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., 4221 N 203rd St., Suite 100, Elkhorn, NE 68022
(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: 4/30/21
Item 1. Reports to Stockholders.
Dunham Funds (Unaudited)
Message from the Investment Adviser
Dear Fellow Shareholders:
The reopening trade is here, as deeply discounted sectors of the market, sectors significantly affected by restrictive lockdown measures and stay-at-home orders, clawed their way back from historic lows and propelled markets higher. With COVID vaccinations quickly disseminating across the globe, and efficacy surrounding these vaccinations largely positive, people reversed the stay-at-home trend and traveled, going out to restaurants and participating in larger social gatherings, events that many feared would be a thing of the past. The continued accommodative policy from the Federal Reserve, in addition to a third round of fiscal stimulus, provided an influx of consumer spending into some of the industries that needed it most, including retail, travel, lodging, and restaurants. In addition, investors cheered positive economic data as initial jobless claims continued to fall, unemployment rates dropped, and consumer spending approached pre-pandemic levels.
While all signs point to an economic recovery, inflation fears loom large over markets, causing the 10-Year U.S. Treasury yield to hit a 14-month high. Investors became skeptical of market valuations as it appeared certain sectors had no more room to run. This led to a rotation out of growth stocks and into value, with value outpacing growth by a large margin in recent months. We believe that having exposure to domestic and foreign equities across styles (from growth to value), capitalizations (large to small), and asset classes (traditional to alternative), has proven that the benefits of diversification cannot be overlooked when creating an investment portfolio.
Unlike equities, bond markets, as represented by the Barclays Global Aggregate Bond Index, fell 2.4 percent. The rise in the 10-Year U.S. Treasury yield led to a sell-off in investment-grade government and corporate bonds. While interest rate risk is currently considered the largest threat to bond markets, we believe there are alternatives to traditional fixed income that have historically exhibited low duration risk and low correlation to traditional bond markets. We believe maintaining a balance of fixed-rate, variable-rate, and alternative fixed income products across domestic and foreign markets is prudent, regardless of the market environment.
While volatility in recent months has largely subsided, we have not become complacent. Maintaining a disciplined and repeatable approach has successfully guided us through contractionary and expansionary environments, such as the recent environment brought on by the COVID pandemic. Despite the recent stabilization in markets, we believe there are still risks on the horizon that could prove to be major headwinds if not assessed properly. Equities are hovering around all-time highs and many investors believe markets are overvalued. Inflation concerns have emerged as the Federal Reserve has continued to state that they will let the target inflation rate run-up more now than in prior periods, leading many to believe it is only a matter of time before the Fed inevitably raises the Federal Funds rate to prevent inflation from rising to detrimental levels. We are keenly aware of the threats rising rates pose to fixed income investments and we believe we have the resources available to navigate the uncertain markets that lay ahead.
I continue to personally invest alongside you and I remain confident that we at Dunham have the tools and the discipline to succeed as our economy recovers. You can continue to rely on us to apply a rational and unemotional approach. We thank you for your continued trust and the confidence you have placed in us. We take that trust very seriously. We look forward to servicing the investment needs for you and your family for generations to come.
Sincerely,
Jeffrey A. Dunham
President
Dunham & Associates
April 30, 2021
1
Dunham Corporate/Government Bond Fund (Unaudited)
Message from the Sub-Adviser (Newfleet Asset Management, LLC)
Asset Class Recap
Bond markets began the fiscal year on a strong note as investment-grade bonds, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, rose 1.1 percent over November and December. The rally began following the U.S. election, as the prospect of a divided government seemed to be considered a goldilocks scenario for markets, and continued as multiple potentially viable vaccines fanned optimism and sparked returns in sectors that stand to benefit the most from economic normalization. In January, investment-grade bonds gave back 0.7 percent to close the first fiscal quarter as interest rates spiked to their highest level since March 2020. In the most recent fiscal quarter, interest rates continued to rise, adversely affecting the price of investment-grade bonds. During the six-month period, the Federal Open Market Committee continued to reiterate its supportive stance by keeping rates low and not deviating from its previously announced bond-buying program until the economy rebounds. However, Treasury yields on the longer end of the curve rose substantially, resulting in the spread between the 5-year note and 30-year bond reaching its widest point since 2015. Over the most recent fiscal quarter, investment-grade bonds gave back 1.9 percent, its largest fiscal quarterly decline since the first quarter of 2017. Although interest rates rose over the six-month period, they remain near historically low levels, pushing companies to continue to issue and extend their debt, and providing opportunities in areas where existing debt is being tendered. These dynamics did provide for additional spread compression, with corporate bond yield spreads compressing across the credit-quality spectrum. During the fiscal six-month period, intermediate-term BBB-rated corporate bond spreads compressed 53 basis points, intermediate-term single-B rated bonds experienced 96 basis points of compression, and intermediate-term CCC-rated corporate bonds tightened over 130 basis points. All these spread levels represent their tightest levels since 2018.
Allocation Review
Nearly two-thirds of broad U.S. investment-grade bonds in the benchmark index are represented by Treasury and government agency bonds. Therefore, most of the performance of the benchmark index is dictated by how those U.S. government-related bonds perform, and far less is dependent on the performance of corporate bonds and non-agency mortgage-backed securities. During the most recent fiscal quarter, U.S. Treasury bonds, as measured by the BofA U.S. Treasury & Agency Index, decreased 1.0 percent. As the Fund had approximately 21 percent allocated to Treasury and government agency bonds, this is far less than what is represented by the benchmark index, and this significant underweight generally aided relative performance during the six-month period. The Fund’s largest exposure was to investment-grade corporate bonds, comprising more than 23 percent of the Fund. Investment-grade corporate bonds, as measured by the BofA U.S. Corporate Index, decreased 0.3 percent during the same time period. The Fund’s approximate 5 percent underweight versus the benchmark detracted from relative Fund performance, but the Sub-Adviser’s superior security selection more than made up for the underweight as the exposure increased 3.0 percent versus the index’s decline of 0.5 percent. The Fund’s allocation to non-agency mortgage-backed securities represented the largest overweight versus the benchmark index, at a 16.6 percent allocation. This allocation also positively contributed to Fund performance as the exposure within the Fund increased 0.7 percent. Throughout the fiscal six-month period, the Sub-Adviser increased the allocation to bank loans. This off-benchmark exposure aided positive fund performance as it increased 4.9 percent. The Fund did not have any exposure to derivatives during the fiscal quarter that meaningfully affected performance.
Holdings Insights
The investment-grade corporate bond exposure within the Fund was the strongest contributor to absolute performance over the six-month period. As previously mentioned, the Fund’s underweight exposure to investment grade corporate bonds detracted from Fund performance, but the Sub-Adviser’s security selection more than made up for the underweight. This includes the Boeing Company 5.93% Due 05/01/2060 (097023CX1) (holding weight*: 0.15 percent). The Boeing Company bond provided strong excess returns as spreads tightened and as the vaccinations rollout picked up steam. Optimism was also boosted by the company’s 737 Max returning as well as several smaller orders, an indication that business prospects are improving. Over the fiscal six-month period, this credit increased 11.9 percent. The Fund also received strong positive contributions from the corporate high-yield exposure. The Alliance Resource Finance Corporation 7.5% Due 05/01/2025 (01879NAA3) (holding weight*: 0.07 percent), a natural resources company, rose 39.7 over the first half of the fiscal year. The company continued to generate significant cash flows and deployed capital toward debt reduction. Another contributor from the corporate high-yield exposure was Patterson-UTI Energy Inc. 5.15% Due 11/15/2029 (703481AC5) (holding weight*: 0.09 percent), a leading provider of oilfield services and products, as it added 31.4 percent. This credit benefited from the rally in energy prices which accelerated the pace of rig reactivations.
Investment-grade bonds were also some of the largest detractors from Fund performance over the fiscal six-month period. As a result of spiking interest rates, the duration sensitive T-Mobile USA Inc. 3.875% Due 04/15/2030 (87264ABE4) (holding weight*: 0.25 percent) and American Electric Power Company Inc. 2.3% Due 03/01/2030 (025537AN1) (holding weight*: 0.21 percent) were two of the largest investment-grade detractors from performance. Over the fiscal six-month period, these credits declined 1.3 percent and 3.1 percent, respectively. Another investment grade corporate bond that detracted from positive Fund performance was Leidos Inc. 2.3% Due 02/15/2031 (52532XAG0) (holding weight*: 0.19 percent), an information technology company. This credit declined 2.6 percent in reaction to a disappointing earnings report as well as an acquisition that will slow the company’s deleveraging process. Exposures within the emerging market debt exposure also detracted from Fund performance. Since being added to the Fund in January, the Turkey Government International Bond 5.875% Due 06/26/2031 (900123DC1) (holding weight*: 0.32 percent) declined 5.1 percent. This credit sold off as President Erdogan replaced the governor of the central bank for the second time in 6 months, adding to policy uncertainty and questioning the independent of the Central Bank of Turkey.
Sub-Adviser Outlook
The Sub-Adviser believes that bond sector positioning and security selection will continue to be meaningful drivers of performance, as some bond sectors appear far less attractive regarding fundamentals, and valuations have continued to move back towards what the Sub-Adviser considers fair value after their significant decline in 2020. The Sub-Adviser is adamant that avoiding the losers will be key. Despite the tighter relative spreads, the Sub-Adviser is constructive on the macroeconomic backdrop given the continued support from central banks around the globe and the continued progress towards the rollout of the vaccine and subsequent reopening of the economy.
* | Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 4/30/21 |
Growth of $100,000 Investment
Total Returns (a) as of April 30, 2021
Annualized | Annualized | |||
Six Month | One Year | Five Years | Ten Years | |
Class N | 0.05% | 4.83% | 3.22% | 3.14% |
Class A with load of 4.50% | (4.50)% | (0.03)% | 2.03% | 2.42% |
Class A without load | 0.00% | 4.65% | 2.98% | 2.89% |
Class C | (0.25)% | 4.07% | 2.45% | 2.37% |
Bloomberg Barclays US Aggregate Bond Index | (1.52)% | (0.27)% | 3.19% | 3.39% |
Morningstar Intermediate Core Plus Bond Category | 0.48% | 4.65% | 3.79% | 3.74% |
(a) | Total Returns are calculated based on traded NAVs. |
The Bloomberg Barclays US Aggregate Bond Index is an unmanaged index which represents the U.S. investment-grade fixed-rate bond market (including government and corporate securities, mortgage pass-through securities and asset-backed securities). Investors cannot invest directly in an index or benchmark.
The Morningstar Intermediate Core Plus Bond Category is generally representative of intermediate-term bond mutual funds that primarily invest in corporate and other investment-grade U.S. fixed-income securities and typically have durations of 3.5 to 6.0 years. Funds in this category also invest in high-yield and foreign bonds.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.24% for Class N, 1.99% for Class C and 1.49% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.
2
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2021
Shares | Fair Value | |||||||||||||||
EXCHANGE-TRADED FUNDS — 0.5% | ||||||||||||||||
FIXED INCOME - 0.5% | ||||||||||||||||
7,375 | VanEck Vectors High Yield Muni ETF(g) (Cost $462,043) | $ | 462,265 | |||||||||||||
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
ASSET BACKED SECURITIES — 30.0% | ||||||||||||||||
AUTO LOAN — 5.5% | ||||||||||||||||
3,129 | American Credit Acceptance Receivables Trust(a) | 3.7500 | 10/15/24 | 3,142 | ||||||||||||
118,051 | American Credit Acceptance Receivables Trust(a) | 3.1700 | 06/12/25 | 119,424 | ||||||||||||
170,000 | American Credit Acceptance Receivables Trust(a) | 1.7700 | 12/14/26 | 173,037 | ||||||||||||
280,000 | American Credit Acceptance Receivables Trust(a) | 0.9700 | 07/13/27 | 280,538 | ||||||||||||
230,000 | AmeriCredit Automobile Receivables Trust | 1.0600 | 08/18/26 | 231,761 | ||||||||||||
135,000 | Americredit Automobile Receivables Trust 2018-1 Series 2018-1 D | 3.8200 | 03/18/24 | 140,985 | ||||||||||||
150,000 | Avis Budget Rental Car Funding AESOP, LLC(a) | 3.0700 | 09/20/23 | 154,673 | ||||||||||||
155,000 | Avis Budget Rental Car Funding AESOP, LLC(a) | 2.3600 | 03/20/26 | 162,095 | ||||||||||||
160,000 | Capital Auto Receivables Asset Trust 2017-1(a) | 2.7000 | 09/20/22 | 160,757 | ||||||||||||
140,000 | Carmax Auto Owner Trust 2019-1 | 3.7400 | 01/15/25 | 147,447 | ||||||||||||
145,000 | Carvana Auto Receivables Trust 2019-1(a) | 3.8800 | 10/15/24 | 150,784 | ||||||||||||
185,000 | Carvana Auto Receivables Trust 2019-3(a) | 2.7100 | 10/15/24 | 189,560 | ||||||||||||
175,000 | Carvana Auto Receivables Trust 2019-3 Series 2019-3A Class D(a) | 3.0400 | 04/15/25 | 181,845 | ||||||||||||
265,000 | Carvana Auto Receivables Trust 2021-N1 | 1.3000 | 01/10/28 | 265,186 | ||||||||||||
280,000 | Credito Real USA Auto Receivables Trust 2021-1 Series 2021-1 A(a) | 1.3500 | 02/16/27 | 279,983 | ||||||||||||
135,000 | Drive Auto Receivables Trust 2019-4 | 2.5100 | 11/17/25 | 137,437 | ||||||||||||
109,664 | DT Auto Owner Trust 2019-1(a) | 3.6100 | 11/15/24 | 110,862 | ||||||||||||
150,000 | First Investors Auto Owner Trust 2019-1(a) | 3.2600 | 03/17/25 | 154,083 | ||||||||||||
180,000 | Flagship Credit Auto Trust 2020-4(a) | 1.2800 | 02/16/27 | 181,289 | ||||||||||||
185,000 | GLS Auto Receivables Issuer Trust 2019-4 Series 2019-4A Class C(a) | 3.0600 | 08/15/25 | 192,378 | ||||||||||||
190,000 | GLS Auto Receivables Issuer Trust 2020-1(a) | 2.4300 | 11/15/24 | 194,553 | ||||||||||||
16,425 | Hertz Vehicle Financing II, L.P.(a) | 2.6700 | 09/25/21 | 16,505 | ||||||||||||
125,000 | OneMain Direct Auto Receivables Trust 2018-1(a) | 3.8500 | 10/14/25 | 127,208 | ||||||||||||
205,000 | Prestige Auto Receivables Trust 2020-1(a) | 1.3100 | 11/16/26 | 207,004 | ||||||||||||
345,000 | Santander Drive Auto Receivables Trust 2020-4 | 1.0100 | 01/15/26 | 347,408 | ||||||||||||
275,000 | United Auto Credit Securitization Trust(a) | 0.8400 | 06/10/26 | 274,939 | ||||||||||||
100,000 | United Auto Credit Securitization Trust 2020-1 Series 2020-1 C(a) | 2.1500 | 02/10/25 | 101,205 | ||||||||||||
155,000 | Veros Automobile Receivables Trust 2020-1 Series B 2020-1(a) | 2.1900 | 06/16/25 | 156,418 |
See accompanying notes which are an integral part of these financial statements.
3
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
ASSET BACKED SECURITIES — 30.0% (Continued) | ||||||||||||||||
AUTO LOAN — 5.5% (Continued) | ||||||||||||||||
73,227 | Westlake Automobile Receivables Trust 2018-3(a) | 3.6100 | 10/16/23 | $ | 73,597 | |||||||||||
170,000 | Westlake Automobile Receivables Trust 2020-3(a) | 1.2400 | 11/17/25 | 171,677 | ||||||||||||
5,087,780 | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 9.1% | ||||||||||||||||
87,087 | Angel Oak Mortgage Trust 2019-3(a),(f) | 2.9300 | 05/25/59 | 87,690 | ||||||||||||
345,724 | Angel Oak Mortgage Trust 2020-R1(a),(f) | 1.2470 | 12/26/24 | 347,615 | ||||||||||||
227,982 | Arroyo Mortgage Trust 2019-1 Series 2019-1 Class A1(a),(f) | 3.8050 | 01/25/49 | 233,074 | ||||||||||||
111,283 | Arroyo Mortgage Trust 2019-2 Series 2019-2 Class A1(a),(f) | 3.3470 | 04/25/49 | 114,036 | ||||||||||||
26,316 | Banc of America Funding 2005-1 Trust | 5.5000 | 02/25/35 | 27,221 | ||||||||||||
203,627 | Bunker Hill Loan Depositary Trust 2019-2(a),(b) | 2.8790 | 07/25/49 | 208,585 | ||||||||||||
46,758 | Chase Mortgage Finance Corporation(a),(f) | 3.7500 | 02/25/44 | 48,754 | ||||||||||||
73,187 | Chase Mortgage Finance Corporation(a),(f) | 3.7500 | 04/25/45 | 74,757 | ||||||||||||
62,941 | Citigroup Mortgage Loan Trust 2019-IMC1(a),(f) | 2.7200 | 07/25/49 | 64,088 | ||||||||||||
33,977 | Citigroup Mortgage Loan Trust, Inc. | 6.7500 | 08/25/34 | 37,251 | ||||||||||||
183,482 | COLT 2020-RPL1 Trust(a),(f) | 1.3900 | 01/25/65 | 182,664 | ||||||||||||
230,000 | COLT Funding, LLC(a),(f) | 1.0510 | 12/25/64 | 229,997 | ||||||||||||
73,114 | CSMC 2020-NQM1 Trust(a),(b) | 1.2080 | 05/25/65 | 73,580 | ||||||||||||
229,680 | CSMC 2020-RPL4 Trust(a),(f) | 2.0000 | 01/25/60 | 236,298 | ||||||||||||
11,797 | Deephaven Residential Mortgage Trust 2017-2(a),(f) | 2.4530 | 06/25/47 | 11,804 | ||||||||||||
60,723 | Ellington Financial Mortgage Trust 2019-2(a),(f) | 3.0460 | 11/25/59 | 61,954 | ||||||||||||
59,185 | Flagstar Mortgage Trust 2017-1(a),(f) | 3.5000 | 03/25/47 | 60,103 | ||||||||||||
41,097 | Galton Funding Mortgage Trust 2017-1(a),(f) | 3.5000 | 11/25/57 | 42,466 | ||||||||||||
12,009 | Galton Funding Mortgage Trust 2018-2(a),(f) | 4.5000 | 10/25/58 | 12,126 | ||||||||||||
43,699 | Galton Funding Mortgage Trust 2019-H1(a),(f) | 2.6570 | 10/25/59 | 44,568 | ||||||||||||
92,795 | Galton Funding Mortgage Trust 2020-H1(a),(f) | 2.3100 | 01/25/60 | 94,714 | ||||||||||||
142,456 | GCAT 2019-NQM1, LLC(a),(b) | 2.9850 | 02/25/59 | 143,267 | ||||||||||||
305,000 | GCT Commercial Mortgage Trust 2021-GCT(a),(c) | US0001M + 0.800% | 0.9150 | 02/15/23 | 305,675 | |||||||||||
195,202 | GS Mortgage-Backed Securities Trust 2020-NQM1(a),(f) | 2.3520 | 09/27/60 | 198,742 | ||||||||||||
190,000 | Homeward Opportunities Fund I Trust 2018-2(a),(f) | 3.9850 | 11/25/58 | 193,934 | ||||||||||||
76,266 | Homeward Opportunities Fund I Trust 2019-1(a),(f) | 3.4540 | 01/25/59 | 77,151 | ||||||||||||
35,756 | JP Morgan Mortgage Trust 2005-A5 (f) | 2.7370 | 08/25/35 | 37,187 | ||||||||||||
124,423 | JP Morgan Mortgage Trust 2017-5(a),(f) | 3.1070 | 12/15/47 | 128,227 | ||||||||||||
56,615 | LHOME Mortgage Trust 2019-RTL1(a),(b),(f) | 4.5800 | 10/25/23 | 56,861 | ||||||||||||
220,000 | LHOME Mortgage Trust 2021-RTL1(a) | 2.0900 | 09/25/26 | 220,354 |
See accompanying notes which are an integral part of these financial statements.
4
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
ASSET BACKED SECURITIES — 30.0% (Continued) | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 9.1% (Continued) | ||||||||||||||||
28,799 | MASTR Alternative Loan Trust 2004-4 | 5.5000 | 04/25/34 | $ | 29,696 | |||||||||||
100,000 | METLIFE S.E.CURITIZATION TRUST(a),(f) | 3.5350 | 04/25/55 | 106,335 | ||||||||||||
85,454 | METLIFE S.E.CURITIZATION TRUST 2019-1(a) | 3.7500 | 04/25/58 | 88,475 | ||||||||||||
199,632 | Mill City Mortgage Loan Trust 2019-1(a),(f) | 3.5000 | 10/25/69 | 212,516 | ||||||||||||
247,631 | New Residential Mortgage Loan Trust 2014-3(a),(f) | 3.7500 | 11/25/54 | 265,342 | ||||||||||||
65,333 | New Residential Mortgage Loan Trust 2016-4(a),(f) | 3.7500 | 11/25/56 | 69,748 | ||||||||||||
361,769 | New Residential Mortgage Loan Trust 2017-2(a),(f) | 4.0000 | 03/25/57 | 388,342 | ||||||||||||
136,661 | New Residential Mortgage Loan Trust 2018-1(a),(f) | 4.0000 | 12/25/57 | 146,606 | ||||||||||||
642,874 | New Residential Mortgage Loan Trust 2020-1(a),(f) | 3.5000 | 10/25/59 | 681,844 | ||||||||||||
35,917 | OBX 2018-EXP2 Trust(a),(f) | 4.0000 | 11/25/48 | 36,329 | ||||||||||||
52,735 | OBX 2019-INV1 Trust(a),(f) | 4.5000 | 11/25/48 | 54,790 | ||||||||||||
130,691 | OBX 2021-NQM1 Trust(a),(f) | 1.0720 | 02/25/66 | 131,829 | ||||||||||||
60,070 | Provident Funding Mortgage Loan Trust 2019-1 A2(a),(f) | 3.0000 | 12/25/49 | 60,885 | ||||||||||||
180,000 | Provident Funding Mortgage Warehouse(a),(c) | US0001M + 1.150% | 1.2560 | 02/25/55 | 180,654 | |||||||||||
274,557 | PRPM 2020-3, LLC(a),(b) | 2.8570 | 09/25/25 | 276,348 | ||||||||||||
275,239 | PRPM 2021-2, LLC(a),(f) | 2.1150 | 03/25/26 | 276,095 | ||||||||||||
150,234 | RCKT Mortgage Trust 2020-1(a),(f) | 3.0000 | 02/25/50 | 153,262 | ||||||||||||
78,755 | Residential Mortgage Loan Trust 2019-2(a),(f) | 2.9130 | 05/25/59 | 80,264 | ||||||||||||
253,740 | Residential Mortgage Loan Trust 2020-1(a),(f) | 2.3760 | 02/25/24 | 258,168 | ||||||||||||
284,385 | Starwood Mortgage Residential Trust 2020-1(a),(f) | 2.2750 | 02/25/50 | 288,560 | ||||||||||||
101,139 | Starwood Mortgage Residential Trust 2020-2(a),(f) | 2.7180 | 04/25/60 | 102,892 | ||||||||||||
87,374 | Starwood Mortgage Residential Trust 2020-3(a),(f) | 1.4860 | 04/25/65 | 88,460 | ||||||||||||
158,343 | Towd Point HE Trust 2019-HE1(a),(c) | US0001M + 0.900% | 1.0060 | 04/25/48 | 158,655 | |||||||||||
221,055 | Verus Securitization Trust 2019-2(a),(f) | 3.2110 | 05/25/49 | 221,752 | ||||||||||||
195,115 | Verus Securitization Trust 2019-INV2(a),(f) | 2.9130 | 07/25/59 | 199,067 | ||||||||||||
140,804 | Verus Securitization Trust 2020-1(a),(b) | 2.4170 | 01/25/60 | 143,016 | ||||||||||||
61,900 | Wells Fargo Mortgage Backed Securities 2020-4(a),(f) | 3.0000 | 07/25/50 | 63,610 | ||||||||||||
8,418,283 | ||||||||||||||||
CREDIT CARD — 1.0% | ||||||||||||||||
305,000 | Fair Square Issuance Trust Series 2020-AA A(a) | 2.9000 | 09/20/24 | 308,227 | ||||||||||||
200,000 | Genesis Private Label Amortizing Trust 2020-1(a) | 2.8300 | 07/20/30 | 200,921 | ||||||||||||
410,000 | Genesis Sales Finance Master Trust(a) | 1.6500 | 09/22/25 | 413,371 | ||||||||||||
922,519 |
See accompanying notes which are an integral part of these financial statements.
5
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
ASSET BACKED SECURITIES — 30.0% (Continued) | ||||||||||||||||
HOME EQUITY — 0.0%(d) | ||||||||||||||||
20,673 | NovaStar Mortgage Funding Trust Series 2004-4(c) | US0001M + 1.725% | 1.8311 | 03/25/35 | $ | 20,779 | ||||||||||
MANUFACTURED HOUSING — 0.1% | ||||||||||||||||
90,503 | Towd Point Mortgage Trust 2019-MH1(a) | 3.0000 | 11/25/58 | 92,372 | ||||||||||||
NON AGENCY CMBS — 1.9% | ||||||||||||||||
244,602 | Angel Oak SB Commercial Mortgage Trust 2020-SBC1(a),(f) | 2.0680 | 05/25/50 | 245,342 | ||||||||||||
90,000 | BPR Trust(a),(c) | US0001M + 1.250% | 1.3650 | 02/15/29 | 90,096 | |||||||||||
130,000 | BX Trust 2019-OC11 Series 2019-OC11 D(a),(f) | 4.0750 | 12/09/41 | 137,415 | ||||||||||||
233,614 | CHC Commercial Mortgage Trust 2019 - CHC(a),(c) | US0001M + 1.120% | 1.2350 | 06/15/34 | 232,669 | |||||||||||
130,000 | Citigroup Commercial Mortgage Trust 2015-GC27 | 2.8780 | 02/10/48 | 135,917 | ||||||||||||
205,000 | CSMC 2019-ICE4(a),(c) | US0001M + 0.980% | 1.0950 | 05/15/36 | 205,650 | |||||||||||
106,432 | Exantas Capital Corporation(a),(c) | US0001M + 1.150% | 1.2660 | 03/15/35 | 106,591 | |||||||||||
252,000 | GS Mortgage Securities Corp Trust 2012-ALOHA(a) | 3.5510 | 04/10/22 | 255,870 | ||||||||||||
135,000 | GS Mortgage Securities Trust 2020-GC45 (f) | 3.1730 | 02/13/53 | 143,689 | ||||||||||||
185,000 | Hilton USA Trust 2016-SFP(a) | 3.3230 | 11/05/35 | 185,660 | ||||||||||||
62,000 | WFRBS Commercial Mortgage Trust 2014-C24 | 3.9310 | 11/15/47 | 65,816 | ||||||||||||
1,804,715 | ||||||||||||||||
OTHER ABS — 6.6% | ||||||||||||||||
230,000 | American Homes 4 Rent 2014-SFR2 Trust(a) | 4.7050 | 10/17/36 | 247,258 | ||||||||||||
280,201 | American Homes 4 Rent 2015-SFR1 Series 2015-SFR1 A(a) | 3.4670 | 04/17/52 | 299,734 | ||||||||||||
220,000 | American Homes 4 Rent 2015-SFR2 Trust(a) | 4.6910 | 10/17/45 | 242,928 | ||||||||||||
314,698 | AMSR 2020-SFR1 Trust(a) | 1.8190 | 04/17/25 | 320,252 | ||||||||||||
175,000 | AMSR 2020-SFR1 Trust(a) | 2.1200 | 04/17/37 | 177,888 | ||||||||||||
250,000 | AMSR 2020-SFR2 Trust(a) | 2.5330 | 07/17/37 | 255,540 | ||||||||||||
100,000 | AMSR 2020-SFR2 Trust(a) | 3.2820 | 07/17/37 | 103,322 | ||||||||||||
50,252 | Amur Equipment Finance Receivables VI, LLC(a) | 3.8900 | 07/20/22 | 51,036 | ||||||||||||
274,623 | Aqua Finance Trust 2019-A(a) | 3.1400 | 07/16/40 | 281,880 | ||||||||||||
180,000 | Aqua Finance Trust 2019-A(a) | 4.0100 | 07/16/40 | 190,663 | ||||||||||||
91,772 | BRE Grand Islander Timeshare Issuer 2019-A, LLC(a) | 3.2800 | 09/26/33 | 96,249 | ||||||||||||
100,000 | CCG Receivables Trust 2019-2(a) | 2.5500 | 03/15/27 | 103,035 | ||||||||||||
220,000 | CCG Receivables Trust 2021-1(a) | 0.8400 | 06/14/27 | 219,185 | ||||||||||||
109,754 | CF Hippolyta, LLC(a) | 1.6900 | 07/15/60 | 111,368 | ||||||||||||
175,000 | Consumer Loan Underlying Bond CLUB Credit Trust(a) | 2.9200 | 03/15/28 | 178,009 |
See accompanying notes which are an integral part of these financial statements.
6
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
ASSET BACKED SECURITIES — 30.0% (Continued) | ||||||||||||||||
OTHER ABS — 6.6% (Continued) | ||||||||||||||||
200,827 | CoreVest American Finance 2018-2 Trust(a) | 4.0260 | 11/15/52 | $ | 214,733 | |||||||||||
100,000 | Corevest American Finance 2019-3 Trust(a) | 3.2650 | 10/15/52 | 103,501 | ||||||||||||
151,277 | Corevest American Finance 2020-1 Trust Series 2020-1 A1(a) | 1.8320 | 03/15/50 | 154,184 | ||||||||||||
226,615 | Corevest American Finance 2020-4 Trust(a) | 1.1740 | 12/15/52 | 224,630 | ||||||||||||
39,217 | Diamond Resorts Owner Trust(a) | 3.2700 | 10/22/29 | 39,948 | ||||||||||||
375,000 | FirstKey Homes 2020-SFR2 Trust(a) | 1.5670 | 10/19/37 | 373,235 | ||||||||||||
65,422 | Foundation Finance Trust 2019-1(a) | 3.8600 | 11/15/34 | 67,683 | ||||||||||||
170,266 | HIN Timeshare Trust 2020-A Series C 20-A(a) | 3.4200 | 10/09/39 | 177,082 | ||||||||||||
130,000 | Jersey Mike’s Funding(a) | 4.4330 | 02/15/50 | 139,165 | ||||||||||||
96,005 | LL A.B.S Trust 2020-1 Series 2020-1A A(a) | 2.3300 | 07/15/22 | 96,717 | ||||||||||||
43,708 | Marlette Funding Trust 2019-4(a) | 2.3900 | 12/17/29 | 44,019 | ||||||||||||
138,621 | MVW 2020-1, LLC(a) | 1.7400 | 10/20/37 | 141,378 | ||||||||||||
28,549 | MVW Owner Trust 2016-1(a) | 2.2500 | 12/20/33 | 28,873 | ||||||||||||
42,376 | Octane Receivables Trust 2019-1 Series 2019-1A A(a) | 3.1600 | 09/20/23 | 42,822 | ||||||||||||
138,968 | Octane Receivables Trust 2020-1 Series 2020-1A A(a) | 1.7100 | 02/20/25 | 140,237 | ||||||||||||
85,504 | Orange Lake Timeshare Trust 2019-A(a) | 3.3600 | 04/09/38 | 88,772 | ||||||||||||
275,000 | Purchasing Power Funding 2021-A, LLC Series 2021-A A(a) | 1.5700 | 10/15/25 | 275,741 | ||||||||||||
265,000 | Regional Management Issuance Trust 2021-1(a) | 1.6800 | 03/17/31 | 264,484 | ||||||||||||
128,434 | Sierra Timeshare 2020-2 Receivables Funding, LLC(a) | 2.3200 | 07/20/37 | 131,015 | ||||||||||||
11,896 | Sofi Consumer Loan Program 2017-5, LLC(a) | 2.7800 | 09/25/26 | 11,951 | ||||||||||||
98,358 | Tricon American Homes 2017-SFR1 Trust(a) | 2.7160 | 09/17/22 | 99,179 | ||||||||||||
100,000 | Tricon American Homes 2020-SFR2 Trust(a) | 2.2810 | 11/17/27 | 98,354 | ||||||||||||
15,714 | TRIP Rail Master Funding, LLC Series 2017-1A Class A1(a) | 2.7090 | 08/15/47 | 15,741 | ||||||||||||
219,618 | VSE 2016-A VOI Mortgage, LLC(a) | 2.5400 | 07/20/33 | 220,938 | ||||||||||||
42,745 | VSE 2017-A VOI Mortgage, LLC(a) | 2.3300 | 03/20/35 | 43,610 | ||||||||||||
6,116,339 | ||||||||||||||||
RESIDENTIAL MORTGAGE — 5.7% | ||||||||||||||||
142,799 | Ajax Mortgage Loan Trust 2019-D(a),(b) | 2.9560 | 09/25/65 | 144,573 | ||||||||||||
213,767 | AJAX Mortgage Loan Trust(a),(f) | 1.0650 | 09/25/65 | 211,670 | ||||||||||||
100,000 | Bayview Opportunity Master Fund IVa Trust(a),(f) | 4.0000 | 06/28/57 | 106,691 | ||||||||||||
38,792 | Bayview Opportunity Master Fund IVa Trust 2017-RT1(a),(f) | 3.0000 | 03/28/57 | 39,444 | ||||||||||||
230,702 | MFA 2021-NQM1 Trust(a),(f) | 1.1530 | 04/25/65 | 230,980 | ||||||||||||
100,000 | Mill City Mortgage Loan Trust 2017-1 Series 2017-1 M2(a),(f) | 3.2500 | 11/25/58 | 106,461 | ||||||||||||
80,000 | NewRez Warehouse Securitization Trust 2021-1(a),(c) | US0001M + 1.050% | 0.0000 | 05/25/55 | 80,000 |
See accompanying notes which are an integral part of these financial statements.
7
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
ASSET BACKED SECURITIES — 30.0% (Continued) | ||||||||||||||||
RESIDENTIAL MORTGAGE — 5.7% (Continued) | ||||||||||||||||
453,740 | Pretium Mortgage Credit Partners I 2020-NPL3, LLC(a),(b) | 3.1050 | 06/27/60 | $ | 458,660 | |||||||||||
246,118 | Pretium Mortgage Credit Partners, LLC(a),(b) | 2.2390 | 09/27/60 | 246,317 | ||||||||||||
265,000 | Progress Residential 2021-SFR3(a) | 2.2880 | 05/17/26 | 265,072 | ||||||||||||
220,000 | Progress Residential Trust(a) | 2.1970 | 04/19/38 | 219,305 | ||||||||||||
149,075 | PRPM 2020-1, LLC(a),(b) | 2.9810 | 02/25/25 | 149,872 | ||||||||||||
129,814 | RCO V Mortgage, LLC 2019-2(a),(b) | 3.4750 | 11/25/24 | 130,189 | ||||||||||||
345,000 | Towd Point Mortgage Trust 2016-3(a),(f) | 3.5000 | 04/25/56 | 364,267 | ||||||||||||
135,000 | Towd Point Mortgage Trust 2016-4(a),(f) | 3.8640 | 07/25/56 | 147,155 | ||||||||||||
115,000 | Towd Point Mortgage Trust 2017-1(a),(f) | 3.7500 | 10/25/56 | 122,338 | ||||||||||||
200,000 | Towd Point Mortgage Trust 2017-4(a),(f) | 3.0000 | 06/25/57 | 211,530 | ||||||||||||
152,882 | Towd Point Mortgage Trust 2018-4 Series 2018-4 Class A1(a),(f) | 3.0000 | 06/25/58 | 158,864 | ||||||||||||
300,000 | Towd Point Mortgage Trust 2018-6(a),(f) | 3.7500 | 03/25/58 | 324,911 | ||||||||||||
140,000 | Towd Point Mortgage Trust 2018-6(a),(f) | 3.7500 | 03/25/58 | 150,831 | ||||||||||||
3,176 | Towd Point Mortgage Trust 2018-SJ1(a),(f) | 4.0000 | 10/25/58 | 3,174 | ||||||||||||
255,000 | Towd Point Mortgage Trust 2019-2(a),(f) | 3.7500 | 12/25/58 | 275,913 | ||||||||||||
235,000 | Towd Point Mortgage Trust 2019-4(a),(f) | 3.2500 | 10/25/59 | 251,294 | ||||||||||||
97,236 | VCAT 2020-NPL1, LLC(a),(b) | 3.6710 | 08/25/50 | 98,325 | ||||||||||||
130,000 | VCAT 2021-NPL1, LLC(a),(b) | 4.8260 | 12/26/50 | 130,068 | ||||||||||||
96,727 | VCAT 2021-NPL2, LLC(a),(b) | 2.1150 | 03/27/51 | 96,794 | ||||||||||||
167,287 | Vericrest Opportunity Loan Transferee(a),(b) | 2.1160 | 04/25/51 | 167,466 | ||||||||||||
140,000 | VOLT C, LLC(a),(b) | 1.9920 | 05/25/51 | 140,118 | ||||||||||||
208,844 | VOLT XCII, LLC(a),(b) | 1.8920 | 02/27/51 | 209,073 | ||||||||||||
5,241,355 | ||||||||||||||||
STUDENT LOANS — 0.1% | ||||||||||||||||
135,176 | Commonbond Student Loan Trust 2020-1(a) | 1.6900 | 10/25/51 | 135,852 | ||||||||||||
WHOLE BUSINESS — 0.0%(d) | ||||||||||||||||
18,191 | Small Business Lending Trust 2019-A Series 2019-A A(a) | 2.8500 | 07/15/26 | 18,174 | ||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $27,590,382) | 27,858,168 |
See accompanying notes which are an integral part of these financial statements.
8
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
CORPORATE BONDS — 31.8% | ||||||||||||||||
AEROSPACE & DEFENSE — 0.7% | ||||||||||||||||
90,000 | Boeing Company (The) | 5.1500 | 05/01/30 | $ | 104,709 | |||||||||||
108,000 | Boeing Company (The) | 5.9300 | 05/01/60 | 141,009 | ||||||||||||
120,000 | Howmet Aerospace, Inc. | 6.8750 | 05/01/25 | 139,350 | ||||||||||||
135,000 | Spirit AeroSystems, Inc.(a) | 5.5000 | 01/15/25 | 142,932 | ||||||||||||
135,000 | TransDigm, Inc. | 5.5000 | 11/15/27 | 140,669 | ||||||||||||
668,669 | ||||||||||||||||
APPAREL & TEXTILE PRODUCTS — 0.4% | ||||||||||||||||
145,000 | Crocs, Inc.(a) | 4.2500 | 03/15/29 | 147,578 | ||||||||||||
175,000 | Hanesbrands, Inc.(a) | 5.3750 | 05/15/25 | 184,406 | ||||||||||||
75,000 | Under Armour, Inc. (g) | 3.2500 | 06/15/26 | 76,313 | ||||||||||||
408,297 | ||||||||||||||||
ASSET MANAGEMENT — 1.6% | ||||||||||||||||
190,000 | Ares Finance Co LLC(a) | 4.0000 | 10/08/24 | 204,818 | ||||||||||||
165,000 | Brightsphere Investment Group, Inc. | 4.8000 | 07/27/26 | 180,238 | ||||||||||||
195,000 | Charles Schwab Corporation (The) (c) | H15T10Y + 3.079% | 4.0000 | 03/01/69 | 197,769 | |||||||||||
155,000 | Citadel, L.P.(a) | 4.8750 | 01/15/27 | 164,407 | ||||||||||||
250,000 | Drawbridge Special Opportunities Fund, L.P. (a), (g) | 3.8750 | 02/15/26 | 257,641 | ||||||||||||
170,000 | Icahn Enterprises, L.P. / Icahn Enterprises | 6.2500 | 05/15/26 | 179,486 | ||||||||||||
250,000 | UBS A.G. (g) | 7.6250 | 08/17/22 | 271,833 | ||||||||||||
1,456,192 | ||||||||||||||||
AUTOMOTIVE — 0.8% | ||||||||||||||||
125,000 | American Axle & Manufacturing, Inc. (g) | 6.5000 | 04/01/27 | 132,188 | ||||||||||||
188,000 | Ford Motor Company (g) | 9.0000 | 04/22/25 | 229,860 | ||||||||||||
200,000 | Nissan Motor Company Ltd.(a) | 4.8100 | 09/17/30 | 222,177 | ||||||||||||
160,000 | Tenneco, Inc.(a) | 5.1250 | 04/15/29 | 159,000 | ||||||||||||
743,225 | ||||||||||||||||
BANKING — 5.5% | ||||||||||||||||
160,000 | Bank of America Corporation(c) | US0003M + 0.770% | 0.9650 | 02/05/26 | 161,169 | |||||||||||
715,000 | Bank of America Corporation(c) | SOFRRATE + 1.320% | 2.6870 | 04/22/32 | 723,086 | |||||||||||
200,000 | BBVA Bancomer S.A.(a), (c) | H15T5Y + 2.650% | 5.1250 | 01/18/33 | 208,021 | |||||||||||
300,000 | Citigroup, Inc. | 4.0500 | 07/30/22 | 313,262 | ||||||||||||
325,000 | Citigroup, Inc.(c) | US0003M + 1.250% | 1.4520 | 07/01/26 | 333,393 | |||||||||||
95,000 | Citigroup, Inc. | 3.2000 | 10/21/26 | 102,832 |
See accompanying notes which are an integral part of these financial statements.
9
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
CORPORATE BONDS — 31.8% (Continued) | ||||||||||||||||
BANKING — 5.5% (Continued) | ||||||||||||||||
360,000 | Discover Bank (c) | USSW5 + 1.730% | 4.6820 | 08/09/28 | $ | 383,693 | ||||||||||
199,000 | Fifth Third Bancorp(c), (g) | H15T5Y + 4.215% | 4.5000 | 09/30/68 | 212,681 | |||||||||||
410,000 | JPMorgan Chase & Company(c) | SOFRRATE + 1.250% | 2.5800 | 04/22/32 | 411,733 | |||||||||||
47,000 | JPMorgan Chase & Company Series HH (c) | SOFRRATE + 3.125% | 4.6000 | 08/01/68 | 48,528 | |||||||||||
155,000 | KeyCorporation (c) | US0003M + 3.606% | 5.0000 | 12/29/49 | 173,957 | |||||||||||
133,000 | Santander Holdings USA, Inc. | 3.7000 | 03/28/22 | 136,447 | ||||||||||||
65,000 | Santander Holdings USA, Inc. | 4.4000 | 07/13/27 | 72,385 | ||||||||||||
200,000 | Societe Generale S.A.(a) | 4.7500 | 11/24/25 | 222,761 | ||||||||||||
70,000 | Synovus Financial Corporation (c) | USSW5 + 3.379% | 5.9000 | 02/07/29 | 75,369 | |||||||||||
263,000 | Texas Capital Bancshares, Inc. (c) | H15T5Y + 3.150% | 4.0000 | 05/06/31 | 265,301 | |||||||||||
195,000 | Toronto-Dominion Bank (The) (c), (g) | USSW5 + 2.205% | 3.6250 | 09/15/31 | 215,652 | |||||||||||
185,000 | Truist Financial Corporation (c) | H15T10Y + 4.349% | 5.1000 | 03/01/69 | 206,288 | |||||||||||
435,000 | Wells Fargo & Company (c), (g) | SOFRRATE + 2.100% | 2.3930 | 06/02/28 | 447,899 | |||||||||||
330,000 | Wells Fargo & Company (c), (g) | H15T5Y + 3.453% | 3.9000 | 03/15/69 | 337,598 | |||||||||||
5,052,055 | ||||||||||||||||
BEVERAGES — 0.4% | ||||||||||||||||
180,000 | Anheuser-Busch InBev Worldwide, Inc. (g) | 4.0000 | 04/13/28 | 202,174 | ||||||||||||
40,000 | Anheuser-Busch InBev Worldwide, Inc. | 4.7500 | 01/23/29 | 46,957 | ||||||||||||
100,000 | Bacardi Ltd.(a) | 4.7000 | 05/15/28 | 115,186 | ||||||||||||
364,317 | ||||||||||||||||
BIOTECH & PHARMA — 0.5% | ||||||||||||||||
50,000 | Bausch Health Companies, Inc.(a) | 5.7500 | 08/15/27 | 53,738 | ||||||||||||
180,000 | Mylan N.V. | 3.9500 | 06/15/26 | 198,825 | ||||||||||||
50,000 | Par Pharmaceutical, Inc.(a) | 7.5000 | 04/01/27 | 52,688 | ||||||||||||
125,000 | Teva Pharmaceutical Finance Netherlands III BV (g) | 3.1500 | 10/01/26 | 117,656 | ||||||||||||
422,907 | ||||||||||||||||
CABLE & SATELLITE — 0.5% | ||||||||||||||||
40,000 | CCO Holdings, LLC / CCO Holdings Capital(a) | 4.7500 | 03/01/30 | 41,800 | ||||||||||||
45,000 | CCO Holdings, LLC / CCO Holdings Capital(a) | 4.5000 | 08/15/30 | 45,839 | ||||||||||||
135,000 | DISH DBS Corporation | 5.0000 | 03/15/23 | 141,463 | ||||||||||||
20,000 | Radiate Holdco, LLC / Radiate Finance, Inc.(a) | 4.5000 | 09/15/26 | 20,395 | ||||||||||||
200,000 | UPC Broadband Finco BV(a) | 4.8750 | 07/15/31 | 199,543 |
See accompanying notes which are an integral part of these financial statements.
10
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
CORPORATE BONDS — 31.8% (Continued) | ||||||||||||||||
$ | 449,040 | |||||||||||||||
CHEMICALS — 0.5% | ||||||||||||||||
190,000 | Celanese US Holdings, LLC | 3.5000 | 05/08/24 | 204,264 | ||||||||||||
125,000 | Chemours Co/The(a) | 5.7500 | 11/15/28 | 132,958 | ||||||||||||
165,000 | Nutrition & Biosciences, Inc.(a) | 2.3000 | 11/01/30 | 160,821 | ||||||||||||
498,043 | ||||||||||||||||
COMMERCIAL SUPPORT SERVICES — 0.4% | ||||||||||||||||
50,000 | Aramark Services, Inc.(a) (g) | 6.3750 | 05/01/25 | 53,250 | ||||||||||||
190,000 | Block Financial, LLC B | 3.8750 | 08/15/30 | 202,111 | ||||||||||||
135,000 | GFL Environmental, Inc.(a) | 3.7500 | 08/01/25 | 137,620 | ||||||||||||
392,981 | ||||||||||||||||
CONSUMER SERVICES — 0.0%(d) | ||||||||||||||||
30,000 | Carriage Services, Inc.(a) | 4.2500 | 05/15/29 | 29,963 | ||||||||||||
CONTAINERS & PACKAGING — 0.2% | ||||||||||||||||
200,000 | Ardagh Packaging Finance plc / Ardagh Holdings(a) | 4.1250 | 08/15/26 | 206,000 | ||||||||||||
DIVERSIFIED INDUSTRIALS — 0.2% | ||||||||||||||||
181,000 | General Electric Company Series D (c) | US0003M + 3.330% | 3.5140 | 06/15/69 | 172,288 | |||||||||||
ELEC & GAS MARKETING & TRADING — 0.2% | ||||||||||||||||
200,000 | Southern Power Company | 4.1500 | 12/01/25 | 223,933 | ||||||||||||
ELECTRIC UTILITIES — 0.7% | ||||||||||||||||
205,000 | American Electric Power Company, Inc. | 2.3000 | 03/01/30 | 202,393 | ||||||||||||
120,000 | DPL, Inc. | 4.3500 | 04/15/29 | 130,300 | ||||||||||||
130,000 | Exelon Corporation | 3.4970 | 06/01/22 | 133,950 | ||||||||||||
116,000 | FirstEnergy Transmission, LLC(a) | 2.8660 | 09/15/28 | 119,055 | ||||||||||||
60,000 | Talen Energy Supply, LLC(a) | 6.6250 | 01/15/28 | 60,476 | ||||||||||||
646,174 | ||||||||||||||||
ELECTRICAL EQUIPMENT — 0.2% | ||||||||||||||||
187,000 | Vontier Corporation(a) | 2.9500 | 04/01/31 | 184,350 |
See accompanying notes which are an integral part of these financial statements.
11
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
CORPORATE BONDS — 31.8% (Continued) | ||||||||||||||||
ENGINEERING & CONSTRUCTION — 0.1% | ||||||||||||||||
70,000 | Dycom Industries, Inc.(a) | 4.5000 | 04/15/29 | $ | 71,138 | |||||||||||
ENTERTAINMENT CONTENT — 0.1% | ||||||||||||||||
55,000 | Diamond Sports Group, LLC / Diamond Sports Finance(a) | 5.3750 | 08/15/26 | 40,219 | ||||||||||||
30,000 | Diamond Sports Group, LLC / Diamond Sports Finance(a) | 6.6250 | 08/15/27 | 16,322 | ||||||||||||
56,541 | ||||||||||||||||
FOOD — 0.1% | ||||||||||||||||
115,000 | Post Holdings, Inc.(a) | 4.5000 | 09/15/31 | 114,316 | ||||||||||||
FORESTRY, PAPER & WOOD PRODUCTS — 0.3% | ||||||||||||||||
145,000 | Louisiana-Pacific Corporation(a) | 3.6250 | 03/15/29 | 145,544 | ||||||||||||
145,000 | Resolute Forest Products, Inc.(a) | 4.8750 | 03/01/26 | 148,081 | ||||||||||||
293,625 | ||||||||||||||||
GAS & WATER UTILITIES — 0.1% | ||||||||||||||||
70,000 | National Fuel Gas Company | 2.9500 | 03/01/31 | 68,383 | ||||||||||||
HEALTH CARE FACILITIES & SERVICES — 1.2% | ||||||||||||||||
150,000 | Anthem, Inc. | 2.8750 | 09/15/29 | 156,692 | ||||||||||||
45,000 | Centene Corporation | 4.6250 | 12/15/29 | 48,878 | ||||||||||||
170,000 | Centene Corporation | 2.5000 | 03/01/31 | 162,075 | ||||||||||||
45,000 | Charles River Laboratories International, Inc.(a) | 4.0000 | 03/15/31 | 46,469 | ||||||||||||
175,000 | DaVita, Inc.(a) | 4.6250 | 06/01/30 | 177,406 | ||||||||||||
125,000 | HCA, Inc. (g) | 5.2500 | 06/15/49 | 154,217 | ||||||||||||
85,000 | Jaguar Holding Company II / PPD Development, L.P.(a) | 5.0000 | 06/15/28 | 92,799 | ||||||||||||
80,000 | Legacy LifePoint Health, LLC(a) | 4.3750 | 02/15/27 | 80,102 | ||||||||||||
10,000 | Prime Healthcare Services, Inc.(a) | 7.2500 | 11/01/25 | 10,772 | ||||||||||||
15,000 | Tenet Healthcare Corporation(a), (g) | 7.5000 | 04/01/25 | 16,181 | ||||||||||||
50,000 | Tenet Healthcare Corporation(a) | 5.1250 | 11/01/27 | 52,503 | ||||||||||||
161,000 | Universal Health Services, Inc.(a) | 2.6500 | 10/15/30 | 156,914 | ||||||||||||
1,155,008 | ||||||||||||||||
HOME CONSTRUCTION — 0.3% | ||||||||||||||||
105,000 | M/I Homes, Inc. | 4.9500 | 02/01/28 | 110,610 | ||||||||||||
125,000 | PulteGroup, Inc. | 6.3750 | 05/15/33 | 161,912 | ||||||||||||
272,522 |
See accompanying notes which are an integral part of these financial statements.
12
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
CORPORATE BONDS — 31.8% (Continued) | ||||||||||||||||
INDUSTRIAL SUPPORT SERVICES — 0.2% | ||||||||||||||||
200,000 | Ashtead Capital, Inc.(a) | 4.3750 | 08/15/27 | $ | 210,000 | |||||||||||
INSTITUTIONAL FINANCIAL SERVICES — 1.8% | ||||||||||||||||
160,000 | Bank of New York Mellon Corporation (The) (c) | H15T5Y + 4.358% | 4.7000 | 09/20/68 | 176,800 | |||||||||||
310,000 | Brookfield Finance, Inc. | 4.2500 | 06/02/26 | 348,790 | ||||||||||||
295,000 | Goldman Sachs Group, Inc. (The) | 4.2500 | 10/21/25 | 330,552 | ||||||||||||
115,000 | Jefferies Financial Group, Inc. | 5.5000 | 10/18/23 | 124,476 | ||||||||||||
120,000 | Jefferies Group, LLC / Jefferies Group Capital | 4.8500 | 01/15/27 | 138,852 | ||||||||||||
285,000 | Morgan Stanley (g) | 3.1250 | 07/27/26 | 308,891 | ||||||||||||
175,000 | Morgan Stanley | 6.3750 | 07/24/42 | 260,564 | ||||||||||||
1,688,925 | ||||||||||||||||
INSURANCE — 2.2% | ||||||||||||||||
150,000 | Allstate Corporation (The) (c), (g) | US0003M + 2.938% | 5.7500 | 08/15/53 | 161,213 | |||||||||||
185,000 | Ascot Group Ltd.(a) | 4.2500 | 12/15/30 | 195,064 | ||||||||||||
220,000 | Athene Global Funding(a) | 2.4500 | 08/20/27 | 223,832 | ||||||||||||
120,000 | Brighthouse Financial, Inc. | 5.6250 | 05/15/30 | 143,479 | ||||||||||||
150,000 | Fairfax Financial Holdings Ltd. B | 4.8500 | 04/17/28 | 169,021 | ||||||||||||
90,000 | Liberty Mutual Group, Inc.(a) | 4.2500 | 06/15/23 | 96,992 | ||||||||||||
150,000 | Liberty Mutual Group, Inc.(a) | 4.5690 | 02/01/29 | 174,144 | ||||||||||||
225,000 | Lincoln National Corporation (c) | US0003M + 2.040% | 2.2280 | 04/20/67 | 185,484 | |||||||||||
160,000 | MetLife, Inc. (c) | H15T5Y + 3.576% | 3.8500 | 03/15/69 | 168,800 | |||||||||||
76,000 | MetLife, Inc. (c) | US0003M + 2.959% | 5.8750 | 09/15/66 | 87,628 | |||||||||||
70,000 | Prudential Financial, Inc. (c) | US0003M + 4.175% | 5.8750 | 09/15/42 | 74,178 | |||||||||||
230,000 | Prudential Financial, Inc. (c) | US0003M + 3.920% | 5.6250 | 06/15/43 | 249,499 | |||||||||||
60,000 | Trinity Acquisition plc | 4.4000 | 03/15/26 | 67,868 | ||||||||||||
1,997,202 | ||||||||||||||||
INTERNET MEDIA & SERVICES — 0.1% | ||||||||||||||||
100,000 | TripAdvisor, Inc.(a) | 7.0000 | 07/15/25 | 108,125 | ||||||||||||
LEISURE FACILITIES & SERVICES — 0.6% | ||||||||||||||||
25,000 | Caesars Entertainment, Inc.(a) | 6.2500 | 07/01/25 | 26,611 | ||||||||||||
45,000 | Gateway Casinos & Entertainment Ltd.(a) | 8.2500 | 03/01/24 | 43,313 | ||||||||||||
200,000 | International Game Technology plc(a), (g) | 4.1250 | 04/15/26 | 206,331 | ||||||||||||
24,000 | Marriott International, Inc. | 2.8500 | 04/15/31 | 23,863 |
See accompanying notes which are an integral part of these financial statements.
13
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
CORPORATE BONDS — 31.8% (Continued) | ||||||||||||||||
LEISURE FACILITIES & SERVICES — 0.6% (Continued) | ||||||||||||||||
95,000 | Marriott Ownership Resorts, Inc. | 4.7500 | 01/15/28 | $ | 96,466 | |||||||||||
80,000 | Scientific Games International, Inc.(a), (g) | 5.0000 | 10/15/25 | 82,747 | ||||||||||||
50,000 | Scientific Games International, Inc.(a) | 8.2500 | 03/15/26 | 53,938 | ||||||||||||
20,000 | Scientific Games International, Inc.(a) | 7.0000 | 05/15/28 | 21,553 | ||||||||||||
554,822 | ||||||||||||||||
MACHINERY — 0.2% | ||||||||||||||||
165,000 | Stanley Black & Decker, Inc. (c) | H15T5Y + 2.657% | 4.0000 | 03/15/60 | 175,775 | |||||||||||
MEDICAL EQUIPMENT & DEVICES — 0.1% | ||||||||||||||||
108,000 | Illumina, Inc. | 2.5500 | 03/23/31 | 107,188 | ||||||||||||
METALS & MINING — 0.9% | ||||||||||||||||
70,000 | Alliance Resource Operating Partners, L.P. /(a) | 7.5000 | 05/01/25 | 66,325 | ||||||||||||
160,000 | Cleveland-Cliffs, Inc.(a) | 6.7500 | 03/15/26 | 173,800 | ||||||||||||
135,000 | Freeport-McMoRan, Inc. | 5.4500 | 03/15/43 | 164,828 | ||||||||||||
160,000 | Glencore Funding, LLC(a), (g) | 1.6250 | 09/01/25 | 161,061 | ||||||||||||
145,000 | Teck Resources Ltd. | 6.1250 | 10/01/35 | 180,478 | ||||||||||||
746,492 | ||||||||||||||||
OIL & GAS PRODUCERS — 2.5% | ||||||||||||||||
150,000 | Aker BP ASA(a) | 2.8750 | 01/15/26 | 155,743 | ||||||||||||
155,000 | Boardwalk Pipelines, L.P. B | 4.9500 | 12/15/24 | 174,174 | ||||||||||||
45,000 | Cheniere Energy, Inc.(a) | 4.6250 | 10/15/28 | 46,976 | ||||||||||||
135,000 | Chesapeake Escrow Issuer, LLC(a) | 5.5000 | 02/01/26 | 142,594 | ||||||||||||
75,000 | CrownRock, L.P. / CrownRock Finance, Inc.(a) | 5.6250 | 10/15/25 | 77,719 | ||||||||||||
10,000 | CrownRock, L.P. / CrownRock Finance, Inc.(a) | 5.0000 | 05/01/29 | 10,253 | ||||||||||||
15,000 | EQM Midstream Partners, L.P.(a) | 6.0000 | 07/01/25 | 16,406 | ||||||||||||
20,000 | EQM Midstream Partners, L.P.(a) | 6.5000 | 07/01/27 | 22,110 | ||||||||||||
35,000 | EQM Midstream Partners, L.P.(a) | 4.7500 | 01/15/31 | 34,692 | ||||||||||||
165,000 | HollyFrontier Corporation(g) | 5.8750 | 04/01/26 | 189,518 | ||||||||||||
70,000 | Indigo Natural Resources, LLC(a) | 5.3750 | 02/01/29 | 69,563 | ||||||||||||
160,000 | Kinder Morgan, Inc. (g) | 4.3000 | 06/01/25 | 178,628 | ||||||||||||
45,000 | Kinder Morgan, Inc. | 7.7500 | 01/15/32 | 63,486 | ||||||||||||
5,000 | Occidental Petroleum Corporation | 5.5000 | 12/01/25 | 5,381 | ||||||||||||
70,000 | Parsley Energy, LLC / Parsley Finance Corporation(a) | 4.1250 | 02/15/28 | 73,631 |
See accompanying notes which are an integral part of these financial statements.
14
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
CORPORATE BONDS — 31.8% (Continued) | ||||||||||||||||
OIL & GAS PRODUCERS — 2.5% (Continued) | ||||||||||||||||
200,000 | Pertamina Persero PT(a) | 6.4500 | 05/30/44 | $ | 255,817 | |||||||||||
85,000 | Petroleos Mexicanos | 6.5000 | 03/13/27 | 89,994 | ||||||||||||
185,000 | Petroleos Mexicanos | 7.6900 | 01/23/50 | 178,405 | ||||||||||||
200,000 | Petronas Capital Ltd.(a) | 3.5000 | 04/21/30 | 216,092 | ||||||||||||
100,000 | Sabine Pass Liquefaction, LLC | 6.2500 | 03/15/22 | 103,442 | ||||||||||||
65,000 | Sabine Pass Liquefaction, LLC | 4.2000 | 03/15/28 | 72,004 | ||||||||||||
140,000 | Targa Resources Partners, L.P. / Targa Resources (g) | 5.8750 | 04/15/26 | 146,909 | ||||||||||||
2,323,537 | ||||||||||||||||
OIL & GAS SERVICES & EQUIPMENT — 0.1% | ||||||||||||||||
80,000 | Patterson-UTI Energy, Inc. | 5.1500 | 11/15/29 | 80,517 | ||||||||||||
29,000 | Transocean Guardian Ltd.(a) | 5.8750 | 01/15/24 | 27,024 | ||||||||||||
107,541 | ||||||||||||||||
PUBLISHING & BROADCASTING — 0.1% | ||||||||||||||||
85,000 | Meredith Corporation | 6.8750 | 02/01/26 | 87,550 | ||||||||||||
REAL ESTATE INVESTMENT TRUSTS — 2.1% | ||||||||||||||||
260,000 | American Assets Trust, L.P. | 3.3750 | 02/01/31 | 261,264 | ||||||||||||
200,000 | Corporate Office Properties, L.P. | 2.7500 | 04/15/31 | 197,536 | ||||||||||||
220,000 | EPR Properties | 4.7500 | 12/15/26 | 231,303 | ||||||||||||
80,000 | ESH Hospitality, Inc.(a) | 4.6250 | 10/01/27 | 84,903 | ||||||||||||
155,000 | GLP Capital, L.P. / GLP Financing II, Inc. (g) | 5.7500 | 06/01/28 | 180,903 | ||||||||||||
85,000 | MPT Operating Partnership, L.P. / MPT Finance | 5.0000 | 10/15/27 | 89,569 | ||||||||||||
25,000 | MPT Operating Partnership, L.P. / MPT Finance | 4.6250 | 08/01/29 | 26,500 | ||||||||||||
130,000 | MPT Operating Partnership, L.P. / MPT Finance | 3.5000 | 03/15/31 | 129,888 | ||||||||||||
170,000 | Office Properties Income Trust(g) | 4.5000 | 02/01/25 | 182,298 | ||||||||||||
105,000 | Retail Opportunity Investments Partnership, L.P. | 4.0000 | 12/15/24 | 111,859 | ||||||||||||
225,000 | Retail Properties of America, Inc. | 4.7500 | 09/15/30 | 243,993 | ||||||||||||
165,000 | Service Properties Trust(g) | 4.9500 | 02/15/27 | 162,332 | ||||||||||||
1,902,348 | ||||||||||||||||
RETAIL - CONSUMER STAPLES — 0.2% | ||||||||||||||||
85,000 | Albertsons Companies Inc / Safeway Inc / New(a) | 3.2500 | 03/15/26 | 85,045 | ||||||||||||
105,000 | Albertsons Companies Inc / Safeway Inc / New(a) | 4.6250 | 01/15/27 | 109,332 | ||||||||||||
15,000 | Albertsons Companies Inc / Safeway Inc / New(a) | 3.5000 | 03/15/29 | 14,419 | ||||||||||||
208,796 |
See accompanying notes which are an integral part of these financial statements.
15
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
CORPORATE BONDS — 31.8% (Continued) | ||||||||||||||||
RETAIL - DISCRETIONARY — 0.3% | ||||||||||||||||
185,000 | American Builders & Contractors Supply Company,(a) | 4.0000 | 01/15/28 | $ | 188,468 | |||||||||||
5,000 | LCM Investments Holdings II, LLC(a) | 4.8750 | 05/01/29 | 5,121 | ||||||||||||
75,000 | QVC, Inc. | 4.3750 | 03/15/23 | 79,388 | ||||||||||||
272,977 | ||||||||||||||||
SEMICONDUCTORS — 0.7% | ||||||||||||||||
180,000 | Broadcom, Inc. (g) | 4.1500 | 11/15/30 | 196,845 | ||||||||||||
148,000 | Broadcom, Inc.(a), (g) | 2.4500 | 02/15/31 | 141,223 | ||||||||||||
270,000 | SK Hynix, Inc.(a) | 1.5000 | 01/19/26 | 267,547 | ||||||||||||
605,615 | ||||||||||||||||
SOFTWARE — 0.3% | ||||||||||||||||
265,000 | Citrix Systems, Inc. | 3.3000 | 03/01/30 | 276,864 | ||||||||||||
SPECIALTY FINANCE — 1.4% | ||||||||||||||||
150,000 | AerCap Ireland Capital DAC / AerCap Global | 3.6500 | 07/21/27 | 159,273 | ||||||||||||
224,000 | Ally Financial, Inc. (c) | H15T5Y + 3.868% | 4.7000 | 08/15/69 | 227,629 | |||||||||||
145,000 | Aviation Capital Group, LLC(a) | 3.5000 | 11/01/27 | 150,118 | ||||||||||||
125,000 | Avolon Holdings Funding Ltd.(a) | 4.3750 | 05/01/26 | 133,801 | ||||||||||||
120,000 | Capital One Financial Corporation | 4.2000 | 10/29/25 | 133,759 | ||||||||||||
165,000 | Capital One Financial Corporation | 3.7500 | 07/28/26 | 181,007 | ||||||||||||
65,000 | Discover Financial Services (c) | H15T5Y + 5.783% | 6.1250 | 03/23/69 | 73,531 | |||||||||||
50,000 | FirstCash, Inc.(a) | 4.6250 | 09/01/28 | 51,443 | ||||||||||||
80,000 | Ladder Capital Finance Holdings LLLP / Ladder(a) | 4.2500 | 02/01/27 | 78,642 | ||||||||||||
70,000 | OneMain Finance Corporation | 6.8750 | 03/15/25 | 79,625 | ||||||||||||
25,000 | OneMain Finance Corporation | 7.1250 | 03/15/26 | 29,250 | ||||||||||||
1,298,078 | ||||||||||||||||
STEEL — 0.1% | ||||||||||||||||
85,000 | Commercial Metals Company | 3.8750 | 02/15/31 | 85,116 | ||||||||||||
TECHNOLOGY HARDWARE — 1.2% | ||||||||||||||||
105,000 | Dell International, LLC / EMC Corporation(a) | 8.1000 | 07/15/36 | 155,438 | ||||||||||||
94,000 | Flex Ltd. | 3.7500 | 02/01/26 | 102,168 | ||||||||||||
240,000 | Hewlett Packard Enterprise Company (g) | 4.9000 | 10/15/25 | 273,762 | ||||||||||||
255,000 | HP, Inc. | 3.4000 | 06/17/30 | 272,340 | ||||||||||||
94,000 | Motorola Solutions, Inc. | 4.6000 | 02/23/28 | 108,066 |
See accompanying notes which are an integral part of these financial statements.
16
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
CORPORATE BONDS — 31.8% (Continued) | ||||||||||||||||
TECHNOLOGY HARDWARE — 1.2% (Continued) | ||||||||||||||||
50,000 | Motorola Solutions, Inc. | 4.6000 | 05/23/29 | $ | 57,471 | |||||||||||
100,000 | NCR Corporation(a) | 5.1250 | 04/15/29 | 103,000 | ||||||||||||
140,000 | Xerox Holdings Corporation(a) | 5.5000 | 08/15/28 | 146,475 | ||||||||||||
1,218,720 | ||||||||||||||||
TECHNOLOGY SERVICES — 0.4% | ||||||||||||||||
185,000 | Leidos, Inc.(a) | 2.3000 | 02/15/31 | 176,408 | ||||||||||||
160,000 | Science Applications International Corporation(a) | 4.8750 | 04/01/28 | 165,484 | ||||||||||||
341,892 | ||||||||||||||||
TELECOMMUNICATIONS — 1.0% | ||||||||||||||||
170,000 | Level 3 Financing, Inc.(a) | 4.2500 | 07/01/28 | 171,506 | ||||||||||||
50,000 | Sprint Spectrum Company, LLC / Sprint Spectrum Series 2016-1(a) | 3.3600 | 09/20/21 | 50,391 | ||||||||||||
200,000 | Sprint Spectrum Company, LLC / Sprint Spectrum(a) | 4.7380 | 03/20/25 | 214,750 | ||||||||||||
10,000 | Telesat Canada / Telesat, LLC(a), (g) | 5.6250 | 11/06/26 | 10,077 | ||||||||||||
85,000 | Telesat Canada / Telesat, LLC(a) | 6.5000 | 10/15/27 | 83,619 | ||||||||||||
215,000 | T-Mobile USA, Inc.(a) | 3.8750 | 04/15/30 | 234,468 | ||||||||||||
85,000 | Verizon Communications, Inc.(c) | US0003M + 1.100% | 1.2560 | 05/15/25 | 87,109 | |||||||||||
123,000 | Verizon Communications, Inc. | 2.5500 | 03/21/31 | 123,501 | ||||||||||||
975,421 | ||||||||||||||||
TOBACCO & CANNABIS — 0.3% | ||||||||||||||||
195,000 | BAT Capital Corporation | 4.9060 | 04/02/30 | 220,033 | ||||||||||||
40,000 | Vector Group Ltd.(a) | 5.7500 | 02/01/29 | 40,308 | ||||||||||||
260,341 | ||||||||||||||||
TRANSPORTATION & LOGISTICS — 0.0%(d) | ||||||||||||||||
15,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | 5.7500 | 04/20/29 | 16,091 | ||||||||||||
TOTAL CORPORATE BONDS (Cost $28,561,412) | 29,519,383 | |||||||||||||||
Principal | Coupon Rate | |||||||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||||||
MUNICIPAL BONDS — 2.3% | ||||||||||||||||
CITY — 0.5% | ||||||||||||||||
340,000 | City of Bristol VA | 4.2100 | 01/01/42 | 361,955 | ||||||||||||
145,000 | City of San Antonio TX | 1.9630 | 02/01/33 | 143,501 | ||||||||||||
505,456 |
See accompanying notes which are an integral part of these financial statements.
17
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||||
MUNICIPAL BONDS — 2.3% (Continued) | ||||||||||||||
GOVERNMENT LEASE — 0.2% | ||||||||||||||
145,000 | Texas Public Finance Authority | 2.1400 | 02/01/35 | $ | 142,388 | |||||||||
HIGHER EDUCATION — 0.1% | ||||||||||||||
115,000 | University of California | 4.4280 | 05/15/48 | 125,788 | ||||||||||
HOSPITALS — 0.2% | ||||||||||||||
135,000 | Idaho Health Facilities Authority | 5.0200 | 03/01/48 | 159,006 | ||||||||||
LOCAL AUTHORITY — 1.1% | ||||||||||||||
325,000 | San Diego County Regional Airport Authority | 5.5940 | 07/01/43 | 336,529 | ||||||||||
600,000 | State of Texas | 3.2110 | 04/01/44 | 632,196 | ||||||||||
35,000 | Texas Transportation Commission State Highway Fund | 4.0000 | 10/01/33 | 42,440 | ||||||||||
1,011,165 | ||||||||||||||
SALES TAX — 0.0%(d) | ||||||||||||||
20,000 | Sales Tax Securitization Corporation | 3.4110 | 01/01/43 | 21,057 | ||||||||||
WATER AND SEWER — 0.2% | ||||||||||||||
160,000 | Santa Clara Valley Water District | 2.9670 | 06/01/50 | 159,901 | ||||||||||
TOTAL MUNICIPAL BONDS (Cost $2,027,929) | 2,124,761 | |||||||||||||
NON U.S. GOVERNMENT & AGENCIES — 1.9% | ||||||||||||||
SOVEREIGN — 1.9% | ||||||||||||||
200,000 | Brazilian Government International Bond (g) | 3.8750 | 06/12/30 | 198,802 | ||||||||||
200,000 | Emirate of Dubai Government International Bonds | 5.2500 | 01/30/43 | 221,740 | ||||||||||
200,000 | Mexico Government International Bond(g) | 2.6590 | 05/24/31 | 192,748 | ||||||||||
200,000 | Oman Government International Bond(a) | 7.3750 | 10/28/32 | 228,924 | ||||||||||
200,000 | Qatar Government International Bond(a) | 4.4000 | 04/16/50 | 233,139 | ||||||||||
200,000 | Republic of South Africa Government International | 4.8500 | 09/27/27 | 211,299 | ||||||||||
200,000 | Saudi Government International Bond(a) | 3.2500 | 10/22/30 | 211,535 |
See accompanying notes which are an integral part of these financial statements.
18
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||||||
NON U.S. GOVERNMENT & AGENCIES — 1.9% (Continued) | ||||||||||||||||
SOVEREIGN — 1.9% (Continued) | ||||||||||||||||
325,000 | Turkey Government International Bond | 5.8750 | 06/26/31 | $ | 305,505 | |||||||||||
TOTAL NON U.S. GOVERNMENT & AGENCIES (Cost $1,874,640) | 1,803,692 | |||||||||||||||
TERM LOANS — 9.1% | ||||||||||||||||
AEROSPACE & DEFENSE — 0.3% | ||||||||||||||||
94,050 | AI Convoy Luxembourg Sarl(c) | US0002M + 3.500% | 4.5000 | 01/18/27 | 94,109 | |||||||||||
208,351 | TransDigm, Inc.(c) | US0001M + 2.250% | 2.3600 | 05/30/25 | 206,097 | |||||||||||
300,206 | ||||||||||||||||
ASSET MANAGEMENT — 0.0%(d) | ||||||||||||||||
15,000 | Zebra Buyer, LLC(c) | US0001M + 3.250% | 0.0000 | 04/21/28 | 15,002 | |||||||||||
AUTOMOTIVE — 0.2% | ||||||||||||||||
143,606 | Cooper-Standard Automotive, Inc.(c) | US0001M + 2.000% | 2.7500 | 11/02/23 | 140,344 | |||||||||||
BEVERAGES — 0.0%(d) | ||||||||||||||||
35,000 | City Brewing Company, LLC(c) | US0003M + 3.500% | 4.2500 | 04/05/28 | 35,131 | |||||||||||
BIOTECH & PHARMA — 0.0%(d) | ||||||||||||||||
7,224 | Bausch Health Americas, Inc.(c) | US0001M + 3.000% | 3.1100 | 06/01/25 | 7,220 | |||||||||||
22,500 | Bausch Health Americas, Inc.(c) | US0001M + 2.750% | 2.8600 | 11/27/25 | 22,465 | |||||||||||
29,685 | ||||||||||||||||
CABLE & SATELLITE — 0.4% | ||||||||||||||||
64,509 | Charter Communications Operating, LLC(c) | US0001M + 1.750% | 1.8600 | 02/01/27 | 64,257 | |||||||||||
99,239 | CSC Holdings, LLC(c) | US0001M + 2.250% | 2.3600 | 01/15/26 | 98,397 | |||||||||||
17,815 | Radiate Holdco, LLC(c) | US0001M + 3.500% | 4.2500 | 09/25/26 | 17,854 | |||||||||||
85,000 | UPC Financing Partnership(c) | US0001M + 3.000% | 0.0000 | 01/31/29 | 84,389 | |||||||||||
69,231 | UPC Financing Partnership(c) | US0001M + 3.500% | 3.6120 | 01/31/29 | 68,733 | |||||||||||
20,000 | Virgin Media Bristol, LLC(c) | US0001M + 3.250% | 0.0000 | 01/31/29 | 19,997 | |||||||||||
353,627 | ||||||||||||||||
CHEMICALS — 0.7% | ||||||||||||||||
45,000 | Gemini HDPE, LLC(c) | US0003M + 3.000% | 3.5000 | 12/31/27 | 44,986 | |||||||||||
129,000 | INEOS US Finance, LLC(c) | US0001M + 2.000% | 2.1100 | 04/01/24 | 127,742 |
See accompanying notes which are an integral part of these financial statements.
