA | 200,000 | EUR | 1.5000 | 5/18/2026 | 248,191 | ||||||||||||
988,845 | |||||||||||||||||
BUILDING MATERIALS - 0.6% | |||||||||||||||||
HeidelbergCement AG | 150,000 | EUR | 2.2500 | 6/3/2024 | 193,162 | ||||||||||||
CHEMICALS - 2.3% | |||||||||||||||||
Air Liquide Finance SA | 500,000 | EUR | 0.7500 | 6/13/2024 | 608,605 | ||||||||||||
Linde Finance BV | 150,000 | EUR | 3.1250 | 12/12/2018 | 185,005 | ||||||||||||
793,610 | |||||||||||||||||
DIVERSIFIED FINANCIAL SERVICES - 0.4% | |||||||||||||||||
Cabot Financial Luxembourg SA | 100,000 | GBP | 6.5000 | 4/1/2021 | 140,079 | ||||||||||||
ELECTRIC - 3.4% | |||||||||||||||||
Enel Finance International NV | 200,000 | EUR | 1.9660 | 1/27/2025 | 255,753 | ||||||||||||
Engie SA | 300,000 | EUR | 2.3750 | 5/19/2026 | 397,485 | ||||||||||||
Iberdrola Finanzas SAU | 200,000 | EUR | 1.0000 | 3/7/2025 | 241,960 | ||||||||||||
Innogy Finance BV | 250,000 | EUR | 1.0000 | 4/13/2025 | 301,924 | ||||||||||||
1,197,122 | |||||||||||||||||
ENGINEERING & CONSTRUCTION - 2.1% | |||||||||||||||||
ABB Finance BV | 450,000 | EUR | 2.6250 | 3/26/2019 | 557,477 | ||||||||||||
Heathrow Funding Ltd. | 100,000 | GBP | 7.1250 | 2/14/2024 | 171,140 | ||||||||||||
728,617 | |||||||||||||||||
FOOD - 0.7% | |||||||||||||||||
Danone SA | 200,000 | EUR | 0.7090 | 11/3/2024 | 239,574 | ||||||||||||
See accompanying notes to financial statements.
45
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham International Opportunity Bond Fund (Continued) |
April 30, 2018 |
Principal | Maturity | ||||||||||||||||
Security | Variable Rate | Amount | Interest Rate % | Date | Value | ||||||||||||
CORPORATE BONDS & NOTES - 43.8% (Continued) | |||||||||||||||||
HEALTHCARE PRODUCTS - 0.4% | |||||||||||||||||
3M Euro Libor + 3.75% | |||||||||||||||||
Limacorporate SpA | 100,000 | EUR | 3.7500 | + | 8/15/2023 | $ | 122,783 | ||||||||||
INSURANCE - 2.3% | |||||||||||||||||
Great-West Lifeco, Inc. | 300,000 | EUR | 2.5000 | 4/18/2023 | 395,305 | ||||||||||||
Willow No 2 Ireland PLC for Zurich Insurance Co., Ltd. | 300,000 | EUR | 3.3750 | 6/27/2022 | 405,690 | ||||||||||||
800,995 | |||||||||||||||||
IRON / STEEL - 0.3% | �� | ||||||||||||||||
BlueScope Steel Finance Ltd. / BlueScope Steel Finance USA LLC - 144A | 100,000 | USD | 6.5000 | 5/15/2021 | 103,500 | ||||||||||||
MINING - 1.1% | |||||||||||||||||
Anglo American Capital PLC | 200,000 | EUR | 3.2500 | 4/3/2023 | 266,363 | ||||||||||||
Glencore Finance Europe SA | 100,000 | EUR | 1.6250 | 1/18/2022 | 124,751 | ||||||||||||
391,114 | |||||||||||||||||
OIL & GAS - 2.8% | |||||||||||||||||
BG Energy Capital PLC | 350,000 | EUR | 1.2500 | 11/21/2022 | 438,255 | ||||||||||||
BP Capital Markets PLC | 350,000 | EUR | 0.8300 | 9/19/2024 | 421,357 | ||||||||||||
Petrobras Global Finance BV | 100,000 | EUR | 5.8750 | 3/7/2022 | 139,528 | ||||||||||||
999,140 | |||||||||||||||||
PACKAGING & CONTAINERS - 0.3% | |||||||||||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. | 100,000 | EUR | 2.7500 | 3/15/2024 | 122,792 | ||||||||||||
REAL ESTATE - 0.7% | |||||||||||||||||
DEMIRE Deutsche Mittelstand Real Estate AG | 100,000 | EUR | 2.8750 | 7/15/2022 | 123,716 | ||||||||||||
Westfield America Management Ltd. | 100,000 | GBP | 2.1250 | 3/30/2025 | 136,531 | ||||||||||||
260,247 | |||||||||||||||||
SAVINGS & LOANS - 1.6% | |||||||||||||||||
Nationwide Building Society | 350,000 | EUR | 1.6250 | 4/3/2019 | 430,261 | ||||||||||||
Nationwide Building Society | 100,000 | GBP | 5.6250 | 9/9/2019 | 146,081 | ||||||||||||
576,342 | |||||||||||||||||
TELECOMMUNICATIONS - 1.6% | |||||||||||||||||
Deutsche Telekom International Finance BV | 250,000 | EUR | 0.6250 | 4/3/2023 | 302,239 | ||||||||||||
Telecom Italia SpA/Milano | 50,000 | GBP | 6.3750 | 6/24/2019 | 72,671 | ||||||||||||
Telecom Italia SpA/Milano | 150,000 | EUR | 2.5000 | 7/19/2023 | 190,679 | ||||||||||||
565,589 | |||||||||||||||||
TOTAL CORPORATE BONDS & NOTES (Cost - $14,588,941) | 15,361,894 | ||||||||||||||||
FOREIGN GOVERNMENT BONDS - 53.4% | |||||||||||||||||
Argentine Republic Government International Bond | 100,000 | EUR | 5.2500 | 1/15/2028 | 117,800 | ||||||||||||
Bundesrepublik Deutschland Bundesanleihe | 489,000 | EUR | 0.2500 | 2/15/2027 | 581,648 | ||||||||||||
Bundesrepublik Deutschland Bundesanleihe | 470,000 | EUR | 4.7500 | 7/4/2034 | 897,492 | ||||||||||||
Bundesrepublik Deutschland Bundesanleihe | 60,000 | EUR | 2.5000 | 7/4/2044 | 94,146 | ||||||||||||
Canadian Government Bond | 160,000 | CAD | 5.0000 | 6/1/2037 | 173,315 | ||||||||||||
Canadian Government Bond | 280,000 | CAD | 3.5000 | 12/1/2045 | 266,766 | ||||||||||||
Denmark Government Bond | 2,420,000 | DKK | 3.0000 | 11/15/2021 | 438,577 | ||||||||||||
French Republic Government Bond OAT | 70,000 | EUR | 4.7500 | 4/25/2035 | 131,310 | ||||||||||||
French Republic Government Bond OAT | 190,000 | EUR | 4.5000 | 4/25/2041 | 369,547 | ||||||||||||
Indonesia Government International Bond - 144A | 100,000 | EUR | 2.1500 | 7/18/2024 | 125,307 | ||||||||||||
Ireland Government Bond | 130,000 | EUR | 5.4000 | 3/13/2025 | 209,348 | ||||||||||||
Italy Buoni Poliennali Del Tesoro | 180,000 | EUR | 4.2500 | 9/1/2019 | 230,826 | ||||||||||||
Italy Buoni Poliennali Del Tesoro | 120,000 | EUR | 5.5000 | 11/1/2022 | 177,059 | ||||||||||||
Italy Buoni Poliennali Del Tesoro | 410,000 | EUR | 4.5000 | 3/1/2024 | 595,813 | ||||||||||||
Italy Buoni Poliennali Del Tesoro | 480,000 | EUR | 3.7500 | 9/1/2024 | 675,675 | ||||||||||||
Italy Buoni Poliennali Del Tesoro | 230,000 | EUR | 2.0500 | 8/1/2027 | 286,485 | ||||||||||||
Italy Buoni Poliennali Del Tesoro | 270,000 | EUR | 5.0000 | 9/1/2040 | 452,730 | ||||||||||||
See accompanying notes to financial statements.
46
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham International Opportunity Bond Fund (Continued) |
April 30, 2018 |
Principal | Maturity | ||||||||||||||||
Security | Variable Rate | Amount | Interest Rate % | Date | Value | ||||||||||||
FOREIGN GOVERNMENT BONDS - 53.4% (Continued) | |||||||||||||||||
Japan Government Ten Year Bond | 50,950,000 | JPY | 0.8000 | 9/20/2022 | $ | 484,177 | |||||||||||
Japan Government Thirty Year Bond | 52,750,000 | JPY | 1.5000 | 3/20/2045 | 577,328 | ||||||||||||
Japan Government Thirty Year Bond | 48,950,000 | JPY | 0.5000 | 9/20/2046 | 422,351 | ||||||||||||
Japan Government Twenty Year Bond | 224,150,000 | JPY | 1.9000 | 9/20/2023 | 2,267,628 | ||||||||||||
Japan Government Twenty Year Bond | 83,100,000 | JPY | 2.1000 | 12/20/2027 | 909,585 | ||||||||||||
Japan Government Twenty Year Bond | 68,900,000 | JPY | 1.7000 | 9/20/2033 | 761,103 | ||||||||||||
Kingdom of Belgium Government Bond | 130,000 | EUR | 4.2500 | 9/28/2022 | 187,264 | ||||||||||||
Kingdom of Belgium Government Bond - 144A | 130,000 | EUR | 5.0000 | 3/28/2035 | 249,111 | ||||||||||||
Malaysia Government Bond | 220,000 | MYR | 4.1810 | 7/15/2024 | 56,353 | ||||||||||||
Malaysia Government Bond | 480,000 | MYR | 3.9000 | 11/30/2026 | 120,133 | ||||||||||||
Mexican Bonos | 3,270,000 | MXN | 5.7500 | 3/5/2026 | 157,085 | ||||||||||||
Portugal Obrigacoes do Tesouro OT - 144A | 100,000 | EUR | 4.1250 | 4/14/2027 | 147,418 | ||||||||||||
Province of Ontario Canada | 280,000 | CAD | 2.4000 | 6/2/2026 | 211,166 | ||||||||||||
Republic of Austria Government Bond - 144A | 270,000 | EUR | 1.2000 | 10/20/2025 | 344,708 | ||||||||||||
Republic of Poland Government Bond | 360,000 | PLN | 5.7500 | 9/23/2022 | 117,812 | ||||||||||||
Russian Foreign Bond - Eurobond - 144A | 200,000 | USD | 4.2500 | 6/23/2027 | 195,598 | ||||||||||||
Spain Government Bond - 144A | 420,000 | EUR | 4.1000 | 7/30/2018 | 513,085 | ||||||||||||
Spain Government Bond - 144A | 600,000 | EUR | 4.0000 | 4/30/2020 | 787,111 | ||||||||||||
Spain Government Bond - 144A | 100,000 | EUR | 5.4000 | 1/31/2023 | 150,266 | ||||||||||||
Spain Government Bond - 144A | 300,000 | EUR | 4.4000 | 10/31/2023 | 440,996 | ||||||||||||
Spain Government Bond - 144A | 300,000 | EUR | 3.8000 | 4/30/2024 | 431,966 | ||||||||||||
Spain Government Bond - 144A | 210,000 | EUR | 1.9500 | 4/30/2026 | 272,692 | ||||||||||||
Spain Government Bond - 144A | 90,000 | EUR | 1.4500 | 10/31/2027 | 111,156 | ||||||||||||
Spain Government Bond - 144A | 80,000 | EUR | 2.3500 | 7/30/2033 | 103,926 | ||||||||||||
Spain Government Bond - 144A | 160,000 | EUR | 4.2000 | 1/31/2037 | 262,854 | ||||||||||||
Sweden Government Bond | 770,000 | SEK | 4.2500 | 3/12/2019 | 91,929 | ||||||||||||
Swiss Confederation Government Bond | 480,000 | CHF | 4.0000 | 2/11/2023 | 589,393 | ||||||||||||
United Kingdom Gilt | 250,000 | GBP | 2.7500 | 9/7/2024 | 377,685 | ||||||||||||
United Kingdom Gilt | 290,000 | GBP | 4.2500 | 6/7/2032 | 528,054 | ||||||||||||
United Kingdom Gilt | 185,000 | GBP | 4.5000 | 12/7/2042 | 389,497 | ||||||||||||
United Kingdom Gilt | 250,000 | GBP | 3.2500 | 1/22/2044 | 443,262 | ||||||||||||
United Kingdom Gilt | 70,000 | GBP | 4.2500 | 12/7/2055 | 164,676 | ||||||||||||
United Kingdom Gilt | 20,000 | GBP | 4.0000 | 1/22/2060 | 47,072 | ||||||||||||
TOTAL FOREIGN GOVERNMENT BONDS (Cost - $18,245,261) | 18,738,284 | ||||||||||||||||
WHOLE LOAN COLLATERAL - 0.5% | |||||||||||||||||
3M Euro Libor + 0.16% | |||||||||||||||||
Bankinter 10 FTA | 98,236 | EUR | 0.0000 | + | 6/21/2043 | 118,525 | |||||||||||
Fondo de Titulizacion de Activos Santander Hipotecario 2 | 3M Euro Libor + 0.15% | ||||||||||||||||
44,251 | EUR | 0.0000 | + | 1/18/2049 | 53,054 | ||||||||||||
Silverstone Master Issuer PLC - 144A | 3M British Pound Libor + 0.37% | 20,001 | GBP | 1.1211 | + | 1/21/2070 | 27,573 | ||||||||||
TOTAL WHOLE LOAN COLLATERAL (Cost - $181,416) | 199,152 | ||||||||||||||||
Shares | |||||||||||||||||
SHORT - TERM INVESTMENT - 1.0% | |||||||||||||||||
MONEY MARKET FUND - 1.0% | |||||||||||||||||
Fidelity Institutional Money Market Fund - Government Portfolio - Institutional Class | 351,818 | 1.5800 | + | 351,818 | |||||||||||||
TOTAL SHORT-TERM INVESTMENT (Cost - $351,818) | |||||||||||||||||
TOTAL INVESTMENTS - 98.7% (Cost - $33,367,436) | $ | 34,651,148 | |||||||||||||||
OTHER ASSETS LESS LIABILITIES - 1.3% | 454,740 | ||||||||||||||||
NET ASSETS - 100.0% | $ | 35,105,888 |
CAD - Canadian Dollar | EUR - Euro | MXN - Mexican Peso | SEK - Swedish Krona |
CHF - Swiss Franc | GBP - United Kingdom Pound | MYR - Malaysian Ringgit | USD - US Dollar |
DKK - Danish Krone | JPY - Japanese Yen | PLN - Polish Zloty | |
+ | Variable rate security. Interest rate is as of April 30, 2018. |
144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The 144A securities amounted to $4,267,267 or 12.2% of net assets.
See accompanying notes to financial statements.
47
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham International Opportunity Bond Fund (Continued) |
April 30, 2018 |
Unrealized | ||||||||||||||||
Appreciation | ||||||||||||||||
Futures Contracts * | Counterparty | Contracts | Notional | Expiration | (Depreciation) | |||||||||||
FUTURES CONTRACTS PURCHASED - 0.1% | ||||||||||||||||
Australian 10Y BOND Future | Credit Suisse | 6 | $ | 579,242 | 6/15/2018 | $ | 2,570 | |||||||||
Canadian 10Y Bond Future | Credit Suisse | 5 | 512,696 | 6/20/2018 | 2,918 | |||||||||||
EURO BUXL 30Y Bond Future | Credit Suisse | 5 | 987,945 | 6/7/2018 | 16,280 | |||||||||||
EURO-SCHATZ Future | Credit Suisse | 9 | 1,216,941 | 6/7/2018 | 1,041 | |||||||||||
Japanese 10Y Bond Future | Credit Suisse | 1 | 1,376,651 | 6/13/2018 | (896 | ) | ||||||||||
Long Gilt Future | Credit Suisse | 3 | 505,185 | 6/27/2018 | 6,870 | |||||||||||
NET UNREALIZED GAIN FROM FUTURES CONTRACTS PURCHASED | 28,783 | |||||||||||||||
FUTURES CONTRACTS SOLD - 0.1% | ||||||||||||||||
EURO-BOBL Future | Credit Suisse | (35 | ) | (5,539,597 | ) | 6/7/2018 | (24,785 | ) | ||||||||
EURO-BOND Future | Credit Suisse | (6 | ) | (1,150,738 | ) | 6/7/2018 | (8,871 | ) | ||||||||
NET UNREALIZED LOSS FROM FUTURES CONTRACTS SOLD | (33,657 | ) | ||||||||||||||
NET UNREALIZED LOSS FROM FUTURES CONTRACTS | $ | (4,874 | ) | |||||||||||||
* | Face amounts are the underlying reference notional amounts to stock exchange indices and bonds upon which the fair value of the futures contracts traded by the Fund are based. While face amounts do not represent the current fair value and are not necessarily indicative of the future cash flows of the Fund’s futures contracts, the underlying price changes in relation to the variables specified by the face amounts affect the fair value of these derivative financial instruments. Instrument is non-income producing. |
Portfolio Composition ** - (Unaudited) | ||||||||||
Japan | 16.4 | % | Germany | 5.5 | % | |||||
Britain | 13.9 | % | Australia | 4.3 | % | |||||
Spain | 12.6 | % | Belgium | 3.3 | % | |||||
France | 8.8 | % | Canada | 3.0 | % | |||||
Netherlands | 8.8 | % | Other Countries | 14.9 | % | |||||
Italy | 8.5 | % | Total | 100.00 | % | |||||
** | Based on total value of investments as of April 30, 2018. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
48
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham International Opportunity Bond Fund (Continued) |
April 30, 2018 |
As of April 30, 2018 the following Forward Currency Exchange contracts were open:
Forward Currency Contracts | ||||||||||||||||||||||||||
Unrealized | ||||||||||||||||||||||||||
Settlement | Local Currency | U.S. Dollar | Appreciation | |||||||||||||||||||||||
Foreign Currency | Date | Counterparty | Amount Purchased | Market Value | (Depreciation) | |||||||||||||||||||||
To Sell USD and To Buy: | ||||||||||||||||||||||||||
Australian Dollar | 5/23/2018 | Barclays | 1,197,707 | $ | 904,130 | $ | (18,189 | ) | ||||||||||||||||||
British Pound | 5/23/2018 | Citigroup | 143,932 | 198,465 | (5,714 | ) | ||||||||||||||||||||
Canadian Dollar | 5/23/2018 | Barclays | 1,306,859 | 1,019,925 | 19,060 | |||||||||||||||||||||
Euro | 5/23/2018 | Citigroup | 1,440,398 | 1,743,347 | (29,744 | ) | ||||||||||||||||||||
Japanese Yen | 5/23/2018 | Barclays | 606,262,107 | 5,549,228 | (175,431 | ) | ||||||||||||||||||||
Japanese Yen | 5/23/2018 | Citigroup | 47,503,883 | 434,812 | (10,017 | ) | ||||||||||||||||||||
New Zealand Dollar | 5/23/2018 | Citigroup | 1,047,000 | 737,646 | (15,598 | ) | ||||||||||||||||||||
Swedish Krona | 5/23/2018 | Citigroup | 32,725 | 3,750 | (169 | ) | ||||||||||||||||||||
Swiss Franc | 5/23/2018 | Barclays | 12,480 | 12,632 | (433 | ) | ||||||||||||||||||||
Brazilian Real | 7/18/2018 | Barclays | 1,920,000 | 546,320 | (9,139 | ) | ||||||||||||||||||||
Indonesian Rupiah | 7/18/2018 | Barclays | 5,418,863,000 | 385,964 | (5,233 | ) | ||||||||||||||||||||
Israeli Shekel | 7/18/2018 | Barclays | 270,000 | 75,405 | (1,568 | ) | ||||||||||||||||||||
Mexican Peso | 7/18/2018 | Barclays | 7,692,029 | 404,426 | (9,858 | ) | ||||||||||||||||||||
Russian Ruble | 7/18/2018 | Barclays | 5,038,000 | 79,248 | 152 | |||||||||||||||||||||
Singapore Dollar | 7/18/2018 | Barclays | 165,000 | 124,853 | (1,077 | ) | ||||||||||||||||||||
South Korean Won | 7/18/2018 | Barclays | 895,663,000 | 840,930 | 169 | |||||||||||||||||||||
$ | (262,789 | ) | ||||||||||||||||||||||||
Unrealized | ||||||||||||||||||||||||||
Settlement | Local Currency | U.S. Dollar | Appreciation | |||||||||||||||||||||||
Foreign Currency | Date | Counterparty | Amount Sold | Market Value | (Depreciation) | |||||||||||||||||||||
To Buy USD and To Sell: | ||||||||||||||||||||||||||
Australian Dollar | 5/23/2018 | Citigroup | $ | (119,000 | ) | $ | (89,831 | ) | $ | 1,959 | ||||||||||||||||
British Pound | 5/23/2018 | Barclays | (71,000 | ) | (97,901 | ) | 3,113 | |||||||||||||||||||
British Pound | 5/23/2018 | Citigroup | (211,000 | ) | (290,944 | ) | 6,284 | |||||||||||||||||||
Canadian Dollar | 5/23/2018 | Barclays | (72,000 | ) | (56,192 | ) | 119 | |||||||||||||||||||
Canadian Dollar | 5/23/2018 | Citigroup | (55,000 | ) | (42,924 | ) | 692 | |||||||||||||||||||
Euro | 5/23/2018 | Barclays | (4,124,088 | ) | (4,991,478 | ) | 111,596 | |||||||||||||||||||
Euro | 5/23/2018 | Citigroup | (2,419,784 | ) | (2,928,720 | ) | 63,510 | |||||||||||||||||||
Japanese Yen | 5/23/2018 | Barclays | (74,485,000 | ) | (681,775 | ) | 18,475 | |||||||||||||||||||
Japanese Yen | 5/23/2018 | Citigroup | (32,134,000 | ) | (294,128 | ) | 8,648 | |||||||||||||||||||
New Zealand Dollar | 5/23/2018 | Citigroup | (943,503 | ) | (664,730 | ) | 20,513 | |||||||||||||||||||
Mexican Peso | 7/18/2018 | Barclays | (8,065,321 | ) | (424,052 | ) | 8,994 | |||||||||||||||||||
$ | 243,903 | |||||||||||||||||||||||||
Local Currency | Local Currency | U.S. Dollar | U.S. Dollar | Unrealized | ||||||||||||||||||||||
Settlement | Amount Purchased | Amount Purchased | Market Value | Market Value | Appreciation | |||||||||||||||||||||
Foreign Currency | Date | Counterparty | Buy | Sell | Buy | Sell | (Depreciation) | |||||||||||||||||||
To Buy: | To Sell: | |||||||||||||||||||||||||
British Pound | Euro | 5/23/2018 | Barclays | $ | 353,601 | $ | (402,168 | ) | $ | 487,574 | $ | (486,754 | ) | $ | 820 | |||||||||||
Euro | Swiss Franc | 5/23/2018 | Barclays | 172,566 | (202,179 | ) | 208,861 | (204,648 | ) | 4,213 | ||||||||||||||||
Euro | Danish Krone | 5/23/2018 | Barclays | 187,671 | (1,397,972 | ) | 227,143 | (227,119 | ) | 24 | ||||||||||||||||
Euro | Swedish Krona | 5/23/2018 | Barclays | 38,020 | (390,000 | ) | 46,016 | (44,687 | ) | 1,329 | ||||||||||||||||
Euro | Swedish Krona | 5/23/2018 | Citigroup | 581,563 | (6,080,000 | ) | 703,879 | (696,657 | ) | 7,222 | ||||||||||||||||
Norwegian Krone | Euro | 5/23/2018 | Barclays | 643,486 | (67,553 | ) | 80,389 | (81,760 | ) | (1,371 | ) | |||||||||||||||
Swedish Krona | Euro | 5/23/2018 | Barclays | 7,954,166 | (789,096 | ) | 911,402 | (955,061 | ) | (43,659 | ) | |||||||||||||||
Czech Koruna | Euro | 7/18/2018 | Barclays | 1,121,861 | (44,154 | ) | 53,311 | (53,682 | ) | (371 | ) | |||||||||||||||
Polish Zloty | Euro | 7/18/2018 | Barclays | 150,000 | (35,570 | ) | 42,874 | (43,246 | ) | (371 | ) | |||||||||||||||
$ | (32,164 | ) | ||||||||||||||||||||||||
Net Unrealized Loss on Forward Currency Contracts | $ | (51,050 | ) | |||||||||||||||||||||||
See accompanying notes to financial statements.
49
Dunham Appreciation & Income Fund (Unaudited) |
Message from the Sub-Adviser (PENN Capital Management Company, Inc.) |
The first half of the fiscal year was a tale of two distinct three-month periods. The first three months saw U.S. stocks rally behind lowered corporate and personal tax rates that investors saw benefitting companies and consumers throughout 2018 and possibly beyond. Conversely, against the backdrop of continued positive U.S. economic data, including strong employment figures, volatility jolted markets early in the second three-month period, spiking to levels not seen since August 2015. Investors feared the Federal Reserve might increase the pace of interest rate hikes as inflation bumped up against the Fed’s two percent target. Meanwhile, President Trump’s tariff threats against Chinese imports raised concerns of a global trade war. The perfect storm of investor skepticism in the continued global economic recovery dragged on equity markets across the globe.
U.S. large cap stocks, as measured by the Russell 1000 Index, rose 3.8 percent during the six-month period, while U.S. small cap stocks, as measured by the Russell 2000 Index, gained 3.3 percent. Fewer than one-third of the convertible securities in the Bank of America/Merrill Lynch All Convertibles All Qualities Index are issued by large capitalization companies. Therefore, the majority of convertible securities are more closely related to the movements in small- and mid-capitalization stocks. During the six-month period ended April 30, 2018, convertible securities increased 2.1 percent. Most convertible securities are considered to be “equity-sensitive,” meaning significant amounts of a convertible security’s price movements are related to the movements of the underlying common stock rather than the bond itself. However, the bond component may still play a meaningful role in the pricing of the convertible security. Bonds in general, as measured by the Barclays Aggregate Bond Index, lost 1.9 percent during the last six-month period.
The Sub-Adviser continues to focus on identifying credit improvement opportunities in small- and mid-capitalization companies and non-investment grade securities. The Sub-Adviser looks to maximize return through both the value of the fixed income features and price changes in the underlying common stock. This is in contrast to convertible securities that trade predominantly on either the underlying stock movements or on the underlying bond characteristics. The Sub-Adviser believes that by focusing on this area of the convertible securities spectrum, it may reduce the volatility experienced from the common stocks while benefitting from the support offered by the bond features.
During the six-month period, the best performing sectors for the fund were media, consumer discretionary, and consumer staples. The worst performing sectors over the same time period were healthcare, industrials, and energy.
A contributor from the media sector was World Wrestling Entertainment, Inc. (98156QAA6) (holding weight*: 2.46 percent). The company is an integrated media and entertainment company with operations in live wrestling events, original television programming, music, and advertising, among others. The company distributes its programs worldwide in various languages. The stock, WWE (holding weight**: not held), posted a return of 51 percent over the six-month period, while the convertible bond gained 53.2 percent over the same time period. Another contributor to Fund performance over the six-month period was Herbalife Nutrition, Ltd. (42703MAB9) (holding weight*: 2.24 percent), from the consumer staples sector. The company manufactures and sells weight management, meals and snacks, sports and fitness, energy, nutritional, and personal care products to clients worldwide. The stock, HLF (holding weight**: not held), gained 45.6 percent over the first half of the fiscal year, while the convertible bond increased 28.6 percent over the six month period ended April 30, 2018.
A detractor from the Fund’s performance over the six-month period was Wright Medical Group, N.V. (98235TAE7) (holding weight*: 2.47 percent), from the healthcare sector. The company offers surgical solutions for the upper and lower extremities and biologics markets, serving customers worldwide. The stock, WMGI (holding weight**: not held), lost 25.2 percent over the first half of the fiscal year, while the convertible bond fell 4.5 percent over the same period. The transportation sector, while not a top three detracting sector, produced a holding that detracted from the Fund’s performance over the six-month period ended April 30, 2018. That detractor was Air Transportation Services Group, Inc. (00922RAA3) (holding weight*: 1.26 percent), a company that offers aircraft leasing, airport ground services, fuel management, specialized transportation management, and air charter brokerage services to customers in the United States, Canada, and Puerto Rico. The stock, ATSG (holding weight**: not held), dropped 16.4 percent over the first half of the fiscal year, while the convertible bond declined 8.2 percent over the same period.
Going forward, the Sub-Adviser is optimistic that strength in the U.S. economy will continue through the remainder of 2018. Furthermore, the Sub-Adviser believes rising interest rates may make the convertible securities market more attractive to issuers that need to borrow, while limiting the coupon paid on that debt. The Sub-Adviser believes the increase in issuance of convertible securities will continue, and will provide attractive investment opportunities for the Fund.
* | Holdings percentage(s) as of 4/30/2018 |
** | Holding not held during period referenced. |
Growth of $100,000 Investment
Total Returns as of April 30, 2018 | ||||||
Six | Annualized | Annualized | Annualized | Annualized Since | ||
Months | One Year | Three Years | Five Years | Ten Years | Inception (12/10/04) | |
Class N | 2.04% | 8.55% | 1.40% | 5.31% | 4.83% | 5.31% |
Class C | 1.57% | 7.55% | 0.39% | 4.24% | 3.78% | 4.27% |
Class A with load of 5.75% | (3.96)% | 2.04% | (0.84)% | 3.81% | 3.94% | 4.17%* |
Class A without load | 1.92% | 8.31% | 1.14% | 5.04% | 4.56% | 4.71%* |
BofA Merrill Lynch All Convertibles All Qualities Index | 2.11% | 9.15% | 6.25% | 9.24% | 7.66% | 7.15% |
Morningstar Convertibles Category | 1.84% | 8.26% | 4.59% | 7.17% | 6.20% | 6.43% |
* | Class A commenced operations on January 3, 2007. |
The BofA 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 as supplemented,, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.42% for Class N, 2.42% for Class C and 1.67% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.
50
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Appreciation & Income Fund |
April 30, 2018 |
Security | Shares | Value | ||||||||||||
COMMON STOCK -1.2% | ||||||||||||||
HOME BUILDERS - 1.2% | ||||||||||||||
Lennar Corp. | 4,148 | $ | 219,388 | |||||||||||
TOTAL COMMON STOCK (Cost - $212,872) | ||||||||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | ||||||||||||
CONVERTIBLE BONDS - 85.3% | ||||||||||||||
AEROSPACE/DEFESNE - 2.4% | ||||||||||||||
Aerojet Rocketdyne Holdings, Inc. | $ | 350,000 | 2.250 | % | 12/15/2023 | 444,430 | ||||||||
BUILDING MATERIALS - 2.1% | ||||||||||||||
Cemex SAB de CV | 375,000 | 3.720 | 3/15/2020 | 386,250 | ||||||||||
COMMERCIAL SERVICES - 3.6% | ||||||||||||||
LendingTree, Inc. - 144A | 310,000 | 0.625 | 6/1/2022 | 407,285 | ||||||||||
Square, Inc. | 125,000 | 0.375 | 3/1/2022 | 265,137 | ||||||||||
672,422 | ||||||||||||||
COMPUTERS - 2.8% | ||||||||||||||
Western Digital Corp. - 144A | 500,000 | 1.500 | 2/1/2024 | 522,995 | ||||||||||
DIVERSIFIED FINANCIAL SERVICES - 2.6% | ||||||||||||||
JPMorgan Chase Financial Co. LLC | 500,000 | 0.250 | 5/1/2023 | 492,750 | ||||||||||
ENERGY - 2.1% | ||||||||||||||
NextEra Energy Partners LP - 144A | 400,000 | 1.500 | 9/15/2020 | 398,498 | ||||||||||
ENGINEERING & CONSTRUCTION - 2.3% | ||||||||||||||
Dycom Industries, Inc. | 355,000 | 0.750 | 9/15/2021 | 438,206 | ||||||||||
ENTERTAINMENT - 2.7% | ||||||||||||||
Live Nation Entertainment, Inc. - 144A | 250,000 | 2.500 | 3/15/2023 | 247,378 | ||||||||||
Marriott Vacations Worldwide Corp. - 144A | 250,000 | 1.500 | 9/15/2022 | 263,927 | ||||||||||
511,305 | ||||||||||||||
HEALTHCARE-PRODUCTS - 6.7% | ||||||||||||||
Nevro Corp. | 335,000 | 1.750 | 6/1/2021 | 392,463 | ||||||||||
Repligen Corp. | 300,000 | 2.125 | 6/1/2021 | 392,548 | ||||||||||
Wright Medical Group, Inc. ^ | 462,000 | 2.000 | 2/15/2020 | 466,620 | ||||||||||
1,251,631 | ||||||||||||||
INSURANCE - 1.8% | ||||||||||||||
Fidelity National Financial, Inc. | 120,000 | 4.250 | 8/15/2018 | 343,956 | ||||||||||
INTERNET - 18.3% | ||||||||||||||
Etsy, Inc. - 144A | 300,000 | 0.000 | 3/1/2023 | 326,812 | ||||||||||
FireEye, Inc. | 368,000 | 1.625 | 6/1/2035 | 345,985 | ||||||||||
IAC FinanceCo, Inc. - 144A | 250,000 | 0.875 | 10/1/2022 | 306,754 | ||||||||||
Okta, Inc. - 144A | 400,000 | 0.250 | 2/15/2023 | 459,610 | ||||||||||
Pandora Media, Inc. | 435,000 | 1.750 | 12/1/2020 | 402,340 | ||||||||||
Q2 Holdings, Inc. - 144A | 500,000 | 0.750 | 2/15/2023 | 533,500 | ||||||||||
RingCentral, Inc. - 144A | 500,000 | 0.000 | 3/15/2023 | 523,000 | ||||||||||
VeriSign, Inc. | 157,000 | 4.865 | 8/15/2037 | 537,183 | ||||||||||
3,435,184 | ||||||||||||||
LODGING - 1.4% | ||||||||||||||
Caesars Entertainment Corp. | 150,000 | 5.000 | 10/1/2024 | 263,820 | ||||||||||
MEDIA - 4.4% | ||||||||||||||
Liberty Media Corp. - 144A | 350,000 | 1.000 | 1/30/2023 | 365,250 | ||||||||||
World Wrestling Entertainment, Inc. - 144A | 275,000 | 3.375 | 12/15/2023 | 465,199 | ||||||||||
830,449 | ||||||||||||||
See accompanying notes to financial statements.
51
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Appreciation & Income Fund (Continued) |
April 30, 2018 |
Principal | Interest | Maturity | ||||||||||||
Security | Amount | Rate | Date | Value | ||||||||||
CONVERTIBLE BONDS - 85.3% (Continued) | ||||||||||||||
MISCELLANEOUS MANUFACTURERS - 1.7% | ||||||||||||||
Trinity Industries, Inc. | $ | 245,000 | 3.875 | % | 6/1/2036 | $ | 325,727 | |||||||
OIL & GAS - 2.1% | ||||||||||||||
Ensco Jersey Finance Ltd. ^ | 460,000 | 3.000 | 1/31/2024 | 392,264 | ||||||||||
PHARMACEUTICALS - 6.2% | ||||||||||||||
Herbalife Ltd. | 330,000 | 2.000 | 8/15/2019 | 423,344 | ||||||||||
Ironwood Pharmaceuticals, Inc. | 270,000 | 2.250 | 6/15/2022 | 353,700 | ||||||||||
Sarepta Therapeutics, Inc. - 144A | 300,000 | 1.500 | 11/15/2024 | 385,062 | ||||||||||
1,162,106 | ||||||||||||||
REAL ESTATE INVESTMENT TRUST - 2.4% | ||||||||||||||
Invitation Homes, Inc. | 400,000 | 3.500 | 1/15/2022 | 454,666 | ||||||||||
SEMICONDUCTORS - 15.1% | ||||||||||||||
Cypress Semiconductor Corp. - 144A ^ | 500,000 | 2.000 | 2/1/2023 | 517,682 | ||||||||||
Micron Technology, Inc. | 145,000 | 3.000 | 11/15/2043 | 230,270 | ||||||||||
ON Semiconductor Corp. | 385,000 | 1.000 | 12/1/2020 | 511,036 | ||||||||||
Rambus, Inc. - 144A | 500,000 | 1.375 | 2/1/2023 | 498,375 | ||||||||||
Silicon Laboratories, Inc. | 405,000 | 1.375 | 3/1/2022 | 480,938 | ||||||||||
Teradyne, Inc. | 500,000 | 1.250 | 12/15/2023 | 611,232 | ||||||||||
2,849,533 | ||||||||||||||
SOFTWARE - 3.3% | ||||||||||||||
Nice Systems, Inc. | 500,000 | 1.250 | 1/15/2024 | 628,147 | ||||||||||
TRANSPORTATION - 1.3% | ||||||||||||||
Air Transport Services Group, Inc. - 144A | 250,000 | 1.125 | 10/15/2024 | 237,463 | ||||||||||
TOTAL CONVERTIBLE BONDS (Cost - $15,258,496) | 16,041,802 | |||||||||||||
PREFERRED STOCKS - 11.4% | ||||||||||||||
DIVERSIFIED FINANCIAL SERVICES - 2.8% | ||||||||||||||
AMG Capital Trust II | 8,900 | 5.150 | 10/15/2037 | 536,931 | ||||||||||
HAND/MACHINE TOOLS - 2.2% | ||||||||||||||
Stanley Black & Decker, Inc. ^ | 3,800 | 5.375 | 5/15/2020 | 408,500 | ||||||||||
HEALTCARE SERVICES - 3.4% | ||||||||||||||
Anthem, Inc. | 11,200 | 5.250 | 5/1/2018 | 636,832 | ||||||||||
METAL FABRICATION/HARDWARE - 3.0% | ||||||||||||||
Rexnord, Corp. | 9,200 | 5.750 | 11/15/2019 | 568,652 | ||||||||||
TOTAL PREFERRED STOCKS (Cost - $1,853,165) | 2,150,915 | |||||||||||||
See accompanying notes to financial statements.
52
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Appreciation & Income Fund (Continued) |
April 30, 2018 |
Security | Shares | Rate | Value | |||||||
SHORT-TERM INVESTMENT - 2.6% | ||||||||||
MONEY MARKET FUND - 2.6% | ||||||||||
First American Government Obligations Fund - Class Z | 478,977 | 1.54% + | $ | 478,977 | ||||||
TOTAL SHORT-TERM INVESTMENT (Cost - $478,977) | ||||||||||
COLLATERAL FOR SECURITIES LOANED - 7.7% | ||||||||||
Mount Vernon Prime Portfolio (Cost - $1,455,775) | 1,455,775 | 2.00% + | 1,455,775 | |||||||
TOTAL INVESTMENTS - 108.2% (Cost - $19,259,285) | $ | 20,346,857 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (8.2)% | (1,535,228 | ) | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 18,811,629 | ||||||||
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $1,411,022 at April 30, 2018. |
+ | Variable rate security. Interest rate is as of April 30, 2018. |
144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The 144A securities amount to $6,458,790 or 34.3% of net assets.
Portfolio Composition * - (Unaudited) | ||||
Convertible Bonds | 78.8 | % | ||
Preferred Stock | 10.6 | % | ||
Collateral for Securities Loaned | 7.2 | % | ||
Short-Term Investment | 2.3 | % | ||
Common Stock | 1.1 | % | ||
Total | 100.0 | % | ||
* | Based on total value of investments as of April 30, 2018. |
Percentage | may differ from Schedule of Investments which are based on Fund net assets. |
See accompanying notes to financial statements.
53
Dunham Large Cap Value Fund (Unaudited) |
Message from the Sub-Adviser (Rothschild Asset Management, Inc.) |
U.S. equity markets experienced unexceptional, albeit positive, performance during the six-month period ended April 30, 2018. There was significant divergence in the magnitude of returns, as six underlying sectors had positive performance, one sector was flat, while the remaining four sectors turned in negative results. Large cap value stocks, as measured by the Russell 1000 Value Index, increased 1.9 percent over the last six months. However, the gap between the best performing large cap value sector (consumer discretionary) and the worst performing sector (utilities) was nearly 20 percent. The six-month fiscal period was a tale of two distinct three-month periods. The first three months saw U.S. stocks rally behind lowered corporate and personal tax rates that investors saw benefitting companies and consumers throughout 2018 and possibly beyond. Conversely, against the backdrop of continued positive U.S. economic data, including strong employment figures, volatility jolted markets early in the second three-month period, spiking to levels not seen since August 2015. Investors feared the Federal Reserve might increase the pace of interest rate hikes, as inflation bumped up against the Fed’s two percent target. Meanwhile, President Trump’s tariff threats against Chinese imports raised concerns of a global trade war. The perfect storm of investor skepticism in the continued global economic recovery dragged on equity markets across the globe.
Even though the Fund was slightly underweight financials during the six-month period ended April 30, 2018, it was still the top performing sector in the Fund and bested the benchmark’s performance by 300 basis points, as the Sub-Adviser’s stock selection in the sector was very strong. A holding that contributed to the Fund’s performance from the financials sector was E*TRADE Financial Corporation (ETFC) (holding weight*: 1.44 percent). The company provides brokerage and financial services to customers in the United States. ETFC’s stock gained 39.2 percent over the six-month period. The energy sector was also a top-performing sector in the Fund. Similar to the financials sector, the energy sector in the Fund outperformed that of the benchmark, by nearly 550 basis points. ConocoPhillips (COP) (holding weight*: 1.62 percent) was a strong performer for the Fund from the energy sector over the six-month period. COP explores for, produces, transports, and markets crude oil, natural gas, natural gas liquids, liquefied natural gas, and asphalt on a worldwide basis. The stock rose 28.8 percent over the six-month period ended April 30, 2018.
The top two detracting sectors from Fund performance over the six-month period were the technology and consumer discretionary sectors. The ever so slight overweight to the technology sector had minimal impact on the sector’s return in the Fund. Stock selection, however, was a different story. The biggest drag to the sector’s return in the Fund on an absolute and relative basis came from Intel Corporation (INTC) (holding weight**: not held). The company designs, manufactures, and sells computer components and related products. INTC’s stock increased 14.9 percent over the six-month period, but since the Fund did not hold the stock, it was a drag to performance from the sector. A detractor from the consumer discretionary sector came from Comcast Corporation (CMCSA) (holding weight*: 1.09 percent), a provider of media and television broadcasting services to customers worldwide. CMCSA’s stock fell 12.1 percent over the six-month period ended April 30, 2018.
Looking forward, the Sub-Adviser believes rising inflation, coupled with continued economic growth in the U.S., has the potential to induce the Federal Reserve to pick up the pace of interest rate increases, which may keep investors skittish on stocks. Another risk the Sub-Adviser sees is the continued uncertainty behind a potential trade war between China and the U.S., which has real implications on corporations and their future profits. Looking at the positives, the Sub-Adviser is pleased with the quality of corporate earnings announcements and forward guidance, and believes the benefits of tax reform, while certainly good for companies, was responsible for only a portion of earnings growth. This bodes well for companies going forward, as the benefits of tax reform begin to fade. The Sub-Adviser believes valuations are much more near the “fair value” area after the correction in stocks since their peak in January, but remains cautious on how the cycle progresses over the next twelve to eighteen months. The Sub-Adviser continues to stress the importance of remaining focused on fundamental valuations and remains a bottom-up investor, diligent on identifying companies with attractive valuations relative to peers and the potential to exceed expectations.
* | Holdings percentage(s) as of 4/30/2018. |
** | Holding not held during the period referenced. |
Growth of $100,000 Investment
Total Returns as of April 30, 2018
Annualized | ||||||
Six | One | Three | Annualized | Annualized | Annualized Since Inception | |
Months | Year | Years | Five Years | Ten Years | (12/10/04) | |
Class N | 2.70% | 9.42% | 6.53% | 9.45% | 5.97% | 6.40% |
Class C | 2.20% | 8.31% | 5.47% | 8.35% | 4.92% | 5.35% |
Class A with load of 5.75% | (3.32)% | 2.80% | 4.18% | 7.88% | 5.09% | 4.54%* |
Class A without load | 2.58% | 9.08% | 6.26% | 9.16% | 5.71% | 5.09%* |
Russell 1000 Value Index | 1.94% | 7.50% | 7.66% | 10.52% | 7.30% | 7.38% |
Morningstar Large Cap Value Category | 2.70% | 9.50% | 7.27% | 9.77% | 6.71% | 6.61% |
* | Class A commenced operations on January 3, 2007. |
The Russell 1000 Value Index is a subset of the Russell 1000 Index which measures the performance of the stocks of the 1000 largest companies in the Russell 3000 Index based on market capitalization. The Russell 1000 Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
The Morningstar Large Cap Value Category is generally representative of mutual funds that primarily invest in big (large capitalization) U.S. companies that are less expensive or growing more slowly than other large-cap stocks.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.13% for Class N, 2.13% for Class C and 1.38% 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. |
54
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Large Cap Value Fund |
April 30, 2018 |
Security | Shares | Value | ||||||
COMMON STOCKS - 98.1% | ||||||||
AEROSPACE/DEFENSE - 2.9% | ||||||||
Northrop Grumman Corp. | 3,314 | $ | 1,067,241 | |||||
Raytheon Co. | 5,348 | 1,096,019 | ||||||
2,163,260 | ||||||||
AIRLINES - 1.2% | ||||||||
Delta Air Lines, Inc. ^ | 17,478 | 912,701 | ||||||
APPAREL - 0.7% | ||||||||
PVH Corp. | 3,476 | 555,013 | ||||||
AUTO PARTS & EQUIPMENT - 1.2% | ||||||||
BorgWarner, Inc. | 17,655 | 864,036 | ||||||
BANKS - 15.4% | ||||||||
Bank of America Corp. | 92,472 | 2,856,522 | ||||||
Huntington Bancshares, Inc. | 82,967 | 1,237,038 | ||||||
JPMorgan Chase & Co. | 29,512 | 3,210,316 | ||||||
Morgan Stanley | 15,190 | 784,108 | ||||||
State Street Corp. | 13,693 | 1,366,287 | ||||||
SunTrust Banks, Inc. | 18,821 | 1,257,243 | ||||||
Wells Fargo & Co. | 15,165 | 787,973 | ||||||
11,499,487 | ||||||||
BEVERAGES - 1.3% | ||||||||
PepsiCo, Inc. | 9,502 | 959,132 | ||||||
BIOTECHNOLOGY - 2.1% | ||||||||
Biogen, Inc. * | 2,657 | 726,955 | ||||||
Gilead Sciences, Inc. | 12,144 | 877,161 | ||||||
1,604,116 | ||||||||
CHEMICALS - 2.2% | ||||||||
Air Products & Chemicals, Inc. | 5,954 | 966,275 | ||||||
Westlake Chemical Corp. | 6,551 | 700,760 | ||||||
1,667,035 | ||||||||
COMMERCIAL SERVICES - 0.6% | ||||||||
Quanta Services, Inc. * | 14,929 | 485,193 | ||||||
COSMETICS / PERSONAL CARE - 1.2% | ||||||||
Procter & Gamble Co. | 12,531 | 906,493 | ||||||
DIVERSIFIED FINANCIAL SERVICES - 6.3% | ||||||||
American Express Co. | 9,278 | 916,202 | ||||||
Ameriprise Financial, Inc. | 5,061 | 709,603 | ||||||
Discover Financial Services | 15,538 | 1,107,082 | ||||||
E*TRADE Financial Corp * | 17,813 | 1,080,893 | ||||||
Intercontinental Exchange, Inc. | 12,434 | 900,968 | ||||||
4,714,748 | ||||||||
ELECTRIC - 5.3% | ||||||||
American Electric Power Co., Inc. | 11,903 | 832,972 | ||||||
DTE Energy Co. | 5,839 | 615,431 | ||||||
Public Service Enterprise Group, Inc. | 21,601 | 1,126,492 | ||||||
Xcel Energy, Inc. | 29,182 | 1,366,885 | ||||||
3,941,780 | ||||||||
ELECTRONICS - 1.0% | ||||||||
Honeywell International, Inc. | 5,123 | 741,196 | ||||||
ENVIRONMENTAL CONTROL - 1.6% | ||||||||
Waste Management, Inc. | 14,843 | 1,206,587 | ||||||
FOOD - 1.9% | ||||||||
Hershey Co. | 3,592 | 330,248 | ||||||
Tyson Foods, Inc. | 16,141 | 1,131,484 | ||||||
1,461,732 | ||||||||
HAND / MACHINE TOOLS - 0.6% | ||||||||
Stanley Black & Decker, Inc. | 3,191 | 451,814 |
Security | Shares | Value | ||||||
HEALTHCARE-PRODUCTS - 3.3% | ||||||||
Danaher Corp. | 5,549 | $ | 556,676 | |||||
Hill-Rom Holdings, Inc. | 5,238 | 449,577 | ||||||
Medtronic PLC | 8,495 | 680,704 | ||||||
Thermo Fisher Scientific, Inc. | 3,753 | 789,444 | ||||||
2,476,401 | ||||||||
HEALTHCARE-SERVICES - 2.4% | ||||||||
Laboratory Corp of America Holdings * | 5,351 | 913,683 | ||||||
UnitedHealth Group, Inc. | 3,627 | 857,423 | ||||||
1,771,106 | ||||||||
INSURANCE - 4.4% | ||||||||
Allstate Corp. * | 7,218 | 706,064 | ||||||
Berkshire Hathaway, Inc. * ^ | 2,578 | 499,436 | ||||||
Chubb Ltd.^ | 10,217 | 1,386,141 | ||||||
Travelers Cos, Inc. | 5,397 | 710,245 | ||||||
3,301,886 | ||||||||
INTERNET - 1.1% | ||||||||
eBay, Inc. * ^ | 20,793 | 787,639 | ||||||
IRON / STEEL - 0.7% | ||||||||
Nucor Corp. | 8,382 | 516,499 | ||||||
MACHINERY- DIVERSIFIED - 1.5% | ||||||||
Caterpillar, Inc. | 3,662 | 528,646 | ||||||
Deere & Co. | 4,170 | 564,326 | ||||||
1,092,972 | ||||||||
MEDIA - 3.0% | ||||||||
Comcast Corp. | 26,217 | 822,951 | ||||||
Viacom, Inc. | 24,130 | 727,761 | ||||||
Walt Disney Co. ^ | 6,915 | 693,782 | ||||||
2,244,494 | ||||||||
MISCELLANEOUS MANUFACTURING - 1.2% | ||||||||
Parker-Hannifin Corp. | 5,503 | 905,904 | ||||||
OIL & GAS - 10.6% | ||||||||
Chevron Corp. | 16,932 | 2,118,363 | ||||||
ConocoPhillips | 18,566 | 1,216,073 | ||||||
Devon Energy Corp. | 17,203 | 624,985 | ||||||
Energen Corp. * | 10,722 | 701,647 | ||||||
EOG Resources, Inc. | 11,752 | 1,388,734 | ||||||
Exxon Mobil Corp. | 14,902 | 1,158,631 | ||||||
Marathon Petroleum Corp. | 9,477 | 709,922 | ||||||
7,918,355 | ||||||||
OIL & GAS SERVICES - 0.9% | ||||||||
Halliburton Co. | 13,165 | 697,613 | ||||||
PHARMACEUTICALS - 7.0% | ||||||||
AbbVie, Inc. | 9,665 | 933,156 | ||||||
Allergan PLC | 4,164 | 639,799 | ||||||
Eli Lilly & Co. | 5,973 | 484,231 | ||||||
Johnson & Johnson ^ | 12,137 | 1,535,209 | ||||||
Pfizer, Inc. ^ | 44,341 | 1,623,324 | ||||||
5,215,719 | ||||||||
REITS - 2.9% | ||||||||
Equity LifeStyle Properties, Inc. | 8,189 | 730,131 | ||||||
Highwoods Properties, Inc. | 9,939 | 437,515 | ||||||
Prologis, Inc. | 14,990 | 973,001 | ||||||
2,140,647 | ||||||||
RETAIL - 0.8% | ||||||||
Home Depot, Inc. | 3,320 | 613,536 | ||||||
SEMICONDUCTORS - 2.5% | ||||||||
Broadcom Ltd | 2,460 | 564,373 | ||||||
ON Semiconductor Corp. * ^ | 38,541 | 850,985 | ||||||
Qualcomm, Inc. | 8,649 | 441,185 | ||||||
1,856,543 |
See accompanying notes to financial statements.