19
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
TERM LOANS — 9.1% (Continued) | ||||||||||||||||
CHEMICALS — 0.7% (Continued) | ||||||||||||||||
135,000 | INEOS US Petrochem, LLC(c) | US0003M + 2.750% | 3.2500 | 01/29/26 | $ | 134,642 | ||||||||||
159,166 | Nouryon USA, LLC(c) | US0001M + 2.750% | 2.8650 | 10/01/25 | 157,442 | |||||||||||
150,000 | Trinseo Materials Operating SCA(c) | US0001M + 2.500% | 0.0000 | 03/17/28 | 149,156 | |||||||||||
613,968 | ||||||||||||||||
COMMERCIAL SUPPORT SERVICES — 0.4% | ||||||||||||||||
205,000 | AlixPartners LLP(c) | US0001M + 2.750% | 3.2500 | 02/04/28 | 204,296 | |||||||||||
24,750 | Aramark Services, Inc.(c) | US0001M + 1.750% | 1.8600 | 01/15/27 | 24,443 | |||||||||||
76,421 | CHG Healthcare Services, Inc.(c) | US0003M + 3.000% | 4.0000 | 06/07/23 | 76,308 | |||||||||||
80,571 | TKC Holdings, Inc.(c) | US0001M + 3.750% | 4.7500 | 02/01/23 | 79,824 | |||||||||||
384,871 | ||||||||||||||||
CONSTRUCTION MATERIALS — 0.4% | ||||||||||||||||
180,087 | CPG International, LLC(c) | US0003M + 2.500% | 3.2500 | 05/05/24 | 180,136 | |||||||||||
187,249 | Summit Materials, LLC(c) | US0001M + 2.000% | 2.1100 | 11/21/24 | 186,976 | |||||||||||
367,112 | ||||||||||||||||
CONTAINERS & PACKAGING — 0.4% | ||||||||||||||||
168,374 | Berry Global, Inc.(c) | US0001M + 1.750% | 1.8610 | 07/01/26 | 167,177 | |||||||||||
180,000 | Reynolds Group Holdings, Inc.(c) | US0001M + 2.750% | 2.8600 | 02/05/23 | 179,813 | |||||||||||
346,990 | ||||||||||||||||
ELECTRIC UTILITIES — 0.3% | ||||||||||||||||
44,921 | APLP Holdings, L.P.(c) | US0001M + 2.500% | 3.5000 | 04/14/25 | 44,921 | |||||||||||
124,321 | Astoria Energy, LLC(c) | US0003M + 3.500% | 4.5000 | 12/10/27 | 124,632 | |||||||||||
98,250 | Calpine Corporation(c) | US0001M + 2.000% | 2.1100 | 04/05/26 | 97,044 | |||||||||||
266,597 | ||||||||||||||||
ELECTRICAL EQUIPMENT — 0.2% | ||||||||||||||||
187,479 | Brookfield WEC Holdings, Inc.(c) | US0001M + 2.750% | 3.2500 | 08/01/25 | 185,639 | |||||||||||
9,900 | Ingersoll-Rand Services Company(c) | US0001M + 1.750% | 1.8600 | 03/01/27 | 9,785 | |||||||||||
195,424 | ||||||||||||||||
FOOD — 0.5% | ||||||||||||||||
99,744 | CHG PPC Parent, LLC(c) | US0001M + 2.750% | 2.8600 | 03/31/25 | 98,871 | |||||||||||
179,544 | Hostess Brands, LLC(c) | US0003M + 2.250% | 3.0000 | 08/03/25 | 178,983 | |||||||||||
179,542 | JBS USA LUX S.A.(c) | US0001M + 2.000% | 2.1080 | 05/01/26 | 179,271 | |||||||||||
457,125 | ||||||||||||||||
HEALTH CARE FACILITIES & SERVICES — 0.4% | ||||||||||||||||
73,856 | Catalent Pharma Solutions, Inc.(c) | US0001M + 2.000% | 2.5000 | 02/22/28 | 74,041 |
See accompanying notes which are an integral part of these financial statements.
20
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
TERM LOANS — 9.1% (Continued) | ||||||||||||||||
HEALTH CARE FACILITIES & SERVICES — 0.4% (Continued) | ||||||||||||||||
106,975 | IQVIA, Inc.(c) | US0003M + 1.750% | 1.9520 | 06/11/25 | $ | 106,756 | ||||||||||
71,596 | Legacy LifePoint Health, LLC(c) | US0001M + 3.750% | 3.8600 | 11/16/25 | 71,431 | |||||||||||
125,000 | PPD, Inc.(c) | US0001M + 2.250% | 2.7500 | 01/13/28 | 124,941 | |||||||||||
377,169 | ||||||||||||||||
HOME & OFFICE PRODUCTS — 0.1% | ||||||||||||||||
74,813 | Weber-Stephen Products, LLC(c) | US0001M + 3.250% | 4.0000 | 10/30/27 | 74,894 | |||||||||||
HOME CONSTRUCTION — 0.0%(d) | ||||||||||||||||
40,000 | CP Atlas Buyer, Inc.(c) | US0003M + 3.750% | 4.2500 | 11/23/27 | 39,966 | |||||||||||
INDUSTRIAL INTERMEDIATE PROD — 0.2% | ||||||||||||||||
179,550 | Gates Global, LLC(c) | US0001M + 2.750% | 3.5000 | 03/31/27 | 179,111 | |||||||||||
INDUSTRIAL SUPPORT SERVICES — 0.1% | ||||||||||||||||
90,000 | Resideo Funding, Inc.(c) | US0003M + 2.250% | 2.7500 | 02/11/28 | 89,944 | |||||||||||
INSTITUTIONAL FINANCIAL SERVICES — 0.1% | ||||||||||||||||
100,000 | Citadel Securities, L.P.(c) | US0001M + 2.500% | 2.6100 | 02/02/28 | 99,219 | |||||||||||
INSURANCE — 0.2% | ||||||||||||||||
202,882 | Sedgwick Claims Management Services, Inc.(c) | US0001M + 3.250% | 3.3600 | 12/31/25 | 200,309 | |||||||||||
INTERNET MEDIA & SERVICES — 0.1% | ||||||||||||||||
64,188 | Pug, LLC(c) | US0001M + 3.500% | 3.6100 | 02/12/27 | 62,462 | |||||||||||
LEISURE FACILITIES & SERVICES — 0.6% | ||||||||||||||||
14,888 | Aristocrat International Pty Ltd.(c) | US0003M + 3.750% | 4.7500 | 10/19/24 | 14,941 | |||||||||||
179,534 | CityCenter Holdings, LLC(c) | US0001M + 2.250% | 3.0000 | 04/18/24 | 177,772 | |||||||||||
180,000 | Hilton Worldwide Finance, LLC(c) | US0003M + 1.750% | 1.8600 | 06/22/26 | 178,643 | |||||||||||
135,000 | Playtika Holding Corporation(c) | US0001M + 2.750% | 2.8600 | 03/13/28 | 134,452 | |||||||||||
39,599 | Station Casinos, LLC(c) | US0001M + 2.250% | 2.5000 | 02/08/27 | 39,109 | |||||||||||
544,917 | ||||||||||||||||
MACHINERY — 0.4% | ||||||||||||||||
154,850 | Alliance Laundry Systems, LLC(c) | US0001M + 3.500% | 4.2500 | 10/08/27 | 155,019 |
See accompanying notes which are an integral part of these financial statements.
21
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
TERM LOANS — 9.1% (Continued) | ||||||||||||||||
MACHINERY — 0.4% (Continued) | ||||||||||||||||
83,202 | Seminole Tribe of Florida, Inc.(c) | US0001M + 1.750% | 1.8600 | 07/08/24 | $ | 83,241 | ||||||||||
134,287 | Star US Bidco, LLC(c) | US0001M + 4.250% | 5.2500 | 03/17/27 | 133,672 | |||||||||||
371,932 | ||||||||||||||||
MEDICAL EQUIPMENT & DEVICES — 0.1% | ||||||||||||||||
105,745 | Greatbatch Ltd.(c) | US0001M + 2.500% | 3.5000 | 10/27/22 | 106,075 | |||||||||||
OIL & GAS PRODUCERS — 0.1% | ||||||||||||||||
24,750 | Buckeye Partners, L.P.(c) | US0001M + 2.250% | 2.3600 | 11/01/26 | 24,680 | |||||||||||
58,070 | CITGO Petroleum Corporation(c) | US0003M + 6.250% | 7.2500 | 03/28/24 | 58,263 | |||||||||||
82,943 | ||||||||||||||||
PUBLISHING & BROADCASTING — 0.1% | ||||||||||||||||
118,333 | Nexstar Broadcasting, Inc.(c) | US0001M + 2.500% | 2.6150 | 09/18/26 | 117,971 | |||||||||||
RETAIL - DISCRETIONARY — 0.3% | ||||||||||||||||
184,738 | Harbor Freight Tools USA, Inc.(c) | US0001M + 3.000% | 3.7500 | 10/19/27 | 184,824 | |||||||||||
90,000 | PetSmart, Inc.(c) | US0003M + 3.750% | 4.5000 | 02/11/28 | 90,371 | |||||||||||
275,195 | ||||||||||||||||
SEMICONDUCTORS — 0.1% | ||||||||||||||||
54,656 | Ultra Clean Holdings, Inc.(c) | US0001M + 3.750% | 3.8600 | 08/27/25 | 54,759 | |||||||||||
SOFTWARE — 0.5% | ||||||||||||||||
113,368 | Applied Systems, Inc.(c) | US0003M + 3.000% | 3.5100 | 09/19/24 | 113,071 | |||||||||||
118,411 | Boxer Parent Company, Inc.(c) | US0001M + 3.750% | 3.8600 | 10/02/25 | 117,989 | |||||||||||
124,688 | Sophia, L.P.(c) | US0003M + 3.750% | 4.5000 | 10/07/27 | 124,843 | |||||||||||
64,738 | UKG, Inc.(c) | US0003M + 3.250% | 4.0000 | 05/04/26 | 64,890 | |||||||||||
420,793 | ||||||||||||||||
SPECIALTY FINANCE — 0.1% | ||||||||||||||||
74,813 | Avolon TLB Borrower 1 US, LLC(c) | US0001M + 2.500% | 3.2500 | 12/01/27 | 74,869 | |||||||||||
TECHNOLOGY HARDWARE — 0.1% | ||||||||||||||||
63,658 | Dell International, LLC(c) | US0001M + 1.750% | 2.0000 | 09/19/25 | 63,681 | |||||||||||
TECHNOLOGY SERVICES — 0.4% | ||||||||||||||||
169,200 | Dun & Bradstreet Corporation (The)(c) | US0001M + 3.250% | 3.3600 | 02/06/26 | 168,459 |
See accompanying notes which are an integral part of these financial statements.
22
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
TERM LOANS — 9.1% (Continued) | ||||||||||||||||
TECHNOLOGY SERVICES — 0.4% (Continued) | ||||||||||||||||
57,390 | Peraton Corporation(c) | US0001M + 3.750% | 0.0000 | 02/01/28 | $ | 57,442 | ||||||||||
32,610 | Peraton Corporation(c) | US0001M + 3.750% | 4.5000 | 02/01/28 | 32,639 | |||||||||||
195,000 | WEX, Inc.(c) | US0001M + 2.250% | 2.3600 | 03/31/28 | 194,559 | |||||||||||
453,099 | ||||||||||||||||
TELECOMMUNICATIONS — 0.4% | ||||||||||||||||
39,488 | CenturyLink, Inc.(c) | US0001M + 2.250% | 2.3600 | 03/15/27 | 39,093 | |||||||||||
32,130 | Consolidated Communications, Inc.(c) | US0001M + 3.500% | 4.2500 | 10/02/27 | 32,119 | |||||||||||
178,877 | SBA Senior Finance II, LLC(c) | US0001M + 1.750% | 1.8580 | 04/11/25 | 177,908 | |||||||||||
135,717 | Zayo Group Holdings, Inc.(c) | US0001M + 3.000% | 3.1100 | 03/09/27 | 134,530 | |||||||||||
383,650 | ||||||||||||||||
TRANSPORTATION & LOGISTICS — 0.8% | ||||||||||||||||
135,000 | AAdvantage Loyalty IP Ltd.(c) | US0001M + 4.750% | 5.5000 | 04/20/28 | 139,014 | |||||||||||
185,000 | Brown Group Holding, LLC(c) | US0001M + 2.750% | 0.0000 | 04/22/28 | 184,307 | |||||||||||
180,000 | Genesee & Wyoming, Inc.(c) | US0001M + 2.000% | 2.2000 | 12/30/26 | 179,561 | |||||||||||
120,000 | Mileage Plus Holdings, LLC(c) | US0003M + 5.250% | 6.2500 | 06/21/27 | 128,250 | |||||||||||
105,000 | PODS, LLC(c) | US0001M + 3.000% | 3.7500 | 03/31/28 | 104,700 | |||||||||||
30,000 | United Airlines, Inc.(c) | US0001M + 3.750% | 4.5000 | 04/21/28 | 30,394 | |||||||||||
766,226 | ||||||||||||||||
TRANSPORTATION EQUIPMENT — 0.1% | ||||||||||||||||
87,300 | Navistar, Inc.(c) | US0001M + 3.500% | 3.6100 | 11/06/24 | 87,376 | |||||||||||
TOTAL TERM LOANS (Cost $8,416,523) | 8,432,642 | |||||||||||||||
Principal | Coupon Rate | |||||||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||||||
U.S. GOVERNMENT & AGENCIES — 21.6% | ||||||||||||||||
AGENCY FIXED RATE — 0.9% | ||||||||||||||||
38,363 | Fannie Mae Pool 310041 | 6.5000 | 05/01/37 | 45,861 | ||||||||||||
12,410 | Fannie Mae Pool 735061 | 6.0000 | 11/01/34 | 14,770 | ||||||||||||
12,133 | Fannie Mae Pool 866009 | 6.0000 | 03/01/36 | 14,432 | ||||||||||||
21,244 | Fannie Mae Pool 909175 | 5.5000 | 04/01/38 | 24,833 | ||||||||||||
60,482 | Fannie Mae Pool 909220 | 6.0000 | 08/01/38 | 71,263 | ||||||||||||
113,701 | Fannie Mae Pool 938574 | 5.5000 | 09/01/36 | 132,219 | ||||||||||||
17,116 | Fannie Mae Pool 962752 | 5.0000 | 04/01/38 | 19,815 |
See accompanying notes which are an integral part of these financial statements.
23
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Principal | Coupon Rate | |||||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||||
U.S. GOVERNMENT & AGENCIES — 21.6% (Continued) | ||||||||||||||
AGENCY FIXED RATE — 0.9% (Continued) | ||||||||||||||
105,512 | Fannie Mae Pool AA7001 | 5.0000 | 06/01/39 | $ | 122,097 | |||||||||
105,687 | Fannie Mae Pool AS7026 | 4.0000 | 04/01/46 | 115,158 | ||||||||||
160,838 | Fannie Mae Pool BJ9260 | 4.0000 | 04/01/48 | 173,388 | ||||||||||
121,618 | Freddie Mac Gold Pool G01980 | 5.0000 | 12/01/35 | 140,833 | ||||||||||
17,373 | Freddie Mac Gold Pool G05888 | 5.5000 | 10/01/39 | 20,460 | ||||||||||
895,129 | ||||||||||||||
U.S. TREASURY BONDS — 5.9% | ||||||||||||||
590,000 | United States Treasury Bond | 3.0000 | 08/15/48 | 675,792 | ||||||||||
1,280,000 | United States Treasury Bond | 2.8750 | 05/15/49 | 1,436,075 | ||||||||||
1,440,000 | United States Treasury Bond | 2.0000 | 02/15/50 | 1,348,847 | ||||||||||
2,500,000 | United States Treasury Bond(g) | 1.3750 | 08/15/50 | 2,001,758 | ||||||||||
5,462,472 | ||||||||||||||
U.S. TREASURY NOTES — 14.8% | ||||||||||||||
1,010,000 | United States Treasury Note | 0.1250 | 05/31/22 | 1,010,592 | ||||||||||
3,500,000 | United States Treasury Note | 0.2500 | 05/31/25 | 3,445,928 | ||||||||||
535,000 | United States Treasury Note | 0.3750 | 09/30/27 | 507,393 | ||||||||||
3,890,000 | United States Treasury Note(g) | 2.6250 | 02/15/29 | 4,236,528 | ||||||||||
770,000 | United States Treasury Note | 1.5000 | 02/15/30 | 767,323 | ||||||||||
730,000 | United States Treasury Note | 0.8750 | 11/15/30 | 682,322 | ||||||||||
1,820,000 | United States Treasury Note(g) | 1.1250 | 02/15/31 | 1,737,105 | ||||||||||
1,455,000 | United States Treasury Note(g) | 1.8750 | 02/15/51 | 1,321,777 | ||||||||||
13,708,968 | ||||||||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $21,029,474) | 20,066,569 |
See accompanying notes which are an integral part of these financial statements.
24
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENTS — 16.6% | ||||||||
MONEY MARKET FUNDS – 0.2% | ||||||||
211,743 | Fidelity Government Portfolio, Institutional Class, 0.01% (Cost $211,743)(e) | $ | 211,743 | |||||
COLLATERAL FOR SECURITIES LOANED – 16.4% | ||||||||
15,183,091 | Mount Vernon Liquid Assets Portfolio, 0.11% (Cost $15,183,091)(e),(h) | 15,183,091 | ||||||
TOTAL SHORT-TERM INVESTMENTS | 15,394,834 | |||||||
TOTAL INVESTMENTS – 113.8% (Cost $105,357,239) | $ | 105,662,314 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (13.8)% | (12,849,734 | ) | ||||||
NET ASSETS - 100.0% | $ | 92,812,580 |
CMBS | - Commercial Mortgage Backed Security |
ABS | - Asset Backed Security |
ETF | - Exchange-Traded Fund |
LLC | - Limited Liability Company |
LP | - Limited Partnership |
LTD | - Limited Company |
PLC | - Public Limited Company |
SARL | - Private Limited Liability Company in Luxemburg |
H15T10Y | US Treasury Yield Curve Rate T Note Constant Maturity 10 Year |
H15T5Y | US Treasury Yield Curve Rate T Note Constant Maturity 5 Year |
SOFRRATE | United States SOFR Secured Overnight Financing Rate |
US0001M | ICE LIBOR USD 1 Month |
US0002M | ICE LIBOR USD 2 Month |
US0003M | ICE LIBOR USD 3 Month |
USSW5 | USD SWAP SEMI 30/360 5YR |
(a) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of April 30, 2021 the total market value of 144A securities is 37,330,708 or 40.2% of net assets. |
(b) | Step bond. Coupon rate is fixed rate that changes on a specified date. The rate shown is the current rate at April 30, 2021. |
(c) | Variable rate security; the rate shown represents the rate on April 30, 2021. |
(d) | Percentage rounds to less than 0.1%. |
(e) | Rate disclosed is the seven day effective yield as of April 30, 2021. |
(f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
(g) | All or a portion of these securities are on loan. Total loaned securities had a value of $14,872,875 at April 30, 2021. |
(h) | 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%. |
See accompanying notes which are an integral part of these financial statements.
25
DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited)(Continued)
April 30, 2021
Portfolio Composition * - (Unaudited)
Corporate Bonds | 27.9 | % | Municipal Bonds | 2.0 | % | |||||
Asset Backed Securities | 26.4 | % | Non U.S. Government & Agencies | 1.7 | % | |||||
U.S. Government & Agencies | 19.0 | % | Others ** | 15.0 | % | |||||
Bank Loans | 8.0 | % | Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2021 |
** | Includes collateral for securities loaned as of April 30, 2021. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes which are an integral part of these financial statements.
26
Dunham Floating Rate Bond Fund (Unaudited) |
Message from the Sub-Adviser (Newfleet Asset Management, LLC) |
Asset Class Recap
Although headlines have captured the theme of rising interest rates in the intermediate-term and long-term maturity ranges, short-term rates have stubbornly remained near zero, not providing for a new take. However, that may in fact be one of the more important features of the presently evolving yield curve. As three-month Treasury Bill yields have been range-bound between just shy of 9 basis points and slightly dipping into negative territory since the start of the fiscal year, longer-term yields have surged, creating meaningful steepness in the yield curve. As riskier assets are generally associated with longer investment time horizons, the demand for yield from high-yield bonds and bank loans tends to be compared to longer-term interest rates, such as the 10-year Treasury Bond yield or intermediate-term Treasury Note yields. However, bank loan yields are generally stated as a spread over LIBOR, a short-term rate that has historically been more akin to a short-term Treasury yield. Three-month LIBOR fluctuated between 17 basis points and 25 basis points during the six-month period ended April 30, 2021. After accounting for the average spread imposed on bank loans, the average yield on the 100 largest bank loans, as measured by the S&P LSTA Leveraged Loan 100 Index, declined from 4.79 percent at the start of the fiscal year to as low as 3.63 percent in mid-February, until it settled at 3.70 percent at the end of April. This yield decline of nearly 110 basis points was completely opposite to the rise in intermediate-term and long-term interest rates. This signaled that investors were willing to accept significantly lower yields from bank loans, despite prevailing interest rates increasing, in exchange for some of the features they provide – primarily a coupon that fluctuates with LIBOR. During the six-month period ended April 30, 2021, bank loans in general, as measured by the Credit Suisse Leveraged Loan Index, increased 6.1 percent.
Allocation Review
Although the Fund is predominately represented by bank loans, the Fund had approximately 4 percent allocated to traditional high-yield bonds during the fiscal six-month period. High-yield bonds in general, as measured by the ICE BofA Merrill Lynch U.S. Cash Pay High-Yield Index, increased 8.0 percent since the start of the fiscal year. However, this includes all credit qualities, and bonds rated CCC and lower led the pack by a wide margin, increasing close to 18.8 percent during the six-month period. The Fund primarily held high-yield bonds rated BB and B, which increased 6.6 percent. Therefore, the benefit of traditional bonds to the Fund was fairly muted given the higher-rated bonds’ similar return to bank loans over the six-month period. In regard to sector exposures, the Fund’s largest overweights were to the forest products and containers industry and to the healthcare industry, while the largest underweights were to the information technology and financial services industries. The overweight to the healthcare industry made it the largest weighting in the Fund, while the information technology industry was the largest weighting in the benchmark index. The Fund did not have any exposure to derivatives during the six-month period that meaningfully affected performance.
Holdings Insights
Industries with direct COVID-19 risk, including energy and leisure, received a tailwind during the six-month period as the excitement surrounding reopening caused investors to revisit downtrodden securities from the shutdown era in 2020. Within the energy industry, the Fund continued to hold the Traverse Midstream Partners LLC bank loan maturing in 2024 (BL2518134) (holding weight*: 0.24 percent), a producer of non-operated midstream assets, and the CITGO Petroleum Corp. bank loan maturing in 2024 (BL2943522) (holding weight*: 0.28 percent), a refiner, transporter, and marketer of motor fuels, lubricants, petrochemicals, and other industrial products. During the six-month period, the Traverse Midstream and CITGO Petroleum bank loans appreciated close to 10.9 percent and 10.6 percent, respectively as recovering energy prices benefitted the issuers in the space. Similarly, in the leisure industry group, the Fund continued to hold the Golden Nugget LLC bank loan maturing in 2023 (BL3294289) (holding weight*: 0.59 percent), a Nevada-based casino owner and operator. As casinos welcomed back patrons who had recently received a few rounds of fresh stimulus checks, the Golden Nugget bank loan appreciated, rising 13.5 percent over the six-month period.
Clearly, not all boats rose with the rising tide caused by the reopening, as utilities broadly struggled. For example, the Fund held the Lightstone Holdco LLC bank loan maturing in 2024 (BL2630962) (holding weight*: 0.19 percent), a portfolio of four power generation facilities in Ohio and Indiana. During the six-month period, the bank loan declined 8.0 percent, making it one of the largest detractors during the fiscal period. One of the largest holdings in the Fund was the INEOS US Finance LLC bank loan maturing in 2024 (BL2552414) (holding weight*: 1.15 percent), a multinational chemicals company. During the fiscal six-month period, the INEOS bank loan appreciated 2.8 percent, detracting from the Fund’s relative performance. One of the strongest performers and contributors to overall returns during the six-month period was the Isagenix International LLC bank loan maturing in 2025 (BL2682096) (holding weight*: 0.20 percent), a multi-level marketing company that sells dietary supplements and personal care products. Although the holding appreciated nearly 44 percent during the fiscal six-month period, it only recaptured a portion of its losses from the previous fiscal year. An issuer that has historically adversely affected the Fund in both the traditional high-yield bond exposure as well as through owning the bank loan was Diamond Sports Group LLC, a sports marketing company. The Fund held the corporate bond maturing in 2026 (25277LAA4) (holding weight*: 0.08 percent) and the bank loan also maturing in 2026. Both the corporate bond and the bank loan posted a gain during the fiscal six-month period, as they recovered from a large sell-off in the previous fiscal year. The bond and the loan increased 28.5 percent and 16.9 percent, respectively during the six-month period. However, both ranked amongst the poorest performers in the Fund during the second fiscal quarter, as the bond dropped 8.4 percent and the bank loan shed 15.4 percent.
Sub-Adviser Outlook
While the small percentage of credits priced below 80 cents, which now stands at only 1 percent of the market and the lowest level since mid/late 2014, indicates some level of market health, it also provides a very limited opportunity set for total return potential going forward. Therefore, the Sub-Adviser anticipates that the return profile in loans from this point to be centered around the coupon, primarily due to the substantial amount of loans that are trading near par. This will put larger importance on loss avoidance and make active credit selection even more crucial. Using extensive credit and company analysis and monitoring, the Sub-Adviser seeks securities with strong income potential while maintaining an emphasis on managing risk.
* | Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 4/30/2021. |
Growth of $100,000 Investment |
Total Returns (a) as of April 30, 2021 | ||||
Annualized | ||||
Annualized | Since Inception | |||
Six Months | One Year | Five Years | (11/1/13) | |
Class N | 5.18% | 12.47% | 3.14% | 2.56% |
Class A with load of 4.50% | 0.32% | 7.00% | 1.93% | 1.68% |
Class A without load | 5.06% | 12.08% | 2.87% | 2.30% |
Class C | 4.69% | 11.52% | 2.37% | 1.79% |
Credit Suisse Leveraged Loan Total Return Index | 6.08% | 16.39% | 5.04% | 4.15% |
Morningstar Bank Loan Category | 5.35% | 13.59% | 3.86% | 3.02% |
(a) | Total Returns are calculated based on traded NAVs. |
The Credit Suisse Leveraged Loan Total Return Index tracks the investable market of the U.S. dollar denominated leveraged loan market. It consists of issues rated “5B” or lower, meaning that the highest rated issues included in this index are Moody’s/S&P ratings of Baa1/BB+ or Ba1/BBB+. All loans are funded term loans with a tenor of at least one year and are made by issuers domiciled in developed countries.
The 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 1.01% for Class N, 1.76% for Class C and 1.26% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com |
27
DUNHAM FLOATING RATE BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS - 0.3% | ||||||||
PUBLISHING & BROADCASTING - 0.1% | ||||||||
40,131 | Clear Channel Outdoor Holdings, Inc. (a) | $ | 100,729 | |||||
2,133 | iHeartMedia, Inc. - Class A (a) | 40,825 | ||||||
29 | iHeartMedia, Inc. - Class B (a)(e) | 497 | ||||||
142,051 | ||||||||
METALS & MINING - 0.1% | ||||||||
23,114 | Covia Holdings, LLC (a) | 200,803 | ||||||
RETAIL - DISCRETIONARY - 0.1% | ||||||||
17,244 | Libbey Glass, Inc. (a) | 31,617 | ||||||
1,963 | NMG Parent, LLC (a) | 154,095 | ||||||
185,712 | ||||||||
TOTAL COMMON STOCKS (Cost - $1,930,547) | 528,566 | |||||||
EXCHANGE TRADED FUNDS - 1.2% | ||||||||
FIXED INCOME FUNDS - 1.2% | ||||||||
56,347 | Invesco Senior Loan ETF (f) | 1,248,086 | ||||||
33,710 | SPDR Bloomberg Barclays Short Term High Yield Bond ETF (f) | 925,339 | ||||||
TOTAL EXCHANGE TRADED FUNDS - (Cost - $2,177,460) | 2,173,425 |
Principal | Coupon | |||||||||||
Amount ($) | Rate (%) | Maturity | ||||||||||
CORPORATE BONDS - 3.4% | ||||||||||||
AEROSPACE/DEFENSE - 0.2% | ||||||||||||
185,000 | Spirit AeroSystems, Inc. | 3.9500 | 6/15/2023 | 183,728 | ||||||||
160,000 | Spirit AeroSystems, Inc. (d) | 5.5000 | 1/15/2025 | 169,400 | ||||||||
353,128 | ||||||||||||
ASSET MANAGEMENT - 0.2% | ||||||||||||
360,000 | Icahn Enterprises, L.P. / Icahn Enterprises Finance Corporation | 4.7500 | 9/15/2024 | 377,694 | ||||||||
BIOTECHNOLOGY & PHARMACEUTICALS - 0.2% | ||||||||||||
445,000 | Bausch Health Companies, Inc. (d) | 5.5000 | 11/01/2025 | 459,463 | ||||||||
CABLE & SATELLITE - 0.3% | ||||||||||||
180,000 | CCO Holdings, LLC / CCO Holdings Capital Corporation (d) | 4.0000 | 3/01/2023 | 182,137 | ||||||||
235,000 | Radiate Holdco, LLC / Radiate Finance, Inc. (d) | 4.5000 | 9/15/2026 | 239,638 | ||||||||
85,000 | Sirius XM Radio, Inc. (d) | 4.6250 | 7/15/2024 | 87,338 | ||||||||
509,113 | ||||||||||||
CHEMICALS - 0.1% | ||||||||||||
230,000 | INEOS Quattro Finance 2 plc (d) | 3.3750 | 1/15/2026 | 229,740 | ||||||||
CONTAINERS & PACKAGING - 0.4% | ||||||||||||
475,000 | Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. (d) | 4.1250 | 8/15/2026 | 489,250 | ||||||||
200,000 | Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. (d) | 5.2500 | 8/15/2027 | 204,667 | ||||||||
693,917 | ||||||||||||
ENTERTAINMENT CONTENT - 0.1% | ||||||||||||
210,000 | Diamond Sports Group, LLC / Diamond Sports Finance Company (d)(f) | 5.3750 | 8/15/2026 | 153,562 | ||||||||
FOOD - 0.1% | ||||||||||||
175,000 | Dole Food Company, Inc. (d) | 7.2500 | 6/15/2025 | 178,919 | ||||||||
HEALTH CARE FACILITIES & SERVICES - 0.5% | ||||||||||||
215,000 | CHS / Community Health Systems, Inc. (d) | 6.6250 | 2/15/2025 | 227,055 | ||||||||
5,000 | Legacy LifePoint Health, LLC (d) | 6.7500 | 4/15/2025 | 5,325 | ||||||||
135,000 | Legacy LifePoint Health, LLC (d) | 4.3750 | 2/15/2027 | 135,173 | ||||||||
405,000 | Tenet Healthcare Corporation | 4.6250 | 7/15/2024 | 411,622 | ||||||||
50,000 | Tenet Healthcare Corporation (d)(f) | 7.5000 | 4/01/2025 | 53,937 | ||||||||
833,112 | ||||||||||||
HOUSEHOLD PRODUCTS - 0.0% (i) | ||||||||||||
5,000 | Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. (d) | 5.0000 | 12/31/2026 | 5,048 | ||||||||
INSURANCE - 0.1% | ||||||||||||
190,000 | Acrisure, LLC / Acrisure Finance, Inc. (d) | 4.2500 | 2/15/2029 | 185,961 | ||||||||
LEISURE FACILITIES & SERVICES - 0.5% | ||||||||||||
80,000 | Caesars Entertainment, Inc. (d) | 6.2500 | 7/01/2025 | 85,156 | ||||||||
190,000 | Carnival Corporation (d) | 11.5000 | 4/01/2023 | 218,585 | ||||||||
360,000 | International Game Technology plc (d)(f) | 4.1250 | 4/15/2026 | 371,398 | ||||||||
150,000 | NCL Corporation Ltd. (d) | 5.8750 | 3/15/2026 | 156,974 | ||||||||
832,113 | ||||||||||||
METALS & MINING - 0.0% (i) | ||||||||||||
50,000 | Cleveland-Cliffs, Inc. (d) | 6.7500 | 3/15/2026 | 54,313 | ||||||||
PUBLISHING & BROADCASTING - 0.2% | ||||||||||||
65,000 | Clear Channel Worldwide Holdings, Inc. (d) | 5.1250 | 8/15/2027 | 66,072 | ||||||||
96,514 | iHeartCommunications, Inc. | 6.3750 | 5/01/2026 | 103,000 | ||||||||
174,933 | iHeartCommunications, Inc. | 8.3750 | 5/01/2027 | 187,922 | ||||||||
356,994 | ||||||||||||
See accompanying notes which are an integral part of these financial statements.
28
DUNHAM FLOATING RATE BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon | ||||||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | |||||||||||||
CORPORATE BONDS - 3.4% (Continued) | |||||||||||||||||
REITS - 0.3% | |||||||||||||||||
460,000 | iStar, Inc. | 4.2500 | 8/01/2025 | $ | 467,107 | ||||||||||||
60,000 | MGM Growth Properties Operating Partnership, L.P. / MGP Finance Co-Issuer, Inc. (d) | 4.6250 | 6/15/2025 | 63,957 | |||||||||||||
531,064 | |||||||||||||||||
RETAIL - DISCRETIONARY - 0.0% (i) | |||||||||||||||||
55,000 | Magic MergerCo, Inc. (d) | 5.2500 | 5/01/2028 | 55,756 | |||||||||||||
SPECIALTY FINANCE - 0.1% | |||||||||||||||||
140,000 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corporation (d) | 4.2500 | 2/01/2027 | 137,623 | |||||||||||||
TELECOMMUNICATIONS - 0.0% (i) | |||||||||||||||||
45,000 | Level 3 Financing, Inc. (d) | 4.2500 | 7/01/2028 | 45,399 | |||||||||||||
25,000 | Telesat Canada / Telesat, LLC (d)(f) | 5.6250 | 11/06/2026 | 25,193 | |||||||||||||
70,592 | |||||||||||||||||
TRANSPORTATION & LOGISTICS - 0.1% | |||||||||||||||||
110,000 | American Airlines, Inc. / AAdvantage Loyalty IP Ltd. (d)(f) | 5.5000 | 4/20/2026 | 115,637 | |||||||||||||
45,000 | American Airlines, Inc. / AAdvantage Loyalty IP Ltd. (d) | 5.7500 | 4/20/2029 | 48,274 | |||||||||||||
35,000 | United Airlines, Inc. (d) | 4.3750 | 4/15/2026 | 36,364 | |||||||||||||
35,000 | United Airlines, Inc. (d)(f) | 4.6250 | 4/15/2029 | 36,416 | |||||||||||||
236,691 | |||||||||||||||||
TOTAL CORPORATE BONDS (Cost - $6,155,379) | 6,254,803 | ||||||||||||||||
TERM LOANS - 97.0% | |||||||||||||||||
BASIC MATERIALS - 5.4% | |||||||||||||||||
960,595 | Acuity Specialty Products, Inc. (aka Zep, Inc.), Initial Term Loan (First Lien) | LIBOR + 4.000 | % | 5.0000 | (h) | 8/12/2024 | 952,722 | ||||||||||
445,000 | Aruba Investments Holdings, LLC, Initial Dollar Term Loan (First Lien) | LIBOR + 4.000 | % | 4.7500 | (h) | 11/24/2027 | 445,556 | ||||||||||
221,632 | Ascend Performance Materials Operations LLC, 2021 Refinancing Term Loan | LIBOR + 4.750 | % | 5.5000 | (h) | 8/28/2026 | 225,048 | ||||||||||
232,874 | Covia Holdings, LLC, Initial Term Loan (b) | LIBOR + 4.000 | % | 5.0000 | (h) | 8/01/2026 | 225,274 | ||||||||||
350,000 | CPC Acquisition Corporation (aka Innovative Chemical Products), Initial Term Loan (First Lien) | LIBOR + 3.750 | % | 4.5000 | (h) | 12/28/2027 | 350,658 | ||||||||||
1,196,817 | Diamond (BC) B.V. (aka Diversey), Initial USD Term Loan | LIBOR + 3.000 | % | 3.1854 | (h) | 9/06/2024 | 1,193,526 | ||||||||||
718,545 | Element Solutions, Inc. (Macdermid, Inc.), Tranche B-1 Term Loan | LIBOR + 2.000 | % | 2.1133 | (h) | 1/30/2026 | 716,522 | ||||||||||
564,938 | Hexion, Inc., USD Term Loan | LIBOR + 3.500 | % | 3.7016 | (h) | 6/30/2026 | 565,409 | ||||||||||
520,000 | INEOS Styrolution Group GmbH, 2026 Tranche B Dollar Term Loan | LIBOR + 2.750 | % | 3.2500 | (h) | 1/28/2026 | 518,619 | ||||||||||
2,258,457 | Ineos US Finance LLC, New 2024 Dollar Term Loan | LIBOR + 2.000 | % | 2.1133 | (h) | 3/31/2024 | 2,236,437 | ||||||||||
440,550 | Innophos Holdings, Inc., Initial Term Loan | LIBOR + 3.500 | % | 3.6133 | (h) | 2/04/2027 | 440,275 | ||||||||||
510,000 | Lonza Group AG, Term Loan B | LIBOR + 4.000 | % | 4.1070 | (h) | 4/30/2028 | 504,900 | ||||||||||
1,075,480 | Nouryon Finance B.V. (aka AkzoNobel), Initial Dollar Term Loan | LIBOR + 2.750 | % | 2.8650 | (h) | 9/30/2025 | 1,063,827 | ||||||||||
45,000 | PQ Group Holdings Inc., Term Loan | LIBOR + 3.500 | % | 3.6070 | (h) | 4/30/2028 | 44,775 | ||||||||||
525,000 | Trinseo Materials Operating S.C.A. (fka Styron S.A.R.L), Term Loan | LIBOR + 2.500 | % | 2.6070 | (h) | 3/18/2028 | 522,047 | ||||||||||
10,005,595 | |||||||||||||||||
COMMUNICATIONS - 14.9% | |||||||||||||||||
210,000 | Acuris Finance US, Inc., Initial Dollar Term Loan | LIBOR + 4.000 | % | 4.5000 | (h) | 2/16/2028 | 210,394 | ||||||||||
229,125 | Altice France S.A., USD TLB-13 Incremental Term Loan | LIBOR + 4.000 | % | 4.1937 | (h) | 8/14/2026 | 228,961 | ||||||||||
313,454 | Aventiv Technologies, LLC, Initial Term Loan (First Lien) | LIBOR + 4.500 | % | 5.5000 | (h) | 10/31/2024 | 291,415 | ||||||||||
606,950 | Barracuda Networks, Inc., 2020 Term Loan (First Lien) | LIBOR + 3.750 | % | 4.5000 | (h) | 2/12/2025 | 607,178 | ||||||||||
1,318,105 | Charter Communications Operating, LLC (aka CCO Safari LLC), Term B-2 Loan | LIBOR + 1.750 | % | 1.8633 | (h) | 1/31/2027 | 1,312,951 | ||||||||||
833,661 | Clear Channel Outdoor Holdings, Inc., Term B Loan | LIBOR + 3.500 | % | 3.6854 | (h) | 8/20/2026 | 809,523 | ||||||||||
660,000 | CNT Holdings I Corporation, Initial Term Loan (First Lien) | LIBOR + 3.750 | % | 4.5000 | (h) | 11/08/2027 | 659,743 | ||||||||||
546,214 | Consolidated Communications, Inc., Term B-1 Loan | LIBOR + 3.500 | % | 4.2500 | (h) | 10/02/2027 | 546,020 | ||||||||||
1,720,456 | CSC Holdings, LLC (fka CSC Holdings, Inc. (Cablevision)), March 2017 Refinancing Term Loan | LIBOR + 2.250 | % | 2.3646 | (h) | 7/16/2025 | 1,704,714 | ||||||||||
371,450 | CSC Holdings, LLC (fka CSC Holdings, Inc. (Cablevision)), October 2018 Incremental Term Loan | LIBOR + 2.250 | % | 2.3646 | (h) | 1/16/2026 | 368,298 | ||||||||||
598,617 | Diamond Sports Group, LLC, Term Loan | LIBOR + 3.250 | % | 3.3633 | (h) | 8/24/2026 | 430,094 | ||||||||||
923,691 | Hoya Midco, LLC (aka Vivid Seats, LLC), Initial Term Loan (First Lien) | LIBOR + 3.500 | % | 4.5000 | (h) | 6/30/2024 | 918,930 | ||||||||||
1,771,116 | iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.), New Term Loan | LIBOR + 3.000 | % | 3.1133 | (h) | 4/30/2026 | 1,752,307 | ||||||||||
660,000 | Intelsat Jackson Holdings S.A., Tranche B-3 Term Loan | LIBOR + 5.750 | % | 8.0000 | (h) | 11/28/2023 | 672,873 | ||||||||||
354,000 | Intelsat Jackson Holdings S.A., Tranche B-5 Term Loan | LIBOR + 8.630 | % | 8.6250 | (h) | 1/02/2024 | 361,712 | ||||||||||
243,125 | Intrado Corporation, Incremental Term B-1 Loan | LIBOR + 3.500 | % | 4.5000 | (h) | 10/10/2024 | 235,932 | ||||||||||
436,139 | Intrado Corporation, Initial Term B Loan | LIBOR + 4.000 | % | 5.0000 | (h) | 10/10/2024 | 426,440 | ||||||||||
180,000 | ION Trading Finance Limited, Initial Dollar Term Loan (2021) | LIBOR + 4.750 | % | 4.9516 | (h) | 3/31/2028 | 180,393 | ||||||||||
1,936,567 | Level 3 Financing, Inc., Tranche B 2027 Term Loan | LIBOR + 1.750 | % | 1.8633 | (h) | 2/28/2027 | 1,915,991 | ||||||||||
725,813 | Lumen Technologies, Inc., Term B Loan | LIBOR + 2.250 | % | 2.3633 | (h) | 3/16/2027 | 718,554 | ||||||||||
830,155 | McGraw Hill, LLC, Term B Loan (First Lien) | LIBOR + 4.750 | % | 5.7500 | (h) | 10/31/2024 | 836,552 | ||||||||||
520,864 | Meredith Corporation, Tranche B-2 Term Loan | LIBOR + 2.500 | % | 2.6133 | (h) | 2/01/2025 | 515,476 | ||||||||||
905,472 | Nexstar Broadcasting, Inc., Term B-4 Loan | LIBOR + 2.500 | % | 2.6151 | (h) | 9/18/2026 | 902,701 | ||||||||||
625,625 | Numericable U.S., LLC, USD TLB-11 Term Loan | LIBOR + 2.750 | % | 2.9355 | (h) | 8/01/2025 | 613,829 | ||||||||||
770,773 | Numericable U.S., LLC, USD TLB-[12] Term Loan | LIBOR + 3.688 | % | 3.8712 | (h) | 2/01/2026 | 765,956 | ||||||||||
509,857 | Plantronics, Inc., Initial Term B Loan | LIBOR + 2.500 | % | 2.6133 | (h) | 7/02/2025 | 504,369 | ||||||||||
740,625 | Pug, LLC, USD Term B Loan | LIBOR + 3.500 | % | 3.6133 | (h) | 2/12/2027 | 720,721 | ||||||||||
126,583 | Radiate HoldCo, LLC (aka RCN Grande), Term B Loan | LIBOR + 3.500 | % | 4.2500 | (h) | 9/24/2026 | 126,861 | ||||||||||
627,263 | Rodan & Fields, LLC, Closing Date Term Loan | LIBOR + 4.000 | % | 4.1146 | (h) | 6/16/2025 | 512,003 | ||||||||||
1,127,647 | SBA Senior Finance II, LLC, Initial Term Loan | LIBOR + 1.750 | % | 1.8633 | (h) | 4/12/2025 | 1,121,541 | ||||||||||
850,163 | Sinclair Television Group, Inc., Term B-3 Loan | LIBOR + 3.000 | % | 3.1102 | (h) | 3/31/2028 | 847,328 | ||||||||||
1,052,154 | Uber Technologies, Inc., 2021 Refinancing Term Loan | LIBOR + 3.500 | % | 3.6061 | (h) | 2/24/2027 | 1,052,227 | ||||||||||
1,966,091 | Univision Communications, Inc., 2017 Replacement Repriced First-Lien Term Loan | LIBOR + 2.750 | % | 3.7500 | (h) | 3/16/2024 | 1,963,909 | ||||||||||
805,000 | UPC Financing Partnership, Term Loan B USD | LIBOR + 3.000 | % | 3.1070 | (h) | 1/31/2029 | 799,216 | ||||||||||
761,538 | UPC Financing Partnership, Facility AV | LIBOR + 3.500 | % | 3.6146 | (h) | 2/01/2029 | 756,067 | ||||||||||
500,000 | Virgin Media Bristol, LLC, N Facility | LIBOR + 2.500 | % | 2.6146 | (h) | 2/01/2028 | 496,500 | ||||||||||
609,934 | Zayo Group Holdings, Inc., Initial Dollar Term Loan | LIBOR + 3.000 | % | 3.1133 | (h) | 3/08/2027 | 604,597 | ||||||||||
27,492,276 | |||||||||||||||||
See accompanying notes which are an integral part of these financial statements.
29
DUNHAM FLOATING RATE BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon | ||||||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | |||||||||||||
TERM LOANS - 97.0% (Continued) | |||||||||||||||||
CONSUMER, CYCLICAL - 16.8% | |||||||||||||||||
154,613 | 84 Lumber Company, Term B-1 Loan | LIBOR + 3.000 | % | 3.7500 | (h) | 11/12/2026 | $ | 154,941 | |||||||||
420,000 | AAdvantage Loyalty IP Ltd. (American Airlines, Inc.), Initial Term Loan | LIBOR + 4.750 | % | 5.5000 | (h) | 4/20/2028 | 432,487 | ||||||||||
441,637 | Accuride Corporation, 2017 Refinancing Term Loan | LIBOR + 5.250 | % | 6.2500 | (h) | 11/16/2023 | 419,712 | ||||||||||
479,568 | American Airlines, Inc., 2017 Class B Term Loan | LIBOR + 2.000 | % | 2.1146 | (h) | 12/16/2023 | 463,409 | ||||||||||
950,453 | American Axle & Manufacturing, Inc., Tranche B Term Loan | LIBOR + 2.250 | % | 3.0000 | (h) | 4/06/2024 | 947,568 | ||||||||||
1,092,437 | American Builders & Contractors Supply Company, Inc., Restatement Effective Date Term Loan | LIBOR + 2.000 | % | 2.1133 | (h) | 1/16/2027 | 1,084,860 | ||||||||||
1,357,024 | Aramark Intermediate HoldCo Corporation, U.S. Term B-3 Loan | LIBOR + 1.750 | % | 1.8633 | (h) | 3/12/2025 | 1,342,246 | ||||||||||
305,000 | Aramark Intermediate HoldCo Corporation, U.S. Term B-5 Loan | LIBOR + 2.500 | % | 2.6133 | (h) | 4/06/2028 | 304,352 | ||||||||||
49,625 | Aristocrat Leisure Limited, Initial Term Loan | LIBOR + 3.750 | % | 4.7500 | (h) | 10/20/2024 | 49,805 | ||||||||||
1,368,045 | Aristocrat Leisure Limited, Term B-3 Loan | LIBOR + 1.750 | % | 1.9382 | (h) | 10/20/2024 | 1,362,402 | ||||||||||
676,600 | Caesars Resort Collection, LLC, Term B-1 Loan | LIBOR + 4.500 | % | 4.6132 | (h) | 6/20/2025 | 679,523 | ||||||||||
544,020 | Carlisle FoodService Products, Incorporated, Initial Term Loan (First Lien) | LIBOR + 3.000 | % | 4.0000 | (h) | 3/20/2025 | 530,420 | ||||||||||
129,025 | Carnival Corporation, Initial Advance (USD) | LIBOR + 7.500 | % | 8.5000 | (h) | 6/30/2025 | 133,170 | ||||||||||
363,673 | CCM Merger, Inc. (MotorCity Casino Hotel), Term B Loan | LIBOR + 3.750 | % | 4.5000 | (h) | 11/04/2025 | 365,266 | ||||||||||
1,309,467 | CityCenter Holdings, LLC, Term B Loan | LIBOR + 2.250 | % | 3.0000 | (h) | 4/18/2024 | 1,296,622 | ||||||||||
826,511 | Clarios Global LP, Amendment No. 1 Dollar Term Loan (First Lien) | LIBOR + 3.250 | % | 3.3633 | (h) | 4/30/2026 | 819,383 | ||||||||||
776,409 | Cooper-Standard Automotive Inc., Additional Term B-1 Loan | LIBOR + 2.000 | % | 2.7500 | (h) | 11/02/2023 | 758,777 | ||||||||||
504,071 | DexKo Global Inc., Replacement U.S. Dollar Term B Loan (First Lien) | LIBOR + 3.500 | % | 4.5000 | (h) | 7/24/2024 | 504,149 | ||||||||||
491,110 | Gateway Casinos & Entertainment Limited, Initial Term Loan | LIBOR + 3.500 | % | 3.6070 | (h) | 3/12/2025 | 486,710 | ||||||||||
650,000 | Gloves Buyer, Inc., Initial Term Loan (First Lien) | LIBOR + 4.000 | % | 4.7500 | (h) | 12/28/2027 | 650,812 | ||||||||||
15,000 | Golden Nugget Online Gaming, Inc., 2020 Initial Term Loan | LIBOR + 12.000 | % | 13.0000 | (h) | 10/04/2023 | 17,025 | ||||||||||
1,152,285 | Golden Nugget, Inc. (aka Landry’s, Inc.), Initial B Term Loan | LIBOR + 2.500 | % | 3.2500 | (h) | 10/04/2023 | 1,140,710 | ||||||||||
1,281,788 | Great Outdoors Group, LLC, Term B-1 Loan | LIBOR + 4.250 | % | 5.0000 | (h) | 3/06/2028 | 1,289,600 | ||||||||||
1,274,970 | Harbor Freight Tools USA, Inc., Initial Loan (2020 | LIBOR + 3.000 | % | 3.7500 | (h) | 10/20/2027 | 1,275,563 | ||||||||||
710,000 | Infinite Bidco, LLC, Initial Term Loan (First Lien) | LIBOR + 3.750 | % | 4.2500 | (h) | 3/02/2028 | 704,970 | ||||||||||
245,000 | Infinite Bidco, LLC, Initial Term Loan (Second Lien) | LIBOR + 7.000 | % | 7.5000 | (h) | 3/02/2029 | 246,838 | ||||||||||
501,896 | Isagenix International, LLC, Senior Lien Term Loan | LIBOR + 5.750 | % | 6.7500 | (h) | 6/14/2025 | 381,965 | ||||||||||
635,000 | J & J Ventures Gaming, LLC, Initial Term Loan | LIBOR + 4.000 | % | 4.7500 | (h) | 4/26/2028 | 635,000 | ||||||||||
576,720 | Kestrel Bidco, Inc. (aka WestJet Airlines), Term Loan | LIBOR + 3.000 | % | 4.0000 | (h) | 12/12/2026 | 559,283 | ||||||||||
675,000 | Michaels Companies, Inc., The, Term B Loan | LIBOR + 4.250 | % | 5.0000 | (h) | 4/14/2028 | 672,891 | ||||||||||
995,000 | Mileage Plus Holdings, LLC (Mileage Plus Intellectual Property Assets, Ltd.), Initial Term Loan | LIBOR + 5.250 | % | 6.2500 | (h) | 6/20/2027 | 1,063,406 | ||||||||||
911,800 | Navistar, Inc., Tranche B Term Loan | LIBOR + 3.500 | % | 3.6075 | (h) | 11/06/2024 | 912,598 | ||||||||||
180,375 | Ozark Holdings, LLC (aka Royal Oak), 2020 Refinancing Term Loan | LIBOR + 4.000 | % | 4.7500 | (h) | 12/16/2027 | 181,051 | ||||||||||
185,000 | PAI Holdco, Inc., Term B Loan (First Lien) | LIBOR + 4.000 | % | 5.0000 | (h) | 10/28/2027 | 185,058 | ||||||||||
545,000 | Petco Health and Wellness Company, Inc., Initial Term Loan (First Lien) | LIBOR + 3.250 | % | 4.0000 | (h) | 3/04/2028 | 542,501 | ||||||||||
520,000 | PetSmart, LLC, Initial Term Loan | LIBOR + 3.750 | % | 4.5000 | (h) | 2/12/2028 | 522,145 | ||||||||||
1,423,878 | Playa Resorts Holding B.V., Initial Term Loan | LIBOR + 2.750 | % | 3.7500 | (h) | 4/28/2024 | 1,366,396 | ||||||||||
210,000 | Resideo Funding, Inc., Initial Term Loan | LIBOR + 2.250 | % | 2.7500 | (h) | 2/12/2028 | 209,870 | ||||||||||
1,042,440 | Scientific Games International, Inc., Initial Term B-5 Loan | LIBOR + 2.750 | % | 2.8633 | (h) | 8/14/2024 | 1,029,014 | ||||||||||
292,995 | Serta Simmons Bedding, LLC, Initial Term Loan (First Lien) | LIBOR + 3.500 | % | 4.5000 | (h) | 11/08/2023 | 230,294 | ||||||||||
445,493 | Station Casinos, LLC, Term B-1 Facility Loan | LIBOR + 2.250 | % | 2.5000 | (h) | 2/08/2027 | 439,973 | ||||||||||
1,076,347 | Tenneco, Inc., Tranche B Term Loan | LIBOR + 3.000 | % | 3.1133 | (h) | 9/30/2025 | 1,053,475 | ||||||||||
687,251 | TKC Holdings, Inc., Initial Term Loan (First Lien) | LIBOR + 3.750 | % | 4.7500 | (h) | 1/31/2023 | 680,880 | ||||||||||
510,000 | Truck Hero, Inc., Initial Term Loan | LIBOR + 3.750 | % | 4.5000 | (h) | 2/01/2028 | 509,798 | ||||||||||
1,071,354 | UFC Holdings, LLC, Term B-3 Loan (First Lien) | LIBOR + 3.000 | % | 3.7500 | (h) | 4/28/2026 | 1,069,093 | ||||||||||
705,000 | United AirLines, Inc., Class B Term Loan | LIBOR + 3.750 | % | 4.5000 | (h) | 4/20/2028 | 714,253 | ||||||||||
545,000 | William Morris Endeavor Entertainment, LLC, Term B-1 Loan (First Lien) | LIBOR + 2.750 | % | 3.5194 | (h) | 5/18/2025 | 533,421 | ||||||||||
30,953,685 | |||||||||||||||||
CONSUMER, NON-CYCLICAL - 23.9% | |||||||||||||||||
454,538 | Accelerated Health Systems, LLC (Athletico Management, LLC), Initial Term Loan | LIBOR + 3.500 | % | 3.6075 | (h) | 11/01/2025 | 453,119 | ||||||||||
880,000 | Adtalem Global Education, Inc., Term Loan B | LIBOR + 4.500 | % | 4.6070 | (h) | 2/12/2028 | 871,935 | ||||||||||
527,172 | Advanz Pharma Corporation, Initial Dollar Term Loan | LIBOR + 5.500 | % | 6.5000 | (h) | 9/06/2024 | 526,953 | ||||||||||
369,075 | Agiliti Health, Inc., Amendment No. 2 Term Loan | LIBOR + 2.750 | % | 3.5000 | (h) | 1/04/2026 | 367,691 | ||||||||||
565,437 | AHP Health Partners, Inc. (aka Ardent Health Partners, LLC), Term B-1 Loan | LIBOR + 3.750 | % | 4.7500 | (h) | 6/30/2025 | 567,295 | ||||||||||
435,000 | AlixPartners, LLP, Initial Dollar Term Loan | LIBOR + 2.750 | % | 3.2500 | (h) | 2/04/2028 | 433,506 | ||||||||||
815,000 | Amentum Government Services Holdings, LLC, Tranche 2 Term Loan (First Lien) | LIBOR + 4.750 | % | 5.5000 | (h) | 1/28/2027 | 819,756 | ||||||||||
493,763 | Arterra Wines Canada, Inc., Initial Tranche B-1 Term Loan | LIBOR + 3.500 | % | 4.2500 | (h) | 11/24/2027 | 494,380 | ||||||||||
908,709 | Bausch Health Companies, Inc., Initial Term Loan | LIBOR + 3.000 | % | 3.1133 | (h) | 6/02/2025 | 908,205 | ||||||||||
161,250 | Bausch Health Companies, Inc., First Incremental Term Loan | LIBOR + 2.750 | % | 2.8633 | (h) | 11/28/2025 | 160,998 | ||||||||||
526,315 | Cano Health, LLC, Initial Term Loan | LIBOR + 4.750 | % | 5.5000 | (h) | 11/24/2027 | 526,315 | ||||||||||
192,366 | Cano Health, LLC, Delayed Draw Term Loan | LIBOR + 4.750 | % | 4.8570 | (h) | 11/24/2027 | 192,366 | ||||||||||
802,693 | CHG Healthcare Services, Inc. (fka CHG Buyer Corporation), New Term Loan (2017) (First Lien) | LIBOR + 3.000 | % | 4.0000 | (h) | 6/08/2023 | 801,501 | ||||||||||
573,775 | CHG PPC Parent, LLC, Initial Term Loan (First Lien) | LIBOR + 2.750 | % | 2.8633 | (h) | 4/01/2025 | 568,754 | ||||||||||
880,575 | Chobani, LLC, 2020 New Term Loan | LIBOR + 3.500 | % | 4.5000 | (h) | 10/24/2027 | 882,116 | ||||||||||
205,000 | City Brewing Company, LLC, Closing Date Term Loan (First Lien) | LIBOR + 3.500 | % | 4.2500 | (h) | 4/04/2028 | 205,769 | ||||||||||
512,020 | CPI Holdco, LLC, Term B-1 Loan (First Lien) | LIBOR + 4.000 | % | 4.1132 | (h) | 11/04/2026 | 512,916 | ||||||||||
822,253 | Dole Food Company, Inc., Tranche B Term Loan | LIBOR + 2.750 | % | 3.7500 | (h) | 4/04/2024 | 822,882 | ||||||||||
733,988 | Endo Luxembourg Finance Company I S.a r.l., 2021 Term Loan | LIBOR + 5.000 | % | 5.7500 | (h) | 3/28/2028 | 717,289 | ||||||||||
249,367 | Ensemble RCM, LLC, Closing Date Term Loan | LIBOR + 3.750 | % | 3.9355 | (h) | 8/04/2026 | 249,277 | ||||||||||
1,105,871 | Envision Healthcare Corporation, Initial Term Loan | LIBOR + 3.750 | % | 3.8633 | (h) | 10/10/2025 | 931,442 | ||||||||||
541,588 | eResearchTechnology, Inc., Initial Term Loan (First Lien) | LIBOR + 4.500 | % | 4.6070 | (h) | 2/04/2027 | 543,545 | ||||||||||
754,300 | Froneri International Limited, Facility B2 (First Lien) | LIBOR + 2.250 | % | 2.3633 | (h) | 1/28/2027 | 744,309 | ||||||||||
928,063 | Gainwell Acquisition Corporation, Term B Loan (First Lien) | LIBOR + 4.000 | % | 4.7500 | (h) | 9/30/2027 | 930,095 | ||||||||||
610,000 | Garda World Security Corporation, Term B-2 Loan | LIBOR + 4.250 | % | 4.3561 | (h) | 10/30/2026 | 611,653 | ||||||||||
254,504 | Gentiva Health Services, Inc., Term B-1 Loan (First Lien) | LIBOR + 2.750 | % | 2.8633 | (h) | 7/02/2025 | 254,345 | ||||||||||
246,720 | Greenrock Finance, Inc., Initial USD Term B Loan (First Lien) | LIBOR + 3.500 | % | 4.5000 | (h) | 6/28/2024 | 242,939 | ||||||||||
See accompanying notes which are an integral part of these financial statements.
30
DUNHAM FLOATING RATE BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon | ||||||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | |||||||||||||
TERM LOANS - 97.0% (Continued) | |||||||||||||||||
CONSUMER, NON-CYCLICAL - 23.9% (Continued) | |||||||||||||||||
607,764 | Heartland Dental, LLC, Initial Term Loan | LIBOR + 3.500 | % | 3.6133 | (h) | 4/30/2025 | $ | 600,927 | |||||||||
100,302 | Help at Home, LLC, Delayed Draw Term Loan (First Lien) | LIBOR + 5.000 | % | 5.1070 | (h) | 10/22/2027 | 100,678 | ||||||||||
794,698 | Help at Home, LLC, Initial Term Loan (First Lien) | LIBOR + 5.000 | % | 6.0000 | (h) | 10/28/2027 | 797,678 | ||||||||||
1,365,693 | H-Food Holdings, LLC (aka Hearthside Food Solutions, LLC), Initial Term Loan | LIBOR + 3.688 | % | 3.8008 | (h) | 5/24/2025 | 1,355,559 | ||||||||||
579,002 | Hostess Brands, LLC, 2019 Refinancing Term B Loan (First Lien) | LIBOR + 2.250 | % | 3.0000 | (h) | 8/04/2025 | 577,192 | ||||||||||
255,000 | Insulet Corporation, Term Loan | LIBOR + 3.750 | % | 3.8570 | (h) | 5/03/2028 | 255,956 | ||||||||||
510,000 | Jazz Pharmaceuticals, Inc. , Term Loan | LIBOR + 3.500 | % | 3.6070 | (h) | 4/22/2028 | 511,698 | ||||||||||
922,438 | Kronos Acquisition Holdings, Inc., Tranche B-1 Term Loan | LIBOR + 3.750 | % | 4.2500 | (h) | 12/22/2026 | 911,156 | ||||||||||
892,432 | LifePoint Health, Inc. (fka Regionalcare Hospital Partners Holdings, Inc.), Term B Loan (First Lien) | LIBOR + 3.750 | % | 3.8633 | (h) | 11/16/2025 | 890,375 | ||||||||||
820,000 | Mavis Tire Express Services Corporation, Term Loan B | LIBOR + 3.750 | % | 3.8570 | (h) | 4/30/2028 | 815,900 | ||||||||||
360,000 | MedRisk, Inc., Term Loan | LIBOR + 3.750 | % | 3.8570 | (h) | 4/01/2028 | 358,724 | ||||||||||
515,678 | Milk Specialties Company, New Term Loan | LIBOR + 4.000 | % | 5.0000 | (h) | 8/16/2023 | 516,405 | ||||||||||
947,701 | NAB Holdings, LLC (aka North American Bancard Holdings), 2018 Refinancing Term Loan | LIBOR + 3.000 | % | 4.0000 | (h) | 6/30/2024 | 946,218 | ||||||||||
90,437 | National Mentor Holdings, Inc. (aka Civitas Solutions, Inc.), Delayed Draw Term Loan (First Lien) | LIBOR + 3.750 | % | 3.8570 | (h) | 2/18/2028 | 90,465 | ||||||||||
822,157 | National Mentor Holdings, Inc. (aka Civitas Solutions, Inc.), Initial Term Loan (First Lien) | LIBOR + 3.750 | % | 4.5000 | (h) | 3/02/2028 | 822,412 | ||||||||||
27,405 | National Mentor Holdings, Inc. (aka Civitas Solutions, Inc.), Initial Term C Loan (First Lien) | LIBOR + 3.750 | % | 4.5000 | (h) | 3/02/2028 | 27,414 | ||||||||||
1,205,000 | One Call Corporation, Cov-Lite Term Loan | LIBOR + 5.500 | % | 5.6070 | (h) | 4/08/2027 | 1,215,544 | ||||||||||
619,261 | Ortho-Clinical Diagnostics, Inc., Second Amendment New Term Loan | LIBOR + 3.250 | % | 3.3604 | (h) | 6/30/2025 | 619,183 | ||||||||||
520,000 | Packaging Coordinators Midco, Inc., Term B Loan (First Lien) | LIBOR + 3.750 | % | 4.5000 | (h) | 11/30/2027 | 520,489 | ||||||||||
840,744 | Parexel International Corporation, Initial Term Loan | LIBOR + 2.750 | % | 2.8633 | (h) | 9/28/2024 | 834,325 | ||||||||||
1,069,565 | Parfums Holding Company, Inc., Initial Term Loan (First Lien) | LIBOR + 4.000 | % | 4.1070 | (h) | 6/30/2024 | 1,061,276 | ||||||||||
882,478 | PetVet Care Centers, LLC, Initial Term Loan (First Lien) | LIBOR + 2.750 | % | 2.8633 | (h) | 2/14/2025 | 868,279 | ||||||||||
62,531 | PetVet Care Centers, LLC, 2018 Term Loan (First Lien) | LIBOR + 3.250 | % | 3.3633 | (h) | 2/14/2025 | 62,232 | ||||||||||
487,830 | PetVet Care Centers, LLC, 2021 First Lien Replacement Term Loan | LIBOR + 3.500 | % | 4.2500 | (h) | 2/14/2025 | 487,984 | ||||||||||
533,586 | Phoenix Guarantor, Inc. (aka Brightspring), Tranche B-1 Term Loan (First Lien) | LIBOR + 3.250 | % | 3.3575 | (h) | 3/04/2026 | 528,060 | ||||||||||
554,550 | Phoenix Guarantor, Inc. (aka Brightspring), Tranche B-3 Term Loan (First Lien) | LIBOR + 3.500 | % | 3.6156 | (h) | 3/04/2026 | 550,391 | ||||||||||
399,000 | Pluto Acquisition I, Inc. (aka AccentCare, Inc.), 2020 Incremental Term Loan (First Lien) | LIBOR + 5.000 | % | 5.5000 | (h) | 6/22/2026 | 401,743 | ||||||||||
400,000 | PPD, Inc., Initial Term Loan | LIBOR + 2.250 | % | 2.7500 | (h) | 1/12/2028 | 399,812 | ||||||||||
591,910 | Precision Medicine Group, LLC, Amendment No. 1 Refinancing Term Loan | LIBOR + 3.000 | % | 3.7500 | (h) | 11/18/2027 | 590,554 | ||||||||||
61,607 | Precision Medicine Group, LLC, Amendment No. 1 Refinancing DDTL | LIBOR + 3.000 | % | 3.1070 | (h) | 11/20/2027 | 61,466 | ||||||||||
632,966 | Select Medical Corporation, Tranche B Term Loan | LIBOR + 2.250 | % | 2.3633 | (h) | 3/06/2025 | 627,431 | ||||||||||
1,374,336 | Shearer’s Foods, LLC, Refinancing Term Loan (First Lien) | LIBOR + 3.500 | % | 4.2500 | (h) | 9/24/2027 | 1,374,940 | ||||||||||
839,346 | Sigma Holdco B.V. (aka Flora Foods), Facility B2 | LIBOR + 3.000 | % | 3.2595 | (h) | 7/02/2025 | 828,854 | ||||||||||
485,000 | Sotera Health Holdings, LLC, Refinancing Loan (First Lien) | LIBOR + 2.750 | % | 3.2500 | (h) | 12/12/2026 | 483,181 | ||||||||||
86,234 | Southern Veterinary Partners, LLC, Delayed Draw Term Loan (First Lien) | LIBOR + 4.000 | % | 4.1070 | (h) | 10/02/2027 | 86,288 | ||||||||||
623,632 | Southern Veterinary Partners, LLC, Initial Term Loan (First Lien) | LIBOR + 4.000 | % | 5.0000 | (h) | 10/04/2027 | 624,025 | ||||||||||
781,392 | St. George’s University Scholastic Services, LLC, Term Loan | LIBOR + 3.250 | % | 3.3633 | (h) | 7/16/2025 | 776,833 | ||||||||||
455,000 | Sunshine Luxembourg VII SARL (aka Galderma), Facility B3 | LIBOR + 3.000 | % | 3.7500 | (h) | 9/30/2026 | 455,710 | ||||||||||
84,150 | Surgery Center Holdings, Inc., 2020 Incremental Term Loan | LIBOR + 8.000 | % | 9.0000 | (h) | 9/04/2024 | 86,122 | ||||||||||
991,905 | Surgery Center Holdings, Inc., Initial Term Loan | LIBOR + 3.250 | % | 4.2500 | (h) | 9/04/2024 | 989,733 | ||||||||||
290,000 | Surgery Center Holdings, Inc., Term Loan First Lien | LIBOR + 3.750 | % | 3.8570 | (h) | 8/31/2026 | 288,550 | ||||||||||
384,000 | Team Health Holdings, Inc., Initial Term Loan | LIBOR + 2.750 | % | 3.7500 | (h) | 2/06/2024 | 359,128 | ||||||||||
1,105,804 | Trans Union, LLC, 2019 Replacement Term B-5 Loan | LIBOR + 1.750 | % | 1.8633 | (h) | 11/12/2026 | 1,099,197 | ||||||||||
400,000 | Triton Water Holdings, Inc., Initial Term Loan (First Lien) | LIBOR + 3.500 | % | 4.0000 | (h) | 4/01/2028 | 399,124 | ||||||||||
280,000 | TTF Holdings, LLC, Initial Term Loan | LIBOR + 4.250 | % | 5.0000 | (h) | 4/01/2028 | 279,300 | ||||||||||
230,000 | Verscend Holding Corporation, Term B-1 Loan | LIBOR + 4.000 | % | 4.1132 | (h) | 8/28/2025 | 230,288 | ||||||||||
1,360,240 | Viant Medical Holdings, Inc., Initial Term Loan (First Lien) | LIBOR + 3.750 | % | 3.8633 | (h) | 7/02/2025 | 1,323,894 | ||||||||||
680,000 | WEX, Inc., Term B Loan | LIBOR + 2.250 | % | 2.3633 | (h) | 4/01/2028 | 678,460 | ||||||||||
44,112,504 | |||||||||||||||||
ENERGY - 1.1% | |||||||||||||||||
340,815 | CITGO Holding, Inc., Term Loan | LIBOR + 7.000 | % | 8.0000 | (h) | 7/31/2023 | 333,999 | ||||||||||
539,799 | CITGO Petroleum Corporation, 2019 Incremental Term B Loan | LIBOR + 6.250 | % | 7.2500 | (h) | 3/28/2024 | 541,597 | ||||||||||
605,554 | Fieldwood Energy, LLC, Closing Date Loan (First Lien) | LIBOR + 5.250 | % | 5.3570 | (h) | 4/12/2022 | 234,501 | ||||||||||
475,211 | Medallion Midland Acquisition, LLC, Initial Term Loan | LIBOR + 3.250 | % | 4.2500 | (h) | 10/30/2024 | 471,478 | ||||||||||
1,153 | Paragon Offshore Finance Company, Term Loan (b) | LIBOR + 2.750 | % | 2.8570 | (h) | 7/18/2021 | — | ||||||||||
466,396 | Traverse Midstream Partners, LLC, Advance | LIBOR + 5.500 | % | 5.6070 | (h) | 9/28/2024 | 467,198 | ||||||||||
2,048,773 | |||||||||||||||||
FINANCIAL - 5.5% | |||||||||||||||||
1,040,118 | Acrisure, LLC, 2020 Term Loan (First Lien) | LIBOR + 3.500 | % | 3.7025 | (h) | 2/16/2027 | 1,026,139 | ||||||||||
214,529 | Asurion, LLC (fka Asurion Corporation), Replacement B-6 Term Loan | LIBOR + 3.000 | % | 3.1133 | (h) | 11/04/2023 | 214,283 | ||||||||||
379,275 | Asurion, LLC (fka Asurion Corporation), New B-7 Term Loan | LIBOR + 3.000 | % | 3.1133 | (h) | 11/04/2024 | 377,585 | ||||||||||
770,605 | Asurion, LLC (fka Asurion Corporation), New B-8 Term Loan | LIBOR + 3.250 | % | 3.3633 | (h) | 12/24/2026 | 766,271 | ||||||||||
410,000 | Asurion, LLC (fka Asurion Corporation), New B-9 Term Loan | LIBOR + 3.250 | % | 3.3633 | (h) | 7/30/2027 | 407,481 | ||||||||||
355,000 | Asurion, LLC (fka Asurion Corporation), New B-3 Term Loan (Second Lien) | LIBOR + 5.250 | % | 5.3632 | (h) | 2/01/2028 | 360,680 | ||||||||||
519,856 | Blackhawk Network Holdings, Inc., Term Loan (First Lien) | LIBOR + 3.000 | % | 3.1133 | (h) | 6/16/2025 | 514,441 | ||||||||||
1,250,000 | Citadel Securities LP, 2021 Term Loan | LIBOR + 2.500 | % | 2.6133 | (h) | 2/02/2028 | 1,240,237 | ||||||||||
958,098 | Deerfield Dakota Holding, LLC (aka Duff & Phelps), Initial Dollar Term Loan (First Lien) | LIBOR + 3.750 | % | 3.8570 | (h) | 4/08/2027 | 961,543 | ||||||||||
208,813 | iStar, Inc. (fka iStar Financial, Inc.), Loan | LIBOR + 2.750 | % | 2.8619 | (h) | 6/28/2023 | 208,813 | ||||||||||
1,111,545 | Masergy Holdings, Inc., 2017 Replacement Term Loan (First Lien) | LIBOR + 3.250 | % | 4.2500 | (h) | 12/16/2023 | 1,112,006 | ||||||||||
1,183,924 | PI UK Holdco II Limited, Facility B1 | LIBOR + 3.500 | % | 4.5000 | (h) | 1/04/2025 | 1,184,593 | ||||||||||
1,513,729 | Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.), Initial Term Loan | LIBOR + 3.250 | % | 3.3633 | (h) | 1/01/2026 | 1,494,527 | ||||||||||
191,588 | Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.), 2019 Term Loan | LIBOR + 3.750 | % | 3.8633 | (h) | 9/04/2026 | 190,923 | ||||||||||
175,000 | Zebra Buyer, LLC, Term Loan | LIBOR + 3.250 | % | 3.3570 | (h) | 4/22/2028 | 175,028 | ||||||||||
10,234,550 | |||||||||||||||||
See accompanying notes which are an integral part of these financial statements.
31
DUNHAM FLOATING RATE BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon | ||||||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | |||||||||||||
TERM LOANS - 97.0% (Continued) | |||||||||||||||||
INDUSTRIALS - 17.6% | |||||||||||||||||
747,450 | AI Convoy (Luxembourg) S.a r.l., Facility B (USD) | LIBOR + 3.500 | % | 4.5000 | (h) | 1/18/2027 | $ | 747,917 | |||||||||
320,000 | AIT Worldwide Logistics Holdings, Inc., Initial Term Loan | LIBOR + 4.750 | % | 4.8570 | (h) | 4/01/2028 | 320,402 | ||||||||||
847,875 | Alliance Laundry Systems, LLC, Initial Term B Loan | LIBOR + 3.500 | % | 4.2500 | (h) | 10/08/2027 | 848,803 | ||||||||||
845,964 | Anchor Glass Container Corporation, July 2017 Additional Term Loan (First Lien) | LIBOR + 2.750 | % | 3.7500 | (h) | 12/08/2023 | 766,959 | ||||||||||
116,827 | Anchor Glass Container Corporation, October 2020 Incremental Term Loan (First Lien) | LIBOR + 5.000 | % | 6.0000 | (h) | 12/08/2023 | 105,729 | ||||||||||
81,333 | Anchor Glass Container Corporation, Term Loan (Second Lien) | LIBOR + 7.750 | % | 8.7500 | (h) | 12/08/2024 | 42,903 | ||||||||||
369,075 | ASP Navigate Acquisition Corporation, Initial Term Loan | LIBOR + 4.500 | % | 5.5000 | (h) | 10/06/2027 | 369,075 | ||||||||||
548,839 | Atlantic Aviation FBO, Inc., Term Loan | LIBOR + 3.750 | % | 3.8633 | (h) | 12/06/2025 | 549,355 | ||||||||||
900,330 | Berlin Packaging, LLC, Initial Term Loan (First Lien) | LIBOR + 3.000 | % | 3.1154 | (h) | 11/08/2025 | 889,220 | ||||||||||
766,294 | Berry Global, Inc. (fka Berry Plastics Corporation), Term Z Loan | LIBOR + 1.750 | % | 1.8605 | (h) | 6/30/2026 | 760,846 | ||||||||||
680,000 | Blue Tree Holdings, Inc. (aka Ravago), Term Loan | LIBOR + 2.500 | % | 2.6997 | (h) | 3/04/2028 | 676,178 | ||||||||||
1,445,445 | Brookfield WEC Holdings, Inc., Initial Term Loan (2021) (First Lien) | LIBOR + 2.750 | % | 3.2500 | (h) | 7/31/2025 | 1,431,265 | ||||||||||
745,000 | Brown Group Holdings, LLC, Term Loan B | LIBOR + 2.750 | % | 2.8570 | (h) | 4/22/2028 | 742,206 | ||||||||||
963,378 | BWay Holding Company, Initial Term Loan | LIBOR + 3.250 | % | 3.4426 | (h) | 4/04/2024 | 932,218 | ||||||||||
735,114 | Circor International, Inc., New Term Loan | LIBOR + 3.250 | % | 4.2500 | (h) | 12/12/2024 | 732,816 | ||||||||||
275,000 | CP Atlas Buyer, Inc. (aka American Bath), Term B Loan | LIBOR + 3.750 | % | 4.2500 | (h) | 11/24/2027 | 274,764 | ||||||||||
507,779 | CPG International, LLC (fka CPG International, Inc.) , New Term Loan | LIBOR + 2.500 | % | 3.2500 | (h) | 5/04/2024 | 507,916 | ||||||||||
97,836 | DG Investment Intermediate Holdings 2, Inc., Delayed Draw Term Loan (First Lien) | LIBOR + 3.750 | % | 3.8570 | (h) | 4/01/2028 | 97,689 | ||||||||||
467,165 | DG Investment Intermediate Holdings 2, Inc., Closing Date Initial Term Loan (First Lien) | LIBOR + 3.750 | % | 4.5000 | (h) | 4/01/2028 | 466,464 | ||||||||||
284,288 | DXP Enterprises, Inc., Initial Term Loan | LIBOR + 4.750 | % | 5.7500 | (h) | 12/24/2027 | 285,709 | ||||||||||
333,325 | Filtration Group Corporation, Series A Term Loan | LIBOR + 3.750 | % | 4.5000 | (h) | 3/28/2025 | 333,742 | ||||||||||
1,248,321 | Filtration Group Corporation, Initial Dollar Term Loan | LIBOR + 3.000 | % | 3.1133 | (h) | 4/01/2025 | 1,237,597 | ||||||||||
708,578 | Fluidra, S.A., Tranche B-1 USD Term Loan | LIBOR + 2.000 | % | 2.1133 | (h) | 7/02/2025 | 703,929 | ||||||||||
1,077,334 | Fort Dearborn Holding Company, Inc., Initial Term Loan (First Lien) | LIBOR + 4.000 | % | 5.0000 | (h) | 10/20/2023 | 1,079,187 | ||||||||||
820,695 | Gardner Denver, Inc., 2020 GDI Tranche B-2 Dollar Term Loan | LIBOR + 1.750 | % | 1.8633 | (h) | 2/28/2027 | 811,121 | ||||||||||
1,250,831 | Gates Global, LLC, Initial B-3 Dollar Term Loan | LIBOR + 2.750 | % | 3.5000 | (h) | 4/01/2027 | 1,247,772 | ||||||||||
385,000 | Gemini HDPE, LLC, 2027 Advance | LIBOR + 3.000 | % | 3.5000 | (h) | 1/01/2028 | 384,881 | ||||||||||
594,720 | GFL Environmental, Inc., 2020 Refinancing Term Loan | LIBOR + 3.000 | % | 3.5000 | (h) | 5/30/2025 | 595,621 | ||||||||||
50,874 | Hillman Group, Inc., The, Delayed Term Loan | LIBOR + 2.750 | % | 2.8570 | (h) | 2/24/2028 | 50,690 | ||||||||||
250,555 | Hillman Group, Inc., The, Term Loan B1 | LIBOR + 2.750 | % | 2.8570 | (h) | 2/24/2028 | 249,646 | ||||||||||
1,175,000 | Kleopatra Finco S.a r.l., Facility B (USD) | LIBOR + 4.750 | % | 5.2500 | (h) | 2/12/2026 | 1,173,895 | ||||||||||
827,925 | LEB Holdings (USA), Inc., Initial Term Loan | LIBOR + 4.000 | % | 4.7500 | (h) | 11/02/2027 | 830,856 | ||||||||||
441,668 | Pactiv Evergreen, Inc., Tranche B-1 U.S. Term Loan | LIBOR + 2.750 | % | 2.8633 | (h) | 2/04/2023 | 441,209 | ||||||||||
1,361,588 | Pactiv Evergreen, Inc., Tranche B-2 U.S. Term Loan | LIBOR + 3.250 | % | 3.3633 | (h) | 2/04/2026 | 1,351,376 | ||||||||||
709,655 | Patriot Container Corporation (aka Wastequip), Closing Date Term Loan (First Lien) | LIBOR + 3.500 | % | 4.5000 | (h) | 3/20/2025 | 706,699 | ||||||||||
490,000 | PODS, LLC, Initial Term Loan | LIBOR + 3.000 | % | 3.7500 | (h) | 4/01/2028 | 488,601 | ||||||||||
891,914 | Spectrum Holdings III Corporation, Closing Date Term Loan (First Lien) | LIBOR + 3.250 | % | 4.2500 | (h) | 2/01/2025 | 859,952 | ||||||||||
805,571 | Star US Bidco, LLC, Initial Term Loan | LIBOR + 4.250 | % | 5.2500 | (h) | 3/16/2027 | 801,881 | ||||||||||
1,305,162 | Summit Materials, LLC, New Term Loan | LIBOR + 2.000 | % | 2.1133 | (h) | 11/20/2024 | 1,303,256 | ||||||||||
989,397 | Titan Acquisition Limited (aka Husky IMS International Ltd.), Initial Term Loan | LIBOR + 3.000 | % | 3.2025 | (h) | 3/28/2025 | 970,559 | ||||||||||
781,215 | TransDigm, Inc., Tranche E Refinancing Term Loan | LIBOR + 2.250 | % | 2.3633 | (h) | 5/30/2025 | 772,766 | ||||||||||
1,066,091 | TransDigm, Inc., Tranche F Refinancing Term Loan | LIBOR + 2.250 | % | 2.3633 | (h) | 12/08/2025 | 1,054,236 | ||||||||||
489,716 | TRC Companies, Inc., Refinancing Term Loan | LIBOR + 4.500 | % | 5.2500 | (h) | 6/20/2024 | 489,104 | ||||||||||
135,425 | Tricorbraun Holdings, Inc., Delayed Draw Term Loan (First Lien) | LIBOR + 3.250 | % | 3.3570 | (h) | 1/28/2028 | 134,362 | ||||||||||
602,075 | Tricorbraun Holdings, Inc., Closing Date Initial Term Loan (First Lien) | LIBOR + 3.250 | % | 3.7500 | (h) | 3/04/2028 | 597,349 | ||||||||||
870,046 | Trident TPI Holdings, Inc., Tranche B-1 Term Loan | LIBOR + 3.000 | % | 4.0000 | (h) | 10/16/2024 | 866,378 | ||||||||||
512,104 | U.S. Farathane, LLC, Term B-5 Loan | LIBOR + 4.250 | % | 5.2500 | (h) | 12/24/2024 | 509,544 | ||||||||||
871,217 | Vertiv Group Corporation (fka Cortes NP Acquisition Corporation), Term B Loan | LIBOR + 2.750 | % | 2.8604 | (h) | 3/02/2027 | 867,562 | ||||||||||
32,462,205 | |||||||||||||||||
TECHNOLOGY - 10.3% | |||||||||||||||||
1,621,779 | Applied Systems, Inc., Closing Date Term Loan (First Lien) | LIBOR + 3.000 | % | 3.5103 | (h) | 9/20/2024 | 1,617,530 | ||||||||||
192,894 | Applied Systems, Inc., 2021 Term Loan (Second Lien) | LIBOR + 5.500 | % | 6.2500 | (h) | 9/20/2025 | 195,023 | ||||||||||
456,494 | Aston FinCo S.a r.l., Dollar Term Loan (First Lien) | LIBOR + 4.250 | % | 4.3650 | (h) | 10/08/2026 | 454,212 | ||||||||||
235,000 | athenahealth, Inc., Term B-1 Loan (First Lien) | LIBOR + 4.250 | % | 4.4509 | (h) | 2/12/2026 | 236,116 | ||||||||||
295,500 | Azalea TopCo, Inc., Initial Term Loan (First Lien) | LIBOR + 3.500 | % | 3.6853 | (h) | 7/24/2026 | 293,394 | ||||||||||
469,663 | Azalea TopCo, Inc., 2020 Incremental Term Loan (First Lien) | LIBOR + 4.000 | % | 4.1070 | (h) | 7/24/2026 | 470,348 | ||||||||||
1,223,755 | Boxer Parent Company, Inc. (aka BMC Software, Inc.), 2021 Replacement Dollar Term Loan | LIBOR + 3.750 | % | 3.8633 | (h) | 10/02/2025 | 1,219,399 | ||||||||||
535,950 | Cardtronics USA, Inc., Initial Term Loan | LIBOR + 4.000 | % | 5.0000 | (h) | 6/28/2027 | 537,424 | ||||||||||
1,180,277 | Dun & Bradstreet Corporation, The, Initial Term Borrowing | LIBOR + 3.250 | % | 3.3610 | (h) | 2/06/2026 | 1,175,114 | ||||||||||
150,000 | ECL Entertainment, LLC, Term Loan | LIBOR + 7.500 | % | 7.6070 | (h) | 4/01/2028 | 153,375 | ||||||||||
805,950 | Epicor Software Corporation (fka Eagle Parent, Inc.), Term C Loan | LIBOR + 3.250 | % | 4.0000 | (h) | 7/30/2027 | 805,845 | ||||||||||
29,775 | Everi Payments, Inc., Term Loan | LIBOR + 10.500 | % | 11.2500 | (h) | 5/08/2024 | 31,115 | ||||||||||
966,571 | Everi Payments, Inc., Term B Loan | LIBOR + 2.750 | % | 3.5000 | (h) | 5/08/2024 | 961,134 | ||||||||||
1,050,000 | Grab Holdings, Inc., Initial Term Loan | LIBOR + 4.500 | % | 5.5000 | (h) | 1/28/2026 | 1,072,318 | ||||||||||
570,000 | Greeneden U.S. Holdings I, LLC, Initial Dollar Term Loan (2020 | LIBOR + 4.000 | % | 4.7500 | (h) | 11/30/2027 | 571,924 | ||||||||||
821,224 | Hyland Software, Inc., 2018 Refinancing Term Loan (First Lien) | LIBOR + 3.500 | % | 4.2500 | (h) | 6/30/2024 | 822,933 | ||||||||||
723,747 | NCR Corporation, Initial Term Loan (2019 | LIBOR + 2.500 | % | 2.6855 | (h) | 8/28/2026 | 713,795 | ||||||||||
386,970 | Peraton Corporation, Term B Loan (First Lien) | LIBOR + 3.750 | % | 4.5000 | (h) | 1/31/2028 | 387,320 | ||||||||||
681,030 | Peraton Corporation, Delayed Draw Term Loan | LIBOR + 3.750 | % | 3.8570 | (h) | 2/24/2028 | 681,647 | ||||||||||
360,000 | Playtika Holding Corporation, Term B-1 Loan | LIBOR + 2.750 | % | 2.8633 | (h) | 3/12/2028 | 358,538 | ||||||||||
525,000 | Project Ruby Ultimate Parent Corporation (Mediware), Closing Date Term Loan (First Lien) | LIBOR + 3.250 | % | 4.0000 | (h) | 3/10/2028 | 522,047 | ||||||||||
660,000 | RealPage, Inc., Initial Term Loan (First Lien) | LIBOR + 3.250 | % | 3.3570 | (h) | 2/18/2028 | 657,733 | ||||||||||
793,013 | Sophia, L.P., Closing Date Term Loan | LIBOR + 3.750 | % | 4.5000 | (h) | 10/08/2027 | 794,004 | ||||||||||
680,955 | Tempo Acquisition, LLC, Extended Term Loan | LIBOR + 3.250 | % | 3.7500 | (h) | 11/02/2026 | 681,166 | ||||||||||
280,000 | ThoughtWorks, Inc., Incremental Term Loan | LIBOR + 3.250 | % | 3.7500 | (h) | 3/24/2028 | 279,415 | ||||||||||
1,412,946 | UKG, Inc., 2021 Incremental Term Loan (First Lien) | LIBOR + 3.250 | % | 4.0000 | (h) | 5/04/2026 | 1,416,260 | ||||||||||
See accompanying notes which are an integral part of these financial statements.
32
DUNHAM FLOATING RATE BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon | ||||||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | |||||||||||||
TERM LOANS - 97.0% (Continued) | |||||||||||||||||
TECHNOLOGY - 10.3% (Continued) | |||||||||||||||||
30,000 | UKG, Inc., Initial Term Loan (2020) (Second Lien) | LIBOR + 6.750 | % | 7.5000 | (h) | 5/04/2027 | $ | 31,003 | |||||||||
265,000 | Ultra Clean Holdings, Inc., Second Amendment Term B Loan | LIBOR + 3.750 | % | 3.8633 | (h) | 8/28/2025 | 265,497 | ||||||||||
245,000 | Virtusa Corporation, Closing Date Term Loan | LIBOR + 4.250 | % | 5.0000 | (h) | 2/12/2028 | 248,140 | ||||||||||
545,547 | Waystar Technologies, Inc., Initial Term Loan (First Lien) | LIBOR + 4.000 | % | 4.1132 | (h) | 10/22/2026 | 544,183 | ||||||||||
713,213 | Weld North Education, LLC, 2020 Term Loan | LIBOR + 4.000 | % | 4.7500 | (h) | 12/20/2027 | 713,883 | ||||||||||
18,911,835 | |||||||||||||||||
UTILITIES - 1.5% | |||||||||||||||||
585,000 | Astoria Energy LLC, Term B Advance (2020) | LIBOR + 3.500 | % | 4.5000 | (h) | 12/10/2027 | 586,462 | ||||||||||
615,845 | Calpine Construction Finance Company, L.P., Term B Loan | LIBOR + 2.000 | % | 2.1133 | (h) | 1/16/2025 | 607,892 | ||||||||||
280,855 | Calpine Corporation, Term Loan | LIBOR + 2.000 | % | 2.1133 | (h) | 8/12/2026 | 277,549 | ||||||||||
695,623 | Hamilton Projects Acquiror, LLC, Term Loan | LIBOR + 4.750 | % | 5.7500 | (h) | 6/16/2027 | 696,058 | ||||||||||
470,678 | Lightstone Holdco LLC, Refinancing Term B Loan | LIBOR + 3.750 | % | 4.7500 | (h) | 1/30/2024 | 372,130 | ||||||||||
26,547 | Lightstone Holdco LLC, Refinancing Term C Loan | LIBOR + 3.750 | % | 4.7500 | (h) | 1/30/2024 | 20,989 | ||||||||||
425 | PG&E Corporation, Loan | LIBOR + 4.500 | % | 4.6070 | (h) | 6/24/2025 | 424 | ||||||||||
140,556 | Pike Corporation, 2028 Initial Term Loan | LIBOR + 3.000 | % | 3.1133 | (h) | 1/20/2028 | 140,204 | ||||||||||
106,687 | Pike Corporation, 2028 Delayed Draw Term Loan | LIBOR + 3.000 | % | 3.1070 | (h) | 1/21/2028 | 106,420 | ||||||||||
635,000 | Texas Competitive Electric Holdings Co. LLC Escrow Bonds (e) | 11.5000 | 5/03/2071 | 445 | |||||||||||||
2,808,573 | |||||||||||||||||
TOTAL TERM LOANS (Cost - $179,352,879) | 179,029,996 | ||||||||||||||||
RIGHTS - 0.0% (i) | |||||||||||||||||
10,588 | TRA Rights | 11/22/2049 | 11,732 | ||||||||||||||
TOTAL RIGHTS (Cost - $17,470) | |||||||||||||||||
WARRANTS - 0.1% | |||||||||||||||||
14,903 | iHeartMedia, Inc. | 12/31/2049 | 264,528 | ||||||||||||||
TOTAL WARRANTS (Cost - $287,609) | |||||||||||||||||
SHORT-TERM INVESTMENT - 2.4% | |||||||||||||||||
MONEY MARKET FUND - 2.4% | |||||||||||||||||
4,394,586 | Fidelity Government Portfolio - Class Institutional, 0.01% (c) | 4,394,586 | |||||||||||||||
TOTAL SHORT-TERM INVESTMENT - (Cost - $4,394,586) | |||||||||||||||||
COLLATERAL FOR SECURITIES LOANED - 1.0% | |||||||||||||||||
1,923,079 | Mount Vernon Prime Portfolio, 0.11% (c)(g) | 1,923,079 | |||||||||||||||
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $1,923,079) | |||||||||||||||||
TOTAL INVESTMENTS - 105.4% (Cost - $196,239,009) | $ | 194,580,715 | |||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (5.4)% | (10,001,718 | ) | |||||||||||||||
NET ASSETS - 100.0% | $ | 184,578,997 | |||||||||||||||
ETF - Exchange Traded Fund
LIBOR - London Inter-bank Offered Rate
L.P. - Limited Partnership
LLC - Limited Liability Company
LLLP - Limited Liability Limited Partnership
LLP - Limited Liability Partnership
Ltd. - Limited Company
plc - Public Limited Company
REITs - Real Estate Investment Trusts
(a) | Non-Income producing security. |
(b) | Security is in default. |
(c) | Rate disclosed is the seven day effective yield as of April 30, 2021 |
(d) - | 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, 2021 the total market value of 144A securities is $4,523,730 or 2.45% of net assets. |
(e) | Fair Value estimated using fair value procedures adopted by Board of Trustees. Total Value of such securities is $942 or 0.0% of net assets as of April 30, 2021. |
(f) | All or a portion of these securities are on loan. Total loaned securities had a value of $1,882,076 at April 30, 2021. |
(g) | 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%. |
(h) | Variable Rate Security. Coupon Rate is as of April 30, 2021. |
(i) | Percentage rounds to less than 0.1%. |
Portfolio Composition * - (Unaudited) | ||||||||||
Term Loans | 92.0 | % | Collateral for Securities Loaned | 1.0 | % | |||||
Corporate Bonds | 3.2 | % | Common Stocks | 0.3 | % | |||||
Short-Term Investments | 2.3 | % | Warrants | 0.1 | % | |||||
Exchange Traded Funds | 1.1 | % | Rights | 0.0 | % | |||||
Total | 100.0 | % | ||||||||
* | Based on total value of investments as of April 30, 2021 Percentage may differ from Schedule of Investments which are based on Fund net assets. |
See accompanying notes which are an integral part of these financial statements.
33
Dunham High-Yield Bond Fund (Unaudited) |
Message from the Sub-Adviser (PineBridge Investments LLC) |
Asset Class Recap
High-yield bond spreads tightened in November and December as investors cheered clarity around the results of the U.S. presidential election, positive news flow on vaccine development and distribution, and ongoing optimism and passing of additional fiscal stimulus provided confidence of a stronger recovery in 2021. High-yield bonds rallied despite the continued surge in Covid-19 infections across the United States and Europe. Throughout the fiscal quarter, central banks around the world continued to provide support and reiterated that they will keep accommodative measures in place for the foreseeable future, effectively keeping rates low. Volatility surfaced in January but high-yield bonds were still able to eke out modest gains to close the first fiscal quarter given the continued vaccine rollout, better than anticipated corporate earnings, and further optimism around additional fiscal stimulus due to Democrats gaining full control of Congress. High-yield bonds continued to rally in early February but a sharp rise in Treasury rates capped the early gains. This trend continued in March as Treasury rates continued to spike amid expectations of a declining coronavirus epidemic, rising commodity prices, and a substantial fiscal package from Congress potentially leading to stronger growth and inflation in the years ahead. High-yield bonds rallied in April to close the second fiscal quarter, driven by both tighter spreads and lower Treasury rates amid dovish FOMC minutes. For the six-month period ending April 30, 2021, high-yield bonds, as measured by the ICE BofA US Cash Pay High-Yield Index, rose 8.0 percent. Despite the Federal Reserve’s commitment to keep rates low, the yield on the 5-year and 10-year U.S Treasury rose 46 basis point and 75 basis points, respectively, with the 10-year reaching its highest level since February 2020.
Allocation Review
Over the six-month period, security selection strongly contributed to Fund performance. Credit selection within the energy, communications, and consumer non-cyclical sectors were the largest contributors to positive Fund performance, while the credit selection from the REIT sector and the electric sector detracted. The Fund’s sector allocation also contributed to Fund performance over the fiscal period, albeit to a smaller degree than security selection. From a sector allocation perspective, an overweight to the transportation sector and underweight communications sector positively contributed to Fund performance, while the allocation to cash and the overweight to the basic industry sector detracted from Fund performance
Holdings Insights
The largest contributor to relative Fund performance over the fiscal quarter was security selection within the energy sector. One of the best performers within the sector and the Fund was Callon Petroleum Company 6.375% Due 07/01/2026 (13123XAZ5) (holding weight*: 0.42 percent), an independent oil and natural gas company. This credit surged 39.4 percent in the second fiscal quarter after jumping 170.2 percent in the first fiscal quarter. Another strong contributor from the energy sector was the PBF Holding Company LLC / PBF Finance Corporation 6% Due 02/15/2028 (69318FAJ7) (holding weight*: 0.40 percent), one of the largest independent petroleum refiners and suppliers, which increased 42.9 percent in the six-months ending April 30, 2021. Although the Energy sector as whole strongly contributed to Fund performance, some credits from this sector detracted from Fund performance. For example, Indigo Natural Resources LLC 5.375% Due 02/1/2029 (45569LAC5) (holding weight*: 0.45 percent), a natural gas producer, rose just 0.8 percent over the same time period.
Another sector that positively contributed to Fund performance was the consumer non-cyclical sector. One of the best performers within the sector was Coty Inc. 6.5% Due 4/15/2026 (222070AB0) (holding weight*: 0.61 percent), a multinational beauty company. This credit surged 32.6 percent as the company cut costs, improved on its ecommerce business, and undertook various strategic partnerships to enhance its brand portfolio. The Fund also received positive contributions from the more economically sensitive consumer cyclical sector, which is the largest sector weighting in both the Fund and index. As the economy continues towards normalcy, credits whose business models were inhibited by the pandemic and subsequent lockdowns continued to rebound. For example, cruise line operator NCL Corp. Ltd. 3.625% Due 12/15/2024 (62886HAP6) (holding weight*: 0.61 percent) increased 41.0 percent and American restaurant entertainment business Dave & Buster’s Inc. 7.625% Due 11/01/2025 (23833NAH7) (holding weight*: 0.49 percent) increased 14.2 percent. Airlines were also a beneficiary of the vaccine rollout and reopening of states as American Airlines Inc. 11.75% Due 07/15/2025 (023771S58) (holding weight*: 1.37 percent) increased 34.5 percent.
A sector that detracted from Fund was the exposure to the electric sector. The Sub-Adviser is confident in many of the credits within this sector’s long–term prospects but many experienced losses as a result of winter storms in Texas. This includes, Vistra Operations Company LLC 5% Due 07/31/2027 (92840VAF9) (holding weight*: 0.49 percent), a retail electricity and power generation company based in Irving, Texas. Vistra Operations released new estimates that the adverse impact of the storm in February will cost the company approximately $1.6 billion. This credit increased just 1.5 percent in the six-month period. Another position from the Fund that was adversely affected by the winter storms was Calpine Corporation 3.75% Due 03/1/2031 (131347CR5) (holding weight*: 0.53 percent), the largest generator of electricity from natural gas and geothermal resources in the U.S., as it declined 2.6 percent during the fiscal six-month period.
Sub-Adviser Outlook
The Sub-Adviser is optimistic for the coming fiscal quarter and year, but anticipates brief spikes in volatility. The Fund traversed a difficult technical environment amid rate volatility and outflows from the high-yield market as a whole, but inflows returned as rates stabilized. The asset class may experience more of these spells this summer if rates spike and investors rush to variable-rate bond allocations. By looking at a variety of valuation metrics, the Sub-Adviser believes returns for the asset class are likely to be less than coupon rates for the balance of the calendar year. It believes that valuations are fair but could tighten further, especially in double B and single B credits. The Sub-Adviser is not looking to add risk but also not currently reducing the risk exposure. Against this backdrop, the Sub-Adviser remains constructive on the high-yield bond market and continues to seek to add incremental returns at the issuer and security selection level as opposed to broad beta positioning.
* | Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 4/30/2021. |
Growth of $100,000 Investment |
Total Returns (a) as of April 30, 2021 | ||||
Annualized | Annualized | |||
Six Months | One Year | Five Years | Ten Years | |
Class N | 7.65% | 18.65% | 6.57% | 4.90% |
Class A with load of 4.50% | 2.85% | 13.11% | 5.36% | 4.18% |
Class A without load | 7.67% | 18.40% | 6.33% | 4.66% |
Class C | 7.42% | 17.87% | 5.82% | 4.15% |
Barclays U.S. Corporate High-Yield Bond Ba/B 2% Issuer Capped Index | 6.66% | 17.11% | 7.17% | 6.13% |
Morningstar High-Yield Bond Category | 7.92% | 18.47% | 6.03% | 5.05% |
(a) | Total Returns are calculated based on traded NAVs. |
Barclays U.S. Corporate High-Yield Bond Ba/B 2% Issuer Capped Index is an issuer-constrained version of the flagship US Corporate High Yield Index, which measures the USD-denominated, high yield, fixed-rate corporate bond market. Investors cannot invest directly in an index or benchmark.
The Morningstar High-Yield Bond Category is generally representative of mutual funds that primarily invest in U.S. high-income debt securities where at least 65% or more of bond assets are not rated or are rated by a major agency such as Standard & Poor’s or Moody’s at the level of BB (considered speculative for taxable bonds) and below.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.14% for Class N, 1.89% for Class C and 1.39% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com |
34
DUNHAM HIGH-YIELD BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 0.0%(a) | ||||||||
OIL & GAS SERVICES & EQUIPMENT - 0.0%(a) | ||||||||
20,037 | Hi-Crush, Inc.(b) | $ | 3,406 | |||||
TOTAL COMMON STOCKS (Cost $888,498) | 3,406 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | ||||||||||
CONVERTIBLE BONDS — 0.3% | ||||||||||||
OIL & GAS SERVICES & EQUIPMENT — 0.3% | ||||||||||||
304,983 | Hi-Crush, Inc.(c) | 8.0000 | 04/09/26 | 304,983 | ||||||||
TOTAL CONVERTIBLE BONDS (Cost $304,983) | 304,983 | |||||||||||
CORPORATE BONDS — 95.5% | ||||||||||||
ADVERTISING & MARKETING — 0.5% | ||||||||||||
520,000 | Terrier Media Buyer, Inc.(c) | 8.8750 | 12/15/27 | 565,500 | ||||||||
AEROSPACE & DEFENSE — 1.0% | ||||||||||||
625,000 | Moog, Inc.(c) | 4.2500 | 12/15/27 | 643,757 | ||||||||
504,000 | Spirit AeroSystems, Inc.(c) | 7.5000 | 04/15/25 | 540,154 | ||||||||
1,183,911 | ||||||||||||
AUTOMOTIVE — 1.9% | ||||||||||||
690,000 | Ford Motor Company | 6.6250 | 10/01/28 | 811,268 | ||||||||
105,000 | Ford Motor Company | 7.4500 | 07/16/31 | 135,264 | ||||||||
1,029,000 | Ford Motor Company | 4.7500 | 01/15/43 | 1,041,219 | ||||||||
200,000 | Ford Motor Credit Company, LLC | 2.9000 | 02/16/28 | 196,211 | ||||||||
2,183,962 | ||||||||||||
BIOTECH & PHARMA — 1.3% | ||||||||||||
240,000 | Endo Dac / Endo Finance, LLC / Endo Finco, Inc.(c) | 6.0000 | 06/30/28 | 182,725 | ||||||||
250,000 | Endo Luxembourg Finance Company I Sarl / Endo US,(c) | 6.1250 | 04/01/29 | 247,813 | ||||||||
200,000 | Organon Finance 1, LLC(c) | 4.1250 | 04/30/28 | 205,148 | ||||||||
200,000 | Organon Finance 1, LLC(c) | 5.1250 | 04/30/31 | 207,770 | ||||||||
547,000 | Par Pharmaceutical, Inc.(c) | 7.5000 | 04/01/27 | 576,401 | ||||||||
1,419,857 | ||||||||||||
See accompanying notes which are an integral part of these financial statements.
35
DUNHAM HIGH-YIELD BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 95.5% (Continued) | ||||||||||||
CABLE & SATELLITE — 3.7% | ||||||||||||
865,000 | Altice Financing S.A.(c) | 5.0000 | 01/15/28 | $ | 854,909 | |||||||
435,000 | Block Communications, Inc.(c) | 4.8750 | 03/01/28 | 443,633 | ||||||||
478,000 | CCO Holdings, LLC / CCO Holdings Capital(c) | 5.5000 | 05/01/26 | 493,894 | ||||||||
378,000 | CCO Holdings, LLC / CCO Holdings Capital(c) | 5.0000 | 02/01/28 | 395,483 | ||||||||
335,000 | CCO Holdings, LLC / CCO Holdings Capital(c) | 5.3750 | 06/01/29 | 364,148 | ||||||||
390,000 | CSC Holdings, LLC(c) | 5.5000 | 04/15/27 | 409,550 | ||||||||
590,000 | CSC Holdings, LLC(c) | 5.3750 | 02/01/28 | 621,647 | ||||||||
551,000 | UPC Broadband Finco BV(c) | 4.8750 | 07/15/31 | 549,744 | ||||||||
4,133,008 | ||||||||||||
CHEMICALS — 2.0% | ||||||||||||
535,000 | Consolidated Energy Finance S.A.(c) | 6.8750 | 06/15/25 | 538,009 | ||||||||
502,000 | Methanex Corporation | 5.1250 | 10/15/27 | 530,755 | ||||||||
387,000 | Minerals Technologies, Inc.(c) | 5.0000 | 07/01/28 | 406,737 | ||||||||
423,000 | OCI N.V.(c) | 5.2500 | 11/01/24 | 440,303 | ||||||||
352,000 | Trinseo Materials Operating SCA / Trinseo(c) | 5.1250 | 04/01/29 | 358,017 | ||||||||
2,273,821 | ||||||||||||
COMMERCIAL SUPPORT SERVICES — 4.3% | ||||||||||||
205,000 | Brink’s Company (The)(c) | 5.5000 | 07/15/25 | 216,659 | ||||||||
340,000 | Brink’s Company (The)(c) | 4.6250 | 10/15/27 | 355,088 | ||||||||
506,000 | Covanta Holding Corporation | 5.0000 | 09/01/30 | 519,915 | ||||||||
510,000 | Garda World Security Corporation(c) | 4.6250 | 02/15/27 | 510,638 | ||||||||
610,000 | Harsco Corporation(c) | 5.7500 | 07/31/27 | 644,712 | ||||||||
380,000 | Korn Ferry(c) | 4.6250 | 12/15/27 | 397,043 | ||||||||
379,000 | Prime Security Services Borrower, LLC / Prime(c) | 5.2500 | 04/15/24 | 405,323 | ||||||||
540,000 | Prime Security Services Borrower, LLC / Prime(c) | 5.7500 | 04/15/26 | 590,895 | ||||||||
505,000 | Sotheby’s(c) | 7.3750 | 10/15/27 | 544,945 | ||||||||
630,000 | TriNet Group, Inc.(c) | 3.5000 | 03/01/29 | 615,825 | ||||||||
4,801,043 | ||||||||||||
CONSTRUCTION MATERIALS — 0.4% | ||||||||||||
505,000 | Standard Industries, Inc.(c) | 3.3750 | 01/15/31 | 472,718 | ||||||||
CONTAINERS & PACKAGING — 1.7% | ||||||||||||
479,000 | Cascades, Inc./Cascades USA, Inc.(c) | 5.3750 | 01/15/28 | 499,851 | ||||||||
524,000 | Intertape Polymer Group, Inc.(c) | 7.0000 | 10/15/26 | 551,410 | ||||||||
See accompanying notes which are an integral part of these financial statements.
36
DUNHAM HIGH-YIELD BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 95.5% (Continued) | ||||||||||||
CONTAINERS & PACKAGING — 1.7% (Continued) | ||||||||||||
288,000 | Silgan Holdings, Inc. | 4.7500 | 03/15/25 | $ | 293,344 | |||||||
525,000 | Trivium Packaging Finance BV(c) | 8.5000 | 08/15/27 | 563,685 | ||||||||
1,908,290 | ||||||||||||
ELECTRIC UTILITIES — 2.9% | ||||||||||||
620,000 | Calpine Corporation(c) | 3.7500 | 03/01/31 | 593,452 | ||||||||
539,000 | Clearway Energy Operating, LLC | 5.0000 | 09/15/26 | 557,528 | ||||||||
550,000 | NextEra Energy Operating Partners, L.P.(c) | 4.2500 | 07/15/24 | 584,155 | ||||||||
176,000 | NRG Energy Inc(c) | 3.3750 | 02/15/29 | 172,688 | ||||||||
510,000 | NRG Energy Inc B(c) | 3.6250 | 02/15/31 | 500,309 | ||||||||
317,000 | Talen Energy Supply, LLC(c) | 6.6250 | 01/15/28 | 319,515 | ||||||||
535,000 | Vistra Operations Company, LLC(c) | 5.0000 | 07/31/27 | 554,945 | ||||||||
3,282,592 | ||||||||||||
ENGINEERING & CONSTRUCTION — 0.4% | ||||||||||||
395,000 | VM Consolidated, Inc.(c) | 5.5000 | 04/15/29 | 402,187 | ||||||||
ENTERTAINMENT CONTENT — 1.5% | ||||||||||||
695,000 | Banijay Entertainment S.A.SU(c) | 5.3750 | 03/01/25 | 719,759 | ||||||||
74,000 | Univision Communications, Inc.(c) | 5.1250 | 02/15/25 | 75,347 | ||||||||
811,000 | Univision Communications, Inc.(c) | 6.6250 | 06/01/27 | 879,936 | ||||||||
1,675,042 | ||||||||||||
FOOD — 3.3% | ||||||||||||
550,000 | Dole Food Company, Inc.(c) | 7.2500 | 06/15/25 | 562,317 | ||||||||
208,000 | Herbalife Nutrition Ltd. / HLF Financing, Inc.(c) | 7.8750 | 09/01/25 | 226,671 | ||||||||
497,000 | HLF Financing Sarl, LLC / Herbalife International(c) | 7.2500 | 08/15/26 | 519,986 | ||||||||
205,000 | Kraft Heinz Foods Company | 4.8750 | 10/01/49 | 235,416 | ||||||||
210,000 | Land O’ Lakes, Inc.(c) | 7.0000 | 12/29/49 | 215,513 | ||||||||
484,000 | Land O’Lakes Capital Trust I(c) | 7.4500 | 03/15/28 | 566,279 | ||||||||
520,000 | Pilgrim’s Pride Corporation(c) | 5.8750 | 09/30/27 | 552,500 | ||||||||
570,000 | Post Holdings, Inc.(c) | 4.5000 | 09/15/31 | 566,608 | ||||||||
381,000 | Simmons Foods, Inc./Simmons Prepared Foods(c) | 4.6250 | 03/01/29 | 384,414 | ||||||||
3,829,704 | ||||||||||||
HEALTH CARE FACILITIES & SERVICES — 5.4% | ||||||||||||
357,000 | Acadia Healthcare Company, Inc.(c) | 5.5000 | 07/01/28 | 377,552 | ||||||||
96,000 | Acadia Healthcare Company, Inc.(c) | 5.0000 | 04/15/29 | 99,514 | ||||||||
See accompanying notes which are an integral part of these financial statements.
37
DUNHAM HIGH-YIELD BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 95.5% (Continued) | ||||||||||||
HEALTH CARE FACILITIES & SERVICES — 5.4% (Continued) | ||||||||||||
280,000 | Catalent Pharma Solutions, Inc.(c) | 5.0000 | 07/15/27 | $ | 293,423 | |||||||
75,000 | Catalent Pharma Solutions, Inc.(c) | 3.1250 | 02/15/29 | 72,659 | ||||||||
500,000 | CHS/Community Health Systems, Inc.(c) | 5.6250 | 03/15/27 | 530,893 | ||||||||
272,000 | CHS/Community Health Systems, Inc.(c) | 6.8750 | 04/15/29 | 284,636 | ||||||||
850,000 | DaVita, Inc.(c) | 4.6250 | 06/01/30 | 861,688 | ||||||||
1,040,000 | HCA, Inc. | 3.5000 | 09/01/30 | 1,069,613 | ||||||||
101,000 | Jaguar Holding Company II / PPD Development, L.P.(c) | 4.6250 | 06/15/25 | 106,295 | ||||||||
380,000 | Jaguar Holding Company II / PPD Development, L.P.(c) | 5.0000 | 06/15/28 | 414,865 | ||||||||
370,000 | Legacy LifePoint Health, LLC(c) | 4.3750 | 02/15/27 | 370,474 | ||||||||
500,000 | Team Health Holdings, Inc.(c),(d) | 6.3750 | 02/01/25 | 443,750 | ||||||||
525,000 | Tenet Healthcare Corporation | 4.6250 | 07/15/24 | 533,584 | ||||||||
656,000 | Tenet Healthcare Corporation(c) | 6.1250 | 10/01/28 | 693,064 | ||||||||
6,152,010 | ||||||||||||
HOME CONSTRUCTION — 0.9% | ||||||||||||
464,000 | Griffon Corporation | 5.7500 | 03/01/28 | 496,164 | ||||||||
489,000 | Mattamy Group Corporation(c) | 5.2500 | 12/15/27 | 513,756 | ||||||||
1,009,920 | ||||||||||||
HOUSEHOLD PRODUCTS — 2.0% | ||||||||||||
665,000 | Clearwater Paper Corporation(c) | 4.7500 | 08/15/28 | 672,145 | ||||||||
680,000 | Coty, Inc. Series 144A(c) | 6.5000 | 04/15/26 | 686,151 | ||||||||
500,000 | Edgewell Personal Care Company(c) | 4.1250 | 04/01/29 | 499,803 | ||||||||
410,000 | Energizer Holdings, Inc.(c) | 4.3750 | 03/31/29 | 407,462 | ||||||||
2,265,561 | ||||||||||||
INDUSTRIAL SUPPORT SERVICES — 0.9% | ||||||||||||
620,000 | Ahern Rentals, Inc.(c) | 7.3750 | 05/15/23 | 558,388 | ||||||||
520,000 | H&E Equipment Services, Inc. Series 144A B(c) | 3.8750 | 12/15/28 | 508,300 | ||||||||
1,066,688 | ||||||||||||
INSTITUTIONAL FINANCIAL SERVICES — 0.9% | ||||||||||||
575,000 | Aretec Escrow Issuer, Inc.(c) | 7.5000 | 04/01/29 | 589,921 | ||||||||
422,000 | LPL Holdings, Inc.(c) | 4.0000 | 03/15/29 | 422,000 | ||||||||
1,011,921 | ||||||||||||
INSURANCE — 0.3% | ||||||||||||
274,000 | NMI Holdings, Inc.(c) | 7.3750 | 06/01/25 | 315,496 | ||||||||
See accompanying notes which are an integral part of these financial statements.
38
DUNHAM HIGH-YIELD BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 95.5% (Continued) | ||||||||||||
INTERNET MEDIA & SERVICES — 0.6% | ||||||||||||
660,000 | GrubHub Holdings, Inc.(c) | 5.5000 | 07/01/27 | $ | 694,723 | |||||||
LEISURE FACILITIES & SERVICES — 7.8% | ||||||||||||
289,000 | Brinker International, Inc.(c) | 5.0000 | 10/01/24 | 302,995 | ||||||||
630,000 | Caesars Entertainment, Inc.(c) | 6.2500 | 07/01/25 | 670,603 | ||||||||
104,000 | Carnival Corporation(c) | 7.6250 | 03/01/26 | 114,012 | ||||||||
685,000 | Carnival Corporation(c) | 5.7500 | 03/01/27 | 723,106 | ||||||||
575,000 | CEC Entertainment Company, LLC(c) | 6.7500 | 05/01/26 | 571,579 | ||||||||
510,000 | Dave & Buster’s, Inc.(c) | 7.6250 | 11/01/25 | 551,625 | ||||||||
452,000 | Genting New York, LLC / GENNY Capital, Inc. B(c) | 3.3000 | 02/15/26 | 451,443 | ||||||||
480,000 | Hilton Grand Vacations Borrower, LLC / Hilton | 6.1250 | 12/01/24 | 505,150 | ||||||||
410,000 | Live Nation Entertainment, Inc.(c) | 4.7500 | 10/15/27 | 414,226 | ||||||||
90,000 | Live Nation Entertainment, Inc.(c) | 3.7500 | 01/15/28 | 89,785 | ||||||||
429,000 | Melco Resorts Finance Ltd.(c) | 5.3750 | 12/04/29 | 457,550 | ||||||||
710,000 | NCL Corp Ltd. B(c) | 3.6250 | 12/15/24 | 682,451 | ||||||||
187,000 | NCL Corporation Ltd.(c) | 5.8750 | 03/15/26 | 195,694 | ||||||||
126,000 | Royal Caribbean Cruises Ltd.(c) | 5.5000 | 04/01/28 | 132,294 | ||||||||
445,000 | SeaWorld Parks & Entertainment, Inc.(c) | 8.7500 | 05/01/25 | 482,547 | ||||||||
550,000 | Silversea Cruise Finance Ltd.(c) | 7.2500 | 02/01/25 | 569,883 | ||||||||
76,000 | Viking Ocean Cruises Ship VII Ltd.(c) | 5.6250 | 02/15/29 | 77,471 | ||||||||
680,000 | VOC Escrow Ltd.(c) | 5.0000 | 02/15/28 | 694,449 | ||||||||
517,000 | Wyndham Destinations, Inc. | 5.7500 | 04/01/27 | 579,733 | ||||||||
515,000 | Wynn Macau Ltd.(c) | 5.1250 | 12/15/29 | 524,927 | ||||||||
8,791,523 | ||||||||||||
METALS & MINING — 3.3% | ||||||||||||
327,000 | Cleveland-Cliffs, Inc.(d) | 5.7500 | 03/01/25 | 337,628 | ||||||||
200,000 | Cleveland-Cliffs, Inc.(c) | 6.7500 | 03/15/26 | 217,250 | ||||||||
473,000 | Cleveland-Cliffs, Inc.(c) | 4.6250 | 03/01/29 | 482,533 | ||||||||
86,000 | Cleveland-Cliffs, Inc.(c) | 4.8750 | 03/01/31 | 87,666 | ||||||||
223,000 | First Quantum Minerals Ltd. B(c) | 6.8750 | 03/01/26 | 234,680 | ||||||||
469,000 | FMG Resources August 2006 Pty Ltd. B(c) | 4.5000 | 09/15/27 | 510,464 | ||||||||
282,000 | FMG Resources August 2006 Pty Ltd.(c) | 4.3750 | 04/01/31 | 293,311 | ||||||||
260,000 | Freeport-McMoRan, Inc. | 4.1250 | 03/01/28 | 274,686 | ||||||||
123,000 | Freeport-McMoRan, Inc. | 4.3750 | 08/01/28 | 131,303 | ||||||||
See accompanying notes which are an integral part of these financial statements.
39
DUNHAM HIGH-YIELD BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 95.5% (Continued) | ||||||||||||
METALS & MINING — 3.3% (Continued) | ||||||||||||
352,000 | Freeport-McMoRan, Inc. | 5.2500 | 09/01/29 | $ | 390,690 | |||||||
260,000 | Freeport-McMoRan, Inc. | 4.2500 | 03/01/30 | 279,834 | ||||||||
525,000 | Mineral Resources Ltd.(c) | 8.1250 | 05/01/27 | 582,771 | ||||||||
3,822,816 | ||||||||||||
OIL & GAS PRODUCERS — 14.4% | ||||||||||||
775,000 | Antero Midstream Partners, L.P. / Antero Midstream(c) | 5.7500 | 01/15/28 | 790,716 | ||||||||
405,000 | Apache Corporation | 4.3750 | 10/15/28 | 413,596 | ||||||||
309,000 | Apache Corporation | 4.7500 | 04/15/43 | 307,246 | ||||||||
429,000 | Buckeye Partners, L.P.(c) | 4.5000 | 03/01/28 | 430,094 | ||||||||
550,000 | California Resources Corporation(c) | 7.1250 | 02/01/26 | 564,193 | ||||||||
544,000 | Callon Petroleum Company | 6.3750 | 07/01/26 | 474,017 | ||||||||
248,000 | Cheniere Energy Partners, L.P. | 4.5000 | 10/01/29 | 259,291 | ||||||||
360,000 | Cheniere Energy, Inc.(c) | 4.6250 | 10/15/28 | 375,804 | ||||||||
284,000 | Continental Resources Inc/OK(c) | 5.7500 | 01/15/31 | 329,805 | ||||||||
117,000 | Continental Resources, Inc. | 4.3750 | 01/15/28 | 127,506 | ||||||||
296,000 | DCP Midstream Operating, L.P. | 5.6250 | 07/15/27 | 323,885 | ||||||||
132,000 | DCP Midstream Operating, L.P.(c) | 6.7500 | 09/15/37 | 151,140 | ||||||||
235,000 | DCP Midstream Operating, L.P. | 5.6000 | 04/01/44 | 242,050 | ||||||||
605,000 | eG Global Finance plc(c) | 6.7500 | 02/07/25 | 623,752 | ||||||||
270,000 | Endeavor Energy Resources, L.P. / EER Finance,(c) | 5.7500 | 01/30/28 | 288,564 | ||||||||
893,000 | Genesis Energy, L.P. / Genesis Energy Finance | 5.6250 | 06/15/24 | 894,673 | ||||||||
325,000 | Genesis Energy, L.P. / Genesis Energy Finance | 6.5000 | 10/01/25 | 327,031 | ||||||||
307,000 | Genesis Energy, L.P. / Genesis Energy Finance | 8.0000 | 01/15/27 | 316,669 | ||||||||
677,000 | Harvest Midstream I, L.P.(c) | 7.5000 | 09/01/28 | 731,417 | ||||||||
234,000 | Hilcorp Energy I, L.P. / Hilcorp Finance Company(c) | 5.7500 | 02/01/29 | 238,646 | ||||||||
479,000 | Hilcorp Energy I, L.P. / Hilcorp Finance Company(c) | 6.0000 | 02/01/31 | 494,582 | ||||||||
714,000 | Holly Energy Partners, L.P. / Holly Energy Finance(c) | 5.0000 | 02/01/28 | 738,544 | ||||||||
450,000 | Independence Energy Finance, LLC(c) | 7.2500 | 05/01/26 | 452,250 | ||||||||
514,000 | Indigo Natural Resources, LLC(c) | 5.3750 | 02/01/29 | 510,788 | ||||||||
693,000 | MEG Energy Corporation(c) | 6.5000 | 01/15/25 | 716,822 | ||||||||
321,000 | MEG Energy Corporation(c) | 7.1250 | 02/01/27 | 343,159 | ||||||||
477,000 | Murphy Oil Corporation | 6.3750 | 07/15/28 | 484,751 | ||||||||
405,000 | Murphy Oil USA, Inc. | 4.7500 | 09/15/29 | 425,756 | ||||||||
110,000 | Murphy Oil USA, Inc.(c) | 3.7500 | 02/15/31 | 108,488 |
See accompanying notes which are an integral part of these financial statements.
40
DUNHAM HIGH-YIELD BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 95.5% (Continued) | ||||||||||||
OIL & GAS PRODUCERS — 14.4% (Continued) | ||||||||||||
650,000 | NGL Energy Operating, LLC / NGL Energy Finance(c) | 7.5000 | 02/01/26 | $ | 681,688 | |||||||
152,000 | NuStar Logistics, L.P. | 5.7500 | 10/01/25 | 163,780 | ||||||||
379,000 | NuStar Logistics, L.P. | 6.3750 | 10/01/30 | 417,848 | ||||||||
326,000 | Occidental Petroleum Corporation | 5.8750 | 09/01/25 | 356,563 | ||||||||
503,000 | Occidental Petroleum Corporation | 6.3750 | 09/01/28 | 564,009 | ||||||||
251,000 | Occidental Petroleum Corporation | 6.1250 | 01/01/31 | 279,551 | ||||||||
595,000 | PBF Holding Company, LLC / PBF Finance Corporation | 6.0000 | 02/15/28 | 450,341 | ||||||||
302,000 | Range Resources Corporation(c) | 8.2500 | 01/15/29 | 328,013 | ||||||||
427,000 | Targa Resources Partners, L.P. / Targa Resources(c) | 4.8750 | 02/01/31 | 446,909 | ||||||||
16,173,937 | ||||||||||||
OIL & GAS SERVICES & EQUIPMENT — 1.2% | ||||||||||||
463,000 | Archrock Partners, L.P. / Archrock Partners(c) | 6.8750 | 04/01/27 | 493,891 | ||||||||
397,000 | ChampionX Corporation | 6.3750 | 05/01/26 | 417,271 | ||||||||
437,000 | USA Compression Partners, L.P. / USA Compression | 6.8750 | 04/01/26 | 458,824 | ||||||||
1,369,986 | ||||||||||||
PUBLISHING & BROADCASTING — 1.4% | ||||||||||||
735,000 | Belo Corporation | 7.7500 | 06/01/27 | 870,258 | ||||||||
235,000 | Belo Corporation | 7.2500 | 09/15/27 | 274,612 | ||||||||
395,000 | Gray Television, Inc.(c) | 4.7500 | 10/15/30 | 395,494 | ||||||||
1,540,364 | ||||||||||||
REAL ESTATE INVESTMENT TRUSTS — 3.7% | ||||||||||||
604,000 | CTR Partnership, L.P. / CareTrust Capital | 5.2500 | 06/01/25 | 624,080 | ||||||||
150,000 | ESH Hospitality, Inc.(c) | 5.2500 | 05/01/25 | 153,233 | ||||||||
355,000 | ESH Hospitality, Inc.(c) | 4.6250 | 10/01/27 | 376,756 | ||||||||
621,000 | HAT Holdings I, LLC / HAT Holdings II, LLC(c) | 5.2500 | 07/15/24 | 642,692 | ||||||||
513,000 | MGM Growth Properties Operating Partnership, L.P. | 5.7500 | 02/01/27 | 574,080 | ||||||||
419,000 | MPT Operating Partnership, L.P. / MPT Finance | 5.0000 | 10/15/27 | 441,521 | ||||||||
223,000 | MPT Operating Partnership, L.P. / MPT Finance | 3.5000 | 03/15/31 | 222,808 | ||||||||
520,000 | Park Intermediate Holdings, LLC / PK Domestic(c) | 5.8750 | 10/01/28 | 552,539 | ||||||||
121,000 | Service Properties Trust | 5.2500 | 02/15/26 | 121,660 | ||||||||
96,000 | Service Properties Trust | 4.7500 | 10/01/26 | 93,791 | ||||||||
46,000 | Service Properties Trust | 5.5000 | 12/15/27 | 48,453 | ||||||||
See accompanying notes which are an integral part of these financial statements.
41
DUNHAM HIGH-YIELD BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 95.5% (Continued) | ||||||||||||
REAL ESTATE INVESTMENT TRUSTS — 3.7% (Continued) | ||||||||||||
65,000 | Service Properties Trust | 4.9500 | 10/01/29 $ | 62,928 | ||||||||
374,000 | Service Properties Trust | 4.3750 | 02/15/30 | 347,794 | ||||||||
4,262,335 | ||||||||||||
REAL ESTATE OWNERS & DEVELOPERS — 0.4% | ||||||||||||
438,000 | Kennedy-Wilson, Inc. | 4.7500 | 03/01/29 | 453,352 | ||||||||
REAL ESTATE SERVICES — 0.5% | ||||||||||||
416,000 | Cushman & Wakefield US Borrower, LLC(c) | 6.7500 | 05/15/28 | 446,420 | ||||||||
74,000 | Newmark Group, Inc. | 6.1250 | 11/15/23 | 80,799 | ||||||||
527,219 | ||||||||||||
RENEWABLE ENERGY — 0.4% | ||||||||||||
485,000 | EnerSys(c) | 5.0000 | 04/30/23 | 508,947 | ||||||||
RETAIL - CONSUMER STAPLES — 0.5% | ||||||||||||
88,000 | Albertsons Companies Inc / Safeway Inc / New | 5.7500 | 03/15/25 | 90,585 | ||||||||
440,000 | Albertsons Companies Inc / Safeway Inc / New(c) | 4.6250 | 01/15/27 | 458,150 | ||||||||
548,735 | ||||||||||||
RETAIL - DISCRETIONARY — 0.8% | ||||||||||||
266,000 | Avis Budget Car Rental, LLC / Avis Budget Finance,(c) | 5.7500 | 07/15/27 | 281,129 | ||||||||
138,000 | Avis Budget Car Rental, LLC / Avis Budget Finance,(c) | 5.3750 | 03/01/29 | 143,865 | ||||||||
287,000 | Carvana Company(c) | 5.5000 | 04/15/27 | 290,816 | ||||||||
203,000 | LCM Investments Holdings II, LLC(c) | 4.8750 | 05/01/29 | 207,907 | ||||||||
923,717 | ||||||||||||
SEMICONDUCTORS — 0.2% | ||||||||||||
230,000 | ON Semiconductor Corporation(c) | 3.8750 | 09/01/28 | 237,056 | ||||||||
SOFTWARE — 1.6% | ||||||||||||
345,000 | Camelot Finance S.A.(c) | 4.5000 | 11/01/26 | 357,506 | ||||||||
477,000 | Donnelley Financial Solutions, Inc.(d) | 8.2500 | 10/15/24 | 500,850 | ||||||||
395,000 | Rackspace Technology Global, Inc.(c) | 3.5000 | 02/15/28 | 383,644 | ||||||||
520,000 | SS&C Technologies, Inc.(c) | 5.5000 | 09/30/27 | 553,085 | ||||||||
1,795,085 | ||||||||||||
See accompanying notes which are an integral part of these financial statements.
42
DUNHAM HIGH-YIELD BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
CORPORATE BONDS — 95.5% (Continued) | ||||||||||||||
SPECIALTY FINANCE — 7.4% | ||||||||||||||
570,000 | AerCap Global Aviation Trust(c) | ICE LIBOR USD 3 Month + 4.300% | 6.5000 | 06/15/45 | $ | 607,763 | ||||||||
555,000 | Alliance Data Systems Corporation(c) | 4.7500 | 12/15/24 | 570,776 | ||||||||||
921,000 | Enova International, Inc.(c) | 8.5000 | 09/01/24 | 949,684 | ||||||||||
566,000 | Fairstone Financial, Inc.(c) | 7.8750 | 07/15/24 | 594,594 | ||||||||||
512,000 | FirstCash, Inc.(c) | 4.6250 | 09/01/28 | 526,774 | ||||||||||
123,000 | Freeport-McMoRan, Inc. | 4.6250 | 08/01/30 | 135,915 | ||||||||||
781,000 | Genworth Mortgage Holdings, Inc.(c) | 6.5000 | 08/15/25 | 849,072 | ||||||||||
331,000 | goeasy Ltd.(c) | 5.3750 | 12/01/24 | 343,413 | ||||||||||
324,000 | goeasy Ltd.(c) | 4.3750 | 05/01/26 | 328,455 | ||||||||||
677,000 | Ladder Capital Finance Holdings LLLP / Ladder(c) | 4.2500 | 02/01/27 | 665,505 | ||||||||||
138,000 | LD Holdings Group, LLC(c) | 6.5000 | 11/01/25 | 145,565 | ||||||||||
263,000 | OneMain Finance Corporation | 6.8750 | 03/15/25 | 299,163 | ||||||||||
89,000 | OneMain Finance Corporation | 5.3750 | 11/15/29 | 96,075 | ||||||||||
475,000 | Pattern Energy Operations, L.P. / Pattern Energy(c) | 4.5000 | 08/15/28 | 482,125 | ||||||||||
342,000 | Quicken Loans, LLC / Quicken Loans Co-Issuer, Inc.(c) | 3.6250 | 03/01/29 | 334,091 | ||||||||||
101,000 | Starwood Property Trust, Inc.(c) | 5.5000 | 11/01/23 | 106,176 | ||||||||||
588,000 | Starwood Property Trust, Inc. | 4.7500 | 03/15/25 | 613,725 | ||||||||||
8,458,024 | ||||||||||||||
STEEL — 1.1% | ||||||||||||||
542,000 | Commercial Metals Company | 3.8750 | 02/15/31 | 542,743 | ||||||||||
627,000 | SunCoke Energy Partners, L.P. / SunCoke Energy(c) | 7.5000 | 06/15/25 | 654,208 | ||||||||||
1,196,951 | ||||||||||||||
TECHNOLOGY HARDWARE — 2.4% | ||||||||||||||
358,000 | Diebold Nixdorf, Inc.(d) | 8.5000 | 04/15/24 | 366,055 | ||||||||||
181,000 | Diebold Nixdorf, Inc.(c) | 9.3750 | 07/15/25 | 201,928 | ||||||||||
472,000 | Imola Merger Corporation(c) | 4.7500 | 05/15/29 | 490,743 | ||||||||||
715,000 | Ingram Micro, Inc. | 5.4500 | 12/15/24 | 817,774 | ||||||||||
550,000 | NCR Corporation(c) | 5.1250 | 04/15/29 | 566,500 | ||||||||||
234,000 | TTM Technologies, Inc.(c) | 4.0000 | 03/01/29 | 234,585 | ||||||||||
2,677,585 | ||||||||||||||
TECHNOLOGY SERVICES — 1.9% | ||||||||||||||
192,000 | Ahead DB Holdings, LLC(c) | 6.6250 | 05/01/28 | 195,604 | ||||||||||
See accompanying notes which are an integral part of these financial statements.
43
DUNHAM HIGH-YIELD BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 95.5% (Continued) | ||||||||||||
TECHNOLOGY SERVICES — 1.9% (Continued) | ||||||||||||
395,000 | Banff Merger Sub, Inc.(c) | 9.7500 | 09/01/26 | $ | 420,675 | |||||||
855,000 | MPH Acquisition Holdings, LLC(c),(d) | 5.7500 | 11/01/28 | 843,311 | ||||||||
255,000 | Nielsen Finance, LLC / Nielsen Finance Company(c) | 5.6250 | 10/01/28 | 272,213 | ||||||||
402,000 | Nielsen Finance, LLC / Nielsen Finance Company(c) | 5.8750 | 10/01/30 | 440,693 | ||||||||
2,172,496 | ||||||||||||
TELECOMMUNICATIONS — 5.2% | ||||||||||||
720,000 | Altice France Holding S.A.(c) | 6.0000 | 02/15/28 | 716,180 | ||||||||
380,000 | Altice France S.A.(c) | 7.3750 | 05/01/26 | 394,459 | ||||||||
345,000 | Altice France S.A.(c) | 5.1250 | 07/15/29 | 345,900 | ||||||||
360,000 | Cablevision Lightpath, LLC(c) | 3.8750 | 09/15/27 | 355,500 | ||||||||
122,000 | CenturyLink, Inc. | 7.5000 | 04/01/24 | 136,678 | ||||||||
410,000 | CenturyLink, Inc.(c) | 5.1250 | 12/15/26 | 430,666 | ||||||||
294,000 | Cogent Communications Group, Inc.(c) | 3.5000 | 05/01/26 | 294,000 | ||||||||
680,000 | Connect Finco S.A.RL / Connect US Finco, LLC(c) | 6.7500 | 10/01/26 | 711,246 | ||||||||
505,000 | Frontier Communications Corporation(c) | 5.0000 | 05/01/28 | 516,602 | ||||||||
660,000 | Hughes Satellite Systems Corporation | 6.6250 | 08/01/26 | 731,511 | ||||||||
302,000 | Telesat Canada / Telesat, LLC(c) | 4.8750 | 06/01/27 | 295,960 | ||||||||
639,000 | Telesat Canada / Telesat, LLC(c) | 6.5000 | 10/15/27 | 628,616 | ||||||||
391,000 | Zayo Group Holdings, Inc.(c) | 6.1250 | 03/01/28 | 404,122 | ||||||||
5,961,440 | ||||||||||||
TRANSPORTATION & LOGISTICS — 3.3% | ||||||||||||
1,225,000 | American Airlines, Inc.(c) | 11.7500 | 07/15/25 | 1,535,843 | ||||||||
159,317 | American Airlines, Inc./AAdvantage Loyalty IP Ltd.(c) | 5.5000 | 04/20/26 | 167,482 | ||||||||
127,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd.(c) | 5.7500 | 04/20/29 | 136,239 | ||||||||
650,000 | Cargo Aircraft Management, Inc.(c) | 4.7500 | 02/01/28 | 666,406 | ||||||||
176,000 | Delta Air Lines, Inc.(c) | 7.0000 | 05/01/25 | 204,694 | ||||||||
368,417 | Hawaiian Brand Intellectual Property Ltd. /(c) | 5.7500 | 01/20/26 | 389,601 | ||||||||
167,458 | UAL 2007-1 Pass Through Trust Series 2017-1 Class A | 6.6360 | 07/02/22 | 173,319 | ||||||||
110,000 | United Airlines Holdings, Inc.(d) | 4.8750 | 01/15/25 | 111,719 | ||||||||
271,000 | United Airlines, Inc.(c) | 4.3750 | 04/15/26 | 281,561 | ||||||||
93,000 | United Airlines, Inc.(c) | 4.6250 | 04/15/29 | 96,762 | ||||||||
3,763,626 | ||||||||||||
See accompanying notes which are an integral part of these financial statements.
44
DUNHAM HIGH-YIELD BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 95.5% (Continued) | ||||||||||||
TRANSPORTATION EQUIPMENT — 0.8% | ||||||||||||
505,000 | Allison Transmission Inc B(c) | 3.7500 | 01/30/31 | $ | 487,956 | |||||||
380,000 | JB Poindexter & Company, Inc.(c) | 7.1250 | 04/15/26 | 402,325 | ||||||||
890,281 | ||||||||||||
WHOLESALE - CONSUMER STAPLES — 0.9% | ||||||||||||
520,000 | C&S Group Enterprises, LLC(c) | 5.0000 | 12/15/28 | 518,024 | ||||||||
450,000 | Performance Food Group, Inc.(c) | 5.5000 | 10/15/27 | 475,052 | ||||||||
993,076 | ||||||||||||
WHOLESALE - DISCRETIONARY — 0.4% | ||||||||||||
475,000 | KAR Auction Services, Inc.(c) | 5.1250 | 06/01/25 | 482,215 | ||||||||
TOTAL CORPORATE BONDS (Cost $103,584,362) | 108,198,720 |
Shares | ||||||||
COLLATERAL FOR SECURITIES LOANED - 2.2% | ||||||||
2,481,100 | HSBC US Government Money Market Fund - Class I, 0.03%(e)(f) (Cost $2,481,100) | 2,481,100 | ||||||
TOTAL INVESTMENTS - 98.0% (Cost $107,258,943) | $ | 110,988,209 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 2.0% | 2,226,412 | |||||||
NET ASSETS - 100.0% | $ | 113,214,621 | ||||||
LIBOR | - London Inter-bank Offered Rate |
LLC | - Limited Liability Company |
LP | - Limited Partnership |
LTD | - Limited Company |
NV | - Naamioze Vennootschap |
PLC | - Public Limited Company |
REIT | - Real Estate Investment Trust |
S/A | - Société Anonyme |
(a) | Percentage rounds to less than 0.1%. |
(b) | Non-income producing security. |
See accompanying notes which are an integral part of these financial statements.
45
DUNHAM HIGH-YIELD BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
(c) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of April 30, 2021 the total market value of 144A securities is 82,455,547 or 72.8% of net assets. |
(d) | All or a portion of these securities are on loan. Total loaned securities had a value of $2,432,452 at April 30, 2021. |
(e) | Rate disclosed is the seven day effective yield as of April 30, 2021. |
(f) | 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) | ||||||||||
Ba3 | 21.5 | % | Other/Not Rated | 4.4 | % | |||||
B2 | 17.9 | % | Caa2 | 2.6 | % | |||||
B1 | 17.1 | % | Collateral for Securities Loaned | 2.2 | % | |||||
Ba2 | 12.4 | % | Caa3 | 0.9 | % | |||||
Ba1 | 7.3 | % | C | 0.4 | % | |||||
B3 | 7.0 | % | Baa3 | 0.2 | % | |||||
Caa1 | 5.9 | % | Baa2 | 0.2 | % | |||||
Total | 100.0 | % | ||||||||
* | Based on total value of investments as of April 30, 2021. Bond Ratings provided by Moody’s Ratings. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes which are an integral part of these financial statements.
46
Dunham International Opportunity Bond Fund (Unaudited) |
Message from the Sub-Adviser (Stone Harbor Investment Partners LP) |
Asset Class Recap
Along with an uptick in economic activity around the globe came inflation concerns. Bond investors broadly sold long duration bonds, as many anticipated that interest rate increases would eventually be needed to help curtail future surges in inflation. Therefore, the yield on the 10-year U.S. Treasury rose from 0.87 percent at the beginning of the fiscal year to 1.63 percent at the end of April. As the 10-year U.S. Treasury yield serves as a benchmark rate for many other countries, foreign bonds, as measured by the Bloomberg Barclays Global Aggregate Bond ex-US Index Hedged, also adjusted. As a result, when the 10-year U.S. Treasury saw its return tumble 6.3 percent during the six-month period, foreign bonds saw their returns subdued, eking out a positive 0.7 percent. Although all eyes seem to have been on U.S. monetary policy, the European Central Bank also agreed to maintain its accommodative monetary policy stance. With both Europe and the U.S. promising to keep short-term rates low, yield curve steepening appeared to be the only near-term threat to investment-grade bonds. European high-yield bonds, on the other hand, were able to produce a positive showing in the six-month period due to a higher general appetite for yield and overall lower concern for credit risk. During the six-month period, European high-yield bonds, as measured by the Bloomberg Barclays Pan-European High-Yield Total Return Index, increased 7.9 percent. Emerging market debt followed a similar pattern, with the primarily investment-grade JP Morgan EMBI Global Total Return Index increasing 2.5 percent, while the JP Morgan Emerging Market High-Yield Bond Index surged 8.3 percent.
Allocation Review
The Sub-Adviser maintained a higher allocation to foreign corporate bonds, with close to 60 percent of the Fund invested in corporate bonds. Within the corporate bond allocation, the Fund had approximately half in developed markets and half in emerging markets countries. The Fund’s exposure to emerging markets debt overall remained slightly higher than 50 percent, leaving the balance in developed markets. The Sub-Adviser retained a 52 percent allocation to investment-grade bonds and a 48 percent allocation to high-yield bonds. Most of the high-yield bond exposure was through emerging markets, as only 10 percent of the 48 percent high-yield allocation was in developed market high-yield. In regard to country exposure, the largest emerging market exposures continued to be broadly diversified across nearly 40 countries, but the largest weightings were to Mexico, Egypt, and Russia. Overall, the Fund’s allocation to emerging markets debt benefitted relative performance, as did the exposure to high-yield bonds. During the six-month period, the Fund did not hold any derivatives that materially affected performance.
Holdings Insights
As the Fund maintained a significant overweight to emerging markets debt, some of the Fund’s largest holdings were also from emerging markets countries. For example, some of the Fund’s largest holdings included Eskom Holding SOC Ltd. 6.75% 8/6/2023 (29646AAA4) (holding weight*: 1.95 percent), a South African public utility, Metinvest BV 7.75% 10/17/2029 (591555AF4) (holding weight*: 2.05 percent), a metals and mining company based in Ukraine, and DP World Salaam 6% perpetual (BMFQ8R9) (holding weight*: 1.90 percent), a port operator in the United Arab Emirates. The Eskom and Metinvest bonds have both been prevalent holdings in the Fund since before the start of the fiscal year, but the DP World Salaam bond was added in the second fiscal quarter. While the Metinvest and Eskom bonds returned significant gains during the six-month period of 16.0 percent and 13.5 percent, respectively, the DP World Salaam bond returned 3.7 percent since it was added during the period. Although smaller positions within the Fund, some of the other holdings within emerging markets detracted from Fund performance since the start of the fiscal year. Specifically, the Mexican Bonos 7.75% 11/13/2042 (B7V21L1) (holding weight*: 0.56 percent) and the Colombian TES 6% 4/28/2028 (B8CLGQ4) (holding weight*: 0.54 percent) each posted negative returns for the six-month period, declining 3.1 percent and 3.0 percent, respectively.
Within developed markets bonds, the Fund continued to experience mixed results, as it was the source of some modest contributors as well as detractors. For example, the largest holdings were the Italy Buoni Poliennali Del Tesoro 2.45% 9/1/2033 (BYMZ293) (holding weight*: 1.24 percent) and the Spain Government Bond 2.7% 10/31/2048 (BFX1703) (holding weight*: 0.55 percent) which declined 1.2 percent and 8.8 percent, respectively during the six-month period ended April 30, 2021. However, one of the strongest performers within the Fund since the start of the fiscal year was also in developed Europe. The United Kingdom-based Tullow Oil plc 7% 3/1/2025 (89941SAE3) (holding weight*: 1.94 percent) surged close to 70 percent, as Tullow was able to pursue enhanced operations in Ghana, the prospects of which were uncertain and had previously weighed heavily on the bond price. This strong return combined with its higher weighting in the Fund resulted in the Tullow holding being the largest contributor to overall Fund performance during the six-month period.
Sub-Adviser Outlook
As global economies enter varying stages of recovery from the pandemic, the Sub-Adviser continues to seek opportunities across both developed and emerging markets. The Sub-Adviser evaluates both the sovereign debt as well as the corporate offerings within each country, weighing the valuations within a risk construct. While the Sub-Adviser does not believe that central banks will begin aggressively reversing course on their currently eased monetary policies, it does believe that some will move in the intermediate-term to stave off out-of-control inflation. Similarly, the Sub-Adviser is cautious about some bond market sectors, such as the lowest rated high-yield bonds, that have seen an outsized run-up in recent months. The Sub-Adviser believes that by identifying individual opportunities through their rigorous fundamental credit analysis as well as retaining the ability to actively navigate credit quality and sector exposures across countries, will allow the Fund to take advantage of opportunities that continue to emerge.
* | Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 4/30/2021. |
Growth of $100,000 Investment
Total Returns (a) as of April 30, 2021
Annualized | ||||
Six | Annualized | Since Inception | ||
Months | One Year | Five Years | (11/1/13) | |
Class N | 3.82% | 16.01% | 0.44% | (0.17)% |
Class A with load of 4.50% | (0.91)% | 10.60% | (0.71)% | (1.02)% |
Class A without load | 3.74% | 15.77% | 0.21% | (0.41)% |
Class C | 3.47% | 15.23% | (0.31)% | (0.92)% |
Bloomberg Barclays Global ex-US Aggregate Bond Index Unhedged | (1.38)% | (0.07)% | 3.26% | 3.89% |
Morningstar World Bond Category | 1.56% | 8.17% | 3.11% | 2.40% |
(a) | Total Returns are calculated based on traded NAVs. |
The Bloomberg Barclays Global ex US Aggregate Bond Index Unhedged is designed to be a broad-based measure of the global investment-grade, fixed rate, fixed income corporate markets outside the United States. Investors cannot invest directly in an index or benchmark.
The Morningstar World Bond Category is generally representative of funds that invest at least 40% of bonds in foreign markets. |
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.61% for Class N, 2.36% for Class C and 1.86% 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.