55
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Large Cap Value Fund (Continued) |
April 30, 2018 |
Security | Shares | Value | ||||||
COMMON STOCKS - 98.1% (Continued) | ||||||||
SOFTWARE - 3.4% | ||||||||
Microsoft Corp. | 10,851 | $ | 1,014,786 | |||||
Oracle Corp. | 34,475 | 1,574,473 | ||||||
2,589,259 | ||||||||
TELECOMMUNICATIONS - 6.9% | ||||||||
AT&T, Inc. ^ | 57,659 | 1,885,449 | ||||||
Cisco Systems, Inc. ^ | 43,069 | 1,907,526 | ||||||
Verizon Communications, Inc. | 27,936 | 1,378,642 | ||||||
5,171,617 | ||||||||
TOTAL COMMON STOCKS (Cost - $59,760,463) | 73,434,513 | |||||||
SHORT - TERM INVESTMENT - 2.4% | ||||||||
MONEY MARKET FUND - 2.4% | ||||||||
STIT-STIC Prime Portfolio - 1.80% + | 1,800,096 | 1,800,096 | ||||||
(Cost - $1,800,096) | ||||||||
COLLATERAL FOR SECURITIES LOANED - 10.3% | ||||||||
Mount Vernon Prime Portfolio 2.00% + | 7,713,963 | 7,713,963 | ||||||
(Cost - $7,713,963) |
Security | Shares | Value | ||||||
TOTAL INVESTMENTS - 110.8% (Cost - $69,274,522) | $ | 82,948,572 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (10.8)% | (8,072,760 | ) | ||||||
NET ASSETS - 100.0% | $ | 74,875,812 |
REIT - Real Estate Investment Trust
* | Non-income producing security. |
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $7,448,594 at April 30, 2018. |
+ | Variable rate security. Interest rate is as of April 30, 2018 |
Portfolio Composition * - (Unaudited) | ||||||||||
Financial | 26.1 | % | Communications | 6.6 | % | |||||
Biotechnology | 13.3 | % | Consumer Discretionary | 5.0 | % | |||||
Energy | 10.4 | % | Utilities | 4.8 | % | |||||
Collateral for Securities Loaned | 9.3 | % | Consumer Staples | 4.0 | % | |||||
Industrial | 8.0 | % | Others | 4.8 | % | |||||
Technology | 7.7 | % | Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2018. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
56
Dunham Focused Large Cap Growth Fund (Unaudited) |
Message from the Sub-Adviser (The Ithaka Group, LLC) |
Over the fiscal six-month period, quality corporate earnings, positive economic reports, and the passing of tax legislation buoyed investor sentiment into the New Year; however, fears of rising interest rates and tariffs distracted through April 30, 2018. The Sub-Adviser continues to believe that U.S. companies have a favorable environment ahead even though volatility has reemerged after a two year hiatus. Large cap growth stocks, as measured by the Russell 1000 Growth Index, continued its advance, growing 5.7 percent over the six-month period. Large cap growth stocks outperformed their large cap value counterparts, as measured by the Russell 1000 Value Index, by over 3.5 percent, which, increased 1.9 percent over the six-month period. Furthermore, large cap growth stocks outperformed both small cap stocks and broader U.S. stocks. Small cap stocks, as measured by the Russell 2000 Index, increased 3.3 percent and broad U.S. stocks, as measured by the S&P 500 Index, grew 3.8 percent over the six-month period ended April 30, 2018.
The consumer discretionary sector was a large contributor to the Fund relative to the benchmark during the fiscal six-month period. A strong contributor in the consumer discretionary sector was Amazon.com, Inc. (AMZN) (holding weight*: 8.07 percent), a cloud software company and online retailer that offers a wide range of products, personalized shopping services, web-based credit card payments, and direct shipping to customers. The company continued to beat earnings and revenue expectations by a considerable degree as it ramps up the higher margin AWS cloud service and advertising businesses. In addition, investors are excited by enhanced margins, as evidenced by its announcement to increase the price of its subscription service by 20 percent. Over the six-month fiscal period, AMZN soared 41.7 percent higher. A detractor from the consumer discretionary sector was Domino’s Pizza, Inc. (DPZ) (holding weight**: 1.24 percent), a pizza delivery company with the slogan “hot and ready in 30 minutes or your money back”. The Sub-Adviser eliminated the holding near the start of the fiscal new year on November 9, 2017 after DPZ’s margins experienced a slowdown in growing its large store base. The Sub-Adviser was also concerned that restaurant ordering and delivery services such as GrubHub, UberEats, and Postmates are dramatically changing the competitive environment, as many restaurants now advertise that they can deliver food to customers within 30 minutes.
The information technology sector was one of the more volatile sectors over the six-month fiscal period. During the first fiscal quarter, the information technology sector was the top contributor; however, it was the Fund’s largest detractor in the second fiscal quarter. Alphabet Inc. (GOOG) (holding weight*: 6.82 percent), which, through its subsidiaries, provides web-based searches, advertisements, maps, software applications, mobile operating systems, consumer content, and commerce. GOOG returned 15.1 percent over the first fiscal quarter, primarily attributable to it being one of the largest technology companies with cash overseas that could be repatriated because of the favorable tax legislation. However, during the second fiscal quarter, GOOG reversed course, dropping 13.2 percent to end the six-month fiscal period basically flat, up 0.1 percent. This seesaw in returns may be attributed to the government’s scrutiny of rival technology companies’ privacy policies in the second fiscal quarter, alongside GOOG’s higher-than-anticipated capital expenditures. The information technology sector also had contributors spanning both fiscal quarters. One such company was Adobe Systems Incorporated (ADBE) (holding weight*: 5.86 percent), which develops, markets, and supports computer design software products and technologies. ADBE was part of the top five contributors in both fiscal quarters, notching a 26.5 percent gain over the six-month fiscal period. The Sub-Adviser believes ADBE continues to grow, executing on their SaaS newer business model, and the Sub-Adviser believes growth will eventually decelerate but should remain robust in the coming years.
The healthcare sector had holdings that detracted from the Fund in the six-month fiscal period. Incyte Corporation (INCY) (holding weight**: 0.99 percent), one of the largest biotechnology companies in the world that commercialized the propriety drug Jakafi and develops other drugs for the treatment of cancer, was one of the biggest detractors from the Fund during the six-month fiscal period. When the company announced that their cancer drug failed late-stage trials, the company lost nearly 23 percent of its market value in one day. The Sub-Adviser sold INCY on April 17, 2018 for a 37. 7 percent loss since the beginning of the fiscal year. In addition, after being the largest detractor in the six-month fiscal period, the Sub-Adviser decided to eliminate the holding Regeneron Pharmaceuticals, Inc. (REGN) (holding weight**: 1.69 percent) on February 27, 2018. REGN is a biotechnology company that developed the drug Aflibercept. The Sub-Adviser was concerned about REGN after management telegraphed that they would no longer provide forward guidance for Aflibercept, which is the company’s main revenue driver. In addition, the Sub-Adviser was also concerned about possible competition from pharmaceutical companies like Novartis International AG (NVS) (holding weight: not held) and Roche Holding AG (VTX: ROG) (holding weight: not held). For these reasons, the Sub-Adviser eliminated REGN to deploy proceeds elsewhere.
The Sub-Adviser claims no expertise in economic or market predictions, and top-down analysis plays no part in its approach to investing; instead, the Sub-Adviser uses a fundamentals-driven, bottom–up process to identify and own what it believes are the best growth companies. The Sub-Adviser strives to own companies with prospects of strong, sustainable cash flow growth; that compete in business spaces with substantial market opportunity benefitting from secular trends; that possess competitive advantages and/or barriers to entry; and employ managers with vision and operating skills focused on creating shareholder value. The Sub-Adviser believes that the stocks in the Fund not only have strong balance sheets, but also garner free cash flow even in a stressed U.S. economic environment.
* | Holdings percentage(s) as of 4/30/2018. |
** | Holding percentage(s) as of the date prior to the sale of the security. |
Growth of $100,000 Investment
Total Returns as of April 30, 2018 | |||||
Annualized | Annualized | Annualized Since | |||
One | Three | Five | Inception | ||
Six Months | Year | Year | Years | (12/8/11) | |
Class N | 11.25% | 22.30% | 10.64% | 13.87% | 13.09% |
Class C | 10.66% | 20.99% | 9.52% | 12.73% | 11.98% |
Class A with load of 5.75% | 4.74% | 14.96% | 8.18% | 12.22% | 11.77% |
Class A without load | 11.10% | 21.97% | 10.34% | 13.56% | 12.81% |
Russell 1000 Growth Index | 5.68% | 18.96% | 12.84% | 15.13% | 16.36% |
Morningstar Large Cap Growth Category | 6.13% | 18.29% | 10.75% | 13.45% | 14.60% |
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 1.16% for Class N, 2.16% for Class C and 1.41% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com |
57
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Focused Large Cap Growth Fund |
April 30, 2018 |
Security | Shares | Value | ||||||
COMMON STOCKS - 97.5% | ||||||||
BIOTECHNOLOGY - 6.6% | ||||||||
Alexion Pharmaceuticals, Inc. * | 10,845 | $ | 1,275,697 | |||||
BioMarin Pharmaceutical, Inc. * | 8,020 | 669,750 | ||||||
Illumina, Inc. * | 9,290 | 2,238,240 | ||||||
Vertex Pharmaceuticals, Inc. * | 7,428 | 1,137,672 | ||||||
5,321,359 | ||||||||
COMMERCIAL SERVICES - 8.6% | ||||||||
PayPal Holdings, Inc. * | 31,661 | 2,362,227 | ||||||
S&P Global, Inc. | 8,534 | 1,609,512 | ||||||
Square, Inc. * ^ | 28,961 | 1,371,014 | ||||||
TransUnion * | 24,029 | 1,559,722 | ||||||
6,902,475 | ||||||||
DIVERSIFIED FINANCIAL SERVICES - 15.0% | ||||||||
Charles Schwab Corp. ^ | 41,054 | 2,285,887 | ||||||
Mastercard, Inc. | 25,399 | 4,527,880 | ||||||
Visa, Inc. | 41,127 | 5,218,194 | ||||||
12,031,961 | ||||||||
HEALTHCARE-PRODUCTS - 4.6% | ||||||||
Align Technology, Inc. * | 6,367 | 1,590,795 | ||||||
Edwards Lifesciences Corp. * ^ | 16,388 | 2,087,176 | ||||||
3,677,971 | ||||||||
INTERNET - 25.1% | ||||||||
Alibaba Group Holding Ltd. - ADR * ^ | 18,755 | 3,348,518 | ||||||
Alphabet, Inc. * | 4,657 | 4,737,706 | ||||||
Amazon.com, Inc. * ^ | 4,135 | 6,475,948 | ||||||
Booking Holdings, Inc. * | 1,042 | 2,269,476 | ||||||
Facebook, Inc. * | 19,226 | 3,306,872 | ||||||
8,489 | 20,138,520 | |||||||
RETAIL - 4.9% | ||||||||
Home Depot, Inc. | 8,489 | 1,568,767 | ||||||
Ulta Beauty, Inc. * ^ | 9,469 | 2,375,867 | ||||||
3,944,634 | ||||||||
SEMICONDUCTORS - 3.7% | ||||||||
NVIDIA Corp. | 12,998 | 2,923,250 |
Security | Shares | Value | ||||||
SOFTWARE - 29.0% | ||||||||
Adobe Systems, Inc. * | 21,207 | $ | 4,699,471 | |||||
Autodesk, Inc. * | 11,519 | 1,450,242 | ||||||
Microsoft Corp. | 41,268 | 3,859,383 | ||||||
Salesforce.com, Inc. * ^ | 41,513 | 5,022,658 | ||||||
ServiceNow, Inc. * ^ | 16,626 | 2,762,244 | ||||||
Splunk, Inc. * | 18,409 | 1,889,684 | ||||||
Veeva Systems, Inc. * ^ | 29,483 | 2,067,643 | ||||||
Workday, Inc. * | 12,159 | 1,517,929 | ||||||
23,269,254 | ||||||||
TOTAL COMMON STOCKS (Cost - $46,964,587) | 78,209,424 | |||||||
SHORT-TERM INVESTMENT - 2.5% | ||||||||
MONEY MARKET FUND - 2.5% | ||||||||
First American Institutional Prime Obligations Fund - | 2,046,398 | 2,046,398 | ||||||
Institutional Class 1.85% + (Cost - $2,046,398) | ||||||||
COLLATERAL FOR SECURITIES LOANED - 30.9% | ||||||||
Mount Vernon Prime Portfolio, 2.00% +# (Cost - $24,750,024) | 24,750,024 | 24,750,024 | ||||||
TOTAL INVESTMENTS - 130.9% (Cost - $73,761,009) | $ | 105,005,846 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (30.9)% | (24,797,400 | ) | ||||||
NET ASSETS - 100.0% | $ | 80,208,446 |
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $24,293,722 at April 30, 2018. |
* | Non-Income producing security. |
ADR - American Depositary Receipt.
+ | Variable rate security. Interest rate is as of April 30, 2018. |
# | The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%. |
Portfolio Composition * - (Unaudited) | ||||||||||
Technology | 24.9 | % | Financial | 11.5 | % | |||||
Collateral for Securities Loaned | 23.6 | % | Consumer, Cyclical | 3.8 | % | |||||
Communications | 19.2 | % | Short-Term Investments | 1.9 | % | |||||
Consumer, Non-Cyclical | 15.1 | % | Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2018. |
Percentage may differ from Schedule of Investments which is based on Fund net assets
See accompanying notes to financial statements.
58
Dunham International Stock Fund (Unaudited) |
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”), rose 3.47 percent during the six month period ending April 30, 2018 (the “six month period”). For the month of November 2017, December 2017, and January 2018 the Index was up 0.81 percent, 2.24 percent, and 5.57 percent, respectively. The principal story for the markets during this period were an increased confidence that economic and earnings growth across the world will continue through 2018. January’s rally was supported by a belief that 2018 will look similar to 2017, another year of improving economic growth and corporate earnings, with inflation and real interest rates remaining low. The result was January stock gains up by the most in nearly three years. In February and March, the Index was down 4.72 percent and 1.76 percent, respectively. The sell-off that occurred was led by a rapid change in investor sentiment over new concerns that the Fed will tighten monetary policy faster than anticipated in response to signs of faster inflation. Other headwinds for the market over this time included concerns about the implications of a trade war with China and the public relations problems facing technology stocks like Facebook and Amazon resulting in declines in trade-sensitive and technology stocks. News in March was dominated by announcements from the Trump administration regarding U.S. trade policy which caused equity markets to fall. In April the market rose 1.60% led by improvements in the labor market, Chinese growth, and an earnings season, particularly in the U.S. that appeared to be exceeding expectations.
The Sub-Adviser’s investment process is best characterized as a dynamic process that uses quantitative models to evaluate securities to exploit opportunities across companies, sectors, and countries while seeking to avoid long term systematic biases toward any particular country, sector, style, or market capitalization. These stock selection models are designed to understand what information is likely to impact stock prices with a predictable and measurable lag that allows time to invest and profit. The models obtain the information to forecast individual stock returns by evaluating a stock’s potential on the basis of: (1) direct effects - characteristics of the company itself; and (2) indirect effects - characteristics of other companies that are related by virtue of a common country affiliation and sector affiliation (called country/sector baskets); a common country affiliation; and a common global sector affiliation, and/or other common linkages. Over any time period, the strategy’s performance relative to the Index is driven by allocations to country/sector baskets, stock selection, and the effects of currency exposures differing from those of the Index.
Countries contributing most to the Arrowstreet portfolio’s returns relative to the Index during the six month period included Brazil (primarily due to materials and financials sector overweights), Germany (primarily due to information technology and consumer discretionary overweights), and China (primarily due to energy sector overweights). Countries contributing most to the Arrowstreet portfolio’s underperformance relative to the Index included France (primarily due to information technology sector overweights), and Israel (primarily due to information technology overweights).
Sectors contributing most to the Arrowstreet portfolio’s returns relative to the Index during the six month period included materials (primarily due to Brazil overweights), energy (primarily due to China, Russia and Brazil overweights), and consumer staples (primarily due to Japan overweights). Sectors contributing most to the Arrowstreet portfolio’s underperformance relative to the Index included information technology (primarily due to Japan and Israel overweights), and industrials (primarily due to Japan and Finland overweights).
The stocks contributing most to the Arrowstreet portfolio returns relative to the Index during the six month period included Vale S.A. (Brazil materials), China Petroleum & Chemical Corporation Class H (China energy), and Oil Company Lukoil Pjsc (Russia energy). Stocks contributing most to the Arrowstreet portfolio’s underperformance relative to the Index included Tencent Holdings Ltd. (China information technology), Check Point Software Technologies Ltd. (Israel information technology), and Fujitsu Limited (Japan information technology).
The foregoing Insights from the Sub-Advisor are provided by Arrowstreet Capital, Limited Partnership (“Arrowstreet”) through April 30, 2018 for informational purposes only and solely with respect to the portfolio of assets within the Fund managed by Arrowstreet. References to specific stocks, countries or sectors are shown for informational purposes only and are not intended as investment advice. Arrowstreet is not responsible for, and makes no representation with respect to, any other information or performance data set forth herein.
* | Holdings percentage(s) as of 4/30/2018. |
Growth of $100,000 Investment
Total Returns as of April 30, 2018 | ||||||
Annualized | Annualized | Annualized | Annualized Since Inception | |||
Six Months | One Year | Three Years | Five Years | Ten Years | (12/10/04) | |
Class N | 4.23% | 16.74% | 4.87% | 6.46% | 4.03% | 5.80% |
Class C | 3.68% | 15.60% | 3.82% | 5.40% | 2.99% | 4.76% |
Class A with load of 5.75% | (1.91)% | 9.72% | 2.57% | 4.94% | 3.16% | 2.67%* |
Class A without load | 4.06% | 16.41% | 4.62% | 6.19% | 3.76% | 3.20%* |
MSCI All Country World ex US Index (net) | 3.47% | 15.91% | 5.01% | 5.46% | 2.26% | 6.04% |
Morningstar Foreign Large Cap Blend Category | 2.67% | 13.75% | 4.63% | 5.53% | 1.96% | 5.20% |
* | Class A commenced operations on January 3, 2007. |
The MSCI All Country World ex US Index (net) is a free float-adjusted market capitalization index designed to measure equity market performance in the global developed and emerging markets excluding holdings in the United States and is net of any withholding taxes. Investors cannot invest directly in an index or benchmark.
The Morningstar Foreign Large Cap Blend Category is generally representative of mutual funds that primarily invest in non-U.S. stocks that have market caps in the top 70% of each economically integrated market (such as Europe or Asia ex-Japan). The blend style is generally applicable where neither growth nor value characteristics dominate.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.56% for Class N, 2.56% for Class C and 1.81% 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 |
59
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham International Stock Fund |
April 30, 2018 |
Security | Shares | Value | ||||||
COMMON STOCKS - 97.5% | ||||||||
AEROSPACE / DEFENSE - 0.7% | ||||||||
Airbus SE | 2,927 | $ | 343,751 | |||||
BAE Systems PLC - ADR ^ | 3,174 | 108,551 | ||||||
Rolls-Royce Holdings PLC - ADR ^ | 15,836 | 186,548 | ||||||
Safran SA | 1,991 | 233,641 | ||||||
872,491 | ||||||||
AGRICULTURE - 0.4% | ||||||||
Imperial Brands PLC | 6,138 | 219,719 | ||||||
Swedish Match AB | 4,872 | 218,900 | ||||||
438,619 | ||||||||
AIRLINES - 0.4% | ||||||||
Turk Hava Yollari AO * | 111,553 | 460,431 | ||||||
APPAREL - 1.0% | ||||||||
Adidas AG | 3,064 | 753,412 | ||||||
Gildan Activewear, Inc. ^ | 13,499 | 393,226 | ||||||
1,146,638 | ||||||||
AUTO MANUFACTURERS - 2.6% | ||||||||
Ferrari NV | 7,067 | 867,389 | ||||||
Honda Motor Co. Ltd. | 7,000 | 240,471 | ||||||
Mazda Motor Corp. | 33,100 | 459,778 | ||||||
Peugeot SA | 20,572 | 506,808 | ||||||
Porsche Automobil Holding SE | 5,636 | 479,124 | ||||||
Suzuki Motor Corp. | 10,300 | 553,072 | ||||||
3,106,642 | ||||||||
AUTO PARTS & EQUIPMENT - 1.8% | ||||||||
Cie Generale des Etablissements Michelin SCA | 1,588 | 223,420 | ||||||
Continental AG | 4,434 | 1,181,516 | ||||||
Denso Corp. | 12,800 | 672,466 | ||||||
Stanley Electric Co. Ltd. | 2,300 | 83,041 | ||||||
2,160,443 | ||||||||
BANKS - 7.3% | ||||||||
Akbank TAS * | — | 1 | ||||||
Banco Bradesco SA - ADR | 39,677 | 388,835 | ||||||
Banco do Brasil SA - ADR ^ | 19,000 | 200,640 | ||||||
Banco do Brasil SA * | 28,800 | 303,219 | ||||||
Banco Santander Brasil SA | 21,700 | 237,302 | ||||||
Bancolombia SA - ADR | 7,200 | 343,152 | ||||||
Bank Negara Indonesia Persero Tbk PT | 184,500 | 106,220 | ||||||
Bank of China Ltd. - ADR ^ | 2,800 | 37,800 | ||||||
Bank of China Ltd. | 386,000 | 209,544 | ||||||
Bank of Communications Co. Ltd. | 384,000 | 314,238 | ||||||
Concordia Financial Group Ltd. * | 23,100 | 134,169 | ||||||
Credicorp Ltd. | 2,821 | 655,854 | ||||||
Danske Bank A/S | 2,849 | 99,200 | ||||||
Grupo Financiero Banorte SAB de CV - ADR | 1,828 | 57,052 | ||||||
ING Groep NV | 10,155 | 171,202 | ||||||
Intesa Sanpaolo SpA | 251,635 | 957,685 | ||||||
Itau Unibanco Holding SA * | 10,300 | 150,231 | ||||||
Itau Unibanco Holding SA | 16,280 | 206,458 | ||||||
Sberbank of Russia PJSC - ADR * | 52,386 | 780,551 | ||||||
Taiwan Business Bank * | 1,033,000 | 317,449 | ||||||
Toronto-Dominion Bank | 23,867 | 1,340,132 | ||||||
Turkiye Garanti Bankasi AS * | 94,550 | 213,936 | ||||||
Turkiye Halk Bankasi AS | 22,435 | 45,866 | ||||||
Turkiye Is Bankasi | 81,167 | 122,894 | ||||||
Turkiye Vakiflar Bankasi TAO * | 393,315 | 578,271 | ||||||
UniCredit SpA | 23,715 | 514,395 | ||||||
Yapi ve Kredi Bankasi AS * | 129,421 | 126,651 | ||||||
8,612,947 |
Security | Shares | Value | ||||||
BEVERAGES - 1.3% | ||||||||
Anheuser-Busch InBev SA - ADR ^ | 7,700 | $ | 770,616 | |||||
Coca-Cola HBC AG | 3,447 | 116,178 | ||||||
Diageo PLC - ADR | 3,192 | 453,136 | ||||||
Suntory Beverage & Food Ltd. | 4,700 | 231,065 | ||||||
1,570,995 | ||||||||
BIOTECHNOLOGY - 0.3% | ||||||||
CSL Limited | 2,941 | 377,711 | ||||||
BUILDING MATERIALS - 0.9% | ||||||||
Asahi Glass Co. Ltd. | 5,900 | 244,622 | ||||||
Cie de Saint-Gobain | 4,573 | 239,383 | ||||||
Sika AG | 74 | 537,558 | ||||||
Titan Cement Co SA | 3,558 | 93,746 | ||||||
1,115,309 | ||||||||
CHEMICALS - 2.7% | ||||||||
Barito Pacific Tbk PT * | 450,100 | 79,586 | ||||||
Covestro AG | 7,604 | 691,280 | ||||||
Croda International PLC | 826 | 50,552 | ||||||
IRPC PCL | 679,900 | 151,340 | ||||||
Koninklijke DSM NV | 5,728 | 592,299 | ||||||
Kuraray Co Ltd. | 6,600 | 109,812 | ||||||
Mitsubishi Chemical Holdings Corp | 30,400 | 287,296 | ||||||
Nissan Chemical Industries Ltd. * | 5,400 | 239,871 | ||||||
Nitto Denko Corp. | 800 | 59,419 | ||||||
Petkim Petrokimya Holding AS * | 87,669 | 154,822 | ||||||
Shin-Etsu Chemical Co Ltd. | 3,500 | 350,887 | ||||||
Sumitomo Chemical Co Ltd. | 14,000 | 80,026 | ||||||
Taiyo Nippon Sanso Corp. * | 7,200 | 106,643 | ||||||
Toray Industries, Inc. | 17,000 | 158,536 | ||||||
Umicore SA | 1,248 | 69,446 | ||||||
3,181,815 | ||||||||
COAL - 0.3% | ||||||||
China Shenhua Energy Co. Ltd. | 129,000 | 316,435 | ||||||
COMMERCIAL SERVICES - 3.0% | ||||||||
Abertis Infraestructuras SA | 17,965 | 396,269 | ||||||
Adecco Group AG | 1,898 | 125,835 | ||||||
Ashtead Group PLC | 11,360 | 315,648 | ||||||
Edenred | 6,784 | 233,828 | ||||||
Experian PLC | 20,616 | 472,581 | ||||||
Recruit Holdings Co Ltd. | 26,100 | 601,209 | ||||||
RELX NV | 42,562 | 906,048 | ||||||
RELX PLC - ADR | 11,900 | 257,278 | ||||||
RELX PLC | 8,912 | 190,566 | ||||||
3,499,262 | ||||||||
COMPUTERS - 1.6% | ||||||||
Check Point Software Technologies Ltd. * ^ | 5,374 | 518,645 | ||||||
Compal Electronics, Inc. | 375,000 | 244,257 | ||||||
Computershare Ltd. | 25,961 | 331,142 | ||||||
Fujitsu Ltd. | 37,000 | 224,096 | ||||||
Infosys Ltd. - ADR + | 16,400 | 289,788 | ||||||
Nomura Research Institute Ltd. | 1,800 | 92,620 | ||||||
Obic Co Ltd. | 1,500 | 125,521 | ||||||
1,826,069 | ||||||||
COSMETICS / PERSONAL CARE - 3.0% | ||||||||
Kao Corp. | 10,900 | 782,806 | ||||||
Kose Corp. | 2,300 | 424,625 | ||||||
L’Oreal SA | 2,925 | 704,660 | ||||||
Pola Orbis Holdings, Inc. | 10,000 | 435,877 | ||||||
Shiseido Co Ltd. | 5,700 | 369,467 | ||||||
Unicharm Corp. | 3,700 | 103,921 |
See accompanying notes to financial statements.
60
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham International Stock Fund (Continued) |
April 30, 2018 |
Security | Shares | Value | ||||||
COMMON STOCKS - 97.5% (Continued) | ||||||||
COSMETICS / PERSONAL CARE - 3.0% (Continued) | ||||||||
Unilever NV - ADR | 8,117 | $ | 465,567 | |||||
Unilever PLC | 4,648 | 260,839 | ||||||
3,547,762 | ||||||||
DISTRIBUTION / WHOLESALE - 0.4% | ||||||||
Marubeni Corp. | 9,000 | 67,521 | ||||||
Sumitomo Corp. | 7,500 | 134,500 | ||||||
Toyota Tsusho Corp. | 7,500 | 268,666 | ||||||
470,687 | ||||||||
DIVERSIFIED FINANANCIAL SERVICES - 2.6% | ||||||||
ASX Ltd. | 3,249 | 143,215 | ||||||
B3 SA - Brasil Bolsa Balcao | 28,000 | 202,712 | ||||||
China Merchants Securities Co., Ltd. | 152,400 | 213,465 | ||||||
Deutsche Boerse AG | 3,126 | 420,622 | ||||||
DGB Financial Group, Inc. | 9,195 | 102,770 | ||||||
Fubon Financial Holding Co., Ltd. | 29,000 | 49,615 | ||||||
GF Securities Co., Ltd. | 96,200 | 169,378 | ||||||
Hana Financial Group, Inc. | 10,225 | 454,330 | ||||||
Japan Exchange Group, Inc. | 7,600 | 140,610 | ||||||
Nomura Holdings, Inc. | 55,300 | 318,198 | ||||||
ORIX Corp. - ADR + | 2,302 | 202,599 | ||||||
Partners Group Holding AG | 349 | 254,833 | ||||||
Schroders PLC * | 5,394 | 174,614 | ||||||
Yuanta Financial Holding Co., Ltd. * | 498,000 | 237,672 | ||||||
3,084,633 | ||||||||
ELECTRIC - 0.8% | ||||||||
Centrais Eletricas Brasileiras SA * | 37,200 | 203,402 | ||||||
CEZ AS | 4,959 | 126,945 | ||||||
Cia Energetica de Minas Gerais * | 43,000 | 94,810 | ||||||
Enel SpA * | 51,413 | 326,312 | ||||||
Verbund AG | 5,004 | 155,047 | ||||||
906,516 | ||||||||
ELECTRICAL COMPONENTS & EQUIPMENT - 0.8% | ||||||||
Brother Industries Ltd. | 10,100 | 216,433 | ||||||
Schneider Electric SE | 7,618 | 690,873 | ||||||
907,306 | ||||||||
ELECTRONICS - 3.4% | ||||||||
AU Optronics Corp. * | 103,000 | 42,473 | ||||||
Hoya Corp. | 9,700 | 517,724 | ||||||
Keyence Corp. | 1,600 | 974,711 | ||||||
Koninklijke Philips NV * | 21,768 | 921,815 | ||||||
Kyocera Corp. - ADR | 700 | 44,506 | ||||||
Kyocera Corp. - ADR | 6,100 | 389,375 | ||||||
Nidec Corp. | 5,300 | 828,348 | ||||||
Synnex Technology International Corp. | 187,050 | 268,641 | ||||||
3,987,593 | ||||||||
ENGINEERING & CONSTRUCTION - 0.1% | ||||||||
Auckland International Airport Ltd | 17,380 | 77,881 | ||||||
Enka Insaat ve Sanayi AS * | 46,510 | 55,921 | ||||||
133,802 | ||||||||
ENTERTAINMENT - 0.6% | ||||||||
Aristocrat Leisure Ltd. | 25,172 | 506,307 | ||||||
OPAP SA | 18,132 | 217,064 | ||||||
723,371 | ||||||||
FOOD - 1.9% | ||||||||
BIM Birlesik Magazalar AS | 6,693 | 113,630 | ||||||
CJ CheilJedang Corp. * | 362 | 45,946 | ||||||
Marine Harvest ASA - ADR | 2,100 | 45,444 | ||||||
Nestle SA - ADR | 1,134 | 87,726 | ||||||
Nestle SA | 6,977 | 541,109 | ||||||
Seven & i Holdings Co., Ltd. | 9,500 | 418,176 | ||||||
WH Group Ltd. | 380,000 | 393,425 |
Security | Shares | Value | ||||||
FOOD - 1.9% (Continued) | ||||||||
Wm Morrison Supermarkets PLC | 29,595 | $ | 98,751 | |||||
Woolworths Group Ltd. | 7,848 | 164,583 | ||||||
Yakult Honsha Co., Ltd. | 4,000 | 284,693 | ||||||
2,193,483 | ||||||||
FOREST PRODUCTS & PAPER - 1.2% | ||||||||
Mondi PLC | 5,864 | 163,314 | ||||||
Oji Holdings Corp. | 42,000 | 295,170 | ||||||
Stora Enso OYJ | 20,293 | 400,470 | ||||||
UPM-Kymmene OYJ | 14,043 | 501,326 | ||||||
1,360,280 | ||||||||
GAS - 0.0% | ||||||||
Tokyo Gas Co., Ltd. | 900 | 24,129 | ||||||
HAND / MACHINE TOOLS - 0.6% | ||||||||
Finning International, Inc. | 5,451 | 137,726 | ||||||
Fuji Electric Co., Ltd. | 17,000 | 121,133 | ||||||
SMC Corp. | 1,000 | 379,628 | ||||||
THK Co., Ltd. | 2,100 | 73,121 | ||||||
711,608 | ||||||||
HEALTHCARE - PRODUCTS - 2.0% | ||||||||
Lonza Group AG | 802 | 196,172 | ||||||
Olympus Corp. | 6,900 | 257,058 | ||||||
Smith & Nephew PLC | 27,710 | 530,926 | ||||||
Smith & Nephew PLC - ADR ^ | 8,738 | 339,646 | ||||||
Sonova Holding AG | 1,574 | 259,674 | ||||||
Sysmex Corp. | 7,900 | 697,195 | ||||||
Terumo Corp. | 2,200 | 124,358 | ||||||
2,405,029 | ||||||||
HEALTHCARE - SERVICES - 0.5% | ||||||||
Fresenius Medical Care AG & Co. KGaA | 6,118 | 621,107 | ||||||
HOLDING COMPANIES-DIVERSIFIED - 0.5% | ||||||||
Haci Omer Sabanci Holding AS * | 1 | 1 | ||||||
Itausa - Investimentos Itau SA * | 158,300 | 615,008 | ||||||
Itausa - Investimentos Itau SA * | 3,826 | 14,809 | ||||||
629,818 | ||||||||
HOME BUILDERS - 0.6% | ||||||||
Persimmon PLC | 15,531 | 580,442 | ||||||
Sekisui Chemical Co., Ltd. | 7,000 | 123,712 | ||||||
704,154 | ||||||||
HOME FURNISHINGS - 0.6% | ||||||||
Arcelik AS | 1 | 4 | ||||||
LG Electronics, Inc. | 2,286 | 216,756 | ||||||
Panasonic Corp. | 30,200 | 446,747 | ||||||
663,507 | ||||||||
INSURANCE - 4.3% | ||||||||
AIA Group Ltd. | 43,400 | 387,894 | ||||||
Allianz SE - ADR | 12,100 | 286,286 | ||||||
Assicurazioni Generali SpA | 30,414 | 614,028 | ||||||
AXA SA | 30,706 | 878,587 | ||||||
China Life Insurance Co., Ltd. * | 102,460 | 111,010 | ||||||
CNP Assurances | 1,647 | 42,207 | ||||||
Dai-ichi Life Holdings, Inc. | 9,800 | 194,368 | ||||||
MS&AD Insurance Group Holdings, Inc. | 20,500 | 690,110 | ||||||
NN Group NV | 22,909 | 1,098,453 | ||||||
Porto Seguro SA | 5,500 | 71,358 | ||||||
QBE Insurance Group Ltd. | 23,916 | 179,093 | ||||||
Shin Kong Financial Holding Co., Ltd. * | 633,000 | 257,265 | ||||||
Sompo Holdings, Inc. | 6,000 | 250,980 | ||||||
5,061,639 |
See accompanying notes to financial statements.
61
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham International Stock Fund (Continued) |
April 30, 2018 |
Security | Shares | Value | ||||||
COMMON STOCKS - 97.5% (Continued) | ||||||||
INTERNET - 0.3% | ||||||||
Start Today Co., Ltd. | 500 | $ | 14,423 | |||||
Trend Micro, Inc. | 5,400 | 322,550 | ||||||
336,973 | ||||||||
INVESTMENT COMPANIES - 0.7% | ||||||||
Hyundai Heavy Industries Holdings Co., Ltd. * | 109 | 42,829 | ||||||
Investor AB | 10,839 | 464,613 | ||||||
Pargesa Holding SA | 3,627 | 339,827 | ||||||
847,269 | ||||||||
IRON / STEEL - 2.4% | ||||||||
JFE Holdings, Inc. | 5,000 | 102,513 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 17,800 | 386,623 | ||||||
POSCO | 1,122 | 386,597 | ||||||
Vale SA * | 57,500 | 801,739 | ||||||
Vale SA | 70,244 | 972,177 | ||||||
voestalpine AG | 2,051 | 108,259 | ||||||
2,757,908 | ||||||||
LEISURE TIME - 1.1% | ||||||||
Carnival PLC - ADR + | 5,846 | 377,944 | ||||||
TUI AG * | 19,994 | 452,286 | ||||||
Yamaha Motor Co., Ltd. | 12,700 | 405,686 | ||||||
1,235,916 | ||||||||
LODGING - 2.1% | ||||||||
Crown Resorts Ltd. | 17,942 | 174,607 | ||||||
Galaxy Entertainment Group Ltd. | 101,000 | 884,061 | ||||||
InterContinental Hotels Group PLC - ADR | 1,100 | 70,004 | ||||||
Melco Resorts & Entertainment Ltd. - ADR | 15,819 | 493,711 | ||||||
Sands China Ltd. | 77,600 | 448,503 | ||||||
Wynn Macau Ltd. | 100,000 | 369,555 | ||||||
2,440,441 | ||||||||
MACHINERY CONSTRUCTION & MINING - 2.1% | ||||||||
Atlas Copco AB - A shares | 9,312 | 364,727 | ||||||
Atlas Copco AB - B shares | 3,574 | 126,873 | ||||||
Hitachi Construction Machinery Co Ltd. | 9,400 | 341,282 | ||||||
Hitachi Ltd. - ADR | 2,293 | 175,071 | ||||||
Hitachi Ltd. | 106,000 | 772,905 | ||||||
Komatsu Ltd. | 14,500 | 493,812 | ||||||
Mitsubishi Electric Corp. | 15,800 | 241,990 | ||||||
2,516,660 | ||||||||
MACHINERY - DIVERSIFIED - 0.2% | ||||||||
Hexagon AB | 1,275 | 73,732 | ||||||
Kone OYJ | 3,154 | 156,723 | ||||||
230,455 | ||||||||
MEDIA - 0.7% | ||||||||
Pearson PLC - ADR | 9,656 | 110,272 | ||||||
Wolters Kluwer NV * | 12,437 | 673,298 | ||||||
783,570 | ||||||||
METAL FABRICATE / HARDWARE - 0.1% | ||||||||
Catcher Technology Co., Ltd. | 13,000 | 144,172 | ||||||
MINING - 3.0% | ||||||||
Anglo American PLC | 18,494 | 435,356 | ||||||
BHP Billiton Ltd. | 38,188 | 893,265 | ||||||
BHP Billiton PLC | 10,980 | 234,231 | ||||||
Boliden AB | 1,482 | 51,431 | ||||||
Glencore PLC | 143,952 | 693,744 | ||||||
MMC Norilsk Nickel PJSC - ADR ^ | 6,019 | 102,564 | ||||||
MMC Norilsk Nickel PJSC - ADR | 3,153 | 54,216 | ||||||
Rio Tinto PLC - ADR ^ | 14,883 | 817,821 | ||||||
South32 Ltd. | 26,158 | 72,782 | ||||||
Southern Copper Corp. ^ | 2,139 | 112,961 | ||||||
3,468,371 |
Security | Shares | Value | ||||||
MISCELLANEOUS MANUFACTURING - 0.5% | ||||||||
Doosan Corp. | 1,070 | $ | 74,979 | |||||
FUJIFILM Holdings Corp. | 9,700 | 389,722 | ||||||
HIWIN Technologies Corp. | 7,000 | 105,447 | ||||||
570,148 | ||||||||
OFFICE / BUSINESS - 1.0% | ||||||||
Canon, Inc. | 21,600 | 742,310 | ||||||
Ricoh Co., Ltd. | 21,200 | 206,952 | ||||||
Seiko Epson Corp. | 8,700 | 163,375 | ||||||
1,112,637 | ||||||||
OIL & GAS - 9.1% | ||||||||
BP PLC - ADR | 4,989 | 222,459 | ||||||
China Petroleum & Chemical Corp. | 1,550,000 | 1,509,559 | ||||||
CNOOC Ltd. - ADR | 7,180 | 1,213,492 | ||||||
Ecopetrol SA - ADR | 11,336 | 250,299 | ||||||
Eni SpA | 31,266 | 611,504 | ||||||
Gazprom PJSC - ADR | 30,800 | 140,448 | ||||||
Gazprom PJSC - ADR | 67,456 | 312,186 | ||||||
Inpex Corp. | 5,000 | 63,858 | ||||||
LUKOIL PJSC - ADR | 15,187 | 1,014,492 | ||||||
PetroChina Co., Ltd. - ADR * | 8,450 | 622,004 | ||||||
PetroChina Co., Ltd. | 328,000 | 241,705 | ||||||
Petroleo Brasileiro SA - ADR * | 9,323 | 122,597 | ||||||
Petroleo Brasileiro SA - ADR * ^ | 60,138 | 847,344 | ||||||
Polski Koncern Naftowy ORLEN SA * | 6,490 | 165,587 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA * | 48,396 | 85,090 | ||||||
PTT Exploration & Production PCL * | 96,300 | 408,094 | ||||||
PTT PCL | 244,000 | 435,191 | ||||||
Royal Dutch Shell PLC - ADR ^ | 11,195 | 810,742 | ||||||
Royal Dutch Shell PLC - ADR | 8,700 | 608,130 | ||||||
SK Innovation Co., Ltd. * | 1,090 | 199,739 | ||||||
Statoil ASA - ADR | 30,226 | 773,786 | ||||||
10,658,306 | ||||||||
PHARMACEUTICALS - 3.5% | ||||||||
Alfresa Holdings Corp. * | 3,100 | 68,333 | ||||||
Astellas Pharma, Inc. | 39,200 | 572,798 | ||||||
Bayer AG | 3,266 | 390,545 | ||||||
Novo Nordisk A/S - ADR | 15,300 | 718,182 | ||||||
Roche Holding AG | 4,061 | 903,306 | ||||||
Sanofi - ADR | 12,800 | 503,296 | ||||||
Shionogi & Co., Ltd. | 8,000 | 410,739 | ||||||
Takeda Pharmaceutical Co., Ltd. ^ | 13,600 | 572,147 | ||||||
4,139,346 | ||||||||
PRIVATE EQUITY - 0.6% | ||||||||
3i Group PLC | 51,117 | 660,139 | ||||||
REAL ESTATE - 1.5% | ||||||||
CK Asset Holdings Ltd. | 61,500 | 530,954 | ||||||
Swire Properties Ltd. | 272,600 | 967,640 | ||||||
Wharf Real Estate Investment Co Ltd. | 17,000 | 127,468 | ||||||
Wheelock & Co., Ltd. | 14,000 | 103,874 | ||||||
1,729,936 | ||||||||
REIT - 0.3% | ||||||||
Link REIT | 38,000 | 335,866 | ||||||
RETAIL - 2.6% | ||||||||
Canadian Tire Corp Ltd. | 4,000 | 545,981 | ||||||
Cie Financiere Richemont SA - ADR | 18,300 | 173,026 | ||||||
Cie Financiere Richemont SA | 3,759 | 357,723 | ||||||
Dollarama, Inc. | 2,000 | 230,586 | ||||||
Hennes & Mauritz AB | 4,965 | 85,454 | ||||||
HUGO BOSS AG | 5,706 | 535,179 | ||||||
Kingfisher PLC | 45,221 | 188,680 | ||||||
Lojas Renner SA * | 9,700 | 90,389 |
See accompanying notes to financial statements.
62
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham International Stock Fund (Continued) |
April 30, 2018 |
Security | Shares | Value | ||||||
COMMON STOCKS - 97.5% (Continued) | ||||||||
RETAIL - 2.6% (Continued) | ||||||||
McDonald’s Holdings Co., Japan Ltd. | 3,100 | $ | 144,934 | |||||
Ryohin Keikaku Co., Ltd. | 500 | 170,868 | ||||||
Sundrug Co., Ltd. | 10,700 | 549,913 | ||||||
3,072,733 | ||||||||
SEMICONDUCTORS - 7.2% | ||||||||
Macronix International * | 139,000 | 220,815 | ||||||
MediaTek, Inc. | 43,000 | 489,065 | ||||||
Nanya Technology Corp. * | 194,000 | 603,899 | ||||||
Rohm Co., Ltd. | 2,400 | 222,178 | ||||||
Samsung Electronics Co., Ltd. | 1,348 | 3,341,164 | ||||||
Samsung Electronics Co., Ltd. | 171 | 339,855 | ||||||
Samsung Electronics Co., Ltd. - ADR | 375 | 370,125 | ||||||
SK Hynix, Inc. * | 14,214 | 1,117,846 | ||||||
STMicroelectronics NV | 26,901 | 587,683 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. * | 35,000 | 266,607 | ||||||
Tokyo Electron Ltd. | 3,800 | 729,101 | ||||||
Tokyo Electron Ltd. - ADR | 2,200 | 106,194 | ||||||
United Microelectronics Corp. | 185,000 | 99,765 | ||||||
8,494,297 | ||||||||
SOFTWARE - 3.7% | ||||||||
Amadeus IT Group SA | 10,559 | 770,766 | ||||||
Constellation Software, Inc. | 300 | 214,742 | ||||||
Konami Holdings Corp. | 3,800 | 186,436 | ||||||
Nexon Co., Ltd. * | 27,800 | 404,141 | ||||||
Oracle Corp Japan | 2,500 | 205,172 | ||||||
Sage Group PLC | 6,798 | 59,155 | ||||||
SAP SE | 22,002 | 2,445,762 | ||||||
4,286,174 | ||||||||
TELECOMMUNICATIONS - 0.4% | ||||||||
BT Group PLC - ADR | 6,092 | 105,087 | ||||||
Nippon Telegraph & Telephone Corp - ADR | 567 | 26,830 | ||||||
Telekomunikasi Indonesia Persero Tbk PT - ADR | 5,300 | 144,425 | ||||||
Telenor ASA | 3,043 | 67,448 | ||||||
Vodafone Group PLC - ADR | 4,900 | 144,109 | ||||||
487,899 | ||||||||
TOYS / GAMES - 1.0% | ||||||||
Nintendo Co., Ltd. | 2,700 | 1,133,388 |
Security | Shares | Value | ||||||||
TRANSPORTATION - 5.2% | ||||||||||
Canadian National Railway Co. | 21,857 | $ | 1,690,829 | |||||||
Canadian Pacific Railway Ltd. | 3,700 | 676,185 | ||||||||
Central Japan Railway Co. | 2,400 | 480,461 | ||||||||
Deutsche Post AG | 18,954 | 823,097 | ||||||||
East Japan Railway Co. | 8,500 | 815,795 | ||||||||
Guangshen Railway Co.. Ltd. | 266,000 | 154,253 | ||||||||
Hankyu Hanshin Holdings, Inc. * | 6,800 | 267,239 | ||||||||
Kamigumi Co. Ltd. | 9,300 | 209,157 | ||||||||
Nippon Express Co. Ltd. | 9,400 | 709,490 | ||||||||
Tobu Railway Co. Ltd. * | 9,900 | 314,931 | ||||||||
6,141,437 | ||||||||||
TOTAL COMMON STOCK (Cost - $98,757,496) | 114,406,272 | |||||||||
EXCHANGE TRADED FUND - 0.6% | ||||||||||
EQUITY FUND - 0.6% | ||||||||||
iShares MSCI EAFE ET | 4,334 | 306,587 | ||||||||
iShares MSCI Eurozone ETF | 8,800 | 390,104 | ||||||||
TOTAL EXCHANGE TRADED FUND (Cost - $672,464) | 696,691 | |||||||||
Principal | ||||||||||
Interest Rate | Amount | |||||||||
PREFERRED STOCKS -0.9% | ||||||||||
BANKS - 0.4% | ||||||||||
Banco Bradesco SA | 3.680 | 49,060 | 485,578 | |||||||
ELECTRIC - 0.2% | ||||||||||
RWE AG - NV | 9.340 | 8,673 | 175,696 | |||||||
OIL & GAS - 0.3% | ||||||||||
Petroleo Brasileiro SA | 0.000 | 51,200 | 337,350 | |||||||
TOTAL PREFERRED STOCKS (Cost - $928,031) | 998,624 | |||||||||
Shares | ||||||||||
COLLATERAL FOR SECURITIES LOANED - 5.0% | ||||||||||
Mount Vernon Prime Portfolio 2.00% + (Cost - $5,883,467) | 5,883,467 | 5,883,467 | ||||||||
TOTAL INVESTMENTS - 104.0% (Cost - $106,241,458) | $ | 121,985,054 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (4.0)% | (4,689,700 | ) | ||||||||
NET ASSETS - 100.0% | $ | 117,295,354 |
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $5,689,725 at April 30, 2018. |
* | Non-income producing security. |
ADR - American Depositary Receipt.
NV - Non-Voting REIT - Real Estate Investment Trust.
+ | Variable rate security. Interest rate is as of April 30, 2018. |
Portfolio Composition * - (Unaudited) | ||||||||||
Japan | 23.6 | % | Switzerland | 4.2 | % | |||||
Germany | 7.6 | % | China | 4.1 | % | |||||
Britain | 6.9 | % | Netherlands | 4.0 | % | |||||
South Korea | 5.5 | % | France | 3.8 | % | |||||
Brazil | 5.2 | % | Other Countries ** | 30.8 | % | |||||
Canada | 4.3 | % | Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2018. |
** | Includes collateral for securities loaned as of April 30, 2018. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
63
Dunham Real Estate Stock Fund (Unaudited) |
Message from the Sub-Adviser (Barings LLC) |
The first fiscal quarter was highlighted with a meaningful increase in the 10-year Treasury. From the beginning of the first fiscal quarter, the 10-year Treasury yield gained 33 basis points to end at 2.71 percent, fluctuating within a 41 basis point range. The momentum in rising yields continued in the second fiscal quarter as rates rose another 24 points to end at 2.95 percent, fluctuating in a 32 basis point range while also briefly breaching the psychological 3 percent level. This rise in rates is mainly attributed to three factors over the period. The first was the Federal Open Market Committee raising base rates, the second was the passing of the new tax plan which forced the long end of the curve to rise, and lastly the increase in GDP estimates for 2018 not only domestically but globally. This did not bode well for REITs, as measured by the FTSE NAREIT All REITs Index, in the short-term. However, historical data provides evidence that REIT performance over meaningful time periods has not been driven by interest rate shifts. Since 1996, REITs have been up in more rising rate periods than they have been down. After falling 0.7 percent in the first fiscal quarter, REITs declined 3 percent in the second fiscal quarter resulting in a decline of 3.8 percent for the six-month period. REITs underperformed other broad equity indexes, such as the S&P 500 Index, as the S&P 500 increased 3.8 percent during the six-month period.