47
DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
April 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||||||||||
ASSET BACKED SECURITIES — 0.1% | |||||||||||||||
RESIDENTIAL MORTGAGE — 0.1% | |||||||||||||||
62,669 | EUR | Bankinter 10 FTA(a) | EUR003M + 0.160% | — | 06/21/43 | $ | 75,371 | ||||||||
26,543 | EUR | Fondo de Titulizacion de Activos Santander(a) | EUR003M + 0.150% | — | 01/18/49 | 31,864 | |||||||||
TOTAL ASSET BACKED SECURITIES (Cost $94,720) | 107,235 | ||||||||||||||
CORPORATE BONDS — 61.6% | |||||||||||||||
AEROSPACE & DEFENSE — 0.7% | |||||||||||||||
250,000 | EUR | Airbus S.E. | 2.3750 | 06/09/40 | 342,900 | ||||||||||
100,000 | EUR | Rolls-Royce plc(b) | 4.6250 | 02/16/26 | 130,257 | ||||||||||
473,157 | |||||||||||||||
ASSET MANAGEMENT — 0.5% | |||||||||||||||
300,000 | EUR | JAB Holdings BV | 1.0000 | 12/20/27 | 370,801 | ||||||||||
AUTOMOTIVE — 2.5% | |||||||||||||||
300,000 | EUR | Daimler A.G. | 0.7500 | 02/08/30 | 367,345 | ||||||||||
100,000 | EUR | Faurecia S.E. | 3.1250 | 06/15/26 | 124,834 | ||||||||||
200,000 | EUR | Fiat Chrysler Automobiles N.V. | 3.8750 | 01/05/26 | 277,449 | ||||||||||
300,000 | USD | Hyundai Capital America(b) | 1.3000 | 01/08/26 | 295,245 | ||||||||||
300,000 | USD | Nissan Motor Company Ltd.(b) | 3.5220 | 09/17/25 | 320,932 | ||||||||||
35,000 | USD | Uzauto Motors AJ | 4.8500 | 05/04/26 | 35,350 | ||||||||||
200,000 | EUR | Volkswagen International Finance N.V. | 1.8750 | 03/30/27 | 261,764 | ||||||||||
100,000 | EUR | ZF Finance GmbH | 3.7500 | 09/21/28 | 131,657 | ||||||||||
1,814,576 | |||||||||||||||
BANKING — 8.5% | |||||||||||||||
250,000 | USD | AIB Group plc(b) | US0003M + 1.874% | 4.2630 | 04/10/25 | 271,126 | |||||||||
250,000 | EUR | AIB Group plc | 2.2500 | 07/03/25 | 326,486 | ||||||||||
200,000 | EUR | Banco Bilbao Vizcaya Argentaria S.A. | 3.5000 | 02/10/27 | 279,247 | ||||||||||
715,000 | USD | Banco Mercantil del Norte S.A.(b) | H15T5Y + 4.967% | 6.7500 | 09/27/68 | 753,479 | |||||||||
300,000 | EUR | Banco Santander S.A. | 1.1250 | 01/17/25 | 374,333 | ||||||||||
275,000 | USD | Bank of Ireland Group plc(b) | 4.5000 | 11/25/23 | 298,876 | ||||||||||
200,000 | EUR | Banque Federative du Credit Mutuel S.A. | 2.6250 | 03/18/24 | 260,141 | ||||||||||
350,000 | USD | Barclays plc(c) | 4.8360 | 05/09/28 | 393,852 | ||||||||||
200,000 | EUR | BPCE S.A. | 4.6250 | 07/18/23 | 265,643 | ||||||||||
200,000 | EUR | Cooperatieve Rabobank UA | 1.3750 | 02/03/27 | 260,079 | ||||||||||
300,000 | EUR | Credit Agricole S.A. | 1.8750 | 12/20/26 | 392,399 | ||||||||||
250,000 | USD | Danske Bank A/S(b) | H15T1Y + 1.350% | 1.6210 | 09/11/26 | 248,749 | |||||||||
300,000 | USD | Deutsche Bank AG/New York NY | SOFRRATE + 1.870% | 2.1290 | 11/24/26 | 303,937 | |||||||||
175,000 | USD | HSBC Holdings plc | SOFRRATE + 1.538% | 1.6450 | 04/18/26 | 176,451 | |||||||||
100,000 | USD | HSBC Holdings PLC | SOFRRATE + 1.290% | 1.5890 | 05/24/27 | 99,296 | |||||||||
250,000 | USD | Lloyds Banking Group plc | 4.5820 | 12/10/25 | 280,180 |
See accompanying notes which are an integral part of these financial statements.
48
DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||||||||||
CORPORATE BONDS — 61.6% (Continued) | |||||||||||||||
BANKING — 8.5% (Continued) | |||||||||||||||
300,000 | USD | Mizuho Financial Group, Inc.(c) | SOFRRATE + 1.532% | 1.9790 | 09/08/31 | $ | 287,146 | ||||||||
250,000 | EUR | Natwest Group plc | EUR003M + 1.080% | 1.7500 | 03/02/26 | 317,859 | |||||||||
150,000 | USD | Standard Chartered plc(b) | US0003M + 1.209% | 2.8190 | 01/30/26 | 156,908 | |||||||||
150,000 | USD | Standard Chartered plc(b) | H15T5Y + 2.300% | 3.2650 | 02/18/36 | 148,188 | |||||||||
150,000 | USD | Standard Chartered plc(b) | 5.7000 | 03/26/44 | 188,254 | ||||||||||
6,082,629 | |||||||||||||||
BEVERAGES — 1.3% | |||||||||||||||
300,000 | EUR | Anheuser-Busch InBev S.A./NV | 1.1500 | 01/22/27 | 381,393 | ||||||||||
200,000 | EUR | Heineken N.V. | 3.5000 | 03/19/24 | 266,342 | ||||||||||
200,000 | EUR | Pernod Ricard S.A. | 1.5000 | 05/18/26 | 258,130 | ||||||||||
905,865 | |||||||||||||||
BIOTECH & PHARMA — 2.5% | |||||||||||||||
300,000 | EUR | Bayer A.G. | 1.3750 | 07/06/32 | 368,530 | ||||||||||
250,000 | GBP | GlaxoSmithKline Capital plc | 1.2500 | 10/12/28 | 342,683 | ||||||||||
100,000 | EUR | Grifols S.A. | 3.2000 | 05/01/25 | 121,442 | ||||||||||
100,000 | EUR | Grifols S.A. | 2.2500 | 11/15/27 | 122,637 | ||||||||||
200,000 | EUR | Mylan N.V. | 3.1250 | 11/22/28 | 279,312 | ||||||||||
100,000 | EUR | Nidda BondCompany GmbH | 5.0000 | 09/30/25 | 121,960 | ||||||||||
100,000 | EUR | Nidda Healthcare Holding GmbH | 3.5000 | 09/30/24 | 121,133 | ||||||||||
300,000 | USD | Perrigo Finance Unlimited Company(c) | 3.1500 | 06/15/30 | 298,110 | ||||||||||
1,775,807 | |||||||||||||||
CABLE & SATELLITE — 1.2% | |||||||||||||||
100,000 | EUR | Telenet Finance Luxembourg Notes Sarl | 3.5000 | 03/01/28 | 125,400 | ||||||||||
200,000 | EUR | UPCB Finance VII Ltd. | 3.6250 | 06/15/29 | 247,737 | ||||||||||
100,000 | GBP | Virgin Media Secured Finance plc | 5.0000 | 04/15/27 | 145,032 | ||||||||||
100,000 | GBP | Virgin Media Secured Finance plc | 4.2500 | 01/15/30 | 139,672 | ||||||||||
100,000 | EUR | Ziggo Bond Company BV(b) | 3.3750 | 02/28/30 | 119,330 | ||||||||||
100,000 | EUR | Ziggo BV | 2.8750 | 01/15/30 | 121,655 | ||||||||||
898,826 | |||||||||||||||
CHEMICALS — 0.7% | |||||||||||||||
100,000 | EUR | CeramTec BondCompany GmbH | 5.2500 | 12/15/25 | 122,353 | ||||||||||
100,000 | EUR | OCI N.V. | 3.1250 | 11/01/24 | 123,423 | ||||||||||
100,000 | EUR | Solvay Finance S.A.CA | EUSA5 + 5.223% | 5.8690 | 06/03/68 | 136,308 | |||||||||
100,000 | EUR | SPCM SA(b) | 2.0000 | 02/01/26 | 123,119 | ||||||||||
505,203 | |||||||||||||||
COMMERCIAL SUPPORT SERVICES — 0.2% | |||||||||||||||
100,000 | EUR | Intertrust Group BV | 3.3750 | 11/15/25 | 123,625 |
See accompanying notes which are an integral part of these financial statements.
49
DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||||||||||
CORPORATE BONDS — 61.6% (Continued) | |||||||||||||||
CONSTRUCTION MATERIALS — 0.1% | |||||||||||||||
69,000 | USD | Cemex S.A.B. de C.V.(b) | 7.3750 | 06/05/27 | $ | 78,355 | |||||||||
CONTAINERS & PACKAGING — 1.4% | |||||||||||||||
200,000 | EUR | Ardagh Metal Packaging Finance USA, LLC / Ardagh(b) | 3.0000 | 09/01/29 | 241,486 | ||||||||||
200,000 | GBP | Ardagh Packaging Finance plc / Ardagh Holdings | 4.7500 | 07/15/27 | 283,833 | ||||||||||
85,000 | USD | Klabin Austria GmbH(b) | 3.2000 | 01/12/31 | 81,141 | ||||||||||
100,000 | EUR | Smurfit Kappa Treasury ULC | 1.5000 | 09/15/27 | 126,207 | ||||||||||
200,000 | EUR | Trivium Packaging Finance BV | 3.7500 | 08/15/26 | 247,471 | ||||||||||
980,138 | |||||||||||||||
E-COMMERCE DISCRETIONARY — 0.4% | |||||||||||||||
300,000 | USD | Alibaba Group Holding Ltd. | 2.1250 | 02/09/31 | 289,316 | ||||||||||
ELEC & GAS MARKETING & TRADING — 0.5% | |||||||||||||||
250,000 | EUR | Orsted A/S | 1.5000 | 11/26/29 | 329,842 | ||||||||||
ELECTRIC UTILITIES — 4.2% | |||||||||||||||
200,000 | EUR | Enel Finance International N.V. | 1.9660 | 01/27/25 | 259,098 | ||||||||||
1,341,000 | USD | Eskom Holdings SOC Ltd.(b) | 6.7500 | 08/06/23 | 1,402,351 | ||||||||||
95,000 | USD | Eskom Holdings SOC Ltd.(b) | 7.1250 | 02/11/25 | 99,710 | ||||||||||
66,000 | USD | Greenko Dutch BV(b) | 3.8500 | 03/29/26 | 67,238 | ||||||||||
200,000 | EUR | Iberdrola Finanzas S.A. | 1.0000 | 03/07/25 | 250,847 | ||||||||||
180,000 | USD | Inkia Energy Ltd.(b) | 5.8750 | 11/09/27 | 182,925 | ||||||||||
250,000 | EUR | innogy Finance BV | 1.0000 | 04/13/25 | 312,058 | ||||||||||
200,000 | EUR | Naturgy Finance BV | 1.5000 | 01/29/28 | 259,814 | ||||||||||
233,000 | USD | Star Energy Geothermal Darajat II / Star Energy(b) | 4.8500 | 10/14/38 | 258,354 | ||||||||||
3,092,395 | |||||||||||||||
ELECTRICAL EQUIPMENT — 0.7% | |||||||||||||||
200,000 | GBP | Siemens Financieringsmaatschappij N.V. | 1.0000 | 02/20/25 | 279,030 | ||||||||||
100,000 | EUR | Vertical Midco GmbH | 4.3750 | 07/15/27 | 126,701 | ||||||||||
100,000 | EUR | Vertical Midco GmbH(b) | 4.3750 | 07/15/27 | 126,701 | ||||||||||
532,432 | |||||||||||||||
ENGINEERING & CONSTRUCTION — 0.4% | |||||||||||||||
248,000 | USD | IHS Netherlands Holdco BV(b) | 8.0000 | 09/18/27 | 270,940 | ||||||||||
FOOD — 2.3% | |||||||||||||||
634,000 | USD | Adecoagro S.A.(b),(c) | 6.0000 | 09/21/27 | 668,788 | ||||||||||
642,000 | USD | Minerva Luxembourg S.A.(b) | 4.3750 | 03/18/31 | 626,200 |
See accompanying notes which are an integral part of these financial statements.
50
DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||||||||||
CORPORATE BONDS — 61.6% (Continued) | |||||||||||||||
FOOD — 2.3% (Continued) | |||||||||||||||
100,000 | USD | Sigma Holdco BV | 5.7500 | 05/15/26 | $ | 117,203 | |||||||||
207,000 | EUR | Ulker Biskuvi Sanayi A/S(b) | 6.9500 | 10/30/25 | 223,830 | ||||||||||
1,636,021 | |||||||||||||||
FORESTRY, PAPER & WOOD PRODUCTS — 0.2% | |||||||||||||||
100,000 | EUR | WEPA Hygieneprodukte GmbH | 2.8750 | 12/15/27 | 120,606 | ||||||||||
GAS & WATER UTILITIES — 0.4% | |||||||||||||||
200,000 | EUR | Veolia Environnement S.A. | 1.4960 | 11/30/26 | 259,036 | ||||||||||
INDUSTRIAL INTERMEDIATE PROD — 0.6% | |||||||||||||||
407,000 | USD | HTA Group Ltd./Mauritius(b) | 7.0000 | 12/18/25 | 435,750 | ||||||||||
INDUSTRIAL SUPPORT SERVICES — 0.5% | |||||||||||||||
100,000 | EUR | Loxam S.A.S | 3.7500 | 07/15/26 | 121,642 | ||||||||||
100,000 | EUR | Techem Verwaltungsgesellschaft 674 mbH | 6.0000 | 07/30/26 | 125,043 | ||||||||||
100,000 | EUR | Techem Verwaltungsgesellschaft 675 mbH(b) | 2.0000 | 07/15/25 | 119,372 | ||||||||||
366,057 | |||||||||||||||
INSTITUTIONAL FINANCIAL SERVICES — 0.7% | |||||||||||||||
300,000 | USD | LSEGA Financing plc(b) | 2.0000 | 04/06/28 | 299,372 | ||||||||||
225,000 | USD | Nomura Holdings, Inc. | 1.8510 | 07/16/25 | 227,244 | ||||||||||
526,616 | |||||||||||||||
INSURANCE — 1.4% | |||||||||||||||
200,000 | EUR | Allianz S.E. | EUR003M + 3.350% | 3.0990 | 07/06/47 | 275,883 | |||||||||
300,000 | EUR | Great-West Lifeco, Inc. | 2.5000 | 04/18/23 | 380,060 | ||||||||||
250,000 | EUR | NN Group N.V. | 1.6250 | 06/01/27 | 326,115 | ||||||||||
982,058 | |||||||||||||||
INTERNET MEDIA & SERVICES — 0.3% | |||||||||||||||
200,000 | USD | Tencent Holdings Ltd.(b) | 3.2400 | 06/03/50 | 182,407 | ||||||||||
LEISURE FACILITIES & SERVICES — 0.6% | |||||||||||||||
100,000 | EUR | Gamma Bidco SpA(b) | 5.1250 | 07/15/25 | 122,050 | ||||||||||
100,000 | EUR | Gamma Bidco SpA | 6.2500 | 07/15/25 | 126,255 | ||||||||||
100,000 | EUR | Motion Finco Sarl | 7.0000 | 05/15/25 | 127,485 | ||||||||||
73,000 | USD | Studio City Finance Ltd.(b) | 6.0000 | 07/15/25 | 77,198 | ||||||||||
452,988 |
See accompanying notes which are an integral part of these financial statements.
51
DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||||||||||
CORPORATE BONDS — 61.6% (Continued) | |||||||||||||||
MEDICAL EQUIPMENT & DEVICES — 0.5% | |||||||||||||||
300,000 | EUR | Medtronic Global Holdings SCA | 0.7500 | 10/15/32 | $ | 361,619 | |||||||||
METALS & MINING — 2.1% | |||||||||||||||
109,000 | USD | Corp Nacional del Cobre de Chile(b) | 3.0000 | 09/30/29 | 112,251 | ||||||||||
142,000 | USD | Corp Nacional del Cobre de Chile(b) | 4.3750 | 02/05/49 | 160,321 | ||||||||||
562,000 | USD | First Quantum Minerals Ltd. B(b),(c) | 6.8750 | 03/01/26 | 591,434 | ||||||||||
300,000 | EUR | Glencore Capital Finance DAC | 1.1250 | 03/10/28 | 368,984 | ||||||||||
78,000 | USD | Indika Energy Capital IV Pte Ltd.(b) | 8.2500 | 10/22/25 | 83,402 | ||||||||||
26,000 | USD | Indonesia Asahan Aluminium Persero PT(b) | 5.8000 | 05/15/50 | 30,778 | ||||||||||
58,000 | USD | Southern Copper Corporation | 6.7500 | 04/16/40 | 80,984 | ||||||||||
70,000 | USD | Vedanta Resources Finance II plc(b) | 8.9500 | 03/11/25 | 69,530 | ||||||||||
1,497,684 | |||||||||||||||
OIL & GAS PRODUCERS — 6.1% | |||||||||||||||
325,000 | USD | BP Capital Markets plc(c) | H15T5Y + 4.036% | 4.3750 | 09/22/68 | 346,938 | |||||||||
100,000 | EUR | eG Global Finance plc | 6.2500 | 10/30/25 | 122,904 | ||||||||||
223,000 | USD | Gran Tierra Energy International Holdings Ltd.(b) | 6.2500 | 02/15/25 | 190,285 | ||||||||||
9,000 | USD | Gran Tierra Energy, Inc.(b) | 7.7500 | 05/23/27 | 7,632 | ||||||||||
97,000 | USD | KazMunayGas National Company JSC(b) | 5.7500 | 04/19/47 | 116,875 | ||||||||||
369,000 | USD | Kosmos Energy Ltd.(b) | 7.1250 | 04/04/26 | 360,637 | ||||||||||
94,000 | USD | Leviathan Bond Ltd. | 6.5000 | 06/30/27 | 104,676 | ||||||||||
68,000 | USD | Oil and Gas Holding Company BSCC (The)(b) | 7.6250 | 11/07/24 | 76,446 | ||||||||||
100,000 | USD | Pertamina Persero PT(b) | 2.3000 | 02/09/31 | 95,029 | ||||||||||
159,000 | USD | Petroleos Mexicanos | 6.8750 | 08/04/26 | 173,032 | ||||||||||
45,000 | USD | Petroleos Mexicanos | 6.4900 | 01/23/27 | 47,644 | ||||||||||
50,000 | USD | Petroleos Mexicanos | 5.9500 | 01/28/31 | 48,343 | ||||||||||
38,000 | USD | Petroleos Mexicanos | 6.6250 | 06/15/35 | 36,779 | ||||||||||
13,000 | USD | Petroleos Mexicanos | 6.6250 | 06/15/38 | 12,086 | ||||||||||
278,000 | USD | Petroleos Mexicanos | 7.6900 | 01/23/50 | 268,089 | ||||||||||
93,000 | USD | Petroleos Mexicanos | 6.9500 | 01/28/60 | 82,431 | ||||||||||
300,000 | USD | Total Capital International S.A. | 3.1270 | 05/29/50 | 288,116 | ||||||||||
1,598,000 | USD | Tullow Oil plc(b) | 7.0000 | 03/01/25 | 1,396,252 | ||||||||||
859,000 | USD | YPF S.A.(b) | 8.5000 | 07/28/25 | 624,535 | ||||||||||
4,398,729 | |||||||||||||||
REAL ESTATE INVESTMENT TRUSTS — 1.0% | |||||||||||||||
400,000 | USD | LMIRT Capital Pte Ltd. | 7.2500 | 06/19/24 | 422,217 | ||||||||||
200,000 | GBP | Westfield America Management Ltd. | 2.1250 | 03/30/25 | 283,052 | ||||||||||
705,269 | |||||||||||||||
REAL ESTATE OWNERS & DEVELOPERS — 5.1% | |||||||||||||||
636,000 | USD | China SCE Group Holdings Ltd. | 7.3750 | 04/09/24 | 663,825 |
See accompanying notes which are an integral part of these financial statements.
52
DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||||||||||
CORPORATE BONDS — 61.6% (Continued) | |||||||||||||||
REAL ESTATE OWNERS & DEVELOPERS — 5.1% (Continued) | |||||||||||||||
700,000 | USD | China SCE Group Holdings Ltd. | 7.0000 | 05/02/25 | $ | 709,625 | |||||||||
500,000 | USD | Theta Capital Pte Ltd. | 8.1250 | 01/22/25 | 531,875 | ||||||||||
250,000 | USD | Theta Capital Pte Ltd. | 6.7500 | 10/31/26 | 253,417 | ||||||||||
1,300,000 | USD | Wanda Properties International Company Ltd. | 7.2500 | 01/29/24 | 1,290,738 | ||||||||||
200,000 | USD | Wanda Properties Overseas Ltd. | 6.9500 | 12/05/22 | 199,250 | ||||||||||
3,648,730 | |||||||||||||||
REAL ESTATE SERVICES — 0.8% | |||||||||||||||
557,000 | USD | ESR Cayman Ltd. | 7.8750 | 04/04/22 | 573,013 | ||||||||||
RENEWABLE ENERGY — 0.2% | |||||||||||||||
125,000 | USD | Investment Energy Resources Ltd.(b) | 6.2500 | 04/26/29 | 133,563 | ||||||||||
RETAIL - CONSUMER STAPLES — 0.6% | |||||||||||||||
100,000 | GBP | Bellis Acquisition Company plc(b) | 3.2500 | 02/16/26 | 139,131 | ||||||||||
100,000 | GBP | Bellis Finco plc(b) | 4.0000 | 02/16/27 | 138,999 | ||||||||||
100,000 | EUR | Quatrim S.A.SU | 5.8750 | 01/15/24 | 125,797 | ||||||||||
403,927 | |||||||||||||||
SEMICONDUCTORS — 0.3% | |||||||||||||||
150,000 | USD | TSMC Global Ltd.(b) | 1.0000 | 09/28/27 | 144,833 | ||||||||||
100,000 | USD | TSMC Global Ltd.(b) | 1.3750 | 09/28/30 | 92,605 | ||||||||||
237,438 | |||||||||||||||
SPECIALTY FINANCE — 0.9% | |||||||||||||||
300,000 | USD | NTT Finance Corporation(b) | 1.5910 | 04/03/28 | 293,985 | ||||||||||
100,000 | EUR | Parts Europe S.A.(b) | 6.5000 | 07/16/25 | 127,452 | ||||||||||
184,000 | USD | Studio City Finance Ltd.(b) | 6.5000 | 01/15/28 | 199,204 | ||||||||||
620,641 | |||||||||||||||
STEEL — 3.0% | |||||||||||||||
648,000 | USD | CSN Resources S.A.(b) | 7.6250 | 04/17/26 | 698,353 | ||||||||||
1,374,000 | USD | Metinvest BV(b) | 7.7500 | 10/17/29 | 1,471,348 | ||||||||||
2,169,701 | |||||||||||||||
TECHNOLOGY HARDWARE — 0.6% | |||||||||||||||
100,000 | EUR | Nokia OYJ | 3.1250 | 05/15/28 | 133,405 | ||||||||||
250,000 | USD | Seagate HDD Cayman(b) | 4.1250 | 01/15/31 | 253,811 | ||||||||||
387,216 | |||||||||||||||
TELECOMMUNICATIONS — 2.8% | |||||||||||||||
100,000 | EUR | Altice France Holding S.A.(b) | 8.0000 | 05/15/27 | 131,190 | ||||||||||
100,000 | EUR | Altice France S.A.(b) | 2.1250 | 02/15/25 | 117,654 |
See accompanying notes which are an integral part of these financial statements.
53
DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||||||||||
CORPORATE BONDS — 61.6% (Continued) | |||||||||||||||
TELECOMMUNICATIONS — 2.7% (Continued) | |||||||||||||||
230,000 | USD | Axtel S.A.B. de C.V.(b) | 6.3750 | 11/14/24 | $ | 240,350 | |||||||||
250,000 | EUR | Deutsche Telekom International Finance BV | 0.8750 | 01/30/24 | 309,831 | ||||||||||
180,000 | USD | Millicom International Cellular S.A.(b) | 5.1250 | 01/15/28 | 190,219 | ||||||||||
200,000 | EUR | Orange S.A. | 2.0000 | 01/15/29 | 271,798 | ||||||||||
100,000 | EUR | Telecom Italia SpA | 3.6250 | 05/25/26 | 133,909 | ||||||||||
100,000 | EUR | Telefonica Europe BV | EUSA6 + 4.107% | 4.3750 | 03/14/68 | 130,922 | |||||||||
250,000 | USD | VF Ukraine PAT via VFU Funding plc(b) | 6.2000 | 02/11/25 | 255,063 | ||||||||||
100,000 | EUR | Vodafone Group plc | EUSA5 + 2.669% | 3.1000 | 01/03/79 | 125,516 | |||||||||
100,000 | EUR | Vodafone Group plc | EUSA5 + 3.002% | 2.6250 | 08/27/80 | 124,448 | |||||||||
2,030,900 | |||||||||||||||
TOBACCO & CANNABIS — 0.5% | |||||||||||||||
300,000 | USD | BAT Capital Corporation | 4.7000 | 04/02/27 | 338,401 | ||||||||||
TRANSPORTATION & LOGISTICS — 4.5% | |||||||||||||||
200,000 | EUR | Abertis Infraestructuras S.A. | 2.3750 | 09/27/27 | 265,846 | ||||||||||
12,883 | USD | Aeropuerto Internacional de Tocumen S.A.(b) | 6.0000 | 11/18/48 | 13,846 | ||||||||||
250,000 | USD | Aerovias de Mexico S.A. de CV(b),(d) | 7.0000 | 02/05/25 | 139,065 | ||||||||||
64,000 | USD | DP World plc(b) | 5.6250 | 09/25/48 | 77,882 | ||||||||||
6,000 | USD | DP World plc(b) | 4.7000 | 09/30/49 | 6,497 | ||||||||||
1,245,000 | USD | DP World Salaam | H15T5Y + 5.750% | 6.0000 | 01/01/70 | 1,367,634 | |||||||||
662,000 | USD | Gol Finance S.A.(b),(c) | 7.0000 | 01/31/25 | 605,399 | ||||||||||
200,000 | GBP | Heathrow Finance plc | 6.2500 | 03/03/25 | 307,024 | ||||||||||
100,000 | GBP | Heathrow Funding Ltd. | 7.1250 | 02/14/24 | 158,941 | ||||||||||
155,000 | USD | Rumo Luxembourg Sarl(b) | 5.2500 | 01/10/28 | 164,996 | ||||||||||
218,000 | USD | Simpar Europe S.A.(b) | 5.2000 | 01/26/31 | 220,208 | ||||||||||
3,327,338 | |||||||||||||||
TOTAL CORPORATE BONDS (Cost $42,897,123) | 44,319,615 | ||||||||||||||
NON U.S. GOVERNMENT & AGENCIES — 28.5% | |||||||||||||||
GOVERNMENT GUARANTEED — 0.1% | |||||||||||||||
39,200 | USD | Brazil Minas SPE via State of Minas Gerais(b) | 5.3330 | 02/15/28 | 42,483 | ||||||||||
LOCAL AUTHORITY — 0.5% | |||||||||||||||
150,000 | CAD | Province of British Columbia Canada | 3.2000 | 06/18/44 | 131,117 | ||||||||||
250,000 | CAD | Province of Ontario Canada | 2.8000 | 06/02/48 | 201,077 | ||||||||||
332,194 |
See accompanying notes which are an integral part of these financial statements.
54
DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||||||||||
NON U.S. GOVERNMENT & AGENCIES — 28.5% (Continued) | |||||||||||||||
NON U.S. TREASURY — 14.7% | |||||||||||||||
860,000 | AUD | Australia Government Bond | 1.2500 | 05/21/32 | $ | 628,932 | |||||||||
291,000 | BRL | Brazilian Government International Bond | 12.5000 | 01/05/22 | 56,691 | ||||||||||
1,919,000 | BRL | Brazilian Government International Bond | 12.5000 | 01/05/22 | 373,846 | ||||||||||
550,000 | CAD | Canadian Government Bond | 2.2500 | 06/01/29 | 477,985 | ||||||||||
1,482,000,000 | COP | Colombian TES | 6.0000 | 04/28/28 | 388,825 | ||||||||||
2,250,000 | EGP | Egypt Treasury Bills(e) | — | 08/10/21 | 139,083 | ||||||||||
4,700,000 | EGP | Egypt Treasury Bills(e) | — | 09/28/21 | 285,527 | ||||||||||
1,348,000,000 | IDR | Indonesia Treasury Bond | 9.0000 | 03/15/29 | 108,012 | ||||||||||
5,483,000,000 | IDR | Indonesia Treasury Bond | 7.0000 | 09/15/30 | 392,605 | ||||||||||
930,000,000 | IDR | Indonesia Treasury Bond | 8.2500 | 06/15/32 | 70,926 | ||||||||||
755,000,000 | IDR | Indonesia Treasury Bond | 8.3750 | 03/15/34 | 57,983 | ||||||||||
76,000 | EUR | Ireland Government Bond | 5.4000 | 03/13/25 | 112,502 | ||||||||||
50,000 | EUR | Ireland Government Bond | 0.9000 | 05/15/28 | 64,804 | ||||||||||
130,000 | EUR | Ireland Government Bond | 1.3000 | 05/15/33 | 175,307 | ||||||||||
240,000 | EUR | Italy Buoni Poliennali Del Tesoro | 4.5000 | 03/01/24 | 327,096 | ||||||||||
750,000 | EUR | Italy Buoni Poliennali Del Tesoro | 2.8000 | 12/01/28 | 1,051,291 | ||||||||||
640,000 | EUR | Italy Buoni Poliennali Del Tesoro(b) | 2.4500 | 09/01/33 | 889,309 | ||||||||||
180,000 | EUR | Italy Buoni Poliennali Del Tesoro(b) | 5.0000 | 08/01/39 | 338,563 | ||||||||||
235,000 | EUR | Italy Buoni Poliennali Del Tesoro | 5.0000 | 09/01/40 | 445,461 | ||||||||||
6,150,000 | JPY | Japan Government Forty Year Bond | 0.8000 | 03/20/58 | 58,524 | ||||||||||
17,000,000 | JPY | Japan Government Thirty Year Bond | 1.5000 | 03/20/45 | 188,821 | ||||||||||
17,150,000 | JPY | Japan Government Thirty Year Bond | 0.5000 | 09/20/46 | 154,311 | ||||||||||
7,589,000 | MXN | Mexican Bonos | 7.5000 | 06/03/27 | 399,689 | ||||||||||
8,200,000 | MXN | Mexican Bonos | 7.7500 | 11/13/42 | 405,116 | ||||||||||
100,000 | EUR | Portugal Obrigacoes do Tesouro OT | 4.1250 | 04/14/27 | 150,940 | ||||||||||
1,655,000 | ZAR | Republic of South Africa Government Bond | 6.2500 | 03/31/36 | 76,457 | ||||||||||
9,110,000 | RUB | Russian Federal Bond - OFZ | 7.4000 | 12/07/22 | 124,561 | ||||||||||
6,120,000 | RUB | Russian Federal Bond - OFZ | 6.9000 | 05/23/29 | 81,754 | ||||||||||
21,770,000 | RUB | Russian Federal Bond - OFZ | 7.7000 | 03/23/33 | 305,143 | ||||||||||
23,760,000 | RUB | RUSSIAN FEDERAL BOND - OFZ | 7.0500 | 01/19/28 | 322,485 | ||||||||||
350,000 | EUR | Spain Government Bond | 1.2500 | 10/31/30 | 454,026 | ||||||||||
170,000 | EUR | Spain Government Bond | 4.2000 | 01/31/37 | 304,559 | ||||||||||
250,000 | EUR | Spain Government Bond | 2.7000 | 10/31/48 | 393,156 | ||||||||||
300,000 | GBP | United Kingdom Gilt | 4.5000 | 09/07/34 | 591,762 | ||||||||||
8,870,000 | UYU | Uruguay Government International Bond | 9.8750 | 06/20/22 | 209,509 | ||||||||||
10,605,561 | |||||||||||||||
SOVEREIGN — 12.6% | |||||||||||||||
202,000 | USD | Angolan Government International Bond(b) | 9.1250 | 11/26/49 | 204,896 | ||||||||||
1,783 | USD | Argentine Republic Government International Bond | 1.0000 | 07/09/29 | 675 | ||||||||||
1,286,000 | USD | Argentine Republic Government International Bond(f) | 0.1250 | 07/09/30 | 464,849 | ||||||||||
298,000 | USD | Argentine Republic Government International Bond(f) | 0.1250 | 07/09/35 | 94,469 |
See accompanying notes which are an integral part of these financial statements.
55
DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||||||||||
NON U.S. GOVERNMENT & AGENCIES — 28.5% (Continued) | |||||||||||||||
SOVEREIGN — 12.6% (Continued) | |||||||||||||||
9,520 | USD | Argentine Republic Government International Bond(f) | 0.1250 | 01/09/38 | $ | 3,608 | |||||||||
280,000 | USD | Argentine Republic Government International Bond(f) | 0.1250 | 07/09/46 | 90,328 | ||||||||||
98,000 | USD | Bahamas Government International Bond(b) | 8.9500 | 10/15/32 | 109,270 | ||||||||||
161,000 | USD | Banque Centrale de Tunisie International Bond(b) | 5.7500 | 01/30/25 | 151,475 | ||||||||||
100,000 | EUR | Benin Government International Bond(b) | 6.8750 | 01/19/52 | 126,940 | ||||||||||
55,000 | USD | Brazilian Government International Bond(c) | 4.6250 | 01/13/28 | 59,094 | ||||||||||
137,000 | USD | Brazilian Government International Bond | 4.5000 | 05/30/29 | 144,545 | ||||||||||
175,000 | USD | Brazilian Government International Bond(c) | 3.8750 | 06/12/30 | 173,952 | ||||||||||
100,000 | EUR | Colombia Government International Bond | 3.8750 | 03/22/26 | 135,879 | ||||||||||
84,000 | USD | Colombia Government International Bond | 3.0000 | 01/30/30 | 82,478 | ||||||||||
261,000 | USD | Colombia Government International Bond | 3.1250 | 04/15/31 | 255,962 | ||||||||||
74,000 | USD | Colombia Government International Bond(c) | 3.2500 | 04/22/32 | 72,645 | ||||||||||
14,000 | USD | Colombia Government International Bond | 5.6250 | 02/26/44 | 15,926 | ||||||||||
44,000 | USD | Colombia Government International Bond | 5.0000 | 06/15/45 | 46,900 | ||||||||||
200,000 | USD | Development Bank of the Republic of Belarus | 6.7500 | 05/02/24 | 196,200 | ||||||||||
129,000 | USD | Dominican Republic International Bond(b) | 4.5000 | 01/03/30 | 134,160 | ||||||||||
26,000 | USD | Dominican Republic International Bond | 6.4000 | 06/05/49 | 28,425 | ||||||||||
101,000 | USD | Dominican Republic International Bond(b) | 5.8750 | 01/30/60 | 101,126 | ||||||||||
52,074 | USD | Ecuador Government International Bond(b),(e) | — | 07/31/30 | 28,641 | ||||||||||
82,800 | USD | Ecuador Government International Bond(b),(f) | 0.5000 | 07/31/30 | 69,552 | ||||||||||
105,060 | USD | Ecuador Government International Bond(b),(f) | 0.5000 | 07/31/35 | 71,967 | ||||||||||
94,000 | USD | Egypt Government International Bond(b) | 5.2500 | 10/06/25 | 98,046 | ||||||||||
29,000 | USD | Egypt Government International Bond(b) | 7.0530 | 01/15/32 | 29,786 | ||||||||||
168,000 | USD | Egypt Government International Bond(b) | 7.6250 | 05/29/32 | 178,924 | ||||||||||
25,000 | USD | Egypt Government International Bond(b) | 8.5000 | 01/31/47 | 25,871 | ||||||||||
26,000 | USD | Egypt Government International Bond(b) | 8.7000 | 03/01/49 | 27,171 | ||||||||||
37,000 | USD | Egypt Government International Bond(b) | 8.8750 | 05/29/50 | 39,037 | ||||||||||
200,000 | USD | Egypt Government International Bond(b) | 8.1500 | 11/20/59 | 198,430 | ||||||||||
27,000 | USD | El Salvador Government International Bond(b) | 8.2500 | 04/10/32 | 29,738 | ||||||||||
104,000 | USD | El Salvador Government International Bond | 7.6500 | 06/15/35 | 109,346 | ||||||||||
24,000 | USD | El Salvador Government International Bond | 7.1250 | 01/20/50 | 23,040 | ||||||||||
33,000 | USD | El Salvador Government International Bond | 9.5000 | 07/15/52 | 37,538 | ||||||||||
68,000 | USD | Gabon Government International Bond(b) | 6.9500 | 06/16/25 | 72,579 | ||||||||||
136,000 | USD | Gabon Government International Bond(b) | 6.6250 | 02/06/31 | 137,199 | ||||||||||
16,000 | USD | Ghana Government International Bond(b) | 8.1250 | 01/18/26 | 17,189 | ||||||||||
17,000 | USD | Ghana Government International Bond(b) | 6.3750 | 02/11/27 | 16,924 | ||||||||||
139,000 | USD | Ghana Government International Bond(b) | 7.8750 | 03/26/27 | 145,279 | ||||||||||
118,000 | USD | Ghana Government International Bond(b) | 7.6250 | 05/16/29 | 120,334 | ||||||||||
60,000 | USD | Ghana Government International Bond(b) | 7.8750 | 02/11/35 | 59,222 | ||||||||||
21,000 | USD | Ghana Government International Bond(b) | 8.8750 | 05/07/42 | 21,104 | ||||||||||
217,000 | USD | Ghana Government International Bond(b) | 8.9500 | 03/26/51 | 215,855 | ||||||||||
100,000 | EUR | Indonesia Government International Bond(b) | 2.1500 | 07/18/24 | 127,726 |
See accompanying notes which are an integral part of these financial statements.
56
DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||||||||||
NON U.S. GOVERNMENT & AGENCIES — 28.5% (Continued) | |||||||||||||||
SOVEREIGN — 12.6% (Continued) | |||||||||||||||
35,000 | USD | Indonesia Government International Bond | 5.1250 | 01/15/45 | $ | 42,270 | |||||||||
123,000 | EUR | Ivory Coast Government International Bond(b) | 5.8750 | 10/17/31 | 160,668 | ||||||||||
164,000 | USD | Kenya Government International Bond(b) | 8.0000 | 05/22/32 | 180,146 | ||||||||||
175,000 | USD | Lebanon Government International Bond(d) | 6.6500 | 02/26/30 | 22,457 | ||||||||||
100,000 | EUR | Mexico Government International Bond | 1.6250 | 04/08/26 | 126,994 | ||||||||||
62,000 | USD | Mexico Government International Bond | 4.7500 | 04/27/32 | 69,843 | ||||||||||
200,000 | USD | Mozambique International Bond(b),(f) | 5.0000 | 09/15/31 | 165,294 | ||||||||||
330,000 | USD | Nigeria Government International Bond(b) | 7.8750 | 02/16/32 | 356,528 | ||||||||||
200,000 | USD | Nigeria Government International Bond | 7.6250 | 11/28/47 | 201,757 | ||||||||||
199,000 | USD | Oman Government International Bond(b) | 7.3750 | 10/28/32 | 227,779 | ||||||||||
40,000 | USD | Oman Government International Bond(b) | 6.7500 | 01/17/48 | 40,010 | ||||||||||
228,000 | USD | Pakistan Government International Bond(b) | 6.0000 | 04/08/26 | 234,777 | ||||||||||
9,000 | USD | Panama Government International Bond | 3.1600 | 01/23/30 | 9,422 | ||||||||||
70,000 | USD | Panama Government International Bond | 2.2520 | 09/29/32 | 67,008 | ||||||||||
50,000 | USD | Panama Government International Bond | 3.8700 | 07/23/60 | 50,166 | ||||||||||
203,000 | USD | Papua New Guinea Government International Bond(b) | 8.3750 | 10/04/28 | 207,568 | ||||||||||
25,231 | USD | Republic of Angola Via Avenir II BV(a) | US0006M + 7.500% | 7.7600 | 07/01/23 | 24,868 | |||||||||
171,429 | USD | Republic of Angola Via Avenir Issuer II Ireland | 6.9270 | 02/19/27 | 158,947 | ||||||||||
125,000 | USD | Republic of Armenia International Bond(b) | 3.6000 | 02/02/31 | 115,044 | ||||||||||
47,000 | USD | Republic of Belarus International Bond(b) | 7.6250 | 06/29/27 | 48,889 | ||||||||||
71,000 | USD | Republic of Belarus Ministry of Finance(b) | 6.3780 | 02/24/31 | 67,802 | ||||||||||
2,620,000 | ZAR | Republic of South Africa Government Bond | 8.5000 | 01/31/37 | 146,654 | ||||||||||
33,000 | USD | Republic of South Africa Government International | 5.7500 | 09/30/49 | 31,887 | ||||||||||
121,000 | EUR | Romanian Government International Bond(b) | 2.3750 | 04/19/27 | 158,343 | ||||||||||
11,000 | EUR | Romanian Government International Bond | 2.8750 | 03/11/29 | 14,664 | ||||||||||
69,000 | EUR | Romanian Government International Bond(b) | 2.0000 | 04/14/33 | 82,032 | ||||||||||
48,000 | EUR | Romanian Government International Bond(b) | 3.3750 | 02/08/38 | 62,684 | ||||||||||
19,000 | EUR | Romanian Government International Bond(b) | 2.7500 | 04/14/41 | 22,525 | ||||||||||
42,000 | USD | Romanian Government International Bond(b) | 6.1250 | 01/22/44 | 54,825 | ||||||||||
400,000 | USD | Russian Foreign Bond - Eurobond | 4.2500 | 06/23/27 | 443,701 | ||||||||||
121,000 | USD | Saudi Government International Bond(b) | 2.2500 | 02/02/33 | 114,350 | ||||||||||
111,000 | EUR | Senegal Government International Bond(b) | 4.7500 | 03/13/28 | 139,010 | ||||||||||
138,000 | USD | Trinidad & Tobago Government International Bond | 4.5000 | 08/04/26 | 147,563 | ||||||||||
47,000 | USD | Turkey Government International Bond | 5.7500 | 03/22/24 | 47,907 | ||||||||||
27,000 | USD | Turkey Government International Bond | 6.3500 | 08/10/24 | 27,881 | ||||||||||
57,000 | USD | Turkey Government International Bond | 5.1250 | 02/17/28 | 53,791 | ||||||||||
30,000 | USD | Turkey Government International Bond | 5.9500 | 01/15/31 | 28,397 | ||||||||||
111,000 | USD | Turkey Government International Bond | 5.8750 | 06/26/31 | 104,342 | ||||||||||
35,000 | USD | Turkey Government International Bond | 5.7500 | 05/11/47 | 28,921 | ||||||||||
37,000 | USD | Ukraine Government International Bond(b) | 7.7500 | 09/01/26 | 39,966 | ||||||||||
108,000 | USD | Ukraine Government International Bond(b) | 7.2530 | 03/15/33 | 108,405 |
See accompanying notes which are an integral part of these financial statements.
57
DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | |||||||||||
NON U.S. GOVERNMENT & AGENCIES — 28.5% (Continued) | |||||||||||||||
SOVEREIGN — 12.6% (Continued) | |||||||||||||||
14,000 | USD | Zambia Government International Bond(b) | 5.3750 | 09/20/22 | $ | 8,494 | |||||||||
14,000 | USD | Zambia Government International Bond(b) | 8.9700 | 07/30/27 | 8,540 | ||||||||||
9,047,419 | |||||||||||||||
SUPRANATIONAL — 0.6% | |||||||||||||||
1,150,000 | BRL | European Investment Bank(e) | — | 08/27/21 | 208,888 | ||||||||||
200,000 | EUR | European Investment Bank | 1.1250 | 09/15/36 | 268,840 | ||||||||||
477,728 | |||||||||||||||
TOTAL NON U.S. GOVERNMENT & AGENCIES (Cost $20,074,677) | 20,505,385 | ||||||||||||||
Shares | |||||||||||||||
SHORT-TERM INVESTMENTS —2.5% | |||||||||||||||
MONEY MARKET FUNDS - 2.5% | |||||||||||||||
1,769,843 | Fidelity Government Portfolio, Institutional Class, 0.01% (Cost $1,769,843)(g) | 1,769,843 | |||||||||||||
COLLATERAL FOR SECURITIES LOANED – 4.6% | |||||||||||||||
3,315,835 | Mount Vernon Prime Portfolio, 0.11% (Cost $3,315,835)(g),(h) | 3,315,835 | |||||||||||||
TOTAL INVESTMENTS - 97.3% (Cost $68,152,198) | $ | 70,017,913 | |||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 2.7% | 1,930,815 | ||||||||||||||
NET ASSETS - 100.0% | $ | 71,948,728 |
OPEN FUTURES CONTRACTS | ||||||||||||||
Number of Contracts | Open Long Futures Contracts | Expiration | Notional Amount(1) | Unrealized Appreciation (Depreciation) | ||||||||||
11 | CBOT 10 Year US Treasury Note | 06/21/2021 | $ | 1,452,341 | $ | (26,472 | ) | |||||||
7 | Eurex 30 Year Euro BUXL Future | 06/08/2021 | 1,701,332 | (66,536 | ) | |||||||||
25 | Long Gilt Future | 06/28/2021 | 4,419,143 | (49,026 | ) | |||||||||
8 | TSE Japanese 10 Year Bond Futures | 06/14/2021 | 11,076,529 | 43,033 | ||||||||||
TOTAL FUTURES CONTRACTS | $ | (99,001 | ) |
OPEN FUTURES CONTRACTS | ||||||||||||||
Number of Contracts | Open Short Futures Contracts | Expiration | Notional Amount(1) | Unrealized Appreciation | ||||||||||
63 | CBOT 5 Year US Treasury Note | 06/30/2021 | $ | 7,808,094 | $ | 59,523 | ||||||||
8 | Eurex 10 Year Euro BUND Future | 06/08/2021 | 1,637,170 | 14,816 | ||||||||||
TOTAL FUTURES CONTRACTS | $ | 74,339 |
See accompanying notes which are an integral part of these financial statements.
58
DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
A/S | - Anonim Sirketi |
LLC | - Limited Liability Company |
LTD | - Limited Company |
NV | - Naamioze Vennootschap |
OYJ | - Julkinen osakeyhtio |
PLC | - Public Limited Company |
REIT | - Real Estate Investment Trust |
S/A | - Societe Anonyme |
SA de CV | - Sociedad Anonima de Capital Variable |
EUR003M | Euribor 3 Month ACT/360 |
EUSA5 | 5 Year EUR Annual Swap |
EUSA6 | 6 Year EUR Annual Swap |
H15T1Y | US Treasury Yield Curve Rate T Note Constant Maturity 1 Year |
H15T5Y | US Treasury Yield Curve Rate T Note Constant Maturity 5 Year |
SOFRRATE | United States SOFR Secured Overnight Financing Rate |
US0003M | ICE LIBOR USD 3 Month |
US0006M | ICE LIBOR USD 6 Month |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
COP | Columbian Peso |
EGP | Egyptian Pound |
EUR | Euro |
GBP | British Pound |
IDR | Indonesia Rupiah |
JPY | Japanese Yen |
MXN | Mexican Peso |
RUB | Russian Ruble |
USD | US Dollars |
UYU | UYU |
ZAR | South African Rand |
(a) | Variable rate security; the rate shown represents the rate on April 30, 2021. |
(b) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of April 30, 2021 the total market value of 144A securities is 24,483,603 or 34.0% of net assets. |
(c) | All or a portion of these securities are on loan. Total loaned securities had a value of $3,258,422 at April 30, 2021. |
(d) | Represents issuer in default on interest payments; non-income producing security. |
(e) | Zero coupon rate. |
(f) | Step-Up Bond; the interest rate shown is the rate in effect as of April 30, 2021 |
(g) | Rate disclosed is the seven day effective yield as of April 30, 2021. |
(h) | The Trust’s securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 105% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 105% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 105%. |
See accompanying notes which are an integral part of these financial statements.
59
DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
(i) | 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. |
OPEN CREDIT DEFAULT SWAP AGREEMENTS
Description | Counterparty | Notional Value at April 30, 2021 | Fixed Deal (Received) Rate | Premium Paid (Received) | Maturity Date | Unrealized Appreciation | ||||||||||||
To Sell Protection CDX.EM.32-V3 (1) | Citibank | $ | (465,000 | ) | 1.00% | $ | (26,590 | ) | 12/20/2024 | $ | 24,948 | |||||||
To Sell Protection CDX.EM.33-V2 (1) | Citibank | (722,000 | ) | 1.00% | (25,407 | ) | 6/20/2025 | 18,678 | ||||||||||
To Sell Protection CDX.EM.35-V1 (1) | Citibank | (800,000 | ) | 1.00% | (30,551 | ) | 6/20/2025 | 5,143 | ||||||||||
48,769 |
(1) | If the Fund is a seller of protection and if a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising of the referenced index. |
Unrealized | ||||||||||||||||
Foreign Currency | Settlement Date | Counterparty | Local Currency | U.S. Dollar Value | Appreciation/(Depreciation) | |||||||||||
To Buy: | ||||||||||||||||
Euro | 05/04/2021 | Capstone Global Markets | 328,112 | $ | 394,981 | $ | 174 | |||||||||
Euro | 05/04/2021 | JP Morgan Chase | 116,607 | 140,372 | 233 | |||||||||||
British Pound | 05/05/2021 | Capstone Global Markets | 202,245 | 280,020 | 288 | |||||||||||
Japanese Yen | 05/12/2021 | JP Morgan Chase | 65,680,000 | 600,924 | (457 | ) | ||||||||||
Australian Dollar | 05/14/2021 | Capstone Global Markets | 460,000 | 355,345 | 1,666 | |||||||||||
Australian Dollar | 05/26/2021 | Capstone Global Markets | 460,000 | 355,366 | (3,058 | ) | ||||||||||
Euro | 05/26/2021 | Capstone Global Markets | 1,290,000 | 1,553,599 | 160 | |||||||||||
Japanese Yen | 05/26/2021 | Capstone Global Markets | 66,708,801 | 610,401 | (6,464 | ) | ||||||||||
Euro | 06/30/2021 | Capstone Global Markets | 128,713 | 155,136 | 1,016 | |||||||||||
Euro | 06/30/2021 | JP Morgan Chase | 212,864 | 256,561 | 193 | |||||||||||
$ | 4,702,705 | $ | (6,249 | ) | ||||||||||||
To Sell: | ||||||||||||||||
Euro | 05/03/2021 | JP Morgan Chase | 20,022 | $ | 24,102 | $ | 174 | |||||||||
Euro | 05/04/2021 | JP Morgan Chase | 53,438 | 64,329 | (99 | ) | ||||||||||
Euro | 05/06/2021 | JP Morgan Chase | 6,143,584 | 7,395,955 | (170,146 | ) | ||||||||||
Australian Dollar | 05/14/2021 | Capstone Global Markets | 460,000 | 355,345 | 857 | |||||||||||
Japanese Yen | 05/26/2021 | JP Morgan Chase | 58,500,001 | 535,289 | 1,156 | |||||||||||
Australian Dollar | 06/30/2021 | Barclays | 822,000 | 635,130 | (1,750 | ) | ||||||||||
British Pound | 06/30/2021 | Capstone Global Markets | 1,283,345 | 1,777,150 | 4,263 | |||||||||||
Canadian Dollar | 06/30/2021 | JP Morgan Chase | 1,027,400 | 835,260 | (11,901 | ) | ||||||||||
Euro | 06/30/2021 | Capstone Global Markets | 12,794,212 | 15,420,706 | (147,592 | ) | ||||||||||
Euro | 06/30/2021 | JP Morgan Chase | 1,147,681 | 1,383,286 | (10,077 | ) | ||||||||||
Japanese Yen | 06/30/2021 | Capstone Global Markets | 65,788,801 | 602,180 | 619 | |||||||||||
$ | 29,028,732 | $ | (334,496 | ) |
See accompanying notes which are an integral part of these financial statements.
60
DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Foreign Currency | Settlement Date | Counterparty | Currency Amount Purch Buy | Currency Amount Purch Sell | U.S. Dollar MV Buy | U.S. Dollar MV Sell | Unrealized Appreciation/(Depreciation) | ||||||||||||||||||
To Buy: | |||||||||||||||||||||||||
British Pound | Euro | 6/30/2021 | JP Morgan Chase | 4,625 | 5,331 | 6,405 | (6,426 | ) | $ | (21 | ) | ||||||||||||||
Euro | British Pound | 6/30/2021 | JP Morgan Chase | 978,651 | 844,068 | 1,179,557 | (1,168,846 | ) | 10,711 | ||||||||||||||||
983,276 | 849,399 | $ | 1,185,962 | $ | 1,175,272 | $ | 10,690 | ||||||||||||||||||
Total | $ | 10,690 |
See accompanying notes which are an integral part of these financial statements.
61
DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Portfolio Composition * - (Unaudited) | ||||||||
Netherlands | 10.2% | France | 4.4 | % | ||||
Great Britain | 10.0% | Spain | 4.1 | % | ||||
Cayman Islands | 7.0% | Germany | 3.7 | % | ||||
Luxembourg | 6.0% | Ireland | 3.4 | % | ||||
Italy | 5.3% | Other Countries** | 41.4 | % | ||||
Mexico | 4.5% | Total | 100.00 | % |
* | Based on total value of investments as of April 30, 2021. |
** | Includes Collateral for Securities Loaned as of April 30, 2021. |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes which are an integral part of these financial statements.
62
Dunham Large Cap Value Fund (Unaudited) |
Message from the Sub-Adviser (Rothschild & Co. Asset Management US Inc.) |
Asset Class Recap
Over the six-month fiscal period, large cap value stocks continued to rally off their historic lows, as economically sensitive sectors, such as energy, financials, and industrials led value stocks higher. Value stocks were hit hard at the onset of the COVID pandemic, however, have rebounded sharply in the last two fiscal quarters, with discretionary spending in traditional value sectors on the rise. An accommodative monetary policy, in addition to a third round of fiscal stimulus, provided an influx of capital into the economy. With consumer spending increasing, unemployment declining, and a return to normal on the horizon, heavily beaten-down value stocks appeared more attractive than their growth counterparts. This was apparent in the most recent fiscal quarter as large cap value stocks, as represented by the Russell 1000 Value Index, rose 16.8 percent, while large cap growth stocks, as represented by the Russell 1000 Growth Index, rose 8.6 percent. This marked the second consecutive quarter that large cap value stocks outpaced their large cap growth peers, a trend that could continue as many believe value stocks are still trading at significant discounts to their intrinsic values. Over the trailing six-month fiscal period ended April 30, 2021, large cap value stocks rose 36.3 percent.
Allocation Review
The Sub-Adviser does not believe in taking large sector overweight and underweight bets, but rather seeks to find the best opportunities within each sector, driven by a bottom-up security selection process. With that being said, the largest contributor during the six-month fiscal period was consumer discretionary, with strong stock selection being the main contributor here. Industries set to benefit from the economy re-opening, such as retail shopping and restaurants, led the sector higher. Following the consumer discretionary sector were the producer durables and technology sectors, with stock selection also positively contributing to relative performance. The largest detractor during the fiscal quarter was the financials sector, with stock selection detracting from relative performance. Stock selection in the insurance and banking industries dragged on performance. Additionally, an overweight allocation to the health care sector, as well as poor stock selection in the materials and processing sector hurt relative performance.
Holding Insights
The largest contributor over the six-month fiscal period was Discovery, Inc. (DISCA) (holding weight**: 0.57 percent), a multinational broadcasting corporation specializing in lifestyle, food, sports, and other real-life entertainment programming. The largest contributor in back-to-back fiscal quarters continued to rally, as excitement related to Discovery’s streaming platform, Discovery Plus, drove the stock higher. Discovery Plus saw higher than anticipated subscriptions upon release, which initially caused the stock price to skyrocket. However, the Sub-Adviser believed there was little room for growth, as DISCA did not offer as robust of a platform as their competitors. DISCA was sold out of the Fund on February 24, 2021 after rising 156.2 percent. Another contributor over the fiscal period was EOG Resources, Inc. (EOG) (holding weight*: 1.15 percent), a developer and producer of crude oil, natural gas, and natural gas liquids, which rose 117.6 percent. The government imposed lockdown restrictions eased as the number of reported COVID cases dropped across the globe, leading to an increase in leisure travel, in turn increasing the demand for energy. As the economy continues to re-open, more individuals are expected to commute back to the office and go on vacations, which bodes well for the energy sector, specifically the oil and gas producers. In the financials sector, Bank of America, Corp. (BAC) (holding weight*: 3.31 percent), a multinational bank offering consumer and commercial banking, investment banking, and asset management, rose 72.9 percent. BAC reported strong revenues and earnings, as reserve requirements to cover anticipated loan losses were released from the balance sheet, reducing expenses, leading to higher than expected earnings.
Only three of the Sub-Adviser’s holdings posted negative returns over the six-month fiscal period. The largest of which was American Electric Power (AEP) (holding weight**: 1.11 percent), an electric public utility company that engages in the generation, transmission, and distribution of electricity for sale to retail and wholesale customers in the U.S., falling 8.9 percent. AEP’s recently released earnings report showed revenues beat expectations, however, earnings came in lower than expected. The Sub-Adviser felt that AEP’s growth prospects had diminished and sold out of the position on March 8, 2021. Another detractor was The Procter & Gamble Company (PG) (holding weight*: 1.09 percent), a provider of branded consumer packaged goods, operating in the beauty, grooming, health care, home care, and family care segments, which fell 1.5 percent. PG’s recent revenues and earnings came in above expectations, however, showed a year-over-year decline, as demand for PG’s products are expected to drop when the economy re-opens. In addition, PG announced that they will increase prices on a majority of their products, raising concerns that individuals will choose to buy substitute products instead. The last holding that ended the period in negative territory was Thermo Fisher Scientific, Inc. (TMO) (holding weight*: 1.16 percent), a provider of instruments, equipment, software, and services to the pharmaceutical and biotechnology industries. TMO is also one of the largest providers of COVID antibody testing kits, which led to record revenue and earnings growth in 2020. A recent study found that one of the COVID vaccinations proved highly effective in stopping the spread of the virus. As more individuals receive vaccines, investors believe that other vaccines will show similar rates of effectiveness, causing demand for TMO’s COVID antibody testing kits to likely decrease. Over the fiscal six-month period, TMO dropped 0.5 percent.
Sub-Adviser Outlook
Looking ahead, the Sub-Adviser believes that value stocks still have room to run as the economy continues to re-open. An accommodative fiscal and monetary policy, in addition to declining unemployment rates and increased consumer spending, should provide a positive backdrop for those industries still recovering from the pandemic. The Sub-Adviser is particularly interested in the energy sector, as the sector heavily affected by the work-from-home trend has surged in recent months. Both corporate and leisure travel are expected to pick up as individuals return to the office and take time off to travel both domestically and internationally. As a result, the demand for oil and natural gas is expected to increase significantly, as rising energy prices increase revenues. As always, the sub-adviser will stay true to its disciplined investment process and seek out companies trading at attractive valuations with improving business prospects.
* | Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 4/30/2021. |
** | Holdings percentage(s) as of the date prior to the sale of the security. |
Growth of $100,000 Investment
Total Returns (a) as of April 30, 2021 | ||||
Six | Annualized | Annualized | ||
Months | One Year | Five Years | Ten Years | |
Class N | 34.61% | 44.39% | 11.66% | 9.57% |
Class A with load of 5.75% | 26.69% | 35.69% | 10.08% | 8.65% |
Class A without load | 34.38% | 43.98% | 11.38% | 9.30% |
Class C | 33.85% | 42.89% | 10.54% | 8.47% |
Russell 1000 Value Index | 36.30% | 45.93% | 12.15% | 11.14% |
Morningstar Large Cap Value Category | 35.85% | 45.77% | 11.89% | 10.04% |
(a) | Total Returns are calculated based on traded NAVs. |
The Russell 1000 Value Index is a subset of the Russell 1000 Index which measures the performance of the stocks of the 1000 largest companies in the Russell 3000 Index based on market capitalization. The Russell 1000 Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. Investors cannot invest directly in an index or benchmark.
The Morningstar Large Cap Value Category is generally representative of mutual funds that primarily invest in big (large capitalization) U.S. companies that are less expensive or growing more slowly than other large-cap stocks.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.24% for Class N, 2.24% for Class C and 1.49% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.
63
DUNHAM LARGE CAP VALUE FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 93.6% | ||||||||
AEROSPACE & DEFENSE - 2.3% | ||||||||
8,828 | L3Harris Technologies, Inc. | $ | 1,847,082 | |||||
3,275 | Lockheed Martin Corporation | 1,246,334 | ||||||
3,093,416 | ||||||||
ASSET MANAGEMENT - 3.0% | ||||||||
2,488 | BlackRock, Inc. | 2,038,418 | ||||||
29,241 | Charles Schwab Corporation (The) | 2,058,567 | ||||||
4,096,985 | ||||||||
AUTOMOTIVE - 1.5% | ||||||||
35,126 | General Motors Company | 2,009,910 | ||||||
BANKING - 9.7% | ||||||||
112,318 | Bank of America Corporation | 4,552,249 | ||||||
29,021 | JPMorgan Chase & Company | 4,463,720 | ||||||
36,729 | Truist Financial Corporation | 2,178,397 | ||||||
50,418 | Wells Fargo & Company | 2,271,331 | ||||||
13,465,697 | ||||||||
BIOTECH & PHARMA - 6.0% | ||||||||
14,079 | AbbVie, Inc. | 1,569,809 | ||||||
34,593 | Bristol-Myers Squibb Company | 2,159,295 | ||||||
17,794 | Johnson & Johnson | 2,895,617 | ||||||
19,388 | Merck & Company, Inc. | 1,444,406 | ||||||
8,069,127 | ||||||||
CABLE & SATELLITE - 1.4% | ||||||||
50,946 | Altice USA, Inc., Class A(a) | 1,849,849 | ||||||
CHEMICALS - 2.4% | ||||||||
5,810 | Air Products and Chemicals, Inc. | 1,676,068 | ||||||
54,542 | Huntsman Corporation | 1,563,719 | ||||||
3,239,787 | ||||||||
CONSTRUCTION MATERIALS - 1.7% | ||||||||
2,620 | Martin Marietta Materials, Inc. | 925,174 | ||||||
14,467 | Owens Corning | 1,400,551 | ||||||
2,325,725 |
See accompanying notes which are an integral part of these financial statements.
64
DUNHAM LARGE CAP VALUE FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 93.6%(Continued) | ||||||||
CONSUMER SERVICES - 1.1% | ||||||||
27,898 | Service Corp International | $ | 1,490,869 | |||||
CONTAINERS & PACKAGING - 0.8% | ||||||||
20,426 | Westrock Company | 1,138,750 | ||||||
DIVERSIFIED INDUSTRIALS - 3.3% | ||||||||
24,919 | Emerson Electric Company | 2,254,921 | ||||||
10,561 | Honeywell International, Inc. | 2,355,526 | ||||||
4,610,447 | ||||||||
ELECTRIC UTILITIES - 5.1% | ||||||||
14,143 | DTE Energy Company(b) | 1,980,303 | ||||||
37,701 | NextEra Energy, Inc.(b) | 2,922,204 | ||||||
28,743 | Xcel Energy, Inc.(b) | 2,049,376 | ||||||
6,951,883 | ||||||||
ELECTRICAL EQUIPMENT - 1.6% | ||||||||
12,000 | Johnson Controls International plc | 748,080 | ||||||
8,146 | Trane Technologies plc | 1,416,019 | ||||||
2,164,099 | ||||||||
ENGINEERING & CONSTRUCTION - 1.5% | ||||||||
21,038 | Quanta Services, Inc. | 2,033,112 | ||||||
ENTERTAINMENT CONTENT - 1.4% | ||||||||
9,976 | Walt Disney Company (The) | 1,855,736 | ||||||
FOOD - 2.0% | ||||||||
25,503 | Mondelez International, Inc., Class A | 1,550,837 | ||||||
16,584 | Tyson Foods, Inc., Class A | 1,284,431 | ||||||
2,835,268 | ||||||||
HEALTH CARE FACILITIES & SERVICES - 3.1% | ||||||||
12,430 | AmerisourceBergen Corporation | 1,501,544 | ||||||
6,035 | Cigna Corporation | 1,502,775 | ||||||
3,255 | UnitedHealth Group, Inc. | 1,298,094 | ||||||
4,302,413 |
See accompanying notes which are an integral part of these financial statements.
65
DUNHAM LARGE CAP VALUE FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 93.6%(Continued) | ||||||||
HOUSEHOLD PRODUCTS - 1.1% | ||||||||
11,228 | Procter & Gamble Company (The) | $ | 1,498,040 | |||||
INSTITUTIONAL FINANCIAL SERVICES - 2.9% | ||||||||
44,755 | Bank of New York Mellon Corporation (The)(b) | 2,232,379 | ||||||
14,380 | Intercontinental Exchange, Inc. | 1,692,670 | ||||||
3,925,049 | ||||||||
INSURANCE - 6.2% | ||||||||
17,112 | Allstate Corporation (The) | 2,169,803 | ||||||
5,612 | Berkshire Hathaway, Inc., Class B(a) | 1,543,019 | ||||||
19,332 | Hartford Financial Services Group, Inc. (The) | 1,275,139 | ||||||
19,523 | Prudential Financial, Inc. | 1,959,328 | ||||||
10,045 | Travelers Companies, Inc. (The) | 1,553,560 | ||||||
8,500,849 | ||||||||
INTERNET MEDIA & SERVICES - 2.6% | ||||||||
1,553 | Alphabet, Inc., Class A(a) | 3,654,986 | ||||||
LEISURE FACILITIES & SERVICES - 1.0% | ||||||||
9,700 | Darden Restaurants, Inc. | 1,423,184 | ||||||
MACHINERY - 3.2% | ||||||||
9,099 | Caterpillar, Inc. | 2,075,573 | ||||||
7,442 | Parker-Hannifin Corporation | 2,335,374 | ||||||
4,410,947 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 4.9% | ||||||||
20,939 | Abbott Laboratories | 2,514,356 | ||||||
10,997 | Hill-Rom Holdings, Inc. | 1,212,089 | ||||||
5,340 | Stryker Corporation | 1,402,444 | ||||||
3,408 | Thermo Fisher Scientific, Inc. | 1,602,544 | ||||||
6,731,433 | ||||||||
OIL & GAS PRODUCERS - 3.8% | ||||||||
44,578 | ConocoPhillips | 2,279,719 | ||||||
21,477 | EOG Resources, Inc. | 1,581,566 | ||||||
17,401 | Phillips 66 | 1,407,915 | ||||||
5,269,200 |
See accompanying notes which are an integral part of these financial statements.
66
DUNHAM LARGE CAP VALUE FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 93.6%(Continued) | ||||||||
OIL & GAS SERVICES & EQUIPMENT - 1.3% | ||||||||
63,364 | Schlumberger N.V. | $ | 1,713,996 | |||||
RETAIL - CONSUMER STAPLES - 1.8% | ||||||||
11,766 | Target Corporation | 2,438,621 | ||||||
RETAIL - DISCRETIONARY - 2.5% | ||||||||
1,262 | AutoZone, Inc.(a) | 1,847,719 | ||||||
8,052 | Lowe’s Companies, Inc.(b) | 1,580,205 | ||||||
3,427,924 | ||||||||
SEMICONDUCTORS - 4.2% | ||||||||
3,006 | Broadcom, Inc. | 1,371,337 | ||||||
16,625 | Intel Corporation | 956,436 | ||||||
20,870 | Micron Technology, Inc.(a) | 1,796,280 | ||||||
44,782 | ON Semiconductor Corporation(a) | 1,746,498 | ||||||
5,870,551 | ||||||||
SOFTWARE - 0.9% | ||||||||
4,954 | Microsoft Corporation | 1,249,300 | ||||||
SPECIALTY FINANCE - 0.8% | ||||||||
7,187 | American Express Company | 1,102,126 | ||||||
TECHNOLOGY HARDWARE - 1.7% | ||||||||
5,422 | Apple, Inc. | 712,776 | ||||||
30,382 | Cisco Systems, Inc. | 1,546,748 | ||||||
2,259,524 | ||||||||
TECHNOLOGY SERVICES - 1.5% | ||||||||
9,266 | Global Payments, Inc. | 1,988,762 | ||||||
TELECOMMUNICATIONS - 2.1% | ||||||||
49,355 | Verizon Communications, Inc. | 2,852,225 | ||||||
TRANSPORTATION & LOGISTICS - 3.2% | ||||||||
4,369 | Kansas City Southern | 1,276,665 | ||||||
28,751 | Knight-Swift Transportation Holdings, Inc. | 1,354,747 |
See accompanying notes which are an integral part of these financial statements.
67
DUNHAM LARGE CAP VALUE FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 93.6%(Continued) | ||||||||
TRANSPORTATION & LOGISTICS - 3.2% (Continued) | ||||||||
27,235 | Southwest Airlines Company | $ | 1,709,814 | |||||
4,341,226 | ||||||||
TOTAL COMMON STOCKS (Cost $85,604,887) | 128,191,016 | |||||||
REITS — 4.1% | ||||||||
REITS - 4.1% | ||||||||
5,179 | American Tower Corporation | 1,319,454 | ||||||
10,583 | Boston Properties, Inc.(b) | 1,157,251 | ||||||
24,576 | Equity LifeStyle Properties, Inc. | 1,705,574 | ||||||
12,460 | Prologis, Inc. | 1,451,964 | ||||||
TOTAL REITS (Cost $4,368,753 | 5,634,243 | |||||||
COLLATERAL FOR SECURITIES LOANED — 5.8% | ||||||||
8,018,249 | Mount Vernon Prime Portfolio, 0.11% (Cost $8,018,249)(c),(d) | 8,018,249 | ||||||
TOTAL INVESTMENTS - 103.5% (Cost $97,991,889) | $ | 141,843,508 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.5)% | (4,818,070 | ) | ||||||
NET ASSETS - 100.0% | $ | 137,025,438 |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
(a) | Non-income producing security. |
(b) | All or a portion of these securities are on loan. Total loaned securities had a value of $7,853,165 at April 30, 2021. |
(c) | Rate disclosed is the seven day effective yield as of April 30, 2021. |
(d) | The Trust’s securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%. |
See accompanying notes which are an integral part of these financial statements.
68
DUNHAM LARGE CAP VALUE FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Portfolio Composition * - (Unaudited) | ||||||||||
Financial | 23.2 | % | Consumer Discretionary | 6.3 | % | |||||
Industrials | 15.4 | % | Energy | 5.2 | % | |||||
Healthcare | 14.3 | % | Utilities | 5.2 | % | |||||
Technology | 8.5 | % | Consumer Staples | 5.1 | % | |||||
Communications | 7.6 | % | Others ** | 9.2 | % | |||||
Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2021. |
** | Includes collateral for securities loaned as of April 30, 2021. |
Percentage may differ from Schedule of Investments which is based on Fund net assets
See accompanying notes which are an integral part of these financial statements.
69
Dunham Small Cap Value Fund (Unaudited) |
Message from the Sub-Adviser (Ziegler Capital Management, LLC) |
Asset Class Recap
After strongly outperforming by nearly 20 percent in the first fiscal quarter, small cap value stocks, as measured by the Russell 2000 Value Index, continued their string of strong performances by once again outperforming their large cap value counterparts, as measured by the Russell 1000 Value Index. Small cap value stocks increased 35.5 percent in the first fiscal quarter and 17.4 percent in the most recent fiscal quarter, while large cap value stocks increased 16.7 percent and 16.8 percent over the same time periods. Small cap value stocks also outperformed their small cap growth peers in the first half of the fiscal year ended April 30, 2021, as small cap growth stocks, as measured by the Russell 2000 Growth Index, rose 37.8 percent versus small cap value stocks which added 59.1 percent over the same time period. The pronounced outperformance of small cap value stocks over small cap growth stocks slightly closed the performance gap between the two asset classes since the start of the previous fiscal year. As there is a sizeable overlap in stocks between the small cap value and small cap growth indices, within the small cap value benchmark index most of the highest performers during the previous fiscal year were those also considered to be “growth” stocks. During the previous fiscal quarter, this dispersion was considerably more muted, however, in the most recent fiscal quarter the dispersion reemerged but with stocks also considered to be “growth” detracting from the asset classes performance.
Allocation Review
The Sub-Adviser seeks to match the Fund’s sector allocation to the benchmark index. Therefore, the Fund continued to have its largest exposure, approximately 36 percent, to the financial services sector. All sectors contributed to positive absolute performance over the most recent fiscal quarter, but only the exposure to the financial services, utilities, and consumer staples sectors contributed to the Fund’s relative performance. Other meaningful sectors within the Fund and index were the consumer discretionary and producer durables sectors. These sectors comprised over 30 percent of the Fund and increased 70.8 percent and 45.1 percent, respectively, positively contributing to the Fund’s absolute returns. However, the index’s exposure rose 79.0 percent and 58.9 percent, respectively. A significant portion of the underperformance relative to the benchmark can be attributed to positions the Fund did not own. The Sub-Adviser believes that many of the stocks that did well within the index are considered “growth” stocks or low quality and high short interest companies.
Holdings Insights
As previously mentioned, positions within the consumer discretionary sector provided strong positive absolute returns but detracted from relative Fund performance over the most fiscal six-month period. For example, Abercrombie & Fitch Company (ANF) (holding weight*: 1.41 percent) was one of the top-performing holdings within the Fund over the fiscal six-month period as it jumped 163.6 percent. ANF is a specialty retailer that primarily sells its products through store and direct-to-consumer operations, as well as through various wholesale, franchise, and licensing arrangements. ANF benefited from an impressive fourth-quarter earnings report that benefited from a strategic omnichannel approach to distribution, as well as strong margins due to prudent investment management. However, a position not held within the Fund but, in the index was Gamestop Corp. (GME) (not held), an American video game and merchandise retailer, which skyrocketed 1,557.9 percent. The Fund had similar results within the technology sector. Amkor Technology Inc. (AMKR) (holding weight*: 1.14 percent), a semiconductor product packaging and test services provider, increased 71.4 percent, while 3D Systems Corporation (DDD) (not held), a company that engineers, manufactures, and sells 3D printers, 3D printing materials, 3D scanners, and offers a 3D printing service, jumped 278.6 percent
The financial services sector was the strongest contributor to the Fund’s relative return during the fiscal six-month period, as it represented the largest sector exposure and one of the strongest performers in the Fund. However, the performance of the underlying holdings within the sector varied substantially, with some contributing significantly to positive relative performance and others detracting. The Fund received a positive relative and absolute contribution from Waddell & Reed Financial Inc. (WDR) (holding weight**: 1.43 percent), an American asset management and financial planning company. An acquisition of WDR by Macquarie Group Ltd. (MQG) (not held) announced early in December helped propel this holding up 66.1 percent before being sold early in the first fiscal quarter. Another contributor to performance from the financial services sector was Central Pacific Financial Corporation (CPF) (holding weight*: 0.86 percent), a regional bank that increased 100.3 percent. However, STAG Industrial Inc. (STAG) (holding weight*: 0.88 percent), an American investment bank and financial services company rose just 20.0 percent, detracting from relative Fund performance.
Although the materials and processing sector detracted from relative Fund performance, one of the best-performing holdings came from this sector. Alcoa Corporation (AA) (holding weight*: 1.52 percent), a company that engages in the production of bauxite, alumina, and aluminum products, rose 183.6 percent in the six-month fiscal period. As AA is one of the world’s largest aluminum producers in the world, the stock price rose amid the prospect of increased infrastructure spending in the United States, which will likely require hundreds of thousands of tons of steel, copper, aluminum, and other basic materials. Another position that put in an impressive showing during the fiscal six-month period was Bonanza Creek Energy Inc. (BCEI) (holding weight*: 1.44 percent). BCEI, an exploration and production company, rose 68.9 percent.
Sub-Adviser Outlook
Despite many of the Sub-Adviser’s key valuation factors experiencing difficulties in an environment that has generally rewarded growth characteristics, the Sub-Adviser continues to focus on the disciplined implementation of its quantitatively-driven approach. The Sub-Adviser has retained similar weightings in its models and factors, as it is aware that subjective tampering during periods of large dislocations, such as the current environment, erodes the effectiveness of its process. The Sub-Adviser believes that while the current market has begun to recognize some of the underappreciated factors that the Sub-Adviser focused on late in the most recent fiscal six-month period, it does expect that its valuation-oriented signals will continue to succeed through the end of the year.
* | Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 4/30/2021. |
** | Holdings percentage(s) as of the date prior to the sale of the security. |
Growth of $100,000 Investment
Total Returns (a) as of April 30, 2021 | ||||
Six | Annualized | Annualized | ||
Months | One Year | Five Years | Ten Years | |
Class N | 52.73% | 63.58% | 11.94% | 9.10% |
Class A with load of 5.75% | 43.82% | 53.73% | 10.35% | 8.20% |
Class A without load | 52.55% | 63.14% | 11.66% | 8.84% |
Class C | 51.96% | 61.95% | 10.82% | 8.01% |
Russell 2000 Value Index | 59.17% | 78.96% | 13.54% | 10.10% |
Morningstar Small Cap Value Category | 58.48% | 79.87% | 11.94% | 9.32% |
(a) | Total Returns are calculated based on traded NAVs. |
The Russell 2000 Value Index is an unmanaged index that measures the performance of small cap companies in the Russell 2000 Index with lower price-to-book ratios and lower forecasted growth rates. Investors cannot invest directly in an index or benchmark.
The Morningstar Small Cap Value Category is generally representative of mutual funds that primarily invest in small (small capitalization) U.S. companies that are less expensive or growing more slowly than other small-cap stocks.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.26% for Class N, 2.26% for Class C and 1.51% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.
70
DUNHAM SMALL CAP VALUE FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 87.5% | ||||||||
AEROSPACE & DEFENSE - 0.8% | ||||||||
5,727 | Barnes Group, Inc. | $ | 285,892 | |||||
6,420 | Kaman Corporation | 342,507 | ||||||
628,399 | ||||||||
ASSET MANAGEMENT - 0.9% | ||||||||
13,158 | Artisan Partners Asset Management, Inc., Class A | 670,005 | ||||||
AUTOMOTIVE - 1.3% | ||||||||
59,839 | Goodyear Tire & Rubber Company (The) | 1,029,829 | ||||||
BANKING - 17.1% | ||||||||
42,245 | Associated Banc-Corporation | 924,743 | ||||||
34,962 | Bancorp, Inc. (The)(a) | 776,331 | ||||||
15,803 | Banner Corporation | 898,243 | ||||||
24,517 | Central Pacific Financial Corporation | 660,733 | ||||||
14,494 | Eagle Bancorp, Inc. | 774,125 | ||||||
18,351 | First Bancshares, Inc. (The)(b) | 717,891 | ||||||
844 | First Citizens BancShares, Inc., Class A | 732,136 | ||||||
12,806 | First Financial Corporation | 566,537 | ||||||
12,384 | First Interstate BancSystem, Inc., Class A | 581,676 | ||||||
23,403 | Flagstar Bancorp, Inc. | 1,089,177 | ||||||
18,031 | Heartland Financial USA, Inc. | 906,418 | ||||||
32,215 | Independent Bank Corporation | 758,985 | ||||||
12,894 | TriCompany Bancshares | 596,734 | ||||||
29,480 | Trustmark Corporation | 955,447 | ||||||
11,135 | UMB Financial Corporation | 1,080,430 | ||||||
32,056 | United Community Banks, Inc. | 1,048,873 | ||||||
13,068,479 | ||||||||
BIOTECH & PHARMA - 2.7% | ||||||||
9,738 | Anika Therapeutics, Inc.(a) | 391,273 | ||||||
28,542 | Coherus Biosciences, Inc.(a),(b) | 422,422 | ||||||
36,756 | Jounce Therapeutics, Inc.(a) | 346,609 | ||||||
14,062 | Supernus Pharmaceuticals, Inc.(a),(b) | 428,188 | ||||||
30,851 | Vanda Pharmaceuticals, Inc.(a) | 512,127 | ||||||
2,100,619 |
See accompanying notes which are an integral part of these financial statements.
71
DUNHAM SMALL CAP VALUE FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 87.5% (Continued) | ||||||||
CHEMICALS - 3.2% | ||||||||
11,462 | Cabot Corporation | $ | 629,035 | |||||
23,360 | Lydall, Inc.(a) | 860,816 | ||||||
12,137 | Minerals Technologies, Inc. | 948,385 | ||||||
2,438,236 | ||||||||
COMMERCIAL SUPPORT SERVICES - 0.9% | ||||||||
7,873 | Insperity, Inc. | 689,202 | ||||||
CONSUMER SERVICES - 1.1% | ||||||||
1,298 | Graham Holdings Company, Class B | 825,022 | ||||||
CONTAINERS & PACKAGING - 0.9% | ||||||||
11,504 | Greif, Inc., Class A | 696,107 | ||||||
ELECTRIC UTILITIES - 2.8% | ||||||||
21,172 | Hawaiian Electric Industries, Inc.(b) | 911,665 | ||||||
10,419 | NorthWestern Corporation | 708,805 | ||||||
9,287 | Unitil Corporation | 535,210 | ||||||
2,155,680 | ||||||||
ENGINEERING & CONSTRUCTION - 1.3% | ||||||||
30,719 | Primoris Services Corporation | 1,003,283 | ||||||
FOOD - 1.1% | ||||||||
16,605 | Phibro Animal Health Corporation, Class A | 407,155 | ||||||
10,080 | Seneca Foods Corporation, Class A(a) | 464,284 | ||||||
871,439 | ||||||||
GAS & WATER UTILITIES - 1.8% | ||||||||
4,641 | SJW Group | 304,218 | ||||||
7,025 | Southwest Gas Holdings, Inc. | 489,783 | ||||||
8,021 | Spire, Inc. | 604,302 | ||||||
1,398,303 | ||||||||
HEALTH CARE FACILITIES & SERVICES - 2.0% | ||||||||
12,454 | Hanger, Inc.(a) | 310,478 | ||||||
6,297 | National HealthCare Corporation | 442,742 |
See accompanying notes which are an integral part of these financial statements.
72
DUNHAM SMALL CAP VALUE FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 87.5% (Continued) | ||||||||
HEALTH CARE FACILITIES & SERVICES - 2.0% (Continued) | ||||||||
21,219 | Owens & Minor, Inc. | $ | 765,794 | |||||
1,519,014 | ||||||||
HOME CONSTRUCTION - 3.1% | ||||||||
6,462 | American Woodmark Corporation(a) | 642,711 | ||||||
13,413 | M/I Homes, Inc.(a) | 935,154 | ||||||
7,437 | Meritage Homes Corporation(a) | 791,222 | ||||||
2,369,087 | ||||||||
HOUSEHOLD PRODUCTS - 1.3% | ||||||||
11,241 | Clearwater Paper Corporation(a) | 376,124 | ||||||
12,113 | Nu Skin Enterprises, Inc., Class A | 640,293 | ||||||
1,016,417 | ||||||||
INDUSTRIAL INTERMEDIATE PROD - 3.0% | ||||||||
12,981 | AZZ, Inc. | 683,320 | ||||||
19,332 | Mueller Industries, Inc. | 867,427 | ||||||
3,124 | Valmont Industries, Inc. | 771,159 | ||||||
2,321,906 | ||||||||
INSTITUTIONAL FINANCIAL SERVICES - 1.1% | ||||||||
7,542 | Piper Sandler Cos | 874,797 | ||||||
INSURANCE - 2.5% | ||||||||
17,596 | American Equity Investment Life Holding Company | 545,124 | ||||||
15,818 | Mercury General Corporation | 984,987 | ||||||
1,653 | National Western Life Group, Inc., Class A | 379,033 | ||||||
1,909,144 | ||||||||
LEISURE FACILITIES & SERVICES - 2.3% | ||||||||
43,299 | Fiesta Restaurant Group, Inc.(a) | 638,227 | ||||||
17,306 | Travel + Leisure Company | 1,116,756 | ||||||
1,754,983 | ||||||||
MACHINERY - 4.8% | ||||||||
7,884 | Altra Industrial Motion Corporation | 465,235 | ||||||
12,146 | Columbus McKinnon Corporation | 601,348 | ||||||
4,186 | Curtiss-Wright Corporation | 535,389 | ||||||
16,394 | Federal Signal Corporation(b) | 679,204 | ||||||
12,880 | Hillenbrand, Inc. | 632,279 |
See accompanying notes which are an integral part of these financial statements.
73
DUNHAM SMALL CAP VALUE FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 87.5% (Continued) | ||||||||
MACHINERY - 4.8% (Continued) | ||||||||
4,605 | Regal Beloit Corporation | $ | 665,101 | |||||
3,578,556 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 0.5% | ||||||||
1,787 | ICU Medical, Inc.(a) | 372,178 | ||||||
METALS & MINING - 1.5% | ||||||||
31,767 | Alcoa Corporation(a) | 1,163,943 | ||||||
OIL & GAS PRODUCERS - 3.0% | ||||||||
64,567 | Antero Midstream Corporation | 557,859 | ||||||
33,316 | Bonanza Creek Energy, Inc.(a) | 1,102,426 | ||||||
26,600 | Matador Resources Company(b) | 699,846 | ||||||
2,360,131 | ||||||||
OIL & GAS SERVICES & EQUIPMENT - 1.8% | ||||||||
74,547 | Archrock, Inc. | 696,269 | ||||||
56,251 | Liberty Oilfield Services, Inc., Class A(b) | 658,137 | ||||||
1,354,406 | ||||||||
PUBLISHING & BROADCASTING - 1.0% | ||||||||
37,045 | Gray Television, Inc. | 752,754 | ||||||
REAL ESTATE OWNERS & DEVELOPERS - 0.9% | ||||||||
8,584 | McGrath RentCorporation | 703,716 | ||||||
RETAIL - CONSUMER STAPLES - 2.6% | ||||||||
12,602 | Big Lots, Inc.(b) | 868,782 | ||||||
11,926 | Ingles Markets, Inc., Class A | 730,945 | ||||||
27,335 | Natural Grocers by Vitamin Cottage, Inc. | 429,706 | ||||||
2,029,433 | ||||||||
RETAIL - DISCRETIONARY - 7.0% | ||||||||
28,834 | Abercrombie & Fitch Company, Class A | 1,080,987 | ||||||
36,461 | At Home Group, Inc.(a) | 1,151,438 | ||||||
7,922 | Dick’s Sporting Goods, Inc.(b) | 654,199 | ||||||
18,090 | Foot Locker, Inc. | 1,066,948 |
See accompanying notes which are an integral part of these financial statements.
74
DUNHAM SMALL CAP VALUE FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 87.5% (Continued) | ||||||||
RETAIL - DISCRETIONARY - 7.0% (Continued) | ||||||||
20,303 | Lumber Liquidators Holdings, Inc.(a),(b) | $ | 486,663 | |||||
18,931 | Sonic Automotive, Inc., Class A(b) | 934,056 | ||||||
5,374,291 | ||||||||
SEMICONDUCTORS - 2.2% | ||||||||
43,061 | Amkor Technology, Inc.(b) | 870,694 | ||||||
43,847 | Rambus, Inc.(a) | 832,216 | ||||||
1,702,910 | ||||||||
SPECIALTY FINANCE - 2.6% | ||||||||
32,794 | Mr Cooper Group, Inc.(a) | 1,130,737 | ||||||
14,099 | Stewart Information Services Corporation | 826,906 | ||||||
1,957,643 | ||||||||
STEEL - 0.9% | ||||||||
23,261 | Commercial Metals Company(b) | 679,686 | ||||||
TECHNOLOGY HARDWARE - 1.8% | ||||||||
30,502 | Knowles Corporation(a) | 637,492 | ||||||
15,726 | NCR Corporation(a),(b) | 719,464 | ||||||
1,356,956 | ||||||||
TECHNOLOGY SERVICES - 2.0% | ||||||||
7,462 | Insight Enterprises, Inc.(a) | 748,961 | ||||||
18,668 | Sykes Enterprises, Inc.(a) | 818,218 | ||||||
1,567,179 | ||||||||
TRANSPORTATION & LOGISTICS - 1.5% | ||||||||
34,052 | Heartland Express, Inc. | 633,026 | ||||||
8,272 | Matson, Inc. | 540,410 | ||||||
1,173,436 | ||||||||
WHOLESALE - DISCRETIONARY - 2.2% | ||||||||
6,582 | ePlus, Inc.(a) | 660,570 | ||||||
30,944 | G-III Apparel Group Ltd.(a) | 1,005,370 | ||||||
1,665,940 | ||||||||
TOTAL COMMON STOCKS (Cost $45,254,152) | 67,133,109 |
See accompanying notes which are an integral part of these financial statements.
75
DUNHAM SMALL CAP VALUE FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
REITS — 11.3% | ||||||||
REITS - 9.0% | ||||||||
46,544 | Apple Hospitality REIT, Inc. | $ | 738,188 | |||||
47,571 | Armada Hoffler Properties, Inc. | 648,393 | ||||||
50,463 | Chatham Lodging Trust | 699,922 | ||||||
7,616 | Community Healthcare Trust, Inc. | 387,807 | ||||||
30,426 | Corporate Office Properties Trust | 853,145 | ||||||
34,990 | Global Net Lease, Inc. | 671,808 | ||||||
88,648 | New Senior Investment Group, Inc. | 586,850 | ||||||
16,630 | Physicians Realty Trust | 311,480 | ||||||
24,591 | Sabra Health Care REIT, Inc. | 446,818 | ||||||
18,565 | STAG Industrial, Inc.(b) | 677,808 | ||||||
41,870 | UMH Properties, Inc. | 901,460 | ||||||
6,923,679 | ||||||||
SPECIALTY FINANCE - 2.3% | ||||||||
133,168 | Capstead Mortgage Corporation | 862,929 | ||||||
43,236 | Dynex Capital, Inc. | 873,367 | ||||||
1,736,296 | ||||||||
TOTAL REITS (Cost $6,276,105) | 8,659,975 | |||||||
COLLATERAL FOR SECURITIES LOANED - 8.2% | ||||||||
6,328,824 | Mount Vernon Prime Portfolio, 0.11% (Cost $6,328,824)(c),(d) | 6,328,824 | ||||||
TOTAL INVESTMENTS - 107.0% (Cost $57,859,081) | $ | 82,121,908 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (7.0)% | (5,381,813 | ) | ||||||
NET ASSETS - 100.0% | $ | 76,740,095 |
REIT | Real Estate Investment Trust |
(a) | Non-income producing security. |
(b) | All or a portion of these securities are on loan. Total loaned securities had a value of $6,088,163 at April 30, 2021. |
(c) | Rate disclosed is the seven day effective yield as of April 30, 2021. |
(d) | The Trust’s securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%. |
See accompanying notes which are an integral part of these financial statements.
76
DUNHAM SMALL CAP VALUE FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Portfolio Composition * - (Unaudited) | ||||||||||
Financials | 26.7 | % | Technology | 6.1 | % | |||||
Consumer Discretionary | 17.2 | % | Healthcare | 5.3 | % | |||||
Industrials | 12.4 | % | Consumer Staples | 5.2 | % | |||||
Real Estate | 10.1 | % | Energy | 4.9 | % | |||||
Materials | 6.6 | % | Others** | 5.5 | % | |||||
Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2021. |
** | Includes collateral for securities loaned as of April 30, 2021. |
Percentage may differ from Schedule of Investments which is based on Fund net assets
See accompanying notes which are an integral part of these financial statements.
77
Dunham Focused Large Cap Growth Fund (Unaudited) |
Message from the Sub-Adviser (The Ithaka Group, LLC) |
Asset Class Recap
Amidst the backdrop of continued accommodative monetary policy and heaping portions of stimulus, equity markets continued to rise at a substantial rate. Although “growth” stocks were broadly outpaced by “value” stocks, the Russell 1000 Growth Index still boasted a substantial 24.3 percent return for the six-month period ended April 30, 2021. Large cap value stocks, as measured by the Russell 1000 Value Index, surged 36.3 percent, besting the return of their growth counterparts. Some of the disparity in returns was attributable to interest rates increasing, leading some predominately “value” sectors even higher and hampering upside for some “growth” sectors that were benefitting from the lower rate environment. Progress toward reopening the economy and ending much of the shelter-in-place and work-from-home phenomena also dampened the outlook of the businesses that have seen outsized growth as a result of being a direct beneficiary of those actions.
Allocation Review
Sector dispersion was fairly muted when viewing returns across the entire six-month period. However, when looking at each fiscal quarter separately, the dispersion was substantial. For example in the second fiscal quarter, the financial services and producer durables sectors surged 17.1 percent and 16.7 percent, respectively, while most other sectors remained below a 9 percent return. Conversely, in the first fiscal quarter, the consumer discretionary and technology sectors were leaders, increasing 18.1 percent and 15.2 percent, respectively, with other sectors lagging the overall return of the benchmark index. Therefore, the juxtaposed sector leadership resulted in an overall wash when combining the two periods. The financial services sector was the largest overweight in the Fund, comprising nearly 23 percent while it only comprised less than 10 percent of the benchmark index. The largest underweight in the Fund continued to be to the technology sector, with a weighting almost 7 percent lower than the benchmark’s 46 percent weighting. The Fund continued to hold an overweight to the healthcare sector, which was one of the lower relative performers in the benchmark index, up 19.9 percent. However, the Fund’s performance in the space was higher due to stock selection, decreasing the adverse relative impact of the Fund being overweight the sector. The consumer discretionary sector was a relative underweight for the Fund, comprising 17 percent of the Fund versus 20 percent for the index. In contrast to the healthcare sector, the consumer discretionary sector slightly outperformed the benchmark index, but the Fund slightly underperformed in the sector, causing it to be a detractor from relative performance.
Holdings Insights
Although the technology sector is the largest grouping in the benchmark and in the Fund, the largest holding for the Fund was in the consumer discretionary sector. Amazon.com Inc. (AMZN) (holding weight*: 8.06 percent) continued to expand its empire, not only in the online retail world, but also in cloud computing and digital media delivery. AMZN increased 14.2 percent during the six-month period, lagging the overall performance of the benchmark index, of which it is also one of the largest constituents. The second and third largest Fund holdings in the consumer discretionary sector were Burlington Stores Inc. (BURL) (holding weight*: 2.42 percent), the apparel retailer originally known for its coats, and Lululemon Athletica Inc. (LULU) (holding weight*: 1.96 percent), the fitness apparel retailer. During the six-month period, BURL and LULU experienced disparate results, with BURL surging 68.6 percent while LULU eked out a positive return of 5.0 percent. BURL’s run-up was primarily attributable to strong store growth, leading to analyst upgrades in the second fiscal quarter.
The second, third, and fourth largest holdings in the Fund all primarily focus on payment processing. Specifically, the Fund continued to hold PayPal Holdings Inc. (PYPL) (holding weight*: 5.76 percent), Mastercard Inc. (MA) (holding weight*: 5.59 percent), and Visa Inc. (V) (holding weight*: 5.35 percent). While PYPL significantly outperformed the financial services sector return as a whole, increasing 40.9 percent, MA and V both performed closer to the sector’s return, increasing 32.7 percent and 28.9 percent, respectively. Despite being the largest weighting in the benchmark index, Apple Inc. (AAPL) (holding weight*: 2.11 percent) was one of the smaller holdings in the Fund. While AAPL detracted from relative performance, despite rising 13.3 percent since it was added near the beginning of the six-month period, AAPL was actually the largest underweight versus the benchmark index, even when including holdings in the benchmark that were not at all represented in the Fund. Therefore, the Fund’s small weighting to AAPL versus the benchmark index’s 11.1 percent allocation was even more impactful than some of the sector weighting differences.
As a concentrated Fund, turnover in names is often low. During the six-month period, only two holdings were fully sold and a handful of new holdings were added. During February, the Sub-Adviser initiated new positions in Twilio Inc. (TWLO) (holding weight*: 2.09 percent), an application programming interface developer, and Netflix Inc. (NFLX) (holding weight*: 1.57 percent), the world’s largest subscription-video-on-demand streaming network. Although both TWLO and NFLX appreciated strongly during the stay-at-home orders in 2020, TWLO continued to rise in 2021 as its adoption and untapped market is believed to be potentially widespread, with the stock leaping 8.6 percent since it was added to the Fund. NFLX on the other hand boasts more than 200 million users across nearly 200 countries, leading some to believe that additional massive spikes in usage are less likely on the horizon, resulting in the stock declining 3.2 percent after it was added to the Fund. However, the Sub-Adviser believes that the company has now reached a scale where it can leverage its massive and growing library of content to attract additional members at a declining marginal customer acquisition cost.
Sub-Adviser Outlook
The Sub-Adviser seeks to hold what it believes to be the strongest growth stocks, primarily focusing on free-cash-flow and fundamental factors that traditionally support long-term growth. While this may represent evolving technologies, it also includes traditional businesses with strategic and adaptive management teams at their helm. The Sub-Adviser is optimistic that remaining concentrated in the Fund’s number of holdings will prove to be more impactful to the Fund’s outperformance relative to its benchmark index over the long-term than the impact of sector weightings.
* | Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 4/30/2021. |
Growth of $100,000 Investment
Total Returns (a) as of April 30, 2021 | ||||
Annualized | ||||
Annualized | Since Inception | |||
Six Months | One Year | Five Years | (12/8/11) | |
Class N | 19.54% | 51.25% | 24.32% | 17.77% |
Class A with load of 5.75% | 12.50% | 42.12% | 22.54% | 16.73% |
Class A without load | 19.36% | 50.81% | 24.00% | 17.47% |
Class C | 18.93% | 49.69% | 23.09% | 16.61% |
Russell 1000 Growth Index | 24.31% | 51.41% | 22.88% | 19.16% |
Morningstar Large Cap Growth Category | 25.34% | 51.64% | 20.61% | 17.01% |
(a) | Total Returns are calculated based on traded NAVs. |
The Russell 1000 Growth Index is a subset of the Russell 1000 Index which measures the performance of the stocks of the 1000 largest companies in the Russell 3000 Index based on market capitalization. The Russell 1000 Growth Index measures the performance of those stocks of the Russell 1000 with higher price-to-book ratios and higher relative forecasted growth rates. Investors cannot invest directly in an index or benchmark.
The Morningstar Large Cap Growth Category is generally representative of mutual funds that primarily invest in big (large capitalization) U.S. companies that are projected to grow faster than other large-cap stocks.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.30% for Class N, 2.30% for Class C and 1.55% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com
78
DUNHAM FOCUSED LARGE CAP GROWTH FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.3% | ||||||||
AEROSPACE & DEFENSE - 1.1% | ||||||||
3,462 | TransDigm Group, Inc. | $ | 2,124,768 | |||||
E-COMMERCE DISCRETIONARY - 10.4% | ||||||||
4,410 | Amazon.com, Inc.(a) | 15,291,323 | ||||||
2,950 | MercadoLibre, Inc.(a) | 4,634,391 | ||||||
19,925,714 | ||||||||
INTERNET MEDIA & SERVICES - 5.1% | ||||||||
20,844 | Facebook, Inc., Class A(a) | 6,775,968 | ||||||
5,811 | Netflix, Inc.(a) | 2,983,774 | ||||||
9,759,742 | ||||||||
LEISURE FACILITIES & SERVICES - 1.9% | ||||||||
2,440 | Chipotle Mexican Grill, Inc.(a),(b) | 3,640,553 | ||||||
MEDICAL EQUIPMENT & DEVICES - 12.9% | ||||||||
9,072 | Align Technology, Inc.(a) | 5,402,648 | ||||||
12,159 | DexCom, Inc.(a),(b) | 4,694,590 | ||||||
47,628 | Edwards Lifesciences Corporation(a) | 4,549,427 | ||||||
15,000 | Insulet Corporation(a),(b) | 4,428,300 | ||||||
6,293 | Intuitive Surgical, Inc.(a) | 5,443,445 | ||||||
24,518,410 | ||||||||
RETAIL - CONSUMER STAPLES - 1.0% | ||||||||
5,000 | Costco Wholesale Corporation | 1,860,450 | ||||||
RETAIL - DISCRETIONARY - 6.1% | ||||||||
14,055 | Burlington Stores, Inc.(a),(b) | 4,586,568 | ||||||
11,082 | Lululemon Athletica, Inc.(a) | 3,715,462 | ||||||
17,477 | Tractor Supply Company | 3,296,162 | ||||||
11,598,192 | ||||||||
SEMICONDUCTORS - 5.7% | ||||||||
14,274 | NVIDIA Corporation | 8,569,824 | ||||||
16,500 | QUALCOMM, Inc. | 2,290,200 | ||||||
10,860,024 | ||||||||
SOFTWARE - 31.1% | ||||||||
11,700 | Adobe, Inc.(a) | 5,947,578 |
See accompanying notes which are an integral part of these financial statements.
79
DUNHAM FOCUSED LARGE CAP GROWTH FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.3% (Continued) | ||||||||
SOFTWARE - 31.1% (Continued) | ||||||||
24,312 | Autodesk, Inc.(a) | $ | 7,096,916 | |||||
37,138 | Microsoft Corporation | 9,365,461 | ||||||
29,367 | salesforce.com, Inc.(a) | 6,763,807 | ||||||
18,566 | ServiceNow, Inc.(a) | 9,401,265 | ||||||
10,763 | Twilio, Inc., Class A(a),(b) | 3,958,631 | ||||||
18,000 | Unity Software, Inc.(a),(b) | 1,828,440 | ||||||
26,088 | Veeva Systems, Inc., Class A(a) | 7,368,556 | ||||||
19,388 | Workday, Inc., Class A(a),(b) | 4,788,836 | ||||||
21,000 | Zendesk, Inc.(a) | 3,069,150 | ||||||
59,588,640 | ||||||||
TECHNOLOGY HARDWARE - 2.1% | ||||||||
30,471 | Apple, Inc. | 4,005,718 | ||||||
TECHNOLOGY SERVICES - 21.9% | ||||||||
10,534 | Global Payments, Inc. | 2,260,912 | ||||||
27,790 | Mastercard, Inc., Class A | 10,617,447 | ||||||
41,665 | PayPal Holdings, Inc.(a) | 10,928,312 | ||||||
31,769 | Square, Inc., Class A(a) | 7,777,687 | ||||||
43,476 | Visa, Inc., Class A(b) | 10,154,255 | ||||||
41,738,613 | ||||||||
TOTAL COMMON STOCKS (Cost $82,057,007) | 189,620,824 | |||||||
COLLATERAL FOR SECURITIES LOANED - 15.2% | ||||||||
28,925,473 | Mount Vernon Prime Portfolio, 0.11% (Cost $28,925,473)(c)(d) | 28,925,473 | ||||||
TOTAL INVESTMENTS - 114.5% (Cost $110,982,480) | $ | 218,546,297 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (14.5)% | (27,750,047 | ) | ||||||
NET ASSETS - 100.0% | $ | 190,796,250 |
See accompanying notes which are an integral part of these financial statements.
80
DUNHAM FOCUSED LARGE CAP GROWTH FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
(a) | Non-income producing security. |
(b) | All or a portion of these securities are on loan. Total loaned securities had a value of $27,729,587 at April 30, 2021. |
(c) | Rate disclosed is the seven day effective yield as of April 30, 2021. |
(d) | 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 | 53.2 | % | Communications | 4.5 | % | |||||
Consumer Discretionary | 16.1 | % | Industrials | 1.0 | % | |||||
Collateral for Securities Loaned | 13.2 | % | Consumer Staples | 0.8 | % | |||||
Health Care | 11.2 | % | Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2021 | |
Percentage may differ from Schedule of Investments which is based on Fund net assets |
See accompanying notes which are an integral part of these financial statements.
81
Dunham Small Cap Growth Fund (Unaudited)
Message from the Sub-Adviser (Pier Capital, LLC)
Asset Class Recap
Small cap stocks continued to rebound off their multi-year lows going into the fourth quarter of 2020, with strong gains from both growth and value stocks. Going into the new year, positive news surrounding the efficacy of various COVID vaccinations, coupled with a drop in COVID cases provided an attractive backdrop for U.S. equities. However, all changed in January 2021, as uncertainty related to the U.S. presidential election, along with a record surge in COVID cases in mid-January rattled equity markets. By February 2021, a new U.S. Administration had settled into office and the various COVID vaccinations began disseminating across the globe, easing investor concerns of volatility. COVID cases globally lowered to prior levels and the economy began to re-open. A combination of accommodative monetary policy, along with a third fiscal stimulus provided an influx of capital into the economy. In the most recent fiscal quarter, ending April 30, 2021, small cap growth stocks, as represented by the Russell 2000 Growth Index, rose 2.2 percent, stringing together four consecutive quarters of gains. It was small cap value stocks though that led broader small cap stocks higher, as small cap value stocks, as represented by the Russell 2000 Value Index, rose 17.4 percent over the fiscal quarter. Over the fiscal six-month period ended April 30, 2021, small cap growth stocks rose 37.8 percent.
Allocation Review
The sector allocation within the Fund is predominately a result of the Sub-Adviser’s bottom-up stock selection. Over the six-month fiscal period, stock selection contributed meaningfully to performance, while sector allocation detracted a modest amount, albeit not enough to offset the gains from stock selection. The biggest contributor to gains over the period came from the financials sector, with stock selection being the primary driver of returns here. Additionally, an underweight allocation to the health care sector helped the Fund’s relative performance. The sector that detracted the most from performance over the period was the producer durables sector, with poor stock selection driving returns lower. Also, an underweight allocation to the materials & processing sector hurt relative performance.
Holdings Insights
The largest contributor to performance over the six-month fiscal period was Silvergate Capital Corp. (SI) (holding weight*: 0.37 percent), up 201.3 percent. SI is a leading provider of solutions and services to participants in the expanding cryptocurrency industry and has customers that include many of the top cryptocurrency exchange firms. Revenues rose substantially, as customer deposits and transaction revenue hit record highs amid the recent cryptocurrency frenzy. Another contributor in the most recent fiscal period was Montrose Environmental Group, Inc. (MEG) (holding weight*: 1.04), as the environmental services firm saw its stock price nearly double, rising 97.9 percent. MEG operates in the environmental services industry, providing government and commercial organizations with environmental advisory, audit, and compliance services. In recent years, heightened public awareness for environmental sustainability has increased the need and demand for environmental services. MEG has taken advantage of the recent demand, with annual revenues up over 40 percent, when compared to the prior year. In the technology sector, Appian Corp. (APPN) (holding weight**: 0.62 percent), a software company offering a subscription-based platform that helps businesses automate forms, data flows, records, reports, and other software elements through a low intensive coding software, rose 134.0 percent. Revenues rose substantially as APPN saw new user growth increase significantly, as well as a strong retention rate amongst existing customers.
The three largest detractors to performance over the six-month fiscal period all came from the health care sector. The largest of which was Ontrak, Inc. (OTRK) (holding weight**: 0.80 percent), as the digital health care service provider fell 46.7 percent, despite exceeding revenue and earnings expectations in their most recent quarterly financials. OTRK announced that they will be losing their largest customer in late June 2021 and revised their earnings forecasts significantly lower. OTRK’s revenues were expected to grow nearly 100 percent, year-over-year, however, with management’s revision, revenues are expected to only grow roughly 20 percent. In addition, Acutus Medical, Inc. (AFIB) (holding weight*: 0.54 percent), a health care equipment provider, fell 45.8 percent. AFIB is an arrhythmia management company that designs, manufactures, and markets a range of tools for catheter-based ablation procedures to treat various arrhythmias. The most recent quarterly earnings came in lower than expected with production issues slowing demand for their products. In addition, AFIB management revised their forecasts lower as COVID headwinds, growing pains in the U.S., and inventory shortages could cause revenues to fall in the short-term. Furthermore, Emergent Biosolutions, Inc. (EBS) (holding weight**: 0.50 percent), a life sciences company focused on products and solutions for civilian and military populations that address accidental, deliberate, and naturally occurring public health threats (PHTs), dropped 32.2 percent. EBS was contracted by Johnson & Johnson and AstraZeneca to help prepare their COVID vaccinations for dissemination in the U.S. It was reported that EBS had ruined 15 million doses of the Johnson & Johnson COVID vaccine back in October 2020 and contaminated one batch of AstraZeneca’s COVID vaccine in November 2020. An investigation launched by the Food and Drug Administration discovered violations by EBS employees including inadequate training and failure to follow testing procedures.
Sub-Adviser Outlook
With the recent proposal of an infrastructure bill by President Biden, the Sub-Adviser believes industries such as sustainable energy, transportation, and telecommunications infrastructure will come into focus. It is worth noting that the proposed bill will most likely be revised multiple times before gaining bi-partisan acceptance. The Sub-Adviser will follow these revisions as they are released, in addition to tracking other developments from the U.S. Administration that may affect the small cap growth asset class. While there are many themes to be excited about moving forward, the Sub-Adviser mentioned that inflation will be worth monitoring as long-term interest rates have risen steadily since July 2020. As always, the Sub-Adviser will continue to seek those companies and industries with what it believes are the most attractive growth prospects, while remaining vigilant on valuations.
* | Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 4/30/2021. |
** | Holdings percentage(s) as of the date prior to the sale of the security. |
Growth of $100,000 Investment
Total Returns (a) as of April 30, 2021
Annualized | Annualized | |||
Six Months | One Year | Five Years | Ten Years | |
Class N | 41.69% | 93.39% | 26.36% | 14.90% |
Class A with load of 5.75% | 33.42% | 81.83% | 24.56% | 13.93% |
Class A without load | 41.55% | 92.90% | 26.04% | 14.61% |
Class C | 40.95% | 91.42% | 25.10% | 13.76% |
Russell 2000 Growth Index | 37.84% | 69.15% | 18.89% | 12.86% |
Morningstar Small Cap Growth Category | 39.29% | 74.25% | 20.48% | 12.81% |
(a) | Total Returns are calculated based on traded NAVs. |
The Russell 2000 Growth Index measures the performance of the Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. Investors cannot invest directly in an index or benchmark.
The Morningstar Small Cap Growth Category is generally representative of mutual funds that primarily invest in small (small capitalization) U.S. companies that are projected to grow faster than other small-cap stocks.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.78% for Class N, 2.78% for Class C and 2.03% 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
82
DUNHAM SMALL CAP GROWTH FUND
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2021
Shares | Fair Value | |||||||
COMMON STOCKS — 96.3% | ||||||||
ADVERTISING & MARKETING - 2.0% | ||||||||
6,266 | Cardlytics, Inc.(a) | $ | 861,763 | |||||
18,155 | Magnite, Inc.(a) | 727,108 | ||||||
1,588,871 | ||||||||
AEROSPACE & DEFENSE - 0.9% | ||||||||
13,322 | Hexcel Corporation | 751,494 | ||||||
APPAREL & TEXTILE PRODUCTS - 1.2% | ||||||||
9,402 | Crocs, Inc.(a) | 941,328 | ||||||
BANKING - 2.4% | ||||||||
13,365 | Glacier Bancorp, Inc. | 787,867 | ||||||
24,069 | Seacoast Banking Corp of Florida(a) | 874,908 | ||||||
2,709 | Silvergate Capital Corporation(a) | 290,459 | ||||||
1,953,234 | ||||||||
BIOTECH & PHARMA - 7.8% | ||||||||
33,324 | Alector, Inc.(a) | 649,818 | ||||||
12,964 | Allogene Therapeutics, Inc.(a) | 400,847 | ||||||
38,610 | Avid Bioservices, Inc.(a) | 826,447 | ||||||
10,748 | Biohaven Pharmaceutical Holding Company Ltd.(a) | 807,175 | ||||||
4,712 | CRISPR Therapeutics A.G.(a) | 618,544 | ||||||
2,922 | Mirati Therapeutics, Inc.(a) | 485,695 | ||||||
50,327 | Myovant Sciences Ltd.(a) | 1,051,835 | ||||||
14,467 | Seer, Inc.(a),(b) | 736,804 | ||||||
16,790 | TG Therapeutics, Inc.(a) | 750,681 | ||||||
6,327,846 | ||||||||
CHEMICALS - 0.9% | ||||||||
32,393 | Codexis, Inc.(a) | 750,870 | ||||||
COMMERCIAL SUPPORT SERVICES - 0.5% | ||||||||
3,015 | Avalara, Inc.(a) | 427,256 | ||||||
ELECTRICAL EQUIPMENT - 1.8% | ||||||||
7,792 | Itron, Inc.(a) | 700,812 |
See accompanying notes which are an integral part of these financial statements.
83
DUNHAM SMALL CAP GROWTH FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2021
Shares | Fair Value | |||||||
COMMON STOCKS — 96.3% (Continued) | ||||||||
ELECTRICAL EQUIPMENT - 1.8% (Continued) | ||||||||
25,668 | nLight, Inc.(a) | $ | 753,100 | |||||
1,453,912 | ||||||||
ENGINEERING & CONSTRUCTION - 4.4% | ||||||||
8,838 | Exponent, Inc. | 851,365 | ||||||
6,724 | Installed Building Products, Inc. | 905,386 | ||||||
15,145 | Montrose Environmental Group, Inc.(a) | 821,010 | ||||||
29,741 | WillScot Mobile Mini Holdings Corporation(a) | 870,519 | ||||||
3,448,280 | ||||||||
FOOD - 0.5% | ||||||||
15,834 | Vital Farms, Inc.(a) | 385,083 | ||||||
HEALTH CARE FACILITIES & SERVICES - 3.9% | ||||||||
3,632 | Catalent, Inc.(a) | 408,491 | ||||||
8,823 | HealthEquity, Inc.(a) | 670,283 | ||||||
4,315 | LHC Group, Inc.(a) | 898,685 | ||||||
23,103 | Personalis, Inc.(a) | 569,258 | ||||||
10,555 | Progyny, Inc.(a) | 600,685 | ||||||
3,147,402 | ||||||||
HOME & OFFICE PRODUCTS - 0.7% | ||||||||
16,604 | Purple Innovation, Inc.(a) | 565,864 | ||||||
HOME CONSTRUCTION - 3.0% | ||||||||
18,287 | AZEK Company, Inc. (The)(a) | 882,896 | ||||||
3,483 | LGI Homes, Inc.(a) | 577,412 | ||||||
20,624 | Skyline Champion Corporation(a) | 916,324 | ||||||
2,376,632 | ||||||||
HOUSEHOLD PRODUCTS - 2.4% | ||||||||
33,671 | elf Beauty, Inc.(a) | 1,018,547 | ||||||
12,440 | Inter Parfums, Inc. | 915,584 | ||||||
1,934,131 | ||||||||
INDUSTRIAL INTERMEDIATE PROD - 2.0% | ||||||||
4,950 | Chart Industries, Inc.(a) | 795,119 | ||||||
20,226 | Raven Industries, Inc. | 821,580 | ||||||
1,616,699 |
See accompanying notes which are an integral part of these financial statements.
84
DUNHAM SMALL CAP GROWTH FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 96.3% (Continued) | ||||||||
INDUSTRIAL SUPPORT SERVICES - 0.7% | ||||||||
3,031 | SiteOne Landscape Supply, Inc.(a) | $ | 543,701 | |||||
INSTITUTIONAL FINANCIAL SERVICES - 3.1% | ||||||||
6,525 | Evercore, Inc., Class A | 914,348 | ||||||
12,197 | Houlihan Lokey, Inc. | 808,295 | ||||||
14,047 | Moelis & Company, Class A | 762,471 | ||||||
2,485,114 | ||||||||
INTERNET MEDIA & SERVICES - 5.0% | ||||||||
46,981 | Eventbrite, Inc., Class A(a) | 1,107,341 | ||||||
9,475 | Pinterest, Inc.(a) | 628,856 | ||||||
8,598 | TechTarget, Inc.(a) | 659,467 | ||||||
14,317 | Upwork, Inc.(a) | 659,441 | ||||||
3,224 | Wix.com Ltd.(a) | 1,024,845 | ||||||
4,079,950 | ||||||||
LEISURE FACILITIES & SERVICES - 4.3% | ||||||||
44,787 | Lindblad Expeditions Holdings, Inc.(a) | 734,059 | ||||||
10,696 | Papa John’s International, Inc. | 1,034,518 | ||||||
6,795 | Shake Shack, Inc., Class A(a) | 738,956 | ||||||
6,308 | Wingstop, Inc. | 999,251 | ||||||
3,506,784 | ||||||||
LEISURE PRODUCTS - 0.8% | ||||||||
3,956 | Fox Factory Holding Corporation(a) | 606,178 | ||||||
MACHINERY - 0.9% | ||||||||
4,454 | MSA Safety, Inc. | 716,025 | ||||||
MEDICAL EQUIPMENT & DEVICES - 6.3% | ||||||||
30,926 | Acutus Medical, Inc.(a),(b) | 422,140 | ||||||
10,095 | Adaptive Biotechnologies Corporation(a) | 419,952 | ||||||
50,198 | Alphatec Holdings, Inc.(a) | 802,666 | ||||||
10,340 | BioLife Solutions, Inc.(a) | 360,866 | ||||||
91,349 | Cerus Corporation(a) | 557,229 | ||||||
3,260 | Inari Medical, Inc.(a) | 372,585 | ||||||
3,241 | Insulet Corporation(a) | 956,808 |
See accompanying notes which are an integral part of these financial statements.
85
DUNHAM SMALL CAP GROWTH FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 96.3% (Continued) | ||||||||
MEDICAL EQUIPMENT & DEVICES - 6.3% (Continued) | ||||||||
1,881 | Repligen Corporation(a) | $ | 398,227 | |||||
33,577 | SmileDirectClub, Inc.(a) | 357,091 | ||||||
4,268 | Tandem Diabetes Care, Inc.(a) | 392,229 | ||||||
5,039,793 | ||||||||
REAL ESTATE SERVICES - 1.1% | ||||||||
12,515 | Redfin Corporation(a) | 885,812 | ||||||
RENEWABLE ENERGY - 1.0% | ||||||||
2,919 | SolarEdge Technologies, Inc.(a) | 769,273 | ||||||
RETAIL - CONSUMER STAPLES - 0.5% | ||||||||
4,391 | Ollie’s Bargain Outlet Holdings, Inc.(a) | 405,158 | ||||||
RETAIL - DISCRETIONARY - 3.3% | ||||||||
29,892 | American Eagle Outfitters, Inc. | 1,033,366 | ||||||
4,446 | Freshpet, Inc.(a) | 821,710 | ||||||
18,137 | Vroom, Inc.(a) | 839,199 | ||||||
2,694,275 | ||||||||
SEMICONDUCTORS - 9.1% | ||||||||
29,170 | Allegro MicroSystems, Inc.(a) | 719,916 | ||||||
19,270 | Axcelis Technologies, Inc.(a) | 800,283 | ||||||
9,192 | Brooks Automation, Inc. | 931,426 | ||||||
7,013 | Cree, Inc.(a) | 697,232 | ||||||
23,451 | FormFactor, Inc.(a) | 918,107 | ||||||
16,478 | Lattice Semiconductor Corporation(a) | 829,008 | ||||||
9,310 | Power Integrations, Inc. | 770,961 | ||||||
11,991 | Semtech Corporation(a) | 812,270 | ||||||
5,839 | Silicon Laboratories, Inc.(a) | 823,007 | ||||||
7,302,210 | ||||||||
SOFTWARE - 13.4% | ||||||||
6,982 | Bandwidth, Inc., Class A(a) | 923,020 | ||||||
7,482 | Blackline, Inc.(a) | 868,361 | ||||||
2,180 | Coupa Software, Inc.(a) | 586,507 | ||||||
4,871 | Elastic N.V.(a) | 587,540 |
See accompanying notes which are an integral part of these financial statements.
86
DUNHAM SMALL CAP GROWTH FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 96.3% (Continued) | ||||||||
SOFTWARE - 13.4% (Continued) | ||||||||
3,740 | Five9, Inc.(a) | $ | 703,008 | |||||
18,833 | Intelligent Systems Corporation(a) | 721,681 | ||||||
14,117 | LivePerson, Inc.(a) | 771,494 | ||||||
1,350 | MongoDB, Inc.(a) | 401,571 | ||||||
6,924 | Oak Street Health, Inc.(a) | 426,726 | ||||||
3,937 | Omnicell, Inc.(a) | 570,944 | ||||||
14,687 | PROS Holdings, Inc.(a) | 631,247 | ||||||
5,773 | Q2 Holdings, Inc.(a) | 600,507 | ||||||
6,236 | Schrodinger, Inc.(a) | 475,433 | ||||||
12,846 | Sprout Social, Inc.(a) | 851,561 | ||||||
18,161 | Tenable Holdings, Inc.(a) | 680,947 | ||||||
5,079 | Workiva, Inc.(a) | 477,426 | ||||||
35,800 | Yext, Inc.(a) | 499,410 | ||||||
10,777,383 | ||||||||
TECHNOLOGY HARDWARE - 2.9% | ||||||||
10,403 | Fabrinet(a) | 890,706 | ||||||
7,670 | Kornit Digital Ltd.(a) | 749,819 | ||||||
15,551 | PagerDuty, Inc.(a) | 660,295 | ||||||
2,300,820 | ||||||||
TECHNOLOGY SERVICES - 4.6% | ||||||||
8,494 | Endava plc - ADR(a) | 769,047 | ||||||
9,852 | MAXIMUS, Inc. | 902,837 | ||||||
860 | MSCI, Inc. | 417,762 | ||||||
23,359 | Telos Corporation(a) | 775,052 | ||||||
11,665 | WNS Holdings Ltd. - ADR(a) | 844,896 | ||||||
3,709,594 | ||||||||
TRANSPORTATION & LOGISTICS - 4.1% | ||||||||
24,968 | Air Transport Services Group, Inc.(a) | 657,158 | ||||||
14,567 | CryoPort, Inc.(a) | 824,055 | ||||||
52,689 | Marten Transport Ltd. | 880,960 | ||||||
4,076 | Saia, Inc.(a) | 955,822 | ||||||
3,317,995 |
See accompanying notes which are an integral part of these financial statements.
87
DUNHAM SMALL CAP GROWTH FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 96.3% (Continued) | ||||||||
TRANSPORTATION EQUIPMENT - 0.8% | ||||||||
24,681 | Meritor, Inc.(a) | $ | 667,127 | |||||
TOTAL COMMON STOCKS (Cost $53,701,156) | 77,476,094 | |||||||
COLLATERAL FOR SECURITIES LOANED - 1.0% | ||||||||
791,706 | HSBC US Government Money Market Fund - Class I, 0.03%(c)(d) (Cost $791,706) | 791,706 | ||||||
TOTAL INVESTMENTS - 97.3% (Cost $54,492,862) | $ | 78,267,800 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 2.7% | 2,184,206 | |||||||
NET ASSETS - 100.0% | $ | 80,452,007 |
ADR | - American Depositary Receipt |
LTD | - Limited Company |
MSCI | - Morgan Stanley Capital International |
NV | - Naamioze Vennootschap |
PLC | - Public Limited Company |
(a) | Non-income producing security. |
(b) | All or a portion of these securities are on loan. Total loaned securities had a value of $775,776 at April 30, 2021. |
(c) | Rate disclosed is the seven day effective yield as of April 30, 2021. |
(d) | 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 | 30.8 | % | Consumer Staples | 3.5 | % | |||||
Health Care | 18.5 | % | Real Estate | 1.1 | % | |||||
Industrials | 16.5 | % | Collateral For Securities Loaned | 1.0 | % | |||||
Consumer Discretionary | 13.7 | % | Energy | 1.0 | % | |||||
Communications | 7.2 | % | Materials | 1.0 | % | |||||
Financials | 5.7 | % | Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2021 |
Percentage may differ from Schedule of Investments which are based on Fund net assets.
See accompanying notes which are an integral part of these financial statements.
88
Dunham Emerging Markets Stock Fund (Unaudited) |
Message from the Sub-Adviser (NS Partners Ltd.) |
Asset Class Recap
Emerging markets stocks put in a strong start to the fiscal year as COVID-19 vaccines boosted confidence of a global economic recovery in 2021. Joe Biden’s victory in the U.S. Presidential election and Democratic majority in both houses of Congress increased expectations of further fiscal stimulus and higher corporate taxes, in turn suggesting upward pressure on inflation and bond yields. Equity markets in China rose to begin the fiscal year amid an investment treaty between the European Union and China, increasing optimism that more direct investment will be allowed into China which may help push China away from its nationalistic tendencies. Additionally, the country’s economy continued to reopen and economic data indicated a robust economic recovery. However, equity markets sold off late in the second fiscal quarter as the strong economic results sparked concerns that authorities could rapidly tighten monetary policy. Elsewhere in Asia, India suffered a deep recession because of strict lockdown measures but rebounded as these restrictions were lifted despite still-high virus levels. In contrast, Taiwan has successfully limited the spread of the virus and was able to avoid lockdowns. The country instituted border controls and implemented an effective track and trace smartphone system, leading it to being one of the least affected countries from the pandemic. In Latin America, economic damage caused by the virus was tempered by significant fiscal expansion which led it to being one of the best performing regions in the index. Albeit positive, returns for the second fiscal quarter were tempered by a deadly second wave of the virus. Over the fiscal six-month period ending April 30, 2021, emerging markets stocks, as measured by the MSCI Emerging Markets Index, increased 23.0 percent. Emerging stocks underperformed international developed markets, as measured by the MSCI ACWI ex US index, as it increased 27.4 percent over the same time-period.
Allocation Review
Over the first six months of the fiscal year, stock selection strongly contributed to Fund performance. The Fund experienced strong stock selection within China, India, and Mexico, but positions in South Africa, Russia, and Brazil detracted from Fund performance. The Fund’s country allocation also contributed to performance, albeit to a smaller degree than the Fund’s stock selection. The adverse effects of the overweight exposure to Brazil and South Africa were outweighed by the positive effects of the underweight to China and overweight to India. From a sector perspective, the exposure to the industrials and technology sector aided positive performance, while the exposure to the energy and materials sectors were the worst relative performers within the Fund over the fiscal period. Over the fiscal six-month period, the Sub-Adviser took profits in the consumer discretionary and information technology sectors and increased the exposure to economically sensitive names in Taiwan and India. Additionally, the Sub-Adviser increase the allocation to Thailand and Greece in order to potentially capitalize on the reopening of the global economy.
Holdings Insights
The largest allocation within the benchmark and the Fund is the exposure to China. As such, many of the underlying holdings from China had a meaningful impact on Fund performance over the fiscal six-month period. One of the largest contributors to positive Fund performance over the fiscal six-month period year was China Education Group Holdings Ltd. (839 HK) (holding weight*: 1.52 percent), a leading private education provider. 839 HK reported strong earnings data with revenues up 39 percent and net income up 50 percent year over year. These strong results helped 839 HK increase 47.0 percent over the six-month period ended April 30, 2021. Another strong contributor to Fund performance over the fiscal six-month period was Jiangxi Copper Company Ltd. (358 HK) (holding weight*: 1.40 percent), a metals miner and producer. 358 HK increased 106.1 percent as the demand for copper and other metals surged. A position from China that detracted from relative Fund performance over the six-month period was Sany Heavy Industry Company LTD (600031 C1) (holding weight*: 1.08 percent). Sany Heavy Industry is China’s largest and the world’s fifth-largest engineering machinery manufacturer. This holding has been a beneficiary of infrastructure spending as well as the housing recovery. As result, this position increased 55.9 percent in the first fiscal quarter, but declined 28.9 percent in the most recent fiscal quarter. The Sub-Adviser believes that the recent decline is the result of profit taking and not due to a deterioration of company performance or fundamentals.
As mentioned above, the Sub-Adviser increased the exposure to Thailand and Greece and these exposures positively contributed to Fund performance over the most recent fiscal quarter. From Greece, OPAP SA (7107250) (holding weight*: 1.43 percent), a Greek lottery operator, and Mytilineos S.A. (5898664) (holding weight*: 1.00 percent), a Greek industrial conglomerate, both positively contributed to Fund performance by increasing 84.1 percent and 65.1 percent, respectively, in the fiscal six-month period. Minor International PLC (B018C28) (holding weight*: 0.96 percent), a company based in Thailand that runs more than 500 hotels across 55 countries, also contributed to Fund performance over the fiscal period. This company suffered in the previous fiscal year as coronavirus shutdowns put a damper on tourism and hotel stays, however, amid the distribution of vaccines and subsequent lifting of lockdowns, the stock price rebounded. Over the six-month period, Minor International PLC increased 21.0 percent.
The exposure to Brazil detracted from relative Fund performance over the most recent fiscal six-month period. Localiza Rent a Car S.A. (B08K3S0) (holding weight*: 0.96 percent), a Brazilian rental car company, and Brasil Bolsa Balcao (BG36ZK1) (holding weight*: 1.00 percent), a regional stock exchange in Brazil both detracted from the Fund’s relative performance as the positions rose 6.3 percent and 3.9 percent, respectively. Also within Brazil, Lojas Renner S.A. (B0CGYD6) (holding weight**: 0.37 percent), Brazil’s largest department store, rose just 7.3 percent amid disappointing sales and lackluster earnings reports.
Sub-Adviser Outlook
The Sub-Adviser is cautiously optimistic for the rest of the fiscal year. The Sub-Adviser believes that global industrial momentum is peaking but the continued reopening of the global economy will likely continue to boost global GDP. The Sub-Advisers also believes that inflation fears may be currently overblown and are already priced in the market. However, the market could experience a slight pick-up in core inflation in late 2021 and 2022. The Sub-Adviser will be looking to reduce the exposure to “old economy” cyclical sectors and add to more defensive names. The Sub-Adviser will also continue to focus on high-quality companies with improving return on invested capital and looking for opportunities in quality and quality growth companies.
* | Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 4/30/2021. **Holdings percentage(s) as of the date prior to the sale of the security. |
Growth of $100,000 Investment
Total Returns (a) as of April 30, 2021 | ||||
Six | Annualized | Annualized | ||
Months | One Year | Five Years | Ten Years | |
Class N | 25.47% | 53.54% | 12.02% | 2.24% |
Class A with load of 5.75% | 18.01% | 44.25% | 10.41% | 2.42% |
Class A without load | 25.24% | 53.11% | 11.73% | 2.85% |
Class C | 24.84% | 51.94% | 10.90% | 1.22% |
MSCI Emerging Markets Index (net) | 22.95% | 48.71% | 12.50% | 3.59% |
Morningstar Diversified Emerging Markets Category | 24.61% | 51.20% | 11.37% | 3.14% |
(a) | Total Returns are calculated based on traded NAVs. |
The MSCI Emerging Markets Index (net) is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. Investors cannot invest directly in an index or benchmark.
The Morningstar Diversified Emerging Markets Category is generally representative of mutual funds that primarily invest among 20 or more developing nations, with a general focus on the emerging markets of Asia and Latin America rather than on the emerging markets countries in the Middle East, Africa, or Europe.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.88% for Class N, 2.88% for Class C and 2.13% 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.
89
DUNHAM EMERGING MARKETS STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
April 30, 2021 |
Shares | Fair Value | |||||||
CLOSED END FUNDS — 1.0% | ||||||||
MIXED ALLOCATION - 1.0% | ||||||||
136,545 | Vietnam Enterprise Investments Ltd.(a) | $ | 1,210,207 | |||||
TOTAL CLOSED END FUNDS (Cost $861,698) | 1,210,207 | |||||||
COMMON STOCKS — 97.0% | ||||||||
AUTOMOTIVE - 1.1% | ||||||||
523,000 | Geely Automobile Holdings Ltd.(b) | 1,362,412 | ||||||
BANKING - 11.3% | ||||||||
380,699 | Banco Bradesco S.A. - ADR(b) | 1,656,041 | ||||||
31,300 | Banco Santander Chile - ADR | 696,112 | ||||||
453,400 | Bank Central Asia Tbk P.T. | 1,003,719 | ||||||
270,500 | China Merchants Bank Company Ltd., H Shares(b) | 2,173,018 | ||||||
45,200 | ICICI Bank Ltd. - ADR(a) | 736,760 | ||||||
160,900 | Itau Unibanco Holding S.A. - ADR | 804,500 | ||||||
367,800 | Kasikornbank PCL - ADR(b) | 1,556,791 | ||||||
342,200 | Ping An Bank Company Ltd. | 1,229,075 | ||||||
1,219,200 | Public Bank Bhd | 1,234,351 | ||||||
41,267 | Sberbank of Russia PJSC - ADR | 649,543 | ||||||
102,166 | Sberbank of Russia PJSC | 385,387 | ||||||
86,380 | Security Bank Corporation | 206,774 | ||||||
51,549 | Shinhan Financial Group Company Ltd. | 1,852,440 | ||||||
14,184,511 | ||||||||
BEVERAGES - 2.4% | ||||||||
219,500 | Budweiser Brewing Company APAC Ltd. | 691,748 | ||||||
167,200 | Carabao Group PCL(a) | 603,365 | ||||||
19,800 | Heineken Malaysia Bhd | 124,577 | ||||||
124,227 | Varun Beverages Ltd. | 1,591,864 | ||||||
3,011,554 | ||||||||
BIOTECH & PHARMA - 0.3% | ||||||||
23,300 | Joinn Laboratories China Company Ltd.(a) | 419,990 |
See accompanying notes which are an integral part of these financial statements.
90
DUNHAM EMERGING MARKETS STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 97.0% (Continued) | ||||||||
CHEMICALS - 0.5% | ||||||||
2,634,800 | AKR Corporindo Tbk P.T. | $ | 595,234 | |||||
CONSTRUCTION MATERIALS - 1.7% | ||||||||
201,000 | Anhui Conch Cement Company Ltd., H Shares(b) | 1,199,838 | ||||||
1,237,300 | Semen Indonesia Persero Tbk P.T. | 891,630 | ||||||
2,091,468 | ||||||||
CONSUMER SERVICES - 1.5% | ||||||||
781,000 | China Education Group Holdings Ltd. | 1,885,727 | ||||||
CONTAINERS & PACKAGING - 1.1% | ||||||||
785,300 | SCG Packaging PCL | 1,404,664 | ||||||
E-COMMERCE DISCRETIONARY - 7.7% | ||||||||
295,000 | Alibaba Group Holding Ltd.(a),(b) | 8,528,766 | ||||||
26,600 | JD.com, Inc.(a) | 1,027,373 | ||||||
9,556,139 | ||||||||
ENGINEERING & CONSTRUCTION - 1.0% | ||||||||
66,518 | Mytilineos S.A.(b) | 1,237,453 | ||||||
GAS & WATER UTILITIES - 0.8% | ||||||||
624,000 | Guangdong Investment Ltd. | 960,838 | ||||||
HOME & OFFICE PRODUCTS - 0.9% | ||||||||
249,800 | Haier Smart Home Company Ltd., H Shares(a),(b) | 1,074,383 | ||||||
HOUSEHOLD PRODUCTS - 1.2% | ||||||||
48,277 | Hindustan Unilever Ltd. | 1,531,229 | ||||||
INSTITUTIONAL FINANCIAL SERVICES - 1.0% | ||||||||
130,800 | B3 S.A. - Brasil Bolsa Balcao | 1,242,844 | ||||||
INSURANCE - 4.2% | ||||||||
128,200 | AIA Group Ltd.(b) | 1,627,377 |
See accompanying notes which are an integral part of these financial statements.
91
DUNHAM EMERGING MARKETS STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 97.0% (Continued) | ||||||||
INSURANCE - 4.2% (Continued) | ||||||||
217,500 | Ping An Insurance Group Company of China Ltd., H Shares(b) | $ | 2,371,519 | |||||
57,019 | Prudential plc | 1,210,398 | ||||||
5,209,294 | ||||||||
INTERNET MEDIA & SERVICES - 8.3% | ||||||||
43,500 | Dada Nexus Ltd. - ADR(a) | 1,045,740 | ||||||
3,898 | Naspers Ltd., N Shares(b) | 886,801 | ||||||
6,615 | NAVER Corporation | 2,130,176 | ||||||
62,600 | Tencent Holdings Ltd.(b) | 4,994,309 | ||||||
17,800 | Yandex N.V., Class A(a) | 1,166,790 | ||||||
10,223,816 | ||||||||
LEISURE FACILITIES & SERVICES - 4.4% | ||||||||
1,268,467 | Lemon Tree Hotels Ltd.(a) | 604,243 | ||||||
1,240,400 | Minor International PCL - ADR(a) | 1,193,067 | ||||||
115,693 | OPAP S.A. | 1,776,574 | ||||||
956,000 | Wynn Macau Ltd.(a) | 1,833,641 | ||||||
5,407,525 | ||||||||
LEISURE PRODUCTS - 1.0% | ||||||||
94,000 | Giant Manufacturing Company Ltd. | 1,193,691 | ||||||
MACHINERY - 2.3% | ||||||||
35,000 | Airtac International Group | 1,460,768 | ||||||
281,790 | Sany Heavy Industry Company Ltd., Class A | 1,338,245 | ||||||
2,799,013 | ||||||||
METALS & MINING - 2.4% | ||||||||
713,000 | Jiangxi Copper Company Ltd., H Shares | 1,730,903 | ||||||
3,528 | MMC Norilsk Nickel PJSC | 1,205,719 | ||||||
2,936,622 | ||||||||
OIL & GAS PRODUCERS - 0.7% | ||||||||
646,600 | PTT PCL - ADR | 827,637 | ||||||
REAL ESTATE OWNERS & DEVELOPERS - 2.5% | ||||||||
90,626 | Godrej Properties Ltd.(a) | 1,670,411 | ||||||
418,000 | KWG Group Holdings Ltd. | 669,724 |
See accompanying notes which are an integral part of these financial statements.
92
DUNHAM EMERGING MARKETS STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 97.0% (Continued) | ||||||||
REAL ESTATE OWNERS & DEVELOPERS - 2.5% (Continued) | ||||||||
173,500 | Multiplan Empreendimentos Imobiliarios S.A. | $ | 739,60 | |||||
3,079,195 | ||||||||
REAL ESTATE SERVICES - 0.6% | ||||||||
227,000 | ESR Cayman Ltd.(a) | 775,340 | ||||||
RENEWABLE ENERGY - 2.6% | ||||||||
19,500 | Contemporary Amperex Technology Company Ltd. | 1,171,828 | ||||||
99,300 | LONGi Green Energy Technology Company Ltd., Class A | 1,514,824 | ||||||
5,258 | OCI Company Ltd.(a) | 585,799 | ||||||
3,272,451 | ||||||||
RETAIL - CONSUMER STAPLES - 2.6% | ||||||||
406,000 | Alibaba Health Information Technology Ltd.(a) | 1,235,925 | ||||||
282,100 | Atacadao S.A. | 1,129,388 | ||||||
10,763 | Magnit PJSC | 732,760 | ||||||
3,098,073 | ||||||||
RETAIL - DISCRETIONARY - 1.9% | ||||||||
1,337,300 | Astra International Tbk P.T. | 508,221 | ||||||
1,353,600 | Home Product Center PCL | 611,682 | ||||||
100,600 | Localiza Rent a Car S.A. | 1,185,450 | ||||||
2,305,353 | ||||||||
SEMICONDUCTORS – 13.0% | ||||||||
9,900 | ACM Research, Inc., Class A(a) | 781,605 | ||||||
82,000 | Gudeng Precision Industrial Company Ltd. | 920,432 | ||||||
79,000 | MediaTek, Inc. | 3,311,885 | ||||||
56,000 | Realtek Semiconductor Corporation | 1,056,435 | ||||||
19,451 | SK Hynix, Inc.(b) | 2,218,996 | ||||||
328,000 | Taiwan Semiconductor Manufacturing Company Ltd. | 6,907,558 | ||||||
7,000 | Taiwan Semiconductor Manufacturing Company Ltd. - ADR | 817,180 | ||||||
16,014,091 | ||||||||
SOFTWARE - 1.3% | ||||||||
73,900 | Glodon Company Ltd. | 830,839 | ||||||
374,300 | NavInfo Company Ltd. | 819,625 | ||||||
1,650,464 |
See accompanying notes which are an integral part of these financial statements.
93
DUNHAM EMERGING MARKETS STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 97.0% (Continued) | ||||||||
SPECIALTY FINANCE - 2.5% | ||||||||
94,182 | Housing Development Finance Corp Ltd. | 3,067,064 | ||||||
TECHNOLOGY HARDWARE - 7.2% | ||||||||
126,000 | Accton Technology Corporation | 1,426,709 | ||||||
13,000 | Largan Precision Company Ltd. | 1,438,167 | ||||||
51,670 | Samsung Electronics Company Ltd.(b) | 3,765,992 | ||||||
33,894 | Samsung Electronics Company Ltd.(b) | 2,225,291 | ||||||
8,856,159 | ||||||||
TECHNOLOGY SERVICES - 2.1% | ||||||||
140,348 | Infosys Ltd. | 2,550,643 | ||||||
TELECOMMUNICATIONS - 1.5% | ||||||||
36,800 | 21Vianet Group, Inc. - ADR(a) | 1,027,088 | ||||||
111,933 | Bharti Airtel Ltd. | 809,527 | ||||||
1,836,615 | ||||||||
TRANSPORTATION & LOGISTICS - 3.4% | ||||||||
234,870 | International Container Terminal Services, Inc. | 633,644 | ||||||
139,276 | Spring Airlines Company Ltd. | 1,380,427 | ||||||
32,072 | Wizz Air Holdings plc(a) | 2,176,165 | ||||||
4,190,236 | ||||||||
TOTAL COMMON STOCKS (Cost $93,431,953) | 119,851,728 | |||||||
WARRANT — 0.0% | ||||||||
LEISURE FACILITIES & SERVICES - 0.0% | ||||||||
26,977 | Minor International PCL (Thailand) | 8,663 | ||||||
TOTAL WARRANT (Cost $867) | 8,663 |
See accompanying notes which are an integral part of these financial statements.
94
DUNHAM EMERGING MARKETS STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COLLATERAL FOR SECURITIES LOANED – 1.4% | ||||||||
1,790,237 | Mount Vernon Prime Portfolio, 0.11% (Cost $1,790,237)(c),(d) | $ | 1,790,237 | |||||
TOTAL INVESTMENTS - 99.4% (Cost $96,084,755) | $ | 122,860,835 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.6% | 734,800 | |||||||
NET ASSETS - 100.0% | $ | 123,595,635 |
ADR | - American Depositary Receipt |
LTD | - Limited Company |
NV | - Naamioze Vennootschap |
PJSC | - Public Joint-Stock Company |
PLC | - Public Limited Company |
PT | - Perseroan Terbatas |
S/A | - Societe Anonyme |
(a) | Non-income producing security. |
(b) | All or a portion of these securities are on loan. Total loaned securities had a value of $1,639,480 at April 30, 2021. |
(c) | Rate disclosed is the seven day effective yield as of April 30, 2021. |
(d) | The Trust’s securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 105% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 105% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 105%. |
See accompanying notes which are an integral part of these financial statements.
95
DUNHAM EMERGING MARKETS STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Portfolio Composition * - (Unaudited) | ||||||||||
China | 22.6 | % | Thailand | 5.1 | % | |||||
Taiwan | 15.3 | % | Hong Kong | 4.4 | % | |||||
Cayman Islands | 11.1 | % | Russia | 3.4 | % | |||||
South Korea | 10.6 | % | Great Britain | 2.5 | % | |||||
India | 10.4 | % | Other Countries ** | 9.0 | % | |||||
Brazil | 5.6 | % | Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2021. |
** | Includes Collateral for Securities Loaned as of April 30, 2021. |
Percentage may differ from Schedule of Investments which is based on Fund net assets.
See accompanying notes which are an integral part of these financial statements.
96
Dunham International Stock Fund (Unaudited) |
Message from the Sub-Adviser (Arrowstreet Capital, L.P.) |
Asset Class Recap
International equity markets, as measured by the MSCI All Country World ex USA Index (Net) (referred to as the “Index”), gained 27.4 percent during the semi-annual period ending April 30, 2021. Across sectors, gains were led by energy, IT, and financials. The best performing developed market countries as measured by the Index in local terms during the semi-annual period were Austria, up 63.7 percent, and Luxembourg, up 43.0 percent. The worst performing developed market countries were New Zealand, down 3.7 percent, and the US, up 14.8 percent. The best performing emerging market countries during the period as measured by the Index were Greece, up 43.1 percent, and Taiwan, up 41.9 percent. The worst performing emerging market countries were Egypt, down 2.4 percent, and the Philippines, up 0.7 percent.
Allocation Review
The Sub-Adviser’s investment process is best characterized as a dynamic process that uses quantitative models to evaluate securities to exploit opportunities across companies, sectors, and countries while seeking to avoid long-term systematic biases toward any particular country, sector, style, or market capitalization. These stock selection models are designed to understand what information is likely to impact stock prices with a predictable and measurable lag that allows time to invest and profit. The models obtain the information to forecast individual stock returns by evaluating a stock’s potential on the basis of (1) direct effects - characteristics of the company itself; and (2) indirect effects - characteristics of other companies that are related by virtue of a common country and sector affiliation (called country/sector baskets); a common country affiliation; and a common global sector affiliation, and/or other common linkages. Over any time period, the strategy’s performance relative to the Index is driven by allocations to country/sector baskets, stock selection, and the effects of currency exposures differing from those of the Index.
Countries contributing the most to returns relative to the Index during the semi-annual period were: China, mainly due to our underweight positioning along with positive selection within consumer discretionary, and overweight positioning paired with positive selection within Chinese materials; and South Korea, primarily due to both positive selection and overweight positioning in IT and consumer discretionary. Countries contributing the most to underperformance relative to the Index included: Malaysia, primarily due to our overweight positioning along with negative selection in health care; and France, primarily due to underweights in both financials and consumer discretionary.
Sectors contributing the most to returns relative to the Index during the semi-annual period included: Materials, primarily due to overweight positioning in UK materials and positive selection across the UK, French, and Canadian materials baskets; and consumer discretionary mainly due to the above-mentioned underweights coupled with positive selection within Chinese consumer discretionary. Both overweights and positive selection within South Korean consumer discretionary also aided results. Sectors contributing the most to underperformance relative to the Index included: financials, primarily due to underweights across UK, French, and Canadian financials baskets.
Holdings Insights
Stocks contributing the most to returns relative to the Index during the semi-annual period included: Alibaba Group Holding-SP ADR (BABA) (holding weight*: not held), a Chinese consumer discretionary company; ASML Holding NV (ASML NA) (holding weight*: 2.28 percent), a Dutch IT company; and Arcelormittal (MT NA) (holding weight**: 0.01 percent), a French materials company. Having no exposure to BABA contributed to relative Fund performance, as BABA sold off significantly over the most recent six-month fiscal period. ASML NA and MT NA rose 79.8 percent and 111.3 percent, respectively, over the most recent six-month fiscal period. Stocks contributing the most to underperformance relative to the Index included: Hartalega Holdings BHD (HART MK) (holding weight*: 0.12 percent), a Malaysian health care company, Roche Holdings AG-Genusschein (ROG SW) (holding weight*: 1.00 percent), a Swiss health care company, and LVMH Moet Hennessy Lous VUI (MC FP) (holding weight*: not held), a French consumer discretionary company. HART MK and ROG SW fell 42.9 percent and 1.0 percent, respectively, over the most recent six-month fiscal period. Having no exposure to MC FP hurt relative Fund performance, as the high-end fashion retailer rose 62.5 percent over the most recent six-month fiscal period.
Sub-Adviser Outlook
The Sub-Adviser generally constructs its portfolios by using proprietary econometric models and a proprietary optimization process that balances the trade-off between a stock’s expected return, its contribution to portfolio level risk, portfolio specific restrictions, and its opportunity costs relative to trading costs. As this is performed quantitatively, the Sub-Adviser’s outlook does not play a role in the disciplined investment process.
* | Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 4/30/21 |
** | Holdings percentage(s) as of the date prior to the sale of the security. |
Growth of $100,000 Investment
Total Returns (a) as of April 30, 2021 | ||||
Annualized | Annualized | |||
Six Month | One Year | Five Years | Ten Years | |
Class N | 35.62% | 54.68% | 11.37% | 6.02% |
Class A with load of 5.75% | 27.66% | 45.42% | 9.79% | 5.11% |
Class A without load | 35.43% | 54.29% | 11.09% | 5.74% |
Class C | 34.95% | 53.23% | 10.26% | 4.96% |
MSCI All Country World ex US Index (net) | 27.41% | 42.98% | 9.83% | 4.73% |
Morningstar Foreign Large Cap Blend Category | 27.60% | 41.69% | 8.84% | 4.71% |
(a) | Total Returns are calculated based on traded NAVs. |
The MSCI All Country World ex US Index (net) is a free float-adjusted market capitalization index designed to measure equity market performance in the global developed and emerging markets excluding holdings in the United States and is net of any withholding taxes. Investors cannot invest directly in an index or benchmark.
The Morningstar Foreign Large Cap Blend Category is generally representative of mutual funds that primarily invest in non-U.S. stocks that have market caps in the top 70% of each economically integrated market (such as Europe or Asia ex-Japan). The blend style is generally applicable where neither growth nor value characteristics dominate.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.71% for Class N, 2.71% for Class C and 1.96% 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.