The Sub-Adviser believes that the intrinsic value of a listed real estate company is a function of the quality of its real estate portfolio, management team, and capital plan. Achieving a thorough understanding of the real estate assets owned by an investment candidate is the foundation of establishing the value of that enterprise. Evaluating management’s ability to drive earnings and add value to underlying real estate assets is vital to the Sub-Adviser developing an understanding of the potential sustainable future success of the company. Assessing a firm’s financial structure within the context of the prevailing financial environment provides the Sub-Adviser with a framework to understand the risk and long-term potential of a firm’s business strategy. Over the six-month period ended April 30, 2018, office, single family, and apartment REITs, among others, contributed to the relative performance of the Fund. Sectors that detracted from relative performance over the six-month period were infrastructure, regional mall, and healthcare REITs, among others.
In the first fiscal quarter, the largest contributor to relative performance in the Fund was through the sectors the Sub-Adviser completely divested, such as the equity diversified REITs and the self-storage REITs. The Sub-Adviser currently has a negative outlook for the equity diversified REIT sector. The Sub-Adviser believes that the lack of centralized focus may lead to inefficiencies and lack of specialization that may hurt performance. The underweight to the equity diversified REIT sector once again contributed to relative performance as the sector was one of the worst performers over the second recent fiscal quarter ended April 30, 2018. To begin the first fiscal quarter, the Fund had exposure to the self-storage REIT sector but liquidated those positions during the first fiscal quarter. This sector has had a very strong showing the past five years, but concerns over excess supply have dampened the outlook. Revenue growth in this sector has been decelerating every quarter since mid-2016, while supply has been rapidly growing. The Sub-Adviser believes supply will continue to grow in 2018 and may hit a peak in 2019. Although this allocation decision contributed to relative performance in the first fiscal quarter, this sector detracted from relative performance as self-storage REITs rallied in the second fiscal quarter. For example, two names within this sector that increased in the second fiscal quarter were Extra Space Storage Inc. (EXR) (holding weight**: 2.23 percent) and CubeSmart (CUBE) (holding weight**: 1.22 percent), which increased 8.1 percent and 8.3 percent, respectively. The Sub-Adviser’s conviction regarding the underweight to the sector remains despite the brief rally.
Infrastructure REITs added to Fund performance on an absolute basis during the first fiscal quarter, but significantly detracted from Fund performance during the second fiscal quarter. Examples of property types in the infrastructure REITs sector are cell towers, renewable energy real estate, and electricity infrastructure. Two companies, both in the cell tower space, were two of the largest detractors from absolute Fund performance. American Tower Corp. (AMT) (holding weight*: 7.50 percent) and Crown Castle International Corp. (CCI) (holding weight*: 5.64 percent) both own, operate, develop, and lease wireless communication infrastructure. AMT operates domestically while CCI operates in the U.S. and Australia. The companies fell 4.1 percent and 4.0 percent, respectively, over the most recent six-month period. Although many investors believe that the Department of Justice will block T-Mobile’s acquisition of Sprint, the Sub-Adviser is cautiously monitoring the developments of this deal as the result may heavily impact the carriers’ plans to spend on additional towers, which could accelerate internal growth within the sector.
The industrial REIT sector positively contributed to Fund performance over the most second quarter after slightly detracting in the first fiscal quarter. The Sub-Adviser believes that the continued emergence of ecommerce will force a reconfiguration of supply chains and a strengthening of existing supply chains. The more ecommerce, the more industrial space will be needed. A current point of emphasis for ecommerce companies is urban industrial space also referred to as the “last mile.” These spaces are crucial for quick delivery of items and is increasingly difficult to acquire in larger and more dense cities such as New York. Prologis Inc. (PLD) (holding weight*: 6.91 percent) is currently expanding their urban industrial space as they are in the process of building a large facility in Seattle. This facility is not due to be completed until late 2018 or most likely in 2019, and they have already received strong demand for the space. PLD increased 2 percent over the most recent fiscal six-month period.
Going forward, the Sub-Adviser is optimistic about REIT performance through 2018, as it sees compelling evidence for the valuation support levels and growth in REITs, specifically the reacceleration of earnings growth. The Sub-Adviser believes that due to the lagging performance of REITs relative to general equities and real assets over the past year, despite positive earnings, investors should come to see value in the REITs space. The Sub-Adviser sees opportunities in the evolving lifestyle of millennials and the continued growth of ecommerce, and is positioned to potentially benefit from the positive impacts of both themes in the REIT space.
* | Holdings percentage(s) as of 4/30/2018. |
** | Holding percentage(s) as of the date prior to the sale of the security. |
Growth of $100,000 Investment
Total Returns as of April 30, 2018 | ||||||
Six | One | Annualized | Annualized | Annualized | Annualized Since Inception | |
Months | Year | Three Years | Five Years | Ten Years | (12/10/04) | |
Class N | (4.04)% | (3.12)% | 2.41% | 4.56% | 5.91% | 6.14% |
Class C | (4.55)% | (4.09)% | 1.38% | 3.52% | 4.85% | 5.09% |
Class A with load of 5.75% | (9.70)% | (8.88)% | 0.17% | 3.06% | 5.02% | 2.94%* |
Class A without load | (4.20)% | (3.35)% | 2.16% | 4.29% | 5.65% | 3.49%* |
FTSE NAREIT All REITs Index | (3.79)% | (0.92)% | 4.95% | 5.43% | 6.45% | 6.60% |
Morningstar Real Estate Category | (3.51)% | (1.68)% | 3.08% | 4.54% | 5.10% | 6.20% |
* | 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 1.17% for Class N, 2.17% for Class C and 1.42% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75% The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com |
64
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Real Estate Stock Fund |
April 30, 2018 |
Security | Shares | Value | ||||||
COMMON STOCK - 3.5% | ||||||||
LODGING - 3.5% | ||||||||
Hilton Worldwide Holdings, Inc. | 24,176 | $ | 1,906,036 | |||||
TOTAL COMMON STOCK (Cost - $1,631,564) | ||||||||
REITS - 94.7% | ||||||||
APARTMENTS - 15.2% | ||||||||
Camden Property Trust | 24,340 | 2,078,636 | ||||||
Essex Property Trust | 9,570 | 2,293,833 | ||||||
Invitation Homes, Inc. ^ | 48,665 | 1,126,108 | ||||||
UDR, Inc. ^ | 74,940 | 2,709,081 | ||||||
8,207,658 | ||||||||
DIVERSIFIED - 32.2% | ||||||||
American Tower Corp. | 29,690 | 4,048,528 | ||||||
Cousins Properties, Inc. | 132,420 | 1,177,214 | ||||||
Crown Castle International Corp | 30,190 | 3,045,265 | ||||||
Digital Realty Trust, Inc. | 30,920 | 3,267,935 | ||||||
Equinix, Inc. | 5,900 | 2,482,661 | ||||||
Gaming and Leisure Properties, Inc. | 23,800 | 815,626 | ||||||
New Residential Investment Corp. | 48,160 | 841,837 | ||||||
Vornado Realty Trust | 3,890 | 264,637 | ||||||
Weyerhaeuser Co. | 37,730 | 1,387,709 | ||||||
17,331,412 | ||||||||
HEALTHCARE - 5.8% | ||||||||
Healthcare Realty Trust, Inc. | 15,180 | 422,459 | ||||||
Medical Properties Trust, Inc. | 36,210 | 462,764 | ||||||
National Health Investors, Inc. | 6,640 | 453,313 | ||||||
Physicians Realty Trust | 56,860 | 849,488 | ||||||
Welltower, Inc. | 17,950 | 959,248 | ||||||
3,147,272 | ||||||||
HOTELS - 3.9% | ||||||||
Chesapeake Lodging Trust ^ | 28,130 | 830,960 | ||||||
Park Hotels & Resorts, Inc. | 20,972 | 603,574 | ||||||
Sunstone Hotel Investors, Inc. | 43,750 | 682,500 | ||||||
2,117,034 | ||||||||
MANUFACTURED HOMES - 3.3% | ||||||||
Sun Communities, Inc. | 18,960 | 1,779,396 | ||||||
OFFICE - 9.6% | ||||||||
Boston Properties, Inc. ^ | 16,090 | 1,953,487 | ||||||
Brandywine Realty Trust | 34,040 | 548,384 | ||||||
Hudson Pacific Properties, Inc. | 29,040 | 954,545 | ||||||
JBG SMITH Properties | 3,230 | 119,090 | ||||||
Kilroy Realty Corp. | 22,283 | 1,597,023 | ||||||
5,172,529 |
Security | Shares | Value | ||||||
REGIONAL MALLS - 5.5% | ||||||||
Macerich Co. ^ | 11,050 | $ | 636,701 | |||||
Simon Property Group, Inc. ^ | 14,931 | 2,334,313 | ||||||
2,971,014 | ||||||||
SHOPPING CENTERS - 5.4% | ||||||||
Acadia Realty Trust ^ | 38,758 | 914,689 | ||||||
Regency Centers Corp. | 26,784 | 1,576,238 | ||||||
Retail Properties of America, Inc. | 34,520 | 398,361 | ||||||
2,889,288 | ||||||||
SINGLE FAMILY - 3.7% | ||||||||
Agree Realty Corp. | 16,410 | 802,121 | ||||||
Realty Income Corp. ^ | 11,810 | 596,523 | ||||||
STORE Capital Corp. | 24,010 | 605,772 | ||||||
2,004,416 | ||||||||
WAREHOUSE/INDUSTRIAL - 10.1% | ||||||||
First Industrial Realty Trust, Inc. | 54,550 | 1,697,051 | ||||||
Prologis, Inc. | 57,460 | 3,729,729 | ||||||
5,426,780 | ||||||||
TOTAL REITS (Cost - $48,371,396) | 51,046,799 | |||||||
SHORT-TERM INVESTMENT - 2.0% | ||||||||
MONEY MARKET FUND - 2.0% | ||||||||
Fidelity Investments Money Market - Class I, 1.58% + | 1,061,356 | 1,061,356 | ||||||
TOTAL SHORT-TERM INVESTMENT (Cost - $1,061,356) | ||||||||
COLLATERAL FOR SECURITIES LOANED - 13.1% | ||||||||
Mount Vernon Prime Portfolio, 2.0% + (Cost - $7,050,085) | 7,050,085 | 7,050,085 | ||||||
TOTAL INVESTMENTS - 113.3% (Cost - $58,114,401) | $ | 61,064,276 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (13.3)% | (7,171,607 | ) | ||||||
TOTAL NET ASSETS - 100.00% | $ | 53,892,669 |
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $6,852,942 at April 30, 2018. |
REITS - Real Estate Investment Trusts.
+ | Variable rate security. Interest rate is as of April 30, 2018 |
Portfolio Composition * - (Unaudited) | ||||||||||
Diversified | 28.4 | % | Shopping Centers | 4.7 | % | |||||
Apartments | 13.4 | % | Hotels | 3.5 | % | |||||
Collateral for Securities Loaned | 11.5 | % | Single Family | 3.3 | % | |||||
Warehouse/Industrial | 8.9 | % | Lodging | 3.1 | % | |||||
Office | 8.5 | % | Manufactured Homes | 2.9 | % | |||||
Healthcare | 5.2 | % | Short-Term Investment | 1.7 | % | |||||
Regional Malls | 4.9 | % | Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2018. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
65
Dunham Small Cap Value Fund (Unaudited) |
Message from the Sub-Adviser (Piermont Capital Management LLC) |
After rising 3.1 percent in the previous fiscal quarter, small cap value stocks, as measured by the Russell 2000 Value Index, fell 2.2 percent in the fiscal quarter ended April 30, 2018. This most recent decrease places the six-month performance of small cap value stocks at 0.9 percent. Small cap value stocks trailed their small cap growth counterparts in the previous fiscal quarter by 3.8 percent. The gap continued to grow in the most recent fiscal quarter, but by a much smaller margin, as small cap growth stocks outpaced small cap value stocks by only 0.7 percent. This most recent shift places small cap value stocks 4.5 percent behind small cap growth stocks over the six-month period. On a broader level, small cap stocks, as measured by the Russell 2000 Index, outperformed large cap stocks, as measured by the Russell 1000 Index, during the most recent fiscal quarter, adding 3.8 percent on a relative basis. However, during the previous fiscal quarter, small cap stocks lagged large cap stocks by 4.3 percent. Therefore, over the six-month period, small cap stocks trailed large cap stocks by only 0.6 percent. The top performing industry groups in the Fund during the six-month period included healthcare, services – consumer, other financials, and insurance. For the Fund, the capital goods, technology - hardware, and utilities industry groups underperformed over the six-month period.
Since the Sub-Adviser’s proprietary process seeks sector neutrality versus the benchmark index, the stock selection within each sector is the primary driver of relative performance. The Sub-Adviser’s security selection is derived using quantitative metrics. The Sub-Adviser applied 14 customized, industry group-specific, multi-factor models designed to limit tracking error with a goal of high excess return consistency and a high information ratio. The Sub-Adviser then chooses the best manner to purchase or sell highly ranked securities for the Fund, in addition to reviewing several final factors to determine if there are any concerns before taking action.
Healthcare was the strongest performing industry group for the Fund during the six-month period, returning 22.6 percent. The top two contributions to the Fund’s performance came from the healthcare space. Within healthcare, Haemonetics Corporation (HAE) (holding weight*: 1.81 percent), a company that provides hematology products and solutions, performed well. During the six-month period, HAE’s stock price increased 64.1 percent. The company continued year-over-year revenue increases, led by steady growth in their plasma franchise, which is seeing strong end-market demand for plasma-derived biopharmaceuticals. Another top contributor to the Fund’s performance from healthcare was Sucampo Pharmaceuticals, Inc. (SCMP) (holding weight**: 0.55 percent), an American biopharmaceutical company focused on medical applications of a class of ion channel modulators called prostones. During the period, a global pharmaceutical company purchased the company which drove up the stock price. The stock returned a strong 84 percent for the six-month period. Another top contributor was LendingTree Inc. (TREE) (holding weight*: 1.04 percent), an online loan marketplace for consumers seeking loans and other credit-based offerings in the United States. The company continues to have strong earnings growth year-over-year. The stock returned 31.5 percent for the six-month period.
On the other end of the spectrum, the Fund had detractors from several industry groups. Technology – services lost 5.7 percent as an industry group for the Fund. The top detractor for the Fund came from that space. Insight Enterprises, Inc. (NSIT) (holding weight**: 0.23 percent), a company that provides information technology hardware, software, and service solutions for small and medium sized firms, enterprises, governments, schools, and health care organizations globally, decreased 22.1 percent over the six-month period. Beazer Homes USA, Inc. (BZH) (holding weight*: 0.88 percent), a U.S. homebuilder that designs, constructs, and sells single-family and multi-family homes for entry-level, move-up, or retirement-oriented home buyers experienced a difficult six-month period. BZH lost 30 percent for the six-month period, which contributed to the negative 10.7 percent return for the capital goods industry group in the Fund. Another detractor to the Fund within capital goods was Tutor Perini Corporation (TPC) (holding weight*: 0.70 percent), a construction company that provides diversified general contracting, construction management, and design-build services to private customers and public agencies worldwide. TPC declined 26.8 percent during the six-month period.
Additional detractors from the Fund performance during the six-month period were in the consumer products and REITs industry groups. Within consumer products, Lydall, Inc. (LDL) (holding weight*: 0.87 percent), a company that designs, manufactures, and markets specialty engineered filtration media, industrial thermal insulating solutions, and automotive thermal and acoustical barriers for filtration/separation and thermal/acoustical applications worldwide, fell 22.8 percent during the six-month period. This return contributed to the overall negative return of 2.5 percent in the consumer products space. REITs returned a negative 6.4 percent for the Fund during the six-month period. Preferred Apartment Communities, Inc. (APTS) (holding weight*: 0.76 percent), a Maryland corporation formed primarily to acquire and operate multifamily properties in select targeted markets throughout the United States, fell 23.7 percent during the six-month period.
The Sub-Adviser is optimistic that its proprietary index factor analysis is designed to benefit from the current economic environment. Recent trends have turned towards what the Sub-Adviser would hope leads to more tailwinds for their investments using their factor analysis relationships within the Fund’s models. The Sub-Adviser’s sector-neutral approach continues to seek to outperform the benchmark index through stock selection. The Sub-Adviser is optimistic that although it is sector neutral, its careful stock selection will allow it to be less interest rate sensitive within rate-sensitive sectors, as indicators suggest that rates will continue to rise in 2018.
* | Holdings percentage(s) as of 4/30/2018. |
** | Holding percentage(s) as of the date prior to the sale of the security |
Growth of $100,000 Investment
Total Returns as of April 30, 2018 | ||||||
Annualized Since | ||||||
Annualized | Annualized | Annualized | Inception | |||
Six Months | One Year | Three Years | Five Years | Ten Years | (12/10/04) | |
Class N | (0.33)% | 5.59% | 8.37% | 10.00% | 7.36% | 6.17% |
Class C | (0.77)% | 4.57% | 7.29% | 8.92% | 6.29% | 5.13% |
Class A with load of 5.75% | (6.18)% | (0.73)% | 6.00% | 8.43% | 6.48% | 4.98%* |
Class A without load | (0.44)% | 5.34% | 8.11% | 9.72% | 7.11% | 5.53%* |
Russell 2000 Value Index | 0.94% | 6.53% | 9.27% | 10.36% | 8.46% | 7.43% |
Morningstar Small Cap Value Category | 0.96% | 6.34% | 7.41% | 9.60% | 8.42% | 7.40% |
* | 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 1.39% for Class N, 2.39% for Class C and 1.64% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com. |
66
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Small Cap Value Fund |
April 30, 2018 |
Security | Shares | Value | ||||||
COMMON STOCKS - 99.5% | ||||||||
AEROSPACE / DEFENSE - 1.8% | ||||||||
Moog, Inc. * | 5,060 | $ | 414,768 | |||||
Triumph Group, Inc. ^ | 11,830 | 279,780 | ||||||
694,548 | ||||||||
APPAREL - 0.7% | ||||||||
Oxford Industries, Inc. | 3,300 | 254,232 | ||||||
AUTO PARTS & EQUIPMENT - 0.6% | ||||||||
Cooper Tire & Rubber Co. ^ | 8,750 | 213,938 | ||||||
BANKS - 20.2% | ||||||||
Bancorp, Inc. * | 24,318 | 251,691 | ||||||
BancFirst Corp. ^ | 4,660 | 266,319 | ||||||
BankUnited, Inc. | 12,152 | 481,341 | ||||||
Banner Corp. | 8,440 | 484,456 | ||||||
Cathay General Bancorp | 6,620 | 264,866 | ||||||
CenterState Bank Corp. | 14,580 | 422,528 | ||||||
Central Pacific Financial Corp. | 8,520 | 247,762 | ||||||
Customers Bancorp, Inc. * | 8,490 | 244,682 | ||||||
First Busey Corp. | 7,600 | 225,340 | ||||||
First Citizens BancShares, Inc. | 1,210 | 523,071 | ||||||
First Commonwealth Financial Corp. ^ | 16,700 | 252,838 | ||||||
First Interstate BancSystem, Inc. | 6,100 | 247,050 | ||||||
Franklin Financial Network, Inc. * ^ | 6,360 | 214,332 | ||||||
Fulton Financial Corp. | 21,301 | 359,987 | ||||||
Heartland Financial USA, Inc. | 5,910 | 317,072 | ||||||
HomeStreet, Inc. * ^ | 9,650 | 246,075 | ||||||
International Bancshares Corp. | 11,300 | 449,740 | ||||||
Simmons First National Corp. | 13,300 | 401,660 | ||||||
State Bank Financial Corp. | 4,592 | 144,694 | ||||||
TriCo Bancshares | 6,833 | 255,349 | ||||||
TrustCo Bank Corp NY ^ | 19,000 | 162,450 | ||||||
Trustmark Corp. | 10,085 | 315,761 | ||||||
UMB Financial Corp. ^ | 5,200 | 398,216 | ||||||
Wintrust Financial Corp. | 5,380 | 481,241 | ||||||
7,658,521 | ||||||||
BIOTECHNOLOGY - 2.0% | ||||||||
AMAG Pharmaceuticals, Inc. * ^ | 15,900 | 326,745 | ||||||
Intellia Therapeutics, Inc. * ^ | 9,530 | 190,791 | ||||||
Spectrum Pharmaceuticals, Inc. * | 15,712 | 250,135 | ||||||
767,671 | ||||||||
BUILDING MATERIALS - 2.6% | ||||||||
Cree, Inc. * ^ | 13,440 | 501,581 | ||||||
Gibraltar Industries, Inc. * | 13,600 | 478,040 | ||||||
979,621 | ||||||||
CHEMICALS - 2.5% | ||||||||
Cabot Corp. | 6,821 | 381,021 | ||||||
Minerals Technologies, Inc. | 4,576 | 315,973 | ||||||
Stepan Co. | 3,865 | 271,787 | ||||||
968,781 | ||||||||
COMMERCIAL SERVICES - 4.6% | ||||||||
Ennis, Inc. ^ | 11,390 | 203,881 | ||||||
Green Dot Corp. * | 8,530 | 518,709 | ||||||
K12, Inc. * ^ | 16,820 | 257,346 | ||||||
Quad Graphics, Inc. | 14,842 | 366,746 | ||||||
Weight Watchers International, Inc. * ^ | 5,710 | 399,986 | ||||||
1,746,668 | ||||||||
COMPUTERS - 1.1% | ||||||||
Virtusa Corp. * | 8,400 | 404,376 | ||||||
COSMETICS / PERSONAL CARE - 0.8% | ||||||||
Inter Parfums, Inc. | 6,300 | 322,560 |
Security | Shares | Value | ||||||
DIVERSIFIED FINANCIAL SERVICES - 0.9% | ||||||||
Federated Investors, Inc. ^ | 12,200 | $ | 322,934 | |||||
ELECTRIC - 3.9% | ||||||||
El Paso Electric Co. | 5,600 | 285,880 | ||||||
NorthWestern Corp. | 8,840 | 485,670 | ||||||
PNM Resources, Inc. | 5,400 | 214,110 | ||||||
Portland General Electric Co. | 11,280 | 479,174 | ||||||
1,464,834 | ||||||||
ELECTRICAL COMPONENTS & EQUIPMENT - 1.1% | ||||||||
EnerSys ^ | 6,160 | 422,330 | ||||||
ELECTRONICS - 1.8% | ||||||||
Electro Scientific Industries, Inc. * ^ | 23,000 | 414,000 | ||||||
Knowles Corp. * ^ | 20,700 | 264,960 | ||||||
678,960 | ||||||||
ENGINEERING & CONSTRUCTION - 0.7% | ||||||||
Tutor Perini Corp. * ^ | 12,860 | 265,559 | ||||||
ENTERTAINMENT - 2.1% | ||||||||
International Speedway Corp. | 10,474 | 430,481 | ||||||
Marriott Vacations Worldwide Corp. ^ | 3,090 | 378,865 | ||||||
809,346 | ||||||||
FOOD - 1.4% | ||||||||
Dean Foods Co. | 30,110 | 259,247 | ||||||
Sanderson Farms, Inc. ^ | 2,460 | 273,454 | ||||||
532,701 | ||||||||
GAS - 1.1% | ||||||||
Southwest Gas Holdings, Inc. | 5,720 | 417,503 | ||||||
HAND / MACHINE TOOLS - 0.9% | ||||||||
Regal Beloit Corp. | 4,900 | 348,880 | ||||||
HEALTHCARE - PRODUCTS - 3.4% | ||||||||
Haemonetics Corp. * ^ | 8,810 | 687,532 | ||||||
Halyard Health, Inc. * | 7,960 | 377,065 | ||||||
LifePoint Health, Inc. * ^ | 4,870 | 233,273 | ||||||
1,297,870 | ||||||||
HOME BUILDERS- 2.2% | ||||||||
Beazer Homes USA, Inc. * | 22,800 | 334,704 | ||||||
Taylor Morrison Home Corp. * | 11,710 | 278,230 | ||||||
Tempur Sealy International, Inc. * ^ | 4,700 | 210,325 | ||||||
823,259 | ||||||||
HOUSEHOLD PRODUCTS / WARES - 0.7% | ||||||||
ACCO Brands Corp. | 22,189 | 267,377 | ||||||
INSURANCE - 3.9% | ||||||||
American Equity Investment Life Holding Co. | 15,176 | 458,315 | ||||||
Navigators Group, Inc. | 3,820 | 215,830 | ||||||
Selective Insurance Group, Inc. ^ | 8,567 | 507,166 | ||||||
Universal Insurance Holdings, Inc. | 9,178 | 297,826 | ||||||
1,479,137 | ||||||||
IRON / STEEL - 1.0% | ||||||||
Schnitzer Steel Industries, Inc. ^ | 12,727 | 374,810 | ||||||
MEDIA - 1.2% | ||||||||
Gannett Co., Inc. | 23,500 | 227,245 | ||||||
Gray Television, Inc. * | 18,400 | 207,920 | ||||||
435,165 | ||||||||
METAL FABRICATE / HARDWARE - 1.0% | ||||||||
Rexnord Corp. * | 14,400 | 396,144 |
See accompanying notes to financial statements.
67
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Small Cap Value Fund (Continued) |
April 30, 2018 |
Security | Shares | Value | ||||||
COMMON STOCKS - 99.5% (Continued) | ||||||||
MISCELLANEOUS MANUFACTURING - 2.0% | ||||||||
ITT, Inc. | 8,900 | $ | 435,121 | |||||
Lydall, Inc. * | 7,430 | 331,378 | ||||||
766,499 | ||||||||
OIL & GAS - 4.6% | ||||||||
Gulfport Energy Corp. * | 23,670 | 220,131 | ||||||
Laredo Petroleum, Inc. * ^ | 32,350 | 355,850 | ||||||
Par Pacific Holdings, Inc. * | 15,780 | 266,209 | ||||||
PBF Energy, Inc. | 8,300 | 318,139 | ||||||
Penn Virginia Corp. * | 4,784 | 222,073 | ||||||
Unit Corp. * ^ | 15,778 | 357,845 | ||||||
1,740,247 | ||||||||
OIL & GAS SERVICES - 2.0% | ||||||||
Newpark Resources, Inc. * | 41,307 | 433,724 | ||||||
Oceaneering International, Inc. ^ | 15,030 | 319,237 | ||||||
752,961 | ||||||||
PHARMACEUTICALS - 0.8% | ||||||||
Anika Therapeutics, Inc. * | 7,233 | 318,324 | ||||||
REAL ESTATE - 0.9% | ||||||||
Realogy Holdings Corp. ^ | 14,000 | 347,340 | ||||||
REITS - 11.8% | ||||||||
Chatham Lodging Trust | 19,900 | 379,095 | ||||||
First Industrial Realty Trust, Inc. | 12,710 | 395,408 | ||||||
Gramercy Property Trust | 8,700 | 204,450 | ||||||
Independence Realty Trust, Inc. | 21,000 | 197,400 | ||||||
Invesco Mortgage Capital, Inc. | 23,950 | 388,709 | ||||||
National Storage Affiliates Trust | 13,600 | 357,952 | ||||||
Outfront Media, Inc. | 17,200 | 322,500 | ||||||
Piedmont Office Realty Trust, Inc. | 21,900 | 392,448 | ||||||
Preferred Apartment Communities, Inc. | 19,570 | 287,875 | ||||||
PS Business Parks, Inc. | 2,700 | 311,256 | ||||||
Ramco-Gershenson Properties Trust | 16,990 | 203,031 | ||||||
STAG Industrial, Inc. | 13,800 | 339,066 | ||||||
Summit Hotel Properties, Inc. ^ | 29,300 | 424,264 | ||||||
Tier REIT, Inc. | 14,000 | 266,140 | ||||||
4,469,594 | ||||||||
RETAIL - 2.6% | ||||||||
Denny’s Corp. * | 10,700 | 187,357 | ||||||
Dillard’s, Inc. ^ | 3,100 | 231,105 | ||||||
Red Robin Gourmet Burgers, Inc. * ^ | 4,300 | 268,105 | ||||||
Tailored Brands, Inc. | 10,000 | 315,500 | ||||||
1,002,067 | ||||||||
SAVINGS & LOANS - 2.4% | ||||||||
Flagstar Bancorp, Inc. * | 11,312 | 390,830 | ||||||
Meridian Bancorp, Inc. | 12,613 | 238,386 | ||||||
OceanFirst Financial Corp. | 10,350 | 279,243 | ||||||
908,459 |
Security | Shares | Value | ||||||
SEMICONDUCTORS - 0.5% | ||||||||
Rambus, Inc. * | 15,320 | $ | 206,820 | |||||
SOFTWARE - 1.7% | ||||||||
MicroStrategy, Inc. * | 1,970 | 251,095 | ||||||
Progress Software Corp. | 10,541 | 389,279 | ||||||
640,374 | ||||||||
TELECOMMUNICATIONS - 1.6% | ||||||||
United States Cellular Corp. * | 6,340 | 250,873 | ||||||
Viavi Solutions, Inc. * | 39,000 | 368,550 | ||||||
619,423 | ||||||||
TRANSPORTATION - 2.0% | ||||||||
ArcBest Corp. | 12,101 | 388,442 | ||||||
Echo Global Logistics, Inc. * | 13,295 | 362,953 | ||||||
751,395 | ||||||||
TRUCKING & LEASING - 0.9% | ||||||||
Greenbrier Cos., Inc. | 7,910 | 346,853 | ||||||
WATER - 1.5% | ||||||||
California Water Service Group | 10,400 | 403,000 | ||||||
SJW Group | 2,901 | 175,365 | ||||||
578,365 | ||||||||
TOTAL COMMON STOCKS - (Cost - $35,777,582) | 37,796,446 | |||||||
SHORT-TERM INVESTMENT - 0.6% | ||||||||
MONEY MARKET FUND - 0.6% | ||||||||
Invesco STIT-Treasury Portfolio Institutional Class - 1.62% + (Cost - $217,609) | 217,609 | 217,609 | ||||||
COLLATERAL FOR SECURITIES LOANED - 19.4% | ||||||||
Mount Vernon Prime Portfolio 2.00% + | 7,373,018 | 7,373,018 | ||||||
(Cost - $7,373,018) | ||||||||
TOTAL INVESTMENTS - 119.5% (Cost - $43,368,209) | $ | 45,387,073 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (19.5)% | (7,421,824 | ) | ||||||
NET ASSETS - 100.0% | $ | 37,965,249 |
REIT - Real Estate Investment Trust
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $7,055,811 at April 30, 2018. |
* | Non Income producing security. |
+ | Variable rate security - interest rate is as of April 30, 2018. |
Portfolio Composition * - (Unaudited) | ||||||||||
Financial | 33.5 | % | Utilities | 5.4 | % | |||||
Industrial | 12.5 | % | Basic Materials | 3.0 | % | |||||
Consumer, Non-cyclical | 11.6 | % | Technology | 2.8 | % | |||||
Consumer, Cyclical | 6.8 | % | Communications | 2.3 | % | |||||
Energy | 5.5 | % | Other ** | 16.6 | % | |||||
Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2018. |
** | Includes collateral for securities loaned as of April 30, 2018. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes to financial statements.
68
Dunham Emerging Markets Stock Fund (Unaudited) |
Message from the Sub-Adviser (Bailard, Inc.) |
Emerging markets stocks, as measured by the MSCI Emerging Markets Index, reversed the positive trend by decreasing 6.8 percent in the most recent fiscal quarter, after increasing 11.6 percent in the previous fiscal quarter. Combining those two varied results, the index returned 4.8 percent for the six-month period ending April 30, 2018. The emerging markets index slightly outperformed its U.S. counterpart, as measured by the S&P 500 Index, which increased 3.8 percent over the same six-month period.
The Sub-Adviser believes that across the landscape of investible countries, the great differences in culture, government policies, fiscal and monetary policies, politics and local trading create persistent mispricing opportunities that significantly affect the price of securities. The Sub-Adviser suggests that countries are a powerful contributing factor to stock returns, offer consistent dispersion, and set the stage for an investor to profit by emphasizing a country selection strategy. The Sub-Adviser focuses on individual countries and bottom-up stock selection within those countries, with an overweight or an underweight to economic sectors being largely incidental. The Sub-Adviser monitors performance in country selection and stock selection.
The Sub-Adviser’s country selection process is responsive to the current market environment and it results in a ranking of the Sub-Adviser’s most and least favorite countries. A country exposure that positively contributed to the Fund’s performance relative to the index was the underweight to India. The Fund had zero exposure to India. The Sub-Adviser felt the country was expensive and would have poor earnings growth. The decision to avoid India led to outperformance versus the benchmark in the region, as India only returned 0.9 percent for the six-month period. The Sub-Adviser also avoided investing in Indonesia, believing that the country was too expensive as well. This led to an outperformance by the Fund versus the benchmark index, as Indonesia fell 4.3 percent during the six-month period. A beneficial overweight was the allocation to Egypt, which returned 13.6 percent for the Fund during the six-month period. The Sub-Adviser believes the country is becoming less risky from an investment perspective, as companies in the region have seen strong earnings growth. Another strong performing country was Peru, which was an overweight in the Fund and returned 22 percent during the six-month period. Peru corporations saw an uptick in earnings, leading to the strong country performance. On the downside, the Fund was negatively impacted by its strong overweight to Turkey. The poor return was the result of disappointing stock performance and the rapid depreciation of the Turkish lira, as the country returned a negative 5.7 percent for the Fund. Argentina, which was a strong overweight in the Fund versus the benchmark index, also underperformed, returning a negative 7.5 percent for the Fund during the six-month period. Concerns in Argentina continue to rise surrounding its increasing U.S. Dollar-denominated debt-load. An underweight in the Fund to South Africa also adversely affected Fund performance, as it did not fully participate in the positive 12.2 percent return for the six-month period for the region. The Fund also missed some upside in the emerging markets space by having no investment exposure to Thailand, which returned 16.1 percent for the six-month period.
The Sub-Adviser selects securities from among the model’s highest ranked stocks, while preserving the country characteristics that the country model seeks. Despite the Fund’s country allocation to Argentina detracting from fund performance, stock selection within the country contributed positively to Fund performance. Mercadolibre Inc. (MELI) (holding weight*: 0.98 percent), an Argentine company that operates online marketplaces dedicated to e-commerce and online auctions, had a strong six-month period, increasing 41.3 percent. The Sub-Adviser believes that the company is not sensitive to Argentina’s overall economy. MELI is working on adding fintech and payment systems as well. The Fund had a neutral exposure to China in the portfolio when compared to the benchmark index. However, two of the top contributors to the Fund’s performance over the six-month period came from China. A Chinese holding that had a positive impact on Fund performance was Sino Biopharmaceutical Ltd (1177 HK) (holding weight*: 0.92 percent), a company that researches, develops, manufactures, and sells Chinese medicines and chemical medicines in Hong Kong, Mainland China, and internationally. The stock had a strong six-month period, increasing 82.2 percent. The Sub-Adviser believes that the performance is attributed to a very strong research and development pipeline and strong guidance. Another Chinese holding that positively contributed to Fund performance was Agile Group Holdings Limited (3383 HK) (holding weight*: 1.15 percent), a company that engages in property development, property management, hotel operation, property investment, environmental protection, and other businesses in the People’s Republic of China. Over the six-month period, the stock increased 36.9 percent. On the other end of the spectrum, a holding that detracted from Fund performance was Kingboard Chemical Holdings Ltd. (148 HK) (holding weight*: 1.34 percent). Kingboard Chemical Holdings Ltd. is a Chinese company that manufactures and distributes laminates, copper foil, methanol, caustic soda, glass fabric, glass yarn, bleached craft paper, printed circuit boards, chemicals, liquid crystal displays, and magnetic products. The stock price dropped after it missed profit expectations and did not pay an expected special dividend. The stock was down 30.6 percent for the six-month period. Another detractor was Qualicorp SA (QUAL3) (holding weight*: 0.58), a Brazil-based company primarily active in the healthcare insurance sector. The stock lost 34.8 percent for the six-month period. The stock dropped on flat revenues and disappointing guidance.
The Sub-Adviser believes the United States Dollar will continue to strengthen as interest rates rise. The Sub-Adviser continues to see more value in emerging markets versus domestic stocks if that belief comes true. The Sub-Adviser also feels that the tariff threat from the U.S. towards some emerging markets countries may end up not being as strong as originally proposed. Therefore, the trade impact to the emerging markets space may be limited. The Sub-Adviser expects that emerging markets will continue to offer opportunity for growth, as many countries within the space have young and well-educated populations. The Sub-Advise r will continue to keep a close eye on currency risk in the Fund. The Sub-Adviser believes earnings and valuations are still attractive in emerging market countries.
* | Holdings percentage(s) as of 4/30/2018. |
Growth of $100,000 Investment
Total Returns as of April 30, 2018 | ||||||
Annualized | Annualized | Annualized | Annualized Since Inception | |||
Six Months | One Year | Three Years | Five Years | Ten Years | (12/10/04) | |
Class N | 1.07% | 17.94% | 4.27% | 2.05% | 0.57% | 6.26% |
Class C | 0.59% | 16.73% | 3.23% | 1.02% | (0.43)% | 5.22% |
Class A with load of 5.75% | (4.87)% | 10.82% | 1.99% | 0.61% | (0.28)% | 0.99%* |
Class A without load | 0.93% | 17.62% | 4.02% | 1.81% | 0.32% | 1.52%* |
MSCI Emerging Markets Index (net) | 4.80% | 21.71% | 6.00% | 4.74% | 2.17% | 9.00% |
Morningstar Diversified Emerging Markets Category | 4.10% | 18.07% | 5.47% | 3.70% | 1.15% | 7.79% |
* | 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 1.75% for Class N, 2.75% for Class C and 2.00% 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 (Unaudited) |
Dunham Emerging Markets Stock Fund |
April 30, 2018 |
Security | Shares | Value | ||||||
COMMON STOCKS - 95.6% | ||||||||
AIRLINES - 0.6% | ||||||||
AirAsia Group Berhad | 450,000 | $ | 439,613 | |||||
APPAREL - 0.5% | ||||||||
LF Corp. * | 15,000 | 394,469 | ||||||
AUTO MANUFACTURERS - 1.5% | ||||||||
Geely Automobile Holdings Ltd. | 400,000 | 1,052,066 | ||||||
AUTO PARTS & EQUIPMENT - 1.7% | ||||||||
Weichai Power Co. Ltd. | 1,000,000 | 1,157,707 | ||||||
BANKS - 18.5% | ||||||||
Agricultural Bank of China Ltd. | 1,500,000 | 845,762 | ||||||
Banco Macro SA -ADR | 9,000 | 872,280 | ||||||
Banco Santander Brasil SA - ADR | 70,000 | 758,800 | ||||||
Bancolombia SA - ADR | 12,000 | 571,920 | ||||||
Barclays Africa Group Ltd. | 45,000 | 658,137 | ||||||
China Construction Bank Corp. | 1,500,000 | 1,571,569 | ||||||
China Merchants Bank Co. Ltd. | 212,000 | 924,452 | ||||||
Commercial International Bank Egypt SAE - GDR | 274,999 | 1,410,745 | ||||||
Credicorp Ltd. | 4,500 | 1,046,205 | ||||||
Grupo Financiero Galicia SA - ADR | 7,000 | 447,440 | ||||||
Hong Leong Bank Bhd * | 100,000 | 482,114 | ||||||
Industrial & Commercial Bank of China Ltd | 1,100,000 | 965,719 | ||||||
Itau Unibanco Holding SA - ADR ^ | 40,000 | 581,200 | ||||||
Sberbank of Russia PJSC - ADR * | 55,000 | 819,500 | ||||||
Turkiye Halk Bankasi AS * | 170,000 | 347,549 | ||||||
Turkiye Is Bankasi | 300,000 | 454,228 | ||||||
12,757,620 | ||||||||
BEVERAGES - 0.6% | ||||||||
Ambev SA - ADR | 60,000 | 397,200 | ||||||
CHEMICALS - 4.9% | ||||||||
Formosa Chemicals & Fibre Corp. * | 180,000 | 661,347 | ||||||
Grand Pacific Petrochemical Corporation * | 700,000 | 774,498 | ||||||
Kingboard Chemical Holdings Ltd. | 225,000 | 915,413 | ||||||
Kingboard Laminates Holdings Limited | 450,000 | 599,832 | ||||||
Petronas Chemicals Group Bhd | 205,000 | 440,420 | ||||||
3,391,510 | ||||||||
COAL - 1.2% | ||||||||
China Shenhua Energy Company | 350,000 | 858,544 | ||||||
COMMERCIAL SERVICES - 1.2% | ||||||||
Estacio Participacoes SA | 45,000 | 409,138 | ||||||
Qualicorp SA | 58,000 | 403,274 | ||||||
812,412 | ||||||||
DIVERSIFIED FINANCIAL SERVICES - 3.3% | ||||||||
Fubon Financial Holding Co. Ltd. | 350,000 | 598,800 | ||||||
Hana Financial Group, Inc. | 22,500 | 999,748 | ||||||
Investec Limited * | 88,000 | 693,131 | ||||||
2,291,679 | ||||||||
ELECTRIC - 0.4% | ||||||||
Engie Brasil Energia SA | 25,000 | 267,010 | ||||||
ELECTRICAL COMPONENTS & EQUIPMENT - 1.0% | ||||||||
Walsin Lihwa Corp. * | 1,000,000 | 679,923 |
Security | Shares | Value | ||||||
ELECTRONICS - 0.8% | ||||||||
Hannstar Display Corporation * | 2,000,000 | $ | 548,497 | |||||
ENGINEERING & CONSTRUCTION - 2.0% | ||||||||
China Communications Services Corp. | 1,200,000 | 753,423 | ||||||
Daewoo Engineering & Construction Co. * | 60,000 | 355,064 | ||||||
Ecorodovias Infraestructura e Logistica SA * | 87,000 | 249,698 | ||||||
1,358,185 | ||||||||
ENVIRONMENT - 0.7% | ||||||||
China Water Affairs Group Ltd. | 500,000 | 474,550 | ||||||
FOOD - 3.2% | ||||||||
JBS SA | 230,000 | 577,687 | ||||||
Lien Hwa Industrial Corp. * | 42,000 | 536,184 | ||||||
Orion Holdings Corp. * | 18,000 | 411,098 | ||||||
Tingyi Cayman Islands Holding Corp. | 370,000 | 701,261 | ||||||
2,226,230 | ||||||||
FOREST PRODUCTS & PAPER - 1.6% | ||||||||
Nine Dragons Paper Holdings Ltd. | 450,000 | 671,191 | ||||||
Mondi Ltd. | 15,000 | 436,965 | ||||||
1,108,156 | ||||||||
HOLDING COMPANIES - DIVERSIFIED - 2.4% | ||||||||
Barloworld Ltd. | 28,000 | 377,594 | ||||||
Imperial Holdings * | 28,500 | 547,405 | ||||||
Tekfen Holding AS | 200,000 | 756,262 | ||||||
1,681,261 | ||||||||
HOME FURNISHINGS - 2.4% | ||||||||
Arcelik AS | 70,000 | 311,879 | ||||||
LG Electronics, Inc. | 14,000 | 1,327,463 | ||||||
1,639,342 | ||||||||
INSURANCE - 3.0% | ||||||||
Cathay Financial Holding Co., Ltd. * | 400,000 | 717,503 | ||||||
Ping An Insurance Group Co of China Ltd | 90,000 | 879,471 | ||||||
Shin Kong Financial Holding Co., Ltd. * | 1,200,000 | 487,706 | ||||||
2,084,680 | ||||||||
INTERNET- 10.5% | ||||||||
58.com, Inc. - ADR * | 6,000 | 524,340 | ||||||
Alibaba Group Holding Ltd. - ADR * ^ | 13,000 | 2,321,020 | ||||||
Baidu, Inc. - ADR * | 2,000 | 501,800 | ||||||
MercadoLibre, Inc. ^ | 2,000 | 679,220 | ||||||
Tencent Holdings Ltd. | 65,000 | 3,195,753 | ||||||
7,222,133 | ||||||||
INVESTMENT COMPANIES- 0.6% | ||||||||
Hyundai Robotics Co., Ltd. * | 1,000 | 392,926 | ||||||
IRON / STEEL- 4.5% | ||||||||
Eregli Demir ve Celik Fabrikalari TAS | 300,000 | 748,291 | ||||||
Kumba Iron Ore Ltd. | 15,000 | 319,956 | ||||||
POSCO | 2,500 | 861,402 | ||||||
Severstal PJSC - GDR | 18,500 | 295,445 | ||||||
Vale SA - ADR | 65,000 | 899,600 | ||||||
3,124,694 | ||||||||
MACHINERY - 0.6% | ||||||||
SFA Engineering Corp. * | 15,000 | 453,434 | ||||||
MEDIA - 0.9% | ||||||||
Naspers Ltd. | 2,600 | 632,460 | ||||||
MINING - 0.7% | ||||||||
Southern Copper Corp. ^ | 9,000 | 475,290 |
See accompanying notes to financial statements.
70
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Emerging Markets Stock Fund (Continued) |
April 30, 2018 |
Security | Shares | Value | ||||||
COMMON STOCKS - 95.6% (Continued) | ||||||||
OIL & GAS - 4.6% | ||||||||
Ecopetrol SA - ADR ^ | 15,000 | $ | 331,200 | |||||
Lukoil PJSC - ADR | 20,000 | 1,336,000 | ||||||
Petroleo Brasileiro SA - ADR * | 60,000 | 845,400 | ||||||
SK Innovation Co., Ltd. * | 3,500 | 641,362 | ||||||
3,153,962 | ||||||||
PHARMACEUTICALS - 0.9% | ||||||||
Sino Biopharmaceutical Ltd. | 300,000 | 631,775 | ||||||
REAL ESTATE - 3.3% | ||||||||
Agile Group Holdings Limited | 400,000 | 789,078 | ||||||
Country Garden Holdings Co. Ltd. | 350,000 | 713,710 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS * | 400,000 | 239,500 | ||||||
Sino-Ocean Group Holding Limited | 750,000 | 520,798 | ||||||
2,263,086 | ||||||||
REITS - 0.5% | ||||||||
Fortress Reit Limited | 250,000 | 343,539 | ||||||
RETAIL - 2.1% | ||||||||
Dis-Chem Pharmacies Limited | 95,317 | 286,434 | ||||||
Mr. Price Group Limited | 15,000 | 328,663 | ||||||
Zhongsheng Group Holdings Ltd. | 300,000 | 860,047 | ||||||
1,475,144 | ||||||||
SEMICONDUCTORS - 13.0% | ||||||||
Macronix International Co., Ltd. * | 450,000 | 714,869 | ||||||
Powertech Technology, Inc. * | 180,000 | 515,273 | ||||||
Samsung Electronics Co. Ltd. | 1,600 | 3,965,773 | ||||||
SK Hynix, Inc. * | 7,700 | 605,559 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR | 820,000 | 3,152,900 | ||||||
8,954,374 | ||||||||
SOFTWARE - 0.8% | ||||||||
IGG Inc. | 350,000 | 526,391 | ||||||
TELECOMMUNICATIONS - 1.1% | ||||||||
SK Telecom Co Ltd. * | 1,700 | 363,227 | ||||||
Telecom Argentina SA - ADR | 12,000 | 360,480 | ||||||
723,707 | ||||||||
TOTAL COMMON STOCKS (Cost - $55,040,684) | 65,993,569 |
Security | Shares | Value | ||||||||
EXCHANGE TRADED FUND - 1.8% | ||||||||||
VanEck Vectors Vietnam ETF ^ (Cost - $1,308,834) | 70,000 | $ | 1,251,600 | |||||||
Security | Maturity Date | Interest Rate (%) | ||||||||
PREFERRED STOCKS - 1.2% | ||||||||||
BANKS - 1.2% | ||||||||||
Banco do Estado do Rio Grande do Sul SA | Perpetual | 6.0200 | 75,000 | 430,083 | ||||||
Itau Unibanco Holding SA | Perpetual | 6.1600 | 29,500 | 430,273 | ||||||
TOTAL PREFERRED STOCKS (Cost - $743,910) | 860,356 | |||||||||
Shares | ||||||||||
SHORT- TERM INVESTMENT MONEY MARKET - 1.3% | ||||||||||
First American Government Obligations Fund 1.54% + (Cost - $870,382) | 870,382 | 870,382 | ||||||||
COLLATERAL FOR SECURITIES LOANED - 7.3% | ||||||||||
Mount Vernon Prime Portfolio 2.00% + (Cost - $5,008,391) | 5,008,391 | 5,008,391 | ||||||||
TOTAL INVESTMENTS - 107.2% (Cost - $62,972,201) | $ | 73,984,298 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (7.2)% | (4,966,856 | ) | ||||||||
NET ASSETS - 100.0% | $ | 69,017,442 |
ADR - American Depositary Receipt ETF - Exchange Traded Fund
GDR - Global Depositary Receipt
* | Non-income producing security |
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $4,891,314 at April 30, 2018. |
+ | Variable rate security. Interest rate is as of April 30, 2018. |
Perpetual - Perpetual bonds are fixed income instruments without defined maturity dates.
Portfolio Composition * - (Unaudited) | ||||||||||
China | 25.9 | % | South Africa | 6.3 | % | |||||
South Korea | 14.6 | % | Hong Kong | 4.4 | % | |||||
Taiwan | 12.7 | % | Turkey | 3.9 | % | |||||
Brazil | 8.4 | % | Other Countries ** | 23.8 | % | |||||
Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2018. |
** | Includes Collateral for Securities Loaned as of April 30, 2018. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
71
Dunham Small Cap Growth Fund (Unaudited) |
Message from the Sub-Adviser (Pier Capital, LLC) |
Small cap growth stocks, as measured by the Russell 2000 Growth Index, increased 5.4 percent over the first half of the fiscal year. During the first fiscal quarter, the energy, consumer discretionary, and information technology sectors were the best performing sectors within the Russell 2000 Growth Index, while the telecommunications, healthcare, and information technology sectors led the best performing sectors in the second fiscal quarter. The dispersion between the top-performing sector and the bottom performing sector in the first fiscal quarter and second fiscal quarter was 14.6 percent and 11.1 percent, respectively. The four largest small cap growth sectors, information technology, consumer discretionary, healthcare, and industrials, constituted approximately 80 percent of the small cap growth universe. The Sub-Adviser believes markets will see further growth as weather improves and the U.S. benefits from fiscal stimulus in the near future.