97
DUNHAM INTERNATIONAL STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 97.0% | ||||||||
ADVERTISING & MARKETING - 0.8% | ||||||||
64,300 | Hakuhodo DY Holdings, Inc. | $ | 1,088,085 | |||||
2,563 | WPP plc – ADR (f) | 173,054 | ||||||
1,261,139 | ||||||||
AEROSPACE & DEFENSE - 0.2% | ||||||||
330 | Dassault Aviation S.A.(a) | 359,976 | ||||||
APPAREL & TEXTILE PRODUCTS - 1.0% | ||||||||
2,438 | adidas A.G.(a),(b) | 753,975 | ||||||
26,800 | Cie Financiere Richemont S.A. - ADR | 273,893 | ||||||
11,300 | Gildan Activewear, Inc. (a), (f) | 391,997 | ||||||
1,756 | Gildan Activewear, Inc.(a) | 60,893 | ||||||
92,000 | Pou Chen Corporation | 116,821 | ||||||
7,000 | Swatch Group A.G. (The) - ADR | 106,750 | ||||||
1,704,329 | ||||||||
ASSET MANAGEMENT - 2.5% | ||||||||
9,721 | Groupe Bruxelles Lambert S.A.(b) | 1,064,395 | ||||||
64,581 | Grupo de Inversiones Suramericana S.A. | 292,435 | ||||||
10,000 | IGM Financial, Inc. | 356,690 | ||||||
16,894 | Industrivarden A.B., C Shares | 610,076 | ||||||
13,982 | Investor A.B. | 1,188,945 | ||||||
1,533 | Sofina S.A. | 583,230 | ||||||
4,095,771 | ||||||||
AUTOMOTIVE - 7.4% | ||||||||
26,600 | Aisin Seiki Company Ltd. | 1,023,689 | ||||||
3,203 | Bayerische Motoren Werke A.G. | 262,672 | ||||||
7,424 | Continental A.G. (a),(b) | 1,004,569 | ||||||
1,700 | Ferrari N.V. | 362,763 | ||||||
7,314 | Hankook Tire & Technology Company Ltd.(b) | 315,593 | ||||||
2,800 | Honda Motor Company Ltd.(b) | 83,484 | ||||||
23,900 | Honda Motor Company Ltd. – ADR (f) | 712,698 | ||||||
6,461 | Hyundai Motor Company | 580,496 | ||||||
9,597 | Magna International, Inc. (f) | 906,149 | ||||||
58,500 | Mitsubishi Motors Corporation(a) | 158,476 | ||||||
77,900 | Nissan Motor Company Ltd.(a) | 391,000 |
See accompanying notes which are an integral part of these financial statements.
98
DUNHAM INTERNATIONAL STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 97.0% (Continued) | ||||||||
AUTOMOTIVE - 7.4% (Continued) | ||||||||
65,500 | Porsche Automobil Holding S.E. - ADR | $ | 691,680 | |||||
3,193 | Porsche Automobil Holding S.E. | 337,029 | ||||||
15,100 | Renault S.A.(a),(b) | 609,441 | ||||||
11,374 | Schaeffler A.G., Preferred Shares | 102,651 | ||||||
60,512 | Stellantis N.V. | 1,003,948 | ||||||
3,900 | Sumitomo Rubber Industries Ltd. | 48,306 | ||||||
16,100 | Suzuki Motor Corporation(b) | 610,855 | ||||||
121,994 | Tofas Turk Otomobil Fabrikasi A/S | 439,703 | ||||||
24,533 | Volkswagen A.G. - ADR | 777,941 | ||||||
1,732 | Volkswagen A.G. | 451,525 | ||||||
162,600 | Weifu High-Technology Group Company Ltd. | 356,490 | ||||||
30,600 | Yamaha Motor Company Ltd.(b) | 764,455 | ||||||
11,995,613 | ||||||||
BANKING - 3.7% | ||||||||
52,192 | Banco Santander Mexico S.A. Institucion de Banca - ADR(a) | 294,885 | ||||||
18,719 | Bank AlBilad | 186,669 | ||||||
31,712 | BNK Financial Group, Inc. | 218,477 | ||||||
167,500 | Grupo Financiero Inbursa S.A.B. de C.V.(a) | 156,918 | ||||||
1 | Haci Omer Sabanci Holding A/S | 1 | ||||||
10,225 | Hana Financial Group, Inc.(b) | 419,117 | ||||||
3,700 | Industrial & Commercial Bank of China Ltd. - ADR | 48,045 | ||||||
449,900 | Mebuki Financial Group, Inc.(b) | 981,510 | ||||||
80,753 | Quinenco S.A. | 166,206 | ||||||
6,159 | Raiffeisen Bank International A.G.(b) | 134,733 | ||||||
550,580 | Sberbank of Russia PJSC(b) | 2,178,999 | ||||||
1,915,580,000 | VTB Bank PJSC(b) | 1,311,019 | ||||||
6,096,579 | ||||||||
BEVERAGES - 0.2% | ||||||||
18,100 | Kirin Holdings Company Ltd. | 339,858 | ||||||
BIOTECH & PHARMA - 1.5% | ||||||||
18,200 | Ono Pharmaceutical Company Ltd. | 458,374 | ||||||
4,977 | Roche Holding A.G.(b) | 1,625,413 |
See accompanying notes which are an integral part of these financial statements.
99
DUNHAM INTERNATIONAL STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 97.0% (Continued) | ||||||||
BIOTECH & PHARMA - 1.5% (Continued) | ||||||||
4,137 | Sanofi(b) | $ | 434,293 | |||||
2,518,080 | ||||||||
CHEMICALS - 8.6% | ||||||||
162,500 | ADAMA Ltd. | 222,119 | ||||||
195,500 | Bluestar Adisseo Company | 364,745 | ||||||
2,100 | Braskem S.A. - ADR(a) | 40,656 | ||||||
46,318 | Clariant A.G.(a) | 971,471 | ||||||
20,889 | Covestro A.G.(b) | 1,367,890 | ||||||
29,100 | Daicel Corporation | 224,826 | ||||||
6,516 | Evonik Industries A.G.(b) | 228,414 | ||||||
261,795 | Fangda Carbon New Material Company Ltd.(a) | 358,614 | ||||||
38 | Givaudan S.A.(b) | 159,436 | ||||||
8,100 | Kaneka Corporation | 315,434 | ||||||
475 | KCC Corporation | 133,261 | ||||||
4,325 | Koninklijke DSM N.V.(b) | 776,474 | ||||||
73,500 | Kuraray Company Ltd. | 798,851 | ||||||
7,800 | Mitsubishi Chemical Holdings Corporation | 58,059 | ||||||
27,300 | Mitsubishi Gas Chemical Company, Inc. | 630,672 | ||||||
23,900 | Mitsui Chemicals, Inc. | 752,268 | ||||||
98,285 | National Industrialization Company(a) | 501,795 | ||||||
4,996 | National Petrochemical Company | 64,431 | ||||||
39,700 | Nippon Sanso Holdings Corporation | 746,751 | ||||||
3,200 | Nitto Denko Corporation | 264,777 | ||||||
11,600 | Nutrien Ltd. | 640,204 | ||||||
10,128 | PhosAgro PJSC | 589,116 | ||||||
14,171 | Sasol Ltd.(a) | 238,317 | ||||||
26,739 | Saudi Arabian Fertilizer Companycia | 747,208 | ||||||
30,326 | Saudi Industrial Investment Group(b) | 285,932 | ||||||
6,800 | Shin-Etsu Chemical Company Ltd.(b) | 1,147,696 | ||||||
18,900 | Sinopec Shanghai Petrochemical Company Ltd. - ADR | 469,665 | ||||||
236,100 | Tangshan Sanyou Chemical Industries Company Ltd., Advisor Class | 414,153 | ||||||
42,700 | Toray Industries, Inc.(b) | 265,481 | ||||||
157,600 | Xinjiang Zhongtai Chemical Company Ltd. | 244,743 |
See accompanying notes which are an integral part of these financial statements.
100
DUNHAM INTERNATIONAL STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 97.0% (Continued) | ||||||||
CHEMICALS - 8.6% (Continued) | ||||||||
1,049 | Yara International ASA | $ | 54,822 | |||||
14,078,281 | ||||||||
COMMERCIAL SUPPORT SERVICES - 1.8% | ||||||||
19,745 | Adecco Group A.G.(b) | 1,340,068 | ||||||
43,600 | Persol Holdings Company Ltd. | 802,838 | ||||||
2,400 | SGS S.A. - ADR | 70,920 | ||||||
219 | SGS S.A. | 648,853 | ||||||
2,800 | Sohgo Security Services Company Ltd. | 122,743 | ||||||
2,985,422 | ||||||||
CONSTRUCTION MATERIALS - 0.9% | ||||||||
1,100 | AGC, Inc.(b) | 50,152 | ||||||
8,700 | Cie de Saint-Gobain - ADR(a) | 109,577 | ||||||
619,000 | CSG Holding Company Ltd. | 271,454 | ||||||
4,900 | James Hardie Industries plc - ADR | 161,917 | ||||||
8,410 | James Hardie Industries plc – ADR (f) | 279,463 | ||||||
10,281 | Saudi Cement Company | 177,516 | ||||||
10,500 | Taiheiyo Cement Corporation | 263,585 | ||||||
8,762 | Titan Cement International S.A. | 179,644 | ||||||
1,493,308 | ||||||||
CONTAINERS & PACKAGING - 0.1% | ||||||||
123,000 | Klabin S.A.(a) | 124,695 | ||||||
DIVERSIFIED INDUSTRIALS - 1.5% | ||||||||
2,940 | Doosan Company Ltd. | 119,895 | ||||||
21,200 | Hitachi Ltd.(b) | 1,049,208 | ||||||
18,800 | Kawasaki Heavy Industries Ltd.(a) | 451,172 | ||||||
5,000 | Mitsubishi Heavy Industries Ltd. | 148,821 | ||||||
7,800 | Omron Corporation(b) | 590,582 | ||||||
2,359,678 | ||||||||
E-COMMERCE DISCRETIONARY - 0.2% | ||||||||
12,000 | Rakuten, Inc. - ADR | 152,520 | ||||||
5,700 | ZOZO, Inc. | 191,688 | ||||||
344,208 |
See accompanying notes which are an integral part of these financial statements.
101
DUNHAM INTERNATIONAL STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 97.0% (Continued) | ||||||||
ELECTRIC UTILITIES - 0.5% | ||||||||
34,000 | Chubu Electric Power Company, Inc. | $ | 411,970 | |||||
140,510 | Cia Paranaense de Energia | 163,424 | ||||||
270,000 | Huadian Power International Corp Ltd. | 82,653 | ||||||
5,025 | Huaneng Power International, Inc. - ADR | 72,008 | ||||||
730,055 | ||||||||
ELECTRICAL EQUIPMENT - 0.6% | ||||||||
2,600 | Daikin Industries Ltd. | 524,387 | ||||||
2,400 | Daikin Industries Ltd. - ADR | 48,720 | ||||||
1,566 | Schindler Holding A.G. | 436,308 | ||||||
1,009,415 | ||||||||
ENGINEERING & CONSTRUCTION - 0.2% | ||||||||
1 | Enka Insaat ve Sanayi A/S | 1 | ||||||
3,409 | HOCHTIEF A.G. | 320,078 | ||||||
320,079 | ||||||||
ENTERTAINMENT CONTENT - 0.1% | ||||||||
2,800 | Capcom Company Ltd. | 90,828 | ||||||
700 | Square Enix Holdings Co. Ltd. | 38,910 | ||||||
129,738 | ||||||||
FOOD - 0.7% | ||||||||
10,872 | Almarai Company JSC | 155,754 | ||||||
3 | Chocoladefabriken Lindt & Spruengli A.G.(a) | 296,994 | ||||||
41 | Chocoladefabriken Lindt & Spruengli A.G. | 381,039 | ||||||
124,600 | Indofood Sukses Makmur Tbk P.T.(b) | 56,200 | ||||||
1,415 | Nestle S.A. - ADR | 169,135 | ||||||
1,059,122 | ||||||||
FORESTRY, PAPER & WOOD PRODUCTS - 0.0%(c) | ||||||||
232 | West Fraser Timber Company Ltd. | 17,941 | ||||||
HEALTH CARE FACILITIES & SERVICES - 0.2% | ||||||||
3,115 | Dr Sulaiman Al Habib Medical Services Group | 125,257 | ||||||
1,800 | Fresenius Medical Care A.G. & Company KGaA – ADR (f) | 71,802 | ||||||
5,600 | Medipal Holdings Corporation | 103,029 | ||||||
300,088 |
See accompanying notes which are an integral part of these financial statements.
102
DUNHAM INTERNATIONAL STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 97.0% (Continued) | ||||||||
HOME & OFFICE PRODUCTS - 0.6% | ||||||||
64,164 | Arcelik A/S | $ | 265,979 | |||||
19,658 | Electrolux A.B. - Series B | 551,985 | ||||||
1,800 | Rinnai Corporation | 180,721 | ||||||
998,685 | ||||||||
HOME CONSTRUCTION - 0.3% | ||||||||
8,700 | TOTO Ltd.(b) | 452,252 | ||||||
HOUSEHOLD PRODUCTS - 0.4% | ||||||||
1,500 | Amorepacific Corporation | 119,609 | ||||||
4,933 | AMOREPACIFIC Group | 325,471 | ||||||
1,500 | Kose Corporation | 225,772 | ||||||
670,852 | ||||||||
INDUSTRIAL INTERMEDIATE PROD - 1.0% | ||||||||
212,400 | China International Marine Containers Group | 528,938 | ||||||
75,700 | Hartalega Holdings Bhd(b) | 189,667 | ||||||
41,300 | NSK Ltd. | 380,802 | ||||||
297,504 | Zhejiang Hailiang Company Ltd. | 498,456 | ||||||
1,597,863 | ||||||||
INDUSTRIAL SUPPORT SERVICES - 0.1% | ||||||||
5,100 | MISUMI Group, Inc. | 144,023 | ||||||
INSTITUTIONAL FINANCIAL SERVICES - 1.7% | ||||||||
35,500 | B3 S.A. - Brasil Bolsa Balcao | 337,316 | ||||||
51,300 | Daiwa Securities Group, Inc. | 273,705 | ||||||
5,700 | Deutsche Boerse A.G. - ADR | 97,675 | ||||||
268,400 | Haitong Securities Company Ltd. | 240,053 | ||||||
110,420 | Mirae Asset Daewoo Company Ltd. | 484,769 | ||||||
13,776 | NH Investment & Securities Company Ltd. | 136,809 | ||||||
111,000 | Nomura Holdings, Inc.(b) | 596,561 | ||||||
269,200 | Orient Securities Company Ltd. | 170,746 | ||||||
285,376 | Shanghai AJ Group Company Ltd. | 311,356 | ||||||
32,300 | Zhongtai Securities Company Ltd.(a) | 52,931 | ||||||
2,701,921 |
See accompanying notes which are an integral part of these financial statements.
103
DUNHAM INTERNATIONAL STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 97.0% (Continued) | ||||||||
INSURANCE - 3.3% | ||||||||
128,204 | Aegon N.V. | $ | 594,906 | |||||
363,000 | China Life Insurance Company Ltd.(b) | 343,748 | ||||||
326,600 | COFCO Capital Holdings Company Ltd. | 430,083 | ||||||
12,423 | Hanwha Corporation | 342,218 | ||||||
7,097 | Hyundai Marine & Fire Insurance Company Ltd. | 154,941 | ||||||
5,700 | iA Financial Corp, Inc. | 320,723 | ||||||
50,800 | MS&AD Insurance Group Holdings, Inc. | 1,441,031 | ||||||
7,520 | NN Group N.V.(b) | 375,570 | ||||||
3,206 | Samsung Fire & Marine Insurance Company Ltd. | 452,172 | ||||||
22,965 | Talanx A.G. | 968,827 | ||||||
5,424,219 | ||||||||
INTERNET MEDIA & SERVICES - 0.7% | ||||||||
26,800 | Kakaku.com, Inc. | 727,528 | ||||||
6,400 | M3, Inc.(b) | 442,051 | ||||||
1,169,579 | ||||||||
LEISURE FACILITIES & SERVICES - 1.0% | ||||||||
24,953 | Aristocrat Leisure Ltd. | 713,658 | ||||||
42,843 | Kingdom Holding Company | 92,569 | ||||||
47,200 | Sega Sammy Holdings, Inc. | 677,354 | ||||||
4,500 | Wynn Macau Ltd. - ADR(a) | 86,315 | ||||||
1,569,896 | ||||||||
LEISURE PRODUCTS - 0.3% | ||||||||
34,000 | Giant Manufacturing Company Ltd. | 431,761 | ||||||
MACHINERY - 3.3% | ||||||||
4,300 | Azbil Corporation(b) | 173,599 | ||||||
35,259 | CNH Industrial N.V. | 524,080 | ||||||
4,103 | FANUC Corporation - ADR | 94,656 | ||||||
500 | FANUC Corporation(b) | 115,126 | ||||||
7,034 | GEA Group A.G. | 309,293 | ||||||
3,200 | Harmonic Drive Systems, Inc. | 215,171 | ||||||
25,378 | Husqvarna A.B., B Shares | 353,812 | ||||||
3,000 | Keyence Corporation(b) | 1,439,961 | ||||||
1,415 | KION Group A.G. | 141,183 |
See accompanying notes which are an integral part of these financial statements.
104
DUNHAM INTERNATIONAL STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 97.0% (Continued) | ||||||||
MACHINERY - 3.3% (Continued) | ||||||||
13,100 | Kurita Water Industries Ltd.(b) | $ | 604,933 | |||||
4,863 | Techtronic Industries Company Ltd. - ADR | 445,256 | ||||||
7,000 | Techtronic Industries Company Ltd.(b) | 127,028 | ||||||
460,500 | Tian Di Science & Technology Company Ltd. | 258,696 | ||||||
84,800 | WEG S.A. | 542,851 | ||||||
5,345,644 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 2.1% | ||||||||
2,164 | DiaSorin SpA | 368,003 | ||||||
7,200 | Hoya Corporation(b) | 818,277 | ||||||
13,908 | Koninklijke Philips N.V.(a),(b) | 787,417 | ||||||
21,900 | Olympus Corporation | 450,674 | ||||||
27,710 | Smith & Nephew plc | 601,269 | ||||||
12,300 | Terumo Corporation(b) | 465,027 | ||||||
3,490,667 | ||||||||
METALS & MINING - 8.2% | ||||||||
680,600 | Adaro Energy Tbk P.T.(b) | 58,522 | ||||||
23,435 | Anglo American plc | 996,174 | ||||||
35,915 | BHP Group Ltd. | 1,310,721 | ||||||
36,022 | BHP Group plc | 1,087,545 | ||||||
2,677 | BHP Group plc – ADR (f) | 161,959 | ||||||
12,050 | Boliden A.B.(b), (f) | 469,259 | ||||||
120,600 | China Shenhua Energy Company Ltd.(b) | 357,171 | ||||||
26,987 | Cia de Minas Buenaventura S.A.A – ADR (a) | 262,314 | ||||||
27,372 | First Quantum Minerals Ltd. | 630,344 | ||||||
10,400 | First Quantum Minerals Ltd. | 238,992 | ||||||
206,824 | Glencore plc(b) | 844,618 | ||||||
10,716 | Glencore plc – ADR (f) | 86,800 | ||||||
18,600 | Grupo Mexico S.A.B. de C.V. - Series B | 84,709 | ||||||
116,629 | Huaibei Mining Holdings Company Ltd. | 211,163 | ||||||
4,100 | Mitsubishi Materials Corporation | 92,100 | ||||||
3,591 | MMC Norilsk Nickel PJSC - ADR | 121,843 | ||||||
1,316 | MMC Norilsk Nickel PJSC | 449,752 | ||||||
39,026 | Northam Platinum Ltd.(a) | 670,884 | ||||||
992 | Polyus PJSC | 183,180 |
See accompanying notes which are an integral part of these financial statements.
105
DUNHAM INTERNATIONAL STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 97.0% (Continued) | ||||||||
METALS & MINING - 8.2% (Continued) | ||||||||
9,035 | Rio Tinto Ltd. | $ | 842,047 | |||||
9,616 | Rio Tinto plc – ADR (f) | 817,936 | ||||||
4,296 | Rio Tinto plc(b) | 360,734 | ||||||
27,683 | South32 Ltd. | 61,112 | ||||||
11,689 | Southern Copper Corporation (f) | 811,333 | ||||||
1,400 | Sumitomo Metal Mining Company Ltd.(b) | 59,266 | ||||||
36,900 | Teck Resources Ltd., Class B | 781,173 | ||||||
63,900 | Vale S.A. | 1,292,192 | ||||||
13,343,843 | ||||||||
OIL & GAS PRODUCERS - 8.5% | ||||||||
28,112 | BP plc - ADR | 707,298 | ||||||
74,300 | China Petroleum & Chemical Corporation | 48,990 | ||||||
1,550,000 | China Petroleum & Chemical Corporation, H Shares(b) | 764,558 | ||||||
17,700 | ENEOS Holdings, Inc. | 76,116 | ||||||
32,540 | Eni SpA – ADR (f) | 775,753 | ||||||
13,665 | Eni SpA | 162,972 | ||||||
247,390 | Gazprom PJSC | 755,579 | ||||||
2,199,440 | Guanghui Energy Company Ltd.(a) | 1,033,294 | ||||||
58,300 | Idemitsu Kosan Company Ltd. | 1,394,110 | ||||||
92,035 | KOC Holding A/S | 203,762 | ||||||
674 | LUKOIL PJSC - ADR | 51,682 | ||||||
24,250 | LUKOIL PJSC | 1,873,297 | ||||||
22,511 | Motor Oil Hellas Corinth Refineries S.A. | 347,252 | ||||||
9,000 | OMV A.G. | 442,997 | ||||||
7,492 | PetroChina Company Ltd. – ADR (f) | 269,937 | ||||||
146,500 | PetroChina Company Ltd. | 96,014 | ||||||
65,500 | Petroleo Brasileiro S.A. | 285,893 | ||||||
281,953 | Polskie Gornictwo Naftowe i Gazownictwo S.A.(b) | 489,153 | ||||||
56,314 | Rabigh Refining & Petrochemical Company(a) | 306,637 | ||||||
5,024 | Repsol S.A. - ADR | 60,037 | ||||||
18,394 | Repsol S.A.(b) | 219,839 | ||||||
104,240 | Rosneft Oil Company PJSC(b) | 728,545 | ||||||
89,021 | Royal Dutch Shell plc, Class A | 1,697,613 | ||||||
1,713,228 | Shandong Xinchao Energy Corp Ltd.(a) | 404,360 |
See accompanying notes which are an integral part of these financial statements.
106
DUNHAM INTERNATIONAL STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 97.0% (Continued) | ||||||||
OIL & GAS PRODUCERS - 8.5% (Continued) | ||||||||
1,345,800 | Surgutneftegas PJSC | $ | 609,742 | |||||
13,805,430 | ||||||||
OIL & GAS SERVICES & EQUIPMENT - 0.1% | ||||||||
2,292,000 | Sinopec Oilfield Service Corporation(a) | 203,014 | ||||||
PUBLISHING & BROADCASTING - 1.1% | ||||||||
197,700 | China South Publishing & Media Group Company Ltd. | 311,530 | ||||||
465,943 | Chinese Universe Publishing and Media Group, Class A(b) | 794,708 | ||||||
5,500 | Fuji Media Holdings, Inc. | 66,917 | ||||||
25,314 | Pearson plc – ADR (f) | 291,111 | ||||||
6,959 | Schibsted ASA(a) | 350,382 | ||||||
1,814,648 | ||||||||
REAL ESTATE OWNERS & DEVELOPERS - 0.4% | ||||||||
923,012 | Emaar Malls PJSC(a) | 460,122 | ||||||
37,000 | Hang Lung Group Ltd. | 97,073 | ||||||
13,900 | Swire Pacific Ltd. - ADR | 112,729 | ||||||
669,924 | ||||||||
RETAIL - CONSUMER STAPLES - 0.8% | ||||||||
66,193 | Cencosud S.A. | 136,748 | ||||||
77,648 | CK Hutchison Holdings Ltd. – ADR (f) | 630,502 | ||||||
1,440 | Kesko OYJ, B Shares | 43,904 | ||||||
3,577 | Magnit PJSC | 243,527 | ||||||
9,400 | Sundrug Company Ltd.(b) | 320,292 | ||||||
1,374,973 | ||||||||
RETAIL - DISCRETIONARY - 1.0% | ||||||||
2,100 | ABC-Mart, Inc. | 112,504 | ||||||
35,337 | El Puerto de Liverpool S.A.B. de C.V. | 149,514 | ||||||
47,089 | Kingfisher plc(a),(b) | 233,051 | ||||||
18,100 | Lao Feng Xiang Company Ltd. | 54,572 | ||||||
598 | Pandora A/S(b) | 67,808 | ||||||
900 | Shimamura Company Ltd.(b) | 89,025 | ||||||
12,400 | USS Company Ltd.(b) | 224,978 | ||||||
130,300 | Yamada Holdings Company Ltd. | 648,574 | ||||||
1,580,026 |
See accompanying notes which are an integral part of these financial statements.
107
DUNHAM INTERNATIONAL STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 97.0% (Continued) | ||||||||
SEMICONDUCTORS - 8.0% | ||||||||
6,700 | Advantest Corporation(b) | $ | 633,298 | |||||
286 | ASML Holding N.V. | 185,357 | ||||||
5,709 | ASML Holding N.V.(b) | 3,710,734 | ||||||
3,775 | Infineon Technologies A.G.(b) | 151,575 | ||||||
14,214 | SK Hynix, Inc.(b) | 1,621,552 | ||||||
22,182 | STMicroelectronics N.V. | 829,320 | ||||||
728 | STMicroelectronics N.V. | 27,227 | ||||||
25,880 | Taiwan Semiconductor Manufacturing Company Ltd. - ADR | 3,021,231 | ||||||
55,000 | Taiwan Semiconductor Manufacturing Company Ltd. | 1,158,279 | ||||||
4,100 | Tokyo Electron Ltd. - ADR | 467,400 | ||||||
800 | Tokyo Electron Ltd.(b) | 363,300 | ||||||
415,000 | United Microelectronics Corporation(b) | 827,722 | ||||||
12,996,995 | ||||||||
SOFTWARE - 3.8% | ||||||||
5,367 | Atlassian Corp plc, Class A(a) | 1,274,985 | ||||||
2,081 | Check Point Software Technologies Ltd.(a) | 243,082 | ||||||
100 | Constellation Software, Inc. | 146,637 | ||||||
11,102 | Nemetschek S.E. | 828,653 | ||||||
8,800 | Open Text Corporation | 414,480 | ||||||
3,200 | Oracle Corp Japan | 299,975 | ||||||
16,965 | Sage Group plc (The)(b) | 149,851 | ||||||
16,647 | SAP S.E.(b) | 2,333,931 | ||||||
3,691 | Temenos A.G. | 543,365 | ||||||
6,234,959 | ||||||||
SPECIALTY FINANCE - 0.2% | ||||||||
678,400 | Bohai Leasing Company Ltd.(a) | 216,815 | ||||||
2,786 | Samsung Card Company Ltd.(a) | 88,371 | ||||||
305,186 | ||||||||
STEEL - 1.7% | ||||||||
128,000 | Angang Steel Company Ltd. | 88,005 | ||||||
72,608 | Eregli Demir ve Celik Fabrikalari TAS | 166,382 | ||||||
15,500 | Gerdau S.A. | 78,854 | ||||||
8,272 | Hyundai Steel Company | 411,188 | ||||||
251,984 | Iskenderun Demir ve Celik A/S | 409,059 |
See accompanying notes which are an integral part of these financial statements.
108
DUNHAM INTERNATIONAL STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 97.0% (Continued) | ||||||||
STEEL - 1.7% (Continued) | ||||||||
614,900 | Magnitogorsk Iron & Steel Works PJSC | $ | 533,524 | |||||
4,700 | Nippon Steel Corporation | 82,121 | ||||||
71,280 | Novolipetskiy Metallurgicheskiy Kombinat PAO | 252,011 | ||||||
383 | POSCO | 125,170 | ||||||
18,151 | Tenaris S.A. - ADR | 388,068 | ||||||
417,800 | Xinxing Ductile Iron Pipes Company Ltd. | 260,527 | ||||||
2,794,909 | ||||||||
TECHNOLOGY HARDWARE - 9.2% | ||||||||
523,000 | AU Optronics Corporation(a),(b) | 612,251 | ||||||
10,100 | Brother Industries Ltd.(b) | 214,122 | ||||||
6,400 | Canon, Inc.(b) | 152,172 | ||||||
13,600 | Casio Computer Company Ltd. | 240,772 | ||||||
103,000 | Chicony Electronics Company Ltd. | 310,115 | ||||||
147,900 | Jiangsu Zhongtian Technology Company Ltd. | 233,067 | ||||||
36,416 | LG Display Company Ltd.(a),(b) | 790,832 | ||||||
8,191 | LG Electronics, Inc. | 541,382 | ||||||
8,600 | MINEBEA MITSUMI, Inc. | 215,651 | ||||||
66,300 | Nikon Corporation(b) | 624,198 | ||||||
2,900 | Nintendo Company Ltd.(b) | 1,663,366 | ||||||
113,676 | Nokia OYJ - ADR(a) | 532,004 | ||||||
20,218 | Nokia OYJ(a) | 95,895 | ||||||
89,200 | Panasonic Corporation(b) | 1,047,243 | ||||||
65,900 | Ricoh Company Ltd.(b) | 704,119 | ||||||
83 | Samsung Electronics Company Ltd. - ADR | 151,143 | ||||||
63,719 | Samsung Electronics Company Ltd.(b) | 4,644,191 | ||||||
14,841 | Samsung Electronics Company Ltd.(b) | 974,377 | ||||||
305 | Samsung Electronics Company Ltd. 144A - ADR(d) | 503,250 | ||||||
1,200 | Sony Corporation(b) | 119,958 | ||||||
44,643 | Telefonaktiebolaget LM Ericsson, B Shares(b) | 613,844 | ||||||
14,983,952 | ||||||||
TECHNOLOGY SERVICES - 3.0% | ||||||||
15,300 | Adyen N.V. - ADR(a) | 754,290 | ||||||
671 | Bechtle A.G. | 136,810 | ||||||
6,000 | CGI, Inc.(a),(f) | 530,760 |
See accompanying notes which are an integral part of these financial statements.
109
DUNHAM INTERNATIONAL STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 97.0% (Continued) | ||||||||
TECHNOLOGY SERVICES - 3.0% (Continued) | ||||||||
30,749 | Experian plc | $ | 1,188,428 | |||||
3,600 | Fujitsu Ltd.(b) | 571,810 | ||||||
2,800 | NEC Corporation | 162,758 | ||||||
12,700 | Nomura Research Institute Ltd.(b) | 389,698 | ||||||
5,650 | RELX plc – ADR (f) | 147,352 | ||||||
270,900 | Shanghai DZH Ltd.(a) | 329,232 | ||||||
2,435 | Wolters Kluwer N.V. - ADR | 219,954 | ||||||
5,551 | Wolters Kluwer N.V.(b) | 502,742 | ||||||
4,933,834 | ||||||||
TELECOMMUNICATIONS - 1.7% | ||||||||
99,360 | Mobile TeleSystems PJSC | 423,909 | ||||||
29,600 | Nippon Telegraph & Telephone Corporation(b) | 746,199 | ||||||
9,639 | Proximus S.A.DP (f) | 205,623 | ||||||
23,002 | SES S.A. - ADR | 174,593 | ||||||
1,373,013 | Telecom Italia SpA, Savings Shares | 806,399 | ||||||
266,852 | Turkcell Iletisim Hizmetleri A/S | 476,878 | ||||||
2,833,600 | ||||||||
TRANSPORTATION & LOGISTICS - 0.7% | ||||||||
28,000 | Air China Ltd., H Shares | 22,142 | ||||||
13,199 | China Southern Airlines Company Ltd. - ADR(a) | 445,994 | ||||||
115,700 | Malaysia Airports Holdings Bhd | 168,973 | ||||||
472,300 | Shandong Hi-speed Company Ltd. | 510,366 | ||||||
121,700 | TangShan Port Group Company Ltd. | 49,972 | ||||||
1 | Turk Hava Yollari AO(a) | 1 | ||||||
1,197,448 | ||||||||
TRANSPORTATION EQUIPMENT - 0.3% | ||||||||
19,019 | Traton S.E. | 543,635 | ||||||
WHOLESALE - CONSUMER STAPLES - 0.2% | ||||||||
29,500 | Marubeni Corporation(b) | 245,679 | ||||||
WHOLESALE - DISCRETIONARY - 0.6% | ||||||||
21,700 | Toyota Tsusho Corporation | 919,400 |
See accompanying notes which are an integral part of these financial statements.
110
DUNHAM INTERNATIONAL STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
TOTAL COMMON STOCKS (Cost $126,779,802) | $ | 158,102,093 | ||||||
EXCHANGE-TRADED FUNDS — 1.0% | ||||||||
EQUITY - 1.0% | ||||||||
26,769 | Global X MSCI Argentina ETF (f) | 800,393 | ||||||
17,000 | iShares MSCI Eurozone ETF (f) | 826,030 | ||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $1,439,692) | 1,626,423 | |||||||
WARRANT — 0.0%(c) | ||||||||
CHEMICALS - 0.0% (c) | ||||||||
178,610 | Barito Pacific Tbk P.T. (Indonesia) (Cost $0) | 7,604 | ||||||
COLLATERAL FOR SECURITIES LOANED — 4.3% | ||||||||
7,007,102 | Mount Vernon Liquid Asset Portfolio, 0.11% (Cost $7,007,102)(e) ,(g) | 7,007,102 | ||||||
TOTAL INVESTMENTS – 102.3% (Cost $135,226,596) | $ | 166,743,222 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (2.3)% | (3,693,953 | ) | ||||||
NET ASSETS - 100.0% | $ | 163,049,269 |
ADR | - American Depositary Receipt |
A/S | - Anonim Sirketi |
ETF | - Exchange-Traded Fund |
LTD | - Limited Company |
MSCI | - Morgan Stanley Capital International |
N.V. | - Non-Voting |
OYJ | - Julkinen osakeyhtio |
PJSC | - Public Joint-Stock Company |
PLC | - Public Limited Company |
TAS | - Turkish Accounting Standards |
TBK PT | - Publicly traded private limited company in Indonesia |
(a) | Non-income producing security. |
(b) | The value of this security has been determined in good faith under policies of the Board of Trustees. |
(c) | Percentage rounds to less than 0.1%. |
(d) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of April 30, 2021 the total market value of 144A securities is 503,250 or 0.3% of net assets. |
(e) | Rate disclosed is the seven day effective yield as of April 30, 2021. |
(f) | All or a portion of these securities are on loan. Total loaned securities had a value of $6,684,326 at April 30, 2021. |
(g) | The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% (105% for non US Shares) of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 105% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 105%. |
See accompanying notes which are an integral part of these financial statements.
111
DUNHAM INTERNATIONAL STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Foreign Currency | Settlement Date | Counterparty | Local Currency | U.S. Dollar Value | Unrealized Appreciation/ (Depreciation) | |||||||||||
To Buy: | ||||||||||||||||
Japanese Yen | 05/6/2021 | JP Morgan | 65,948,934 | $ | 606,076 | $ | (2,719 | ) | ||||||||
Japanese Yen | 05/07/2021 | UBS | 18,714,638 | 171,551 | (332 | ) | ||||||||||
$ | 4,702,705 | $ | (3,051 | ) | ||||||||||||
To Sell: | ||||||||||||||||
Japanese Yen | 05/06/2021 | UBS | 23,523,791 | $ | 215,632 | $ | 417 | |||||||||
Total | $ | (2,634 | ) |
Portfolio Composition * - (Unaudited) | ||||||||||
Japan | 23.9 | % | Great Britain | 5.1 | % | |||||
South Korea | 8.2 | % | Switzerland | 4.2 | % | |||||
China | 7.3 | % | Taiwan | 4.1 | % | |||||
Germany | 7.1 | % | Canada | 3.3 | % | |||||
Netherlands | 6.4 | % | Other Countries ** | 24.2 | % | |||||
Russia | 6.2 | % | Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2021 |
** | Includes collateral for securities loaned as of April 30, 2021. |
Percentage may differ from Schedule of Investments which is based on Fund net assets
See accompanying notes which are an integral part of these financial statements.
112
Dunham Dynamic Macro Fund (Unaudited) |
Message from the Sub-Adviser (Mellon Investments Corporation) |
Asset Class Recap
Markets across the globe surged to begin the fiscal year as political risk subsided following the U.S. election and the announcement of three effective vaccines offered hope that the world is on the path back towards normalcy. However, markets declined to close the first fiscal quarter due to a combination of a lack of progress for an additional stimulus bill, a post-holiday surge in coronavirus cases, and a slower than anticipated distribution of the coronavirus vaccines. After taking a slight step back in late January, equity markets continued to march higher in the second fiscal quarter. Investors cheered Congress passing another $1.9 trillion spending package which in-turn drove the 10-year U.S. Treasury yield to its highest level since the beginning of 2020. Also adding to optimism was an increasingly efficient vaccine rollout in the United States, albeit not all countries experienced as much success - with a resurgence of coronavirus cases occurring in some regions including parts of Europe and India. Global macro strategies, as measured by the IQ Hedge Global Macro Beta Index, rose 4.4 percent during the six-month period ended April 30, 2021. Global macro strategies underperformed global equities, as measured by the MSCI ACWI index, which jumped 28.3 percent, but outperformed bonds, as measured by the Bloomberg Barclays Aggregate Bond index, which declined 1.5 percent.
Allocation Review
The Fund began the fiscal year with the lowest allocation to the growth asset strategy since March 2020. As global equity risk subsided, the Sub-Adviser added to the growth strategy in the first fiscal quarter and continued to add to the allocation in the most recent fiscal quarter, which positively benefited the Fund as equity markets rose. The Fund’s defensive asset strategy has historically contributed to Fund performance amid spikes in volatility but detracted throughout the first half of the fiscal year as volatility was relatively muted. Although the Federal Reserve committed to keeping rates low on the short end of the curve, longer-term rates rose. In the most recent fiscal quarter, the spread between the 5-year U.S. Treasury note and 30-year U.S. Treasury bond reached its widest point since 2015, adversely affecting bond prices. The allocation to the real asset strategy was stable through the fiscal six-month period as the Sub-Adviser’s view of the asset class did not change, however, the Sub-Adviser is willing to bolster this exposure with additional commodity or TIPS if inflation were to meaningfully rise.
Holdings Insights
The growth asset strategy was the strongest contributor to positive Fund performance over the six-month period ended April 30, 2021. The largest exposure within the growth asset strategy was dedicated to U.S. equities. This was partially achieved through the SPDR S&P 500 ETF Trust (SPY) (holding weight*: 25.34 percent). Over the six-month period, SPY rose 28.8 percent. The exposure to the S&P 500 was also achieved through writing out of the money call options on the S&P 500. For example, the Fund held the S&P 500 Index June 21 $4,130 Call option (ESM1C 4130) (holding weight*: 5.17 percent). This option increased 62.1 percent since being added in early February. As the performance dispersion between large capitalization and small capitalization domestic equity markets widened, the Sub-Adviser initiated an exposure to small capitalization domestic equity via the CME E-mini Russell 2000 Index Futures 03/19/2021 (RTYH1 IND) (holding weight**: 2.64 percent), which increased 10.7 percent since being added to the Fund in January through when it was sold in mid-March. The exposure to foreign equities also contributed to Fund performance over the first six months of fiscal year. The Fund held the iShares MSCI Emerging Markets ETF (EEM) (holding weight*: 1.88 percent), which increased 22.0 percent over the six-month-period.
As markets rallied and the yield curve steepened, the Sub-Adviser reduced the allocation to the defensive asset strategy. This move positively contributed to Fund performance as the defensive asset strategy detracted from Fund performance in the fiscal six-month period. This is predominately due to the allocation to U.S. government bonds, the largest allocation within the defensive asset strategy. Over the first half of the fiscal year, the yield on the 10-year U.S. Treasury increased 75 basis points, adversely affecting the price of government bonds. In February, the Fund initiated an exposure to the 10-year U.S. Treasury Future Option 1200 due June 21 (TYM1C 120) (holding weight*: 4.24 percent). This exposure fell 18.7 percent through the end of the most recent fiscal six-month period. To begin the fiscal year, the largest short within the defensive asset strategy and the Fund was dedicated to developed ex-U.S. bonds. However, throughout the fiscal period, the Sub-Adviser reduced the short position resulting in a net long exposure developed ex-U.S. bonds This exposure also detracted from Fund performance as global yields rose alongside U.S. bonds.
The real assets strategy, while the smallest allocation in the Fund, contributed to Fund performance in the fiscal six-month period. The goal of the strategy is to hedge against inflation while also providing potential diversification benefits. This was implemented through commodities via the iShares Commodities Select Strategy ETF (COMT) (holding weight*: 2.93 percent), which increased 29.8 percent. The diversifying strategy also positively contributed to Fund performance over the fiscal six-month period, adding approximately 34 basis points to Fund performance.
Sub-Adviser Outlook
The Sub-Adviser is optimistic for opportunities within the various asset categories the Fund invests in for the rest of 2021. The Sub-Adviser remains steadfast in its belief that this volatility-targeted strategy may provide investors with more consistent returns than traditional asset classes. It believes that through the flexibility of the strategy and the use of alternative investments, the Fund may provide what may be considered attractive returns with lower systematic risk and lower correlation than traditional long-only equity investments.
* | Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 4/30/2021. |
** | Holdings percentage(s) as of the date prior to the sale of the security. |
Growth of $100,000 Investment
Total Returns (a) as of April 30, 2021 | ||||
Six | Annualized | Annualized | ||
Months | One Year | Five Years | Ten Years | |
Class N | 8.11% | 14.89% | 3.22% | 1.91% |
Class A with load of 5.75% | 1.78% | 7.95% | 1.74% | 1.03% |
Class A without load | 7.95% | 14.55% | 2.96% | 1.63% |
Class C | 7.68% | 13.75% | 2.18% | 0.88% |
IQ Hedge Global Macro Beta Index | 4.37% | 7.85% | 4.31% | 2.35% |
Morningstar Macro Trading Company | 9.68% | 12.02% | 3.82% | 3.09% |
(a) | Total Returns are calculated based on traded NAVs. |
The IQ Hedge Global Macro Beta Index seeks to replicate the risk-adjusted return characteristics of the collective hedge funds using a global macro investment style.
Investors cannot invest directly in an index or benchmark.
The Morningstar Macro Trading Category is generally representative of mutual funds that use systematic or discretionary methods to examine broad factors such as the global economy, government policies, interest rates, inflation, and market trends.
These mutual funds are not restricted by asset class and may invest across such disparate assets as global equities, bonds, currencies, and commodities, and make extensive use of derivatives. These strategies can take significant directional long or short positions on any asset class over short periods and may have relatively high portfolio turnover.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.79% for Class N, 2.79% for Class C and 2.04% 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.
113
DUNHAM DYNAMIC MACRO FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
April 30, 2021 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 36.0% | ||||||||
COMMODITY - 2.9% | ||||||||
22,073 | iShares GSCI Commodity Dynamic | $ | 709,205 | |||||
EQUITY - 28.3% | ||||||||
7,719 | iShares Currency Hedged MSCI Germany ETF(a) | 249,555 | ||||||
8,410 | iShares MSCI Emerging Markets ETF | 453,972 | ||||||
14,703 | SPDR S&P 500 ETF Trust | 6,135,563 | ||||||
6,839,090 | ||||||||
FIXED INCOME - 4.8% | ||||||||
10,625 | SPDR Bloomberg Barclays High Yield Bond ETF(a) | 1,160,356 | ||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $5,273,705) | 8,708,651 |
Principal | ||||||||||||||
Amount ($) | Coupon Rate (%) | Maturity | ||||||||||||
U.S. GOVERNMENT & AGENCIES — 44.0% | ||||||||||||||
U.S. TREASURY BILLS — 44.0% | ||||||||||||||
9,989,000 | United States Treasury Bill | 0.0047 | 06/17/21 | 9,988,938 | ||||||||||
397,000 | United States Treasury Bill(b) | 0.0047 | 06/24/21 | 396,997 | ||||||||||
255,000 | United States Treasury Bill(b) | 0.0147 | 09/09/21 | 254,986 | ||||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $10,640,814) | 10,640,921 | |||||||||||||
Shares | ||||||||||||||
SHORT-TERM INVESTMENTS — 11.6% | ||||||||||||||
MONEY MARKET FUNDS - 11.6% | ||||||||||||||
2,813,733 | Morgan Stanley Institutional Liquidity Funds -, Institutional Class, 0.03% (Cost $2,813,733)(c) | 2,813,733 | ||||||||||||
COLLATERAL FOR SECURITIES LOANED - 3.9% | ||||||||||||||
936,606 | Mount Vernon Prime Portfolio, 0.15% (Cost $936,606)(c),(d) | 936,606 |
Contracts(e) | Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | |||||||||||||||
FUTURE OPTIONS PURCHASED - 4.4% | ||||||||||||||||||||
CALL OPTIONS PURCHASED - 4.3% | ||||||||||||||||||||
6 | S&P 500 E-Mini, Expiring September 2021 | GS | 06/18/2021 | $ | 4,130 | $ | 1,239,000 | $ | 36,960 | |||||||||||
6 | S&P 500 E-Mini, Expiring December 2021 | GS | 09/17/2021 | 4,380 | 1,314,000 | 21,150 | ||||||||||||||
81 | US 10 Year Future, Expiring June 2021 | GS | 05/21/2021 | 120 | 9,720,000 | 974,536 | ||||||||||||||
TOTAL CALL OPTIONS PURCHASED (Cost - $1,235,798) | 1,032,646 |
See accompanying notes which are an integral part of these financial statements.
114
DUNHAM DYNAMIC MACRO FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
Contracts(e) | Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | ||||||||||||||
FUTURE OPTIONS PURCHASED - 4.4% (Continued) | |||||||||||||||||||
PUT OPTIONS PURCHASED – 0.1% | |||||||||||||||||||
13 | Euro-Bund Option, Expiring June 2021(f) | GS | 05/21/2021 | EUR | 195 | $ | 3,051,636 | $ | 27,113 | ||||||||||
TOTAL PUT OPTIONS PURCHASED (Cost - $0) | |||||||||||||||||||
TOTAL FUTURE OPTIONS PURCHASED (Cost - $1,235,798) | 1,059,759 | ||||||||||||||||||
TOTAL INVESTMENTS - 99.9% (Cost $20,900,656) | $ | 24,159,670 | |||||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.1% | 20,479 | ||||||||||||||||||
NET ASSETS - 100.0% | $ | 24,180,149 |
OPEN FUTURES CONTRACTS | ||||||||||||||
Number of | Unrealized Appreciation | |||||||||||||
Contracts | Open Long Futures Contracts | Expiration | Notional Amount | (Depreciation) | ||||||||||
15 | CBOT 10 Year US Treasury Note | 06/21/2021 | $ | 1,980,465 | $ | 4,714 | ||||||||
5 | CME E-mini Russell 2000 Index Futures | 06/18/2021 | 565,375 | (21,900 | ) | |||||||||
2 | CME E-Mini Standard & Poor’s 500 Index Future | 06/18/2021 | 417,440 | 10,759 | ||||||||||
1 | Eurex 10 Year Euro BUND Future | 06/08/2021 | 204,646 | (705 | ) | |||||||||
1 | Eurex DAX Index Future | 06/18/2021 | 456,481 | (1,415 | ) | |||||||||
1 | Euronext Amsterdam Index Future | 05/21/2021 | 169,522 | (1,240 | ) | |||||||||
5 | Euronext CAC 40 Index Future | 05/21/2021 | 374,141 | 6,521 | ||||||||||
13 | FTSE 100 Index Future | 06/18/2021 | 1,248,692 | 36,915 | ||||||||||
30 | Montreal Exchange 10 Year Canadian Bond Future | 06/21/2021 | 3,398,472 | (28,592 | ) | |||||||||
1 | Montreal Exchange S&P/TSX 60 Index Future | 06/17/2021 | 184,588 | 3,752 | ||||||||||
41 | SFE 10 Year Australian Bond Future | 06/15/2021 | 4,414,555 | 24,317 | ||||||||||
4 | SFE S&P ASX Share Price Index 200 Future | 06/17/2021 | 540,870 | 13,689 | ||||||||||
8 | TSE TOPIX (Tokyo Price Index) Future | 06/10/2021 | 1,391,702 | (29,133 | ) | |||||||||
TOTAL FUTURES CONTRACTS | $ | 17,682 | ||||||||||||
OPEN FUTURES CONTRACTS | ||||||||||||||
Number of | Unrealized Appreciation | |||||||||||||
Contracts | Open Short Futures Contracts | Expiration | Notional Amount | (Depreciation) | ||||||||||
3 | Eurex Swiss Market New Index Future | 06/18/2021 | $ | 362,085 | $ | 4,141 | ||||||||
1 | HKG Hang Seng Index Future | 05/28/2021 | 183,665 | 1,692 | ||||||||||
15 | Long Gilt Future | 06/28/2021 | 2,651,486 | 16,099 | ||||||||||
2 | MEFF Madrid IBEX 35 Index Future | 05/21/2021 | 212,050 | (1,727 | ) | |||||||||
TOTAL FUTURES CONTRACTS | $ | 20,205 |
ETF | Exchange-Traded Fund |
GS | Goldman Sachs |
(a) | All or a portion of these securities are on loan. Total loaned securities had a value of $916,848 April 30, 2021. |
(b) | All of this security is segregated as collateral for futures contracts. |
See accompanying notes which are an integral part of these financial statements.
115
DUNHAM DYNAMIC MACRO FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
April 30, 2021 |
(c) | Rate disclosed is the seven day effective yield as of April 30, 2021. |
(d) | The Trust’s securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%. |
(e) | Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security. |
(f) | Security traded on Eurex exchange and trades like a future. Security trades with no upfront cost and is mark to market like a future. |
See accompanying notes which are an integral part of these financial statements.
116
Dunham Long/Short Credit Fund (Unaudited) |
Message from the Sub-Adviser (MetLife Investment Advisors LLC) |
Asset Class Recap
Credit became a common point of discussion during the fiscal six-month period, as investors looked to the Fed to see how they may balance inflation concerns with a long-term implementation of eased monetary policy. The Fed stated that rates would remain low, monetary policy would remain eased, and its inflation target would be increased so that tightening actions would be postponed beyond the more commonplace thresholds for inflation. After the yield on the 10-year U.S. Treasury surged from 0.87 percent at the start of the fiscal year to more than 1.70 percent in March, interest rates generally stabilized, fluctuating within a range of 1.55 percent to 1.70 percent to close out the six-month period. The recent rise in interest rates sparked issues for longer duration bond sectors, such as investment-grade bonds, causing the ICE BofA U.S. Corporate Index to drop as much as 5.0 percent during the six-month period, before marginally recovering, finishing the overall period down 0.3 percent. High-yield bonds, boasting a lower duration on average, fared significantly better, with the ICE BofA U.S. Cash Pay High-Yield Index increasing 8.0 percent during the six-month period. Within the high-yield bond sector, CCC-rated bonds outperformed the broader high-yield bond market, increasing a staggering 18.8 percent, while BB-rated bonds increased 6.2 percent. Overall, interest rate risk was a meaningful theme for the bond world this fiscal period, hitting areas of the market generally deemed the safest, such as investment-grade corporate bonds, which were the most negatively impacted.
Allocation Review
The Sub-Adviser continued to approach new opportunities with caution. As the lowest quality areas of the bond market had made a remarkable recovery from the downturn at the start of the pandemic, the high-yield bond markets rise in excess of the pre-COVID-19 levels increased the Sub-Adviser’s risk-aversion. As the Sub-Adviser seeks to maintain an overall duration below one year, the heightened interest rate risk during the six-month period was muted for the Fund. This is primarily accomplished through a rate hedging strategy that accounted for approximately 40 percent of the Fund. The Sub-Adviser also maintained an approximate 20 percent allocation to the credit shorts, which help to reduce the overall credit risk exposure in the Fund by using total return SWAPs that seek to short the return of broad high-yield bond indices. In addition, the Sub-Adviser increased the Fund’s core long positions where the Sub-Adviser has comfort with the issuers’ fundamentals. The Sub-Adviser has also favored high-yield bonds within the opportunistic sub-strategy, as the record activity in the primary market has offered many attractive short-term opportunities. The opportunistic trading allocation accounted for almost 20 percent of the Fund during the six-month period, while the core long allocation also neared 20 percent.
Holdings Insights
Despite investment-grade bonds as a whole experiencing a drawdown, more than half of the Fund’s investment-grade holdings experienced positive returns during the six-month period ended April 30, 2021. The largest investment-grade corporate bond holdings in the Fund at the end of the six-month period were the HSBC Holdings plc perpetual bond (404280CN7) (holding weight*: 1.48 percent), the Boeing Company bond maturing in 2026 (097023DG7) (holding weight*: 1.33 percent), and the Ohio National Financial Services Inc. bond maturing in 2030 (67740QAH9) (holding weight*: 1.18 percent). The HSBC and Boeing bonds were added during the second fiscal quarter, while the Ohio National bond was held for the entire six-month period. All three of these investment-grade bonds experienced positive returns, increasing 1.2 percent, 0.1 percent, and 17.5 percent, respectively. The poorest investment-grade performer within the Fund during the entire six-month period was the Fresnillo plc bond maturing in 2050 (358070AB6) (holding weight*: 0.32 percent). The Fresnillo bond’s long duration detracted from its principal value as interest rates increased, causing the bond to drop 1.2 percent during the fiscal period.
Similar to other periods with positive overall performance, the Fund’s index level shorts detracted from relative performance during the six-month period. The primary holding in this strategy was the Fund’s short positions accessed via the SWAPs on the iBoxx USD Liquid High-Yield Index (IBOXHY) (holding notional weight*: -7.07 percent) and the CDX NA SWAP (CDX) (holding notional weight*: 5.98 percent), which generally tracks the inverse risk of a basket of bonds. During the six-month period, the IBOXHY increased 7.3 percent, detracting a similar amount to the Fund due to the short position accessed through the SWAPs. Similar to the inverse effect of the IBOXHY holding, the CDX NA holding detracted close to 1.6 percent during the same period.
The Fund continued to hold the Spectacle Gary Holdings LLC (aka Hard Rock Indiana) term loans (BL3172881) (holding weight*: 1.46 percent), the co-developer of the Hard Rock casino in northern Indiana. As the project dovetailed with the theme of reopening the economy and eventually returning to “normal”, the casino bonds increased 21.6 percent during the six-month period. Similarly, the Fund held the Mohegan Gaming & Entertainment bonds maturing in 2026 (608328BH2) (holding weight*: 0.89 percent), which is the first Native American-operated casino in Las Vegas. During the fiscal quarter, the Mohegan Gaming bonds increased 5.6 percent since being added to the Fund in mid-January. One of the largest holdings initiated during the six-month period was the United Airlines Inc. bond maturing in 2026 (90932LAG2) (holding weight*: 2.04 percent), which appreciated close to 3.9 percent since they were added during the second fiscal quarter.
Sub-Adviser Outlook
The Sub-Adviser believes that the backdrop at the end of the fiscal quarter has not changed much since the start of the year. It believes that valuations are stretched, but it also does not anticipate sharply wider spreads. The Sub-Adviser is cognizant that another rate spike and a pullback in equity markets are possible risks on the horizon, though neither are its base case. It also believes that corporate issuers are increasingly becoming less bondholder friendly, but that is likely a more idiosyncratic story at this point than a systemic one. As the Sub-Adviser’s views on the space are largely unchanged from the previous fiscal quarter, it anticipates maintaining a similar approach to the markets going forward – adding to core longs in attractive high-yield situations and looking for dislocations that it can express through pair trades, while remaining active in rotating its opportunistic exposure.
* | Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 4/30/2021. |
Growth of $100,000 Investment
Total Returns (a) as of April 30, 2021 | ||||
Annualized | Annualized | |||
Six Months | One Year | Five Years | Ten Years | |
Class N | 3.09% | 7.02% | 7.42% | 4.68% |
Class A with load of 5.75% | (2.93)% | 0.68% | 5.90% | 3.81% |
Class A without load | 2.98% | 6.79% | 7.17% | 4.43% |
Class C | 2.61% | 6.01% | 6.37% | 3.64% |
BofA Merrill Lynch US 3-Month Treasury Bill Index +3 | 1.53% | 3.11% | 4.18% | 3.63% |
Morningstar Nontraditional Bond Category | 4.64% | 10.87% | 3.47% | 2.34% |
(a) | Total Returns are calculated based on traded NAVs. |
The BofA Merrill Lynch US 3-Month Treasury Bill Index + 3% is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled in a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. Plus an annualized return of 3%.
The Morningstar Nontraditional Bond Category is generally representative of mutual funds that deploy absolute return strategies, strategies that are low-correlated to the overall bond market, and strategies that take long and short market and security-level positions.
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 1.45% for Class N, 2.45% for Class C and 1.70% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an 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
117
DUNHAM LONG/SHORT CREDIT FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 0.0%(a) | ||||||||
TELECOMMUNICATIONS - 0.0%(a) | ||||||||
10,000 | NII Holdings, Inc. 144A(b),(c) | $ | 21,700 | |||||
TOTAL COMMON STOCKS (Cost $57,730) | 21,700 | |||||||
PREFERRED STOCKS — 2.5% | ||||||||
REAL ESTATE SERVICES - 1.1% | ||||||||
2,000 | UIRC-GSA International, LLC 144A(b),(c) | 2,060,000 | ||||||
SPECIALTY FINANCE - 1.4% | ||||||||
102,000 | KKR Real Estate Finance Trust, Inc.(b) | 2,629,560 | ||||||
TOTAL PREFERRED STOCKS (Cost $4,550,000) | 4,689,560 |
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | |||||||||||||
CORPORATE BONDS — 45.4% | ||||||||||||||||
AEROSPACE & DEFENSE — 1.3% | ||||||||||||||||
2,500,000 | Boeing Company (The) | 2.1960 | 02/04/26 | 2,503,049 | ||||||||||||
ASSET MANAGEMENT — 1.5% | ||||||||||||||||
1,500,000 | Investcorp Credit Management BDC, Inc. | 4.8750 | 04/01/26 | 1,505,923 | ||||||||||||
1,330,000 | UBS Group A.G.(c),(d) | H15T5Y + 33.130% | 4.3750 | 08/10/69 | 1,328,351 | |||||||||||
2,834,274 | ||||||||||||||||
AUTOMOTIVE — 0.5% | ||||||||||||||||
1,010,000 | General Motors Financial Company, Inc.(e) | ICE LIBOR USD 3 Month + 1.550% | 1.7360 | 01/14/22 | 1,018,607 | |||||||||||
BANKING — 5.8% | ||||||||||||||||
2,740,000 | HSBC Holdings plc(d) | US Treasury Yield 5 Year + 3.649% | 4.6000 | 06/17/69 | 2,777,676 | |||||||||||
2,005,000 | JPMorgan Chase & Company(e) | ICE LIBOR USD 3 Month + 0.550% | 0.7300 | 02/01/27 | 1,929,240 | |||||||||||
2,595,000 | NTC Capital II(e) | US0003M + 0.590% | 0.7740 | 04/15/27 | 2,514,176 |
See accompanying notes which are an integral part of these financial statements.
118
DUNHAM LONG/SHORT CREDIT FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
CORPORATE BONDS — 45.4% (Continued) | ||||||||||||||||
BANKING — 5.8% (Continued) | ||||||||||||||||
1,870,000 | VersaBank(c) | CDOR03 + 3.610% | 5.0000 | 05/01/31 | $ | 1,870,000 | ||||||||||
1,000,000 | Wachovia Capital Trust II(c),(e) | ICE LIBOR USD 3 Month + 0.500% | 0.6840 | 01/15/27 | 960,906 | |||||||||||
795,000 | Wells Fargo & Company(d) | 5.9500 | 12/01/86 | 1,059,733 | ||||||||||||
11,111,731 | ||||||||||||||||
BIOTECH & PHARMA — 3.9% | ||||||||||||||||
1,350,000 | AstraZeneca plc | 6.4500 | 09/15/37 | 1,941,363 | ||||||||||||
1,000,000 | Organon Finance 1, LLC(c) | 4.1250 | 04/30/28 | 1,025,740 | ||||||||||||
2,000,000 | Organon Finance 1, LLC(c),(d) | 5.1250 | 04/30/31 | 2,077,701 | ||||||||||||
1,500,000 | P&L Development, LLC / PLD Finance Corporation(c) | 7.7500 | 11/15/25 | 1,598,205 | ||||||||||||
575,000 | Takeda Pharmaceutical Company Ltd. | 5.0000 | 11/26/28 | 683,995 | ||||||||||||
7,327,004 | ||||||||||||||||
CABLE & SATELLITE — 0.8% | ||||||||||||||||
1,500,000 | LCPR Senior Secured Financing DAC(c) | 5.1250 | 07/15/29 | 1,540,785 | ||||||||||||
FOOD — 2.0% | ||||||||||||||||
1,250,000 | Del Monte Foods, Inc.(c) | 11.8750 | 05/15/25 | 1,426,188 | ||||||||||||
500,000 | Kraft Heinz Foods Company | 4.2500 | 03/01/31 | 551,628 | ||||||||||||
700,000 | Kraft Heinz Foods Company | 5.0000 | 06/04/42 | 808,883 | ||||||||||||
890,000 | Smithfield Foods, Inc.(c) | 2.6500 | 10/03/21 | 897,070 | ||||||||||||
3,683,769 | ||||||||||||||||
INSTITUTIONAL FINANCIAL SERVICES — 2.2% | ||||||||||||||||
1,150,000 | Goldman Sachs Capital I(d) | 6.3450 | 02/15/34 | 1,581,462 | ||||||||||||
2,500,000 | LPL Holdings, Inc.(c) | 4.0000 | 03/15/29 | 2,500,000 | ||||||||||||
4,081,462 | ||||||||||||||||
INSURANCE — 3.8% | ||||||||||||||||
2,155,000 | Mutual of Omaha Insurance Company(c) | ICE LIBOR USD 3 Month + 2.640% | 4.2970 | 07/15/54 | 2,251,832 | |||||||||||
1,980,000 | Ohio National Financial Services, Inc.(c) | 5.5500 | 01/24/30 | 2,208,369 | ||||||||||||
1,000,000 | Pacific Life Insurance Company(c) | 9.2500 | 06/15/39 | 1,589,742 | ||||||||||||
1,000,000 | United Insurance Holdings Corporation | 6.2500 | 12/15/27 | 1,033,732 | ||||||||||||
7,083,675 | ||||||||||||||||
LEISURE FACILITIES & SERVICES — 0.9% | ||||||||||||||||
1,650,000 | Mohegan Gaming & Entertainment(c),(d) | 8.0000 | 02/01/26 | 1,676,730 |
See accompanying notes which are an integral part of these financial statements.
119
DUNHAM LONG/SHORT CREDIT FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
CORPORATE BONDS — 45.4% (Continued) | ||||||||||||||||
METALS & MINING — 3.1% | ||||||||||||||||
1,500,000 | First Quantum Minerals Ltd.(c),(d) | 6.8750 | 10/15/27 | $ | 1,649,550 | |||||||||||
3,430,000 | FMG Resources August 2006 Pty Ltd.(c) | 4.3750 | 04/01/31 | 3,567,577 | ||||||||||||
605,000 | Fresnillo plc(c) | 4.2500 | 10/02/50 | 593,723 | ||||||||||||
5,810,850 | ||||||||||||||||
OIL & GAS PRODUCERS — 7.3% | ||||||||||||||||
1,715,000 | Diamondback Energy, Inc.(d) | 3.1250 | 03/24/31 | 1,732,647 | ||||||||||||
2,525,000 | Energean Israel Finance Ltd. | 5.8750 | 03/30/31 | 2,611,911 | ||||||||||||
3,500,000 | New Fortress Energy, Inc.(c) | 6.5000 | 09/30/26 | 3,576,213 | ||||||||||||
5,540,000 | WPX Energy, Inc.(d) | 5.7500 | 06/01/26 | 5,797,611 | ||||||||||||
13,718,382 | ||||||||||||||||
REAL ESTATE INVESTMENT TRUSTS — 1.0% | ||||||||||||||||
1,755,000 | Scentre Group Trust 2(c),(d) | US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.379% | 4.7500 | 09/24/80 | 1,862,494 | |||||||||||
SOFTWARE — 1.6% | ||||||||||||||||
3,000,000 | Twilio, Inc.(d) | 3.6250 | 03/15/29 | 3,062,520 | ||||||||||||
SPECIALTY FINANCE — 2.4% | ||||||||||||||||
1,405,000 | Finance of America Funding, LLC B(c) | 7.8750 | 11/15/25 | 1,457,688 | ||||||||||||
785,000 | GE Capital International Funding Company Unlimited(d) | 4.4180 | 11/15/35 | 903,243 | ||||||||||||
2,000,000 | Midcap Financial Issuer Trust(c) | 6.5000 | 05/01/28 | 2,074,959 | ||||||||||||
4,435,890 | ||||||||||||||||
TELECOMMUNICATIONS — 2.6% | ||||||||||||||||
1,750,000 | HC2 Holdings, Inc.(c) | 8.5000 | 02/01/26 | 1,729,735 | ||||||||||||
930,000 | Sprint Spectrum Company, LLC / Sprint Spectrum(c) | 5.1520 | 03/20/28 | 1,065,259 | ||||||||||||
2,000,000 | Telesat Canada / Telesat, LLC(c),(d) | 5.6250 | 11/06/26 | 2,015,440 | ||||||||||||
4,810,434 | ||||||||||||||||
TO BE CLASSIFIED — 0.7% | ||||||||||||||||
1,255,000 | Blackstone / GSO Secured Lending Fund(c),(d) | 3.6250 | 01/15/26 | 1,322,639 | ||||||||||||
TRANSPORTATION & LOGISTICS — 4.0% | ||||||||||||||||
1,500,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd.(c),(d) | 5.7500 | 04/20/29 | 1,609,125 | ||||||||||||
1,941,000 | United Airlines 2020-1 Class B Pass Through Trust Series 2020-1 B | 4.8750 | 01/15/26 | 2,051,889 |
See accompanying notes which are an integral part of these financial statements.
120
DUNHAM LONG/SHORT CREDIT FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon Rate | |||||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||||
CORPORATE BONDS — 45.4% (Continued) | ||||||||||||||||
TRANSPORTATION & LOGISTICS — 4.0% (Continued) | ||||||||||||||||
3,680,000 | United Airlines, Inc.(c),(d) | 4.3750 | 04/15/26 | $ | 3,823,409 | |||||||||||
7,484,423 | ||||||||||||||||
TOTAL CORPORATE BONDS (Cost $82,901,407) | 85,368,718 | |||||||||||||||
NON U.S. GOVERNMENT & AGENCIES — 0.6% | ||||||||||||||||
SOVEREIGN — 0.6% | ||||||||||||||||
645,000 | Colombia Government International Bond(d) | 3.2500 | 04/22/32 | 633,190 | ||||||||||||
450,000 | Colombia Government International Bond | 4.1250 | 02/22/42 | 441,675 | ||||||||||||
1,074,865 | ||||||||||||||||
TOTAL NON U.S. GOVERNMENT & AGENCIES (Cost $1,081,987) | 1,074,865 | |||||||||||||||
TERM LOANS — 2.4% | ||||||||||||||||
LEISURE FACILITIES & SERVICES — 2.4% | ||||||||||||||||
1,650,000 | Enterprise Development Authority (The)(e) | US0001M - –% | 5.0000 | 02/19/28 | 1,656,188 | |||||||||||
2,502,703 | Spectacle Gary Holdings, LLC(e) | ICE LIBOR USD 1 Month + 9.000% | 9.1072 | 11/07/25 | 2,740,459 | |||||||||||
182,297 | Spectacle Gary Holdings, LLC(e) | ICE LIBOR USD 1 Month + 9.000% | 9.1072 | 11/07/25 | 199,616 | |||||||||||
4,596,263 | ||||||||||||||||
TOTAL TERM LOANS (Cost $4,227,866) | 4,596,263 | |||||||||||||||
U.S. GOVERNMENT & AGENCIES — 41.8% | ||||||||||||||||
U.S. TREASURY BILLS — 29.2% | ||||||||||||||||
17,290,000 | United States Treasury Bill(e) | 0.0013 | 05/13/21 | 17,290,012 | ||||||||||||
17,290,000 | United States Treasury Bill(e) | 0.0062 | 06/17/21 | 17,289,892 | ||||||||||||
20,490,000 | United States Treasury Bill(e) | 0.0062 | 07/22/21 | 20,489,544 | ||||||||||||
55,069,448 |
See accompanying notes which are an integral part of these financial statements.
121
DUNHAM LONG/SHORT CREDIT FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||||
U.S. GOVERNMENT & AGENCIES — 41.8% (Continued) | ||||||||||||||
U.S. TREASURY NOTES — 12.6% | ||||||||||||||
900,000 | United States Treasury Note | 0.7500 | 04/30/26 | $ | 895,395 | |||||||||
8,330,000 | United States Treasury Note(d) | 1.6250 | 11/15/50 | 7,115,642 | ||||||||||
6,095,000 | United States Treasury Note | 0.7500 | 03/31/26 | 6,068,811 | ||||||||||
10,150,000 | United States Treasury Note(d) | 1.1250 | 02/15/31 | 9,687,699 | ||||||||||
23,767,547 | ||||||||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $78,961,251) | 78,836,995 | |||||||||||||
Shares | ||||||||||||||
SHORT-TERM INVESTMENTS — 2.5% | ||||||||||||||
MONEY MARKET FUNDS - 2.5% | ||||||||||||||
4,639,298 | First American Government Obligations Fund, Class X, 0.03% (Cost $4,639,298)(f) | 4,639,298 | ||||||||||||
COLLATERAL FOR SECURITIES LOANED - 17.3% | ||||||||||||||
32,708,745 | Mount Vernon Prime Portfolio, 0.11% (Cost $32,708,745)(f)(h) | 32,708,745 | ||||||||||||
TOTAL INVESTMENTS - 112.5% (Cost $209,128,284) | $ | 211,936,144 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (12.5)% | (23,496,806 | ) | ||||||||||||
NET ASSETS - 100.0% | $ | 188,439,338 |
OPEN FUTURES CONTRACTS | |||||||||||||||
Unrealized | |||||||||||||||
Number of | Appreciation | ||||||||||||||
Contracts | Open Short Futures Contracts | Expiration | Notional Amount(g) | (Depreciation) | |||||||||||
186 | CBOT 10 Year US Treasury Note | 06/21/2021 | $ | 24,557,766 | $ | 398,969 | |||||||||
104 | CBOT 5 Year US Treasury Note | 06/30/2021 | 12,889,552 | 79,823 | |||||||||||
33 | CBOT US Long Bond Future | 06/21/2021 | 5,189,250 | 112,728 | |||||||||||
46 | CME Ultra Long Term US Treasury Bond Future | 06/21/2021 | 8,551,676 | (8,207 | ) | ||||||||||
TOTAL FUTURES CONTRACTS | $ | 583,313 |
See accompanying notes which are an integral part of these financial statements.
122
DUNHAM LONG/SHORT CREDIT FUND |
SCHEDULE OF FUTURES CONTRACTS (Unaudited) (Continued) |
April 30, 2021 |
CREDIT DEFAULT SWAP AGREEMENTS | |||||||||||||||||||||||
Description | Counterparty | Fixed Deal (Pay) Rate | Maturity Date | Notional Value | Fair Value | Amortized Upfront Payments Paid | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
CDX NA SWAP | JP Morgan | 1.00 | % | 6/20/2024 | $ | 1,000,000 | (19,188 | ) | (13,219 | ) | $ | (5,969 | ) | ||||||||||
CDX NA SWAP | US Bank | 1.00 | % | 12/20/2024 | 10,000,000 | (191,885 | ) | (130,567 | ) | (61,318 | ) | ||||||||||||
COMMONWEALTH OF AUSTRALIA | US Bank | 1.00 | % | 12/20/2023 | 2,000,000 | (37,575 | ) | (8,811 | ) | (28,764 | ) | ||||||||||||
D.R. HORTON INC | US Bank | 1.00 | % | 3/20/2025 | 3,000,000 | (84,157 | ) | (78,995 | ) | (5,162 | ) | ||||||||||||
FISERV | Barclays | 1.00 | % | 12/20/2025 | 5,000,000 | (161,333 | ) | (202,442 | ) | 41,109 | |||||||||||||
JOHNSON & JOHNSON(i) | Barclays | 1.00 | % | 12/20/2025 | (5,000,000 | ) | 192,473 | 202,442 | (9,969 | ) | |||||||||||||
UNITED RENTALS | JP Morgan | 1.00 | % | 6/20/2022 | 3,000,000 | (163,434 | ) | (157,687 | ) | (5,747 | ) | ||||||||||||
VERIZON COMMUNICATIONS(i) | Barclays | 1.00 | % | 7/20/2022 | (3,000,000 | ) | 25,772 | 14,933 | 10,839 | ||||||||||||||
KRAFT HEINZ FOOD | JP Morgan | 1.00 | % | 6/20/2023 | 2,000,000 | (32,839 | ) | (31,954 | ) | (885 | ) | ||||||||||||
KRAFT HEINZ FOOD(i) | Goldman Sachs | 1.00 | % | 12/20/2023 | (2,000,000 | ) | 34,676 | 14,987 | 19,689 | ||||||||||||||
NEWELL BRANDS | Goldman Sachs | 1.00 | % | 12/20/2023 | 2,000,000 | 34,057 | 22,030 | 12,027 | |||||||||||||||
NEWELL BRANDS(i) | JP Morgan | 1.00 | % | 6/20/2023 | (2,000,000 | ) | (35,894 | ) | (32,614 | ) | (3,280 | ) | |||||||||||
TOTAL | $ | (37,430 | ) |
TOTAL RETURN SWAPS | ||||||||||||||
Unrealized | ||||||||||||||
Description | Counterparty | Notional Value | Variable Rate | Maturity Date | Depreciation | |||||||||
iBoxx USD Liquid High Yield Index | US Bank | $ | 5,000,000 | 3 mo LIBOR + 0.00% | 8/1/2024 | $ | (89,635 | ) | ||||||
iBoxx USD Liquid High Yield Index | US Bank | 8,000,000 | 3 mo LIBOR + 0.00% | 8/1/2024 | (177,319 | ) | ||||||||
TOTAL | $ | (266,954 | ) |
LIBOR | - London Inter-bank Offered Rate |
LLC | - Limited Liability Company |
LTD | - Limited Company |
PLC | - Public Limited Company |
REIT | - Real Estate Investment Trust |
BAR | Barclays |
JPM | JP Morgan |
JPMC | JP Morgan |
USB | US Bank |
(a) | Percentage rounds to less than 0.1%. |
(b) | Non-income producing security. |
(c) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of April 30, 2021 the total market value of 144A securities is 51,381,130 or 27.3% of net assets. |
(d) | All or a portion of these securities are on loan. Total loaned securities had a value of $32,029,420 at April 30, 2021. |
(e) | Variable rate security; the rate shown represents the rate on April 30, 2021. |
(f) | Rate disclosed is the seven day effective yield as of April 30, 2021. |
See accompanying notes which are an integral part of these financial statements.