The information technology sector was the largest overweight sector in the Fund and had the second largest contribution to the Fund’s performance over the first half of the fiscal year. The Sub-Adviser’s stock selection contributed positively relative to the benchmark during the six-month period. Roku, Inc. (ROKU) (holding weight*: 0.87 percent) exemplifies the type of holding the Fund benefitted from during the first fiscal quarter. ROKU manufactures a variety of streaming players that allow customers to access internet streamed videos through their television instead of paying a monthly fee for cable. In the first fiscal quarter, the Sub-Adviser believed ROKU’s valuation became too rich, so it sold the holding on November 15, 2017 for a 92.9 percent gain, an astronomical return over just 15 days. During the second fiscal quarter, as ROKU fell, the Sub-Adviser re-purchased the stock on February 2, 2018. From that point until April 30, 2018, the end of the fiscal period, ROKU lost 18.5 percent. Over the entire fiscal six-month period that the Fund held ROKU, the stock produced a solid 59.7 percent return. During the second fiscal quarter, MuleSoft, Inc. (MULE) (holding weight**: 0.96 percent), a company that provides software that connects enterprise applications, data, and devices, was a contributor to the Fund. MULE benefitted significantly from Salesforce.com, Inc.’s (CRM) (holding weight: not held) announcement on March 20, 2018, that it would acquire MULE. Subsequently, the Sub-Adviser elected to exit the position on April 10, 2018 and realize an 80.3 percent gain for the second fiscal quarter.
Within the technology sector, there were also some detractors, which the Sub-Adviser generally trimmed or eliminated during the fiscal six-month period. Lumentum Holdings, Inc. (LITE) (holding weight*: 0.39 percent), a telecommunications supply company that provides 3-D sensing technology for phones and other consumer electronics, fell 26.7 percent during the first fiscal quarter. The Sub-Adviser believed this position was tied to Apple Inc. (AAPL) (holding weight: not held), since 80 percent of LITE’s revenue was from this one client; thus, LITE’s stock fell most likely due to AAPL’s stock plummeting when investigations started over updates that slowed older iPhones. LITE increased 8.6 percent during the second fiscal quarter. A detractor during the second fiscal quarter was Mercury Systems, Inc. (MRCY) (holding weight**: 0.41 percent), a defense contractor that supplies processing subsystems and semiconductor technology for the defense electronics industry. The Sub-Adviser believes MRCY is in a consolidating industry and is currently investing largely in inventories, capital expenditures and research and development to shift its products to the next generation of technology. MRCY lost 33.2 percent during the second fiscal quarter.
The industrials sector was the second largest allocation in the Fund during the fiscal six-month period. The industrial sector was volatile, as it increased 7.15 percent in the first fiscal quarter but fell 5.85 percent in the second fiscal quarter. Aerojet RocketDyne Holdings, Inc. (AJRD) (holding weight*: 1.03 percent), which provides propulsion technology to the aerospace and defense industry, fell 12.9 percent during the first fiscal quarter, while appreciated 1.6 percent over the second fiscal quarter. Many of the companies in the industrial sector that focused on construction, distribution, and outdoor supplies suffered from inclement weather in the second fiscal quarter. For example, Saia Inc. (SAIA) (holding weight*: 0.82 percent), a freight carrier that specializes in less-than-truckload consolidation and Quanta Services Inc. (PWR) (holding weight*: 0.89 percent), an engineering and construction services company decreased 12.6 percent and 15.6 percent, respectively, due to unfavorable weather hindering operations.
The Sub-Adviser’s stock selection within the consumer discretionary sector was a positive contributor to the Fund relative to benchmark during the fiscal six-month period. One such holding was Ollie’s Bargain Outlet Holdings Inc. (OLLI) (holding weight*: 1.00 percent), an American chain of bargain retail stores. The company continues to be protected from Amazon.com, as customers use the platform in search of bargains as if it were a treasure hunt. Furthermore, the Sub-Adviser believes the tailwind from fiscal stimulus will grow stronger in the upcoming quarters and benefit the consumer discretionary sector. The stock returned 39.3 percent over the six-month period. However, other holdings in the consumer discretionary sector detracted from the Fund, including Camping World Holdings Inc. (CWH) (holding weight**: 0.42 percent), a company specializing in selling recreational vehicles and services. For the second fiscal quarter, the stock declined 12.2 percent and the Sub-Adviser sold remaining shares of the stock on March 1, 2018. This sell discipline saved the Fund from further losses, since CWH dropped an additional 17.6 percent in March.
In general, the Sub-Adviser’s approach benefits from investors favoring earnings growth over macro trends. Although the Sub-Adviser’s weighting to the industrials and healthcare sectors detracted from the Fund, the Sub-Adviser’s prudent stock selection within the information technology and consumer discretionary sectors contributed to the Fund. Furthermore, as the U.S. economy continues to show growth, the Sub-Adviser believes certain innovators within each sector may begin to experience increased attention from investors seeking the growth stories of the future.
* | Holdings percentage(s) as of 4/30/2018. |
** | Holdings percentage(s) as of the date prior to the sale of the security. |
Growth of $100,000 Investment
Total Returns as of April 30, 2018 | ||||||
Six | Annualized | Annualized | Annualized | Annualized Since Inception | ||
Months | One Year | Three Years | Five Years | Ten Years | (12/10/04) | |
Class N | 8.64% | 24.74% | 10.93% | 14.08% | 10.18% | 9.14% |
Class C | 8.08% | 23.48% | 9.83% | 12.94% | 9.08% | 8.06% |
Class A with load of 5.75% | 2.28% | 17.33% | 8.51% | 12.45% | 9.25% | 8.42%* |
Class A without load | 8.54% | 24.47% | 10.67% | 13.79% | 9.91% | 9.00%* |
Russell 2000 Growth Index | 5.46% | 16.60% | 9.89% | 13.07% | 10.41% | 9.14% |
Morningstar Small Cap Growth Category | 5.74% | 16.48% | 9.46% | 12.04% | 8.99% | 7.98% |
* | 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 1.36% for Class N, 2.36% for Class C and 1.61% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com |
72
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Small Cap Growth Fund |
April 30, 2018 |
Security | Shares | Value | ||||||
COMMON STOCKS - 96.2% | ||||||||
AEROSPACE & DEFENSE - 2.4% | ||||||||
Aerojet Rocketdyne Holdings, Inc. * ^ | 12,631 | $ | 352,910 | |||||
Cubic Corp. | 2,851 | 176,049 | ||||||
KLX, Inc. * | 4,135 | 323,481 | ||||||
852,440 | ||||||||
BANKS - 3.6% | ||||||||
FCB Financial Holdings, Inc. * | 8,209 | 474,480 | ||||||
First Merchants Corp. | 7,516 | 323,789 | ||||||
United Community Banks, Inc. | 14,749 | 470,935 | ||||||
1,269,204 | ||||||||
BIOTECHNOLOGY - 0.5% | ||||||||
REGENXBIO, Inc. * | 4,505 | 168,262 | ||||||
BUILDING MATERIALS - 1.0% | ||||||||
Summit Materials, Inc. * ^ | 12,400 | 348,936 | ||||||
COMMERICAL SERVICES - 2.9% | ||||||||
Care.com, Inc. * | 10,467 | 163,285 | ||||||
HealthEquity, Inc. * | 4,956 | 325,461 | ||||||
LendingTree, Inc. * ^ | 1,011 | 241,022 | ||||||
Quanta Services, Inc. * | 9,690 | 314,925 | ||||||
1,044,693 | ||||||||
COMPUTERS - 4.9% | ||||||||
Lumentum Holdings, Inc. * ^ | 2,733 | 137,880 | ||||||
Nutanix, Inc. * | 3,298 | 166,846 | ||||||
Pure Storage, Inc. * | 20,310 | 410,871 | ||||||
Varonis Systems, Inc. * | 5,075 | 331,651 | ||||||
Virtusa Corp. * | 6,289 | 302,752 | ||||||
WNS Holdings Ltd. - ADR * | 8,392 | 410,621 | ||||||
1,760,621 | ||||||||
DISTRIBUTION/WHOLESALE - 0.8% | ||||||||
SiteOne Landscape Supply, Inc. * | 3,992 | 273,452 | ||||||
DIVERSIFIED FINANCIAL SERVICES - 2.3% | ||||||||
Evercore, Inc. | 3,946 | 399,532 | ||||||
Moelis & Co. ^ | 7,577 | 407,643 | ||||||
807,175 | ||||||||
ELECTRICAL COMPONENTS & EQUIPMENT - 1.0% | ||||||||
Littelfuse, Inc. | 1,944 | 363,372 | ||||||
ELECTRONICS - 4.1% | ||||||||
ESCO Technologies, Inc. | 4,794 | 267,745 | ||||||
FARO Technologies, Inc. * | 3,297 | 166,499 | ||||||
FLIR Systems, Inc. | 7,071 | 378,652 | ||||||
II-VI, Inc. * | 7,708 | 293,675 | ||||||
Rogers Corp. * | 3,323 | 354,564 | ||||||
1,461,135 | ||||||||
ENGINEERING & CONSTRUCTION - 5.4% | ||||||||
Dycom Industries, Inc. * ^ | 2,758 | 286,446 | ||||||
Granite Construction, Inc. | 6,262 | 328,004 | ||||||
MasTec, Inc. * | 7,861 | 345,884 | ||||||
NV5 Global, Inc. * | 5,107 | 300,547 | ||||||
Primoris Services Corp. | 12,129 | 310,381 | ||||||
TopBuild Corp. * ^ | 4,186 | 333,624 | ||||||
1,904,886 | ||||||||
ENTERTAINMENT - 1.4% | ||||||||
Red Rock Resorts, Inc. | 5,008 | 151,192 | ||||||
Vail Resorts, Inc. ^ | 1,549 | 355,201 | ||||||
506,393 |
Security | Shares | Value | ||||||
HEALTHCARE-PRODUCTS - 7.5% | ||||||||
Abaxis, Inc. ^ | 4,682 | $ | 311,681 | |||||
Foundation Medicine, Inc. * | 2,142 | 163,542 | ||||||
iRhythm Technologies, Inc. * | 5,105 | 296,856 | ||||||
Merit Medical Systems, Inc. * | 6,998 | 339,403 | ||||||
Novocure Ltd. * | 12,476 | 340,595 | ||||||
OraSure Technologies, Inc. * | 18,691 | 331,391 | ||||||
Quidel Corp. * | 2,838 | 160,915 | ||||||
Repligen Corp. * ^ | 11,531 | 426,647 | ||||||
West Pharmaceutical Services, Inc. | 3,502 | 308,911 | ||||||
2,679,941 | ||||||||
HEALTHCARE-SERVICES - 0.9% | ||||||||
Amedisys, Inc. * | 4,909 | 324,436 | ||||||
HOME BUILDERS - 2.0% | ||||||||
Cavco Industries, Inc. * ^ | 1,998 | 340,359 | ||||||
LGI Homes, Inc. * ^ | 5,173 | 357,972 | ||||||
698,331 | ||||||||
HOME FURNISHINGS - 0.9% | ||||||||
Roku, Inc. * ^ | 9,376 | 305,095 | ||||||
INTERNET - 7.3% | ||||||||
Chegg, Inc. * ^ | 15,981 | 370,919 | ||||||
Etsy, Inc. * | 5,699 | 170,628 | ||||||
GrubHub, Inc. * ^ | 3,159 | 319,501 | ||||||
Mimecast Ltd. * | 8,497 | 323,311 | ||||||
Shutterfly, Inc. * ^ | 3,955 | 320,039 | ||||||
Stitch Fix, Inc. * ^ | 10,961 | 251,555 | ||||||
Twitter, Inc. * | 5,792 | 175,556 | ||||||
Zendesk, Inc. * | 6,746 | 328,867 | ||||||
Zscaler, Inc. * ^ | 11,569 | 345,797 | ||||||
2,606,173 | ||||||||
LODGING - 1.0% | ||||||||
Boyd Gaming Corp. | 10,371 | 344,421 | ||||||
MACHINERY-CONSTRUCTION/MINING - 1.8% | ||||||||
Astec Industries, Inc. | 5,071 | 281,745 | ||||||
BWX Technologies, Inc. | 5,224 | 354,187 | ||||||
635,932 | ||||||||
MACHINERY-DIVERSIFIED - 1.7% | ||||||||
Altra Industrial Motion Corp. ^ | 6,842 | 284,969 | ||||||
Kadant, Inc. | 1,630 | 150,368 | ||||||
Welbilt, Inc. * | 8,281 | 158,664 | ||||||
594,001 | ||||||||
MISCELLANEOUS MANUFACTURING - 2.2% | ||||||||
John Bean Technologies Corp. | 1,477 | 159,147 | ||||||
Proto Labs, Inc. * | 2,644 | 315,033 | ||||||
Raven Industries, Inc. | 8,659 | 316,919 | ||||||
791,099 | ||||||||
OIL & GAS - 2.1% | ||||||||
Callon Petroleum Co. * ^ | 23,765 | 330,571 | ||||||
Matador Resources Co. * ^ | 13,011 | 425,980 | ||||||
756,551 | ||||||||
OIL & GAS SERVICES - 1.3% | ||||||||
Liberty Oilfield Services, Inc. * ^ | 23,022 | 459,059 | ||||||
PHARMACEUTICALS - 1.7% | ||||||||
Catalent, Inc. * | 10,540 | 433,299 | ||||||
Diplomat Pharmacy, Inc. * | 7,430 | 161,900 | ||||||
595,199 |
See accompanying notes to financial statements.
73
SCHEDULE OF INVESTMENTS (Unaudited) |
Dunham Small Cap Growth Fund (Continued) |
April 30, 2018 |
Security | Shares | Value | ||||||
COMMON STOCKS - 96.2% (Continued) | ||||||||
REAL ESTATE - 1.1% | ||||||||
Redfin Corp. * ^ | 18,840 | $ | 403,176 | |||||
RETAIL - 4.9% | ||||||||
At Home Group, Inc. * ^ | 9,292 | 326,985 | ||||||
Floor & Decor Holdings, Inc. * | 3,298 | 183,336 | ||||||
Ollie’s Bargain Outlet Holdings, Inc. * ^ | 5,693 | 354,105 | ||||||
PetIQ, Inc. * ^ | 6,444 | 144,023 | ||||||
Texas Roadhouse, Inc. | 7,779 | 498,478 | ||||||
Wingstop, Inc. ^ | 4,736 | 231,401 | ||||||
1,738,328 | ||||||||
SEMICONDUCTORS - 3.2% | ||||||||
Power Integrations, Inc. | 3,948 | 267,674 | ||||||
Semtech Corp. * | 7,067 | 277,733 | ||||||
Silicon Laboratories, Inc. * ^ | 3,315 | 307,964 | ||||||
Tower Semiconductor Ltd. * | 10,642 | 275,309 | ||||||
1,128,680 | ||||||||
SOFTWARE - 19.1% | ||||||||
Altair Engineering, Inc. * ^ | 11,291 | 327,213 | ||||||
Alteryx, Inc. * ^ | 7,670 | 239,687 | ||||||
Apptio, Inc. * | 12,149 | 358,517 | ||||||
Atlassian Corp. PLC * | 5,819 | 325,748 | ||||||
Blackline, Inc. * | 10,444 | 432,382 | ||||||
Bottomline Technologies, Inc. * | 8,056 | 318,373 | ||||||
Box, Inc. * | 7,645 | 174,765 | ||||||
Coupa Software, Inc. * | 3,372 | 156,360 | ||||||
Everbridge, Inc. * ^ | 10,065 | 375,928 | ||||||
Instructure, Inc. * | 7,305 | 296,218 | ||||||
LivePerson, Inc. * ^ | 19,928 | 334,790 | ||||||
ManTech International Corp. | 7,249 | 428,343 | ||||||
New Relic, Inc. * | 4,726 | 330,300 | ||||||
Omnicell, Inc. * ^ | 3,722 | 160,418 | ||||||
SendGrid, Inc. * | 11,895 | 343,290 | ||||||
ServiceNow, Inc. * | 3,221 | 535,137 | ||||||
Smartsheet, Inc. * | 7,209 | 139,134 | ||||||
Splunk, Inc. * | 3,473 | 356,503 | ||||||
Tabula Rasa HealthCare, Inc. * | 7,588 | 311,032 | ||||||
Take-Two Interactive Software, Inc. * | 5,280 | 526,469 | ||||||
Talend SA * | 6,585 | 321,348 | ||||||
6,791,955 |
Security | Shares | Value | ||||||
TELECOMMUNICATIONS - 2.2% | ||||||||
Acacia Communications, Inc. * ^ | 6,157 | $ | 173,319 | |||||
Quantenna Communications, Inc. * ^ | 22,285 | 282,351 | ||||||
Vonage Holdings Corp. * | 30,910 | 345,574 | ||||||
801,244 | ||||||||
TRANSPORTATION - 5.0% | ||||||||
Air Transport Services Group, Inc. * ^ | 17,288 | 349,909 | ||||||
Atlas Air Worldwide Holdings, Inc. * ^ | 6,381 | 404,555 | ||||||
CryoPort, Inc. * ^ | 22,218 | 160,192 | ||||||
Marten Transport Ltd. ^ | 19,567 | 381,556 | ||||||
Old Dominion Freight Line, Inc. ^ | 1,320 | 176,695 | ||||||
Saia, Inc. * | 4,377 | 289,101 | ||||||
1,762,008 | ||||||||
TOTAL COMMON STOCKS (Cost - $28,983,150) | 34,176,198 | |||||||
SHORT-TERM INVESTMENT - 3.0% | ||||||||
MONEY MARKET FUND - 3.0% | ||||||||
Fidelity Investment Money Market Fund - Class I 1.58% + | 1,063,887 | 1,063,887 | ||||||
TOTAL SHORT-TERM INVESTMENT (Cost - $1,063,887) | ||||||||
COLLATERAL FOR SECURITIES LOANED - 28.9% | ||||||||
Mount Vernon Prime Portfolio, 2.00% + (Cost - $10,281,521) | 10,281,521 | 10,281,521 | ||||||
TOTAL INVESTMENTS - 128.1% (Cost - $40,328,558) | $ | 45,521,606 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (28.1)% | (9,988,158 | ) | ||||||
NET ASSETS - 100.0% | $ | 35,533,448 |
^ | All or a portion of these securities are on loan. Total loaned securities had a value of $10,040,315 at April 30, 2018. |
* | Non-Income producing security. |
+ | Variable rate security. Interest rate is as of April 30, 2018. |
ADR - American Depositary Receipt.
Portfolio Composition * - (Unaudited) | ||||||||||
Collateral For Securities Loaned | 22.6 | % | Communication | 7.5 | % | |||||
Technology | 21.3 | % | Financial | 5.4 | % | |||||
Industrial | 19.1 | % | Energy | 2.7 | % | |||||
Consumer, Non-Cyclical | 10.6 | % | Short-Term Investment | 2.3 | % | |||||
Consumer, Cyclical | 8.5 | % | Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2018. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes to financial statements.
74
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) |
April 30, 2018 |
Dunham | Dunham | Dunham | ||||||||||||||||||||||||||
Dunham | Corporate / | Monthly | Dunham | Dunham | Dunham | International | ||||||||||||||||||||||
Floating Rate | Government | Distribution | Dynamic Macro | High-Yield | Alternative | Opportunity | ||||||||||||||||||||||
Bond Fund | Bond Fund | Fund | Fund | Bond Fund | Dividend Fund | Bond Fund | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||
Investments in securities, at cost | $ | 207,535,051 | $ | 61,001,728 | $ | 362,773,053 | $ | 47,453,472 | $ | 134,099,012 | $ | 73,286,675 | $ | 33,367,436 | ||||||||||||||
Investments in securities, at value | $ | 207,438,650 | $ | 60,184,540 | $ | 357,681,066 | $ | 51,999,074 | $ | 132,232,551 | $ | 73,357,630 | $ | 34,651,148 | ||||||||||||||
Cash | 62,324 | 1,996 | 420,000 | — | — | — | 140,000 | |||||||||||||||||||||
Foreign currency, at value (cost $4,823,442, $831 and $78,717, respectively) | — | — | 4,697,364 | 841 | — | — | 78,168 | |||||||||||||||||||||
Deposits with brokers | — | — | 1,941,680 | — | — | — | 124,003 | |||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | — | — | — | 276,892 | |||||||||||||||||||||
Unrealized appreciation on futures | — | — | — | 379,819 | — | — | 29,679 | |||||||||||||||||||||
Receivable for securities sold | 430,039 | 271,116 | 20,295,239 | — | 48,120 | 1,972,768 | 373,063 | |||||||||||||||||||||
Receivable for swaps | — | — | 18,139 | — | — | — | — | |||||||||||||||||||||
Interest and dividends receivable | 936,400 | 457,957 | 337,498 | 9,393 | 1,680,003 | 210,604 | 256,703 | |||||||||||||||||||||
Receivable for Fund shares sold | 41,700 | 11,294 | 164,230 | 19,740 | 22,818 | 82,587 | 7,669 | |||||||||||||||||||||
Prepaid expenses and other assets | 23,778 | 21,937 | 6,084 | 21,950 | 42,840 | 7,242 | 11,667 | |||||||||||||||||||||
Total Assets | 208,932,891 | 60,948,840 | 385,561,300 | 52,430,817 | 134,026,332 | 75,630,831 | 35,948,992 | |||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Option contracts written (premiums received $1,521,411 and $16,413, respectively) | — | — | 994,895 | 5,013 | — | — | — | |||||||||||||||||||||
Payable upon return of securities loaned | 1,735,350 | 5,513,346 | 9,394,734 | 8,369,676 | 19,155,280 | 10,786,692 | — | |||||||||||||||||||||
Securities sold short (proceeds $56,581,680) | — | — | 56,757,372 | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | — | — | — | 327,942 | |||||||||||||||||||||
Unrealized depreciation on futures | — | — | — | 227,459 | — | — | 34,553 | |||||||||||||||||||||
Unrealized depreciation on swaps | — | — | 15,170 | — | — | — | — | |||||||||||||||||||||
Payable for dividends on short sales | — | — | 95,999 | — | — | — | — | |||||||||||||||||||||
Payable to broker for futures | — | — | — | 483,112 | — | — | — | |||||||||||||||||||||
Payable for securities purchased | 13,368,472 | 451,498 | 33,534,187 | — | 1,311,191 | 639,184 | 415,685 | |||||||||||||||||||||
Payable for Fund shares redeemed | 169,894 | 20,392 | 182,213 | 55,599 | 114,652 | 18,020 | 10,569 | |||||||||||||||||||||
Distributions payable | 2,879 | 927 | 65,542 | — | 8,765 | — | — | |||||||||||||||||||||
Payable to adviser | 78,669 | 12,668 | — | 22,801 | 45,405 | 32,845 | 17,890 | |||||||||||||||||||||
Payable to sub-adviser | 225,549 | 23,282 | 219,828 | 27,307 | 123,199 | 6,360 | 7,190 | |||||||||||||||||||||
Payable for distribution fees | 5,481 | 4,854 | 39,424 | 3,681 | 18,083 | 1,063 | 1,549 | |||||||||||||||||||||
Payable for administration fees | 2,031 | 2,887 | 14,946 | 6,036 | 11,681 | 462 | 486 | |||||||||||||||||||||
Payable for fund accounting fees | 10,156 | 509 | 7,034 | 1,853 | — | 1,832 | 1,298 | |||||||||||||||||||||
Payable for transfer agent fees | 2,086 | 545 | 2,693 | 2,244 | 255 | 876 | 683 | |||||||||||||||||||||
Payable for custody fees | — | 1,000 | — | 2,091 | — | 1,509 | — | |||||||||||||||||||||
Payable for shareholder servicing fees | — | 2,082 | 17,219 | 481 | — | — | — | |||||||||||||||||||||
Interest payable security lending | — | — | — | — | 2,782 | — | — | |||||||||||||||||||||
Accrued expenses and other liabilities | 3,408 | 8,706 | 89,704 | 20,686 | 1,072 | 24,496 | 25,259 | |||||||||||||||||||||
Total Liabilities | 15,603,975 | 6,042,696 | 101,430,960 | 9,228,039 | 20,792,365 | 11,513,339 | 843,104 | |||||||||||||||||||||
Net Assets | $ | 193,328,916 | $ | 54,906,144 | $ | 284,130,340 | $ | 43,202,778 | $ | 113,233,967 | $ | 64,117,492 | $ | 35,105,888 | ||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||
Paid in capital | $ | 195,937,893 | $ | 58,420,441 | $ | 297,139,160 | $ | 42,516,411 | $ | 120,386,661 | $ | 66,625,609 | $ | 33,650,381 | ||||||||||||||
Accumulated net investment income (loss) | 3,452 | 12,877 | (2,480,688 | ) | (205,887 | ) | 43,605 | 251,891 | (244,797 | ) | ||||||||||||||||||
Accumulated net realized gain (loss) on investments, options, securities sold short, futures, swap contracts, and foreign currency transactions | (2,516,028 | ) | (2,709,986 | ) | (5,818,416 | ) | (3,825,946 | ) | (5,329,838 | ) | (2,830,963 | ) | 474,838 | |||||||||||||||
Net unrealized appreciation (depreciation) on investments, options, securities sold short, futures, and foreign currency translations | (96,401 | ) | (817,188 | ) | (4,709,716 | ) | 4,718,200 | (1,866,461 | ) | 70,955 | 1,225,466 | |||||||||||||||||
Net Assets | $ | 193,328,916 | $ | 54,906,144 | $ | 284,130,340 | $ | 43,202,778 | $ | 113,233,967 | $ | 64,117,492 | $ | 35,105,888 | ||||||||||||||
Net Asset Value Per Share | ||||||||||||||||||||||||||||
Class N Shares: | ||||||||||||||||||||||||||||
Net Assets | $ | 166,427,477 | $ | 46,482,427 | $ | 206,653,223 | $ | 34,673,167 | $ | 93,427,351 | $ | 61,894,776 | $ | 30,281,478 | ||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 17,150,703 | 3,486,992 | 5,886,008 | 3,511,665 | 10,488,463 | 5,415,259 | 3,166,785 | |||||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 9.70 | $ | 13.33 | $ | 35.11 | $ | 9.87 | $ | 8.91 | $ | 11.43 | $ | 9.56 | ||||||||||||||
Class A Shares: | ||||||||||||||||||||||||||||
Net Assets | $ | 20,200,601 | $ | 5,424,909 | $ | 44,131,537 | $ | 6,711,186 | $ | 12,284,756 | $ | 1,167,422 | $ | 3,395,847 | ||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 2,083,594 | 407,438 | 1,292,950 | 684,017 | 1,366,293 | 102,349 | 357,986 | |||||||||||||||||||||
Net asset value and redemption price per share * | $ | 9.70 | $ | 13.31 | $ | 34.13 | $ | 9.81 | $ | 8.99 | $ | 11.41 | $ | 9.49 | ||||||||||||||
Front-end sales charge factor | 0.9550 | 0.9550 | 0.9425 | 0.9425 | 0.9550 | 0.9425 | 0.9550 | |||||||||||||||||||||
Offering price per share (Net asset value per share / front-end sales charge factor) | $ | 10.16 | $ | 13.94 | $ | 36.21 | $ | 10.41 | $ | 9.41 | $ | 12.11 | $ | 9.93 | ||||||||||||||
Class C Shares: | ||||||||||||||||||||||||||||
Net Assets | $ | 6,700,838 | $ | 2,998,808 | $ | 33,345,580 | $ | 1,818,425 | $ | 7,521,860 | $ | 1,055,294 | $ | 1,428,563 | ||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 690,841 | 226,787 | 1,209,436 | 193,424 | 848,480 | 92,661 | 153,602 | |||||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 9.70 | $ | 13.22 | $ | 27.57 | $ | 9.40 | $ | 8.87 | $ | 11.39 | $ | 9.30 | ||||||||||||||
* | For certain purchases of $1 million or more, a 0.75% contingent deferred sales charge may apply See to accompanying notes to financial redemptions made within eighteen months of purchase. |
See accompanying notes to financial statements.
75
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) (Continued) |
April 30, 2018 |
Dunham | Dunham | |||||||||||||||||||||||||||||||
Dunham | Dunham | Focused | Dunham | Dunham | Dunham | Emerging | Dunham | |||||||||||||||||||||||||
Appreciation & | Large Cap | Large Cap | International | Real Estate | Small Cap | Markets | Small Cap | |||||||||||||||||||||||||
Income Fund | Value Fund | Growth Fund | Stock Fund | Stock Fund | Value Fund | Stock Fund | Growth Fund | |||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments in securities, at cost | $ | 19,259,285 | $ | 69,274,522 | $ | 73,761,009 | $ | 106,241,458 | $ | 58,114,401 | $ | 43,368,209 | $ | 62,972,201 | $ | 40,328,558 | ||||||||||||||||
Investments in securities, at value | $ | 20,346,857 | $ | 82,948,572 | $ | 105,005,846 | $ | 121,985,054 | $ | 61,064,276 | $ | 45,387,073 | $ | 73,984,298 | $ | 45,521,606 | ||||||||||||||||
Foreign currency, at value (cost $275,443) | — | — | — | 251,261 | — | — | — | — | ||||||||||||||||||||||||
Cash | — | — | — | 12,435 | — | — | — | — | ||||||||||||||||||||||||
Receivable for securities sold | — | — | — | 940,767 | 443,786 | — | — | 787,580 | ||||||||||||||||||||||||
Interest and dividends receivable | 83,577 | 99,884 | 9,550 | 680,496 | 10,924 | 13,099 | 107,538 | 7,066 | ||||||||||||||||||||||||
Receivable for Fund shares sold | 6,471 | 34,777 | 108,113 | 52,313 | 21,924 | 15,165 | 28,097 | 12,034 | ||||||||||||||||||||||||
Receivable from Administrator | — | — | 1,450 | — | — | — | — | — | ||||||||||||||||||||||||
Prepaid expenses and other assets | 38,189 | 24,317 | 43,278 | 24,980 | 31,532 | 25,235 | 24,902 | 56,741 | ||||||||||||||||||||||||
Total Assets | 20,475,094 | 83,107,550 | 105,168,237 | 123,947,306 | 61,572,442 | 45,440,572 | 74,144,835 | 46,385,027 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Payable upon return of securities loaned | 1,455,775 | 7,713,963 | 24,750,024 | 5,883,467 | 7,050,085 | 7,373,018 | 5,008,391 | 10,281,521 | ||||||||||||||||||||||||
Payable for securities purchased | — | 323,757 | — | — | 512,648 | — | 461,782 | |||||||||||||||||||||||||
Payable for Fund shares redeemed | 167,046 | 79,314 | 89,446 | 168,885 | 60,844 | 38,330 | 45,501 | 27,400 | ||||||||||||||||||||||||
Payable to adviser | 1,243 | 43,685 | 20,114 | 60,799 | — | 20,075 | 37,020 | — | ||||||||||||||||||||||||
Payable to sub-adviser | 22,435 | 31,306 | 54,277 | 74,551 | 32,557 | 12,787 | 13,451 | 48,062 | ||||||||||||||||||||||||
Payable for distribution fees | 7,458 | 6,923 | 8,240 | 12,013 | — | 3,729 | 7,575 | 9,278 | ||||||||||||||||||||||||
Payable for administration fees | — | 5,748 | 14,912 | 5,157 | 5,085 | 2,111 | 3,464 | 2,550 | ||||||||||||||||||||||||
Payable for fund accounting fees | 179 | 3,577 | 9,114 | 1,893 | 2,248 | 2,316 | 2,102 | — | ||||||||||||||||||||||||
Payable for transfer agent fees | — | 401 | 1,787 | 576 | 3,859 | 1,499 | 3,566 | 656 | ||||||||||||||||||||||||
Payable for custody fees | 86 | 5,979 | 2,055 | 48,854 | — | 2,403 | 1,553 | 4,122 | ||||||||||||||||||||||||
Payable for shareholder servicing fees | — | 969 | — | 5,207 | 3,779 | 1,123 | 311 | 650 | ||||||||||||||||||||||||
Line of credit outstanding | — | — | — | 390,000 | — | — | — | — | ||||||||||||||||||||||||
Accrued expenses and other liabilities | 9,243 | 16,116 | 9,822 | 550 | 8,668 | 17,932 | 4,459 | 15,558 | ||||||||||||||||||||||||
Total Liabilities | 1,663,465 | 8,231,738 | 24,959,791 | 6,651,952 | 7,679,773 | 7,475,323 | 5,127,393 | 10,851,579 | ||||||||||||||||||||||||
Net Assets | $ | 18,811,629 | $ | 74,875,812 | $ | 80,208,446 | $ | 117,295,354 | $ | 53,892,669 | $ | 37,965,249 | $ | 69,017,442 | $ | 35,533,448 | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Paid in capital | $ | 19,735,484 | $ | 59,761,214 | $ | 46,640,382 | $ | 96,347,782 | $ | 51,704,345 | $ | 33,591,045 | $ | 57,829,935 | $ | 25,986,937 | ||||||||||||||||
Accumulated net investment income (loss) | (129,492 | ) | 95,352 | (1,019,412 | ) | (174,708 | ) | 405,355 | (25,137 | ) | (183,135 | ) | (219,012 | ) | ||||||||||||||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | (1,881,935 | ) | 1,345,196 | 3,342,639 | 5,382,405 | (1,166,906 | ) | 2,380,477 | 357,708 | 4,572,475 | ||||||||||||||||||||||
Net unrealized appreciation on investments and foreign currency translations | 1,087,572 | 13,674,050 | 31,244,837 | 15,739,875 | 2,949,875 | 2,018,864 | 11,012,934 | 5,193,048 | ||||||||||||||||||||||||
Net Assets | $ | 18,811,629 | $ | 74,875,812 | $ | 80,208,446 | $ | 117,295,354 | $ | 53,892,669 | $ | 37,965,249 | $ | 69,017,442 | $ | 35,533,448 | ||||||||||||||||
Net Asset Value Per Share | ||||||||||||||||||||||||||||||||
Class N Shares: | ||||||||||||||||||||||||||||||||
Net Assets | $ | 12,459,303 | $ | 58,403,317 | $ | 58,617,295 | $ | 93,123,329 | $ | 43,932,732 | $ | 29,740,376 | $ | 55,442,386 | $ | 25,203,881 | ||||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 1,436,398 | 4,090,749 | 2,745,834 | 5,317,732 | 2,968,888 | 1,904,339 | 3,475,868 | 1,327,487 | ||||||||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 8.67 | $ | 14.28 | $ | 21.35 | $ | 17.51 | $ | 14.80 | $ | 15.62 | $ | 15.95 | $ | 18.99 | ||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||||||||||
Net Assets | $ | 3,472,603 | $ | 12,129,468 | $ | 14,656,884 | $ | 17,741,868 | $ | 7,642,972 | $ | 5,931,918 | $ | 10,003,960 | $ | 7,653,992 | ||||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 400,955 | 853,083 | 697,864 | 1,019,639 | 512,293 | 383,488 | 641,131 | 420,471 | ||||||||||||||||||||||||
Net asset value, and redemption price per share * | $ | 8.66 | $ | 14.22 | $ | 21.00 | $ | 17.40 | $ | 14.92 | $ | 15.47 | $ | 15.60 | $ | 18.20 | ||||||||||||||||
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) | $ | 9.19 | $ | 15.09 | $ | 22.28 | $ | 18.46 | $ | 15.83 | $ | 16.41 | $ | 16.56 | $ | 19.31 | ||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||||||||||
Net Assets | $ | 2,879,723 | $ | 4,343,027 | $ | 6,934,267 | $ | 6,430,157 | $ | 2,316,965 | $ | 2,292,955 | $ | 3,571,096 | $ | 2,675,575 | ||||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 340,062 | 319,184 | 346,306 | 388,527 | 164,456 | 166,317 | 241,660 | 177,736 | ||||||||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 8.47 | $ | 13.61 | $ | 20.02 | $ | 16.55 | $ | 14.09 | $ | 13.79 | $ | 14.78 | $ | 15.05 | ||||||||||||||||
* | 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.
76
STATEMENTS OF OPERATIONS (Unaudited) |
For the Six Months Ended April 30, 2018 |
Dunham | Dunham | Dunham | ||||||||||||||||||||||||||
Dunham | Corporate / | Monthly | Dunham | Dunham | Dunham | International | ||||||||||||||||||||||
Floating Rate | Government | Distribution | Dynamic Macro | High-Yield | Alternative | Opportunity | ||||||||||||||||||||||
Bond Fund | Bond Fund | Fund | Fund | Bond Fund | Dividend Fund | Bond Fund | ||||||||||||||||||||||
Investment Income: | ||||||||||||||||||||||||||||
Interest income | $ | 4,039,050 | $ | 1,310,532 | $ | 401,413 | $ | 107,767 | $ | 3,459,311 | $ | 39,983 | $ | 173,846 | ||||||||||||||
Dividend income | 60,347 | 3,222 | 2,007,349 | 224,840 | 13,774 | 1,479,214 | — | |||||||||||||||||||||
Securities lending income | 4,139 | 6,340 | 13,495 | 24,813 | 37,743 | 13,987 | — | |||||||||||||||||||||
Less: Foreign withholding taxes | — | — | (17,793 | ) | (29 | ) | — | (8,573 | ) | — | ||||||||||||||||||
Total Investment Income | 4,103,536 | 1,320,094 | 2,404,464 | 357,391 | 3,510,828 | 1,524,611 | 173,846 | |||||||||||||||||||||
Operating Expenses: | ||||||||||||||||||||||||||||
Investment advisory fees | 544,562 | 177,833 | 916,238 | 138,271 | 362,742 | 140,804 | 111,639 | |||||||||||||||||||||
Sub-advisory fees | 449,796 | 106,700 | 904,306 | 159,544 | 193,462 | 120,369 | 83,729 | |||||||||||||||||||||
Sub-advisory performance fees | (114,095 | ) | 3,004 | (861,288 | ) | 53,273 | (5,589 | ) | (59,054 | ) | (31,425 | ) | ||||||||||||||||
Fund accounting fees | 25,869 | 7,007 | 27,523 | 5,254 | 2,145 | 4,565 | 4,087 | |||||||||||||||||||||
Distribution fees- Class C Shares | 23,170 | 11,523 | 168,185 | 9,341 | 28,333 | 5,701 | 5,087 | |||||||||||||||||||||
Distribution fees- Class A Shares | 21,976 | 7,908 | 53,936 | 7,689 | 14,798 | 1,221 | 4,068 | |||||||||||||||||||||
Administration fees | 67,077 | 47,878 | 68,642 | 15,180 | 58,986 | 9,166 | 21,020 | |||||||||||||||||||||
Registration fees | 22,315 | 32,026 | 44,054 | 30,851 | 13,389 | 22,316 | 24,869 | |||||||||||||||||||||
Transfer agent fees | 18,578 | 9,926 | 24,430 | 9,926 | 13,656 | 9,132 | 8,759 | |||||||||||||||||||||
Custodian fees | 6,212 | 9,926 | (276,209 | ) | 4,672 | 3,274 | 4,827 | 21,602 | ||||||||||||||||||||
Professional fees | 12,026 | 14,223 | 17,230 | 13,030 | 11,274 | 2,925 | 13,030 | |||||||||||||||||||||
Chief Compliance Officer fees | 14,907 | 4,022 | 15,023 | 8,759 | 9,331 | 2,306 | 4,022 | |||||||||||||||||||||
Printing and postage expense | 5,106 | 3,720 | 21,101 | 4,215 | 3,149 | 3,482 | 3,720 | |||||||||||||||||||||
Trustees’ fees | 12,594 | 2,715 | 20,116 | 1,508 | 10,907 | 2,657 | 2,715 | |||||||||||||||||||||
Insurance expense | 433 | 588 | 21,575 | 373 | 1,904 | 308 | 286 | |||||||||||||||||||||
Interest expense | — | — | 783,924 | — | — | — | — | |||||||||||||||||||||
Shareholder servicing fees | 351 | 1,475 | 16,554 | 644 | 94 | 2,480 | 744 | |||||||||||||||||||||
Dividend expense on short sales | — | — | 667,584 | — | — | — | — | |||||||||||||||||||||
Miscellaneous expenses | 5,473 | 1,984 | 369 | 1,984 | 2,223 | 38 | 4,085 | |||||||||||||||||||||
Net Operating Expenses | 1,116,350 | 442,458 | 2,633,293 | 464,514 | 724,078 | 273,243 | 282,037 | |||||||||||||||||||||
Net Investment Income (Loss) | 2,987,186 | 877,636 | (228,829 | ) | (107,123 | ) | 2,786,750 | 1,251,368 | (108,191 | ) | ||||||||||||||||||
Realized and Unrealized Gain (Loss) on Investments, Futures, Options Purchased, Securities Sold Short, Written Options, Swap Contracts, Foreign Currency Transactions, and Foreign Currency Exchange Contracts: | ||||||||||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||||||||||
Investments | 24,887 | (837,459 | ) | 12,225,191 | (2,922 | ) | (62,818 | ) | (1,623,654 | ) | 105,722 | |||||||||||||||||
Futures | — | — | — | 785,724 | — | — | (3,401 | ) | ||||||||||||||||||||
Options purchased | — | — | (2,784,960 | ) | (1,624,021 | ) | — | 1,575,047 | — | |||||||||||||||||||
Securities sold short | — | — | (8,143,776 | ) | — | — | — | — | ||||||||||||||||||||
Written options | — | — | 1,619,781 | (337,460 | ) | — | — | — | ||||||||||||||||||||
Swap contracts | — | — | (38,365 | ) | — | — | — | — | ||||||||||||||||||||
Foreign currency transactions | — | — | — | (17,823 | ) | — | — | 374,369 | ||||||||||||||||||||
Foreign currency exchange contracts | — | — | 84,241 | — | — | — | — | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||
Investments | (366,322 | ) | (1,688,759 | ) | (17,238,223 | ) | 124,762 | (4,103,777 | ) | 1,152,160 | 727,028 | |||||||||||||||||
Futures | — | — | — | (361,621 | ) | — | — | 25,191 | ||||||||||||||||||||
Options purchased | — | — | 1,660,620 | 260,798 | — | (1,408,202 | ) | — | ||||||||||||||||||||
Securities sold short | — | — | 4,840,436 | — | — | — | — | |||||||||||||||||||||
Written options | — | — | 1,036,492 | (3,608 | ) | — | — | — | ||||||||||||||||||||
Swap contracts | — | — | (15,170 | ) | — | — | — | — | ||||||||||||||||||||
Foreign currency translations | — | — | — | 8,848 | — | — | (20,737 | ) | ||||||||||||||||||||
Foreign currency exchange contracts | — | — | — | — | — | — | (69,487 | ) | ||||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | (341,435 | ) | (2,526,218 | ) | (6,753,733 | ) | (1,167,323 | ) | (4,166,595 | ) | (304,649 | ) | 1,138,685 | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 2,645,751 | $ | (1,648,582 | ) | $ | (6,982,562 | ) | $ | (1,274,446 | ) | $ | (1,379,845 | ) | $ | 946,719 | $ | 1,030,494 | ||||||||||
See accompanying notes to financial statements.
77
STATEMENTS OF OPERATIONS (Unaudited) (Continued) |
For the Six Months Ended April 30, 2018 |
Dunham | Dunham | |||||||||||||||||||||||||||||||
Dunham | Dunham | Focused | Dunham | Dunham | Dunham | Emerging | Dunham | |||||||||||||||||||||||||
Appreciation & | Large Cap | Large Cap | International | Real Estate | Small Cap | Markets | Small Cap | |||||||||||||||||||||||||
Income Fund | Value Fund | Growth Fund | Stock Fund | Stock Fund | Value Fund | Stock Fund | Growth Fund | |||||||||||||||||||||||||
Investment Income: | ||||||||||||||||||||||||||||||||
Interest income | $ | 122,923 | $ | 10,181 | $ | 9,395 | $ | 11,893 | $ | 6,226 | $ | 3,751 | $ | 5,948 | $ | 4,593 | ||||||||||||||||
Dividend income | 63,409 | 765,111 | 89,125 | 1,485,937 | 897,463 | 259,724 | 698,283 | 91,077 | ||||||||||||||||||||||||
Securities lending income | 5,482 | 9,690 | 9,251 | 6,606 | 5,696 | 5,773 | 5,311 | 35,944 | ||||||||||||||||||||||||
Less: Foreign withholding taxes | — | — | — | (155,964 | ) | — | — | (80,899 | ) | — | ||||||||||||||||||||||
Total Investment Income | 191,814 | 784,982 | 107,771 | 1,348,472 | 909,385 | 269,248 | 628,643 | 131,614 | ||||||||||||||||||||||||
Operating Expenses: | ||||||||||||||||||||||||||||||||
Investment advisory fees | 61,728 | 236,409 | 262,020 | 376,129 | 151,799 | 102,959 | 214,554 | 114,833 | ||||||||||||||||||||||||
Sub-advisory fees | 49,568 | 109,112 | 141,088 | 376,129 | 93,415 | 71,040 | 165,042 | 88,333 | ||||||||||||||||||||||||
Sub-advisory performance fees | (16,740 | ) | 66,217 | (5,544 | ) | (42,717 | ) | (58,030 | ) | 20,792 | (104,954 | ) | 88,169 | |||||||||||||||||||
Fund accounting fees | 1,810 | 8,759 | 16,109 | 11,678 | 6,232 | 4,087 | 8,174 | 1,748 | ||||||||||||||||||||||||
Distribution fees- Class C Shares | 14,202 | 22,873 | 34,699 | 32,447 | 11,592 | 12,413 | 17,437 | 13,480 | ||||||||||||||||||||||||
Distribution fees- Class A Shares | 4,117 | 13,810 | 17,552 | 20,781 | 8,131 | 6,164 | 11,211 | 9,114 | ||||||||||||||||||||||||
Administration fees | 5,830 | 19,852 | 31,928 | 47,878 | 15,751 | 8,759 | 22,772 | 12,078 | ||||||||||||||||||||||||
Registration fees | 12,397 | 31,639 | 2,480 | 31,766 | 19,836 | 31,213 | 31,512 | — | ||||||||||||||||||||||||
Transfer agent fees | 6,505 | 9,926 | 12,815 | 11,678 | 12,784 | 8,759 | 12,261 | 9,227 | ||||||||||||||||||||||||
Custodian fees | 1,412 | 8,174 | 6,634 | 67,146 | 3,707 | 3,796 | 35,033 | 11,604 | ||||||||||||||||||||||||
Professional fees | 9,560 | 13,030 | 11,703 | 14,270 | 11,221 | 13,030 | 14,270 | 12,354 | ||||||||||||||||||||||||
Chief Compliance Officer fees | 402 | 4,972 | 5,968 | 4,022 | 3,790 | 1,006 | 4,022 | 3,620 | ||||||||||||||||||||||||
Printing and postage expense | 5,470 | 3,720 | 112 | 3,720 | 3,719 | 3,720 | 3,720 | 4,335 | ||||||||||||||||||||||||
Trustees’ fees | 1,783 | 5,370 | 3,808 | 2,715 | 3,593 | 2,715 | 2,387 | 4,290 | ||||||||||||||||||||||||
Insurance expense | 907 | 639 | 5,989 | 1,001 | 237 | 375 | 559 | 447 | ||||||||||||||||||||||||
Shareholder servicing fees | 632 | 1,240 | 1,207 | 2,480 | 4,500 | 1,475 | 1,475 | 2,083 | ||||||||||||||||||||||||
Miscellaneous expenses | 666 | 1,984 | 3,549 | 190 | 2,157 | 1,984 | 1,984 | 2,094 | ||||||||||||||||||||||||
Total Operating Expenses | 160,249 | 557,726 | 552,117 | 961,313 | 294,434 | 294,287 | 441,459 | 377,809 | ||||||||||||||||||||||||
Less: Fees paid indirectly | — | (771 | ) | (1,980 | ) | — | — | — | — | (1,327 | ) | |||||||||||||||||||||
Net Operating Expenses | 160,249 | 556,955 | 550,137 | 961,313 | 294,434 | 294,287 | 441,459 | 376,482 | ||||||||||||||||||||||||
Net Investment Income (Loss) | 31,565 | 228,027 | (442,366 | ) | 387,159 | 614,951 | (25,039 | ) | 187,184 | (244,868 | ) | |||||||||||||||||||||
Realized and Unrealized Gain (Loss) on Investments, and Foreign Currency Transactions: | ||||||||||||||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||||||||||||||
Investments | 356,218 | 1,827,831 | 3,823,851 | 5,391,218 | (670,603 | ) | 2,409,514 | 2,921,406 | 4,803,721 | |||||||||||||||||||||||
Foreign currency transactions | — | — | — | 22,686 | — | — | (44,918 | ) | — | |||||||||||||||||||||||
Foreign currency exchange contracts | — | — | — | (21,503 | ) | — | — | — | — | |||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | — | — | ||||||||||||||||||||||||||||||
Investments | (48,436 | ) | (258,632 | ) | 5,165,958 | (1,107,719 | ) | (1,872,262 | ) | (2,385,899 | ) | (2,582,481 | ) | (1,669,561 | ) | |||||||||||||||||
Foreign currency translations | — | — | — | (2,427 | ) | — | — | (926 | ) | — | ||||||||||||||||||||||
Foreign currency exchange contracts | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Net Realized and Unrealized Gain | 307,782 | 1,569,199 | 8,989,809 | 4,282,255 | (2,542,865 | ) | 23,615 | 293,081 | 3,134,160 | |||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 339,347 | $ | 1,797,226 | $ | 8,547,443 | $ | 4,669,414 | $ | (1,927,914 | ) | $ | (1,424 | ) | $ | 480,265 | $ | 2,889,292 | ||||||||||||||
See accompanying notes to financial statements.
78
STATEMENTS OF CHANGES IN NET ASSETS |
Dunham | Dunham | Dunham | Dunham | Dunham | ||||||||||||||||||||||||||||||||||||
Floating Rate | Corporate/Government | Monthly Distribution | Dynamic Macro | High-Yield | ||||||||||||||||||||||||||||||||||||
Bond Fund | Bond Fund | Fund | Fund | Bond Fund | ||||||||||||||||||||||||||||||||||||
Six Months | Six Months | Six Months | Six Months | Six Months | ||||||||||||||||||||||||||||||||||||
Ended | Year Ended | Ended | Year Ended | Ended | Year Ended | Ended | Year Ended | Ended | Year Ended | |||||||||||||||||||||||||||||||
April 30, 2018 | Oct. 31, 2017 | April 30, 2018 | Oct. 31, 2017 | April 30, 2018 | Oct. 31, 2017 | April 30, 2018 | Oct. 31, 2017 | April 30, 2018 | Oct. 31, 2017 | |||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | ||||||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 2,987,186 | $ | 4,702,709 | $ | 877,636 | $ | 1,256,311 | $ | (228,829 | ) | $ | (2,766,800 | ) | $ | (107,123 | ) | $ | (153,786 | ) | $ | 2,786,750 | $ | 4,580,482 | ||||||||||||||||
Net realized gain (loss) from investments, futures, options purchased, securities sold short, written options, swap contracts, foreign currency transactions and foreign currency exchange contracts | 24,887 | (258,247 | ) | (837,459 | ) | 3,026 | 2,962,112 | 10,336,653 | (1,196,502 | ) | (527,008 | ) | (62,818 | ) | 4,040,878 | |||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments, futures, options purchased, securities sold short, written options, foreign currency translations, and foreign currency exchange contracts | (366,322 | ) | 536,363 | (1,688,759 | ) | (303,218 | ) | (9,715,845 | ) | 8,158,097 | 29,179 | 3,217,090 | (4,103,777 | ) | (865,697 | ) | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | 2,645,751 | 4,980,825 | (1,648,582 | ) | 956,119 | (6,982,562 | ) | 15,727,950 | (1,274,446 | ) | 2,536,296 | (1,379,845 | ) | 7,755,663 | ||||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||||||||||||||||||
Class N | (2,769,631 | ) | (4,087,383 | ) | (762,383 | ) | (1,177,753 | ) | — | — | — | — | (2,327,946 | ) | (3,958,870 | ) | ||||||||||||||||||||||||
Class A | (293,737 | ) | (450,028 | ) | (73,223 | ) | (116,078 | ) | — | — | — | — | (260,087 | ) | (488,305 | ) | ||||||||||||||||||||||||
Class C | (87,932 | ) | (159,331 | ) | (28,310 | ) | (55,479 | ) | — | — | — | — | (149,021 | ) | (307,199 | ) | ||||||||||||||||||||||||
Distributions From Paid In Capital: | ||||||||||||||||||||||||||||||||||||||||
Class N | — | — | — | — | (4,715,300 | ) | (6,703,484 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Class A | — | — | — | — | (1,025,395 | ) | (1,701,133 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Class C | — | — | — | — | (975,856 | ) | (1,786,595 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Total Distributions to Shareholders | (3,151,300 | ) | (4,696,742 | ) | (863,916 | ) | (1,349,310 | ) | (6,716,551 | ) | (10,191,212 | ) | — | — | (2,737,054 | ) | (4,754,374 | ) | ||||||||||||||||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||||||||||||||||||
Class N | 36,013,470 | 77,972,512 | 22,129,186 | 25,388,027 | 57,035,384 | 82,767,969 | 4,935,004 | 10,665,191 | 16,308,318 | 38,703,285 | ||||||||||||||||||||||||||||||
Class A | 5,618,666 | 8,312,809 | 1,582,163 | 2,833,269 | 9,590,044 | 15,005,391 | 1,917,047 | 3,051,464 | 2,600,769 | 4,622,910 | ||||||||||||||||||||||||||||||
Class C | 1,343,801 | 3,653,981 | 434,229 | 681,527 | 4,522,284 | 6,277,406 | 286,700 | 377,738 | 694,514 | 1,397,307 | ||||||||||||||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||||||||||||||||||
Class N | 2,766,426 | 4,085,839 | 761,801 | 1,175,746 | 4,597,872 | 6,558,471 | — | — | 2,300,951 | 3,902,710 | ||||||||||||||||||||||||||||||
Class A | 282,882 | 431,412 | 69,520 | 110,804 | 889,507 | 1,450,591 | — | — | 291,696 | 421,056 | ||||||||||||||||||||||||||||||
Class C | 86,979 | 158,870 | 27,379 | 53,749 | 825,165 | 1,501,052 | — | — | 65,342 | 275,969 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||||||||||||||||||
Class N | (29,401,982 | ) | (19,048,326 | ) | (36,992,721 | ) | (11,484,873 | ) | (57,369,277 | ) | (34,414,087 | ) | (5,338,803 | ) | (5,319,852 | ) | (25,323,694 | ) | (19,670,050 | ) | ||||||||||||||||||||
Class A | (1,878,769 | ) | (3,455,776 | ) | (2,258,045 | ) | (1,491,488 | ) | (5,495,624 | ) | (21,873,892 | ) | (1,245,454 | ) | (1,051,547 | ) | (2,192,843 | ) | (3,762,035 | ) | ||||||||||||||||||||
Class C | (926,036 | ) | (2,152,564 | ) | (550,346 | ) | (879,241 | ) | (4,731,110 | ) | (12,598,772 | ) | (374,210 | ) | (640,528 | ) | (830,998 | ) | (1,813,997 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest | 13,905,437 | 69,958,757 | (14,796,834 | ) | 16,387,520 | 9,864,245 | 44,674,129 | 180,284 | 7,082,466 | (6,085,945 | ) | 24,077,155 | ||||||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets | 13,399,888 | 70,242,840 | (17,309,332 | ) | 15,994,329 | (3,834,868 | ) | 50,210,867 | (1,094,162 | ) | 9,618,762 | (10,202,844 | ) | 27,078,444 | ||||||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||||||||||
Beginning of Period | 179,929,028 | 109,686,188 | 72,215,476 | 56,221,147 | 287,965,208 | 237,754,341 | 44,296,940 | 34,678,178 | 123,436,811 | 96,358,367 | ||||||||||||||||||||||||||||||
End of Period * | $ | 193,328,916 | $ | 179,929,028 | $ | 54,906,144 | $ | 72,215,476 | $ | 284,130,340 | $ | 287,965,208 | $ | 43,202,778 | $ | 44,296,940 | $ | 113,233,967 | $ | 123,436,811 | ||||||||||||||||||||
* Includes accumulated net investment income (loss) at end of period | $ | 3,452 | $ | 167,566 | $ | 12,877 | $ | (843 | ) | $ | (2,480,688 | ) | $ | (2,251,859 | ) | $ | (205,887 | ) | $ | (202,369 | ) | $ | 43,605 | $ | (6,091 | ) | ||||||||||||||
See accompanying notes to financial statements.
79
STATEMENTS OF CHANGES IN NET ASSETS (Continued) |
Dunham | Dunham | Dunham | �� | Dunham | Dunham | |||||||||||||||||||||||||||||||||||
Alternative | International Opportunity | Appreciation & | Large Cap | Focused Large Cap | ||||||||||||||||||||||||||||||||||||
Dividend Fund | Bond Fund | Income Fund | Value Fund | Growth Fund | ||||||||||||||||||||||||||||||||||||
Six Months | Six Months | Six Months | Six Months | Six Months | ||||||||||||||||||||||||||||||||||||
Ended | Period Ended | Ended | Year Ended | Ended | Year Ended | Ended | Year Ended | Ended | Year Ended | |||||||||||||||||||||||||||||||
April 30, 2018 | Oct. 31, 2017 | April 30, 2018 | Oct. 31, 2017 | April 30, 2018 | Oct. 31, 2017 | April 30, 2018 | Oct. 31, 2017 | April 30, 2018 | Oct. 31, 2017 | |||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | ||||||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,251,368 | $ | 1,741,589 | $ | (108,191 | ) | $ | (125,430 | ) | $ | 31,565 | $ | 344,565 | $ | 228,027 | $ | 639,416 | $ | (442,366 | ) | $ | (629,954 | ) | ||||||||||||||||
Net realized gain (loss) from investments and foreign currency transactions | (48,607 | ) | (2,689,104 | ) | 476,690 | (746,954 | ) | 356,218 | (1,884 | ) | 1,827,831 | 2,043,312 | 3,823,851 | 2,115,633 | ||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | (256,042 | ) | 694,814 | 661,995 | 1,138,727 | (48,436 | ) | 1,752,437 | (258,632 | ) | 7,413,521 | 5,165,958 | 12,624,348 | |||||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | 946,719 | (252,701 | ) | 1,030,494 | 266,343 | 339,347 | 2,095,118 | 1,797,226 | 10,096,249 | 8,547,443 | 14,110,027 | |||||||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||||||||||||
Net Realized Gains: | ||||||||||||||||||||||||||||||||||||||||
Class N | — | — | (37,115 | ) | (247,203 | ) | — | — | (556,720 | ) | — | (529,592 | ) | — | ||||||||||||||||||||||||||
Class A | — | — | (3,597 | ) | (22,172 | ) | — | — | (107,642 | ) | — | (125,188 | ) | — | ||||||||||||||||||||||||||
Class C | — | — | (1,630 | ) | (12,501 | ) | — | — | (48,903 | ) | — | (67,305 | ) | — | ||||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||||||||||||||||||
Class N | (958,148 | ) | (1,692,781 | ) | — | — | (260,352 | ) | (520,043 | ) | (480,505 | ) | (801,099 | ) | — | — | ||||||||||||||||||||||||
Class A | (21,865 | ) | (12,525 | ) | — | — | (57,728 | ) | (99,320 | ) | (71,438 | ) | (105,682 | ) | — | — | ||||||||||||||||||||||||
Class C | (19,464 | ) | (43,706 | ) | — | — | (38,889 | ) | (70,590 | ) | (5,641 | ) | (46,819 | ) | — | — | ||||||||||||||||||||||||
Total Distributions to Shareholders | (999,477 | ) | (1,749,012 | ) | (42,342 | ) | (281,876 | ) | (356,969 | ) | (689,953 | ) | (1,270,849 | ) | (953,600 | ) | (722,085 | ) | — | |||||||||||||||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||||||||||||||||||
Class N | 33,541,168 | 19,627,663 | 2,326,191 | 13,229,531 | 898,608 | 2,772,894 | 6,275,158 | 12,569,002 | 5,584,742 | 16,482,149 | ||||||||||||||||||||||||||||||
Class A | 469,099 | 803,596 | 790,567 | 1,418,934 | 1,032,916 | 856,598 | 3,192,198 | 4,524,434 | 3,029,384 | 4,903,324 | ||||||||||||||||||||||||||||||
Class C | 93,000 | 993,582 | 233,348 | 466,744 | 466,458 | 202,013 | 321,865 | 698,220 | 479,209 | 1,968,280 | ||||||||||||||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||||||||||||||||||
Class N | 724,096 | 1,418,244 | 37,090 | 247,134 | 259,777 | 508,555 | 1,034,573 | 781,846 | 527,415 | — | ||||||||||||||||||||||||||||||
Class A | 19,667 | 10,966 | 3,538 | 21,649 | 47,855 | 83,738 | 174,869 | 103,998 | 119,002 | — | ||||||||||||||||||||||||||||||
Class C | 18,960 | 42,589 | 1,630 | 12,501 | 35,281 | 64,382 | 53,746 | 46,630 | 63,642 | — | ||||||||||||||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||||||||||||||||||
Class N | (7,578,925 | ) | (7,796,129 | ) | (5,411,042 | ) | (5,738,527 | ) | (1,638,649 | ) | (8,223,181 | ) | (4,476,593 | ) | (10,523,214 | ) | (9,839,215 | ) | (21,941,733 | ) | ||||||||||||||||||||
Class A | (51,703 | ) | (55,373 | ) | (436,499 | ) | (608,331 | ) | (729,022 | ) | (1,678,879 | ) | (1,470,005 | ) | (2,145,911 | ) | (2,752,797 | ) | (3,875,109 | ) | ||||||||||||||||||||
Class C | (354,506 | ) | (105,568 | ) | (166,112 | ) | (344,684 | ) | (330,501 | ) | (952,836 | ) | (725,009 | ) | (1,648,591 | ) | (1,001,733 | ) | (1,323,535 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest | 26,880,856 | 14,939,570 | (2,621,289 | ) | 8,704,951 | 42,723 | (6,366,716 | ) | 4,380,802 | 4,406,414 | (3,790,351 | ) | (3,786,624 | ) | ||||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets | 26,828,098 | 12,937,857 | (1,633,137 | ) | 8,689,418 | 25,101 | (4,961,551 | ) | 4,907,179 | 13,549,063 | 4,035,007 | 10,323,403 | ||||||||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||||||||||
Beginning of Period | 37,289,394 | 24,351,537 | 36,739,025 | 28,049,607 | 18,786,528 | 23,748,079 | 69,968,633 | 56,419,570 | 76,173,439 | 65,850,036 | ||||||||||||||||||||||||||||||
End of Period * | $ | 64,117,492 | $ | 37,289,394 | $ | 35,105,888 | $ | 36,739,025 | $ | 18,811,629 | $ | 18,786,528 | $ | 74,875,812 | $ | 69,968,633 | $ | 80,208,446 | $ | 76,173,439 | ||||||||||||||||||||
* Includes accumulated net investment income (loss) at end of period | $ | 251,891 | $ | — | $ | (244,797 | ) | $ | (136,606 | ) | $ | (129,492 | ) | $ | 195,912 | $ | 95,352 | $ | 424,909 | $ | (1,019,412 | ) | $ | (577,046 | ) | |||||||||||||||
See accompanying notes to financial statements.
80
STATEMENTS OF CHANGES IN NET ASSETS (Continued) |
Dunham | Dunham | Dunham | Dunham | Dunham | ||||||||||||||||||||||||||||||||||||
International | Real Estate | Small Cap | Emerging Markets | Small Cap | ||||||||||||||||||||||||||||||||||||
Stock Fund | Stock Fund | Value Fund | Stock Fund | Growth Fund | ||||||||||||||||||||||||||||||||||||
Six Months | Six Months | Six Months | Six Months | Six Months | ||||||||||||||||||||||||||||||||||||
Ended | Year Ended | Ended | Year Ended | Ended | Year Ended | Ended | Year Ended | Ended | Year Ended | |||||||||||||||||||||||||||||||
April 30, 2018 | Oct. 31, 2017 | April 30, 2018 | Oct. 31, 2017 | April 30, 2018 | Oct. 31, 2017 | April 30, 2018 | Oct. 31, 2017 | April 30, 2018 | Oct. 31, 2017 | |||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | ||||||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 387,159 | $ | 1,238,118 | $ | 614,951 | $ | 242,523 | $ | (25,039 | ) | $ | 93,447 | $ | 187,184 | $ | 648,765 | $ | (244,868 | ) | $ | (343,936 | ) | |||||||||||||||||
Net realized gain (loss) from investments and foreign currency transactions | 5,392,401 | 8,589,369 | (670,603 | ) | 280,576 | 2,409,514 | 3,149,348 | 2,876,488 | 5,242,635 | 4,803,721 | 5,792,317 | |||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | (1,110,146 | ) | 11,078,783 | (1,872,262 | ) | 334,973 | (2,385,899 | ) | 3,607,860 | (2,583,407 | ) | 8,203,170 | (1,669,561 | ) | 4,393,500 | |||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | 4,669,414 | 20,906,270 | (1,927,914 | ) | 858,072 | (1,424 | ) | 6,850,655 | 480,265 | 14,094,570 | 2,889,292 | 9,841,881 | ||||||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||||||||||||
Net Realized Gains: | ||||||||||||||||||||||||||||||||||||||||
Class N | (2,502,992 | ) | — | (274,297 | ) | (3,870,471 | ) | (2,332,803 | ) | (742,732 | ) | — | — | (3,540,224 | ) | — | ||||||||||||||||||||||||
Class A | (452,563 | ) | — | (46,537 | ) | (626,758 | ) | (495,285 | ) | (158,717 | ) | — | — | (1,070,104 | ) | — | ||||||||||||||||||||||||
Class C | (196,262 | ) | — | (19,495 | ) | (485,899 | ) | (301,971 | ) | (81,547 | ) | — | — | (474,106 | ) | — | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||||||||||||||||||
Class N | (1,336,261 | ) | — | (271,350 | ) | (494,155 | ) | (49,771 | ) | (150,908 | ) | (510,282 | ) | (796,221 | ) | — | — | |||||||||||||||||||||||
Class A | (210,771 | ) | — | (33,884 | ) | (57,154 | ) | (54 | ) | (22,646 | ) | (67,957 | ) | (95,754 | ) | — | — | |||||||||||||||||||||||
Class C | (58,473 | ) | — | — | (35,575 | ) | — | — | (13,160 | ) | (39,475 | ) | — | — | ||||||||||||||||||||||||||
Distributions From Paid In Capital: | ||||||||||||||||||||||||||||||||||||||||
Class N | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Class A | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Class C | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Total Distributions to Shareholders | (4,757,322 | ) | — | (645,563 | ) | (5,570,012 | ) | (3,179,884 | ) | (1,156,550 | ) | (591,399 | ) | (931,450 | ) | (5,084,434 | ) | — | ||||||||||||||||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||||||||||||||||||
Class N | 8,273,442 | 13,755,855 | 13,786,170 | 13,777,569 | 8,466,213 | 5,035,616 | 6,813,293 | 8,199,481 | 1,858,765 | 6,717,239 | ||||||||||||||||||||||||||||||
Class A | 4,462,691 | 5,992,736 | 2,821,132 | 3,331,102 | 1,911,474 | 3,001,246 | 2,766,998 | 3,608,237 | 1,273,197 | 4,193,814 | ||||||||||||||||||||||||||||||
Class C | 523,418 | 977,201 | 324,352 | 451,668 | 191,801 | 649,431 | 461,749 | 1,595,953 | 205,187 | 593,576 | ||||||||||||||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||||||||||||||||||
Class N | 4,632,030 | — | 544,150 | 4,259,930 | 2,312,130 | 871,348 | 494,307 | 775,603 | 3,415,609 | — | ||||||||||||||||||||||||||||||
Class A | — | — | 78,284 | 657,161 | 445,163 | 177,734 | 64,833 | 93,730 | 959,794 | — | ||||||||||||||||||||||||||||||
Class C | — | — | 19,299 | 464,142 | 264,864 | 81,120 | 13,079 | 39,226 | 474,106 | — | ||||||||||||||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||||||||||||||||||
Class N | (9,069,825 | ) | (19,238,731 | ) | (2,569,532 | ) | (5,811,499 | ) | (1,404,803 | ) | (9,930,878 | ) | (3,141,742 | ) | (14,975,059 | ) | (3,270,058 | ) | (15,497,578 | ) | ||||||||||||||||||||
Class A | (2,885,772 | ) | (3,367,797 | ) | (894,927 | ) | (6,548,328 | ) | (472,622 | ) | (3,176,674 | ) | (1,040,002 | ) | (3,408,343 | ) | (1,014,115 | ) | (4,560,250 | ) | ||||||||||||||||||||
Class C | (904,091 | ) | (2,102,276 | ) | (348,940 | ) | (1,229,216 | ) | (457,107 | ) | (811,262 | ) | (378,108 | ) | (2,226,817 | ) | (384,419 | ) | (782,773 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest | 5,031,893 | (3,983,012 | ) | 13,759,988 | 9,352,529 | 11,257,113 | (4,102,319 | ) | 6,054,407 | (6,297,989 | ) | 3,518,066 | (9,335,972 | ) | ||||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets | 4,943,985 | 16,923,258 | 11,186,511 | 4,640,589 | 8,075,805 | 1,591,786 | 5,943,273 | 6,865,131 | 1,322,924 | 505,909 | ||||||||||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||||||||||
Beginning of Period | 112,351,369 | 95,428,111 | 42,706,158 | 38,065,569 | 29,889,444 | 28,297,658 | 63,074,169 | 56,209,038 | 34,210,524 | 33,704,615 | ||||||||||||||||||||||||||||||
End of Period * | $ | 117,295,354 | $ | 112,351,369 | $ | 53,892,669 | $ | 42,706,158 | $ | 37,965,249 | $ | 29,889,444 | $ | 69,017,442 | $ | 63,074,169 | $ | 35,533,448 | $ | 34,210,524 | ||||||||||||||||||||
* Includes accumulated net investment income (loss) at end of period | $ | (174,708 | ) | $ | 1,043,638 | $ | 405,355 | $ | 95,638 | $ | (25,137 | ) | $ | 49,727 | $ | (183,135 | ) | $ | 221,092 | $ | (219,012 | ) | $ | 25,856 | ||||||||||||||||
�� |
See accompanying notes to financial statements.
81
FINANCIAL HIGHLIGHTS |
Dunham Floating Rate Bond Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period.
Class N | ||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014* | ||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.73 | $ | 9.70 | $ | 9.60 | $ | 9.87 | $ | 10.00 | ||||||||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income** | 0.16 | 0.35 | 0.33 | 0.32 | 0.29 | |||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.02 | ) | 0.03 | 0.10 | (0.27 | ) | (0.15 | ) | ||||||||||||||||||||||||||||||||
Total income from investment operations | 0.14 | 0.38 | 0.43 | 0.05 | 0.14 | |||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.17 | ) | (0.35 | ) | (0.33 | ) | (0.32 | ) | (0.27 | ) | ||||||||||||||||||||||||||||||
Total distributions | (0.17 | ) | (0.35 | ) | (0.33 | ) | (0.32 | ) | (0.27 | ) | ||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 9.70 | $ | 9.73 | $ | 9.70 | $ | 9.60 | $ | 9.87 | ||||||||||||||||||||||||||||||
Total return + | 1.45 | % | 4.01 | % | 4.63 | % | 0.51 | % | 1.43 | % | ||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 166,427 | $ | 157,485 | $ | 94,219 | $ | 73,316 | $ | 63,120 | ||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.18 | % | 1.03 | % | 1.34 | % | 1.27 | % | 1.27 | % | ||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 3.34 | % | 3.60 | % | 3.24 | % | 3.24 | % | 2.87 | % | ||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 40 | % | 91 | % | 62 | % | 51 | % | 50 | % | ||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014* | April 30, 2018 | 2017 | 2016 | 2015 | 2014* | |||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.72 | $ | 9.70 | $ | 9.59 | $ | 9.87 | $ | 10.00 | $ | 9.73 | $ | 9.69 | $ | 9.59 | $ | 9.86 | $ | 10.00 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income** | 0.15 | 0.32 | 0.31 | 0.30 | 0.28 | 0.12 | 0.28 | 0.26 | 0.24 | 0.22 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.01 | ) | 0.03 | 0.11 | (0.28 | ) | (0.16 | ) | (0.01 | ) | 0.04 | 0.10 | (0.26 | ) | (0.16 | ) | ||||||||||||||||||||||||
Total income (loss) from investment operations | 0.14 | 0.35 | 0.42 | 0.02 | 0.12 | 0.11 | 0.32 | 0.36 | (0.02 | ) | 0.06 | |||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.16 | ) | (0.33 | ) | (0.31 | ) | (0.30 | ) | (0.25 | ) | (0.14 | ) | (0.28 | ) | (0.26 | ) | (0.25 | ) | (0.20 | ) | ||||||||||||||||||||
Total distributions | (0.16 | ) | (0.33 | ) | (0.31 | ) | (0.30 | ) | (0.25 | ) | (0.14 | ) | (0.28 | ) | (0.26 | ) | (0.25 | ) | (0.20 | ) | ||||||||||||||||||||
Net asset value, end of period | $ | 9.70 | $ | 9.72 | $ | 9.70 | $ | 9.59 | $ | 9.87 | $ | 9.70 | $ | 9.73 | $ | 9.69 | $ | 9.59 | $ | 9.86 | ||||||||||||||||||||
Total return +# | 1.44 | % | 3.64 | % | 4.49 | % | 0.16 | % | 1.20 | % | 1.19 | % | 3.31 | % | 3.87 | % | (0.23 | )% | 0.63 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 20,201 | $ | 16,229 | $ | 10,923 | $ | 8,598 | $ | 13,664 | $ | 6,701 | $ | 6,215 | $ | 4,545 | $ | 3,573 | $ | 3,888 | ||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.43 | % | 1.28 | % | 1.59 | % | 1.52 | % | 1.52 | % | 1.93 | % | 1.78 | % | 2.10 | % | 2.02 | % | 2.02 | % | ||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 3.10 | % | 3.33 | % | 3.49 | % | 2.99 | % | 2.84 | % | 2.59 | % | 2.89 | % | 2.74 | % | 2.49 | % | 2.24 | % | ||||||||||||||||||||
Portfolio turnover rate (1) | 40 | % | 91 | % | 62 | % | 51 | % | 50 | % | 40 | % | 91 | % | 62 | % | 51 | % | 50 | % |
* | The Fund commenced operations on November 1, 2013. |
** | The net investment income per share data was determined using the average shares outstanding throughout each period. |
+ | 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 |
(1) | Not annualized for periods less than one year. |
^ | Annualized for periods less than one year. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the |
See accompanying notes to financial statements.
82
FINANCIAL HIGHLIGHTS |
Dunham Corporate/Government Bond Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.82 | $ | 13.92 | $ | 13.75 | $ | 14.14 | $ | 14.07 | $ | 14.74 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.17 | 0.31 | 0.36 | 0.42 | 0.38 | 0.37 | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.49 | ) | (0.08 | ) | 0.19 | (0.37 | ) | 0.16 | (0.36 | ) | ||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.32 | ) | 0.23 | 0.55 | 0.05 | 0.54 | 0.01 | |||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.17 | ) | (0.33 | ) | (0.38 | ) | (0.44 | ) | (0.42 | ) | (0.41 | ) | ||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | — | — | — | — | (0.05 | ) | (0.27 | ) | ||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.17 | ) | (0.33 | ) | (0.38 | ) | (0.44 | ) | (0.47 | ) | (0.68 | ) | ||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 13.33 | $ | 13.82 | $ | 13.92 | $ | 13.75 | $ | 14.14 | $ | 14.07 | ||||||||||||||||||||||||||||||||||||
Total return +# | (2.32 | )% | 1.72 | % | 4.09 | % | 0.36 | % | 3.85 | % | 0.09 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 46,482 | $ | 62,757 | $ | 48,025 | $ | 41,989 | $ | 43,888 | $ | 81,201 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets:^ | 1.19 | % | 1.35 | % | 1.13 | % | 1.06 | % | 1.37 | % | 1.21 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 2.52 | % | 2.27 | % | 2.61 | % | 3.00 | % | 2.69 | % | 2.56 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 26 | % | 61 | % | 58 | % | 54 | % | 60 | % | 173 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.80 | $ | 13.90 | $ | 13.73 | $ | 14.13 | $ | 14.06 | $ | 14.73 | $ | 13.71 | $ | 13.81 | $ | 13.65 | $ | 14.05 | $ | 13.98 | $ | 14.64 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.15 | 0.28 | 0.33 | 0.38 | 0.35 | 0.34 | 0.12 | 0.21 | 0.26 | 0.31 | 0.27 | 0.26 | ||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.49 | ) | (0.08 | ) | 0.19 | (0.37 | ) | 0.15 | (0.36 | ) | (0.49 | ) | (0.08 | ) | 0.18 | (0.37 | ) | 0.16 | (0.35 | ) | ||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.34 | ) | 0.20 | 0.52 | 0.01 | 0.50 | (0.02 | ) | (0.37 | ) | 0.13 | 0.44 | (0.06 | ) | 0.43 | (0.09 | ) | |||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.15 | ) | (0.30 | ) | (0.35 | ) | (0.41 | ) | (0.38 | ) | (0.38 | ) | (0.12 | ) | (0.23 | ) | (0.28 | ) | (0.34 | ) | (0.31 | ) | (0.30 | ) | ||||||||||||||||||||||||
Distributions from net realized gains | — | — | — | — | (0.05 | ) | (0.27 | ) | — | — | — | — | (0.05 | ) | (0.27 | ) | ||||||||||||||||||||||||||||||||
Total distributions | (0.15 | ) | (0.30 | ) | (0.35 | ) | (0.41 | ) | (0.43 | ) | (0.65 | ) | (0.12 | ) | (0.23 | ) | (0.28 | ) | (0.34 | ) | (0.36 | ) | (0.57 | ) | ||||||||||||||||||||||||
Net asset value, end of period | $ | 13.31 | $ | 13.80 | $ | 13.90 | $ | 13.73 | $ | 14.13 | $ | 14.06 | $ | 13.22 | $ | 13.71 | $ | 13.81 | $ | 13.65 | $ | 14.05 | $ | 13.98 | ||||||||||||||||||||||||
Total return + | (2.44 | )% | 1.47 | % | 3.86 | % | 0.04 | % | 3.59 | % | (0.15 | )% | (2.69 | )% | 0.98 | % | 3.27 | % | (0.45 | )% | 3.08 | % | (0.59 | )% | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 5,425 | $ | 6,260 | $ | 4,832 | $ | 4,788 | $ | 3,684 | $ | 6,888 | $ | 2,999 | $ | 3,199 | $ | 3,364 | $ | 3,698 | $ | 3,690 | $ | 7,733 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.44 | % | 1.60 | % | 1.38 | % | 1.31 | % | 1.62 | % | 1.46 | % | 1.94 | % | 2.10 | % | 1.88 | % | 1.81 | % | 2.12 | % | 1.96 | % | ||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 2.30 | % | 2.01 | % | 2.40 | % | 2.74 | % | 2.44 | % | 2.37 | % | 1.80 | % | 1.52 | % | 1.89 | % | 2.27 | % | 1.94 | % | 1.80 | % | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 26 | % | 61 | % | 58 | % | 54 | % | 60 | % | 173 | % | 26 | % | 61 | % | 58 | % | 54 | % | 60 | % | 173 | % |
* | The net investment income per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes to financial statements.
83
FINANCIAL HIGHLIGHTS |
Dunham Monthly Distribution Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.71 | $ | 35.74 | $ | 36.36 | $ | 38.16 | $ | 38.47 | $ | 37.22 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.00 | (0.36 | ) | 0.14 | (0.18 | ) | 0.17 | 0.36 | ||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.78 | ) | 2.79 | 0.49 | (0.39 | ) | 1.35 | 2.13 | ||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.78 | ) | 2.43 | 0.63 | (0.57 | ) | 1.52 | 2.49 | ||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | (0.55 | ) | — | — | (0.41 | ) | ||||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | — | — | — | (0.80 | ) | (1.59 | ) | (0.83 | ) | |||||||||||||||||||||||||||||||||||||||
Tax return of capital | (0.82 | ) | (1.46 | ) | (0.70 | ) | (0.43 | ) | (0.24 | ) | 0.00 | |||||||||||||||||||||||||||||||||||||
Total distributions | (0.82 | ) | (1.46 | ) | (1.25 | ) | (1.23 | ) | (1.83 | ) | (1.24 | ) | ||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 35.11 | $ | 36.71 | $ | 35.74 | $ | 36.36 | $ | 38.16 | $ | 38.47 | ||||||||||||||||||||||||||||||||||||
Total return + # | (2.68 | )% | 6.92 | % | 1.79 | % | (1.53 | )% | 4.01 | % | 6.75 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 206,653 | $ | 212,178 | $ | 153,084 | $ | 163,843 | $ | 156,964 | $ | 161,347 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
After waivers ^ | 1.70 | % | 2.73 | % | 1.85 | % | 2.09 | % | 2.53 | % | 2.23 | % | ||||||||||||||||||||||||||||||||||||
Dividends/borrowings on short sales ^ | 0.47 | % | 1.17 | % | 0.61 | % | 0.47 | % | 0.59 | % | 0.24 | % | ||||||||||||||||||||||||||||||||||||
Excluding dividends/borrowings on short sales: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers ^ | 1.23 | % | 1.59 | % | 1.26 | % | 2.17 | % | 2.11 | % | 2.10 | % | ||||||||||||||||||||||||||||||||||||
After fee waivers ^ | 1.23 | % | 1.56 | % | 1.24 | % | 1.62 | % | 1.94 | % | 1.99 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers ^ | 0.01 | % | (1.06 | )% | 0.39 | % | (0.56 | )% | 0.26 | % | 0.84 | % | ||||||||||||||||||||||||||||||||||||
After fee waivers ^ | 0.01 | % | (1.03 | )% | 0.40 | % | (0.48 | )% | 0.43 | % | 0.95 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 242 | % | 382 | % | 208 | % | 155 | % | 229 | % | 227 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 35.73 | $ | 34.90 | $ | 35.63 | $ | 37.52 | $ | 37.95 | $ | 36.82 | $ | 29.15 | $ | 28.94 | $ | 29.99 | $ | 32.01 | $ | 32.87 | $ | 32.29 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | (0.05 | ) | (0.40 | ) | 0.13 | (0.27 | ) | 0.07 | 0.24 | (0.15 | ) | (0.55 | ) | (0.14 | ) | (0.46 | ) | (0.20 | ) | (0.07 | ) | |||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.73 | ) | 2.69 | 0.39 | (0.39 | ) | 1.33 | 2.13 | (0.61 | ) | 2.22 | 0.34 | (0.33 | ) | 1.17 | 1.89 | ||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.78 | ) | 2.29 | 0.52 | (0.66 | ) | 1.40 | 2.37 | (0.76 | ) | 1.67 | 0.20 | (0.79 | ) | 0.97 | 1.82 | ||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | (0.55 | ) | — | — | (0.41 | ) | — | — | (0.55 | ) | — | — | (0.41 | ) | ||||||||||||||||||||||||||||||||
Distributions from net realized gains | — | — | — | (0.80 | ) | (1.59 | ) | (0.83 | ) | — | — | — | (0.80 | ) | (1.59 | ) | (0.83 | ) | ||||||||||||||||||||||||||||||
Tax return of capital | (0.82 | ) | (1.46 | ) | (0.70 | ) | (0.43 | ) | (0.24 | ) | 0.00 | (0.82 | ) | (1.46 | ) | (0.70 | ) | (0.43 | ) | (0.24 | ) | 0.00 | ||||||||||||||||||||||||||
Total distributions | (0.82 | ) | (1.46 | ) | (1.25 | ) | (1.23 | ) | (1.83 | ) | (1.24 | ) | (0.82 | ) | (1.46 | ) | (1.25 | ) | (1.23 | ) | (1.83 | ) | (1.24 | ) | ||||||||||||||||||||||||
Net asset value, end of period | $ | 34.13 | $ | 35.73 | $ | 34.90 | $ | 35.63 | $ | 37.52 | $ | 37.95 | $ | 27.57 | $ | 29.15 | $ | 28.94 | $ | 29.99 | $ | 32.01 | $ | 32.87 | ||||||||||||||||||||||||
Total return + # | (2.18 | )% | 6.64 | % | 1.54 | % | (1.80 | )% | 3.74 | % | 6.50 | % | -2.68 | % | 5.82 | % | 0.75 | % | (2.53 | )% | 2.99 | % | 5.71 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 44,132 | $ | 41,186 | $ | 45,552 | $ | 74,247 | $ | 79,132 | $ | 68,427 | $ | 33,346 | $ | 34,601 | $ | 39,118 | $ | 50,215 | $ | 48,193 | $ | 37,577 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
After waivers ^ | 1.98 | % | 2.93 | % | 2.06 | % | 2.33 | % | 2.78 | % | 2.48 | % | 2.73 | % | 3.68 | % | 2.83 | % | 3.09 | % | 3.53 | % | 3.23 | % | ||||||||||||||||||||||||
Dividends/borrowings on short sales ^ | 0.47 | % | 1.12 | % | 0.59 | % | 0.47 | % | 0.59 | % | 0.24 | % | 0.48 | % | 1.12 | % | 0.60 | % | 0.47 | % | 0.59 | % | 0.24 | % | ||||||||||||||||||||||||
Excluding dividends/borrowings on short sales: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers ^ | 1.51 | % | 1.83 | % | 1.49 | % | 2.42 | % | 2.36 | % | 2.34 | % | 2.26 | % | 2.58 | % | 2.24 | % | 3.16 | % | 3.11 | % | 3.10 | % | ||||||||||||||||||||||||
After fee waivers ^ | 1.51 | % | 1.81 | % | 1.48 | % | 1.86 | % | 2.19 | % | 2.24 | % | 2.26 | % | 2.56 | % | 2.23 | % | 2.62 | % | 2.94 | % | 2.99 | % | ||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers ^ | (0.30 | )% | (1.14 | )% | 0.36 | % | (0.79 | )% | 0.01 | % | 0.52 | % | (1.04 | )% | (1.89 | )% | (0.50 | )% | (1.54 | )% | (0.74 | )% | (0.32 | )% | ||||||||||||||||||||||||
After fee waivers ^ | (0.30 | )% | (1.11 | )% | 0.37 | % | (0.71 | )% | 0.18 | % | 0.63 | % | (1.04 | )% | (1.86 | )% | (0.48 | )% | (1.46 | )% | (0.57 | )% | (0.21 | )% | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 242 | % | 382 | % | 208 | % | 155 | % | 229 | % | 227 | % | 242 | % | 382 | % | 208 | % | 155 | % | 229 | % | 227 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net |
(1) | Not annualized for periods less than one year. |
^ | Annualized for periods less than one year. |
See accompanying notes to financial statements.
84
FINANCIAL HIGHLIGHTS |
Dunham Dynamic Macro Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.18 | $ | 9.55 | $ | 9.81 | $ | 9.65 | $ | 9.67 | $ | 9.95 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) * | (0.02 | ) | (0.03 | ) | (0.00 | ) | (0.14 | ) | 0.19 | 0.33 | ||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) ** | (0.29 | ) | 0.66 | (0.26 | ) | 0.30 | (0.02 | ) | (0.25 | ) | ||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.31 | ) | 0.63 | (0.26 | ) | 0.16 | 0.17 | 0.08 | ||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | (0.19 | ) | (0.33 | ) | ||||||||||||||||||||||||||||||||||||||||
Tax return of capital | — | — | — | — | — | (0.03 | ) | |||||||||||||||||||||||||||||||||||||||||
Total distributions | — | — | — | — | (0.19 | ) | (0.36 | ) | ||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 9.87 | $ | 10.18 | $ | 9.55 | $ | 9.81 | $ | 9.65 | $ | 9.67 | ||||||||||||||||||||||||||||||||||||
Total return + # | (3.05 | )% | 6.60 | % | (2.68 | )% | 1.66 | % | 1.80 | % | 0.80 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 34,673 | $ | 36,104 | $ | 28,650 | $ | 28,518 | $ | 11,758 | $ | 7,185 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 2.10 | % | 1.83 | % | 1.63 | % | 2.15 | % | 1.90 | % | 1.67 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | (0.42 | )% | (0.32 | )% | (0.03 | )% | (1.37 | )% | 1.96 | % | 3.35 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 1 | % | 7 | % | 54 | % | 70 | % | 238 | % | 292 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.12 | $ | 9.52 | $ | 9.81 | $ | 9.68 | $ | 9.70 | $ | 9.98 | $ | 9.74 | $ | 9.23 | $ | 9.58 | $ | 9.52 | $ | 9.56 | $ | 9.86 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) * | (0.03 | ) | (0.06 | ) | (0.02 | ) | (0.14 | ) | 0.18 | 0.31 | (0.07 | ) | (0.12 | ) | (0.09 | ) | (0.26 | ) | 0.11 | 0.23 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) ** | (0.28 | ) | 0.66 | (0.27 | ) | 0.27 | (0.04 | ) | (0.25 | ) | (0.27 | ) | 0.63 | (0.26 | ) | 0.32 | (0.04 | ) | (0.26 | ) | ||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.31 | ) | 0.60 | (0.29 | ) | 0.13 | 0.14 | 0.06 | (0.34 | ) | 0.51 | (0.35 | ) | 0.06 | 0.07 | (0.03 | ) | |||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | (0.16 | ) | (0.31 | ) | — | — | — | — | (0.11 | ) | (0.24 | ) | ||||||||||||||||||||||||||||||||
Tax return of capital | — | — | — | — | — | (0.03 | ) | — | — | — | — | — | (0.03 | ) | ||||||||||||||||||||||||||||||||||
Total distributions | — | — | — | — | (0.16 | ) | (0.34 | ) | — | — | — | — | (0.11 | ) | (0.27 | ) | ||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 9.81 | $ | 10.12 | $ | 9.52 | $ | 9.81 | $ | 9.68 | $ | 9.70 | $ | 9.40 | $ | 9.74 | $ | 9.23 | $ | 9.58 | $ | 9.52 | $ | 9.56 | ||||||||||||||||||||||||
Total return + # | (3.06 | )% | 6.30 | % | (2.95 | )% | 1.34 | % | 1.52 | % | 0.55 | % | (3.49 | )% | 5.53 | % | (3.66 | )% | 0.63 | % | 0.78 | % | (0.29 | )% | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 6,711 | $ | 6,224 | $ | 3,897 | $ | 3,296 | $ | 1,729 | $ | 1,782 | $ | 1,819 | $ | 1,969 | $ | 2,131 | $ | 1,938 | $ | 1,712 | $ | 2,053 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 2.35 | % | 2.08 | % | 1.88 | % | 2.40 | % | 2.15 | % | 1.92 | % | 3.10 | % | 2.83 | % | 2.63 | % | 3.15 | % | 2.90 | % | 2.67 | % | ||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | (0.67 | )% | (0.58 | )% | (0.26 | )% | (1.63 | )% | 1.92 | % | 3.13 | % | (1.41 | )% | (1.34 | )% | (1.02 | )% | (2.35 | )% | 1.19 | % | 2.38 | % | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 1 | % | 7 | % | 54 | % | 70 | % | 238 | % | 292 | % | 1 | % | 7 | % | 54 | % | 70 | % | 238 | % | 292 | % |
* | 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 and does not reflect the impact of any sales charges. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes to financial statements.
85
FINANCIAL HIGHLIGHTS |
Dunham High-Yield Bond Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.22 | $ | 8.94 | $ | 8.92 | $ | 9.51 | $ | 9.61 | $ | 9.52 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.21 | 0.42 | 0.44 | 0.44 | 0.46 | 0.47 | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.31 | ) | 0.30 | 0.02 | (0.59 | ) | (0.10 | ) | 0.09 | |||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.10 | ) | 0.72 | 0.46 | (0.15 | ) | 0.36 | 0.56 | ||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.21 | ) | (0.44 | ) | (0.44 | ) | (0.44 | ) | (0.46 | ) | (0.47 | ) | ||||||||||||||||||||||||||||||||||||
Total distributions | (0.21 | ) | (0.44 | ) | (0.44 | ) | (0.44 | ) | (0.46 | ) | (0.47 | ) | ||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 8.91 | $ | 9.22 | $ | 8.94 | $ | 8.92 | $ | 9.51 | $ | 9.61 | ||||||||||||||||||||||||||||||||||||
Total return + | (1.10 | )% | 8.19 | % | 5.39 | % | (1.63 | )% | 3.77 | % | 6.05 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 93,427 | $ | 103,567 | $ | 78,194 | $ | 78,654 | $ | 102,412 | $ | 134,487 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.13 | % | 1.19 | % | 1.08 | % | 1.02 | % | 1.09 | % | 1.11 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 4.68 | % | 4.62 | % | 5.09 | % | 4.77 | % | 4.72 | % | 4.89 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 57 | % | 142 | % | 62 | % | 51 | % | 62 | % | 94 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.29 | $ | 9.02 | $ | 8.99 | $ | 9.58 | $ | 9.68 | $ | 9.59 | $ | 9.17 | $ | 8.88 | $ | 8.86 | $ | 9.46 | $ | 9.55 | $ | 9.47 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.20 | 0.40 | 0.42 | 0.41 | 0.44 | 0.45 | 0.18 | 0.35 | 0.37 | 0.37 | 0.38 | 0.40 | ||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.30 | ) | 0.28 | 0.03 | (0.59 | ) | (0.10 | ) | 0.09 | (0.31 | ) | 0.30 | 0.02 | (0.60 | ) | (0.08 | ) | 0.08 | ||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.10 | ) | 0.68 | 0.45 | (0.18 | ) | 0.34 | 0.54 | (0.13 | ) | 0.65 | 0.39 | (0.23 | ) | 0.30 | 0.48 | ||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.20 | ) | (0.41 | ) | (0.42 | ) | (0.41 | ) | (0.44 | ) | (0.45 | ) | (0.17 | ) | (0.36 | ) | (0.37 | ) | (0.37 | ) | (0.39 | ) | (0.40 | ) | ||||||||||||||||||||||||
Total distributions | (0.20 | ) | (0.41 | ) | (0.42 | ) | (0.41 | ) | (0.44 | ) | (0.45 | ) | (0.17 | ) | (0.36 | ) | (0.37 | ) | (0.37 | ) | (0.39 | ) | (0.40 | ) | ||||||||||||||||||||||||
Net asset value, end of period | $ | 8.99 | $ | 9.29 | $ | 9.02 | $ | 8.99 | $ | 9.58 | $ | 9.68 | $ | 8.87 | $ | 9.17 | $ | 8.88 | $ | 8.86 | $ | 9.46 | $ | 9.55 | ||||||||||||||||||||||||
Total return + # | (1.21 | )% | 7.70 | % | 5.21 | % | (1.88 | )% | 3.49 | % | 5.74 | % | (1.35 | )% | 7.45 | % | 4.65 | % | (2.47 | )% | 3.13 | % | 5.17 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 12,285 | $ | 12,085 | $ | 10,478 | $ | 10,224 | $ | 22,022 | $ | 19,888 | $ | 7,522 | $ | 7,785 | $ | 7,687 | $ | 9,231 | $ | 11,652 | $ | 13,741 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.38 | % | 1.44 | % | 1.33 | % | 1.27 | % | 1.34 | % | 1.36 | % | 1.88 | % | 1.94 | % | 1.83 | % | 1.77 | % | 1.84 | % | 1.86 | % | ||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 4.44 | % | 4.38 | % | 4.84 | % | 4.52 | % | 4.47 | % | 4.64 | % | 3.93 | % | 3.88 | % | 4.34 | % | 4.02 | % | 3.97 | % | 4.15 | % | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 57 | % | 142 | % | 62 | % | 51 | % | 62 | % | 94 | % | 57 | % | 142 | % | 62 | % | 51 | % | 62 | % | 94 | % |
* | The net investment income per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
(1) | Not annualized for periods less than one year. |
^ | Annualized for periods less than one year. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
See accompanying notes to financial statements.
86
FINANCIAL HIGHLIGHTS |
Dunham Alternative Dividend Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period.
Class N | ||||||||||||||||||||||||
Year Ended | Period Ended | |||||||||||||||||||||||
Six Months Ended | October 31, | October 31, | ||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 * | ||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.27 | $ | 11.72 | $ | 12.00 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income** | 0.33 | 0.59 | 0.02 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.09 | (0.47 | ) | (0.30 | ) | |||||||||||||||||||
Total income (loss) from investment operations | 0.42 | 0.12 | (0.28 | ) | ||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | (0.26 | ) | (0.57 | ) | — | |||||||||||||||||||
Total distributions | (0.26 | ) | (0.57 | ) | — | |||||||||||||||||||
Net asset value, end of period | $ | 11.43 | $ | 11.27 | $ | 11.72 | ||||||||||||||||||
Total return +# | 3.73 | % | 0.90 | % # | (2.33 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 61,895 | $ | 35,285 | $ | 23,934 | ||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before fees paid indirectly ^ | 1.23 | % | 1.31 | % | 1.88 | % | ||||||||||||||||||
After fees paid indirectly ^ | 1.23 | % | 1.16 | % | 1.88 | % | ||||||||||||||||||
Ratios of net investment income to average net assets: | ||||||||||||||||||||||||
Before fees pain indirectly ^ | 5.79 | % | 4.83 | % | 0.86 | % | ||||||||||||||||||
After fees paid indirectly ^ | 5.79 | % | 4.99 | % | 0.86 | % | ||||||||||||||||||
Portfolio turnover rate (1) | 429 | % | 514 | % | 41 | % | ||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||
Year Ended | Period Ended | Year Ended | Period Ended | |||||||||||||||||||||
Six Months Ended | October 31, | October 31, | Six Months Ended | October 31, | October 31, | |||||||||||||||||||
April 30, 2018 | 2017 | 2016 * | April 30, 2018 | 2017 | 2016 * | |||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.27 | $ | 11.72 | $ | 12.00 | $ | 11.24 | $ | 11.71 | $ | 12.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income** | 0.32 | 0.51 | 0.08 | 0.27 | 0.46 | 0.01 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.06 | (0.40 | ) | (0.36 | ) | 0.08 | (0.46 | ) | (0.30 | ) | ||||||||||||||
Total income (loss) from investment operations | 0.38 | 0.11 | (0.28 | ) | 0.35 | 0.00 | (0.29 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | (0.24 | ) | (0.56 | ) | — | (0.20 | ) | (0.47 | ) | — | ||||||||||||||
Total distributions | (0.24 | ) | (0.56 | ) | — | (0.20 | ) | (0.47 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 11.41 | $ | 11.27 | $ | 11.72 | $ | 11.39 | $ | 11.24 | $ | 11.71 | ||||||||||||
Total return + | 3.42 | % | 0.78 | % | (2.33 | )% | 2.98 | % | (0.14 | )% # | (2.42 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 1,167 | $ | 729 | $ | 12 | $ | 1,055 | $ | 1,275 | $ | 418 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before fees paid indirectly ^ | 1.48 | % | 1.56 | % | 2.61 | % | 2.23 | % | 2.31 | % | 2.74 | % | ||||||||||||
After fees paid indirectly ^ | 1.48 | % | 1.41 | % | 2.61 | % | 2.23 | % | 2.16 | % | 2.74 | % | ||||||||||||
Ratios of net investment income to average net assets: | ||||||||||||||||||||||||
Before fees pain indirectly ^ | 5.62 | % | 4.34 | % | 4.18 | % | 4.78 | % | 3.80 | % | 0.44 | % | ||||||||||||
After fees paid indirectly ^ | 5.62 | % | 4.37 | % | 4.18 | % | 4.78 | % | 3.95 | % | 0.44 | % | ||||||||||||
Portfolio turnover rate (1) | 429 | % | 514 | % | 41 | % | 429 | % | 514 | % | 41 | % |
* | The Fund commenced operations on August 31, 2016. |
** | The net investment income per share data was determined using the average shares outstanding throughout the 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 and does not reflect the impact of any sales charge. |
(1) | Not annualized for periods less than one year. |
^ | Annualized for periods less than one year. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
See accompanying notes to financial statements.
87
FINANCIAL HIGHLIGHTS |
Dunham International Opportunity Bond Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period.