123
DUNHAM LONG/SHORT CREDIT FUND |
SCHEDULE OF FUTURES CONTRACTS (Unaudited) (Continued) |
April 30, 2021 |
(g) | The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund’s futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund. |
(h) | 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%. |
(i) | If the Fund is a seller of protection and if a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising of the referenced index. |
Portfolio Composition * - (Unaudited) | ||||
Corporate Bonds | 40.3 | % | ||
U.S. Government & Agencies | 37.2 | % | ||
Collateral for Securities Loaned | 15.4 | % | ||
Preferred Stocks | 2.2 | % | ||
Short-Term Investment | 2.2 | % | ||
Term Loans | 2.2 | % | ||
Non U.S. Government & Agencies | 0.5 | % | ||
Common Stocks | 0.0 | % | ||
Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2021 | |
Percentage may differ from Schedule of Investments which are based on Fund net assets. |
See accompanying notes which are an integral part of these financial statements.
124
Dunham Monthly Distribution Fund (Unaudited) |
Message from the Sub-Adviser (Grantham, Mayo, Van Otterloo & Co., LLC) |
Asset Class Recap
As the vaccine rollout provided optimism that a full reopening of the economy may be on the horizon, markets broadly rallied and volatility generally subsided. The S&P 500 Index surged almost 29 percent during the six-month period ended April 30, 2021, and implied volatility, as measured by the CBOE Volatility Index, calmed from a reading of 38.0 at the beginning of the fiscal year to 18.6 at the end of April. While there is still a bevy of uncertainty regarding the various paths and tactics the United States and other countries will follow to eventually “return to normal,” corporations around the globe have continued to adapt and seize opportunities. This has included an increase in mergers and acquisitions, where some cash-rich mega-caps have sought to improve their positioning through the acquisition of relatively smaller peers. Higher stock prices have also led some companies to use their stock, or a combination of cash and stock, to take out competitors and/or seek synergies. During the six-month period, the event driven space, as measured by the Credit Suisse Event Driven Liquid Index, surged 21.8 percent. Dissecting the space and looking solely at the merger arbitrage segment, as measured by the Credit Suisse Merger Arbitrage Liquid Index, the returns were meaningful but lower, up 9.0 percent. This massive difference in performance is due to the broader scope of the event driven space, which includes other types of activities outside of mergers and acquisitions, including activities such as share class arbitrage, stock buybacks, spin-offs, and special purpose acquisition companies (SPACs). The SPACs saw a massive surge in media coverage as their usage to bring companies public drew attention and they began trading at large premiums. SPACs, as measured by the IPOX SPAC Index, leaped 84.3 percent between the beginning of the fiscal year and mid-February. Then, as the practice was met with scrutiny and some SPACs saw declines, the broad index of SPACs fell 22.5 percent. Market neutral strategies, as measured by the IQ Hedge Market Neutral Total Return Index, returned 4.8 percent during the fiscal quarter.
Allocation Review
The most recent fiscal quarter saw a significant shift in the strategy allocation within the Fund, as a change in the Sub-Adviser resulted in the Fund having a much higher exposure to the merger arbitrage strategy in April than it did in November through March. This is primarily due to the new Sub-Adviser’s focus on event driven opportunities as opposed to suppressing the merger arbitrage exposure to accommodate sizable allocations to other long/short equity strategies. Therefore, the Fund’s performance in the first five months of the fiscal year was meaningfully influenced by factors outside of the event driven landscape, while April’s performance was almost completely dictated by movements in mergers and acquisitions and share class arbitrage. Almost 90 percent of the event driven exposure in the Fund was allocated to active mergers and acquisitions and the approximate 10 percent remaining was allocated to share class arbitrage. In regard to a deal-type breakdown, the Fund ended the period with a balance across merger payment types, with the approximate 20 active mergers allocated across stock-only deals, cash-only deals, and cash/stock combination deals. The Sub-Adviser has implemented short positions for each of the acquiring firms’ stock components in order to isolate the exposure to the current deal premium. The Fund did not have any derivatives exposure in April but did have exposure to SWAPs, including basket SWAPs earlier in the fiscal year, but the overall exposure represented close to 3 percent of the Fund’s assets. Therefore, the exposure to the SWAPs and options contracts had a minimal impact on the Fund’s performance during the six-month period.
Holdings Insights
Although some mergers are completed within a few months of their announcement, many mergers and acquisitions will persist for quarters as an active deal as approvals are sought from not only shareholders but also from regulatory authorities, which may involve special concessions. This is particularly prevalent in cross-border deals as well as mergers and acquisitions within the same industry, where anti-trust concerns may arise. Mergers that were present in the Fund at the beginning of the fiscal year that are still active as of the end of April are the insurance-related acquisition of Willis Towers Watson PLC (WLTW) (holding weight*: 6.73 percent) by Aon PLC (AON) (holding weight*: -7.05 percent), the semiconductor-related acquisitions of Xilinx Inc. (XLNX) (holding weight*: 4.56 percent) by Advanced Micro Devices Inc. (AMD) (holding weight*: -5.02 percent) and Maxim Integrated Products Inc. (MXIM) (holding weight*: 4.60 percent) by Analog Devices Inc. (ADI) (holding weight*: -4.70 percent) . In all three of these acquisitions, the acquirer is using its stock to finance the deal as opposed to paying a set level of cash. Therefore, the Sub-Adviser has maintained a short position in the acquirers’ stocks proportionate to the deal terms. As an example, during the six-month period, WLTW increased 27.9 percent and AON increased 24.1 percent. Since the Fund had a long position in WLTW and a short position in AON, the difference of approximately 3.8 percent was the return experienced by the Fund.
The Fund held one cash deal at the end of the six-month period that was in place since the start of the fiscal year, the electric utility-related acquisition of PNM Resources Inc. (PNM) (holding weight*: 4.39 percent) by Avangrid, Inc. (AGR) (holding weight*: not held). As a cash-only offer of $50.3 per share, there is no need to short the acquiring firm to isolate the deal premium. During the six-month period, PNM traded flat and remained close to a 2 percent gross premium. A more recently added cash-only deal was the aerospace-related acquisition of Aerojet Rocketdyne Holdings Inc. (AJRD) (holding weight*: 4.28 percent) by Lockheed Martin Corporation (LMT) (holding weight*: not held). The $ 51 per share cash offer for AJRD began February with a premium of over 8.3 percent and ended April with a premium of 9.2 percent. This expansion in the premium is due to the Fund’s holding in AJRD depreciating 2.5 percent since it was added through the end of April.
More recent activity in the Fund included the share class arbitrage opportunity between Royal Dutch Shell PLC B-shares (RDS/B) (holding weight*: 3.89 percent) and Royal Dutch Shell PLC A-shares (RDS/A) (holding weight*: - 3.86 percent). The historical spread between these share classes has approached its widest level in more than a decade, but was at 6.5 percent at the beginning of April when it was initiated into the Fund. Since being added to the Fund, that spread has contracted to 6.1 percent, providing an overall positive benefit to the Fund’s positioning.
Sub-Adviser Outlook
The Sub-Adviser is optimistic regarding the availability of numerous mergers and acquisitions that it finds attractive on a risk/reward basis. Therefore, the Sub-Adviser anticipates that mergers and acquisition exposure in the Fund will remain significantly higher than other event driven strategies at its disposal. As the Sub-Adviser is highly sensitive to risk, it has not only managed the sizing of Fund’s exposure to each deal, but is also keeping an eye on regulators as many have voiced concern regarding potential anti-trust concerns in the technology space, which could cause both disruptions and new opportunities.
* | Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 4/30/2021. |
Growth of $100,000 Investment
Total Returns (a) as of April 30, 2021 | ||||
Annualized | Annualized | |||
Six Months | One Year | Five Years | Ten Years | |
Class N | 4.98% | 6.93% | 3.27% | 2.89% |
Class A with load of 5.75% | (1.16)% | 0.55% | 1.80% | 2.03% |
Class A without load | 4.86% | 6.68% | 3.02% | 2.63% |
Class C | 4.47% | 5.86% | 2.24% | 1.86% |
IQ Hedge Market Neutral Total Return Index | 4.84% | 9.19% | 3.12% | 2.60% |
Morningstar Event Driven Category | 10.06% | 15.51% | 5.54% | 3.92% |
(a) | Total Returns are calculated based on traded NAVs. |
IQ Hedge Market Neutral Total Return Index seeks to replicate the risk-adjusted return characteristics of the collective hedge funds using a market neutral hedge fund investment style. Market Neutral hedge funds typically invest in both long and short positions in asset classes while minimizing exposure to systematic risk.
The Morningstar Event Driven Category is generally representative of mutual funds that primarily employ strategies that seek to profit from corporate actions, such as mergers and acquisitions. Mutual funds in this category typically focus on equity securities but can invest across the capital structure. However, they typically have low to moderate equity market sensitivity since company-specific developments tend to drive security prices.
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 2.22% for Class N, 3.22% for Class C and 2.47% 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.
125
DUNHAM MONTHLY DISTRIBUTION FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
April 30, 2021 |
Shares | Fair Value | |||||||
CLOSED END FUNDS — 2.0% | ||||||||
EQUITY - 2.0% | ||||||||
316,240 | Altaba, Inc.(a) | $ | 4,585,480 | |||||
TOTAL CLOSED END FUNDS (Cost $5,583,100) | 4,585,480 | |||||||
COMMON STOCKS — 78.7% | ||||||||
AEROSPACE & DEFENSE - 4.4% | ||||||||
217,130 | Aerojet Rocketdyne Holdings, Inc. | 10,144,314 | ||||||
BIOTECH & PHARMA - 7.4% | ||||||||
41,795 | Alexion Pharmaceuticals, Inc.(a) | 7,049,981 | ||||||
46,810 | GW Pharmaceuticals plc - ADR(a) | 10,251,390 | ||||||
17,301,371 | ||||||||
CABLE & SATELLITE - 3.2% | ||||||||
45,332 | Liberty Broadband Corporation - Series C(a) | 7,376,423 | ||||||
ELECTRIC UTILITIES - 4.5% | ||||||||
210,976 | PNM Resources, Inc. | 10,413,775 | ||||||
ENTERTAINMENT CONTENT - 2.6% | ||||||||
186,059 | Discovery, Inc. - Series C(a) | 6,011,566 | ||||||
HEALTH CARE FACILITIES & SERVICES - 7.7% | ||||||||
150,833 | PPD, Inc.(a) | 6,968,485 | ||||||
65,589 | PRA Health Sciences, Inc.(a) | 10,946,147 | ||||||
17,914,632 | ||||||||
INSURANCE - 6.9% | ||||||||
61,643 | Willis Towers Watson plc | 15,956,907 | ||||||
INTERNET MEDIA & SERVICES - 2.1% | ||||||||
71,315 | Grubhub, Inc.(a) | 4,852,273 |
See accompanying notes which are an integral part of these financial statements.
126
DUNHAM MONTHLY DISTRIBUTION FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 78.7% (Continued) | ||||||||
OIL & GAS PRODUCERS - 3.9% | ||||||||
257,719 | Royal Dutch Shell plc, Class B - ADR | $ | 9,228,917 | |||||
RETAIL REIT - 0.3% | ||||||||
12,700 | VEREIT, Inc. | 607,568 | ||||||
SEMICONDUCTORS - 13.1% | ||||||||
23,282 | Coherent, Inc.(a) | 6,053,087 | ||||||
54,729 | Marvell Technology, Inc. | 2,474,287 | ||||||
116,003 | Maxim Integrated Products, Inc. | 10,904,282 | ||||||
84,465 | Xilinx, Inc. | 10,808,141 | ||||||
30,239,797 | ||||||||
SOFTWARE - 14.3% | ||||||||
454,804 | Change Healthcare, Inc.(a) | 10,437,752 | ||||||
174,978 | Nuance Communications, Inc.(a) | 9,303,580 | ||||||
320,286 | Slack Technologies, Inc., Class A(a) | 13,580,127 | ||||||
33,321,459 | ||||||||
TECHNOLOGY HARDWARE - 3.2% | ||||||||
127,000 | FLIR Systems, Inc. | 7,616,190 | ||||||
TECHNOLOGY SERVICES - 4.9% | ||||||||
105,322 | IHS Markit Ltd. | 11,330,541 | ||||||
TELECOMMUNICATIONS - 0.2% | ||||||||
205,893 | NII Holdings, Inc. 144A(a),(b) | 411,786 | ||||||
TOTAL COMMON STOCKS (Cost $175,191,771) | 182,727,519 |
See accompanying notes which are an integral part of these financial statements.
127
DUNHAM MONTHLY DISTRIBUTION FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
RIGHT — 0.0%(c) | ||||||||
10,079 | Alder BioPharmaceuticals, Inc. 144A | $ | 10,079 | |||||
TOTAL RIGHT (Cost $20,158) | 10,079 | |||||||
SHORT-TERM INVESTMENTS — 6.1% | ||||||||
MONEY MARKET FUNDS - 6.1% | ||||||||
14,085,034 | Fidelity Government Portfolio, Institutional Class, 0.01% (Cost $14,085,034)(d) | 14,085,034 | ||||||
TOTAL INVESTMENTS - 86.8% (Cost $194,880,063) | $ | 201,408,112 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 13.2% | 30,875,304 | |||||||
NET ASSETS - 100.0% | $ | 232,283,416 |
ADR | - American Depositary Receipt |
LTD | - Limited Company |
NV | - Naamioze Vennootschap |
PLC | - Public Limited Company |
REIT | - Real Estate Investment Trust |
(a) | Non-income producing security. |
(b) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of April 30, 2021, the total market value of 144A securities is 421,865 or 0.2% of net assets. |
(c) | Percentage rounds to less than 0.1%. |
(d) | Rate disclosed is the seven day effective yield as of April 30, 2021. |
See accompanying notes which are an integral part of these financial statements.
128
DUNHAM MONTHLY DISTRIBUTION FUND |
SCHEDULE OF SECURITIES SOLD SHORT (Unaudited) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — (45.3)% | ||||||||
AEROSPACE & DEFENSE - (1.8)% | ||||||||
(9,168 | ) | Teledyne Technologies, Inc. | $ | (4,104,972 | ) | |||
BIOTECH & PHARMA - (2.4)% | ||||||||
(88,448 | ) | AstraZeneca plc - ADR | (4,693,935 | ) | ||||
(5,482 | ) | Jazz Pharmaceuticals plc | (901,241 | ) | ||||
(5,595,176 | ) | |||||||
CABLE & SATELLITE - (3.3)% | ||||||||
(11,175 | ) | Charter Communications, Inc., Class A | (7,525,804 | ) | ||||
ENTERTAINMENT CONTENT - (2.6)% | ||||||||
(160,057 | ) | Discovery, Inc. - Series A | (6,027,746 | ) | ||||
HEALTH CARE FACILITIES & SERVICES - (2.5)% | ||||||||
(27,036 | ) | ICON plc | (5,865,460 | ) | ||||
INSURANCE - (7.2)% | ||||||||
(66,548 | ) | Aon plc, CLASS A | (16,732,829 | ) | ||||
OIL & GAS PRODUCERS - (3.9)% | ||||||||
(241,082 | ) | Royal Dutch Shell plc, Class A - ADR | (9,161,116 | ) | ||||
RETAIL - CONSUMER STAPLES - (2.1)% | ||||||||
(47,853 | ) | Just Eat Takeaway.com N.V. | (4,954,073 | ) | ||||
RETAIL REIT - (0.3)% | ||||||||
(9,000 | ) | Realty Income Corporation | (622,350 | ) | ||||
SEMICONDUCTORS - (11.7)% | ||||||||
(146,012 | ) | Advanced Micro Devices, Inc. | (11,917,500 | ) | ||||
(72,803 | ) | Analog Devices, Inc. | (11,150,507 | ) | ||||
(21,244 | ) | II-VI, Inc. | (1,426,322 | ) | ||||
(54,729 | ) | Marvell Technology, Inc. | (2,474,298 | ) | ||||
(26,968,627 | ) |
See accompanying notes which are an integral part of these financial statements.
129
DUNHAM MONTHLY DISTRIBUTION FUND |
SCHEDULE OF SECURITIES SOLD SHORT (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — (45.3)% (Continued) | ||||||||
SOFTWARE - (2.5)% | ||||||||
(24,835 | ) | salesforce.com, Inc. | $ | (5,719,997 | ) | |||
TECHNOLOGY SERVICES - (5.0)% | ||||||||
(29,883 | ) | S&P Global, Inc. | (11,666,025 | ) | ||||
TOTAL SECURITIES SOLD SHORT - (Proceeds - $100,347,222) | $ | (104,944,175 | ) |
Portfolio Composition * - (Unaudited) | ||||||||||
Technology | 41.0 | % | Industrials | 5.0 | % | |||||
Health Care | 17.5 | % | Energy | 4.6 | % | |||||
Communications | 9.3 | % | Closed-End Fund | 2.3 | % | |||||
Financials | 7.9 | % | Real Estate | 0.2 | % | |||||
Short-Term Investments | 7.0 | % | Rights | 0.0 | % | |||||
Utilities | 5.2 | % | Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2021 | |
Percentage may differ from Schedule of Investments which are based on Fund net assets. |
See accompanying notes which are an integral part of these financial statements.
130
Dunham Real Estate Stock Fund (Unaudited) |
Message from the Sub-Adviser (American Assets Capital Advisers, LLC) |
Asset Class Recap
Real estate stocks rebounded meaningfully over the fiscal six-month period after falling to close out the year. The rally in real estate was primarily driven by industries expected to benefit from the economy reopening. The retail and lodging industries led real estate higher, as individuals across the world began to shop and travel again. The drop in COVID cases, coupled with the mass distribution of COVID vaccinations across the country, eased lockdown restrictions. Additionally, a third round of fiscal stimulus led to more consumer spending, driving retail and leisure industries higher. All signs were pointing to a full reopening of the economy, with initial jobless claims and continuing jobless claims decreasing, leading to an overall decline in the unemployment rate. Real estate stocks, as represented by the Dow Jones US Real Estate Total Return Index, rose for the second consecutive fiscal quarter. Nearly all industries within the real estate sector rose with retail REITs, lodging REITs, storage REITS, and mortgage REITs posting strong gains. For the six-month fiscal period ended April 30, 2021, REITs rose 29.2 percent.
Allocation Review
As mentioned earlier, nearly all industries in the Dow Jones US Real Estate Total Return Index posted positive gains this quarter; however, some industries fared better than others. Retail REITs, lodging REITs, mortgage REITs, and real estate service companies gained the most, as pent-up demand to shop and travel drove returns higher. The Sub-Adviser does not have any direct exposure to the retail REIT sector, real estate services sector, or mortgage REIT sector, and has minimal exposure to the lodging REITs sector. The lack of exposure in these industries detracted from relative performance. The Fund did however participate in the reopening trade by having a large overweight to the casino & gambling sector, as a combination of in-person and online gambling led to strong gains. In addition to the casinos & gambling sector, strong stock selection within the diversified REIT sector contributed meaningfully to relative performance.
Holdings Insights
The largest contributor over the most recent fiscal quarter was Fortress Transportation and Infrastructure Investors, LLC (FTAI) (holding weight*: 8.29 percent), an owner and acquirer of high quality infrastructure and equipment assets with investments in the aviation, energy, intermodal transport and rail industries. FTAI rose 84.8 percent over the fiscal period, driven by strong sales and leasing of FTAI’s aviation assets. The Sub-Adviser is particularly optimistic regarding this segment of FTAI’s business, as the aviation leasing and sales space has what it considers to be monopolistic characteristics. The next largest contributor was Colony Capital, Inc. (CLNY) (holding weight*: 4.13 percent), rising 96.6 percent. CLNY is one of the largest owners and operators of digital real estate, with investments in data centers, macro cell towers, fiber networks, and small cell networks. CLNY benefitted from the work-from-home trend, as their investments play a critical role in the way people and businesses communicate electronically. Revenues soared, fueled by organic and acquisition growth. Another relative contributor was Innovative Industrial Properties, Inc. (IIPR) (holding weight*: 3.99 percent), a specialized REIT providing real estate capital to the medical-use cannabis industry. So far, 35 states plus the District of Columbia have adopted medical-use programs, with more states set to legalize the use of medical, and potentially recreational, cannabis in years to come. Also, investors believe that under the new administration, medical, and potentially recreational, cannabis may be legalized nationwide, which could contribute meaningfully to IIPR’s already rising revenue. Over the fiscal six-month period, IIPR rose 59.3 percent.
The largest detractor over the fiscal six-month period was CyrusOne, Inc. (CONE) (holding weigh*t*: 0.96 percent) . CONE is an owner and operator of more than 40 data centers across the world. The drop in CONE was primarily a result of lower than expected earnings and weak guidance in the latter half of 2021. The data center REIT also felt the effects of the rotation into higher risk, underperforming industries, such as shopping centers and lodging. The Sub-Adviser sold out of CONE in early March, after falling 9.5 percent. Another detractor during the period was Chinadata Group Holdings, Ltd. (CD) (holding weight*: 4.21 percent), a provider of carrier-neutral hyper scale data center solutions through China, India, and Southeast Asia. CD was also a victim of the recent sell-off in technology stocks; however, the threat of delisting on U.S. exchanges posed a more meaningful threat. CD and other Chinese companies dropped significantly on the news. In addition, it was reported that the Chinese government may gain access to their citizens’ user data, as technology companies may have to report this user data to the government as part of a potential regulatory requirement. CD fell 6.5 percent over the fiscal period.
Sub-Adviser Outlook
While the Sub-Adviser believes there is still growth in industries set to benefit from the reopening, such as retail, office space, and lodging, it believes that the longer-term outlook appears less attractive in these industries when compared to others. Instead, it believes that the longer-term outlook for industries such as gaming, data centers, and cell towers offer strong secular tailwinds for years to come. These industries by nature exhibit monopolistic characteristics, resulting in little competition, as high barriers to entry for new developers, coupled with high barriers to exit from tenants, give landlords in these industries leverage over their tenants. The Sub-Adviser will remain vigilant in its investment approach, looking for businesses operating in monopolistic markets where the number of suppliers are low and barriers to entry are high, coupled with positive secular demand drivers.
* | Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 4/30/2021. |
Growth of $100,000 Investment
Total Returns (a) as of April 30, 2021 | ||||
Annualized | Annualized | |||
Six Months | One Year | Five Years | Ten Years | |
Class N | 28.33% | 39.60% | 10.93% | 10.21% |
Class A with load of 5.75% | 20.77% | 31.24% | 9.35% | 9.29% |
Class A without load | 28.16% | 39.24% | 10.66% | 9.93% |
Class C | 27.71% | 38.22% | 9.82% | 9.11% |
Dow Jones US Real Estate Total Return Index | 29.16% | 33.64% | 9.27% | 9.11% |
Morningstar Real Estate Category | 32.90% | 38.40% | 7.83% | 8.41% |
(a) | Total Returns are calculated based on traded NAVs. |
The Dow Jones US Real Estate Total Return Index is designed to track the performance of real estate investment trusts (REITs) and other companies that invest directly or indirectly in real estate through development, management, or ownership, including property agencies.
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 1.20% for Class N, 2.20% for Class C and 1.45% 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
131
DUNHAM REAL ESTATE STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.0% | ||||||||
DATA CENTER REIT - 3.0% | ||||||||
4,107 | Equinix, Inc. | $ | 2,960,161 | |||||
INDUSTRIAL REIT - 8.7% | ||||||||
21,746 | Innovative Industrial Properties, Inc.(a) | 3,982,345 | ||||||
13,860 | Prologis, Inc. | 1,615,106 | ||||||
29,113 | Rexford Industrial Realty, Inc. | 1,617,227 | ||||||
23,396 | Terreno Realty Corporation | 1,509,510 | ||||||
8,724,188 | ||||||||
INFRASTRUCTURE REIT - 15.1% | ||||||||
34,040 | American Tower Corporation | 8,672,371 | ||||||
18,775 | Crown Castle International Corporation(a) | 3,549,602 | ||||||
9,013 | SBA Communications Corporation | 2,701,376 | ||||||
14,923,349 | ||||||||
LEISURE FACILITIES & SERVICES - 23.5% | ||||||||
107,194 | Caesars Entertainment, Inc.(a),(b) | 10,487,861 | ||||||
681,944 | Drive Shack, Inc.(b) | 2,325,429 | ||||||
111,236 | Hilton Grand Vacations, Inc.(b) | 4,956,676 | ||||||
24,585 | Las Vegas Sands Corporation | 1,506,077 | ||||||
5,307 | Marriott Vacations Worldwide Corporation(a) | 942,682 | ||||||
77,901 | MGM Resorts International(a) | 3,172,129 | ||||||
23,390,854 | ||||||||
MULTI ASSET CLASS REIT - 4.1% | ||||||||
587,716 | Colony Capital, Inc., Class A(a) | 4,114,012 | ||||||
OFFICE REIT - 4.0% | ||||||||
21,805 | Alexandria Real Estate Equities, Inc. | 3,948,886 | ||||||
RESIDENTIAL REIT - 9.0% | ||||||||
5,017 | AvalonBay Communities, Inc. | 963,264 | ||||||
8,510 | Camden Property Trust | 1,025,285 | ||||||
14,921 | Equity LifeStyle Properties, Inc. | 1,035,517 | ||||||
3,375 | Essex Property Trust, Inc. | 980,505 | ||||||
85,878 | Invitation Homes, Inc. | 3,010,883 | ||||||
6,090 | Sun Communities, Inc.(a) | 1,015,995 |
See accompanying notes which are an integral part of these financial statements.
132
DUNHAM REAL ESTATE STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.0% (Continued) | ||||||||
RESIDENTIAL REIT - 9.0% (Continued) | ||||||||
21,018 | UDR, Inc.(a) | $ | 976,286 | |||||
9,007,735 | ||||||||
SPECIALTY FINANCE - 8.3% | ||||||||
292,764 | Fortress Transportation and Infrastructure | 8,267,655 | ||||||
TECHNOLOGY SERVICES - 3.5% | ||||||||
4,134 | CoStar Group, Inc.(b) | 3,532,214 | ||||||
TELECOMMUNICATIONS - 19.8% | ||||||||
236,570 | 21Vianet Group, Inc. - ADR(b) | 6,602,669 | ||||||
318,020 | Chindata Group Holdings Ltd. - ADR(a),(b) | 4,194,684 | ||||||
46,954 | GDS Holdings Ltd. - ADR(a),(b) | 3,895,773 | ||||||
276,255 | Switch, Inc., Class A(a) | 5,130,055 | ||||||
19,823,181 | ||||||||
TOTAL COMMON STOCKS (Cost $75,165,548) | 98,692,235 | |||||||
COLLATERAL FOR SECURITIES LOANED - 22.6% | ||||||||
22,583,103 | Mount Vernon Prime Portfolio, 0.11% (Cost $22,583,103)(c)(d) | 22,583,103 | ||||||
TOTAL INVESTMENTS - 121.6% (Cost $97,748,651) | $ | 121,275,338 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (21.6)% | (21,539,790 | ) | ||||||
NET ASSETS - 100.0% | $ | 99,735,548 |
ADR | - American Depositary Receipt |
LTD | - Limited Company |
REIT | - Real Estate Investment Trust |
(a) | Non-income producing security. |
(b) | All or a portion of these securities are on loan. Total loaned securities had a value of $21,842,554 at April 30, 2021. |
(c) | Rate disclosed is the seven day effective yield as of April 30, 2021. |
(d) | The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%. |
See accompanying notes which are an integral part of these financial statements.
133
DUNHAM REAL ESTATE STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
April 30, 2021 |
Portfolio Composition * - (Unaudited) | ||||||||||
Real Estate | 36.0 | % | Communications | 16.3 | % | |||||
Consumer Discretionary | 19.3 | % | Financials | 6.8 | % | |||||
Collateral for Securities Loaned | 18.6 | % | Technology | 3.0 | % | |||||
Total | 100.0 | % |
* | Based on total value of investments as of April 30, 2021 | |
Percentage may differ from Schedule of Investments which are based on Fund net assets. |
See accompanying notes which are an integral part of these financial statements.
134
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) |
April 30, 2021 |
Dunham | Dunham | Dunham | ||||||||||||||||||||||||||
Corporate / | Dunham | Dunham | International | Dunham | Dunham | Focused | ||||||||||||||||||||||
Government | Floating Rate | High-Yield | Opportunity | Large Cap | Small Cap | Large Cap | ||||||||||||||||||||||
Bond Fund | Bond Fund | Bond Fund | Bond Fund | Value Fund | Value Fund | Growth Fund | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||
Investments in securities, at cost | $ | 105,357,239 | $ | 196,239,009 | $ | 107,258,943 | $ | 68,152,198 | $ | 97,991,889 | $ | 57,859,081 | $ | 110,982,480 | ||||||||||||||
Investments in securities, at value | $ | 105,662,314 | $ | 194,580,715 | $ | 110,988,209 | $ | 70,017,913 | $ | 141,843,508 | $ | 82,121,908 | $ | 218,546,297 | ||||||||||||||
Cash | 3,815,896 | 566,032 | 3,797,485 | 3,182,338 | 3,828,263 | 867,222 | 214,861 | |||||||||||||||||||||
Foreign currency, at value (cost $1,382,800) | — | — | — | 1,376,710 | — | — | — | |||||||||||||||||||||
Deposits with brokers (a) | — | — | — | 1,119,269 | — | — | — | |||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 21,510 | — | — | — | |||||||||||||||||||||
Unrealized appreciation on futures | — | — | — | 117,372 | — | — | — | |||||||||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | 48,769 | — | — | — | |||||||||||||||||||||
Receivable for securities sold | 423,877 | 4,183,944 | 577,225 | 507,152 | — | — | 1,113,963 | |||||||||||||||||||||
Interest and dividends receivable | 450,225 | 744,003 | 1,411,442 | 762,716 | 132,946 | 34,498 | 18,656 | |||||||||||||||||||||
Receivable for Fund shares sold | 2,375 | 39,991 | 2,691 | 159,441 | 116,614 | 66,605 | 120,202 | |||||||||||||||||||||
Prepaid expenses and other assets | 32,853 | 31,027 | 33,743 | 30,758 | 46,348 | 85,956 | 48,829 | |||||||||||||||||||||
Total Assets | 110,387,540 | 200,145,712 | 116,810,795 | 77,343,948 | 145,967,679 | 83,176,189 | 220,062,808 | |||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Payable for securities purchased | 2,211,633 | 13,377,225 | 799,000 | 1,116,567 | 738,365 | — | — | |||||||||||||||||||||
Payable for Fund shares redeemed | 27,768 | 18,640 | 134,111 | 10,592 | 21,599 | 13,017 | 62,583 | |||||||||||||||||||||
Payable to broker | — | — | — | 130,000 | — | — | — | |||||||||||||||||||||
Distributions payable | 458 | 4,135 | 5,624 | 125,778 | — | — | — | |||||||||||||||||||||
Payable upon return of securities loaned | 15,183,091 | 1,923,079 | 2,481,100 | 3,315,835 | 8,018,249 | 6,328,824 | 28,925,473 | |||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | 351,566 | — | — | — | |||||||||||||||||||||
Unrealized depreciation on futures | — | — | — | 142,034 | — | — | — | |||||||||||||||||||||
Premiums received on swap contracts | — | — | — | 82,548 | — | — | — | |||||||||||||||||||||
Payable to adviser | 37,958 | 108,353 | 56,081 | 34,850 | 71,808 | 40,113 | 100,900 | |||||||||||||||||||||
Payable to sub-adviser | 31,463 | 3,315 | 29,508 | 37,765 | 19,165 | 9,829 | 53,856 | |||||||||||||||||||||
Payable for distribution fees | 5,771 | 6,064 | 16,768 | 1,381 | 11,953 | 5,199 | 24,553 | |||||||||||||||||||||
Payable for administration fees | 47,551 | 63,015 | 41,033 | 17,400 | 32,394 | 18,634 | 39,604 | |||||||||||||||||||||
Payable for fund accounting fees | 5,970 | 13,185 | 9,941 | 4,894 | 8,868 | 5,016 | 12,927 | |||||||||||||||||||||
Payable for transfer agent fees | 500 | 1,250 | 1,250 | 1,000 | 1,000 | 3,865 | 1,253 | |||||||||||||||||||||
Payable for custody fees | 10,550 | 26,782 | 3,764 | 16,670 | 5,293 | 279 | 713 | |||||||||||||||||||||
Payable for third party administrative servicing fees | 903 | 1,384 | 925 | 1,140 | 1,556 | 1,387 | — | |||||||||||||||||||||
Payable for line of credit | — | — | — | — | — | — | 35,000 | |||||||||||||||||||||
Accrued expenses and other liabilities | 11,344 | 20,288 | 17,069 | 5,200 | 11,991 | 9,931 | 9,696 | |||||||||||||||||||||
Total Liabilities | 17,574,960 | 15,566,715 | 3,596,174 | 5,395,220 | 8,942,241 | 6,436,094 | 29,266,558 | |||||||||||||||||||||
Net Assets | $ | 92,812,580 | $ | 184,578,997 | $ | 113,214,621 | $ | 71,948,728 | $ | 137,025,438 | $ | 76,740,095 | $ | 190,796,250 | ||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||
Paid in capital | $ | 93,579,764 | $ | 198,186,185 | $ | 116,508,199 | $ | 71,194,817 | $ | 87,119,832 | $ | 54,251,227 | $ | 75,019,917 | ||||||||||||||
Accumulated earnings (loss) | (767,184 | ) | (13,607,188 | ) | (3,293,578 | ) | 753,911 | 49,905,606 | 22,488,868 | 115,776,333 | ||||||||||||||||||
Net Assets | $ | 92,812,580 | $ | 184,578,997 | $ | 113,214,621 | $ | 71,948,728 | $ | 137,025,438 | $ | 76,740,095 | $ | 190,796,250 | ||||||||||||||
Net Asset Value Per Share | ||||||||||||||||||||||||||||
Class N Shares: | ||||||||||||||||||||||||||||
Net Assets | $ | 80,007,183 | $ | 156,520,504 | $ | 95,198,065 | $ | 60,826,307 | $ | 110,606,595 | $ | 63,234,514 | $ | 143,289,467 | ||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 5,577,488 | 17,035,718 | 10,165,921 | 6,552,803 | 6,112,153 | 3,511,702 | 3,640,709 | |||||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 14.34 | $ | 9.19 | $ | 9.36 | $ | 9.28 | $ | 18.10 | $ | 18.01 | $ | 39.36 | ||||||||||||||
Class A Shares: | ||||||||||||||||||||||||||||
Net Assets | $ | 10,011,929 | $ | 21,164,112 | $ | 13,099,896 | $ | 9,703,084 | $ | 21,860,892 | $ | 10,674,075 | $ | 34,922,967 | ||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 698,906 | 2,305,895 | 1,384,040 | 1,055,960 | 1,214,569 | 602,737 | 911,456 | |||||||||||||||||||||
Net asset value and redemption price per share * | $ | 14.33 | $ | 9.18 | $ | 9.46 | $ | 9.19 | $ | 18.00 | $ | 17.71 | $ | 38.32 | ||||||||||||||
Front-end sales charge factor | 0.9550 | 0.9550 | 0.9550 | 0.9550 | 0.9425 | 0.9425 | 0.9425 | |||||||||||||||||||||
Offering price per share (Net asset value per share / front-end sales charge factor) | $ | 15.00 | $ | 9.61 | $ | 9.91 | $ | 9.62 | $ | 19.10 | $ | 18.79 | $ | 40.65 | ||||||||||||||
Class C Shares: | ||||||||||||||||||||||||||||
Net Assets | $ | 2,793,468 | $ | 6,894,381 | $ | 4,916,660 | $ | 1,419,337 | $ | 4,557,951 | $ | 2,831,506 | $ | 12,583,816 | ||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 196,431 | 750,728 | 527,795 | 158,575 | 266,816 | 185,824 | 355,430 | |||||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 14.22 | $ | 9.18 | $ | 9.32 | $ | 8.95 | $ | 17.08 | $ | 15.24 | $ | 35.40 |
* | 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. |
(a) | See Section 2k in the notes for the breakout by counterparty. |
See accompanying notes which are an integral part to these financial statements.
135
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) (Continued) |
April 30, 2021 |
Dunham | Dunham | |||||||||||||||||||||||||||
Dunham | Emerging | Dunham | Dunham | Dunham | Monthly | Dunham | ||||||||||||||||||||||
Small Cap | Markets | International | Dynamic Macro | Long/Short | Distribution | Real Estate | ||||||||||||||||||||||
Growth Fund | Stock Fund | Stock Fund | Fund | Credit Fund | Fund | Stock Fund | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||
Investments in securities, at cost | $ | 54,492,862 | $ | 96,084,755 | $ | 135,226,596 | $ | 20,900,656 | $ | 209,128,284 | $ | 194,880,063 | $ | 97,748,651 | ||||||||||||||
Investments in securities, at value | $ | 78,267,800 | $ | 122,860,835 | $ | 166,743,222 | $ | 24,159,670 | $ | 211,936,144 | $ | 201,408,112 | $ | 121,275,338 | ||||||||||||||
Cash | 1,252,727 | 2,547,974 | 2,826,355 | 1,041,824 | 7,229,097 | 8,322,927 | 1,023,780 | |||||||||||||||||||||
Foreign currency, at value (cost $242,690, $244,745, $70, and $31,382 respectively) | — | 237,657 | 247,378 | 838 | 1 | 31,585 | — | |||||||||||||||||||||
Deposit with brokers (a) | — | — | — | 364,122 | 1,190,718 | 132,383,640 | — | |||||||||||||||||||||
Unrealized appreciation on futures | — | — | — | 122,599 | 591,520 | — | — | |||||||||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | — | 83,664 | — | — | |||||||||||||||||||||
Premiums paid on swap contracts | — | — | — | — | 258,965 | — | — | |||||||||||||||||||||
Receivable for securities sold | 2,044,865 | — | 1,079,909 | — | 2,662,580 | 1,857,684 | 161,116 | |||||||||||||||||||||
Interest and dividends receivable | 208 | 179,430 | 811,872 | 2,183 | 941,380 | 100,820 | 2,288 | |||||||||||||||||||||
Receivable for Fund shares sold | 36,576 | 111,082 | 160,729 | 21,115 | 852,905 | 32,328 | — | |||||||||||||||||||||
Prepaid expenses and other assets | 70,142 | 36,436 | 47,595 | 35,868 | 41,550 | 40,884 | 35,096 | |||||||||||||||||||||
Total Assets | 81,672,318 | 125,973,414 | 171,917,060 | 25,748,219 | 225,788,524 | 344,177,980 | 122,497,618 | |||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Securities sold short (proceeds $100,347,222) | — | — | — | — | — | 104,944,175 | — | |||||||||||||||||||||
Cash overdraft for broker | — | — | — | 447,604 | — | — | — | |||||||||||||||||||||
Payable upon return of securities loaned | 791,706 | 1,790,237 | 7,007,102 | 936,606 | 32,708,745 | — | 22,583,103 | |||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | 2,634 | — | — | — | — | ||||||||||||||||||||||
Payable for securities purchased | 207,067 | 346,547 | 1,514,090 | 9,436 | 3,219,972 | 6,357,787 | — | |||||||||||||||||||||
Payable for Fund shares redeemed | 42,504 | 31,234 | 42,284 | 11,609 | 36,836 | 88,449 | 21,061 | |||||||||||||||||||||
Distributions Payable | — | — | — | — | 3,248 | 32,207 | 4,757 | |||||||||||||||||||||
Premiums received on swap contracts | — | — | — | — | 656,289 | — | — | |||||||||||||||||||||
Unrealized depreciation on swap contracts | — | — | — | — | 388,048 | — | — | |||||||||||||||||||||
Unrealized depreciation on futures | — | — | — | 84,712 | 8,207 | — | — | |||||||||||||||||||||
Payable for dividend on short sales | — | — | — | — | — | 36,568 | — | |||||||||||||||||||||
Payable to adviser | 42,742 | 65,069 | 87,065 | 12,752 | 98,048 | 122,629 | 51,767 | |||||||||||||||||||||
Payable to sub-adviser | 58,892 | 78,760 | 124,925 | 24,332 | 148,705 | 142,945 | 53,178 | |||||||||||||||||||||
Payable for distribution fees | 15,041 | 9,718 | 13,518 | 2,646 | 12,571 | 27,485 | — | |||||||||||||||||||||
Payable for administration fees | 20,338 | 32,740 | 53,455 | 15,285 | 46,761 | 57,194 | 21,849 | |||||||||||||||||||||
Payable for fund accounting fees | 5,408 | 8,145 | 13,267 | 1,878 | 12,695 | 16,301 | 6,200 | |||||||||||||||||||||
Payable for transfer agent fees | 3,950 | 1,000 | 500 | 2,636 | 1,250 | 1,250 | 597 | |||||||||||||||||||||
Payable for custody fees | 16,674 | 5,879 | 1,000 | 2,786 | 944 | — | 1,213 | |||||||||||||||||||||
Payable for third party administrative servicing fees | 1,998 | 132 | 6,162 | 1,148 | — | 6,517 | — | |||||||||||||||||||||
Accrued expenses and other liabilities | 13,991 | 8,318 | 1,789 | 14,640 | 6,867 | 61,057 | 18,345 | |||||||||||||||||||||
Total Liabilities | 1,220,311 | 2,377,779 | 8,867,791 | 1,568,070 | 37,349,186 | 111,894,564 | 22,762,070 | |||||||||||||||||||||
Net Assets | $ | 80,452,007 | $ | 123,595,635 | $ | 163,049,269 | $ | 24,180,149 | $ | 188,439,338 | $ | 232,283,416 | $ | 99,735,548 | ||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||
Paid in capital | $ | 45,865,657 | $ | 86,637,794 | $ | 112,881,081 | $ | 22,587,564 | $ | 183,056,710 | $ | 232,732,262 | $ | 73,386,046 | ||||||||||||||
Accumulated earnings (loss) | 34,586,350 | 36,957,841 | 50,168,188 | 1,592,585 | 5,382,628 | (448,846 | ) | 26,349,502 | ||||||||||||||||||||
Net Assets | $ | 80,452,007 | $ | 123,595,635 | $ | 163,049,269 | $ | 24,180,149 | $ | 188,439,338 | $ | 232,283,416 | $ | 99,735,548 | ||||||||||||||
Net Asset Value Per Share | ||||||||||||||||||||||||||||
Class N Shares: | ||||||||||||||||||||||||||||
Net Assets | $ | 54,856,277 | $ | 100,463,597 | $ | 132,212,371 | $ | 19,247,186 | $ | 161,080,261 | $ | 178,673,002 | $ | 81,827,575 | ||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 2,068,957 | 5,107,677 | 6,442,832 | 1,793,207 | 16,667,856 | 5,280,974 | 3,965,379 | |||||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 26.51 | $ | 19.67 | $ | 20.52 | $ | 10.73 | $ | 9.66 | $ | 33.83 | $ | 20.64 | ||||||||||||||
Class A Shares: | ||||||||||||||||||||||||||||
Net Assets | $ | 21,981,192 | $ | 19,501,385 | $ | 24,926,198 | $ | 3,788,492 | $ | 23,223,628 | $ | 32,147,073 | $ | 14,007,757 | ||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 888,291 | 1,015,475 | 1,223,891 | 355,722 | 2,408,770 | 989,906 | 674,145 | |||||||||||||||||||||
Net asset value, and redemption price per share * | $ | 24.75 | $ | 19.20 | $ | 20.37 | $ | 10.65 | $ | 9.64 | $ | 32.47 | $ | 20.78 | ||||||||||||||
Front-end sales charge factor | 0.9425 | 0.9425 | 0.9425 | 0.9425 | 0.9425 | 0.9425 | 0.9425 | |||||||||||||||||||||
Offering price per share (Net asset value per share / front-end sales charge factor) | $ | 26.26 | $ | 20.37 | $ | 21.61 | $ | 11.30 | $ | 10.23 | $ | 34.46 | $ | 22.05 | ||||||||||||||
Class C Shares: | ||||||||||||||||||||||||||||
Net Assets | $ | 3,614,538 | $ | 3,630,653 | $ | 5,910,700 | $ | 1,144,471 | $ | 4,135,449 | $ | 21,463,341 | $ | 3,900,216 | ||||||||||||||
Shares of beneficial interest outstanding (no par value; unlimited shares authorized) | 203,512 | 201,843 | 307,539 | 113,481 | 443,846 | 868,152 | 203,051 | |||||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 17.76 | $ | 17.99 | $ | 19.22 | $ | 10.09 | $ | 9.32 | $ | 24.72 | $ | 19.21 |
* | 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. |
(a) | See Section 2k in the notes for the breakout by counterparty. |
See accompanying notes which are an integral part to these financial statements.
136
STATEMENTS OF OPERATIONS (Unaudited) |
For the Six Months Ended April 30, 2021 |
Dunham | Dunham | Dunham | ||||||||||||||||||||||||||
Corporate / | Dunham | Dunham | International | Dunham | Dunham | Focused | ||||||||||||||||||||||
Government | Floating Rate | High-Yield | Opportunity | Large Cap | Small Cap | Large Cap | ||||||||||||||||||||||
Bond Fund | Bond Fund | Bond Fund | Bond Fund | Value Fund | Value Fund | Growth Fund | ||||||||||||||||||||||
Investment Income: | ||||||||||||||||||||||||||||
Interest income | $ | 1,088,296 | $ | 3,061,095 | $ | 2,945,986 | $ | 1,188,166 | $ | 60 | $ | 13 | $ | 53 | ||||||||||||||
Dividend income | 8,643 | 23,724 | — | — | 1,136,879 | 815,074 | 206,104 | |||||||||||||||||||||
Securities lending income - net | 4,568 | 1,195 | 5,153 | 7,438 | 1,799 | 2,109 | 6,896 | |||||||||||||||||||||
Less: Foreign withholding taxes | — | — | — | (10,910 | ) | — | — | — | ||||||||||||||||||||
Total Investment Income | 1,101,507 | 3,086,014 | 2,951,139 | 1,184,694 | 1,138,738 | 817,196 | 213,053 | |||||||||||||||||||||
Operating Expenses: | ||||||||||||||||||||||||||||
Investment advisory fees | 213,089 | 518,615 | 327,974 | 181,263 | 387,588 | 219,875 | 558,264 | |||||||||||||||||||||
Sub-advisory fees | 127,854 | 242,020 | 174,919 | 135,947 | 178,887 | 152,221 | 300,604 | |||||||||||||||||||||
Sub-advisory performance fees | 17,891 | (151,994 | ) | 4,259 | 132,111 | (30,465 | ) | (100,297 | ) | 74,564 | ||||||||||||||||||
Fund accounting fees | 8,438 | 17,114 | 10,823 | 5,982 | 11,807 | 6,698 | 17,005 | |||||||||||||||||||||
Distribution fees - Class C Shares | 11,137 | 25,738 | 18,142 | 4,912 | 21,832 | 12,815 | 58,643 | |||||||||||||||||||||
Distribution fees - Class A Shares | 11,381 | 25,800 | 16,064 | 10,061 | 25,553 | 13,315 | 41,661 | |||||||||||||||||||||
Administration fees | 70,425 | 81,762 | 59,133 | 43,966 | 37,010 | 25,045 | 50,571 | |||||||||||||||||||||
Registration fees | 28,574 | 20,477 | 28,931 | 18,241 | 27,101 | 27,577 | 24,299 | |||||||||||||||||||||
Transfer agent fees | 8,570 | 9,340 | 8,281 | 8,075 | 8,496 | 8,712 | 10,091 | |||||||||||||||||||||
Custodian fees | 19,729 | 26,511 | 6,534 | 27,637 | 4,858 | 2,016 | 3,472 | |||||||||||||||||||||
Professional fees | 9,501 | 13,488 | 11,201 | 9,061 | 10,308 | 9,990 | 11,562 | |||||||||||||||||||||
Chief Compliance Officer fees | 4,239 | 11,888 | 6,545 | 1,323 | 4,860 | 3,025 | 5,736 | |||||||||||||||||||||
Printing and postage expense | 6,728 | 9,059 | 7,249 | 7,370 | 10,169 | 6,049 | 10,896 | |||||||||||||||||||||
Trustees’ fees | 1,662 | 4,688 | 2,695 | 586 | 2,529 | 1,587 | 3,709 | |||||||||||||||||||||
Insurance expense | 467 | 1,687 | 967 | 348 | 793 | 501 | 1,017 | |||||||||||||||||||||
Interest expense | — | — | — | 1,875 | — | 1,426 | — | |||||||||||||||||||||
Third party administrative servicing fees | 1,166 | 1,537 | 1,984 | 844 | 3,012 | 1,984 | 4,936 | |||||||||||||||||||||
Miscellaneous expenses | 2,956 | 7,768 | 5,984 | 3,070 | 4,183 | 1,316 | 5,935 | |||||||||||||||||||||
Total Operating Expenses | 543,807 | 865,498 | 691,685 | 592,672 | 708,521 | 393,855 | 1,182,965 | |||||||||||||||||||||
Less: Fees paid indirectly | — | — | — | — | (779 | ) | (1,116 | ) | — | |||||||||||||||||||
Net Operating Expenses | 543,807 | 865,498 | 691,685 | 592,672 | 707,742 | 392,739 | 1,182,965 | |||||||||||||||||||||
Net Investment Income (Loss) | 557,700 | 2,220,516 | 2,259,454 | 592,022 | 430,996 | 424,457 | (969,912 | ) | ||||||||||||||||||||
Realized and Unrealized Gain (Loss) on Investments, Futures, Swap Contracts, Foreign Currency Translations, and Forward Foreign Currency Exchange Contracts: | ||||||||||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||||||||||
Investments | 489,939 | 224,074 | 1,927,204 | 334,976 | 6,317,697 | 4,686,723 | 11,034,962 | |||||||||||||||||||||
Futures | — | — | — | (205,254 | ) | — | — | — | ||||||||||||||||||||
Swap contracts | — | — | — | 6,614 | — | — | — | |||||||||||||||||||||
Forward foreign currency exchange contracts | — | — | — | 103,587 | — | — | — | |||||||||||||||||||||
Net realized gain | 489,939 | 224,074 | 1,927,204 | 239,923 | 6,317,697 | 4,686,723 | 11,034,962 | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||
Investments | (1,209,755 | ) | 5,847,946 | 3,653,078 | 1,742,224 | 27,451,917 | 22,052,485 | 20,286,180 | ||||||||||||||||||||
Futures | — | — | — | (103,977 | ) | — | — | — | ||||||||||||||||||||
Swap contracts | — | — | — | 20,954 | — | — | — | |||||||||||||||||||||
Foreign currency translations | — | — | — | (4,682 | ) | — | — | — | ||||||||||||||||||||
Forward foreign currency exchange contracts | — | — | — | (666,739 | ) | — | — | — | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (1,209,755 | ) | 5,847,946 | 3,653,078 | 987,780 | 27,451,917 | 22,052,485 | 20,286,180 | ||||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | (719,816 | ) | 6,072,020 | 5,580,282 | 1,227,703 | 33,769,614 | 26,739,208 | 31,321,142 | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | (162,116 | ) | $ | 8,292,536 | $ | 7,839,736 | $ | 1,819,725 | $ | 34,200,610 | $ | 27,163,665 | $ | 30,351,230 |
See accompanying notes which are an integral part to these financial statements.
137
STATEMENTS OF OPERATIONS (Unaudited)(Continued) |
For the Six Months Ended April 30, 2021 |
Dunham | Dunham | |||||||||||||||||||||||||||
Dunham | Emerging | Dunham | Dunham | Dunham | Monthly | Dunham | ||||||||||||||||||||||
Small Cap | Markets | International | Dynamic Macro | Long/Short | Distribution | Real Estate | ||||||||||||||||||||||
Growth Fund | Stock Fund | Stock Fund | Fund | Credit Fund | Fund | Stock Fund | ||||||||||||||||||||||
Investment Income: | ||||||||||||||||||||||||||||
Interest income | $ | 38 | $ | 30 | $ | 29 | $ | 3,756 | $ | 1,713,467 | $ | 2,539 | $ | 13 | ||||||||||||||
Dividend income | 113,698 | 865,851 | 2,398,239 | 126,455 | 116,503 | 1,441,300 | 714,100 | |||||||||||||||||||||
Securities lending income - net | 5,974 | 16,129 | 28,451 | 8,003 | 13,777 | 4,185 | 10,191 | |||||||||||||||||||||
Less: Foreign withholding taxes | — | (160,837 | ) | (266,404 | ) | — | — | — | (7,672 | ) | ||||||||||||||||||
Total Investment Income | 119,710 | 721,173 | 2,160,315 | 138,214 | 1,843,747 | 1,448,024 | 716,632 | |||||||||||||||||||||
Operating Expenses: | ||||||||||||||||||||||||||||
Investment advisory fees | 241,848 | 361,251 | 491,857 | 82,128 | 511,250 | 720,363 | 278,136 | |||||||||||||||||||||
Sub-advisory fees | 186,037 | 250,097 | 491,857 | 94,763 | 471,923 | 664,951 | 192,555 | |||||||||||||||||||||
Sub-advisory performance fees | 148,371 | 177,477 | 245,674 | (20,197 | ) | 298,200 | (303,900 | ) | 109,979 | |||||||||||||||||||
Fund accounting fees | 7,367 | 11,004 | 14,983 | 2,502 | 15,574 | 21,943 | 8,472 | |||||||||||||||||||||
Distribution fees - Class C Shares | 16,952 | 18,151 | 29,247 | 6,035 | 19,683 | 110,524 | 18,049 | |||||||||||||||||||||
Distribution fees - Class A Shares | 23,686 | 22,550 | 31,310 | 5,096 | 24,771 | 39,693 | 16,369 | |||||||||||||||||||||
Administration fees | 26,802 | 41,369 | 70,364 | 17,717 | 67,930 | 70,984 | 29,620 | |||||||||||||||||||||
Registration fees | 26,739 | 27,747 | 28,893 | 5,059 | 28,334 | 31,818 | 29,172 | |||||||||||||||||||||
Transfer agent fees | 8,107 | 8,717 | 9,877 | 7,756 | 9,810 | 10,893 | 8,712 | |||||||||||||||||||||
Custodian fees | 10,196 | 44,283 | 51,556 | 4,355 | 5,455 | 57,572 | 3,472 | |||||||||||||||||||||
Professional fees | 9,217 | 11,892 | 12,185 | 9,182 | 10,811 | 15,803 | 9,776 | |||||||||||||||||||||
Chief Compliance Officer fees | 3,075 | 4,512 | 7,935 | 2,380 | 7,278 | 15,372 | 3,768 | |||||||||||||||||||||
Printing and postage expense | 6,141 | 7,935 | 12,478 | 23,845 | 8,216 | 39,771 | 14,947 | |||||||||||||||||||||
Trustees’ fees | 1,587 | 2,232 | 3,868 | 516 | 2,842 | 6,728 | 1,785 | |||||||||||||||||||||
Insurance expense | 496 | 719 | 1,240 | 396 | 744 | 2,281 | 496 | |||||||||||||||||||||
Interest expense | — | — | — | 442 | — | — | — | |||||||||||||||||||||
Third party administrative servicing fees | 2,867 | 2,777 | 4,016 | 1,305 | 3,520 | 11,224 | 1,587 | |||||||||||||||||||||
Dividend expense on short sales | — | — | — | — | — | 683,862 | — | |||||||||||||||||||||
Broker Fees | — | — | — | — | — | 285,796 | — | |||||||||||||||||||||
Miscellaneous expenses | 2,885 | 9,413 | 8,909 | 2,948 | 3,124 | 10,563 | 3,091 | |||||||||||||||||||||
Total Operating Expenses | 722,373 | 1,002,126 | 1,516,249 | 246,228 | 1,489,465 | 2,496,241 | 729,986 | |||||||||||||||||||||
Less: Fees paid indirectly | (633 | ) | — | — | — | — | — | — | ||||||||||||||||||||
Net Operating Expenses | 721,740 | 1,002,126 | 1,516,249 | 246,228 | 1,489,465 | 2,496,241 | 729,986 | |||||||||||||||||||||
Net Investment Income (Loss) | (602,030 | ) | (280,953 | ) | 644,066 | (108,014 | ) | 354,282 | (1,048,217 | ) | (13,354 | ) | ||||||||||||||||
Realized and Unrealized Gain (Loss) on Investments, Futures, Purchased Options, Securities Sold Short, Written Options, Swap Contracts, Foreign Currency Transactions, and Foreign Currency Translations: | ||||||||||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||||||||||
Investments | 13,606,818 | 11,692,520 | 18,068,167 | 1,115,270 | 1,484,304 | 24,301,761 | 2,872,840 | |||||||||||||||||||||
Futures | — | — | — | 98,598 | 2,101,415 | — | — | |||||||||||||||||||||
Purchased options | — | — | — | (486,300 | ) | — | (1,419,123 | ) | — | |||||||||||||||||||
Securities sold short | — | — | — | — | — | (13,971,572 | ) | — | ||||||||||||||||||||
Written options | — | — | — | 220,527 | — | (116,543 | ) | — | ||||||||||||||||||||
Swap contracts | — | — | — | — | (696,346 | ) | 958,760 | — | ||||||||||||||||||||
Foreign currency transactions | — | (24,942 | ) | (4,354 | ) | (16,295 | ) | 8,844 | (234,970 | ) | — | |||||||||||||||||
Net realized gain | 13,606,818 | 11,667,578 | 18,063,813 | 931,800 | 2,898,217 | 9,518,313 | 2,872,840 | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||
Investments | 10,509,876 | 11,262,299 | 24,285,295 | 1,313,359 | 1,672,996 | 7,566,744 | 17,178,040 | |||||||||||||||||||||
Futures | — | — | — | 125,143 | 125,895 | — | — | |||||||||||||||||||||
Purchased options | — | — | — | (306,983 | ) | — | 92,399 | — | ||||||||||||||||||||
Securities sold short | — | — | — | — | — | (4,521,200 | ) | — | ||||||||||||||||||||
Written options | — | — | — | 241,214 | — | (262,914 | ) | — | ||||||||||||||||||||
Swap contracts | — | — | — | — | (387,040 | ) | (827,327 | ) | — | |||||||||||||||||||
Foreign currency translations | — | 4,210 | 10,536 | (14,288 | ) | 4,318 | 180,228 | — | ||||||||||||||||||||
Foreign currency exchange contracts | — | — | (158 | ) | — | — | — | — | ||||||||||||||||||||
Net change in unrealized appreciation | 10,509,876 | 11,266,509 | 24,295,673 | 1,358,445 | 1,416,169 | 2,227,930 | 17,178,040 | |||||||||||||||||||||
Net Realized and Unrealized Gain | 24,116,694 | 22,934,087 | 42,359,486 | 2,290,245 | 4,314,386 | 11,746,243 | 20,050,880 | |||||||||||||||||||||
Net Increase in Net Assets Resulting From Operations | $ | 23,514,664 | $ | 22,653,134 | $ | 43,003,552 | $ | 2,182,231 | $ | 4,668,668 | $ | 10,698,026 | $ | 20,037,526 |
See accompanying notes which are an integral part to these financial statements.
138
STATEMENTS OF CHANGES IN NET ASSETS |
Dunham | Dunham | Dunham | Dunham | Dunham | ||||||||||||||||||||||||||||||||||||
Corporate/Government | Floating Rate | High-Yield | International Opportunity | Large Cap | ||||||||||||||||||||||||||||||||||||
Bond Fund | Bond Fund | Bond Fund | Bond Fund | Value Fund | ||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | Six Months Ended | Year Ended | Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||||||||||||||||||||
April 30, 2021 | October 31, 2020 | April 30, 2021 | Oct. 31, 2020 | April 30, 2021 | Oct. 31, 2020 | April 30, 2021 | October 31, 2020 | April 30, 2021 | October 31, 2020 | |||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | ||||||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income | $ | 557,700 | $ | 1,077,643 | $ | 2,220,516 | $ | 6,442,891 | $ | 2,259,454 | $ | 4,650,895 | $ | 592,022 | $ | 838,662 | $ | 430,996 | $ | 1,049,259 | ||||||||||||||||||||
Net realized gain (loss) from investments, futures,swaps and forward foreign currency exchange contracts | 489,939 | 1,732,785 | 224,074 | (7,085,316 | ) | 1,927,204 | (1,387,495 | ) | 239,923 | (1,009,321 | ) | 6,317,697 | 47,474 | |||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments, futures,foreign currency translations, swaps and forward foreign currency exchange contracts | (1,209,755 | ) | (794,965 | ) | 5,847,946 | (2,136,038 | ) | 3,653,078 | (571,928 | ) | 987,780 | (718,490 | ) | 27,451,917 | (1,295,063 | ) | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | (162,116 | ) | 2,015,463 | 8,292,536 | (2,778,463 | ) | 7,839,736 | 2,691,472 | 1,819,725 | (889,149 | ) | 34,200,610 | (198,330 | ) | ||||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||||||||||||
Distributions From Paid In Capital: | ||||||||||||||||||||||||||||||||||||||||
Class N | — | — | — | — | — | — | — | (274,560 | ) | — | — | |||||||||||||||||||||||||||||
Class A | — | — | — | — | — | — | — | (45,800 | ) | — | — | |||||||||||||||||||||||||||||
Class C | — | — | — | — | — | — | — | (9,090 | ) | — | — | |||||||||||||||||||||||||||||
Total Distributions Paid | ||||||||||||||||||||||||||||||||||||||||
Class N | (564,087 | ) | (949,575 | ) | (2,555,449 | ) | (5,328,056 | ) | (1,959,320 | ) | (3,823,771 | ) | (666,171 | ) | (514,559 | ) | (885,281 | ) | (2,138,221 | ) | ||||||||||||||||||||
Class A | (58,926 | ) | (133,239 | ) | (338,686 | ) | (743,023 | ) | (255,656 | ) | (543,084 | ) | (96,792 | ) | (72,765 | ) | (159,962 | ) | (567,650 | ) | ||||||||||||||||||||
Class C | (11,254 | ) | (53,743 | ) | (94,863 | ) | (242,384 | ) | (85,792 | ) | (218,910 | ) | (12,426 | ) | (10,799 | ) | (13,236 | ) | (158,781 | ) | ||||||||||||||||||||
Total Distributions to Shareholders | (634,267 | ) | (1,136,557 | ) | (2,988,998 | ) | (6,313,463 | ) | (2,300,768 | ) | (4,585,765 | ) | (775,389 | ) | (927,573 | ) | (1,058,479 | ) | (2,864,652 | ) | ||||||||||||||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||||||||||||||||||
Class N | 26,082,061 | 34,990,739 | 22,759,236 | 33,718,680 | 15,387,655 | 21,529,518 | 20,805,943 | 20,678,707 | 20,086,674 | 28,389,285 | ||||||||||||||||||||||||||||||
Class A | 3,349,136 | 4,193,468 | 3,516,852 | 7,185,997 | 2,219,749 | 4,070,976 | 3,578,607 | 4,067,774 | 3,166,861 | 8,035,665 | ||||||||||||||||||||||||||||||
Class C | 597,156 | 6,432,644 | 410,162 | 3,951,686 | 336,043 | 1,096,173 | 283,246 | 671,601 | 321,760 | 1,752,765 | ||||||||||||||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||||||||||||||||||
Class N | 561,952 | 942,707 | 2,547,774 | 5,311,644 | 1,945,342 | 3,798,687 | 665,344 | 788,679 | 882,505 | 2,127,987 | ||||||||||||||||||||||||||||||
Class A | 57,386 | 129,509 | 329,421 | 720,108 | 243,421 | 516,172 | 95,237 | 116,057 | 147,796 | 521,958 | ||||||||||||||||||||||||||||||
Class C | 11,060 | 51,829 | 89,484 | 230,928 | 77,638 | 192,957 | 12,269 | 20,043 | 13,125 | 156,442 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||||||||||||||||||
Class N | (6,963,436 | ) | (18,325,009 | ) | (8,759,007 | ) | (53,806,194 | ) | (9,761,815 | ) | (30,929,031 | ) | (2,855,428 | ) | (11,474,732 | ) | (10,080,387 | ) | (16,938,775 | ) | ||||||||||||||||||||
Class A | (1,807,084 | ) | (3,486,843 | ) | (3,033,576 | ) | (9,088,943 | ) | (2,157,315 | ) | (4,588,405 | ) | (844,841 | ) | (1,606,257 | ) | (4,043,579 | ) | (7,186,295 | ) | ||||||||||||||||||||
Class C | (684,554 | ) | (6,314,796 | ) | (625,845 | ) | (5,498,878 | ) | (413,445 | ) | (4,089,688 | ) | (83,925 | ) | (923,407 | ) | (920,510 | ) | (2,959,714 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest | 21,203,677 | 18,614,248 | 17,234,501 | (17,274,972 | ) | 7,877,273 | (8,402,641 | ) | 21,656,452 | 12,338,465 | 9,574,245 | 13,899,318 | ||||||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets | 20,407,294 | 19,493,154 | 22,538,039 | (26,366,898 | ) | 13,416,241 | (10,296,934 | ) | 22,700,788 | 10,521,743 | 42,716,376 | 10,836,336 | ||||||||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||||||||||
Beginning of Year/Period | 72,405,286 | 52,912,132 | 162,040,958 | 188,407,856 | 99,798,380 | 110,095,314 | 49,247,940 | 38,726,197 | 94,309,062 | 83,472,726 | ||||||||||||||||||||||||||||||
End of Year/Period | $ | 92,812,580 | $ | 72,405,286 | $ | 184,578,997 | $ | 162,040,958 | $ | 113,214,621 | $ | 99,798,380 | $ | 71,948,728 | $ | 49,247,940 | $ | 137,025,438 | $ | 94,309,062 |
See accompanying notes which are an integral part to these financial statements.
139
STATEMENTS OF CHANGES IN NET ASSETS (Continued) |
Dunham | Dunham | Dunham | Dunham | Dunham | ||||||||||||||||||||||||||||||||||||
Small Cap | Focused Large Cap | Small Cap | Emerging Markets | International | ||||||||||||||||||||||||||||||||||||
Value Fund | Growth Fund | Growth Fund | Stock Fund | Stock Fund | ||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | Six Months Ended | Year Ended | Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||||||||||||||||||||
April 30, 2021 | October 31, 2020 | April 30, 2021 | October 31, 2020 | April 30, 2021 | October 31, 2020 | April 30, 2021 | October 31, 2020 | April 30, 2021 | October 31, 2020 | |||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | ||||||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 424,457 | $ | 400,579 | $ | (969,912 | ) | $ | (1,554,421 | ) | $ | (602,030 | ) | $ | (763,173 | ) | $ | (280,953 | ) | $ | (215,323 | ) | $ | 644,066 | $ | 1,145,605 | ||||||||||||||
Net realized gain (loss) from investments,and foreign currency transactions | 4,686,723 | (5,471,307 | ) | 11,034,962 | 4,881,470 | 13,606,818 | 10,620,310 | 11,667,578 | 1,011,988 | 18,063,813 | 5,079,870 | |||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments,and foreign currency transactions | 22,052,485 | (1,228,084 | ) | 20,286,180 | 41,424,027 | 10,509,876 | 8,033,898 | 11,266,509 | 10,338,265 | 24,295,673 | (3,733,636 | ) | ||||||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | 27,163,665 | (6,298,812 | ) | 30,351,230 | 44,751,076 | 23,514,664 | 17,891,035 | 22,653,134 | 11,134,930 | 43,003,552 | 2,491,839 | |||||||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||||||||||||
Total Distributions Paid | ||||||||||||||||||||||||||||||||||||||||
Class N | (485,740 | ) | — | (2,769,774 | ) | (2,555,392 | ) | (6,664,517 | ) | (690,260 | ) | (125,901 | ) | (534,182 | ) | (981,773 | ) | (2,225,640 | ) | |||||||||||||||||||||
Class A | (77,307 | ) | — | (811,011 | ) | (797,547 | ) | (2,433,036 | ) | (198,920 | ) | — | (86,590 | ) | (161,146 | ) | (455,807 | ) | ||||||||||||||||||||||
Class C | (4,934 | ) | — | (289,087 | ) | (315,113 | ) | (608,456 | ) | (52,820 | ) | — | (9,790 | ) | (3,018 | ) | (103,682 | ) | ||||||||||||||||||||||
Total Distributions to Shareholders | (567,981 | ) | — | (3,869,872 | ) | (3,668,052 | ) | (9,706,009 | ) | (942,000 | ) | (125,901 | ) | (630,562 | ) | (1,145,937 | ) | (2,785,129 | ) | |||||||||||||||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||||||||||||||||||
Class N | 11,589,891 | 25,184,030 | 27,007,265 | 32,398,550 | 12,320,854 | 13,971,721 | 19,310,830 | 24,774,976 | 20,911,774 | 31,744,356 | ||||||||||||||||||||||||||||||
Class A | 1,168,926 | 4,862,108 | 6,077,110 | 16,798,120 | 8,678,233 | 8,378,581 | 3,318,505 | 5,953,535 | 2,757,440 | 7,148,650 | ||||||||||||||||||||||||||||||
Class C | 363,708 | 1,306,703 | 1,331,548 | 3,264,800 | 460,543 | 770,112 | 371,979 | 1,169,903 | 347,535 | 1,817,542 | ||||||||||||||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||||||||||||||||||
Class N | 483,618 | — | 2,685,861 | 2,518,739 | 6,476,422 | 679,654 | 125,588 | 531,994 | 977,525 | 2,218,149 | ||||||||||||||||||||||||||||||
Class A | 76,511 | — | 774,615 | 701,996 | 2,209,259 | 182,948 | — | 85,495 | 158,869 | 448,520 | ||||||||||||||||||||||||||||||
Class C | 4,890 | — | 260,537 | 290,053 | 602,421 | 52,391 | — | 9,428 | 2,970 | 102,577 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||||||||||||||||||
Class N | (12,527,683 | ) | (21,644,045 | ) | (14,654,665 | ) | (30,649,506 | ) | (17,368,783 | ) | (22,750,347 | ) | (7,827,525 | ) | (22,769,138 | ) | (18,978,984 | ) | (39,253,422 | ) | ||||||||||||||||||||
Class A | (3,859,791 | ) | (4,477,328 | ) | (8,487,033 | ) | (18,669,199 | ) | (4,361,916 | ) | (9,319,647 | ) | (2,471,561 | ) | (5,076,032 | ) | (6,069,965 | ) | (8,979,890 | ) | ||||||||||||||||||||
Class C | (618,457 | ) | (1,716,676 | ) | (1,115,576 | ) | (4,460,374 | ) | (534,932 | ) | (1,329,745 | ) | (495,770 | ) | (1,949,018 | ) | (846,234 | ) | (3,435,552 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest | (3,318,387 | ) | 3,514,792 | 13,879,662 | 2,193,179 | 8,482,101 | (9,364,332 | ) | 12,332,046 | 2,731,143 | (739,070 | ) | (8,189,070 | ) | ||||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets | 23,277,297 | (2,784,020 | ) | 40,361,020 | 43,276,203 | 22,290,756 | 7,584,703 | 34,859,279 | 13,235,511 | 41,118,545 | (8,482,360 | ) | ||||||||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||||||||||
Beginning of Year/Period | 53,462,798 | 56,246,818 | 150,435,230 | 107,159,027 | 58,161,251 | 50,576,548 | 88,736,356 | 75,500,845 | 121,930,724 | 130,413,084 | ||||||||||||||||||||||||||||||
End of Year/Period | $ | 76,740,095 | $ | 53,462,798 | $ | 190,796,250 | $ | 150,435,230 | $ | 80,452,007 | $ | 58,161,251 | $ | 123,595,635 | $ | 88,736,356 | $ | 163,049,269 | $ | 121,930,724 |
See accompanying notes which are an integral part to these financial statements.
140
STATEMENTS OF CHANGES IN NET ASSETS (Continued) |
Dunham | Dunham | Dunham | Dunham | |||||||||||||||||||||||||||||
Dynamic Macro | Long/Short | Monthly Distribution | Real Estate | |||||||||||||||||||||||||||||
Fund | Credit Fund | Fund | Stock Fund | |||||||||||||||||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||||||||||||||
April 30, 2021 | October 31, 2020 | April 30, 2021 | October 31, 2020 | April 30, 2021 | October 31, 2020 | April 30, 2021 | October 31, 2020 | |||||||||||||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (108,014 | ) | $ | (37,593 | ) | $ | 354,282 | $ | 1,297,343 | $ | (1,048,217 | ) | $ | (1,819,208 | ) | $ | (13,354 | ) | $ | 326,102 | |||||||||||
Net realized gain (loss) from investments, futures,purchased options, securities sold short, written options, swap contracts and foreign currency transactions | 931,800 | (974,927 | ) | 2,898,217 | 2,422,124 | 9,518,313 | 3,485,592 | 2,872,840 | 6,129,153 | |||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments, futures, purchased options, securities sold short, written options,and foreign currency translations | 1,358,445 | (590,189 | ) | 1,416,169 | 61,831 | 2,227,930 | (2,482,226 | ) | 17,178,040 | (5,861,968 | ) | |||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | 2,182,231 | (1,602,709 | ) | 4,668,668 | 3,781,298 | 10,698,026 | (815,842 | ) | 20,037,526 | 593,287 | ||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||||
Distributions From Paid In Capital: | ||||||||||||||||||||||||||||||||
Class N | — | — | — | — | (2,744,181 | ) | (4,434,069 | ) | — | — | ||||||||||||||||||||||
Class A | — | — | — | — | (536,766 | ) | (1,044,734 | ) | — | — | ||||||||||||||||||||||
Class C | — | — | — | — | (484,959 | ) | (1,045,165 | ) | — | — | ||||||||||||||||||||||
Total Other Distributions Paid | ||||||||||||||||||||||||||||||||
Class N | (135,675 | ) | — | (2,497,856 | ) | (1,583,036 | ) | — | (1,593,496 | ) | (4,866,699 | ) | (2,908,216 | ) | ||||||||||||||||||
Class A | (12,837 | ) | — | (354,019 | ) | (240,353 | ) | — | (375,488 | ) | (967,474 | ) | (633,067 | ) | ||||||||||||||||||
Class C | — | — | (69,935 | ) | (66,771 | ) | — | (386,677 | ) | (282,450 | ) | (191,872 | ) | |||||||||||||||||||
Total Distributions to Shareholders | (148,512 | ) | — | (2,921,810 | ) | (1,890,160 | ) | (3,765,906 | ) | (8,879,629 | ) | (6,116,623 | ) | (3,733,155 | ) | |||||||||||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||||||||||
Class N | 2,621,498 | 7,671,389 | 58,146,487 | 75,882,935 | 28,290,522 | 47,289,525 | 16,394,966 | 25,769,077 | ||||||||||||||||||||||||
Class A | 629,134 | 2,173,289 | 7,699,488 | 10,189,719 | 3,403,457 | 9,578,927 | 2,227,435 | 7,442,319 | ||||||||||||||||||||||||
Class C | 68,435 | 584,749 | 806,828 | 5,528,260 | 918,734 | 3,397,393 | 523,504 | 1,455,575 | ||||||||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||||||||||
Class N | 134,970 | — | 2,408,696 | 1,535,217 | 2,682,142 | 5,866,476 | 4,827,354 | 2,900,499 | ||||||||||||||||||||||||
Class A | 12,761 | — | 332,172 | 225,928 | 475,747 | 1,233,347 | 957,504 | 622,675 | ||||||||||||||||||||||||
Class C | — | — | 65,287 | 63,281 | 408,382 | 1,176,250 | 280,569 | 190,337 | ||||||||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||||||||||
Class N | (8,783,336 | ) | (14,850,727 | ) | (11,188,995 | ) | (36,079,584 | ) | (17,993,106 | ) | (69,675,608 | ) | (4,197,765 | ) | (15,710,802 | ) | ||||||||||||||||
Class A | (2,278,540 | ) | (4,454,908 | ) | (2,148,182 | ) | (4,654,840 | ) | (5,881,171 | ) | (18,156,754 | ) | (2,568,530 | ) | (5,277,842 | ) | ||||||||||||||||
Class C | (300,984 | ) | (1,193,068 | ) | (619,697 | ) | (5,831,685 | ) | (3,531,736 | ) | (13,718,987 | ) | (471,663 | ) | (1,248,459 | ) | ||||||||||||||||
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest | (7,896,062 | ) | (10,069,276 | ) | 55,502,084 | 46,859,231 | 8,772,971 | (33,009,431 | ) | 17,973,374 | 16,143,379 | |||||||||||||||||||||
Total Increase (Decrease) in Net Assets | (5,862,343 | ) | (11,671,985 | ) | 57,248,942 | 48,750,369 | 15,705,091 | (42,704,902 | ) | 31,894,277 | 13,003,511 | |||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Beginning of Year/Period | 30,042,492 | 41,714,477 | 131,190,396 | 82,440,027 | 216,578,325 | 259,283,227 | 67,841,271 | 54,837,760 | ||||||||||||||||||||||||
End of Year/Period | $ | 24,180,149 | $ | 30,042,492 | $ | 188,439,338 | $ | 131,190,396 | $ | 232,283,416 | $ | 216,578,325 | $ | 99,735,548 | $ | 67,841,271 |
See accompanying notes which are an integral part to these financial statements.