Class N | ||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 * | ||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.32 | $ | 9.37 | $ | 8.92 | $ | 9.64 | $ | 10.00 | ||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)** | (0.03 | ) | (0.03 | ) | 0.04 | 0.05 | 0.07 | |||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.28 | 0.07 | 0.42 | (0.77 | ) | (0.37 | ) | |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.25 | 0.04 | 0.46 | (0.72 | ) | (0.30 | ) | |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | (0.01 | ) | — | — | ||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (0.01 | ) | (0.09 | ) | — | — | — | |||||||||||||||||||||||||||||||||
Tax return of capital | — | — | — | — | (0.06 | ) | ||||||||||||||||||||||||||||||||||
Total distributions | (0.01 | ) | (0.09 | ) | (0.01 | ) | — | (0.06 | ) | |||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 9.56 | $ | 9.32 | $ | 9.37 | $ | 8.92 | $ | 9.64 | ||||||||||||||||||||||||||||||
Total return + # | 2.69 | % | 0.57 | % | 5.14 | % | (7.42 | )% | (2.99 | )% | ||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 30,281 | $ | 32,441 | $ | 24,728 | $ | 31,935 | $ | 42,440 | ||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.47 | % | 1.54 | % | 1.28 | % | 1.38 | % | 1.38 | % | ||||||||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | (0.53 | )% | (0.37 | )% | 0.41 | % | 0.52 | % | 0.66 | % | ||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 21 | % | 56 | % | 64 | % | 52 | % | 60 | % | ||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 * | April 30, 2018 | 2017 | 2016 | 2015 | 2014 * | |||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.26 | $ | 9.32 | $ | 8.90 | $ | 9.64 | $ | 10.00 | $ | 9.10 | $ | 9.22 | $ | 8.84 | $ | 9.62 | $ | 10.00 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)** | (0.04 | ) | (0.06 | ) | 0.01 | 0.02 | 0.04 | (0.06 | ) | (0.10 | ) | (0.03 | ) | (0.02 | ) | (0.01 | ) | |||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.28 | 0.09 | 0.41 | (0.76 | ) | (0.36 | ) | 0.27 | 0.07 | 0.41 | (0.76 | ) | (0.36 | ) | ||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.24 | 0.03 | 0.42 | (0.74 | ) | (0.32 | ) | 0.21 | (0.03 | ) | 0.38 | (0.78 | ) | (0.37 | ) | |||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | (0.00 | ) (a) | — | — | — | — | (0.00 | ) (a) | — | — | ||||||||||||||||||||||||||||
Distributions from net realized gains | (0.01 | ) | (0.09 | ) | — | — | — | (0.01 | ) | (0.09 | ) | — | — | — | ||||||||||||||||||||||||||
Tax return of capital | — | — | — | — | (0.04 | ) | — | — | — | — | (0.01 | ) | ||||||||||||||||||||||||||||
Total distributions | (0.01 | ) | (0.09 | ) | (0.00 | ) (a) | — | (0.04 | ) | (0.01 | ) | (0.09 | ) | (0.00 | ) (a) | — | (0.01 | ) | ||||||||||||||||||||||
Net asset value, end of period | $ | 9.49 | $ | 9.26 | $ | 9.32 | $ | 8.90 | $ | 9.64 | $ | 9.30 | $ | 9.10 | $ | 9.22 | $ | 8.84 | $ | 9.62 | ||||||||||||||||||||
Total return + # | 2.60 | % | 0.46 | % | 4.77 | % | (7.65 | )% | (3.22 | )% | 2.32 | % | (0.19 | )% | 4.31 | % | (8.11 | )% | (3.72 | )% | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 3,396 | $ | 2,968 | $ | 2,118 | $ | 3,208 | $ | 3,513 | $ | 1,429 | $ | 1,330 | $ | 1,204 | $ | 1,638 | $ | 1,879 | ||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.72 | % | 1.79 | % | 1.53 | % | 1.63 | % | 1.63 | % | 2.21 | % | 2.29 | % | 2.03 | % | 2.13 | % | 2.13 | % | ||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | (0.78 | )% | (0.63 | )% | 0.10 | % | 0.29 | % | 0.41 | % | (1.27 | )% | (1.11 | )% | (0.33 | )% | (0.24 | )% | (0.09 | )% | ||||||||||||||||||||
Portfolio turnover rate (1) | 21 | % | 56 | % | 64 | % | 52 | % | 60 | % | 21 | % | 56 | % | 64 | % | 52 | % | 60 | % |
* | The Fund commenced operations on November 1, 2013. |
** | The net investment income (loss) per share data was determined using the average shares outstanding throughout the year. |
(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 and does not reflect the impact of any sales charges. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes to financial statements.
88
FINANCIAL HIGHLIGHTS |
Dunham Appreciation & Income Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.68 | $ | 8.05 | $ | 8.75 | $ | 10.88 | $ | 10.09 | $ | 8.90 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.02 | 0.16 | 0.23 | 0.27 | 0.11 | 0.16 | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.15 | 0.72 | (0.39 | ) | (0.51 | ) | 0.83 | 1.28 | ||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.17 | 0.88 | (0.16 | ) | (0.24 | ) | 0.94 | 1.44 | ||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.18 | ) | (0.25 | ) | (0.36 | ) | (0.17 | ) | (0.15 | ) | (0.25 | ) | ||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | — | — | (0.18 | ) | (1.72 | ) | — | — | ||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.18 | ) | (0.25 | ) | (0.54 | ) | (1.89 | ) | (0.15 | ) | (0.25 | ) | ||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 8.67 | $ | 8.68 | $ | 8.05 | $ | 8.75 | $ | 10.88 | $ | 10.09 | ||||||||||||||||||||||||||||||||||||
Total return + # | 2.04 | % | 11.20 | % | (1.92 | )% | (2.67 | )% | 9.37 | % | 16.59 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 12,459 | $ | 12,953 | $ | 16,929 | $ | 20,210 | $ | 18,576 | $ | 15,855 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.49 | % | 1.41 | % | 1.42 | % | 1.34 | % | 1.44 | % | 1.39 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 0.52 | % | 1.90 | % | 2.83 | % | 2.83 | % | 1.07 | % | 1.70 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 63 | % | 106 | % | 96 | % | 82 | % | 129 | % | 62 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.66 | $ | 8.03 | $ | 8.73 | $ | 10.85 | $ | 10.06 | $ | 8.88 | $ | 8.46 | $ | 7.86 | $ | 8.56 | $ | 10.66 | $ | 9.90 | $ | 8.74 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) * | 0.01 | 0.14 | 0.20 | 0.24 | 0.09 | 0.13 | (0.02 | ) | 0.07 | 0.14 | 0.18 | 0.01 | 0.06 | |||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.15 | 0.72 | (0.39 | ) | (0.50 | ) | 0.82 | 1.27 | 0.14 | 0.71 | (0.39 | ) | (0.50 | ) | 0.80 | 1.26 | ||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.16 | 0.86 | (0.19 | ) | (0.26 | ) | 0.91 | 1.40 | 0.12 | 0.78 | (0.25 | ) | (0.32 | ) | 0.81 | 1.32 | ||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.16 | ) | (0.23 | ) | (0.33 | ) | (0.14 | ) | (0.12 | ) | (0.22 | ) | (0.11 | ) | (0.18 | ) | (0.27 | ) | (0.06 | ) | (0.05 | ) | (0.16 | ) | ||||||||||||||||||||||||
Distributions from net realized gains | — | — | (0.18 | ) | (1.72 | ) | — | — | — | — | (0.18 | ) | (1.72 | ) | — | — | ||||||||||||||||||||||||||||||||
Total distributions | (0.16 | ) | (0.23 | ) | (0.51 | ) | (1.86 | ) | (0.12 | ) | (0.22 | ) | (0.11 | ) | (0.18 | ) | (0.45 | ) | (1.78 | ) | (0.05 | ) | (0.16 | ) | ||||||||||||||||||||||||
Net asset value, end of period | $ | 8.66 | $ | 8.66 | $ | 8.03 | $ | 8.73 | $ | 10.85 | $ | 10.06 | $ | 8.47 | $ | 8.46 | $ | 7.86 | $ | 8.56 | $ | 10.66 | $ | 9.90 | ||||||||||||||||||||||||
Total return + # | 1.92 | % | 10.92 | % | (2.19 | )% | (2.84 | )% | 9.10 | % | 16.21 | % | 1.57 | % | 10.08 | % | (2.95 | )% | (3.53 | )% | 8.21 | % | 15.35 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 3,473 | $ | 3,125 | $ | 3,638 | $ | 4,211 | $ | 4,509 | $ | 4,368 | $ | 2,880 | $ | 2,708 | $ | 3,181 | $ | 4,956 | $ | 4,046 | $ | 3,765 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.74 | % | 1.66 | % | 1.67 | % | 1.59 | % | 1.69 | % | 1.64 | % | 2.49 | % | 2.41 | % | 2.44 | % | 2.34 | % | 2.44 | % | 2.39 | % | ||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 0.28 | % | 1.66 | % | 2.57 | % | 2.56 | % | 0.83 | % | 1.45 | % | (0.47 | )% | 0.93 | % | 1.81 | % | 1.91 | % | 0.08 | % | 0.70 | % | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 63 | % | 106 | % | 96 | % | 82 | % | 129 | % | 62 | % | 63 | % | 106 | % | 96 | % | 82 | % | 129 | % | 62 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
See accompanying notes to financial statements.
89
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.16 | $ | 12.22 | $ | 16.32 | $ | 16.21 | $ | 14.55 | $ | 11.74 | ||||||||||||||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income * | 0.05 | 0.15 | 0.22 | 0.17 | 0.13 | 0.16 | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.33 | 2.01 | (0.04 | ) | 0.06 | 1.70 | 2.78 | |||||||||||||||||||||||||||||||||||||||||
Total income from investment operations | 0.38 | 2.16 | 0.18 | 0.23 | 1.83 | 2.94 | ||||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.12 | ) | (0.22 | ) | (0.18 | ) | (0.12 | ) | (0.17 | ) | (0.13 | ) | ||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (0.14 | ) | — | (4.10 | ) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.26 | ) | (0.22 | ) | (4.28 | ) | (0.12 | ) | (0.17 | ) | (0.13 | ) | ||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 14.28 | $ | 14.16 | $ | 12.22 | $ | 16.32 | $ | 16.21 | $ | 14.55 | ||||||||||||||||||||||||||||||||||||
Total return + # | 2.70 | % | 17.84 | % | 1.73 | % | 1.41 | % | 12.64 | % | 25.30 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 58,403 | $ | 55,155 | $ | 45,026 | $ | 44,620 | $ | 41,917 | $ | 37,688 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 1.43 | % | 1.13 | % | 0.93 | % | 1.12 | % | 1.26 | % | 1.00 | % | ||||||||||||||||||||||||||||||||||||
After fees paid indirectly ^ | 1.43 | % | 1.12 | % | 0.93 | % | 1.12 | % | 1.26 | % | 1.00 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 0.73 | % | 1.12 | % | 1.81 | % | 1.03 | % | 0.82 | % | 1.25 | % | ||||||||||||||||||||||||||||||||||||
After fees paid indirectly ^ | 0.73 | % | 1.13 | % | 1.81 | % | 1.03 | % | 0.82 | % | 1.25 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 20 | % | 61 | % | 59 | % | 101 | % | 22 | % | 16 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.10 | $ | 12.16 | $ | 16.26 | $ | 16.16 | $ | 14.52 | $ | 11.72 | $ | 13.47 | $ | 11.65 | $ | 15.74 | $ | 15.68 | $ | 14.09 | $ | 11.36 | ||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.03 | 0.11 | 0.19 | 0.13 | 0.09 | 0.13 | (0.02 | ) | 0.02 | 0.10 | 0.00 | (a) | (0.03 | ) | 0.03 | |||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.33 | 2.02 | (0.05 | ) | 0.06 | 1.69 | 2.77 | 0.32 | 1.92 | (0.06 | ) | 0.06 | 1.65 | 2.71 | ||||||||||||||||||||||||||||||||||
Total income from investment operations | 0.36 | 2.13 | 0.14 | 0.19 | 1.78 | 2.90 | 0.30 | 1.94 | 0.04 | 0.06 | 1.62 | 2.74 | ||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.10 | ) | (0.19 | ) | (0.14 | ) | (0.09 | ) | (0.14 | ) | (0.10 | ) | (0.02 | ) | (0.12 | ) | (0.03 | ) | — | (0.03 | ) | (0.01 | ) | |||||||||||||||||||||||||
Distributions from net realized gains | (0.14 | ) | 0.00 | (4.10 | ) | — | — | — | (0.14 | ) | — | (4.10 | ) | — | — | — | ||||||||||||||||||||||||||||||||
Total distributions | (0.24 | ) | (0.19 | ) | (4.24 | ) | (0.09 | ) | (0.14 | ) | (0.10 | ) | (0.16 | ) | (0.12 | ) | (4.13 | ) | — | (0.03 | ) | (0.01 | ) | |||||||||||||||||||||||||
Net asset value, end of period | $ | 14.22 | $ | 14.10 | $ | 12.16 | $ | 16.26 | $ | 16.16 | $ | 14.52 | $ | 13.61 | $ | 13.47 | $ | 11.65 | $ | 15.74 | $ | 15.68 | $ | 14.09 | ||||||||||||||||||||||||
Total return + # | 2.51 | % | 17.66 | % | 1.43 | % | 1.15 | % | 12.31 | % | 24.99 | % | 2.20 | % | 16.72 | % | 0.66 | % | 0.38 | % | 11.49 | % | 24.09 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 12,130 | $ | 10,174 | $ | 6,544 | $ | 6,577 | $ | 7,685 | $ | 4,980 | $ | 4,343 | $ | 4,343 | $ | 4,850 | $ | 5,805 | $ | 5,639 | $ | 5,029 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 1.68 | % | 1.38 | % | 1.18 | % | 1.37 | % | 1.51 | % | 1.25 | % | 2.43 | % | 2.13 | % | 1.93 | % | 2.12 | % | 2.26 | % | 2.00 | % | ||||||||||||||||||||||||
After fees paid indirectly ^ | 1.68 | % | 1.37 | % | 1.18 | % | 1.37 | % | 1.51 | % | 1.25 | % | 2.43 | % | 2.12 | % | 1.93 | % | 2.12 | % | 2.26 | % | 2.00 | % | ||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 0.47 | % | 0.84 | % | 1.57 | % | 0.78 | % | 0.57 | % | 0.99 | % | (0.27 | )% | 0.14 | % | 0.83 | % | 0.03 | % | (0.18 | )% | 0.25 | % | ||||||||||||||||||||||||
After fees paid indirectly ^ | 0.47 | % | 0.85 | % | 1.57 | % | 0.78 | % | 0.57 | % | 0.99 | % | (0.27 | )% | 0.15 | % | 0.83 | % | 0.03 | % | (0.18 | )% | 0.25 | % | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 20 | % | 61 | % | 59 | % | 101 | % | 22 | % | 16 | % | 20 | % | 61 | % | 59 | % | 101 | % | 22 | % | 16 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charges. |
(a) | Represents less than $0.01 per share. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes to financial statements.
90
FINANCIAL HIGHLIGHTS |
Dunham Focused Large Cap Growth Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.37 | $ | 15.92 | $ | 16.97 | $ | 15.01 | $ | 14.02 | $ | 10.42 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment loss* | (0.10 | ) | (0.14 | ) | (0.10 | ) | (0.16 | ) | (0.11 | ) | (0.10 | ) | ||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.26 | 3.59 | (0.86 | ) | 2.12 | 1.29 | 3.70 | |||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 2.16 | 3.45 | (0.96 | ) | 1.96 | 1.18 | 3.60 | |||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (0.18 | ) | — | (0.09 | ) | — | (0.19 | ) | — | |||||||||||||||||||||||||||||||||||||||
Total distributions | (0.18 | ) | — | (0.09 | ) | — | (0.19 | ) | — | |||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 21.35 | $ | 19.37 | $ | 15.92 | $ | 16.97 | $ | 15.01 | $ | 14.02 | ||||||||||||||||||||||||||||||||||||
Total return + | 11.25 | % | 21.67 | % | (5.66 | )% | 13.06 | % | 8.48 | % | 34.55 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 58,617 | $ | 56,472 | $ | 51,242 | $ | 51,312 | $ | 37,106 | $ | 814 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers and fees paid indirectly ^ | 1.23 | % | 1.16 | % | 1.20 | % | 1.34 | % | 1.16 | % | 1.71 | % | ||||||||||||||||||||||||||||||||||||
After fee waivers and fees paid indirectly ^ | 1.23 | % | 1.14 | % | 1.20 | % | 1.34 | % | 1.16 | % | 1.69 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment loss to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers and fees paid indirectly ^ | (0.97 | )% | (0.79 | )% | (0.64 | )% | (1.00 | )% | (0.76 | )% | (0.70 | )% | ||||||||||||||||||||||||||||||||||||
After fee waivers and fees paid indirectly ^ | (0.97 | )% | (0.77 | )% | (0.64 | )% | (1.00 | )% | (0.76 | )% | (0.67 | )% | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 16 | % | 38 | % | 29 | % | 45 | % | 29 | % | 91 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.08 | $ | 15.73 | $ | 16.80 | $ | 14.91 | $ | 13.96 | $ | 10.39 | $ | 18.27 | $ | 15.17 | $ | 16.33 | $ | 14.59 | $ | 13.76 | $ | 10.33 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment loss* | (0.12 | ) | (0.18 | ) | (0.14 | ) | (0.19 | ) | (0.21 | ) | (0.11 | ) | (0.19 | ) | (0.30 | ) | (0.25 | ) | (0.31 | ) | (0.26 | ) | (0.26 | ) | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.22 | 3.53 | (0.84 | ) | 2.08 | 1.35 | 3.68 | 2.12 | 3.40 | (0.82 | ) | 2.05 | 1.28 | 3.69 | ||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 2.10 | 3.35 | (0.98 | ) | 1.89 | 1.14 | 3.57 | 1.93 | 3.10 | (1.07 | ) | 1.74 | 1.02 | 3.43 | ||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (0.18 | ) | — | (0.09 | ) | — | (0.19 | ) | — | (0.18 | ) | — | (0.09 | ) | — | (0.19 | ) | — | ||||||||||||||||||||||||||||||
Total distributions | (0.18 | ) | — | (0.09 | ) | — | (0.19 | ) | 0.00 | (0.18 | ) | — | (0.09 | ) | — | (0.19 | ) | — | ||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 21.00 | $ | 19.08 | $ | 15.73 | $ | 16.80 | $ | 14.91 | $ | 13.96 | $ | 20.02 | $ | 18.27 | $ | 15.17 | $ | 16.33 | $ | 14.59 | $ | 13.76 | ||||||||||||||||||||||||
Total return + | 11.10 | % | 21.30 | % | (5.84 | )% | 12.68 | % | 8.23 | % | 34.36 | % | 10.66 | % | 20.44 | % | (6.56 | )% | 11.93 | % | 7.47 | % | 33.20 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 14,657 | $ | 12,944 | $ | 9,620 | $ | 8,762 | $ | 19,949 | $ | 11,399 | $ | 6,934 | $ | 6,758 | $ | 4,988 | $ | 5,222 | $ | 4,361 | $ | 510 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers and fees paid indirectly ^ | 1.49 | % | 1.41 | % | 1.45 | % | 1.59 | % | 1.41 | % | 1.96 | % | 2.23 | % | 2.16 | % | 2.20 | % | 2.34 | % | 2.16 | % | 2.71 | % | ||||||||||||||||||||||||
After fee waivers and fees paid indirectly ^ | 1.49 | % | 1.39 | % | 1.45 | % | 1.59 | % | 1.41 | % | 1.94 | % | 2.23 | % | 2.14 | % | 2.20 | % | 2.34 | % | 2.16 | % | 2.69 | % | ||||||||||||||||||||||||
Ratios of net investment loss to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers and fees paid indirectly ^ | (1.22 | )% | (1.05 | )% | (0.91 | )% | (1.20 | )% | (1.48 | )% | (0.95 | )% | (1.97 | )% | (1.80 | )% | (1.67 | )% | (2.00 | )% | (1.87 | )% | (1.70 | )% | ||||||||||||||||||||||||
After fee waivers and fees paid indirectly ^ | (1.22 | )% | (1.03 | )% | (0.91 | )% | (1.20 | )% | (1.48 | )% | (0.92 | )% | (1.97 | )% | (1.78 | )% | (1.67 | )% | (2.00 | )% | (1.87 | )% | (1.67 | )% | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 16 | % | 38 | % | 29 | % | 45 | % | 29 | % | 91 | % | 16 | % | 38 | % | 29 | % | 45 | % | 29 | % | 91 | % |
* | The net investment loss per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
(1) | Not annualized for periods less than one year. |
^ | Annualized for periods less than one year. |
See accompanying notes to financial statements.
91
FINANCIAL HIGHLIGHTS |
Dunham International Stock Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.54 | $ | 14.24 | $ | 14.24 | $ | 15.21 | $ | 15.22 | $ | 12.05 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income * | 0.07 | 0.21 | 0.16 | 0.00 | (a) | 0.15 | 0.07 | |||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.65 | 3.09 | (0.15 | ) | (0.61 | ) | 0.10 | 3.24 | ||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.72 | 3.30 | 0.01 | (0.61 | ) | 0.25 | 3.31 | |||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.26 | ) | — | (0.01 | ) | (0.30 | ) | (0.26 | ) | (0.14 | ) | |||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (0.49 | ) | — | — | (0.06 | ) | — | — | ||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.75 | ) | — | (0.01 | ) | (0.36 | ) | (0.26 | ) | (0.14 | ) | |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 17.51 | $ | 17.54 | $ | 14.24 | $ | 14.24 | $ | 15.21 | $ | 15.22 | ||||||||||||||||||||||||||||||||||||
Total return + # | 4.23 | % | 23.17 | % | 0.06 | % | (4.10 | )% | 1.66 | % | 27.64 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 93,123 | $ | 90,257 | $ | 78,640 | $ | 76,992 | $ | 57,359 | $ | 49,815 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 1.57 | % | 1.56 | % | 1.63 | % | 2.04 | % | 2.04 | % | 2.11 | % | ||||||||||||||||||||||||||||||||||||
After fees paid indirectly ^ | 1.57 | % | 1.55 | % | 1.63 | % | 2.04 | % | 2.04 | % | 2.11 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 0.76 | % | 1.34 | % | 1.17 | % | 0.03 | % | 0.99 | % | 0.52 | % | ||||||||||||||||||||||||||||||||||||
After fees paid indirectly ^ | 0.76 | % | 1.35 | % | 1.17 | % | 0.03 | % | 0.99 | % | 0.52 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 57 | % | 119 | % | 143 | % | 125 | % | 117 | % | 131 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.42 | $ | 14.17 | $ | 14.21 | $ | 15.16 | $ | 15.19 | $ | 12.03 | $ | 16.59 | $ | 13.60 | $ | 13.73 | $ | 14.68 | $ | 14.70 | $ | 11.64 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.05 | 0.17 | 0.13 | (0.03 | ) | 0.15 | 0.06 | (0.02 | ) | 0.04 | 0.03 | (0.14 | ) | (0.00 | ) (a) | (0.06 | ) | |||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.65 | 3.08 | (0.17 | ) | (0.60 | ) | 0.06 | 3.22 | 0.62 | 2.95 | (0.16 | ) | (0.59 | ) | 0.10 | 3.13 | ||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.70 | 3.25 | (0.04 | ) | (0.63 | ) | 0.21 | 3.28 | 0.60 | 2.99 | (0.13 | ) | (0.73 | ) | 0.10 | 3.07 | ||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.23 | ) | — | — | (0.26 | ) | (0.24 | ) | (0.12 | ) | (0.15 | ) | — | — | (0.16 | ) | (0.12 | ) | (0.01 | ) | ||||||||||||||||||||||||||||
Distributions from net realized gains | (0.49 | ) | — | — | (0.06 | ) | — | — | (0.49 | ) | — | — | (0.06 | ) | — | — | ||||||||||||||||||||||||||||||||
Total distributions | (0.72 | ) | — | — | (0.32 | ) | (0.24 | ) | (0.12 | ) | (0.64 | ) | — | — | (0.22 | ) | (0.12 | ) | (0.01 | ) | ||||||||||||||||||||||||||||
Net asset value, end of period | $ | 17.40 | $ | 17.42 | $ | 14.17 | $ | 14.21 | $ | 15.16 | $ | 15.19 | $ | 16.55 | $ | 16.59 | $ | 13.60 | $ | 13.73 | $ | 14.68 | $ | 14.70 | ||||||||||||||||||||||||
Total return + # | 4.10 | % | 22.94 | % | (0.28 | )% | (4.26 | )% | 1.35 | % | 27.40 | % | 3.68 | % | 21.99 | % | (0.95 | )% | (5.06 | )% | 0.67 | % | 26.40 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 17,742 | $ | 15,524 | $ | 10,305 | $ | 9,032 | $ | 7,871 | $ | 4,741 | $ | 6,430 | $ | 6,570 | $ | 6,483 | $ | 7,268 | $ | 6,551 | $ | 5,627 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 1.82 | % | 1.81 | % | 1.88 | % | 2.29 | % | 2.29 | % | 2.36 | % | 2.57 | % | 2.56 | % | 2.63 | % | 3.04 | % | 3.04 | % | 3.11 | % | ||||||||||||||||||||||||
After fees paid indirectly ^ | 1.82 | % | 1.80 | % | 1.88 | % | 2.29 | % | 2.29 | % | 2.36 | % | 2.57 | % | 2.55 | % | 2.63 | % | 3.04 | % | 3.04 | % | 3.11 | % | ||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 0.53 | % | 1.07 | % | 0.93 | % | (0.19 | )% | 0.97 | % | 0.41 | % | (0.26 | )% | 0.30 | % | 0.20 | % | (0.94 | )% | (0.02 | )% | (0.46 | )% | ||||||||||||||||||||||||
After fees paid indirectly ^ | 0.53 | % | 1.08 | % | 0.93 | % | (0.19 | )% | 0.97 | % | 0.41 | % | (0.26 | )% | 0.31 | % | 0.20 | % | (0.94 | )% | (0.02 | )% | (0.46 | )% | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 57 | % | 119 | % | 143 | % | 125 | % | 117 | % | 131 | % | 57 | % | 119 | % | 143 | % | 125 | % | 117 | % | 131 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charges. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(a) | Represents less than $0.01 per share. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes to financial statements.
92
FINANCIAL HIGHLIGHTS |
Dunham Real Estate Stock Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.66 | $ | 18.31 | $ | 19.23 | $ | 19.27 | $ | 16.53 | $ | 15.79 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income * | 0.20 | 0.13 | 0.32 | 0.15 | 0.13 | 0.23 | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.82 | ) | 0.40 | 0.73 | 0.85 | 3.20 | 1.27 | |||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.62 | ) | 0.53 | 1.05 | 1.00 | 3.33 | 1.50 | |||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.12 | ) | (0.36 | ) | (0.21 | ) | (0.11 | ) | (0.20 | ) | (0.23 | ) | ||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (0.12 | ) | (2.82 | ) | (1.76 | ) | (0.93 | ) | (0.39 | ) | (0.53 | ) | ||||||||||||||||||||||||||||||||||||
Total distributions | (0.24 | ) | (3.18 | ) | (1.97 | ) | (1.04 | ) | (0.59 | ) | (0.76 | ) | ||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 14.80 | $ | 15.66 | $ | 18.31 | $ | 19.23 | $ | 19.27 | $ | 16.53 | ||||||||||||||||||||||||||||||||||||
Total return + | (4.04 | )% | 3.63 | % | 5.77 | % | 5.13 | % | 21.09 | % | 9.85 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 43,933 | $ | 34,256 | $ | 25,479 | $ | 33,379 | $ | 37,143 | $ | 33,545 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.17 | % | 1.17 | % | 1.21 | % | 1.64 | % | 1.59 | % | 1.30 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 2.71 | % | 0.79 | % | 1.74 | % | 0.80 | % | 0.77 | % | 1.40 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 38 | % | 101 | % | 110 | % | 110 | % | 97 | % | 163 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.78 | $ | 18.35 | $ | 19.26 | $ | 19.33 | $ | 16.55 | $ | 15.77 | $ | 14.88 | $ | 17.55 | $ | 18.50 | $ | 18.65 | $ | 16.02 | $ | 15.33 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) * | 0.19 | 0.10 | 0.27 | 0.10 | 0.08 | 0.15 | 0.13 | (0.02 | ) | 0.13 | (0.04 | ) | (0.04 | ) | 0.07 | |||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.84 | ) | 0.41 | 0.74 | 0.85 | 3.22 | 1.31 | (0.80 | ) | 0.38 | 0.70 | 0.82 | 3.11 | 1.23 | ||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.65 | ) | 0.51 | 1.01 | 0.95 | 3.30 | 1.46 | (0.67 | ) | 0.36 | 0.83 | 0.78 | 3.07 | 1.30 | ||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.09 | ) | (0.26 | ) | (0.16 | ) | (0.09 | ) | (0.13 | ) | (0.15 | ) | — | (0.21 | ) | (0.02 | ) | 0.00 | (0.05 | ) | (0.08 | ) | ||||||||||||||||||||||||||
Distributions from net realized gains | (0.12 | ) | (2.82 | ) | (1.76 | ) | (0.93 | ) | (0.39 | ) | (0.53 | ) | (0.12 | ) | (2.82 | ) | (1.76 | ) | (0.93 | ) | (0.39 | ) | (0.53 | ) | ||||||||||||||||||||||||
Total distributions | (0.21 | ) | (3.08 | ) | (1.92 | ) | (1.02 | ) | (0.52 | ) | (0.68 | ) | (0.12 | ) | (3.03 | ) | (1.78 | ) | (0.93 | ) | (0.44 | ) | (0.61 | ) | ||||||||||||||||||||||||
Net asset value, end of period | $ | 14.92 | $ | 15.78 | $ | 18.35 | $ | 19.26 | $ | 19.33 | $ | 16.55 | $ | 14.09 | $ | 14.88 | $ | 17.55 | $ | 18.50 | $ | 18.65 | $ | 16.02 | ||||||||||||||||||||||||
Total return + | (4.20 | )% | 3.44 | % | 5.54 | % | 4.85 | % | 20.73 | % | 9.60 | % | (4.55 | )% | 2.61 | % | 4.73 | % | 4.08 | % | 19.88 | % | 8.73 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 7,643 | $ | 6,002 | $ | 9,376 | $ | 10,386 | $ | 3,913 | $ | 2,539 | $ | 2,317 | $ | 2,448 | $ | 3,211 | $ | 3,847 | $ | 4,166 | $ | 2,684 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.42 | % | 1.42 | % | 1.45 | % | 1.89 | % | 1.84 | % | 1.55 | % | 2.17 | % | 2.17 | % | 2.21 | % | 2.64 | % | 2.59 | % | 2.30 | % | ||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | 2.47 | % | 0.60 | % | 1.45 | % | 0.53 | % | 0.48 | % | 1.15 | % | 1.78 | % | (0.11 | )% | 0.70 | % | (0.21 | )% | (0.24 | )% | 0.40 | % | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 38 | % | 101 | % | 110 | % | 110 | % | 97 | % | 163 | % | 38 | % | 101 | % | 110 | % | 110 | % | 97 | % | 163 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
(1) | Not annualized for periods less than one year. |
^ | Annualized for periods less than one year. |
See accompanying notes to financial statements.
93
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.47 | $ | 14.41 | $ | 14.27 | $ | 15.45 | $ | 14.65 | $ | 11.21 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) * | (0.00 | ) (a) | 0.07 | 0.09 | (0.01 | ) | 0.04 | 0.07 | ||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.00 | ) (a) | 3.57 | 0.54 | (0.18 | ) | 1.45 | 3.40 | ||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.00 | ) | 3.64 | 0.63 | (0.19 | ) | 1.49 | 3.47 | ||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.04 | ) | (0.10 | ) | (0.01 | ) | (0.04 | ) | (0.02 | ) | (0.03 | ) | ||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (1.81 | ) | (0.48 | ) | (0.48 | ) | (0.95 | ) | (0.67 | ) | — | |||||||||||||||||||||||||||||||||||||
Total distributions | (1.85 | ) | (0.58 | ) | (0.49 | ) | (0.99 | ) | (0.69 | ) | (0.03 | ) | ||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 15.62 | $ | 17.47 | $ | 14.41 | $ | 14.27 | $ | 15.45 | $ | 14.65 | ||||||||||||||||||||||||||||||||||||
Total return + # | (0.33 | )% | 25.55 | % | 4.58 | % | (1.59 | )% | 10.30 | % | 31.05 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 29,740 | $ | 22,710 | $ | 22,254 | $ | 22,068 | $ | 23,783 | $ | 16,640 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.74 | % | 1.32 | % | 1.48 | % | 1.79 | % | 1.45 | % | 1.29 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | (0.05 | )% | 0.45 | % | 0.64 | % | (0.10 | )% | 0.27 | % | 0.62 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 49 | % | 100 | % | 129 | % | 122 | % | 106 | % | 147 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.31 | $ | 14.29 | $ | 14.18 | $ | 15.36 | $ | 14.59 | $ | 11.16 | $ | 15.67 | $ | 13.02 | $ | 13.06 | $ | 14.32 | $ | 13.74 | $ | 10.59 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | (0.02 | ) | 0.03 | 0.05 | (0.05 | ) | (0.00 | ) (a) | 0.01 | (0.07 | ) | (0.08 | ) | (0.05 | ) | (0.15 | ) | (0.10 | ) | (0.03 | ) | |||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.01 | ) | 3.54 | 0.54 | (0.18 | ) | 1.44 | 3.42 | (0.00 | ) (a) | 3.21 | 0.49 | (0.16 | ) | 1.35 | 3.18 | ||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | (0.03 | ) | 3.57 | 0.59 | (0.23 | ) | 1.44 | 3.43 | (0.07 | ) | 3.13 | 0.44 | (0.31 | ) | 1.25 | 3.15 | ||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.00 | ) (a) | (0.07 | ) | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (1.81 | ) | (0.48 | ) | (0.48 | ) | (0.95 | ) | (0.67 | ) | — | (1.81 | ) | (0.48 | ) | (0.48 | ) | (0.95 | ) | (0.67 | ) | — | ||||||||||||||||||||||||||
Total distributions | (1.81 | ) | (0.55 | ) | (0.48 | ) | (0.95 | ) | (0.67 | ) | — | (1.81 | ) | (0.48 | ) | (0.48 | ) | (0.95 | ) | (0.67 | ) | — | ||||||||||||||||||||||||||
Net asset value, end of period | $ | 15.47 | $ | 17.31 | $ | 14.29 | $ | 14.18 | $ | 15.36 | $ | 14.59 | $ | 13.79 | $ | 15.67 | $ | 13.02 | $ | 13.06 | $ | 14.32 | $ | 13.74 | ||||||||||||||||||||||||
Total return + # | (0.44 | )% | 25.26 | % | 4.33 | % | (1.83 | )% | 10.02 | % | 30.74 | % | (0.77 | )% | 24.29 | % | 3.52 | % | (2.56 | )% | 9.22 | % | 29.75 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 5,932 | $ | 4,569 | $ | 3,802 | $ | 3,801 | $ | 3,268 | $ | 1,756 | $ | 2,293 | $ | 2,611 | $ | 2,241 | $ | 2,383 | $ | 2,494 | $ | 2,057 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.99 | % | 1.57 | % | 1.73 | % | 2.04 | % | 1.70 | % | 1.54 | % | 2.74 | % | 2.32 | % | 2.48 | % | 2.79 | % | 2.45 | % | 2.29 | % | ||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | (0.29 | )% | 0.19 | % | 0.40 | % | (0.36 | )% | (0.06 | )% | 0.15 | % | (1.01 | )% | (0.57 | )% | (0.36 | )% | (1.11 | )% | (0.70 | )% | (0.37 | )% | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 49 | % | 100 | % | 129 | % | 122 | % | 106 | % | 147 | % | 49 | % | 100 | % | 129 | % | 122 | % | 106 | % | 147 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
(a) | Represents less than $0.01 per share. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes to financial statements.
94
FINANCIAL HIGHLIGHTS |
Dunham Emerging Markets Stock Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.94 | $ | 12.73 | $ | 11.97 | $ | 14.75 | $ | 14.66 | $ | 13.82 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income * | 0.05 | 0.17 | 0.20 | 0.08 | 0.20 | 0.00 | (a) | |||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) ** | 0.12 | 3.28 | 0.64 | (2.67 | ) | (0.11 | ) | 0.84 | ||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.17 | 3.45 | 0.84 | (2.59 | ) | 0.09 | 0.84 | |||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.16 | ) | (0.24 | ) | (0.08 | ) | (0.19 | ) | — | — | ||||||||||||||||||||||||||||||||||||||
Total distributions | (0.16 | ) | (0.24 | ) | (0.08 | ) | (0.19 | ) | — | — | ||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 15.95 | $ | 15.94 | $ | 12.73 | $ | 11.97 | $ | 14.75 | $ | 14.66 | ||||||||||||||||||||||||||||||||||||
Total return + # | 1.07 | % | 27.69 | % | 7.13 | % | (17.73 | )% | 0.61 | % | 6.08 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 55,442 | $ | 51,365 | $ | 46,481 | $ | 42,831 | $ | 35,872 | $ | 24,736 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.25 | % | 1.75 | % | 1.27 | % | 1.76 | % | 1.29 | % | 2.00 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 0.65 | % | 1.18 | % | 1.73 | % | 0.59 | % | 1.39 | % | 0.03 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 35 | % | 74 | % | 97 | % | 137 | % | 108 | % | 166 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.58 | $ | 12.45 | $ | 11.71 | $ | 14.44 | $ | 14.39 | $ | 13.59 | $ | 14.74 | $ | 11.82 | $ | 11.14 | $ | 13.76 | $ | 13.82 | $ | 13.16 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.03 | 0.14 | 0.17 | 0.05 | 0.16 | (0.07 | ) | (0.03 | ) | 0.02 | 0.08 | (0.06 | ) | 0.04 | (0.14 | ) | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) ** | 0.11 | 3.20 | 0.62 | (2.62 | ) | (0.11 | ) | 0.87 | 0.13 | 3.04 | 0.60 | (2.49 | ) | (0.10 | ) | 0.80 | ||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.14 | 3.34 | 0.79 | (2.57 | ) | 0.05 | 0.80 | 0.10 | 3.06 | 0.68 | (2.55 | ) | (0.06 | ) | 0.66 | |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.12 | ) | (0.21 | ) | (0.05 | ) | (0.16 | ) | — | — | (0.06 | ) | (0.14 | ) | — | (0.07 | ) | — | — | |||||||||||||||||||||||||||||
Total distributions | (0.12 | ) | (0.21 | ) | (0.05 | ) | (0.16 | ) | — | — | (0.06 | ) | (0.14 | ) | — | (0.07 | ) | — | — | |||||||||||||||||||||||||||||
Net asset value, end of period | $ | 15.60 | $ | 15.58 | $ | 12.45 | $ | 11.71 | $ | 14.44 | $ | 14.39 | $ | 14.78 | $ | 14.74 | $ | 11.82 | $ | 11.14 | $ | 13.76 | $ | 13.82 | ||||||||||||||||||||||||
Total return + # | 0.93 | % | 27.36 | % | 6.84 | % | (17.94 | )% | 0.35 | % | 5.89 | % | 0.65 | % | 26.31 | % | 6.10 | % | (18.60 | )% | (0.43 | )% | 5.02 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 10,004 | $ | 8,242 | $ | 6,348 | $ | 4,594 | $ | 4,036 | $ | 2,475 | $ | 3,571 | $ | 3,467 | $ | 3,380 | $ | 3,216 | $ | 3,593 | $ | 2,735 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.50 | % | 2.00 | % | 1.52 | % | 2.01 | % | 1.54 | % | 2.25 | % | 2.25 | % | 2.75 | % | 2.27 | % | 2.76 | % | 2.29 | % | 3.00 | % | ||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | 0.41 | % | 0.98 | % | 1.46 | % | 0.40 | % | 1.14 | % | (0.48 | )% | (0.35 | )% | 0.10 | % | 0.77 | % | (0.48 | )% | 0.34 | % | (1.03 | )% | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 35 | % | 74 | % | 97 | % | 137 | % | 108 | % | 166 | % | 35 | % | 74 | % | 97 | % | 137 | % | 108 | % | 166 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year. |
(a) | Represents less than $0.01 per share. |
** | The amount of net realized and unrealized loss on investment per share for the year ended October 31, 2014 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes to financial statements.
95
FINANCIAL HIGHLIGHTS |
Dunham Small Cap Growth Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.31 | $ | 15.34 | $ | 17.08 | $ | 17.71 | $ | 20.62 | $ | 15.69 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment loss* | (0.12 | ) | (0.15 | ) | (0.06 | ) | (0.24 | ) | (0.29 | ) | (0.19 | ) | ||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) (a) | 1.76 | 5.12 | (0.24 | ) | 1.19 | 1.11 | 6.10 | |||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 1.64 | 4.97 | (0.30 | ) | 0.95 | 0.82 | 5.91 | |||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (2.96 | ) | — | (1.40 | ) | (1.58 | ) | (3.73 | ) | (0.98 | ) | |||||||||||||||||||||||||||||||||||||
Tax return of capital | — | — | (0.04 | ) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total distributions | (2.96 | ) | — | (1.44 | ) | (1.58 | ) | (3.73 | ) | (0.98 | ) | |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 18.99 | $ | 20.31 | $ | 15.34 | $ | 17.08 | $ | 17.71 | $ | 20.62 | ||||||||||||||||||||||||||||||||||||
Total return + # | 8.64 | % | 32.40 | % | (1.88 | )% | 5.36 | % | 3.64 | % | 40.28 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 25,204 | $ | 24,641 | $ | 26,010 | $ | 23,152 | $ | 21,153 | $ | 16,146 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 2.00 | % | 1.36 | % | 1.23 | % | 1.58 | % | 1.84 | % | 1.35 | % | ||||||||||||||||||||||||||||||||||||
After fees paid indirectly ^ | 2.00 | % | 1.35 | % | 1.23 | % | 1.58 | % | 1.84 | % | 1.35 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment loss to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | (1.26 | )% | (0.86 | )% | (0.38 | )% | (1.30 | )% | (1.61 | )% | (1.08 | )% | ||||||||||||||||||||||||||||||||||||
After fees paid indirectly ^ | (1.26 | )% | (0.85 | )% | (0.38 | )% | (1.30 | )% | (1.61 | )% | (1.08 | )% | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 80 | % | 174 | % | 181 | % | 138 | % | 192 | % | 231 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | April 30, 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.62 | $ | 14.85 | $ | 16.62 | $ | 17.31 | $ | 20.28 | $ | 15.49 | $ | 16.77 | $ | 12.79 | $ | 14.61 | $ | 15.51 | $ | 18.66 | $ | 14.43 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment loss* | (0.14 | ) | (0.19 | ) | (0.10 | ) | (0.27 | ) | (0.34 | ) | (0.24 | ) | (0.17 | ) | (0.28 | ) | (0.18 | ) | (0.36 | ) | (0.42 | ) | (0.32 | ) | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) (a) | 1.68 | 4.96 | (0.23 | ) | 1.16 | 1.10 | 6.01 | 1.41 | 4.26 | (0.20 | ) | 1.04 | 1.00 | 5.53 | ||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 1.54 | 4.77 | (0.33 | ) | 0.89 | 0.76 | 5.77 | 1.24 | 3.98 | (0.38 | ) | 0.68 | 0.58 | 5.21 | ||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (2.96 | ) | — | (1.40 | ) | (1.58 | ) | (3.73 | ) | (0.98 | ) | (2.96 | ) | — | (1.40 | ) | (1.58 | ) | (3.73 | ) | (0.98 | ) | ||||||||||||||||||||||||||
Tax return of capital | — | — | (0.04 | ) | — | — | — | — | — | (0.04 | ) | — | — | — | ||||||||||||||||||||||||||||||||||
Total distributions | (2.96 | ) | — | (1.44 | ) | (1.58 | ) | (3.73 | ) | (0.98 | ) | (2.96 | ) | — | (1.44 | ) | (1.58 | ) | (3.73 | ) | (0.98 | ) | ||||||||||||||||||||||||||
Net asset value, end of period | $ | 18.20 | $ | 19.62 | $ | 14.85 | $ | 16.62 | $ | 17.31 | $ | 20.28 | $ | 15.05 | $ | 16.77 | $ | 12.79 | $ | 14.61 | $ | 15.51 | $ | 18.66 | ||||||||||||||||||||||||
Total return + # | 7.85 | % | 32.12 | % | (2.12 | )% | 5.12 | % | 3.36 | % | 39.88 | % | 8.08 | % | 31.12 | % | (2.82 | )% | 4.29 | % | 2.56 | % | 38.87 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 7,654 | $ | 6,925 | $ | 5,540 | $ | 6,326 | $ | 6,443 | $ | 5,890 | $ | 2,676 | $ | 2,644 | $ | 2,155 | $ | 3,163 | $ | 3,165 | $ | 2,685 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 2.25 | % | 1.61 | % | 1.48 | % | 1.83 | % | 2.09 | % | 1.60 | % | 3.00 | % | 2.36 | % | 2.23 | % | 2.58 | % | 2.84 | % | 2.35 | % | ||||||||||||||||||||||||
After fees paid indirectly ^ | 2.25 | % | 1.60 | % | 1.48 | % | 1.83 | % | 2.09 | % | 1.60 | % | 3.00 | % | 2.35 | % | 2.23 | % | 2.58 | % | 2.84 | % | 2.35 | % | ||||||||||||||||||||||||
Ratios of net investment loss to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | (1.51 | )% | (1.13 | )% | (0.69 | )% | (1.53 | )% | (1.86 | )% | (1.33 | )% | (2.26 | )% | (1.89 | )% | (1.45 | )% | (2.29 | )% | (2.61 | )% | (2.08 | )% | ||||||||||||||||||||||||
After fees paid indirectly ^ | (1.52 | )% | (1.12 | )% | (0.69 | )% | (1.53 | )% | (1.86 | )% | (1.33 | )% | (2.27 | )% | (1.88 | )% | (1.45 | )% | (2.29 | )% | (2.61 | )% | (2.08 | )% | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 80 | % | 174 | % | 181 | % | 138 | % | 192 | % | 231 | % | 80 | % | 174 | % | 181 | % | 138 | % | 192 | % | 231 | % |
* | The net investment loss per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset 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 for periods less than one year. |
^ | Annualized for periods less than one year. |
(a) | The amount of net realized and unrealized gain (loss) on investment per share for the year ended October 31, 2016 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values. |
See accompanying notes to financial statements.
96
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 |
1. | ORGANIZATION |
Each Dunham Fund (each, a “Fund” and collectively the “Funds”) is a series of shares of beneficial interest in the Dunham Funds (the “Trust”), a Delaware Business Trust organized on November 28, 2007 and registered under the Investment Company Act of 1940, as amended, (the “1940 Act”) as an open-end management investment company. Prior to that date, the Dunham Funds were a series of AdvisorOne Funds, also a Delaware Business Trust. The Dunham Funds currently consist of fifteen funds: Dunham Floating Rate Bond Fund; Dunham Corporate/Government Bond Fund; Dunham Monthly Distribution Fund; Dunham Dynamic Macro Fund; Dunham High-Yield Bond Fund; Dunham Alternative Dividend Fund; Dunham International Opportunity Bond Fund; Dunham Appreciation & Income Fund; Dunham Large Cap Value Fund; Dunham Focused Large Cap Growth Fund; Dunham International Stock Fund; Dunham Real Estate Stock Fund; Dunham Small Cap Value Fund; Dunham Emerging Markets Stock Fund; and Dunham Small Cap Growth Fund. With the exception of Dunham Focused Large Cap Growth Fund, Dunham International Opportunity Bond Fund, and Dunham Real Estate Stock Fund, the remaining Funds are diversified funds within the meaning of the 1940 Act.
Fund | Primary Objective | |
Dunham Floating Rate Bond Fund (“Floating Rate Bond”) | High level of current income | |
Dunham Corporate/Government Bond Fund (“Corporate/Government Bond”) | Current income and capital appreciation | |
Dunham Monthly Distribution Fund (“Monthly Distribution”) | Positive returns in rising and falling market environments | |
Dunham Dynamic Macro Fund (“Dynamic Macro”) | Maximize total return from capital appreciation and dividends | |
Dunham High-Yield Bond Fund (“High-Yield Bond”) | High level of current income | |
Dunham Alternative Dividend Fund (“Alternative Dividend”) | Current income while preserving capital during market downturns | |
Dunham International Opportunity Bond Fund (“International Opportunity Bond”) | High level of current income | |
Dunham Appreciation & Income Fund (“Appreciation & Income”) | Maximize total return under varying market conditions through both current income and capital appreciation | |
Dunham Large Cap Value Fund (“Large Cap Value”) | Maximize total return from capital appreciation and dividends | |
Dunham Focused Large Cap Growth Fund (“Focused Large Cap Growth”) | Maximize capital appreciation | |
Dunham International Stock Fund (“International Stock”) | Maximize total return from capital appreciation and dividends | |
Dunham Real Estate Stock Fund (“Real Estate Stock”) | Maximize total return from capital appreciation and dividends | |
Dunham Small Cap Value Fund (“Small Cap Value”) | Maximize total return from capital appreciation and income | |
Dunham Emerging Markets Stock Fund (“Emerging Markets Stock”) | Maximize capital appreciation | |
Dunham Small Cap Growth Fund (“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, Floating Rate Bond, International Opportunity Bond, and Alternative Dividend commenced operations on December 10, 2004 and were formed as a result of tax-free conversions from common trusts. The conversions were accomplished through the exchange of the common trust securities, cash, and other assets for equivalent value of the Funds’ shares. High-Yield Bond Class C and Class N shares commenced operations on July 1, 2005. The Class A shares for all Funds except Monthly Distribution, Dynamic Macro, Focused Large Cap Growth, Floating Rate Bond, International Opportunity Bond, and Alternative Dividend commenced operations on January 3, 2007. Monthly Distribution’s Predecessor Fund’s Class A shares and Class C shares commenced operations on December 26, 2000. Monthly Distribution’s Class N shares commenced operations on September 29, 2008. Dynamic Macro commenced operations on April 30, 2010. Focused Large Cap Growth commenced operations on December 8, 2011. Floating Rate Bond and International Opportunity Bond commenced operations on November 1, 2013. Alternative Dividend commenced operations on August 31, 2016.
97
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
2. | SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies” including FASB Accounting Standard Update ASU 2013-08.
The following is a summary of significant accounting policies followed by the Funds in preparation of their financial statements.
a. Security Valuation – In determining each Fund’s Net Asset Value (“NAV”) per share, equity securities for which market quotations are readily available are valued at current market value using the last reported sales price. NASDAQ traded securities are valued using the NASDAQ official closing price (“NOCP”). If no sale price is reported, the mean between the current bid and ask price is used. If market quotations are not readily available, then securities are valued at fair value as determined by the Board of Trustees of the Trust (the “Board”) (or its delegate). U.S. Government and Agency securities are valued at the mean between the most recent bid and ask prices. Short-term debt instruments with a remaining maturity of more than 60 days, intermediate and long-term bonds, convertible bonds, bank loans and other debt securities are generally valued on the basis of dealer supplied quotations or by a pricing system selected by Dunham & Associates Investment Counsel, Inc. (“Dunham & Associates” or the “Adviser”) and approved by the Board. Where such prices are not available, valuations will be obtained from brokers who are market makers for such securities. However, in circumstances where the Adviser deems it appropriate to do so, the mean of the bid and ask prices for over-the-counter securities or the last available sale price for exchange-traded debt securities may be used. Where no last sale price for exchange traded debt securities is available, the mean of the bid and ask prices may be used. Short-term debt securities with a remaining maturity of 60 days or less may be valued at amortized cost, provided such valuations represent fair value.
Options are valued at the last reported sale price at the close of the exchange on which the security is primarily traded. If no sales are reported for the exchange-traded options, or the options are not exchange-traded, then they are valued at the mean of their most recent quoted bid and ask price.
Futures and future options are valued daily at the final settled price or, in the absence of a settled price, at the mean between the current bid and ask prices on the day of valuation.
Trading in securities on Far East securities exchanges and over-the-counter markets is normally completed well before the close of business on each business day in New York (i.e., a day on which the New York Stock Exchange (“NYSE”) is open). In addition, Far East securities trading generally, or in a particular country or countries, may not take place on all business days in New York. Furthermore, trading takes place in Japanese markets on certain Saturdays and in various foreign markets on days, which are not business days in New York, and on which a Fund’s NAV is not calculated. Each Fund calculates the NAV per share, and therefore effects sales, redemptions and repurchases of its shares, as of the close of regular trading on the NYSE once on each day on which the NYSE is open. Such calculation may not take place contemporaneously with the determination of the prices of the majority of the portfolio securities used in such calculation. If events that may materially affect the value of such securities occur between the time when their price is determined and the time when the Fund’s NAV is calculated, such securities may be valued at fair value as determined in good faith in accordance with procedures approved by the Board.
Securities in which the Funds invest may be traded in markets that close before 4:00 p.m. Eastern Time (“ET”). Normally, developments that occur between the close of the foreign markets and 4:00 p.m. ET will not be reflected in a Fund’s NAV. However, management may determine that such developments are so significant that they will materially affect the value of a Fund’s securities, and the Fund may adjust the previous closing prices to reflect what the Board believes to be the fair value of these securities as of 4:00 p.m. ET. Both International Stock and Emerging Markets Stock utilize fair value prices as provided by an independent pricing vendor on a daily basis for those securities traded on a foreign exchange.
Securities for which current market quotations are not readily available, or for which quotations are not deemed to be representative of market values, are valued at fair value as determined in good faith by or under the direction of the Board in accordance with the Trust’s Portfolio Securities Valuation Procedures (the “Procedures”). The Procedures consider, among others, the following factors to determine a security’s fair value: the nature and pricing history (if any) of the security; whether any dealer quotations for the security are available; and possible valuation methodologies that could be used to determine the fair value of the security.
Valuation of Fund of Funds – The Funds may invest in portfolios of open-end investment companies. Open-end investment companies are valued at their respective net asset values as reported by such investment companies. Open-end investment companies value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based on the methods established by the board of directors of the open-end investment companies.
98
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
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.
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of April 30, 2018 for the Funds’ assets and liabilities measured at fair value:
Floating Rate Bond | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock * | $ | 132,005 | $ | — | $ | — | $ | 132,005 | ||||||||
Exchange Traded Funds * | 4,101,094 | — | — | 4,101,094 | ||||||||||||
Bank Loans * | — | 179,898,361 | — | 179,898,361 | ||||||||||||
Bonds & Notes * | — | 10,824,879 | — | 10,824,879 | ||||||||||||
Asset Backed Securities | — | 1,460,211 | — | 1,460,211 | ||||||||||||
Rights | 50,141 | — | — | 50,141 | ||||||||||||
U.S. Government & Agency | — | 2,031,274 | — | 2,031,274 | ||||||||||||
Short-Term Investment | 7,205,335 | — | — | 7,205,335 | ||||||||||||
Collateral for Securities Loaned | 1,735,350 | — | — | 1,735,350 | ||||||||||||
Total | $ | 13,223,925 | $ | 194,214,725 | $ | — | $ | 207,438,650 | ||||||||
Corporate/Government Bond | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Bonds & Notes * | $ | — | $ | 35,918,295 | $ | — | $ | 35,918,295 | ||||||||
Foreign Government Bonds | — | 1,121,971 | — | 1,121,971 | ||||||||||||
Municipal Bonds | — | 2,927,522 | — | 2,927,522 | ||||||||||||
U.S. Government & Agency | — | 10,604,424 | — | 10,604,424 | ||||||||||||
Bank Loans * | — | 3,039,554 | — | 3,039,554 | ||||||||||||
Short-Term Investment | 1,059,428 | — | — | 1,059,428 | ||||||||||||
Collateral for Securities Loaned | 5,513,346 | — | — | 5,513,346 | ||||||||||||
Total | $ | 6,572,774 | $ | 53,611,766 | $ | — | $ | 60,184,540 |
99
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
Monthly Distribution | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 214,106,014 | $ | 2,946,337 | $ | — | $ | 217,052,351 | ||||||||
Exchange Traded Funds | 28,734,886 | — | — | 28,734,886 | ||||||||||||
Rights | — | 876 | — | 876 | ||||||||||||
Warrants | 20,530 | — | — | 20,530 | ||||||||||||
Purchased Options | — | 2,903,551 | — | 2,903,551 | ||||||||||||
Short-Term Investment | 99,574,138 | — | — | 99,574,138 | ||||||||||||
Collateral for Securities Loaned | 9,394,734 | — | — | 9,394,734 | ||||||||||||
Total Assets | $ | 351,830,302 | $ | 5,850,764 | $ | — | $ | 357,681,066 | ||||||||
Liabilities | ||||||||||||||||
Liabilities-Securities Sold Short | $ | 56,757,372 | $ | — | $ | — | $ | 56,757,372 | ||||||||
Total Liabilities | $ | 56,757,372 | $ | — | $ | — | $ | 56,757,372 | ||||||||
Asset - Derivatives | ||||||||||||||||
Total Return Swap Contracts | $ | — | $ | 5,166 | $ | — | $ | 5,166 | ||||||||
Total Asset Derivatives | $ | — | $ | 5,166 | $ | — | $ | 5,166 | ||||||||
Liabilities-Derivatives | ||||||||||||||||
Written Options | $ | 994,895 | $ | — | $ | — | $ | 994,895 | ||||||||
Total Return Swap Contracts | — | 21,802 | — | 21,802 | ||||||||||||
Total Liability Derivatives | $ | 994,895 | $ | 21,802 | $ | — | $ | 1,016,697 | ||||||||
Dynamic Macro | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds * | $ | 25,715,075 | $ | — | $ | — | $ | 25,715,075 | ||||||||
Purchased Options | 2,710,005 | 24,189 | — | 2,734,194 | ||||||||||||
Short-Term Investments | 4,756,601 | 10,423,528 | — | 15,180,129 | ||||||||||||
Collateral for Securities Loaned | 8,369,676 | — | — | 8,369,676 | ||||||||||||
Total Assets | 41,551,357 | 10,447,717 | — | 51,999,074 | ||||||||||||
Assets - Derivatives | ||||||||||||||||
Futures | 379,819 | — | — | 379,819 | ||||||||||||
Total Derivatives | $ | 379,819 | $ | — | $ | — | $ | 379,819 | ||||||||
Liabilities - Derivatives | ||||||||||||||||
Futures | $ | 227,459 | $ | — | $ | — | $ | 227,459 | ||||||||
Written Options | — | 5,013 | — | 5,013 | ||||||||||||
Total | $ | 227,459 | $ | 5,013 | $ | — | $ | 232,472 | ||||||||
High-Yield Bond | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds & Notes * | $ | — | $ | 109,614,136 | $ | — | $ | 109,614,136 | ||||||||
Short-Term Investment | 3,463,135 | — | — | 3,463,135 | ||||||||||||
Collateral for Securities Loaned | 19,155,280 | — | — | 19,155,280 | ||||||||||||
Total | $ | 22,618,415 | $ | 109,614,136 | $ | — | $ | 132,232,551 | ||||||||
Alternative Dividend | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks * | $ | 35,814,311 | $ | — | $ | — | $ | 35,814,311 | ||||||||
Exchange Traded Funds | 10,279,516 | — | — | 10,279,516 | ||||||||||||
Asset - Derivatives | ||||||||||||||||
Purchased Options | 1,935,635 | 9,500 | — | 1,945,135 | ||||||||||||
Short-Term Investment | 14,531,976 | — | — | 14,531,976 | ||||||||||||
Collateral for Securities Loaned | 10,786,692 | — | — | 10,786,692 | ||||||||||||
Total | $ | 73,348,130 | $ | 9,500 | $ | — | $ | 73,357,630 |
100
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
International Opportunity Bond | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Bonds & Notes * | $ | — | $ | 15,361,894 | $ | — | $ | 15,361,894 | ||||||||
Foreign Government Bonds * | — | 18,738,284 | — | 18,738,284 | ||||||||||||
Whole Loan Collateral | — | 199,152 | — | 199,152 | ||||||||||||
Short-Term Investment | 351,818 | — | — | 351,818 | ||||||||||||
Total Assets | $ | 351,818 | $ | 34,299,330 | $ | — | $ | 34,651,148 | ||||||||
Asset - Derivatives | ||||||||||||||||
Futures Contracts | $ | 29,679 | $ | — | $ | — | $ | 29,679 | ||||||||
Foreign Currency Exchange Contracts | — | 276,892 | — | 276,892 | ||||||||||||
Total Derivatives | $ | 29,679 | $ | 276,892 | $ | — | $ | 306,571 | ||||||||
Liabilities-Derivatives | ||||||||||||||||
Futures Contracts | $ | 34,553 | $ | — | $ | — | $ | 34,553 | ||||||||
Foreign Currency Exchange Contracts | — | 327,942 | — | 327,942 | ||||||||||||
Total Derivatives | $ | 34,553 | $ | 327,942 | $ | — | $ | 362,495 | ||||||||
Appreciation & Income | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 219,388 | $ | — | $ | — | $ | 219,388 | ||||||||
Convertible Bonds * | — | 16,041,802 | — | 16,041,802 | ||||||||||||
Preferred Stocks * | 1,613,984 | 536,931 | — | 2,150,915 | ||||||||||||
Short-Term Investment | 478,977 | — | — | 478,977 | ||||||||||||
Collateral for Securities Loaned | 1,455,775 | — | — | 1,455,775 | ||||||||||||
Total | $ | 3,768,124 | $ | 16,578,733 | $ | — | $ | 20,346,857 | ||||||||
Large Cap Value | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks * | $ | 73,434,513 | $ | — | $ | — | $ | 73,434,513 | ||||||||
Short-Term Investment | 1,800,096 | — | — | 1,800,096 | ||||||||||||
Collateral for Securities Loaned | 7,713,963 | — | — | 7,713,963 | ||||||||||||
Total | $ | 82,948,572 | $ | — | $ | — | $ | 82,948,572 | ||||||||
Focused Large Cap Growth | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks * | $ | 78,209,424 | $ | — | $ | — | $ | 78,209,424 | ||||||||
Short-Term Investment | 2,046,398 | — | — | 2,046,398 | ||||||||||||
Collateral for Securities Loaned | 24,750,024 | — | — | 24,750,024 | ||||||||||||
Total | $ | 105,005,846 | $ | — | $ | — | $ | 105,005,846 | ||||||||
International Stock | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks * | $ | 26,942,834 | $ | 87,463,438 | $ | — | $ | 114,406,272 | ||||||||
Exchange Traded Fund | 696,691 | — | — | 696,691 | ||||||||||||
Preferred Stocks * | 822,928 | 175,696 | — | 998,624 | ||||||||||||
Collateral for Securities Loaned | 5,883,467 | — | — | 5,883,467 | ||||||||||||
Total | $ | 34,345,920 | $ | 87,639,134 | $ | — | $ | 121,985,054 | ||||||||
Real Estate Stock | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,906,036 | $ | — | $ | — | $ | 1,906,036 | ||||||||
REITs * | 51,046,799 | — | — | 51,046,799 | ||||||||||||
Short-Term Investment | 1,061,356 | — | — | 1,061,356 | ||||||||||||
Collateral for Securities Loaned | 7,050,085 | — | — | 7,050,085 | ||||||||||||
Total | $ | 61,064,276 | $ | — | $ | — | $ | 61,064,276 |
101
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
Small Cap Value | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks * | $ | 37,796,446 | $ | — | $ | — | $ | 37,796,446 | ||||||||
Short-Term Investment | 217,609 | — | — | 217,609 | ||||||||||||
Collateral for Securities Loaned | 7,373,018 | — | — | 7,373,018 | ||||||||||||
Total | $ | 45,387,073 | $ | — | $ | — | $ | 45,387,073 | ||||||||
Emerging Markets Stock | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks * | $ | 20,534,789 | $ | 45,458,780 | $ | — | $ | 65,993,569 | ||||||||
Exchange Traded Fund | 1,251,600 | — | — | 1,251,600 | ||||||||||||
Preferred Stocks * | 860,356 | — | — | 860,356 | ||||||||||||
Short-Term Investment | 870,382 | — | — | 870,382 | ||||||||||||
Collateral for Securities Loaned | 5,008,391 | — | — | 5,008,391 | ||||||||||||
Total | $ | 28,525,518 | $ | 45,458,780 | $ | — | $ | 73,984,298 | ||||||||
Small Cap Growth | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks * | $ | 34,176,198 | $ | — | $ | — | $ | 34,176,198 | ||||||||
Short-Term Investment | 1,063,887 | — | — | 1,063,887 | ||||||||||||
Collateral for Securities Loaned | 10,281,521 | — | — | 10,281,521 | ||||||||||||
Total | $ | 45,521,606 | $ | — | $ | — | $ | 45,521,606 |
* | 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 except for International Stock which had a transfer from Level 1 to Level 2 of $2,478,071. 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 rates at the London market close. Purchases and sales of securities are translated into U.S. dollars at the contractual currency rates established at the approximate time of the trade.
Net realized gains and losses on foreign currency transactions represent net gains and losses from currency realized between the trade and settlement dates on securities transactions and the difference between income accrued versus income received. The effects of changes in foreign currency exchange rates on investments in securities are included with the net realized and unrealized gain or loss on investment securities.
c. Forward Currency Contracts – As foreign securities are purchased, a Fund generally enters into forward currency exchange contracts in order to hedge against foreign currency exchange rate risks. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. A Fund may also enter into forward currency contracts as an investment strategy consistent with that Fund’s investment objective. Realized gains and losses from contract transactions are included as a component of net realized gains (losses) from investments and foreign currency in the Statements of Operations.
d. Options – Monthly Distribution, Dynamic Macro, and Alternative Dividend are subject to stock market risk in the normal course of pursuing their investment objectives and may purchase or sell options to help hedge against this risk.
A Fund may write call options only if it (i) owns an offsetting position in the underlying security or (ii) has an absolute or immediate right to acquire that security without additional cash consideration or exchange of other securities held in its portfolio. When a Fund writes an option, there is no taxable event and an amount equal to the premium received is recorded by that Fund as a liability. The liability is thereafter valued to reflect the current value of the option. If the option is not exercised and expires, or if a Fund effects a closing purchase transaction, the Fund realizes a gain (or loss in the case of a closing purchase transaction where the cost to close the transaction exceeds the original premium received), and the liability related to the option is extinguished. Any such gain or loss generally is a short-term capital gain or loss for federal income tax purposes. If a call option that a Fund has written on any equity security is exercised, that Fund will realize a capital gain or loss (long-term or short-term, depending on the holding period of the underlying security) from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. If a put option that a Fund has written on an equity security is exercised, the amount of the premium originally received reduces the cost of the security that a Fund purchases upon exercise of the option. When a Fund writes a put option, that Fund must deposit cash or liquid securities into a segregated account equal to the put option’s exercise value (number of shares times strike price).
102
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
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 Statements of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statements of Assets and Liabilities and may be referred to as upfront payments. The 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 Statements of Operations. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statements of Operations. The 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 – Dynamic Macro and International Opportunity Bond are subject to equity interest rate risk and forward currency exchange rate risk in the normal course of pursuing their investment objectives. The Funds may purchase or sell futures contracts to gain exposure to, or hedge against, changes in the value of equities and interest rates. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Fund’s agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, the Funds recognize a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. If the Funds were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Funds would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. The Funds segregate cash having a value at least equal to the amount of the current obligation under any open futures contract. Risks may exceed amounts recognized in the Statements of Assets and Liabilities. With futures, there is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
The notional value of the derivative instruments outstanding as of April 30, 2018 as disclosed in the Schedules of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the six months ended within the Statements of Operations serve as indicators of the volume of derivative activity for the Funds.
g. Short Sales – A “short sale” is a transaction in which a Fund sells a security it does not own but has borrowed in anticipation that the market price of that security will decline. The Fund would be obligated to replace the security borrowed by purchasing it on the open market at a later date. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will incur a loss. Conversely, if the price declines, the Fund will realize a gain.
103
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
h. Impact of Derivatives on the Statements of Assets and Liabilities and Statements of Operations – The following is a summary of the location of derivative investments of each Fund in the Statement of Assets and Liabilities as of April 30, 2018:
Location on the Statements of Assets and Liabilities | ||||
Derivatives Investment Type | Asset Derivatives | Liability Derivatives | ||
Equity/Currency/Commodity Interest rate contracts | Investment in securities Unrealized appreciation on futures Receivable for open forward foreign currency contracts | Options contracts written Unrealized depreciation on futures Payable for open forward foreign currency contracts |
The following table sets forth the fair value of each Fund’s derivative contracts by primary risk exposure as of April 30, 2018:
Asset Derivatives Investment Value | ||||||||||||||||||||
Equity | Currency | Commodity | Interest Rate | Total value at | ||||||||||||||||
Contracts | Contracts | Contracts | Contracts | April 30, 2018 | ||||||||||||||||
Monthly Distribution | ||||||||||||||||||||
Purchased Options | $ | 2,903,551 | $ | — | $ | — | $ | — | $ | 2,903,551 | ||||||||||
Total Return Swap Contracts | 5,166 | — | — | — | 5,166 | |||||||||||||||
Dynamic Macro | ||||||||||||||||||||
Futures | $ | 313,832 | $ | — | $ | — | $ | 65,987 | $ | 379,819 | ||||||||||
Purchased Options | 169,189 | — | — | 2,565,005 | 2,734,194 | |||||||||||||||
Alternative Dividend | ||||||||||||||||||||
Purchased Options | $ | 1,945,135 | $ | — | $ | — | $ | — | $ | 1,945,135 | ||||||||||
International Opportunity Bond | ||||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 276,892 | $ | — | $ | — | $ | 276,892 | ||||||||||
Futures | — | — | — | 29,679 | 29,679 | |||||||||||||||
Liability Derivatives Investment Value | ||||||||||||||||||||
Equity | Currency | Commodity | Interest Rate | Total value at | ||||||||||||||||
Contracts | Contracts | Contracts | Contracts | April 30, 2018 | ||||||||||||||||
Monthly Distribution | ||||||||||||||||||||
Written Options | $ | 994,895 | $ | — | $ | — | $ | — | $ | 994,895 | ||||||||||
Total Return Swap Contracts | 21,802 | — | — | — | 21,802 | |||||||||||||||
Dynamic Macro | ||||||||||||||||||||
Futures | $ | 82,978 | $ | — | $ | — | $ | 144,481 | $ | 227,459 | ||||||||||
Written Options | 5,013 | — | — | — | 5,013 | |||||||||||||||
International Opportunity Bond | ||||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 327,942 | $ | — | $ | — | $ | 327,942 | ||||||||||
Futures | — | — | — | 34,553 | 34,553 |
The following is a summary of the location of derivative investments of each Fund in the Statements of Operations for the six months ended April 30, 2018.
Derivative Investment Type | Location of Gain (Loss) on Derivatives | |
Equity/Currency/Commodity/ | Net realized gain (loss) from: Futures, | |
Interest rate contracts | Options purchased, Written options, Swap contracts, Foreign currency exchange contracts | |
Net change in unrealized appreciation (depreciation) on: Futures, Options purchased, Written options, Swap contracts, Foreign currency translations, Foreign currency exchange contracts and foreign currency translations. |
104
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
The following is a summary of each Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the six months ended April 30, 2018:
Realized gain (loss) on derivatives recognized in the Statements of Operations | ||||||||||||||||||||
Equity | Currency | Commodity | Interest Rate | Total value at | ||||||||||||||||
Derivative Investment type | Contracts | Contracts | Contracts | Contracts | April 30, 2018 | |||||||||||||||
Monthly Distribution | ||||||||||||||||||||
Swaps | (38,365 | ) | — | — | — | (38,365 | ) | |||||||||||||
Purchased Options | (2,784,960 | ) | — | — | — | (2,784,960 | ) | |||||||||||||
Written Options | 1,619,781 | — | — | — | 1,619,781 | |||||||||||||||
Dynamic Macro | ||||||||||||||||||||
Futures | $ | 229,658 | $ | — | $ | — | $ | 556,066 | $ | 785,724 | ||||||||||
Purchased Options | (1,453,171 | ) | — | — | (170,850 | ) | (1,624,021 | ) | ||||||||||||
Written Options | (337,460 | ) | — | — | — | (337,460 | ) | |||||||||||||
Alternative Dividend Purchased Options | $ | 1,575,047 | $ | — | $ | — | $ | — | $ | 1,575,047 | ||||||||||
International Opportunity Bond Futures | $ | — | $ | — | $ | — | $ | (3,401 | ) | $ | (3,401 | ) | ||||||||
International Stock Forward Foreign Currency Contracts | $ | — | $ | (21,503 | ) | $ | — | $ | — | $ | (21,503 | ) | ||||||||
Changes in unrealized appreciation (depreciation) on derivatives recognized in the Statements of Operations | ||||||||||||||||||||
Equity | Currency | Commodity | Interest Rate | Total value at | ||||||||||||||||
Derivative Investment type | Contracts | Contracts | Contracts | Contracts | April 30, 2018 | |||||||||||||||
Monthly Distribution | ||||||||||||||||||||
Swaps | $ | (15,170 | ) | $ | — | $ | — | $ | — | $ | (15,170 | ) | ||||||||
Purchased Options | 1,660,620 | — | — | — | 1,660,620 | |||||||||||||||
Written Options | 1,036,492 | — | — | — | 1,036,492 | |||||||||||||||
Dynamic Macro | ||||||||||||||||||||
Futures | (103,951 | ) | — | — | (257,670 | ) | (361,621 | ) | ||||||||||||
Purchased Options | 345,200 | — | — | (84,402 | ) | 260,798 | ||||||||||||||
Written Options | (3,608 | ) | — | — | — | (3,608 | ) | |||||||||||||
Alternative Dividend Purchased Options | $ | (1,408,202 | ) | $ | — | $ | — | $ | — | $ | (1,408,202 | ) | ||||||||
International Opportunity Bond | ||||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | (69,487 | ) | $ | — | $ | — | $ | (69,487 | ) | ||||||||
Futures | — | — | 25,191 | 25,191 |
105
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
i. Offsetting of Financial Assets and Derivative Assets – Monthly Distribution, International Opportunity Bond and Dynamic Macro policies are to recognize a gross asset or liability equal to the unrealized on futures contracts, forward foreign currency exchange contracts, swaps and written options. During the six months ended April 30, 2018, Monthly Distribution is subject to a master netting arrangement for swaps. The following table shows additional information regarding the offsetting of assets and liabilities at April 30, 2018.
Floating Rate Bond | ||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Liabilities: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||
Gross Amounts | Offset in the | Liabilities Presented | ||||||||||||||||||||||
of Recognized | Statement of Assets | in the Statement of | Financial | Cash Collateral | ||||||||||||||||||||
Description | Liabilities | & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | ||||||||||||||||||
Securities Loaned | $ | (1,735,350 | ) | $ | — | $ | (1,735,350 | ) | $ | 1,735,350 | $ | — | $ | — | ||||||||||
Total | $ | (1,735,350 | ) | $ | — | $ | (1,735,350 | ) | $ | 1,735,350 | $ | — | $ | — | ||||||||||
Corporate/Government Bond | ||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Liabilities: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||
Gross Amounts | Offset in the | Liabilities Presented | ||||||||||||||||||||||
of Recognized | Statement of Assets | in the Statement of | Financial | Cash Collateral | ||||||||||||||||||||
Description | Liabilities | & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | ||||||||||||||||||
Securities Loaned | $ | (5,513,346 | ) | $ | — | $ | (5,513,346 | ) | $ | 5,513,346 | $ | — | $ | — | ||||||||||
Total | $ | (5,513,346 | ) | $ | — | $ | (5,513,346 | ) | $ | 5,513,346 | $ | — | $ | — | ||||||||||
Monthly Distribution | ||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Assets: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||
Gross Amounts | Offset in the | Assets Presented in | ||||||||||||||||||||||
of Recognized | Statement of Assets | the Statement of | Financial | Cash Collateral | ||||||||||||||||||||
Description | Assets | & Liabilities | Assets & Liabilities | Instruments | Received | Net Amount | ||||||||||||||||||
Purchased Options | $ | 2,903,550 | $ | — | $ | 2,903,550 | $ | — | $ | — | $ | 2,903,550 | ||||||||||||
Total Return Swap Contracts | 5,166 | — | 5,166 | (5,166 | ) | — | — | |||||||||||||||||
Total | $ | 2,908,716 | $ | — | $ | 2,908,716 | $ | (5,166 | ) | $ | — | $ | 2,903,550 | |||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Liabilities: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||
Gross Amounts | Offset in the | Liabilities Presented | ||||||||||||||||||||||
of Recognized | Statement of Assets | in the Statement of | Financial | Cash Collateral | ||||||||||||||||||||
Description | Liabilities | & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | ||||||||||||||||||
Written Options | $ | (994,895 | ) | $ | — | $ | (994,895 | ) | $ | — | $ | 994,895 | $ | — | ||||||||||
Total Return Swap Contracts | (21,802 | ) | — | (21,802 | ) | 5,166 | — | (16,636 | ) | |||||||||||||||
Securities Loaned | (9,394,734 | ) | — | (9,394,734 | ) | 9,394,734 | — | — | ||||||||||||||||
Total | $ | (10,411,431 | ) | $ | — | $ | (10,411,431 | ) | $ | 9,399,900 | $ | 994,895 | $ | (16,636 | ) | |||||||||
(1) | The amount is limited to the derivative liability balance and accordingly, does not include excess collateral pledged. |
106
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
Dynamic Macro | ||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Assets: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross | Gross Amounts | Net Amounts of | ||||||||||||||||||||||
Amounts of | Offset in the | Assets Presented in | ||||||||||||||||||||||
Recognized | Statement of Assets | the Statement of | Financial | Cash Collateral | ||||||||||||||||||||
Description | Assets | & Liabilities | Assets & Liabilities | Instruments | Pledged | Net Amount | ||||||||||||||||||
Futures Contracts | $ | 379,819 | $ | — | $ | 379,819 | $ | (227,459 | ) | $ | — | $ | 152,360 | |||||||||||
Purchased Options | 2,734,194 | — | 2,734,194 | — | — | 2,734,194 | ||||||||||||||||||
Total | $ | 3,114,013 | $ | — | $ | 3,114,013 | $ | (227,459 | ) | $ | — | $ | 152,360 | |||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Liabilities: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross | Gross Amounts | Net Amounts of | ||||||||||||||||||||||
Amounts of | Offset in the | Liabilities Presented | ||||||||||||||||||||||
Recognized | Statement of Assets | in the Statement of | Financial | Cash Collateral | ||||||||||||||||||||
Description | Liabilities | & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | ||||||||||||||||||
Futures Contracts | $ | (227,459 | ) | $ | — | $ | (227,459 | ) | $ | 227,459 | $ | — | $ | — | ||||||||||
Written Options | (5,013 | ) | — | (5,013 | ) | — | 5,013 | $ | — | |||||||||||||||
Securities Loaned | (8,369,676 | ) | — | (8,369,676 | ) | 8,369,676 | — | $ | — | |||||||||||||||
Total | $ | (8,602,148 | ) | $ | — | $ | (8,602,148 | ) | $ | 8,597,135 | $ | 5,013 | $ | — | ||||||||||
High-Yield Bond | ||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Liabilities: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||
Gross Amounts | Offset in the | Liabilities Presented | ||||||||||||||||||||||
of Recognized | Statement of Assets | in the Statement of | Financial | Cash Collateral | ||||||||||||||||||||
Description | Liabilities | & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | ||||||||||||||||||
Securities Loaned | $ | (19,155,280 | ) | $ | — | $ | (19,155,280 | ) | $ | 19,155,280 | $ | — | $ | — | ||||||||||
Total | $ | (19,155,280 | ) | $ | — | $ | (19,155,280 | ) | $ | 19,155,280 | $ | — | $ | — | ||||||||||
Alternative Dividend | ||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Assets: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||
Gross Amounts | Offset in the | Liabilities Presented | Cash | |||||||||||||||||||||
of Recognized | Statement of Assets | in the Statement of | Financial | Collateral | ||||||||||||||||||||
Description | Assets | & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | ||||||||||||||||||
Purchased Options | $ | 1,945,135 | $ | — | $ | 1,945,135 | $ | — | $ | — | $ | 1,945,135 | ||||||||||||
Total | $ | 1,945,135 | $ | — | $ | 1,945,135 | $ | — | $ | — | $ | 1,945,135 | ||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Liabilities: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||
Gross Amounts | Offset in the | Liabilities Presented | Cash | |||||||||||||||||||||
of Recognized | Statement of Assets | in the Statement of | Financial | Collateral | ||||||||||||||||||||
Description | Assets | & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | ||||||||||||||||||
Securities Loaned | $ | (10,786,692 | ) | $ | — | $ | (10,786,692 | ) | $ | 10,786,692 | $ | — | $ | — | ||||||||||
Total | $ | (10,786,692 | ) | $ | — | $ | (10,786,692 | ) | $ | 10,786,692 | $ | — | $ | — | ||||||||||
(1) | The amount is limited to the derivative liability balance and accordingly, does not include excess collateral pledged. |
107
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
International Opportunity Bond | ||||||||||||||||||||||||
Gross Amounts Not Offset in | ||||||||||||||||||||||||
the Statement of Assets & | ||||||||||||||||||||||||
Assets: | Liabilities | |||||||||||||||||||||||
Gross | Gross Amounts | Net Amounts of | ||||||||||||||||||||||
Amounts of | Offset in the | Assets Presented in | Cash | |||||||||||||||||||||
Recognized | Statement of Assets | the Statement of | Financial | Collateral | ||||||||||||||||||||
Description | Assets | & Liabilities | Assets & Liabilities | Instruments | Pledged | Net Amount | ||||||||||||||||||
Forward Foreign | ||||||||||||||||||||||||
Currency Contracts | $ | 276,892 | $ | — | $ | 276,892 | $ | (326,702 | ) | $ | — | $ | (49,810 | ) | ||||||||||
Futures Contracts | 29,679 | — | 29,679 | (29,679 | ) | — | — | |||||||||||||||||
Total | $ | 306,571 | $ | — | $ | 306,571 | $ | (356,381 | ) | $ | — | $ | (49,810 | ) | ||||||||||
Gross Amounts Not Offset in | ||||||||||||||||||||||||
the Statement of Assets & | ||||||||||||||||||||||||
Liabilities: | Liabilities | |||||||||||||||||||||||
Gross | Gross Amounts | Net Amounts of | ||||||||||||||||||||||
Amounts of | Offset in the | Liabilities Presented | Cash | |||||||||||||||||||||
Recognized | Statement of Assets | in the Statement of | Financial | Collateral | ||||||||||||||||||||
Description | Liabilities | & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | ||||||||||||||||||
Forward Foreign | ||||||||||||||||||||||||
Currency Contracts | $ | (327,942 | ) | $ | — | $ | (327,942 | ) | $ | 276,892 | $ | 51,050 | $ | — | ||||||||||
Futures Contracts | (34,553 | ) | — | (34,553 | ) | 29,679 | 4,874 | — | ||||||||||||||||
Total | $ | (362,495 | ) | $ | — | $ | (362,495 | ) | $ | 306,571 | $ | 55,924 | $ | — | ||||||||||
Appreciation & Income | ||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Liabilities: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||
Gross Amounts | Offset in the | Liabilities Presented | ||||||||||||||||||||||
of Recognized | Statement of Assets | in the Statement of | Financial | Cash Collateral | ||||||||||||||||||||
Description | Liabilities | & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | ||||||||||||||||||
Securities Loaned | $ | (1,455,775 | ) | $ | — | $ | (1,455,775 | ) | $ | 1,455,775 | $ | — | $ | — | ||||||||||
Total | $ | (1,455,775 | ) | $ | — | $ | (1,455,775 | ) | $ | 1,455,775 | $ | — | $ | — | ||||||||||
Large Cap Value | ||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Liabilities: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||
Gross Amounts | Offset in the | Liabilities Presented | ||||||||||||||||||||||
of Recognized | Statement of Assets | in the Statement of | Financial | Cash Collateral | ||||||||||||||||||||
Description | Liabilities | & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | ||||||||||||||||||
Securities Loaned | $ | (7,713,963 | ) | $ | — | $ | (7,713,963 | ) | $ | 7,713,963 | $ | — | $ | — | ||||||||||
Total | $ | (7,713,963 | ) | $ | — | $ | (7,713,963 | ) | $ | 7,713,963 | $ | — | $ | — | ||||||||||
(1) | The amount is limited to the derivative liability balance and accordingly, does not include excess collateral pledged. |
108
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
Focused Large Cap Growth | ||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Liabilities: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||
Gross Amounts | Offset in the | Liabilities Presented | ||||||||||||||||||||||
of Recognized | Statement of Assets | in the Statement of | Financial | Cash Collateral | ||||||||||||||||||||
Description | Liabilities | & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | ||||||||||||||||||
Securities Loaned | $ | (24,750,024 | ) | $ | — | $ | (24,750,024 | ) | $ | 24,750,024 | $ | — | $ | — | ||||||||||
Total | $ | (24,750,024 | ) | $ | — | $ | (24,750,024 | ) | $ | 24,750,024 | $ | — | $ | — | ||||||||||
International Stock | ||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Liabilities: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||
Gross Amounts | Offset in the | Liabilities Presented | ||||||||||||||||||||||
of Recognized | Statement of Assets | in the Statement of | Financial | Cash Collateral | ||||||||||||||||||||
Description | Liabilities | & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | ||||||||||||||||||
Securities Loaned | $ | (5,883,467 | ) | $ | — | $ | (5,883,467 | ) | $ | 5,883,467 | $ | — | $ | — | ||||||||||
Total | $ | (5,883,467 | ) | $ | — | $ | (5,883,467 | ) | $ | 5,883,467 | $ | — | $ | — | ||||||||||
Real Estate Stock | ||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Liabilities: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||
Gross Amounts | Offset in the | Liabilities Presented | ||||||||||||||||||||||
of Recognized | Statement of Assets | in the Statement of | Financial | Cash Collateral | ||||||||||||||||||||
Description | Liabilities | & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | ||||||||||||||||||
Securities Loaned | $ | (7,050,085 | ) | $ | — | $ | (7,050,085 | ) | $ | 7,050,085 | $ | — | $ | — | ||||||||||
Total | $ | (7,050,085 | ) | $ | — | $ | (7,050,085 | ) | $ | 7,050,085 | $ | — | $ | — | ||||||||||
Small Cap Value | ||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Liabilities: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||
Gross Amounts | Offset in the | Liabilities Presented | ||||||||||||||||||||||
of Recognized | Statement of Assets | in the Statement of | Financial | Cash Collateral | ||||||||||||||||||||
Description | Liabilities | & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | ||||||||||||||||||
Securities Loaned | $ | (7,373,018 | ) | $ | — | $ | (7,373,018 | ) | $ | 7,373,018 | $ | — | $ | — | ||||||||||
Total | $ | (7,373,018 | ) | $ | — | $ | (7,373,018 | ) | $ | 7,373,018 | $ | — | $ | — | ||||||||||
Emerging Markets | ||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Liabilities: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||
Gross Amounts | Offset in the | Liabilities Presented | ||||||||||||||||||||||
of Recognized | Statement of Assets | in the Statement of | Financial | Cash Collateral | ||||||||||||||||||||
Description | Liabilities | & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | ||||||||||||||||||
Securities Loaned | $ | (5,008,391 | ) | $ | — | $ | (5,008,391 | ) | $ | 5,008,391 | $ | — | $ | — | ||||||||||
Total | $ | (5,008,391 | ) | $ | — | $ | (5,008,391 | ) | $ | 5,008,391 | $ | — | $ | — | ||||||||||
(1) | The amount is limited to the derivative liability balance and accordingly, does not include excess collateral pledged. |
109
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
Small Cap Growth | ||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||
Liabilities: | Statement of Assets & Liabilities | |||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||
Gross Amounts | Offset in the | Liabilities Presented | ||||||||||||||||||||||
of Recognized | Statement of Assets | in the Statement of | Financial | Cash Collateral | ||||||||||||||||||||
Description | Liabilities | & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | ||||||||||||||||||
Securities Loaned | $ | (10,281,521 | ) | $ | — | $ | (10,281,521 | ) | $ | 10,281,521 | $ | — | $ | — | ||||||||||
Total | $ | (10,281,521 | ) | $ | — | $ | (10,281,521 | ) | $ | 10,281,521 | $ | — | $ | — | ||||||||||
(1) | The amount is limited to the derivative liability balance and accordingly, does not include excess collateral pledged. |
j. Exchange Traded Funds – The Funds may invest in exchange traded funds (“ETFs”). ETFs are a type of index fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities. A Fund may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market while awaiting purchase of underlying securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.
k. Investment Transactions, Investment Income and Expenses – Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions and foreign exchange transactions are calculated using the identified cost method. Dividend income and expense is recorded on the ex-dividend date (“ex-date”) except in the case of certain dividends from foreign securities, which are recorded as soon after the ex-date by 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.
110
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
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 2015 to 2017 and expected to be taken in tax year 2018 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 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. Monthly Distribution’s distribution policy is to make twelve monthly distributions to shareholders. The level of monthly distributions (including any return of capital) is not fixed but is expected to be at or near the level of the prime interest rate (“Prime Rate”). Additionally, Monthly Distribution’s distribution policy is not designed to generate, and is not expected to result in, distributions that equal a fixed percentage of Monthly Distribution’s current net asset value per share. Shareholders receiving periodic payments from Monthly Distribution may be under the impression that they are receiving net income. However, all or a portion of a distribution may consist of a return of capital. Shareholders should not assume that the source of a distribution from Monthly Distribution is net income.
o. Indemnification – The Trust indemnifies its officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, each Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnities. A Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss due to these warranties and indemnities to be remote.
3. | INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES |
a. | Management Fees – Dunham & Associates serves as each Fund’s investment adviser. Pursuant to an investment advisory agreement with the Trust, on behalf of the Funds, Dunham & Associates, subject to the supervision of the Board and in conformity with the stated policies of the Funds, manages the operations of the Funds. The Adviser, subject to the review and approval of the Board, selects Sub-Advisers for each Fund and supervises and monitors the performance of each Sub-Adviser. As compensation for its services, each Fund pays the Adviser a fixed fee, accrued daily and paid monthly, based on each Fund’s respective average daily net assets. The Adviser has entered into a Sub-Advisory Agreement with each Sub-Adviser and the Trust, on behalf of each Fund. Under the Sub-Advisory Agreements, each Fund pays the Sub-Adviser a “Fulcrum Fee.” A Fulcrum Fee is a performance fee whereby the Sub-Adviser is rewarded when out-performing, or is penalized when under-performing, a Fund’s benchmark index. As a result of the Fulcrum Fee arrangement, the total annual management fee for a Fund will have a range as shown in the table below. |
Adviser’s | Sub-Adviser’s | |||||
Management Fee | Portion | Portion | ||||
Floating Rate Bond | 0.70% – 1.10% | 0.60% | 0.10% – 0.50% | |||
Corporate/Government Bond | 0.65% – 0.95% | 0.50% | 0.15% – 0.45% | |||
Monthly Distribution * | 0.87% – 1.63% | 0.60% | 0.22% – 0.98% | |||
Dynamic Macro | 1.05% – 1.75% | 0.65% | 0.40% – 1.10% | |||
High-Yield Bond | 0.82% – 1.02% | 0.60% | 0.22% – 0.42% | |||
Alternative Dividend | 0.95% – 1.55% | 0.65% | 0.30% - 0.90% | |||
International Opportunity Bond | 0.80% – 1.30% | 0.60% | 0.20% – 0.70% | |||
Appreciation & Income | 0.85% – 1.25% | 0.65% | 0.20% – 0.60% | |||
Large Cap Value | 0.75% – 1.15% | 0.65% | 0.10% – 0.50% | |||
Focused Large Cap Growth | 0.85% – 1.15% | 0.65% | 0.20% – 0.50% | |||
International Stock | 0.95% – 1.65% | 0.65% | 0.30% – 1.00% | |||
Real Estate Stock | 0.75% – 1.35% | 0.65% | 0.10% – 0.70% | |||
Small Cap Value | 0.75% – 1.45% | 0.65% | 0.10% – 0.80% | |||
Emerging Markets Stock | 0.75% – 1.55% | 0.65% | 0.10% – 0.90% | |||
Small Cap Growth | 0.65% – 1.65% | 0.65% | 0.00% – 1.00% |
* | Prior to April, 1, 2018 the Sub-Adviser’s Portion for Monthly Distribution was 0.25%-1.05% and the Management Fee was 0.90%-1.70% |
111
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
Each Fund’s Sub-Advisory Fulcrum Fee is calculated daily using an annual base Sub-Advisory fee of a specified amount of the average daily net assets of the Fund (the “Base Fee”), adjusted by the Fund’s Class N share performance relative to the Fund’s benchmark (the “Performance Fee”). Depending on a Fund’s net performance versus its benchmark, the Sub-Adviser will receive a fee adjustment in accordance with a formula that equates a percentage of out- or under-performance to a percentage of fee increases or decreases, respectively. In addition, most Fulcrum Fees employ a “null zone” around the base fee, whereby small differences in performance versus the benchmark will not trigger a fee increase or decrease. During the first 12 months of the Fulcrum Fee arrangement, the Performance Fee is calculated daily from inception date of the agreement to the calculation date and is applied to the average daily net assets of the Funds during the calculation period. After the initial 12 months, the Performance Fee is calculated on a daily basis based on comparative performance over a rolling 12-month period. All Funds, with the exception of High Yield Bond which is in its initial year of a new Fulcrum Fee arrangement, are calculating Performance Fees on a rolling 12-month basis as of April 30, 2018.
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.
112
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
The table below lists the current Sub-Advisers along with their Fulcrum Fee arrangements.
Null | Minim um | Maxim um | ||||
Fund | Sub-Adviser | Benchmark | Base Fee | Zone | Fee | Fee |
Floating Rate Bond | New fleet Asset Management, LLC | S&P/LSTA Leveraged Loan Index | 0.30% | +/- 0.00% | 0.10% | 0.50% |
Corporate/Government Bond | New fleet Asset Management, LLC | Barclays Aggregate Bond Index | 0.30% | +/- 0.15% | 0.15% | 0.45% |
Monthly Distribution * | Perella Weinberg Partners Capital Management LP | IQ Hedge Market Neutral Total Return Index | 0.60% | +/- 0.00% | 0.22% | 0.98% |
Dynamic Macro | Mellon Capital Management Corporation | IQ Hedge Global Macro Beta Index | 0.75% | +/- 0.00% | 0.40% | 1.10% |
High-Yield Bond | PineBridge Investments LLC | Barclays U.S. Corporate High Yield Ba/B 2% Issuer Capped Index | 0.32% | +/- 0.00% | 0.22% | 0.42% |
Alternative Dividend | Sungarden Fund Management, LLC | Dow Jones Moderately Conservative Index | 0.60% | +/- 0.00% | 0.30% | 0.90% |
International Opportunity Bond | Allianz Global Investors | Barclays Global ex US Aggregate Bond Index | 0.45% | +/- 0.00% | 0.20% | 0.70% |
Appreciation & Income | PENN Capital Management Company, Inc. | Bank of America Merrill Lynch All Convertibles All Qualities Index | 0.40% | +/- 0.00% | 0.20% | 0.60% |
Large Cap Value | Rothschild Asset Management, Inc. | Russell 1000 Value Index | 0.30% | +/- 0.00% | 0.10% | 0.50% |
Focused Large Cap Growth | The Ithaka Group, LLC | Russell 1000 Growth Index | 0.35% | +/- 0.30% | 0.20% | 0.50% |
International Stock | Arrow street Capital L.P. | MSCI All Country World Index ex USA (Net) | 0.65% | +/- 0.20% | 0.30% | 1.00% |
Real Estate Stock | Barings 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 (Net) | 0.50% | +/- 0.00% | 0.10% | 0.90% |
Small Cap Growth | Pier Capital, LLC | Russell 2000 Growth Index | 0.50% | +/- 0.20% | 0.00% | 1.00% |
* | Effective April 1, 2018, IQ Hedge Market Neutral Total Return Index replaced IQ Hedge Market Neutral Beta Index as the benchmark to the Monthly Distribution Fund. Monthly Distribution Fund, had a Base fee of 0.65%, a Minimum Fee of 0.25%, and a Maximum Fee of 1.05% prior to the change. |
b. Administration, Fund Accounting and Transfer Agency Fees – Gemini Fund Services, LLC (“GFS” or the “Administrator”) serves as the administrator, fund accountant and transfer agent for the Funds. Effective July 1, 2017, for providing administration services, GFS receives from each Fund a monthly fee based on the combined average daily net assets at the following annual rates; 0.07% on the first $250 million of average net assets; 0.06% on average net assets between $250 Million and $500 million; 0.04% on average net assets over $500 million; and 0.02% on average net assets over $1 billion. Prior to that date, the top two tiers were paid at 0.05% and 0.03%, respectively. Such fees are subject to an annual minimum of $400,000 in total for the entire trust. Effective July 1, 2017, for providing fund accounting services, GFS received from the Trust a minimum annual fee of $262,500. Prior to that date, GFS received from each Fund a monthly fee based on the combined average daily net assets at the following annual rates: 0.03% on the first $500 million of average net assets and 0.01% on the average net assets over $500 million, subject to an annual minimum of $300,000 in total for the entire Trust. For providing transfer agent services, GFS receives from the Trust 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”), (formerly “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.
Individuals from GFS serve as officers for the Trust and receive no additional compensation from the Trust for serving in these roles.
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.
113
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
d. Trustees’ Fees – The Board has approved the following Trustee compensation schedule: Each Trustee who is not an interested person of the Trust will receive $6,250 for each Board meeting attended in-person; $1,000 for all telephonic Board meetings; $1,000 for in-person committee meetings and $500 for telephonic committee meetings, unless the committee meeting is on the same day as a Board meeting, in which case the Trustee will not be compensated for the committee meeting. The Funds also reimburse each such Trustee for travel and other expenses incurred in attending meetings of the Board.
With the exception of the Trust’s Chief Compliance Officer as discussed below, officers of the Trust and Trustees who are interested persons of the Trust do not receive any compensation from the Trust or any other Funds managed by the Adviser. The Trust has agreed to pay the Adviser a fee in the amount of $150,000 per annum plus an annual discretionary bonus as may be awarded as compensation for providing an officer or employee of the Adviser to serve as Chief Compliance Officer for the Funds (each Fund bearing its pro rata share of the fee), plus the cost of reasonable expenses related to the performance of the Chief Compliance Officer’s duties, including travel expenses, and may compensate the Adviser for the time of other officers or employees of the Adviser who serve in other compliance capacities for the Funds.
e. Commission Recapture – During the six months ended April 30, 2018, certain Funds had portfolio trades executed with a certain broker pursuant to a commission recapture agreement under which the broker will return a portion of the Fund’s brokerage commissions on the Fund’s behalf. Such amounts, under such commission recapture agreement, are included in fess paid indirectly in the Fund’s Statement of Operations and were paid directly by the broker to the Administrator. For the six months ended April 30, 2018, the amounts received by the Administrator on behalf of certain participating Funds under this arrangement were: Large Cap Value – $771, Focused Large Cap Growth - $1,980, and Small Cap Growth - $1,327.
4. | INVESTMENT TRANSACTIONS |
The cost of purchases and the proceeds from sales of investments, other than short-term investments, for the six months ended April 30, 2018 were as follows:
Purchases | Sale Proceeds | Proceeds of | ||||||||||||||
(excluding U.S. | (excluding U.S. | Purchases of | U.S. | |||||||||||||
Government | Government | U.S. Government | Government | |||||||||||||
Fund | Securities) | Securities) | Securities | Securities | ||||||||||||
Floating Rate Bond | $ | 102,679,120 | $ | 71,728,396 | $ | — | $ | — | ||||||||
Corporate/Government Bond | 17,439,107 | 30,528,811 | 25,830,893 | 31,228,161 | ||||||||||||
Monthly Distribution | 658,440,525 | 597,072,830 | — | — | ||||||||||||
Dynamic Macro | 4,425,874 | 224,283 | — | — | ||||||||||||
High-Yield Bond | 65,477,178 | 68,660,386 | — | — | ||||||||||||
Alternative Dividend | 167,857,170 | 156,767,119 | ||||||||||||||
International Opportunity Bond | 7,417,770 | 9,662,987 | — | — | ||||||||||||
Appreciation & Income | 12,483,988 | 11,595,564 | — | — | ||||||||||||
Large Cap Value | 17,675,016 | 14,497,859 | — | — | ||||||||||||
Focused Large Cap Growth | 12,876,669 | 19,128,631 | — | — | ||||||||||||
International Stock | 65,803,963 | 65,631,416 | — | — | ||||||||||||
Real Estate Stock | 30,903,027 | 17,358,404 | — | — | ||||||||||||
Small Cap Value | 23,385,151 | 15,470,110 | — | — | ||||||||||||
Emerging Markets Stock | 28,688,407 | 22,647,799 | — | — | ||||||||||||
Small Cap Growth | 27,883,246 | 29,963,817 | — | — |
114
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
5. | AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS |
The identified cost of investments in securities owned by each Fund for federal income tax purposes, and its respective gross unrealized appreciation and depreciation at April 30, 2018, were as follows:
Gross | Gross | Net Unrealized | ||||||||||||||
Tax | Unrealized | Unrealized | Appreciation/ | |||||||||||||
Cost | Appreciation | Depreciation | (Depreciation) | |||||||||||||
Floating Rate Bond | $ | 207,535,769 | $ | 1,381,447 | $ | (1,478,566 | ) | $ | (97,119 | ) | ||||||
Corporate/Government Bond | 61,037,123 | 393,785 | (1,246,368 | ) | (852,583 | ) | ||||||||||
Monthly Distribution | 306,552,584 | 5,845,481 | (12,469,266 | ) | (6,623,785 | ) | ||||||||||
Dynamic Macro | 47,453,472 | 4,770,599 | (224,997 | ) | 4,545,602 | |||||||||||
High-Yield Bond | 134,114,550 | 716,300 | (2,598,299 | ) | (1,881,999 | ) | ||||||||||
Alternative Dividend | 73,589,279 | 2,257,151 | (2,488,797 | ) | (231,646 | ) | ||||||||||
International Opportunity Bond | 33,369,045 | 1,501,432 | (219,314 | ) | 1,282,118 | |||||||||||
Appreciation & Income | 19,304,618 | 1,955,428 | (913,189 | ) | 1,042,239 | |||||||||||
Large Cap Value | 69,757,130 | 14,781,020 | (1,589,578 | ) | 13,191,442 | |||||||||||
Focused Large Cap Growth | 74,242,098 | 31,730,734 | (966,986 | ) | 30,763,748 | |||||||||||
International Stock | 106,251,102 | 17,935,839 | (2,201,886 | ) | 15,733,953 | |||||||||||
Real Estate Stock | 58,610,578 | 3,883,895 | (1,430,197 | ) | 2,453,698 | |||||||||||
Small Cap Value | 43,387,823 | 3,643,956 | (1,644,706 | ) | 1,999,250 | |||||||||||
Emerging Markets Stock | 62,984,191 | 13,013,534 | (2,013,427 | ) | 11,000,107 | |||||||||||
Small Cap Growth | 40,501,585 | 5,772,048 | (752,027 | ) | 5,020,021 | |||||||||||
6. | SHARES OF BENEFICIAL INTEREST |
At April 30, 2018, each Fund had an unlimited number of shares authorized with no par value.
Following is a summary of shareholder transactions for each Fund for the six months ended April 30, 2018 and the year ended October 31, 2017, respectively:
For the six months ended April 30, 2018:
Class N Shares | Class A Shares | |||||||||||||||||||||||||||||||
Net Increase | Net Increase | |||||||||||||||||||||||||||||||
Distributions | (Decrease) in | Distributions | (Decrease) in | |||||||||||||||||||||||||||||
Fund | Issued | Reinvested | Redeemed | Shares | Issued | Reinvested | Redeemed | Shares | ||||||||||||||||||||||||
Floating Rate Bond | 3,704,543 | 284,988 | (3,023,734 | ) | 965,797 | 578,613 | 29,161 | (193,407 | ) | 414,367 | ||||||||||||||||||||||
Corporate/Government Bond | 1,612,933 | 56,159 | (2,723,070 | ) | (1,053,978 | ) | 116,317 | 5,135 | (167,480 | ) | (46,028 | ) | ||||||||||||||||||||
Monthly Distribution | 1,570,086 | 128,179 | (1,591,884 | ) | 106,381 | 271,821 | 25,500 | (156,964 | ) | 140,357 | ||||||||||||||||||||||
Dynamic Macro | 492,899 | — | (529,337 | ) | (36,438 | ) | 193,269 | — | (123,960 | ) | 69,309 | |||||||||||||||||||||
High-Yield Bond | 1,785,691 | 254,535 | (2,784,307 | ) | (744,081 | ) | 281,108 | 25,643 | (240,905 | ) | 65,846 | |||||||||||||||||||||
Alternative Dividend | 2,879,490 | 62,969 | (651,605 | ) | 2,290,854 | 40,352 | 1,712 | (4,388 | ) | 37,676 | ||||||||||||||||||||||
International Opportunity Bond | 241,405 | 3,921 | (558,075 | ) | (312,749 | ) | 82,493 | 376 | (45,347 | ) | 37,522 | |||||||||||||||||||||
Appreciation & Income | 101,886 | 29,825 | (187,634 | ) | (55,923 | ) | 117,000 | 5,494 | (82,550 | ) | 39,944 | |||||||||||||||||||||
Large Cap Value | 432,985 | 70,716 | (307,568 | ) | 196,133 | 220,004 | 11,986 | (100,694 | ) | 131,296 | ||||||||||||||||||||||
Focused Large Cap Growth | 275,980 | 27,172 | (472,824 | ) | (169,672 | ) | 148,212 | 6,227 | (134,866 | ) | 19,573 | |||||||||||||||||||||
International Stock | 472,818 | 219,814 | (519,559 | ) | 173,073 | 256,151 | 38,097 | (165,535 | ) | 128,713 | ||||||||||||||||||||||
Real Estate Stock | 915,450 | 34,637 | (168,257 | ) | 781,830 | 185,143 | 4,939 | (58,201 | ) | 131,881 | ||||||||||||||||||||||
Small Cap Value | 545,636 | 144,058 | (85,050 | ) | 604,644 | 120,909 | 27,980 | (29,401 | ) | 119,488 | ||||||||||||||||||||||
Emerging Markets Stock | 415,492 | 31,305 | (193,835 | ) | 252,962 | 172,350 | 4,194 | (64,438 | ) | 112,106 | ||||||||||||||||||||||
Small Cap Growth | 97,825 | 186,952 | (170,408 | ) | 114,369 | 68,020 | 54,752 | (55,355 | ) | 67,417 |
115
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
Class C Shares | ||||||||||||||||
Net Increase | ||||||||||||||||
Distributions | (Decrease) | |||||||||||||||
Fund | Issued | Reinvested | Redeemed | in Shares | ||||||||||||
Floating Rate Bond | 138,334 | 8,961 | (95,408 | ) | 51,887 | |||||||||||
Corporate/Government Bond | 32,104 | 2,038 | (40,657 | ) | (6,515 | ) | ||||||||||
Monthly Distribution | 158,790 | 29,150 | (165,551 | ) | 22,389 | |||||||||||
Dynamic Macro | 29,918 | — | (38,732 | ) | (8,814 | ) | ||||||||||
High-Yield Bond | 75,957 | 14,924 | (91,405 | ) | (524 | ) | ||||||||||
Alternative Dividend | 8,160 | 1,652 | (30,568 | ) | (20,756 | ) | ||||||||||
International Opportunity Bond | 25,003 | 177 | (17,709 | ) | 7,471 | |||||||||||
Appreciation & Income | 54,161 | 4,136 | (38,456 | ) | 19,841 | |||||||||||
Large Cap Value | 22,985 | 3,842 | (52,017 | ) | (25,190 | ) | ||||||||||
Focused Large Cap Growth | 24,657 | 3,483 | (51,726 | ) | (23,586 | ) | ||||||||||
International Stock | 31,471 | 15,569 | (54,603 | ) | (7,563 | ) | ||||||||||
Real Estate Stock | 22,479 | 1,286 | (23,817 | ) | (52 | ) | ||||||||||
Small Cap Value | 13,540 | 18,626 | (32,480 | ) | (314 | ) | ||||||||||
Emerging Markets Stock | 30,334 | 891 | (24,694 | ) | 6,531 | |||||||||||
Small Cap Growth | 13,051 | 32,629 | (25,654 | ) | 20,026 | |||||||||||
For the year ended October 31, 2017:
Class N Shares | Class A Shares | |||||||||||||||||||||||||||||||
Net Increase | Net Increase | |||||||||||||||||||||||||||||||
Distributions | (Decrease) in | Distributions | (Decrease) in | |||||||||||||||||||||||||||||
Fund | Issued | Reinvested | Redeemed | Shares | Issued | Reinvested | Redeemed | Shares | ||||||||||||||||||||||||
Floating Rate Bond | 8,010,681 | 419,700 | (1,955,043 | ) | 6,475,338 | 853,365 | 44,355 | (355,000 | ) | 542,720 | ||||||||||||||||||||||
Corporate/Government Bond | 1,842,070 | 85,632 | (836,944 | ) | 1,090,758 | 206,542 | 8,076 | (108,687 | ) | 105,931 | ||||||||||||||||||||||
Monthly Distribution | 2,262,648 | 179,857 | (946,529 | ) | 1,495,976 | 422,396 | 40,821 | (615,758 | ) | (152,541 | ) | |||||||||||||||||||||
Dynamic Macro | 1,097,676 | — | (550,641 | ) | 547,035 | 314,313 | — | (108,954 | ) | 205,359 | ||||||||||||||||||||||
High-Yield Bond | 4,221,189 | 428,612 | (2,161,863 | ) | 2,487,938 | 504,948 | 46,113 | (412,563 | ) | 138,498 | ||||||||||||||||||||||
Alternative Dividend | 1,634,819 | 120,742 | (667,246 | ) | 1,088,315 | 68,558 | 948 | (4,834 | ) | 64,672 | ||||||||||||||||||||||
International Opportunity Bond | 1,445,820 | 28,837 | (635,529 | ) | 839,128 | 158,038 | 2,536 | (67,277 | ) | 93,297 | ||||||||||||||||||||||
Appreciation & Income | 339,537 | 63,649 | (1,012,783 | ) | (609,597 | ) | 104,622 | 10,468 | (207,045 | ) | (91,955 | ) | ||||||||||||||||||||
Large Cap Value | 941,746 | 60,421 | (793,604 | ) | 208,563 | 338,329 | 8,048 | (162,665 | ) | 183,712 | ||||||||||||||||||||||
Focused Large Cap Growth | 992,721 | — | (1,295,302 | ) | (302,581 | ) | 290,140 | — | (223,561 | ) | 66,579 | |||||||||||||||||||||
International Stock | 882,290 | — | (1,261,782 | ) | (379,492 | ) | 381,106 | — | (217,270 | ) | 163,836 | |||||||||||||||||||||
Real Estate Stock | 878,584 | 283,995 | (367,097 | ) | 795,482 | 209,176 | 43,353 | (383,096 | ) | (130,567 | ) | |||||||||||||||||||||
Small Cap Value | 307,514 | 53,196 | (605,265 | ) | (244,555 | ) | 183,390 | 10,926 | (196,461 | ) | (2,145 | ) | ||||||||||||||||||||
Emerging Markets Stock | 599,965 | 64,904 | (1,092,983 | ) | (428,114 | ) | 264,082 | 8,004 | (252,886 | ) | 19,200 | |||||||||||||||||||||
Small Cap Growth | 391,669 | — | (874,125 | ) | (482,456 | ) | 245,385 | — | (265,412 | ) | (20,027 | ) |
Class C Shares | ||||||||||||||||
Net Increase | ||||||||||||||||
Distributions | (Decrease) | |||||||||||||||
Fund | Issued | Reinvested | Redeemed | in Shares | ||||||||||||
Floating Rate Bond | 374,637 | 16,324 | (220,866 | ) | 170,095 | |||||||||||
Corporate/Government Bond | 50,246 | 3,947 | (64,451 | ) | (10,258 | ) | ||||||||||
Monthly Distribution | 214,747 | 51,393 | (430,722 | ) | (164,582 | ) | ||||||||||
Dynamic Macro | 40,482 | — | (69,122 | ) | (28,640 | ) | ||||||||||
High-Yield Bond | 153,054 | 30,290 | (199,764 | ) | (16,420 | ) | ||||||||||
Alternative Dividend | 83,205 | 3,647 | (9,122 | ) | 77,730 | |||||||||||
International Opportunity Bond | 52,157 | 1,484 | (38,182 | ) | 15,459 | |||||||||||
Appreciation & Income | 25,217 | 8,202 | (117,977 | ) | (84,558 | ) | ||||||||||
Large Cap Value | 54,566 | 3,757 | (130,182 | ) | (71,859 | ) | ||||||||||
Focused Large Cap Growth | 122,704 | — | (81,646 | ) | 41,058 | |||||||||||
International Stock | 64,467 | — | (145,232 | ) | (80,765 | ) | ||||||||||
Real Estate Stock | 30,317 | 32,299 | (81,082 | ) | (18,466 | ) | ||||||||||
Small Cap Value | 43,831 | 5,477 | (54,878 | ) | (5,570 | ) | ||||||||||
Emerging Markets Stock | 115,109 | 3,518 | (169,505 | ) | (50,878 | ) | ||||||||||
Small Cap Growth | 41,644 | — | (52,454 | ) | (10,810 | ) |
116
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
7. | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL |
The tax character of dividends paid during the year or period ended October 31, 2017 and October 31, 2016 was as follows:
For the year or period ended October 31, 2017 | For the year or period ended October 31, 2016 | |||||||||||||||||||||||||||||||||||
Ordinary | Long-Term | Return of | Tax - Exempt | Ordinary | Long-Term | Return of | ||||||||||||||||||||||||||||||
Fund | Income | Capital Gains | Capital | Income | Total | Income | Capital Gains | Capital | Total | |||||||||||||||||||||||||||
Floating Rate Bond | $ | 4,705,002 | $ | — | $ | — | $ | — | $ | 4,705,002 | $ | 3,114,657 | $ | — | $ | — | $ | 3,114,657 | ||||||||||||||||||
Corporate/Government Bond | 1,264,680 | — | 24,527 | 59,502 | 1,348,709 | 1,431,865 | — | — | 1,431,865 | |||||||||||||||||||||||||||
Monthly Distribution | — | — | 10,191,212 | — | 10,191,212 | 4,038,615 | — | 5,117,544 | 9,156,159 | |||||||||||||||||||||||||||
Dynamic Macro | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
High- Yield Bond | 4,756,447 | — | — | — | 4,756,447 | 4,668,522 | — | — | 4,668,522 | |||||||||||||||||||||||||||
Alternative Dividend | 1,715,265 | — | 33,747 | — | 1,749,012 | — | — | — | — | |||||||||||||||||||||||||||
International Opportunity Bond | — | 281,876 | — | — | 281,876 | — | 27,741 | — | 27,741 | |||||||||||||||||||||||||||
Appreciation & Income | 689,953 | — | — | — | 689,953 | 1,690,059 | 6,372 | — | 1,696,431 | |||||||||||||||||||||||||||
Large Cap Value | 953,600 | — | — | — | 953,600 | 564,042 | 14,258,077 | — | 14,822,119 | |||||||||||||||||||||||||||
Focused Large Cap Growth | — | — | — | — | — | — | 381,862 | — | 381,862 | |||||||||||||||||||||||||||
International Stock | — | — | — | — | — | 43,319 | — | — | 43,319 | |||||||||||||||||||||||||||
Real Estate Stock | 1,820,717 | 3,749,295 | — | — | 5,570,012 | 2,119,010 | 2,657,605 | — | 4,776,615 | |||||||||||||||||||||||||||
Small Cap Value | 1,012,034 | 144,516 | — | — | 1,156,550 | 98,604 | 847,224 | — | 945,828 | |||||||||||||||||||||||||||
Emerging Markets Stock | 1,153,950 | — | — | — | 1,153,950 | 504,601 | — | — | 504,601 | |||||||||||||||||||||||||||
Small Cap Growth | — | — | — | — | — | 911,397 | 1,784,747 | 78,354 | 2,774,498 | |||||||||||||||||||||||||||
Permanent book and tax differences, primarily attributable to the reclass of net operating losses, 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, preferred securities, corporation mergers, the expiration of capital loss carry forwards, 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, 2017 as follows:
Paid | Accumulated | Accumulated | ||||||||||
In | Net Investment | Net Realized | ||||||||||
Fund | Capital | Income (Loss) | Gains (Loss) | |||||||||
Floating Rate Bond | $ | — | $ | 149,011 | $ | (149,011 | ) | |||||
Corporate/Government Bond | (24,527 | ) | 88,764 | (64,237 | ) | |||||||
Monthly Distribution | (1,808,946 | ) | 1,726,908 | 82,038 | ||||||||
Dynamic Macro | (60,063 | ) | (39,391 | ) | 99,454 | |||||||
High-Yield Bond | (3,403,542 | ) | — | 3,403,542 | ||||||||
Alternative Dividend | (33,747 | ) | (23,018 | ) | 56,765 | |||||||
International Opportunity Bond | (828,303 | ) | 13,179 | 815,124 | ||||||||
Appreciation & Income | — | 74,928 | (74,928 | ) | ||||||||
Large Cap Value | — | — | — | |||||||||
Focused Large Cap Growth | (455,780 | ) | 455,780 | — | ||||||||
International Stock | — | (32,916 | ) | 32,916 | ||||||||
Real Estate Stock | — | (41 | ) | 41 | ||||||||
Small Cap Value | — | — | — | |||||||||
Emerging Markets Stock | (3,386,845 | ) | (24,310 | ) | 3,411,155 | |||||||
Small Cap Growth | — | 493,662 | (493,662 | ) | ||||||||
Net assets were unaffected by the above reclassifications.
117
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
As of each of the Fund’s tax year-ended October 31, 2017, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Post October Loss | Capital Loss | Other | Unrealized | Total | ||||||||||||||||||||||
Ordinary | Long-Term | and | Carry | Book/Tax | Appreciation/ | Accumulated | ||||||||||||||||||||||
Fund | Income | Capital Gains | Late Year Loss | Forwards | Differences | (Depreciation) | Earnings/(Deficits | |||||||||||||||||||||
Floating Rate Bond | $ | 169,064 | $ | — | $ | — | $ | (2,540,197 | ) | $ | (1,498 | ) | $ | 269,203 | $ | (2,103,428 | ) | |||||||||||
Corporate/Government Bond | — | — | — | (1,837,132 | ) | (843 | ) | 836,176 | (1,001,799 | ) | ||||||||||||||||||
Monthly Distribution | — | — | (2,278,367 | ) | (6,616,830 | ) | (254,567 | ) | 3,123,506 | (6,026,258 | ) | |||||||||||||||||
Dynamic Macro | — | — | (202,369 | ) | (3,049,342 | ) | — | 5,108,919 | 1,857,208 | |||||||||||||||||||
High-Yield Bond | 5,704 | — | — | (5,251,482 | ) | (11,795 | ) | 2,221,778 | (3,035,795 | ) | ||||||||||||||||||
Alternative Dividend | — | — | — | (2,479,755 | ) | — | 24,396 | (2,455,359 | ) | |||||||||||||||||||
International Opportunity Bond | — | 42,099 | (118,169 | ) | — | — | 543,425 | 467,355 | ||||||||||||||||||||
Appreciation & Income | 240,357 | — | — | (2,237,265 | ) | — | 1,090,675 | (906,233 | ) | |||||||||||||||||||
Large Cap Value | 424,909 | 713,238 | — | — | — | 13,450,074 | 14,588,221 | |||||||||||||||||||||
Focused Large Cap Growth | — | 721,962 | (577,046 | ) | — | — | 25,597,790 | 25,742,706 | ||||||||||||||||||||
International Stock | 1,605,111 | 3,151,465 | — | — | — | 16,278,904 | 21,035,480 | |||||||||||||||||||||
Real Estate Stock | 95,638 | 340,203 | — | — | — | 4,325,960 | 4,761,801 | |||||||||||||||||||||
Small Cap Value | 1,586,132 | 1,584,231 | — | — | — | 4,385,149 | 7,555,512 | |||||||||||||||||||||
Emerging Markets Stock | 521,498 | — | — | (2,506,802 | ) | — | 13,283,945 | 11,298,641 | ||||||||||||||||||||
Small Cap Growth | 1,809,899 | 3,242,172 | — | — | — | 6,689,582 | 11,741,653 | |||||||||||||||||||||
The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income (loss) and accumulated net realized gain (loss) from security transactions are primarily attributable to the tax deferral of losses on wash sales and straddles, adjustments for gains on contingent convertible debt securities, the mark-to-market treatment of open forward foreign currency contracts, options, futures, dividend payable and swap contracts, and adjustments for section 305(c) deemed dividend distributions, real estate investment trusts, partnerships, preferred securities, passive foreign investment companies, constructive sales of securities held short, straddles and C Corporation return of capital distributions. In addition, the amount listed under other book/tax differences are primarily attributable to the tax deferral of losses on straddles and constructive sales, and tax adjustments for accrued dividend payable.
Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Funds incurred and elected to defer such late year losses as follows:
Late Year | ||||
Fund | Losses | |||
Floating Rate Bond | $ | — | ||
Corporate/Government Bond | — | |||
Monthly Distribution | 2,278,367 | |||
Dynamic Macro | 202,369 | |||
High-Yield Bond | — | |||
Alternative Dividend | — | |||
International Opportunity Bond | 118,169 | |||
Appreciation & Income | — | |||
Large Cap Value | — | |||
Focused Large Cap Growth | 577,046 | |||
International Stock | — | |||
Real Estate Stock | — | |||
Small Cap Value | — | |||
Emerging Markets Stock | — | |||
Small Cap Growth | — |
118
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
At October 31, 2017, the following Funds had capital loss carryforwards for federal income tax purposes available to offset future capital gains through the indicated expiration date as follows:
Non-Expiring | Non-Expiring | Capital Loss Carry | ||||||||||||||||||
Fund | Expiring 2019 | Short-Term | Long-Term | Total | Forward Expired | |||||||||||||||
Floating Rate Bond | $ | — | $ | 695,444 | $ | 1,844,753 | $ | 2,540,197 | $ | — | ||||||||||
Corporate/Government Bond | — | 518,898 | 1,318,234 | 1,837,132 | — | |||||||||||||||
Monthly Distribution | — | — | 6,616,830 | 6,616,830 | — | |||||||||||||||
Dynamic Macro | 152,059 | 1,709,587 | 1,187,696 | 3,049,342 | — | |||||||||||||||
High-Yield Bond | — | 2,238,943 | 3,012,539 | 5,251,482 | 3,403,542 | |||||||||||||||
Alternative Dividend | — | 1,597,562 | 882,193 | 2,479,755 | — | |||||||||||||||
International Opportunity Bond | — | — | — | — | — | |||||||||||||||
Appreciation & Income | — | — | 2,237,265 | 2,237,265 | — | |||||||||||||||
Large Cap Value | — | — | — | — | — | |||||||||||||||
Focused Large Cap Growth | — | — | — | — | — | |||||||||||||||
International Stock | — | — | — | — | — | |||||||||||||||
Real Estate Stock | — | — | — | — | — | |||||||||||||||
Small Cap Value | — | — | — | — | — | |||||||||||||||
Emerging Markets Stock | 351,019 | 2,155,783 | — | 2,506,802 | 3,386,845 | |||||||||||||||
Small Cap Growth | — | — | — | — | — | |||||||||||||||
8. | LINE OF CREDIT |
Currently, the Funds have a $40,000,000 uncommitted line of credit provided by U.S. Bank National Association (the “Bank”) under an agreement (the “Uncommitted Line”). Any advance under the Uncommitted Line is contemplated primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable on an annualized basis. The Uncommitted Line is not a “committed” line of credit, which is to say that the Bank is not obligated to lend money to a Fund. Accordingly, it is possible that a Fund may wish to borrow money for a temporary or emergency purpose but may not be able to do so. During the six months ended April 30, 2018, Corporate/Government Bond, High-Yield Bond, International Opportunity Bond, Focused Large Cap Growth, International Stock, Small Cap Value, Emerging Markets Stock and Small Cap Growth accessed the line of credit based only on the days borrowed and the average amount of borrowings outstanding were $3,574,833, $4,654,000, $290,857, $5,530,000, $826,429, $31,000, $1,000,000, $887,000, respectively. The interest expense for all of the Funds listed above is immaterial. As of October 31, 2017, all of the Funds listed above had no outstanding borrowings under the Credit Agreement, except for International Stock, which had $390,000 of outstanding borrowings.
9. | 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 on loan, provided that there is no material default, will be paid to the respective Fund. A portion of the income generated by the investment in the collateral, net of any rebates paid by the Bank to the borrowers is remitted to the Bank as lending agent and the remainder is paid to the Fund(s).
Securities lending income, if any, is disclosed in the 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.
119
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2018 (Continued) |
The following table presents financial instruments that are subject to enforceable netting arrangements as of April 30, 2018.
Gross Amounts of Assets Presented in the Statements of Assets and Liabilities | ||||||||||||
Market Value of | Market Value of | Percentage of Total | ||||||||||
Fund | Loaned Securities | Collateral (1) | Investment Income | |||||||||
Floating Rate Bond | $ | 1,700,874 | $ | 1,700,874 | 0.10 | % | ||||||
Corporate/Government Bond | 5,408,156 | 5,408,156 | 0.48 | % | ||||||||
Monthly Distribution | 9,108,889 | 9,108,889 | 0.56 | % | ||||||||
Dynamic Macro | 8,189,369 | 8,189,369 | 6.94 | % | ||||||||
High-Yield Bond | 18,770,456 | 18,770,456 | 1.08 | % | ||||||||
Alternative Dividend | 10,501,784 | 10,501,784 | 0.92 | % | ||||||||
International Opportunity Bond | — | — | 0.00 | % | ||||||||
Appreciation & Income | 1,411,022 | 1,411,022 | 2.86 | % | ||||||||
Large Cap Value | 7,448,594 | 7,448,594 | 18.19 | % | ||||||||
Focused Large Cap Growth | 24,293,722 | 24,293,722 | 8.58 | % | ||||||||
International Stock | 5,689,725 | 5,689,725 | 0.49 | % | ||||||||
Real Estate Stock | 6,852,942 | 6,852,942 | 0.63 | % | ||||||||
Small Cap Value | 7,055,811 | 7,055,811 | 2.14 | % | ||||||||
Emerging Markets Stock | 4,891,314 | 4,891,314 | 0.84 | % | ||||||||
Small Cap Growth | 10,040,315 | 10,040,315 | 27.31 | % | ||||||||
(1) | The amount is limited to the loaned securities and accordingly, does not include excess collateral pledged |
10. | UNDERLYING INVESTMENTS IN OTHER INVESTMENT COMPANIES |
Each underlying fund, including each exchange-traded fund (“ETF”), is subject to specific risks, depending on the nature of the underlying fund. These risks could include liquidity risk, sector risk, foreign and related currency risk, as well as risks associated with real estate investments and commodities. Investors in the Fund will indirectly bear fees and expenses charged by the underlying investment companies in which the Fund invests in addition to the Fund’s direct fees and expenses.
The performance of the Dynamic Macro Fund will be directly affected by the performance of the SPDR S&P 500 ETF Trust. The Trust seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500 Index. The financial statements of the SPDR S&P 500 ETF Trust, including the portfolio of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Portfolio’s financial statements. As of April 30, 2018, the percentage of net assets invested in the SPDR S&P 500 ETF Trust was 30.1%.
11. | SUBSEQUENT EVENTS |
Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.
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Meeting of the Board of Trustees Held on December 18-19, 2017
On December 18-19, 2017, the Board of Trustees (the “Board”) of Dunham Funds (the “Trust”), a Delaware business trust, met to consider, among other things, (i) the renewal of the investment advisory agreement between the Trust and Dunham & Associates Investment Counsel, Inc. (the “Adviser”) and (ii) the renewal of the sub-advisory agreements with various sub-advisers for certain Trust series (the “Funds”). The investment advisory agreement and the sub-advisory agreements are collectively referred to as the “Advisory Agreements.” The Funds and the relevant sub-advisers with sub-advisory agreements up for renewal include:
Fund | Sub-Advisory Agreement |
Dunham Alternative Dividend Fund | Sungarden Fund Management, LLC |
Dunham Appreciation & Income Fund | Penn Capital |
Dunham Corporate/Government Bond Fund | Newfleet Asset Management, LLC |
Dunham Dynamic Macro Fund | Mellon Capital Management |
Dunham Emerging Markets Stock Fund | Bailard, Inc. |
Dunham Floating Rate Bond Fund | Newfleet Asset Management, LLC |
Dunham Focused Large Cap Growth Fund | The Ithaka Group, LLC |
Dunham High-Yield Bond Fund | [Not up for renewal] |
Dunham International Opportunity Bond Fund | Allianz Global Investors U.S. LLC |
Dunham International Stock Fund | Arrowstreet Capital |
Dunham Large Cap Value Fund | Rothschild Asset Management |
Dunham Monthly Distribution Fund | [Not up for renewal] |
Dunham Real Estate Stock Fund | Barings Asset Management Limited |
Dunham Small Cap Growth Fund | Pier Capital, LLC |
Dunham Small Cap Value Fund | Piermont Capital Management, Inc. |
The Independent Trustees had requested and reviewed materials the Adviser and the sub-advisers provided prior to and during the meetings and had reviewed a memorandum from Fund counsel that reviewed their fiduciary duties pertaining to renewal of investment management and sub-advisory agreements and the factors they should consider in evaluating the Advisory agreements.
Among other information, the Adviser and the sub-advisers provided information to assist the Independent Trustees in assessing the nature, extent and quality of services provided, information comparing the investment performance, advisory fees and operating expense ratio of each Fund to other funds, information about estimated profitability and/or financial condition and compliance and regulatory matters. The Board determined that, given the totality of the information provided with respect to each Advisory Agreement, the Board had received sufficient information to approve the Advisory Agreements.
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The Independent Trustees and Fund counsel met in executive sessions to consider the renewal of the Advisory Agreements. The Board also received information about the Funds throughout the year in connection with the regular quarterly Board meetings from the Adviser and various Fund sub-advisers.
Based upon its review, the Board concluded that it was in the best interests of each Fund that the Advisory Agreements be renewed. In considering the renewal of the Advisory Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, and considered a variety of factors in its analysis, including those discussed below. The Board did not allot a particular weight to any one factor or group of factors.
Investment Advisory Agreement
Nature, Extent and Quality of Services. In considering the renewal of the investment advisory agreement with the Adviser, the Board considered the nature, extent and quality of services that the Adviser provided to the Funds, including the Adviser’s personnel and resources and the Adviser’s criteria for reviewing a sub-adviser’s performance. The Board reviewed the services the Adviser provided in serving as investment adviser, including the backgrounds of the personnel providing the investment management services and compliance staff. They also reviewed information provided regarding risk management and compliance and regulatory matters. The Board concluded that the services the Adviser provided were satisfactory.
Performance. The Board reviewed performance information the Adviser provided for Class N of each Fund compared to the performance of (a) funds in a peer group (the “Peer Group”) (which is a relevant sub-set of funds in a Fund’s Morningstar category), (b) a Morningstar category average and (c) a benchmark index for the one, three, five and ten year periods or since a Fund’s inception, as applicable, ended September 30, 2017. The Board considered that the Adviser had delegated day-to-day portfolio management of each Fund strategy to a sub-adviser and noted the ongoing oversight activities the Adviser performed, including review of returns on a relative and absolute basis, evaluation of brokerage execution quality and on-site compliance reviews. The Board concluded that the Adviser had appropriately reviewed and monitored each sub-adviser’s investment performance.
Advisory Fee. The Board reviewed each Fund’s advisory fee and expense ratio, taking into account the Fund’s average net assets, and reviewed information comparing the advisory fee and expense ratio to those of the Peer Group and a Morningstar category. The Board discussed that while the advisory fees do not necessarily have to be the lowest compared to the Peer Groups, it is their duty to evaluate whether the advisory fees are reasonable. The Board noted that the Adviser’s fees range from 0.50% to 0.65%, which, when combined with the sub-adviser fees, are generally higher than the Peer Group averages when a Fund is performing well, but in some cases lower than the Peer Group averages when a Fund is underperforming. It noted that the Adviser’s fee ranges are reasonably applied based on the nature of a Fund (i.e., bond vs. equity, or alternative vs. traditional). The Board noted that currently four Funds are considered “alternative” and generally require enhanced oversight compared to more traditional asset classes. The Board discussed the level of work involved in the Adviser’s oversight of the Funds and the Adviser’s ongoing quantitative and qualitative analysis of each sub-adviser.
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The Board also noted:
● | Dunham Alternative Dividend Fund: The Board noted that the advisory fee was lower than the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range. |
● | Dunham Appreciation & Income Fund: The Board noted that the advisory fee was in line with the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range. |
● | Dunham Corporate/Government Bond Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range. |
● | Dunham Dynamic Macro Fund: The Board noted that the advisory fee was in line with the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range. |
● | Dunham Emerging Markets Stock Fund: The Board noted that the advisory fee was lower than the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range. |
● | Dunham Floating Rate Bond Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range. |
● | Dunham Focused Large Cap Growth Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range. |
● | Dunham High-Yield Bond Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range. |
● | Dunham International Opportunity Bond Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range. |
● | Dunham International Stock Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range. |
● | Dunham Large Cap Value Fund: The Board noted that the advisory fee was lower than or in line with the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range. |
● | Dunham Monthly Distribution Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range. |
● | Dunham Real Estate Stock Fund: The Board noted that the advisory fee was in line with the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range. |
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● | Dunham Small Cap Growth Fund: The Board noted that the advisory fee was lower than the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range. |
● | Dunham Small Cap Value Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range. |
In light of the nature, quality and extent of services the Adviser provided, the Board concluded that each Fund’s advisory fee was reasonable.
Economies of Scale. The Board considered the extent to which economies of scale would be realized as each Fund grows and whether fee levels reflect a reasonable sharing of economies of scale for the benefit of Fund investors. The Board noted that breakpoints may be an appropriate way for the Adviser to share its economies of scale if a Fund experiences substantial asset growth; however, the Board recognized that no Fund had yet reached an asset level where the Adviser could realize significant economies of scale. The Board observed that economies of scale will be considered in the future as Fund asset levels grow.
Profitability. The Board also reviewed the estimated profitability of the Adviser with respect to each Fund. The Board concluded that the estimated profitability of the Adviser in connection with the management of each Fund was reasonable, and at a level to adequately incentivize the Adviser to continue to provide high quality services.
Fallout Benefits. Because of its relationship with the Funds, the Adviser and its affiliates may receive certain benefits. The Board reviewed materials provided by the Adviser as to any such benefits.
Sub-Advisory Agreements
Nature, Extent and Quality of Services. In considering the renewal of the sub-advisory agreement between each Fund and the Fund’s respective sub-adviser, the Board considered the nature, extent and quality of services the sub-adviser provided under the sub-advisory agreement. The Board reviewed the services the sub-adviser provided, the background of the investment professionals servicing the Fund, and the sub-adviser’s reputation, resources and investment approach. The Board also reviewed information provided regarding the structure of portfolio manager compensation, trading and brokerage practices, soft dollar usage, risk management and compliance matters.
Performance. The Board reviewed each Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board also noted:
● | Dunham Alternative Dividend Fund: The Board noted that Sungarden Fund Management, LLC (“Sungarden”), has served as the Fund’s sub-adviser only since August 31, 2016. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund’s total return was below the average return of the Peer Group, the Morningstar category and the return of the benchmark index for the one-year period. However, Sungarden has only managed the Fund for a relatively short period of time. The Board considered that the Adviser would continue to closely monitor performance. The Board concluded that the services Sungarden provided were satisfactory. |
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● | Dunham Appreciation & Income Fund: The Board noted that Penn Capital Management Company, Inc. (“Penn”), has served as the Fund’s sub-adviser since October 1, 2014. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund’s total return was below the Peer Group, the Morningstar category and the return of the benchmark index for the one-year period and for the three year period. The Board considered that the Adviser would continue to closely monitor performance. The Board concluded that the services Penn provided were satisfactory. |
● | Dunham Corporate/Government Bond Fund: The Board noted that Newfleet Asset Management, LLC (“Newfleet”), has served as the Fund’s sub-adviser since December 10, 2004. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund’s total return was in-line with or ahead of the Peer Group, the Morningstar category and the return of the benchmark index for the one-year period, five-year period, ten-year period, and since Newfleet commenced serving as sub-adviser to the Fund. The Board concluded that the overall services Newfleet provided were satisfactory, however, the relative underperformance will be under further scrutiny. |
● | Dunham Dynamic Macro Fund: The Board noted that Mellon Capital Management (“Mellon”), has served as the Fund’s sub-adviser since October 1, 2014. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund’s total return was ahead of the Peer Group, the Morningstar category and the return of the benchmark index for the one-year period since Mellon commenced serving as sub-adviser to the Fund. The Board concluded that the services Mellon provided were satisfactory. |
● | Dunham Emerging Markets Stock Fund: The Board noted that Bailard, Inc. (“Bailard”), has served as the Fund’s sub-adviser since July 1, 2013. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund’s total return was ahead of the Peer Group, the Morningstar category and the return of the benchmark index for the one-year period, but underperformed the Peer Group, the Morningstar category and the return of the benchmark index since Bailard commenced serving as sub-adviser to the Fund. The Board considered that the Adviser would continue to closely monitor performance. The Board concluded that the services Bailard provided were satisfactory. |
● | Dunham Floating Rate Bond Fund: The Board noted that Newfleet Asset Management, LLC (“Newfleet”), has served as the Fund’s sub-adviser since November 4, 2013. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund’s total return was lower than the Peer Group, the Morningstar category and the return of the benchmark index for the one-year period and since Newfleet commenced serving as sub-adviser to the Fund. The Board considered that the Adviser would continue to closely monitor performance. The Board concluded that the services Newfleet provided were satisfactory. |
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● | Dunham Focused Large Cap Growth Fund: The Board noted that The Ithaka Group, LLC (“Ithaka”), has served as the Fund’s sub-adviser since December 8, 2011. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund’s total return was lower than the Peer Group, the Morningstar category and the return of the benchmark index for the one-year period, five-year period, and since-inception period. The Board considered that the Adviser would continue to closely monitor performance. The Board concluded that the services Ithaka provided were satisfactory. |
● | Dunham High-Yield Bond Fund: The Fund’s sub-advisory agreement is not up for renewal at this time. |
● | Dunham International Opportunity Bond Fund: The Board noted that Allianz Global Investors U.S. LLC (“Allianz”), and, formerly Rogge Global Partners PLC before it was merged into Allianz in June 2017, has served as the Fund’s sub-adviser since November 4, 2013. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board considered that the Peer Group contained a limited number of funds. The Board noted that the Fund’s total return was lower than the Peer Group, the Morningstar category and the return of the benchmark index for the one-year period and since-inception period. The Board considered that the Adviser would continue to closely monitor performance. The Board concluded that the services Allianz provided were satisfactory. |
● | Dunham International Stock Fund: The Board noted that Arrowstreet Capital (“Arrowstreet”), has served as the Fund’s sub-adviser since July 1, 2008. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund’s total return was higher than or in-line with the Peer Group, the Morningstar category and the return of the benchmark index for the one-year period, five-year period, and since Arrowstreet commenced serving as sub-adviser to the Fund. The Board concluded that the services Arrowstreet provided were satisfactory. |
● | Dunham Large Cap Value Fund: The Board noted that Rothschild Management (“Rothschild”), has served as the Fund’s sub-adviser since July 1, 2015. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund’s total return was lower than the Peer Group, the Morningstar category and the return of the benchmark index for the one-year period, five-year period, and since Rothschild commenced serving as sub-adviser to the Fund. The Board considered that the Adviser would continue to closely monitor performance. The Board concluded that the services Rothschild provided were satisfactory. |
● | Dunham Monthly Distribution Fund: The Fund’s sub-advisory agreement is not up for renewal at this time. |
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● | Dunham Real Estate Stock Fund: The Board noted that Barings Asset Management Limited (“Barings”), has served as the Fund’s sub-adviser since May 1, 2012. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund’s total return was lower than the Peer Group, the Morningstar category and the return of the benchmark index for the one-year period, but higher than the Peer Group and the Morningstar category over the five-year period and since Barings commenced serving as sub-adviser to the Fund. The Board considered that the Adviser would continue to closely monitor performance. The Board concluded that the services Barings provided were satisfactory. |
● | Dunham Small Cap Growth Fund: The Board noted that Pier Capital, LLC (“Pier”), has served as the Fund’s sub-adviser since December 10, 2004. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund’s total return was higher than or in-line with the Peer Group, the Morningstar category and the return of the benchmark index for the one-year period, five-year period, ten-year period, and since Pier commenced serving as sub-adviser to the Fund. The Board concluded that the services Pier provided were satisfactory. |
● | Dunham Small Cap Value Fund: The Board noted that Piermont Capital Management, Inc. (“Piermont”), has served as the Fund’s sub-adviser since July 1, 2013. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund’s total return was higher than or in-line with the Peer Group, the Morningstar category and the return of the benchmark index for the one-year period, five-year period, and since Piermont commenced serving as sub-adviser to the Fund. The Board concluded that the services Piermont provided were satisfactory. |
Sub-Advisory Fees and Economies of Scale. The Board considered each Fund’s sub-advisory fee schedule and noted the fees charged to comparable portfolios, if any, that the sub-adviser managed. The Board considered that the fee schedule was negotiated between the Adviser and each sub-adviser, an unaffiliated third party.
The Board considered the base fee paid to each sub-adviser when the performance of a Fund is equal to that of a specific index plus or minus a “null” zone. The Board also reviewed the operation of the performance fee and the impact on fees and expenses based on various performance results. They discussed the unique nature of the performance fee, which results in higher fees when a sub-adviser delivers results, and how performance fees should be integrated into their analysis.
The Board confirmed its belief that performance fees help ensure that any significant fee adjustments are attributable to a sub-adviser’s skill, rather than to random performance fluctuations, and the performance fee aligns a sub-adviser’s interest with those of Fund shareholders. The Board concluded that each sub-adviser’s fees were in a reasonable range.
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The Board reviewed the relevance of economies of scale in the context of a sub-adviser that receives a performance based fee. The Board agreed that the Adviser had successfully negotiated a favorable base fee with each sub-adviser, and that reductions based on asset growth, when coupled with the possibility of fee reductions based on performance, could hinder the Adviser’s ability to attract top sub-advisory talent. The Board agreed that pursuing breakpoints with any of the sub-advisers would not be in the best interests of Fund shareholders at this time.
Profitability and Fallout Benefits. The Board considered information provided regarding each sub-adviser’s estimated profitability from providing sub-advisory services to its respective Fund. The Board noted that the sub-advisory fee schedule was negotiated between the Adviser and each sub- adviser, an unaffiliated third party. The Board reviewed materials provided as to any additional benefits each sub-adviser receives.
All Agreements
Conclusion. Based on all of the information considered and the conclusions reached, the Board determined that the terms of the Advisory Agreements for each Fund are fair and reasonable, and that the continuation of the Advisory Agreements are in the best interests of each Fund.
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DUNHAM FUNDS’ EXPENSES (Unaudited) |
Example
Shareholders of mutual funds will pay (1) transitional costs, such as sales load, and (2) ongoing expenses, such as advisory fees, distribution and service fees (12b-1), and other fund expenses. The following examples are intended to help you understand the ongoing cost (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions which may be assessed by mutual funds. This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The columns under the heading entitled “Actual” help you estimate the actual expenses you paid over the period. The “Actual-Ending Account Value” shown is derived from the Fund’s actual return, and the “Actual- Expenses Paid During Period” shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. To estimate the expenses you paid on your account during this period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled “Actual-Expenses Paid During Period”.
Hypothetical Examples for Comparison Purposes
The columns under the heading entitled “Hypothetical” provide information about hypothetical account value and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs which may be applicable to your account. Therefore, the last column of the table (Hypothetical- Expenses Paid During Period) is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Hypothetical | |||||||
Actual | (5% return before expenses) | ||||||
Fund’s | Beginning | Ending | Expenses | Ending | Expenses | ||
Annualized | Account Value | Account Value | Paid During | Account Value | Paid During | ||
Expense Ratio | 11/1/17 | 4/30/18 | Period* | 4/30/18 | Period* | ||
Class N: | |||||||
Floating Rate Bond Fund | 1.08% | $1,000.00 | $1,014.50 | $ 5.39 | $1,019.44 | $ 5.41 | |
Corporate/Government Bond Fund | 1.19% | $1,000.00 | $ 976.80 | $ 5.83 | $1,018.89 | $ 5.96 | |
Monthly Distribution Fund | 1.15% | $1,000.00 | $ 978.00 | $ 5.64 | $1,019.09 | $ 5.76 | |
Dynamic Macro Fund | 2.10% | $1,000.00 | $ 969.50 | $ 10.25 | $1,014.38 | $ 10.49 | |
High-Yield Bond Fund | 1.11% | $1,000.00 | $ 989.00 | $ 5.47 | $1,019.29 | $ 5.56 | |
Alternative Dividend Fund | 1.28% | $1,000.00 | $1,035.20 | $ 6.46 | $1,018.45 | $ 6.41 | |
International Opportunity Bond Fund | 1.46% | $1,000.00 | $1,026.90 | $ 7.35 | $1,017.54 | $ 7.32 | |
Appreciation & Income Fund | 1.38% | $1,000.00 | $1,020.40 | $ 6.91 | $1,017.95 | $ 6.90 | |
Large Cap Value Fund | 1.42% | $1,000.00 | $1,027.00 | $ 7.14 | $1,017.75 | $ 7.10 | |
Focused Large Cap Growth Fund | 1.23% | $1,000.00 | $1,112.50 | $ 6.44 | $1,018.70 | $ 6.16 | |
International Stock Fund | 1.57% | $1,000.00 | $1,042.30 | $ 7.95 | $1,017.01 | $ 7.85 | |
Real Estate Stock Fund | 1.18% | $1,000.00 | $ 959.60 | $ 5.73 | $1,018.94 | $ 5.91 | |
Small Cap Value Fund | 1.75% | $1,000.00 | $ 996.70 | $ 8.66 | $1,016.12 | $ 8.75 | |
Emerging Markets Stock Fund | 1.25% | $1,000.00 | $1,010.70 | $ 6.23 | $1,018.60 | $ 6.26 | |
Small Cap Growth Fund | 1.98% | $1,000.00 | $1,086.40 | $ 10.24 | $1,014.98 | $ 9.89 | |
Class A: | |||||||
Floating Rate Bond Fund | 1.33% | $1,000.00 | $1,013.30 | $ 6.64 | $1,018.20 | $ 6.66 | |
Corporate/Government Bond Fund | 1.44% | $1,000.00 | $ 975.60 | $ 7.05 | $1,017.65 | $ 7.20 | |
Monthly Distribution Fund | 1.43% | $1,000.00 | $ 976.80 | $ 7.01 | $1,017.70 | $ 7.15 | |
Dynamic Macro Fund | 2.35% | $1,000.00 | $ 969.40 | $ 11.48 | $1,013.14 | $11.73 | |
High-Yield Bond Fund | 1.36% | $1,000.00 | $ 987.90 | $ 6.70 | $1,018.05 | $ 6.80 | |
Alternative Dividend Fund | 1.54% | $1,000.00 | $1,034.20 | $ 7.77 | $1,017.16 | $ 7.70 | |
International Opportunity Bond Fund | 1.71% | $1,000.00 | $1,026.00 | $ 8.60 | $1,016.30 | $ 8.56 | |
Appreciation & Income Fund | 1.63% | $1,000.00 | $1,019.20 | $ 8.16 | $1,016.71 | $ 8.15 | |
Large Cap Value Fund | 1.67% | $1,000.00 | $1,025.80 | $ 8.39 | $1,016.51 | $ 8.35 | |
Focused Large Cap Growth Fund | 1.48% | $1,000.00 | $1,111.00 | $ 7.75 | $1,017.46 | $ 7.40 | |
International Stock Fund | 1.82% | $1,000.00 | $1,040.60 | $ 9.22 | $1,015.75 | $ 9.11 | |
Real Estate Stock Fund | 1.43% | $1,000.00 | $ 958.00 | $ 6.94 | $1,017.70 | $ 7.15 | |
Small Cap Value Fund | 2.00% | $1,000.00 | $ 955.60 | $ 9.90 | $1,014.88 | $ 9.99 | |
Emerging Markets Stock Fund | 1.50% | $1,000.00 | $1,009.30 | $ 7.47 | $1,017.36 | $ 7.50 | |
Small Cap Growth Fund | 2.23% | $1,000.00 | $1,085.40 | $ 11.53 | $1,013.74 | $ 11.13 |
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DUNHAM FUNDS’ EXPENSES (Unaudited) (Continued) |
Hypothetical | |||||||
Actual | (5% return before expenses) | ||||||
Fund’s | Beginning | Ending | Expenses | Ending | Expenses | ||
Annualized | Account Value | Account Value | Paid During | Account Value | Paid During | ||
Expense Ratio | 11/1/17 | 4/30/18 | Period* | 4/30/18 | Period* | ||
Class C: | |||||||
Floating Rate Bond Fund | 1.83% | $1,000.00 | $1,011.90 | $ 9.13 | $1,015.72 | $ 9.15 | |
Corporate/Government Bond Fund | 1.95% | $1,000.00 | $ 973.10 | $ 9.54 | $1,015.12 | $ 9.74 | |
Monthly Distribution Fund | 2.18% | $1,000.00 | $ 973.20 | $10.67 | $1,013.98 | $10.89 | |
Dynamic Macro Fund | 3.10% | $1,000.00 | $ 965.10 | $15.10 | $1,009.42 | $15.45 | |
High-Yield Bond Fund | 1.86% | $1,000.00 | $ 986.50 | $ 9.16 | $1,015.57 | $ 9.30 | |
Alternative Dividend Fund | 2.29% | $1,000.00 | $1,029.80 | $11.53 | $1,013.44 | $11.43 | |
International Opportunity Bond Fund | 2.21% | $1,000.00 | $1,023.20 | $11.07 | $1,013.85 | $11.02 | |
Appreciation & Income Fund | 2.38% | $1,000.00 | $1,015.70 | $11.89 | $1,012.99 | $11.88 | |
Large Cap Value Fund | 2.42% | $1,000.00 | $1,022.00 | $12.13 | $1,012.79 | $12.08 | |
Focused Large Cap Growth Fund | 2.23% | $1,000.00 | $1,106.60 | $11.65 | $1,013.74 | $11.13 | |
International Stock Fund | 2.56% | $1,000.00 | $1,036.80 | $12.94 | $1,012.08 | $12.79 | |
Real Estate Stock Fund | 2.18% | $1,000.00 | $ 954.50 | $10.56 | $1,013.98 | $10.89 | |
Small Cap Value Fund | 2.77% | $1,000.00 | $ 992.30 | $13.68 | $1,011.06 | $13.81 | |
Emerging Markets Stock Fund | 2.25% | $1,000.00 | $1,005.90 | $11.19 | $1,013.64 | $11.23 | |
Small Cap Growth Fund | 2.98% | $1,000.00 | $1,080.80 | $15.37 | $1,010.02 | $14.85 | |
* | Expenses Paid During Period are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181 days and divided by 365 (to reflect the number of days in the six month period ending April 30, 2018). |
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Privacy Notice
FACTS | WHAT DO THE DUNHAM FUNDS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
■ Social Security number and wire transfer instructions
■ account transactions and transaction history
■ investment experience and purchase history
When you are no longer a customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons the Dunham Funds chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Do Dunham Funds share? | Can you limit this sharing? |
For our everyday business purposes - such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes - to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our affiliates’ everyday business purposes - information about your transactions and experiences | No | We don’t share |
For our affiliates’ everyday business purposes - information about your creditworthiness | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call (800) 442-4358 or go to www.dunham.com |
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What we do | |
How do Dunham Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.
We permit only authorized parties and affiliates (as permitted by law) who have signed an agreement (which protects your personal information) with us to have access to customer information. |
How do Dunham Funds collect my personal information? | We collect your personal information, for example, when you ■ open and account or deposit money
■ direct us to buy securities or direct us to sell your securities
■ seek advice about your investments
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only ■ sharing for affiliates’ everyday business purposes-information about your creditworthiness
■ affiliates from using your information to market to you
■ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
■ Our affiliates include financial companies, such as Dunham & Associates Investment Counsel, Inc. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
■ Dunham Funds do not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
■ Dunham Funds doesn’t jointly market |
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How to Obtain Proxy Voting Information |
Information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 as well as a description of the policies and procedures that the Funds use to determine how to vote proxies is available without charge, upon request, by calling (888)-3DUNHAM (338-6426) or by referring to the Securities and Exchange 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). |
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P.O. Box 910309
San Diego, California 92191
(800) 442-4358
Distributed by Dunham & Associates Investment Counsel, Inc. Member FINRA/SIPC
THIS REPORT AND FINANCIAL STATEMENTS CONTAINED HEREIN ARE NOT INTENDED TO BE A FORECAST OF FUTURE EVENTS, A GUARANTEE OF FUTURE RESULTS, OR INVESTMENT ADVICE. FURTHER, THERE IS NO ASSURANCE THAT CERTAIN SECURITIES WILL REMAIN IN OR OUT OF EACH FUND’S PORTFOLIO.
THE FIGURES IN THIS REPORT REPRESENT PAST PERFORMANCE AND DO NOT GUARANTEE FUTURE RESULTS. THE PRINCIPAL VALUE OF AN INVESTMENT AND INVESTMENT RETURN WILL FLUCTUATE SO THAT AN INVESTOR’S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
Item 2. Code of Ethics. Not applicable.
Item 3. Audit Committee Financial Expert. Not applicable.
Item 4. Principal Accountant Fees and Services. Not applicable.
Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.
Item 6. Schedule of Investments. Schedule of investments in securities of unaffiliated issuers is included under Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Funds. Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Funds. Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders. None
Item 11. Controls and Procedures.
(a) Based on an evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the disclosure controls and procedures are reasonably designed to ensure that the information required in filings on Forms N-CSR is recorded, processed, summarized, and reported on a timely basis.
(b) There were no significant changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not required for semi-annual reports.
(a)(2) Certifications required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith..
(a)(3) Not applicable.
(b) Certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Dunham Funds
By (Signature and Title)
/s/ Jeffrey Dunham
Jeffrey Dunham, Principal Executive Officer/President
Date 7/6/2018
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)
/s/ Jeffrey Dunham
Jeffrey Dunham, Principal Executive Officer/President
Date 7/6/2018
By (Signature and Title)
/s/ Denise Iverson
Denise Iverson, Principal Financial Officer/Treasurer
Date 7/6/2018