141
FINANCIAL HIGHLIGHTS |
Dunham Corporate/Government Bond Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||||||||||||||||||||||||||
Ended April | ||||||||||||||||||||||||||||||||||||||||||||||||
30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 14.44 | $ | 14.02 | $ | 13.06 | $ | 13.82 | $ | 13.92 | $ | 13.75 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.10 | 0.28 | 0.36 | 0.34 | 0.31 | 0.36 | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.09 | ) | 0.44 | 0.96 | (0.74 | ) | (0.08 | ) | 0.19 | |||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.01 | 0.72 | 1.32 | (0.40 | ) | 0.23 | 0.55 | |||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.11 | ) | (0.30 | ) | (0.36 | ) | (0.36 | ) | (0.33 | ) | (0.38 | ) | ||||||||||||||||||||||||||||||||||||
Total distributions | (0.11 | ) | (0.30 | ) | (0.36 | ) | (0.36 | ) | (0.33 | ) | (0.38 | ) | ||||||||||||||||||||||||||||||||||||
Net asset value, end of period/year | $ | 14.34 | $ | 14.44 | $ | 14.02 | $ | 13.06 | $ | 13.82 | $ | 13.92 | ||||||||||||||||||||||||||||||||||||
Total return + # | 0.05 | % | 5.17 | % | 10.27 | % | (2.93 | )% | 1.72 | % | 4.09 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 80,007 | $ | 80,007 | $ | 42,730 | $ | 41,151 | $ | 62,757 | $ | 48,025 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.21 | % | 1.24 | % | 1.20 | % | 1.20 | % | 1.35 | % | 1.13 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 1.36 | % | 1.99 | % | 2.68 | % | 2.53 | % | 2.27 | % | 2.61 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 21 | % | 75 | % | 76 | % | 92 | % | 61 | % | 58 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months | Six Months | |||||||||||||||||||||||||||||||||||||||||||||||
Ended April | Ended April | |||||||||||||||||||||||||||||||||||||||||||||||
30, | Year Ended October 31, | 30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 14.42 | $ | 14.01 | $ | 13.04 | $ | 13.80 | $ | 13.90 | $ | 13.73 | $ | 14.31 | $ | 13.91 | $ | 12.95 | $ | 13.71 | $ | 13.81 | $ | 13.65 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.08 | 0.25 | 0.33 | 0.31 | 0.28 | 0.33 | 0.04 | 0.18 | 0.26 | 0.24 | 0.21 | 0.26 | ||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.08 | ) | 0.42 | 0.97 | (0.74 | ) | (0.08 | ) | 0.19 | (0.08 | ) | 0.41 | 0.96 | (0.74 | ) | (0.08 | ) | 0.18 | ||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.00 | 0.67 | 1.30 | (0.43 | ) | 0.20 | 0.52 | (0.04 | ) | 0.59 | 1.22 | (0.50 | ) | 0.13 | 0.44 | |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.09 | ) | (0.26 | ) | (0.33 | ) | (0.33 | ) | (0.30 | ) | (0.35 | ) | (0.05 | ) | (0.19 | ) | (0.26 | ) | (0.26 | ) | (0.23 | ) | (0.28 | ) | ||||||||||||||||||||||||
Total distributions | (0.09 | ) | (0.26 | ) | (0.33 | ) | (0.33 | ) | (0.30 | ) | (0.35 | ) | (0.05 | ) | (0.19 | ) | (0.26 | ) | (0.26 | ) | (0.23 | ) | (0.28 | ) | ||||||||||||||||||||||||
Net asset value, end of period/year | $ | 14.33 | $ | 14.42 | $ | 14.01 | $ | 13.04 | $ | 13.80 | $ | 13.90 | $ | 14.22 | $ | 14.31 | $ | 13.91 | $ | 12.95 | $ | 13.71 | $ | 13.81 | ||||||||||||||||||||||||
Total return + # | 0.00 | % | 4.84 | % | 10.09 | % | (3.17 | )% | 1.47 | % | 3.86 | % | (0.25 | )% | 4.29 | % | 9.53 | % | (3.67 | )% | 0.98 | % | 3.27 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 10,012 | $ | 10,012 | $ | 7,510 | $ | 5,311 | $ | 6,260 | $ | 4,832 | $ | 2,793 | $ | 2,793 | $ | 2,672 | $ | 2,760 | $ | 3,199 | $ | 3,364 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.46 | % | 1.49 | % | 1.45 | % | 1.45 | % | 1.60 | % | 1.38 | % | 1.96 | % | 1.99 | % | 1.95 | % | 1.95 | % | 2.10 | % | 1.88 | % | ||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 1.11 | % | 1.75 | % | 2.41 | % | 2.31 | % | 2.01 | % | 2.40 | % | 0.62 | % | 1.31 | % | 1.92 | % | 1.81 | % | 1.52 | % | 1.89 | % | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 21 | % | 75 | % | 76 | % | 92 | % | 61 | % | 58 | % | 21 | % | 75 | % | 76 | % | 92 | % | 61 | % | 58 | % |
* | The net investment income per share data was determined using the average shares outstanding throughout each period/year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes which are an integral part to these financial statements.
142
FINANCIAL HIGHLIGHTS |
Dunham Floating Rate Bond Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||||||||||||||||||||||||||
Ended April 30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 8.90 | $ | 9.36 | $ | 9.62 | $ | 9.73 | $ | 9.70 | $ | 9.60 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.12 | 0.34 | 0.44 | 0.40 | 0.35 | 0.33 | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.33 | (0.47 | ) | (0.26 | ) | (0.11 | ) | 0.03 | 0.10 | |||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.45 | (0.13 | ) | 0.18 | 0.29 | 0.38 | 0.43 | |||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.16 | ) | (0.33 | ) | (0.44 | ) | (0.40 | ) | (0.35 | ) | (0.33 | ) | ||||||||||||||||||||||||||||||||||||
Total distributions | (0.16 | ) | (0.33 | ) | (0.44 | ) | (0.40 | ) | (0.35 | ) | (0.33 | ) | ||||||||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 9.19 | $ | 8.90 | $ | 9.36 | $ | 9.62 | $ | 9.73 | $ | 9.70 | ||||||||||||||||||||||||||||||||||||
Total return + # | 5.18 | % | (1.30 | )% | 1.99 | % | 3.02 | % | 4.01 | % | 4.63 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 156,521 | $ | 135,536 | $ | 157,757 | $ | 164,936 | $ | 157,485 | $ | 94,219 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 0.95 | % | 1.00 | % | 1.01 | % | 0.97 | % | 1.03 | % | 1.34 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 2.65 | % | 3.81 | % | 4.60 | % | 4.08 | % | 3.60 | % | 3.24 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 46 | % | 76 | % | 44 | % | 79 | % | 91 | % | 62 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months | Six Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||
Ended April 30, | Year Ended October 31, | April 30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 8.89 | $ | 9.35 | $ | 9.61 | $ | 9.72 | $ | 9.70 | $ | 9.59 | $ | 8.89 | $ | 9.35 | $ | 9.62 | $ | 9.73 | $ | 9.69 | $ | 9.59 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.11 | 0.32 | 0.41 | 0.37 | 0.32 | 0.31 | 0.09 | 0.27 | 0.37 | 0.33 | 0.28 | 0.26 | ||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.33 | (0.47 | ) | (0.25 | ) | (0.11 | ) | 0.03 | 0.11 | 0.33 | (0.46 | ) | (0.27 | ) | (0.11 | ) | 0.04 | 0.10 | ||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.44 | (0.15 | ) | 0.16 | 0.26 | 0.35 | 0.42 | 0.42 | (0.19 | ) | 0.10 | 0.22 | 0.32 | 0.36 | ||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.15 | ) | (0.31 | ) | (0.42 | ) | (0.37 | ) | (0.33 | ) | (0.31 | ) | (0.13 | ) | (0.27 | ) | (0.37 | ) | (0.33 | ) | (0.28 | ) | (0.26 | ) | ||||||||||||||||||||||||
Total distributions | (0.15 | ) | (0.31 | ) | (0.42 | ) | (0.37 | ) | (0.33 | ) | (0.31 | ) | (0.13 | ) | (0.27 | ) | (0.37 | ) | (0.33 | ) | (0.28 | ) | (0.26 | ) | ||||||||||||||||||||||||
Net asset value, end of year | $ | 9.18 | $ | 8.89 | $ | 9.35 | $ | 9.61 | $ | 9.72 | $ | 9.70 | $ | 9.18 | $ | 8.89 | $ | 9.35 | $ | 9.62 | $ | 9.73 | $ | 9.69 | ||||||||||||||||||||||||
Total return + # | 5.06 | % | (1.56 | )% | 1.74 | % | 2.77 | % | 3.64 | % | 4.49 | % | 4.69 | % | (2.06 | )% | 1.13 | % | 2.26 | % | 3.31 | % | 3.87 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 21,164 | $ | 19,705 | $ | 21,997 | $ | 20,205 | $ | 16,229 | $ | 10,923 | $ | 6,894 | $ | 6,800 | $ | 8,654 | $ | 7,236 | $ | 6,215 | $ | 4,545 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.19 | % | 1.25 | % | 1.26 | % | 1.22 | % | 1.28 | % | 1.59 | % | 1.69 | % | 1.75 | % | 1.76 | % | 1.72 | % | 1.78 | % | 2.10 | % | ||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 2.38 | % | 3.56 | % | 4.36 | % | 3.84 | % | 3.33 | % | 3.49 | % | 1.88 | % | 3.07 | % | 3.86 | % | 3.43 | % | 2.89 | % | 2.74 | % | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 46 | % | 76 | % | 44 | % | 79 | % | 91 | % | 62 | % | 46 | % | 76 | % | 44 | % | 79 | % | 91 | % | 62 | % |
* | The net investment income per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes which are an integral part to these financial statements.
143
FINANCIAL HIGHLIGHTS |
Dunham High-Yield Bond Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||||||||||||||||||||||||||
Ended April 30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 8.88 | $ | 8.97 | $ | 8.72 | $ | 9.22 | $ | 8.94 | $ | 8.92 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.19 | 0.41 | 0.45 | 0.44 | 0.42 | 0.44 | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.49 | (0.09 | ) | 0.26 | (0.51 | ) | 0.30 | 0.02 | ||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.68 | 0.32 | 0.71 | (0.07 | ) | 0.72 | 0.46 | |||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.20 | ) | (0.41 | ) | (0.46 | ) | (0.43 | ) | (0.44 | ) | (0.44 | ) | ||||||||||||||||||||||||||||||||||||
Total distributions | (0.20 | ) | (0.41 | ) | (0.46 | ) | (0.43 | ) | (0.44 | ) | (0.44 | ) | ||||||||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 9.36 | $ | 8.88 | $ | 8.97 | $ | 8.72 | $ | 9.22 | $ | 8.94 | ||||||||||||||||||||||||||||||||||||
Total return + # | 7.65 | % | 3.74 | % | 8.42 | % | (0.80 | )% | 8.19 | % | 5.39 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 95,198 | $ | 83,009 | $ | 90,262 | $ | 94,596 | $ | 103,567 | $ | 78,194 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.20 | % | 1.14 | % | 1.12 | % | 1.12 | % | 1.19 | % | 1.08 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 4.19 | % | 4.69 | % | 5.12 | % | 4.84 | % | 4.62 | % | 5.09 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 34 | % | 75 | % | 70 | % | 101 | % | 142 | % | 62 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months | Six Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||
Ended April 30, | Year Ended October 31, | April 30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 8.97 | $ | 9.06 | $ | 8.81 | $ | 9.29 | $ | 9.02 | $ | 8.99 | $ | 8.83 | $ | 8.92 | $ | 8.68 | $ | 9.17 | $ | 8.88 | $ | 8.86 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.18 | 0.39 | 0.44 | 0.42 | 0.40 | 0.42 | 0.16 | 0.34 | 0.39 | 0.37 | 0.35 | 0.37 | ||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.50 | (0.09 | ) | 0.25 | (0.49 | ) | 0.28 | 0.03 | 0.49 | (0.09 | ) | 0.25 | (0.50 | ) | 0.30 | 0.02 | ||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.68 | 0.30 | 0.69 | (0.07 | ) | 0.68 | 0.45 | 0.65 | 0.25 | 0.64 | (0.13 | ) | 0.65 | 0.39 | ||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.19 | ) | (0.39 | ) | (0.44 | ) | (0.41 | ) | (0.41 | ) | (0.42 | ) | (0.16 | ) | (0.34 | ) | (0.40 | ) | (0.36 | ) | (0.36 | ) | (0.37 | ) | ||||||||||||||||||||||||
Total distributions | (0.19 | ) | (0.39 | ) | (0.44 | ) | (0.41 | ) | (0.41 | ) | (0.42 | ) | (0.16 | ) | (0.34 | ) | (0.40 | ) | (0.36 | ) | (0.36 | ) | (0.37 | ) | ||||||||||||||||||||||||
Net asset value, end of year | $ | 9.46 | $ | 8.97 | $ | 9.06 | $ | 8.81 | $ | 9.29 | $ | 9.02 | $ | 9.32 | $ | 8.83 | $ | 8.92 | $ | 8.68 | $ | 9.17 | $ | 8.88 | ||||||||||||||||||||||||
Total return + # | 7.67 | % | 3.44 | % | 8.07 | % | (0.82 | )% | 7.70 | % | 5.21 | % | 7.42 | % | 2.95 | % | 7.55 | % | (1.43 | )% | 7.45 | % | 4.65 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 13,100 | $ | 12,127 | $ | 12,336 | $ | 12,393 | $ | 12,085 | $ | 10,478 | $ | 4,917 | $ | 4,663 | $ | 7,497 | $ | 7,392 | $ | 7,785 | $ | 7,687 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.45 | % | 1.39 | % | 1.37 | % | 1.37 | % | 1.44 | % | 1.33 | % | 1.95 | % | 1.89 | % | 1.87 | % | 1.87 | % | 1.94 | % | 1.83 | % | ||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 3.95 | % | 4.44 | % | 4.87 | % | 4.60 | % | 4.38 | % | 4.84 | % | 3.45 | % | 3.93 | % | 4.37 | % | 4.09 | % | 3.88 | % | 4.34 | % | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 34 | % | 75 | % | 70 | % | 101 | % | 142 | % | 62 | % | 34 | % | 75 | % | 70 | % | 101 | % | 142 | % | 62 | % |
* | The net investment income per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes which are an integral part to these financial statements.
144
FINANCIAL HIGHLIGHTS |
Dunham International Opportunity Bond Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 9.05 | $ | 9.43 | $ | 8.93 | $ | 9.32 | $ | 9.37 | $ | 8.92 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.09 | 0.19 | (0.03 | ) | (0.03 | ) | (0.03 | ) | 0.04 | |||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.26 | (0.37 | ) | 0.58 | (0.35 | ) | 0.07 | 0.42 | ||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.35 | (0.18 | ) | 0.55 | (0.38 | ) | 0.04 | 0.46 | ||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.12 | ) | (0.11 | ) | (0.04 | ) | — | — | (0.01 | ) | ||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | — | (0.02 | ) | (0.01 | ) | (0.01 | ) | (0.09 | ) | — | ||||||||||||||||||||||||||||||||||||||
Tax return of capital | — | (0.07 | ) | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.12 | ) | (0.20 | ) | (0.05 | ) | (0.01 | ) | (0.09 | ) | (0.01 | ) | ||||||||||||||||||||||||||||||||||||
Net asset value, end of period/year | $ | 9.28 | $ | 9.05 | $ | 9.43 | $ | 8.93 | $ | 9.32 | $ | 9.37 | ||||||||||||||||||||||||||||||||||||
Total return + # | 3.85 | % | (1.81 | )% | 6.29 | % | (4.08 | )% | 0.57 | % | 5.14 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 60,826 | $ | 41,346 | $ | 32,927 | $ | 31,838 | $ | 32,441 | $ | 24,728 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.91 | % | 1.36 | % | 1.36 | % | 1.35 | % | 1.54 | % | 1.28 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | 2.01 | % | 2.08 | % | (0.30 | )% | (0.35 | )% | (0.37 | )% | 0.41 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 16 | % | 138 | % | 109 | % | 45 | % | 56 | % | 64 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
April 30, 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | April 30, 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 8.96 | $ | 9.34 | $ | 8.85 | $ | 9.26 | $ | 9.32 | $ | 8.90 | $ | 8.73 | $ | 9.11 | $ | 8.66 | $ | 9.10 | $ | 9.22 | $ | 8.84 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.08 | 0.17 | (0.05 | ) | (0.06 | ) | (0.06 | ) | 0.01 | 0.05 | 0.10 | (0.09 | ) | (0.10 | ) | (0.10 | ) | (0.03 | ) | |||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.26 | (0.37 | ) | 0.57 | (0.34 | ) | 0.09 | 0.41 | 0.25 | (0.33 | ) | 0.55 | (0.33 | ) | 0.07 | 0.41 | ||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.34 | (0.20 | ) | 0.52 | (0.40 | ) | 0.03 | 0.42 | 0.30 | (0.23 | ) | 0.46 | (0.43 | ) | (0.03 | ) | 0.38 | |||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.11 | ) | (0.09 | ) | (0.02 | ) | — | — | (0.00 | ) (a) | (0.08 | ) | (0.06 | ) | — | — | — | (0.00 | ) (a) | |||||||||||||||||||||||||||||
Distributions from net realized gains | — | (0.02 | ) | (0.01 | ) | (0.01 | ) | (0.09 | ) | — | — | (0.02 | ) | (0.01 | ) | (0.01 | ) | (0.09 | ) | — | ||||||||||||||||||||||||||||
Tax return of capital | — | (0.07 | ) | — | — | — | — | — | (0.07 | ) | — | — | — | — | ||||||||||||||||||||||||||||||||||
Total distributions | (0.11 | ) | (0.18 | ) | (0.03 | ) | (0.01 | ) | (0.09 | ) | (0.00 | ) (a) | (0.08 | ) | (0.15 | ) | (0.01 | ) | (0.01 | ) | (0.09 | ) | (0.00 | ) (a) | ||||||||||||||||||||||||
Net asset value, end of period/year | $ | 9.19 | $ | 8.96 | $ | 9.34 | $ | 8.85 | $ | 9.26 | $ | 9.32 | $ | 8.95 | $ | 8.73 | $ | 9.11 | $ | 8.66 | $ | 9.10 | $ | 9.22 | ||||||||||||||||||||||||
Total return + # | 3.73 | % | (2.03 | )% | 5.98 | % | (4.32 | )% | 0.46 | % | 4.77 | % | 3.48 | % | (2.48 | )% | 5.36 | % | (4.72 | )% | (0.19 | )% | 4.31 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 9,703 | $ | 6,722 | $ | 4,357 | $ | 3,802 | $ | 2,968 | $ | 2,118 | $ | 1,419 | $ | 1,180 | $ | 1,442 | $ | 1,366 | $ | 1,330 | $ | 1,204 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 2.16 | % | 1.61 | % | 1.61 | % | 1.60 | % | 1.79 | % | 1.53 | % | 2.66 | % | 2.11 | % | 2.11 | % | 2.10 | % | 2.29 | % | 2.03 | % | ||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | 1.75 | % | 1.91 | % | (0.55 | )% | (0.59 | )% | (0.63 | )% | 0.10 | % | 1.23 | % | 1.21 | % | (1.05 | )% | (1.10 | )% | (1.11 | )% | (0.33 | )% | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 16 | % | 138 | % | 109 | % | 45 | % | 56 | % | 64 | % | 16 | % | 138 | % | 109 | % | 45 | % | 56 | % | 64 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout the year/period. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. |
(a) | Represents less than $0.01 per share. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes which are an integral part to these financial statements.
145
FINANCIAL HIGHLIGHTS |
Dunham Large Cap Value Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 13.58 | $ | 14.96 | $ | 14.18 | $ | 14.16 | $ | 12.22 | $ | 16.32 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income * | 0.06 | 0.17 | 0.18 | 0.14 | 0.15 | 0.22 | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 4.61 | (1.03 | ) | 1.29 | 0.15 | 2.01 | (0.04 | ) | ||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 4.67 | (0.86 | ) | 1.47 | 0.29 | 2.16 | 0.18 | |||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.15 | ) | (0.18 | ) | (0.15 | ) | (0.13 | ) | (0.22 | ) | (0.18 | ) | ||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | — | (0.34 | ) | (0.54 | ) | (0.14 | ) | — | (4.10 | ) | ||||||||||||||||||||||||||||||||||||||
Total distributions | (0.15 | ) | (0.52 | ) | (0.69 | ) | (0.27 | ) | (0.22 | ) | (4.28 | ) | ||||||||||||||||||||||||||||||||||||
Net asset value, end of period/year | $ | 18.10 | $ | 13.58 | $ | 14.96 | $ | 14.18 | $ | 14.16 | $ | 12.22 | ||||||||||||||||||||||||||||||||||||
Total return + # | 34.61 | % | (6.15 | )% | 11.37 | % | 1.98 | % | 17.84 | % | 1.73 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 110,607 | $ | 73,557 | $ | 61,791 | $ | 55,428 | $ | 55,155 | $ | 45,026 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 1.11 | % | 1.24 | % | 1.14 | % | 1.30 | % | 1.13 | % | 0.93 | % | ||||||||||||||||||||||||||||||||||||
After fees paid indirectly ^ | 1.10 | % | 1.24 | % | 1.14 | % | 1.30 | % | 1.12 | % | 0.93 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 0.80 | % | 1.25 | % | 1.30 | % | 0.94 | % | 1.12 | % | 1.81 | % | ||||||||||||||||||||||||||||||||||||
After fees paid indirectly ^ | 0.80 | % | 1.25 | % | 1.30 | % | 0.94 | % | 1.13 | % | 1.81 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 28 | % | 43 | % | 44 | % | 45 | % | 61 | % | 59 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
April 30, 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | April 30, 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 13.50 | $ | 14.87 | $ | 14.11 | $ | 14.10 | $ | 12.16 | $ | 16.26 | $ | 12.80 | $ | 14.17 | $ | 13.45 | $ | 13.47 | $ | 11.65 | $ | 15.74 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.04 | 0.14 | 0.15 | 0.10 | 0.11 | 0.19 | (0.01 | ) | 0.03 | 0.04 | (0.01 | ) | 0.02 | 0.10 | ||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 4.58 | (1.03 | ) | 1.27 | 0.15 | 2.02 | (0.05 | ) | 4.34 | (0.98 | ) | 1.23 | 0.15 | 1.92 | (0.06 | ) | ||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 4.62 | (0.89 | ) | 1.42 | 0.25 | 2.13 | 0.14 | 4.33 | (0.95 | ) | 1.27 | 0.14 | 1.94 | 0.04 | ||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.12 | ) | (0.14 | ) | (0.12 | ) | (0.10 | ) | (0.19 | ) | (0.14 | ) | (0.05 | ) | (0.08 | ) | (0.01 | ) | (0.02 | ) | (0.12 | ) | (0.03 | ) | ||||||||||||||||||||||||
Distributions from net realized gains | — | (0.34 | ) | (0.54 | ) | (0.14 | ) | — | (4.10 | ) | — | (0.34 | ) | (0.54 | ) | (0.14 | ) | — | (4.10 | ) | ||||||||||||||||||||||||||||
Total distributions | (0.12 | ) | (0.48 | ) | (0.66 | ) | (0.24 | ) | (0.19 | ) | (4.24 | ) | (0.05 | ) | (0.42 | ) | (0.55 | ) | (0.16 | ) | (0.12 | ) | (4.13 | ) | ||||||||||||||||||||||||
Net asset value, end of period/year | $ | 18.00 | $ | 13.50 | $ | 14.87 | $ | 14.11 | $ | 14.10 | $ | 12.16 | $ | 17.08 | $ | 12.80 | $ | 14.17 | $ | 13.45 | $ | 13.47 | $ | 11.65 | ||||||||||||||||||||||||
Total return + # | 34.38 | % | (6.33 | )% | 11.00 | % | 1.71 | % | 17.66 | % | 1.43 | % | 33.85 | % | (7.05 | )% | 10.24 | % | 1.00 | % | 16.72 | % | 0.66 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 21,861 | $ | 16,855 | $ | 16,363 | $ | 12,525 | $ | 10,174 | $ | 6,544 | $ | 4,558 | $ | 3,897 | $ | 5,319 | $ | 4,167 | $ | 4,640 | $ | 4,850 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 1.37 | % | 1.49 | % | 1.39 | % | 1.55 | % | 1.38 | % | 1.18 | % | 2.11 | % | 2.24 | % | 2.14 | % | 2.30 | % | 2.13 | % | 1.93 | % | ||||||||||||||||||||||||
After fees paid indirectly ^ | 1.36 | % | 1.49 | % | 1.39 | % | 1.55 | % | 1.37 | % | 1.18 | % | 2.11 | % | 2.24 | % | 2.14 | % | 2.30 | % | 2.12 | % | 1.93 | % | ||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 0.55 | % | 1.00 | % | 1.05 | % | 0.70 | % | 0.84 | % | 1.57 | % | (0.19 | )% | 0.23 | % | 0.30 | % | (0.07 | )% | 0.14 | % | 0.83 | % | ||||||||||||||||||||||||
After fees paid indirectly ^ | 0.55 | % | 1.00 | % | 1.05 | % | 0.70 | % | 0.85 | % | 1.57 | % | (0.19 | )% | 0.23 | % | 0.30 | % | (0.07 | )% | 0.15 | % | 0.83 | % | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 28 | % | 43 | % | 44 | % | 45 | % | 61 | % | 59 | % | 28 | % | 43 | % | 44 | % | 45 | % | 61 | % | 59 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year/period. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes which are an integral part to these financial statements.
146
FINANCIAL HIGHLIGHTS |
Dunham Small Cap Value Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/yea | $ | 11.91 | $ | 14.67 | $ | 15.72 | $ | 17.47 | $ | 14.41 | $ | 14.27 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) * | 0.10 | 0.10 | (0.00 | ) (a) | 0.00 | (a) | 0.07 | 0.09 | ||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 6.15 | (2.86 | ) | 0.65 | 0.10 | (b) | 3.57 | 0.54 | ||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 6.25 | (2.76 | ) | 0.65 | 0.10 | 3.64 | 0.63 | |||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.14 | ) | — | — | (0.04 | ) | (0.10 | ) | (0.01 | ) | ||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (0.01 | ) | — | (1.70 | ) | (1.81 | ) | (0.48 | ) | (0.48 | ) | |||||||||||||||||||||||||||||||||||||
Total distributions | (0.15 | ) | — | (1.70 | ) | (1.85 | ) | (0.58 | ) | (0.49 | ) | |||||||||||||||||||||||||||||||||||||
Net asset value, end of period/year | $ | 18.01 | $ | 11.91 | $ | 14.67 | $ | 15.72 | $ | 17.47 | $ | 14.41 | ||||||||||||||||||||||||||||||||||||
Total return + # | 52.73 | % | (18.81 | )% | 6.15 | % | 0.37 | % | 25.55 | % | 4.58 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 63,235 | $ | 42,444 | $ | 43,564 | $ | 37,248 | $ | 22,710 | $ | 22,254 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 1.08 | % | 1.26 | % | 1.72 | % | 1.54 | % | 1.32 | % | 1.48 | % | ||||||||||||||||||||||||||||||||||||
After fees paid indirectly ^ | 1.08 | % | 1.17 | % | 1.72 | % | 1.54 | % | 1.32 | % | 1.48 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: (c) ! | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 1.32 | % | 0.72 | % | (0.01 | )% | 0.01 | % | 0.45 | % | 0.64 | % | ||||||||||||||||||||||||||||||||||||
After fees paid indirectly ^ | 1.32 | % | 0.81 | % | (0.01 | )% | 0.01 | % | 0.45 | % | 0.64 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 50 | % | 135 | % | 85 | % | 101 | % | 100 | % | 129 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
April 30, 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | April 30, 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 11.70 | $ | 14.45 | $ | 15.55 | $ | 17.31 | $ | 14.29 | $ | 14.18 | $ | 10.05 | $ | 12.51 | $ | 13.81 | $ | 15.67 | $ | 13.02 | $ | 13.06 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.09 | 0.07 | (0.04 | ) | (0.04 | ) | 0.03 | 0.05 | 0.02 | (0.02 | ) | (0.12 | ) | (0.15 | ) | (0.08 | ) | (0.05 | ) | |||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 6.03 | (2.82 | ) | 0.64 | 0.09 | (b) | 3.54 | 0.54 | 5.20 | (2.44 | ) | 0.52 | 0.10 | (b) | 3.21 | 0.49 | ||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 6.12 | (2.75 | ) | 0.60 | 0.05 | 3.57 | 0.59 | 5.22 | (2.46 | ) | 0.40 | (0.05 | ) | 3.13 | 0.44 | |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.11 | ) | — | — | (0.00 | ) (a) | (0.07 | ) | — | (0.02 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||||
Distributions from net realized gains | (0.01 | ) | — | (1.70 | ) | (1.81 | ) | (0.48 | ) | (0.48 | ) | (0.01 | ) | — | (1.70 | ) | (1.81 | ) | (0.48 | ) | (0.48 | ) | ||||||||||||||||||||||||||
Total distributions | (0.11 | ) | — | (1.70 | ) | (1.81 | ) | (0.55 | ) | (0.48 | ) | (0.03 | ) | — | (1.70 | ) | (1.81 | ) | (0.48 | ) | (0.48 | ) | ||||||||||||||||||||||||||
Net asset value, end of period/year | $ | 17.71 | $ | 11.70 | $ | 14.45 | $ | 15.55 | $ | 17.31 | $ | 14.29 | $ | 15.24 | $ | 10.05 | $ | 12.51 | $ | 13.81 | $ | 15.67 | $ | 13.02 | ||||||||||||||||||||||||
Total return + # | 52.55 | % | (19.03 | )% | 5.85 | % | 0.08 | % | 25.26 | % | 4.33 | % | 51.96 | % | (19.66 | )% | 5.06 | % | (0.63 | )% | 24.29 | % | 3.52 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 10,674 | $ | 8,955 | $ | 9,848 | $ | 7,869 | $ | 4,569 | $ | 3,802 | $ | 2,832 | $ | 2,064 | $ | 2,835 | $ | 2,139 | $ | 2,611 | $ | 2,241 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 1.33 | % | 1.51 | % | 1.97 | % | 1.79 | % | 1.57 | % | 1.73 | % | 2.08 | % | 2.26 | % | 2.72 | % | 2.54 | % | 2.32 | % | 2.48 | % | ||||||||||||||||||||||||
After fees paid indirectly ^ | 1.33 | % | 1.42 | % | 1.97 | % | 1.79 | % | 1.57 | % | 1.73 | % | 2.08 | % | 2.17 | % | 2.72 | % | 2.54 | % | 2.32 | % | 2.48 | % | ||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: (c) ! | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 1.13 | % | 0.46 | % | (0.26 | )% | (0.26 | )% | 0.19 | % | 0.40 | % | 0.33 | % | (0.29 | )% | (1.01 | )% | (1.04 | )% | (0.57 | )% | (0.36 | )% | ||||||||||||||||||||||||
After fees paid indirectly ^ | 1.13 | % | 0.55 | % | (0.26 | )% | (0.26 | )% | 0.19 | % | 0.40 | % | 0.33 | % | (0.20 | )% | (1.01 | )% | (1.04 | )% | (0.57 | )% | (0.36 | )% | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 50 | % | 135 | % | 85 | % | 101 | % | 100 | % | 129 | % | 50 | % | 135 | % | 85 | % | 101 | % | 100 | % | 129 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year/period. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. |
! | Recognition of net investment income (loss) is affected by the timing and declaration of dividends by underlying funds in which the Fund invests. |
(a) | Represents less than $0.01 per share. |
(b) | The amount of net realized and unrealized gain (loss) on investment per share for the year ended October 31, 2018 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values. |
(c) | Does not Include the expenses of other investment companies in which the Fund invests. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes which are an integral part to these financial statements.
147
FINANCIAL HIGHLIGHTS |
Dunham Focused Large Cap Growth Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||||||||||||||||||||||||||
Ended April 30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 33.67 | $ | 24.24 | $ | 22.50 | $ | 19.37 | $ | 15.92 | $ | 16.97 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment loss* | (0.19 | ) | (0.32 | ) | (0.25 | ) | (0.22 | ) | (0.14 | ) | (0.10 | ) | ||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 6.72 | 10.58 | 3.69 | 3.53 | 3.59 | (0.86 | ) | |||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 6.53 | 10.26 | 3.44 | 3.31 | 3.45 | (0.96 | ) | |||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (0.84 | ) | (0.83 | ) | (1.70 | ) | (0.18 | ) | — | (0.09 | ) | |||||||||||||||||||||||||||||||||||||
Total distributions | (0.84 | ) | (0.83 | ) | (1.70 | ) | (0.18 | ) | — | (0.09 | ) | |||||||||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 39.36 | $ | 33.67 | $ | 24.24 | $ | 22.50 | $ | 19.37 | $ | 15.92 | ||||||||||||||||||||||||||||||||||||
Total return + # | 19.54 | % | 43.39 | % | 17.19 | % | 17.24 | % | 21.67 | % | (5.66 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 143,289 | $ | 108,816 | $ | 74,714 | $ | 59,424 | $ | 56,472 | $ | 51,242 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers and fees paid indirectly | 1.26 | % | 1.30 | % | 1.33 | % | 1.30 | % | 1.16 | % | 1.20 | % | ||||||||||||||||||||||||||||||||||||
After fee waivers and fees paid indirectly | 1.26 | % | 1.30 | % | 1.33 | % | 1.29 | % | 1.14 | % | 1.20 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment loss to average net assets: ^ | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers and fees paid indirectly | (1.01 | )% | (1.08 | )% | (1.06 | )% | (1.01 | )% | (0.79 | )% | (0.64 | )% | ||||||||||||||||||||||||||||||||||||
After fee waivers and fees paid indirectly | (1.01 | )% | (1.08 | )% | (1.06 | )% | (1.01 | )% | (0.77 | )% | (0.64 | )% | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 14 | % | 17 | % | 28 | % | 25 | % | 38 | % | 29 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months | Six Months | |||||||||||||||||||||||||||||||||||||||||||||||
Ended April 30, | Year Ended October 31, | Ended April 30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 32.84 | $ | 23.71 | $ | 22.11 | $ | 19.08 | $ | 15.73 | $ | 16.80 | $ | 30.51 | $ | 22.25 | $ | 21.00 | $ | 18.27 | $ | 15.17 | $ | 16.33 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment loss* | (0.23 | ) | (0.38 | ) | (0.30 | ) | (0.28 | ) | (0.18 | ) | (0.14 | ) | (0.34 | ) | (0.55 | ) | (0.44 | ) | (0.42 | ) | (0.30 | ) | (0.25 | ) | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 6.55 | 10.34 | 3.60 | 3.49 | 3.53 | (0.84 | ) | 6.07 | 9.64 | 3.39 | 3.33 | 3.40 | (0.82 | ) | ||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 6.32 | 9.96 | 3.30 | 3.21 | 3.35 | (0.98 | ) | 5.73 | 9.09 | 2.95 | 2.91 | 3.10 | (1.07 | ) | ||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (0.84 | ) | (0.83 | ) | (1.70 | ) | (0.18 | ) | — | (0.09 | ) | (0.84 | ) | (0.83 | ) | (1.70 | ) | (0.18 | ) | — | (0.09 | ) | ||||||||||||||||||||||||||
Total distributions | (0.84 | ) | (0.83 | ) | (1.70 | ) | (0.18 | ) | — | (0.09 | ) | (0.84 | ) | (0.83 | ) | (1.70 | ) | (0.18 | ) | — | (0.09 | ) | ||||||||||||||||||||||||||
Net asset value, end of year | $ | 38.32 | $ | 32.84 | $ | 23.71 | $ | 22.11 | $ | 19.08 | $ | 15.73 | $ | 35.40 | $ | 30.51 | $ | 22.25 | $ | 21.00 | $ | 18.27 | $ | 15.17 | ||||||||||||||||||||||||
Total return + # | 19.36 | % | 43.09 | % | 16.84 | % | 16.98 | % | 21.30 | % | (5.84 | )% | 18.93 | % | 41.97 | % | 16.00 | % | 16.08 | % | 20.44 | % | (6.56 | )% | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 34,923 | $ | 31,205 | $ | 24,131 | $ | 15,031 | $ | 12,944 | $ | 9,620 | $ | 12,584 | $ | 10,414 | $ | 8,314 | $ | 6,844 | $ | 6,758 | $ | 4,988 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers and fees paid indirectly | 1.51 | % | 1.55 | % | 1.58 | % | 1.55 | % | 1.41 | % | 1.45 | % | 2.26 | % | 2.30 | % | 2.33 | % | 2.30 | % | 2.16 | % | 2.20 | % | ||||||||||||||||||||||||
After fee waivers and fees paid indirectly | 1.51 | % | 1.55 | % | 1.58 | % | 1.54 | % | 1.39 | % | 1.45 | % | 2.26 | % | 2.30 | % | 2.33 | % | 2.29 | % | 2.14 | % | 2.20 | % | ||||||||||||||||||||||||
Ratios of net investment loss to average net assets: ^ | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers and fees paid indirectly | (1.26 | )% | (1.34 | )% | (1.32 | )% | (1.26 | )% | (1.05 | )% | (0.91 | )% | (2.01 | )% | (2.08 | )% | (2.06 | )% | (2.01 | )% | (1.80 | )% | (1.67 | )% | ||||||||||||||||||||||||
After fee waivers and fees paid indirectly | (1.26 | )% | (1.34 | )% | (1.32 | )% | (1.26 | )% | (1.03 | )% | (0.91 | )% | (2.01 | )% | (2.08 | )% | (2.06 | )% | (2.01 | )% | (1.78 | )% | (1.67 | )% | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 14 | % | 17 | % | 28 | % | 25 | % | 38 | % | 29 | % | 14 | % | 17 | % | 28 | % | 25 | % | 38 | % | 29 | % | ||||||||||||||||||||||||
* | The net investment loss per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes which are an integral part to these financial statements.
148
FINANCIAL HIGHLIGHTS |
Dunham Small Cap Growth Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||||||||||||||||||||||||||
Ended April 30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 21.62 | $ | 16.00 | $ | 20.28 | $ | 20.31 | $ | 15.34 | $ | 17.08 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment loss* | (0.19 | ) | (0.23 | ) | (0.23 | ) | (0.27 | ) | (0.15 | ) | (0.06 | ) | ||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) (a) | 8.89 | 6.15 | (0.25 | ) | 3.20 | 5.12 | (0.24 | ) | ||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 8.70 | 5.92 | (0.48 | ) | 2.93 | 4.97 | (0.30 | ) | ||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.28 | ) | (0.05 | ) | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (3.53 | ) | (0.25 | ) | (3.80 | ) | (2.96 | ) | — | (1.40 | ) | |||||||||||||||||||||||||||||||||||||
Tax return of capital | — | — | — | — | — | (0.04 | ) | |||||||||||||||||||||||||||||||||||||||||
Total distributions | (3.81 | ) | (0.30 | ) | (3.80 | ) | (2.96 | ) | — | (1.44 | ) | |||||||||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 26.51 | $ | 21.62 | $ | 16.00 | $ | 20.28 | $ | 20.31 | $ | 15.34 | ||||||||||||||||||||||||||||||||||||
Total return + # | 41.69 | % | 37.55 | % | 1.36 | % | 16.02 | % | 32.40 | % | (1.88 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 54,856 | $ | 42,792 | $ | 37,340 | $ | 33,882 | $ | 24,641 | $ | 26,010 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly | 1.83 | % | 1.78 | % | 1.90 | % | 1.94 | % | 1.36 | % | 1.23 | % | ||||||||||||||||||||||||||||||||||||
After fees paid indirectly | 1.83 | % | 1.75 | % | 1.88 | % | 1.93 | % | 1.35 | % | 1.23 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment loss to average net assets: ^ | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly | (1.51 | )% | (1.34 | )% | (1.36 | )% | (1.31 | )% | (0.86 | )% | (0.38 | )% | ||||||||||||||||||||||||||||||||||||
After fees paid indirectly | (1.50 | )% | (1.31 | )% | (1.34 | )% | (1.29 | )% | (0.85 | )% | (0.38 | )% | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 72 | % | 178 | % | 169 | % | 190 | % | 174 | % | 181 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months | Six Months | |||||||||||||||||||||||||||||||||||||||||||||||
Ended April 30, | Year Ended October 31, | Ended April 30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 20.36 | $ | 15.09 | $ | 19.42 | $ | 19.62 | $ | 14.85 | $ | 16.62 | $ | 15.39 | $ | 11.54 | $ | 16.00 | $ | 16.77 | $ | 12.79 | $ | 14.61 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment loss* | (0.21 | ) | (0.26 | ) | (0.25 | ) | (0.31 | ) | (0.19 | ) | (0.10 | ) | (0.22 | ) | (0.29 | ) | (0.29 | ) | (0.37 | ) | (0.28 | ) | (0.18 | ) | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) (a) | 8.36 | 5.80 | (0.28 | ) | 3.07 | 4.96 | (0.23 | ) | 6.25 | 4.39 | (0.37 | ) | 2.56 | 4.26 | (0.20 | ) | ||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 8.15 | 5.54 | (0.53 | ) | 2.76 | 4.77 | (0.33 | ) | 6.03 | 4.10 | (0.66 | ) | 2.19 | 3.98 | (0.38 | ) | ||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.23 | ) | (0.02 | ) | — | — | — | — | (0.13 | ) | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Distributions from net realized gains | (3.53 | ) | (0.25 | ) | (3.80 | ) | (2.96 | ) | — | (1.40 | ) | (3.53 | ) | (0.25 | ) | (3.80 | ) | (2.96 | ) | — | (1.40 | ) | ||||||||||||||||||||||||||
Tax return of capital | — | — | — | — | — | (0.04 | ) | — | — | — | — | — | (0.04 | ) | ||||||||||||||||||||||||||||||||||
Total distributions | (3.76 | ) | (0.27 | ) | (3.80 | ) | (2.96 | ) | — | (1.44 | ) | (3.66 | ) | (0.25 | ) | (3.80 | ) | (2.96 | ) | — | (1.44 | ) | ||||||||||||||||||||||||||
Net asset value, end of year | $ | 24.75 | $ | 20.36 | $ | 15.09 | $ | 19.42 | $ | 19.62 | $ | 14.85 | $ | 17.76 | $ | 15.39 | $ | 11.54 | $ | 16.00 | $ | 16.77 | $ | 12.79 | ||||||||||||||||||||||||
Total return + # | 41.55 | % | 37.18 | % | 1.11 | % | 15.69 | % | 32.12 | % | (2.12 | )% | 40.95 | % | 36.10 | % | 0.36 | % | 14.84 | % | 31.12 | % | (2.82 | )% | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 21,981 | $ | 12,750 | $ | 10,797 | $ | 10,799 | $ | 6,925 | $ | 5,540 | $ | 3,615 | $ | 2,619 | $ | 2,440 | $ | 2,720 | $ | 2,644 | $ | 2,155 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly | 2.08 | % | 2.03 | % | 2.15 | % | 2.19 | % | 1.61 | % | 1.48 | % | 2.83 | % | 2.78 | % | 2.90 | % | 2.94 | % | 2.36 | % | 2.23 | % | ||||||||||||||||||||||||
After fees paid indirectly | 2.07 | % | 2.00 | % | 2.13 | % | 2.18 | % | 1.60 | % | 1.48 | % | 2.83 | % | 2.75 | % | 2.88 | % | 2.93 | % | 2.35 | % | 2.23 | % | ||||||||||||||||||||||||
Ratios of net investment loss to average net assets: ^ | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly | (1.76 | )% | (1.57 | )% | (1.61 | )% | (1.56 | )% | (1.13 | )% | (0.69 | )% | (2.51 | )% | (2.32 | )% | (2.37 | )% | (2.30 | )% | (1.89 | )% | (1.45 | )% | ||||||||||||||||||||||||
After fees paid indirectly | (1.76 | )% | (1.54 | )% | (1.59 | )% | (1.55 | )% | (1.12 | )% | (0.69 | )% | (2.51 | )% | (2.29 | )% | (2.35 | )% | (2.29 | )% | (1.88 | )% | (1.45 | )% | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 72 | % | 178 | % | 169 | % | 190 | % | 174 | % | 181 | % | 72 | % | 178 | % | 169 | % | 190 | % | 174 | % | 181 | % |
* | The net investment loss per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. |
(a) | The amount of net realized and unrealized gain (loss) on investment per share for the years ended October 31, 2019 and October 31, 2016 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes which are an integral part to these financial statements.
149
FINANCIAL HIGHLIGHTS |
Dunham Emerging Markets Stock Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 15.70 | $ | 14.27 | $ | 12.85 | $ | 15.94 | $ | 12.73 | $ | 11.97 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) * | (0.04 | ) | (0.03 | ) | 0.19 | 0.27 | 0.17 | 0.20 | ||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 4.04 | 1.59 | 1.48 | (3.20 | ) | 3.28 | 0.64 | |||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 4.00 | 1.56 | 1.67 | (2.93 | ) | 3.45 | 0.84 | |||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.03 | ) | (0.13 | ) | (0.25 | ) | (0.16 | ) | (0.24 | ) | (0.08 | ) | ||||||||||||||||||||||||||||||||||||
Total distributions | (0.03 | ) | (0.13 | ) | (0.25 | ) | (0.16 | ) | (0.24 | ) | (0.08 | ) | ||||||||||||||||||||||||||||||||||||
Net asset value, end of period/year | $ | 19.67 | $ | 15.70 | $ | 14.27 | $ | 12.85 | $ | 15.94 | $ | 12.73 | ||||||||||||||||||||||||||||||||||||
Total return + # | 25.47 | % | 10.94 | % | 13.29 | % | (18.57 | )% | 27.69 | % | 7.13 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 100,464 | $ | 70,868 | $ | 59,931 | $ | 53,261 | $ | 51,365 | $ | 46,481 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.73 | % | 1.86 | % | 1.61 | % | 1.19 | % | 1.75 | % | 1.27 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | (0.43 | )% | (0.19 | )% | 1.42 | % | 1.79 | % | 1.18 | % | 1.73 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 44 | % | 113 | % | 129 | % | 66 | % | 74 | % | 97 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
April 30, 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | April 30, 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 15.32 | $ | 13.94 | $ | 12.56 | $ | 15.58 | $ | 12.45 | $ | 11.71 | $ | 14.41 | $ | 13.16 | $ | 11.85 | $ | 14.74 | $ | 11.82 | $ | 11.14 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | (0.06 | ) | (0.06 | ) | 0.16 | 0.23 | 0.14 | 0.17 | (0.13 | ) | (0.16 | ) | 0.05 | 0.11 | 0.02 | 0.08 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 3.94 | 1.54 | 1.44 | (3.13 | ) | 3.20 | 0.62 | 3.71 | 1.45 | 1.38 | (2.94 | ) | 3.04 | 0.60 | ||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 3.88 | 1.48 | 1.60 | (2.90 | ) | 3.34 | 0.79 | 3.58 | 1.29 | 1.43 | (2.83 | ) | 3.06 | 0.68 | ||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | 0.00 | (0.10 | ) | (0.22 | ) | (0.12 | ) | (0.21 | ) | (0.05 | ) | — | (0.04 | ) | (0.12 | ) | (0.06 | ) | (0.14 | ) | — | |||||||||||||||||||||||||||
Total distributions | 0.00 | (0.10 | ) | (0.22 | ) | (0.12 | ) | (0.21 | ) | (0.05 | ) | 0.00 | (0.04 | ) | (0.12 | ) | (0.06 | ) | (0.14 | ) | — | |||||||||||||||||||||||||||
Net asset value, end of period/year | $ | 19.20 | $ | 15.32 | $ | 13.94 | $ | 12.56 | $ | 15.58 | $ | 12.45 | $ | 17.99 | $ | 14.41 | $ | 13.16 | $ | 11.85 | $ | 14.74 | $ | 11.82 | ||||||||||||||||||||||||
Total return + # | 25.33 | % | 10.58 | % | 12.98 | % | (18.73 | )% | 27.36 | % | 6.84 | % | 24.84 | % | 9.78 | % | 12.18 | % | (19.30 | )% | 26.31 | % | 6.10 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 19,501 | $ | 14,864 | $ | 12,106 | $ | 9,662 | $ | 8,242 | $ | 6,348 | $ | 3,631 | $ | 3,005 | $ | 3,463 | $ | 3,163 | $ | 3,467 | $ | 3,380 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.98 | % | 2.11 | % | 1.86 | % | 1.44 | % | 2.00 | % | 1.52 | % | 2.73 | % | 2.86 | % | 2.61 | % | 2.19 | % | 2.75 | % | 2.27 | % | ||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | (0.68 | )% | (0.43 | )% | 1.17 | % | 1.54 | % | 0.98 | % | 1.46 | % | (1.44 | )% | (1.22 | )% | 0.41 | % | 0.77 | % | 0.10 | % | 0.77 | % | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 44 | % | 113 | % | 129 | % | 66 | % | 74 | % | 97 | % | 44 | % | 113 | % | 129 | % | 66 | % | 74 | % | 97 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year/period. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes which are an integral part to these financial statements.
150
FINANCIAL HIGHLIGHTS |
Dunham International Stock Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||||||||||||||||||||||||||
Ended April 30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 15.26 | $ | 15.51 | $ | 15.61 | $ | 17.54 | $ | 14.24 | $ | 14.24 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income * | 0.09 | 0.15 | 0.34 | 0.21 | 0.21 | 0.16 | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) ! | 5.33 | (0.06 | ) | 0.62 | (1.39 | ) | 3.09 | (0.15 | ) | |||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 5.42 | 0.09 | 0.96 | (1.18 | ) | 3.30 | 0.01 | |||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.15 | ) | (0.34 | ) | (0.18 | ) | (0.26 | ) | — | (0.01 | ) | |||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (0.01 | ) | — | (0.88 | ) | (0.49 | ) | — | — | |||||||||||||||||||||||||||||||||||||||
Total distributions | (0.16 | ) | (0.34 | ) | (1.06 | ) | (0.75 | ) | — | (0.01 | ) | |||||||||||||||||||||||||||||||||||||
Net asset value, end of period/year | $ | 20.52 | $ | 15.26 | $ | 15.51 | $ | 15.61 | $ | 17.54 | $ | 14.24 | ||||||||||||||||||||||||||||||||||||
Total return + # | 35.08 | % | 0.45 | % | 7.08 | % | (7.08 | )% | 23.17 | % | 0.06 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 132,212 | $ | 19,247 | $ | 101,505 | $ | 89,401 | $ | 90,257 | $ | 78,640 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 1.92 | % | 1.71 | % | 1.43 | % | 1.67 | % | 1.56 | % | 1.63 | % | ||||||||||||||||||||||||||||||||||||
After fees paid indirectly ^ | 1.92 | % | 1.71 | % | 1.43 | % | 1.67 | % | 1.55 | % | 1.63 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 0.94 | % | 0.98 | % | 2.28 | % | 1.24 | % | 1.34 | % | 1.17 | % | ||||||||||||||||||||||||||||||||||||
After fees paid indirectly ^ | 0.94 | % | 0.98 | % | 2.28 | % | 1.24 | % | 1.35 | % | 1.17 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 74 | % | 156 | % | 100 | % | 113 | % | 119 | % | 143 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months | Six Months | |||||||||||||||||||||||||||||||||||||||||||||||
Ended April 30, | Year Ended October 31, | Ended April 30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 15.13 | $ | 15.38 | $ | 15.49 | $ | 17.42 | $ | 14.17 | $ | 14.21 | $ | 14.25 | $ | 14.55 | $ | 14.68 | $ | 16.59 | $ | 13.60 | $ | 13.73 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.06 | 0.11 | 0.30 | 0.17 | 0.17 | 0.13 | (0.01 | ) | (0.02 | ) | 0.18 | 0.04 | 0.04 | 0.03 | ||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) ! | 5.30 | (0.06 | ) | 0.61 | (1.38 | ) | 3.08 | (0.17 | ) | 4.99 | (0.05 | ) | 0.59 | (1.31 | ) | 2.95 | (0.16 | ) | ||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 5.36 | 0.05 | 0.91 | (1.21 | ) | 3.25 | (0.04 | ) | 4.98 | (0.07 | ) | 0.77 | (1.27 | ) | 2.99 | (0.13 | ) | |||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.11 | ) | (0.30 | ) | (0.14 | ) | (0.23 | ) | — | — | — | (0.23 | ) | (0.02 | ) | (0.15 | ) | — | — | |||||||||||||||||||||||||||||
Distributions from net realized gains | (0.01 | ) | — | (0.88 | ) | (0.49 | ) | — | — | (0.01 | ) | — | (0.88 | ) | (0.49 | ) | — | — | ||||||||||||||||||||||||||||||
Total distributions | (0.12 | ) | (0.30 | ) | (1.02 | ) | (0.72 | ) | — | — | (0.01 | ) | (0.23 | ) | (0.90 | ) | (0.64 | ) | — | — | ||||||||||||||||||||||||||||
Net asset value, end of period/year | $ | 20.37 | $ | 15.13 | $ | 15.38 | $ | 15.49 | $ | 17.42 | $ | 14.17 | $ | 19.22 | $ | 14.25 | $ | 14.55 | $ | 14.68 | $ | 16.59 | $ | 13.60 | ||||||||||||||||||||||||
Total return + # | 34.95 | % | 0.24 | % | 6.78 | % | (7.30 | )% | 22.94 | % | (0.28 | )% | 34.13 | % | (0.55 | )% | 6.03 | % | (8.03 | )% | 21.99 | % | (0.95 | )% | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 24,926 | $ | 3,788 | $ | 22,499 | $ | 18,250 | $ | 15,524 | $ | 10,305 | $ | 5,911 | $ | 1,144 | $ | 6,409 | $ | 5,764 | $ | 6,570 | $ | 6,483 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 2.17 | % | 1.96 | % | 1.68 | % | 1.92 | % | 1.81 | % | 1.88 | % | 2.92 | % | 2.71 | % | 2.43 | % | 2.67 | % | 2.56 | % | 2.63 | % | ||||||||||||||||||||||||
After fees paid indirectly ^ | 2.17 | % | 1.96 | % | 1.68 | % | 1.92 | % | 1.80 | % | 1.88 | % | 2.92 | % | 2.71 | % | 2.43 | % | 2.67 | % | 2.55 | % | 2.63 | % | ||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fees paid indirectly ^ | 0.63 | % | 0.71 | % | 2.04 | % | 1.01 | % | 1.07 | % | 0.93 | % | (0.07 | )% | (0.11 | )% | 1.26 | % | 0.22 | % | 0.30 | % | 0.20 | % | ||||||||||||||||||||||||
After fees paid indirectly ^ | 0.63 | % | 0.71 | % | 2.04 | % | 1.01 | % | 1.08 | % | 0.93 | % | (0.07 | )% | (0.11 | )% | 1.26 | % | 0.22 | % | 0.31 | % | 0.20 | % | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 74 | % | 156 | % | 100 | % | 113 | % | 119 | % | 143 | % | 74 | % | 156 | % | 100 | % | 113 | % | 119 | % | 143 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each period/year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. |
! | The amount of net realized and unrealized gain (loss) on investment per share for the year ended October 31, 2020 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes which are an integral part to these financial statements.
151
FINANCIAL HIGHLIGHTS |
Dunham Dynamic Macro Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 10.00 | $ | 10.08 | $ | 9.53 | $ | 10.18 | $ | 9.55 | $ | 9.81 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) * | (0.04 | ) | (0.00 | ) (a) | 0.12 | 0.02 | (0.03 | ) | (0.00 | ) (a) | ||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.85 | (0.08 | ) | 0.65 | (0.67 | ) | 0.66 | (0.26 | ) | |||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.81 | (0.08 | ) | 0.77 | (0.65 | ) | 0.63 | (0.26 | ) | |||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.08 | ) | — | (0.17 | ) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Tax return of capital | — | — | (0.05 | ) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.08 | ) | — | (0.22 | ) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period/year | $ | 10.73 | $ | 10.00 | $ | 10.08 | $ | 9.53 | $ | 10.18 | $ | 9.55 | ||||||||||||||||||||||||||||||||||||
Total return + # | 8.11 | % | (0.79 | )% | 8.35 | % | (6.39 | )% | 6.60 | % | (2.68 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 19,247 | $ | 23,680 | $ | 32,074 | $ | 35,638 | $ | 36,104 | $ | 28,650 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.86 | % | 1.69 | % | 1.54 | % | 1.80 | % | 1.83 | % | 1.63 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | (0.77 | )% | (0.02 | )% | 1.29 | % | 0.20 | % | (0.32 | )% | (0.03 | )% | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 0 | % | 187 | % | 28 | % | 11 | % | 7 | % | 54 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended October 31, | Six Months Ended | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
April 30, 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | April 30, 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 9.90 | $ | 10.00 | $ | 9.46 | $ | 10.12 | $ | 9.52 | $ | 9.81 | $ | 9.37 | $ | 9.55 | $ | 9.03 | $ | 9.74 | $ | 9.23 | $ | 9.58 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) * | (0.05 | ) | (0.03 | ) | 0.10 | 0.00 | (a) | (0.06 | ) | (0.02 | ) | (0.09 | ) | (0.10 | ) | 0.02 | (0.08 | ) | (0.12 | ) | (0.09 | ) | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.84 | (0.07 | ) | 0.64 | (0.66 | ) | 0.66 | (0.27 | ) | 0.81 | (0.08 | ) | 0.63 | (0.63 | ) | 0.63 | (0.26 | ) | ||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.79 | (0.10 | ) | 0.74 | (0.66 | ) | 0.60 | (0.29 | ) | 0.72 | (0.18 | ) | 0.65 | (0.71 | ) | 0.51 | (0.35 | ) | ||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.04 | ) | — | (0.15 | ) | — | — | — | — | — | (0.08 | ) | — | — | — | |||||||||||||||||||||||||||||||||
Tax return of capital | — | — | (0.05 | ) | — | — | — | — | — | (0.05 | ) | — | — | — | ||||||||||||||||||||||||||||||||||
Total distributions | (0.04 | ) | — | (0.20 | ) | — | — | — | — | — | (0.13 | ) | — | — | — | |||||||||||||||||||||||||||||||||
Net asset value, end of period/year | $ | 10.65 | $ | 9.90 | $ | 10.00 | $ | 9.46 | $ | 10.12 | $ | 9.52 | $ | 10.09 | $ | 9.37 | $ | 9.55 | $ | 9.03 | $ | 9.74 | $ | 9.23 | ||||||||||||||||||||||||
Total return + # | 7.95 | % | (1.00 | )% | 8.04 | % | (6.52 | )% | 6.30 | % | (2.95 | )% | 7.68 | % | (1.88 | )% | 7.31 | % | (7.29 | )% | 5.53 | % | (3.66 | )% | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 3,788 | $ | 5,078 | $ | 7,713 | $ | 7,918 | $ | 6,224 | $ | 3,897 | $ | 1,144 | $ | 1,284 | $ | 1,927 | $ | 1,696 | $ | 1,969 | $ | 2,131 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 2.09 | % | 1.94 | % | 1.79 | % | 2.05 | % | 2.08 | % | 1.88 | % | 2.86 | % | 2.69 | % | 2.54 | % | 2.80 | % | 2.83 | % | 2.63 | % | ||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | (0.99 | )% | (0.26 | )% | 1.03 | % | 0.00 | %(b) | (0.58 | )% | (0.26 | )% | (1.84 | )% | (1.04 | )% | 0.20 | % | (0.84 | )% | (1.34 | )% | (1.02 | )% | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 0 | % | 187 | % | 28 | % | 11 | % | 7 | % | 54 | % | 0 | % | 187 | % | 28 | % | 11 | % | 7 | % | 54 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year/period. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. |
(a) | Represents less than $0.01 per share. |
(b) | Represents less than 0.01%. |
^ | Not annualized for periods less than one year. |
(1) | Annualized for periods less than one year. |
See accompanying notes which are an integral part to these financial statements.
152
FINANCIAL HIGHLIGHTS |
Dunham Long/Short Credit Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||
April 30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 9.55 | $ | 9.36 | $ | 9.19 | $ | 8.68 | $ | 8.05 | $ | 8.75 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income* | 0.02 | 0.13 | 0.24 | 0.23 | 0.16 | 0.23 | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.27 | 0.26 | 0.24 | 0.49 | 0.72 | (0.39 | ) | |||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.29 | 0.39 | 0.48 | 0.72 | 0.88 | (0.16 | ) | |||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.02 | ) | (0.15 | ) | (0.31 | ) | (0.21 | ) | (0.25 | ) | (0.36 | ) | ||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (0.16 | ) | (0.05 | ) | — | — | — | (0.18 | ) | |||||||||||||||||||||||||||||||||||||||
Total distributions | (0.18 | ) | (0.20 | ) | (0.31 | ) | (0.21 | ) | (0.25 | ) | (0.54 | ) | ||||||||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 9.66 | $ | 9.55 | $ | 9.36 | $ | 9.19 | $ | 8.68 | $ | 8.05 | ||||||||||||||||||||||||||||||||||||
Total return + # | 3.09 | % | 4.23 | % | 5.31 | % | 8.42 | % | 11.20 | % | (1.92 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 161,080 | $ | 110,215 | $ | 67,276 | $ | 36,055 | $ | 12,953 | $ | 16,929 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.83 | % | 1.43 | % | 1.24 | % | 1.44 | % | 1.41 | % | 1.42 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 0.50 | % | 1.41 | % | 2.60 | % | 2.52 | % | 1.90 | % | 2.83 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 178 | % | 519 | % | 426 | % | 275 | % | 106 | % | 96 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | Six Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||
April 30, | Year Ended October 31, | April 30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 9.53 | $ | 9.33 | $ | 9.17 | $ | 8.66 | $ | 8.03 | $ | 8.73 | $ | 9.24 | $ | 9.08 | $ | 8.94 | $ | 8.46 | $ | 7.86 | $ | 8.56 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | 0.01 | 0.11 | 0.22 | 0.19 | 0.14 | 0.20 | (0.02 | ) | 0.05 | 0.15 | 0.11 | 0.07 | 0.14 | |||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.27 | 0.26 | 0.22 | 0.50 | 0.72 | (0.39 | ) | 0.26 | 0.24 | 0.23 | 0.49 | 0.71 | (0.39 | ) | ||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.28 | 0.37 | 0.44 | 0.69 | 0.86 | (0.19 | ) | 0.24 | 0.29 | 0.38 | 0.60 | 0.78 | (0.25 | ) | ||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.01 | ) | (0.12 | ) | (0.28 | ) | (0.18 | ) | (0.23 | ) | (0.33 | ) | 0.00 | (0.08 | ) | (0.24 | ) | (0.12 | ) | (0.18 | ) | (0.27 | ) | |||||||||||||||||||||||||
Distributions from net realized gains | (0.16 | ) | (0.05 | ) | — | — | — | (0.18 | ) | (0.16 | ) | (0.05 | ) | — | — | — | (0.18 | ) | ||||||||||||||||||||||||||||||
Total distributions | (0.17 | ) | (0.17 | ) | (0.28 | ) | (0.18 | ) | (0.23 | ) | (0.51 | ) | (0.16 | ) | (0.13 | ) | (0.24 | ) | (0.12 | ) | (0.18 | ) | (0.45 | ) | ||||||||||||||||||||||||
Net asset value, end of year | $ | 9.64 | $ | 9.53 | $ | 9.33 | $ | 9.17 | $ | 8.66 | $ | 8.03 | $ | 9.32 | $ | 9.24 | $ | 9.08 | $ | 8.94 | $ | 8.46 | $ | 7.86 | ||||||||||||||||||||||||
Total return + # | 2.98 | % | 4.09 | % | 4.95 | % | 8.10 | % | 10.92 | % | (2.19 | )% | 2.61 | % | 3.24 | % | 4.34 | % | 7.21 | % | 10.08 | % | (2.95 | )% | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 23,224 | $ | 17,123 | $ | 11,087 | $ | 6,265 | $ | 3,125 | $ | 3,638 | $ | 4,135 | $ | 3,852 | $ | 4,077 | $ | 3,145 | $ | 2,708 | $ | 3,181 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 2.07 | % | 1.68 | % | 1.48 | % | 1.69 | % | 1.66 | % | 1.67 | % | 2.83 | % | 2.43 | % | 2.22 | % | 2.44 | % | 2.41 | % | 2.44 | % | ||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | 0.27 | % | 1.21 | % | 2.36 | % | 2.13 | % | 1.66 | % | 2.57 | % | -0.50 | % | 0.53 | % | 1.63 | % | 1.22 | % | 0.93 | % | 1.81 | % | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 178 | % | 519 | % | 426 | % | 275 | % | 106 | % | 96 | % | 178 | % | 519 | % | 426 | % | 275 | % | 106 | % | 96 | % |
* | The net investment income per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes which are an integral part to these financial statements.
153
FINANCIAL HIGHLIGHTS |
Dunham Monthly Distribution Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||||||||||||||||||||||||||
Ended April 30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 32.75 | $ | 33.88 | $ | 34.84 | $ | 36.71 | $ | 35.74 | $ | 36.36 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | (0.14 | ) | (0.21 | ) | (0.13 | ) | 0.09 | (0.36 | ) | 0.14 | ||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.76 | 0.33 | 1.02 | (0.25 | ) | 2.79 | 0.49 | |||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 1.62 | 0.12 | 0.89 | (0.16 | ) | 2.43 | 0.63 | |||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.54 | ) | (0.30 | ) | — | — | — | (0.55 | ) | |||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | — | — | — | (0.35 | ) | — | — | |||||||||||||||||||||||||||||||||||||||||
Tax return of capital | — | (0.95 | ) | (1.85 | ) | (1.36 | ) | (1.46 | ) | (0.70 | ) | |||||||||||||||||||||||||||||||||||||
Total distributions | (0.54 | ) | (1.25 | ) | (1.85 | ) | (1.71 | ) | (1.46 | ) | (1.25 | ) | ||||||||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 33.83 | $ | 32.75 | $ | 33.88 | $ | 34.84 | $ | 36.71 | $ | 35.74 | ||||||||||||||||||||||||||||||||||||
Total return + # | 4.98 | % | 0.37 | % | 2.61 | % | (0.45 | )% | 6.92 | % | 1.79 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 178,673 | $ | 160,250 | $ | 183,319 | $ | 201,405 | $ | 212,178 | $ | 153,084 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
After waivers | 2.36 | % | 1.81 | % | 2.62 | % | 2.16 | % | 2.73 | % | 1.85 | % | ||||||||||||||||||||||||||||||||||||
Dividends/borrowings on short sales | 0.61 | % | 0.69 | % | 1.24 | % | 1.10 | % | 1.17 | % | 0.61 | % | ||||||||||||||||||||||||||||||||||||
Excluding dividends/borrowings on short sales: ^ | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers | 1.75 | % | 1.13 | % | 1.38 | % | 1.06 | % | 1.59 | % | 1.26 | % | ||||||||||||||||||||||||||||||||||||
After fee waivers | 1.75 | % | 1.13 | % | 1.38 | % | 1.06 | % | 1.56 | % | 1.24 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers | (0.82 | )% | (0.62 | )% | (0.39 | )% | 0.25 | % | (1.06 | )% | 0.39 | % | ||||||||||||||||||||||||||||||||||||
After fee waivers | (0.82 | )% | (0.62 | )% | (0.39 | )% | 0.25 | % | (1.03 | )% | 0.40 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 270 | % | 605 | % | 496 | % | 453 | % | 382 | % | 208 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months | Six Months | |||||||||||||||||||||||||||||||||||||||||||||||
Ended April 30, | Year Ended October 31, | Ended April 30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 31.49 | $ | 32.71 | $ | 33.77 | $ | 35.73 | $ | 34.90 | $ | 35.63 | $ | 24.19 | $ | 25.60 | $ | 27.02 | $ | 29.15 | $ | 28.94 | $ | 29.99 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)* | (0.17 | ) | (0.30 | ) | (0.21 | ) | 0.00 | (a) | (0.40 | ) | 0.13 | (0.22 | ) | (0.43 | ) | (0.36 | ) | (0.21 | ) | (0.55 | ) | (0.14 | ) | |||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.69 | 0.33 | 1.00 | (0.25 | ) | 2.69 | 0.39 | 1.29 | 0.27 | 0.79 | (0.21 | ) | 2.22 | 0.34 | ||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 1.52 | 0.03 | 0.79 | (0.25 | ) | 2.29 | 0.52 | 1.07 | (0.16 | ) | 0.43 | (0.42 | ) | 1.67 | 0.20 | |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.54 | ) | (0.30 | ) | — | — | — | (0.55 | ) | (0.54 | ) | (0.30 | ) | — | — | — | (0.55 | ) | ||||||||||||||||||||||||||||||
Distributions from net realized gains | — | — | — | (0.35 | ) | — | — | — | — | — | (0.35 | ) | — | — | ||||||||||||||||||||||||||||||||||
Tax return of capital | — | (0.95 | ) | (1.85 | ) | (1.36 | ) | (1.46 | ) | (0.70 | ) | — | (0.95 | ) | (1.85 | ) | (1.36 | ) | (1.46 | ) | (0.70 | ) | ||||||||||||||||||||||||||
Total distributions | (0.54 | ) | (1.25 | ) | (1.85 | ) | (1.71 | ) | (1.46 | ) | (1.25 | ) | (0.54 | ) | (1.25 | ) | (1.85 | ) | (1.71 | ) | (1.46 | ) | (1.25 | ) | ||||||||||||||||||||||||
Net asset value, end of year | $ | 32.47 | $ | 31.49 | $ | 32.71 | $ | 33.77 | $ | 35.73 | $ | 34.90 | $ | 24.72 | $ | 24.19 | $ | 25.60 | $ | 27.02 | $ | 29.15 | $ | 28.94 | ||||||||||||||||||||||||
Total return + # | 4.86 | % | 0.10 | % | 2.39 | % | (0.72 | )% | 6.64 | % | 1.54 | % | 4.47 | % | (0.63 | )% | 1.63 | % | (1.48 | )% | 5.82 | % | 0.75 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 32,147 | $ | 33,157 | $ | 42,052 | $ | 42,980 | $ | 41,186 | $ | 45,552 | $ | 21,463 | $ | 23,171 | $ | 33,913 | $ | 34,664 | $ | 34,601 | $ | 39,118 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
After waivers | 2.36 | % | 2.06 | % | 2.87 | % | 2.41 | % | 2.93 | % | 2.06 | % | 3.11 | % | 2.81 | % | 3.62 | % | 3.16 | % | 3.68 | % | 2.83 | % | ||||||||||||||||||||||||
Dividends/borrowings on short sales | 0.61 | % | 0.68 | % | 1.24 | % | 1.10 | % | 1.12 | % | 0.59 | % | 0.62 | % | 0.68 | % | 1.23 | % | 1.10 | % | 1.12 | % | 0.60 | % | ||||||||||||||||||||||||
Excluding dividends/borrowings on short sales: ^ | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers | 1.75 | % | 1.38 | % | 1.63 | % | 1.31 | % | 1.83 | % | 1.49 | % | 2.49 | % | 2.12 | % | 2.39 | % | 2.06 | % | 2.58 | % | 2.24 | % | ||||||||||||||||||||||||
After fee waivers | 1.75 | % | 1.38 | % | 1.63 | % | 1.31 | % | 1.81 | % | 1.48 | % | 2.49 | % | 2.12 | % | 2.39 | % | 2.06 | % | 2.56 | % | 2.23 | % | ||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | ||||||||||||||||||||||||||||||||||||||||||||||||
Before fee waivers | (1.05 | )% | (0.94 | )% | (0.63 | )% | 0.01 | % | (1.14 | )% | 0.36 | % | (1.78 | )% | (1.74 | )% | (1.38 | )% | (0.73 | )% | (1.89 | )% | (0.50 | )% | ||||||||||||||||||||||||
After fee waivers | (1.05 | )% | (0.94 | )% | (0.63 | )% | 0.01 | % | (1.11 | )% | 0.37 | % | (1.78 | )% | (1.74 | )% | (1.38 | )% | (0.73 | )% | (1.86 | )% | (0.48 | )% | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 270 | % | 605 | % | 496 | % | 453 | % | 382 | % | 208 | % | 270 | % | 605 | % | 496 | % | 453 | % | 382 | % | 208 | % |
* | The net investment income per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. |
(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 which are an integral part to these financial statements.
154
FINANCIAL HIGHLIGHTS |
Dunham Real Estate Stock Fund |
The table sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Class N | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||||||||||||||||||||||||||
Ended April 30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 17.34 | $ | 18.68 | $ | 15.35 | $ | 15.66 | $ | 18.31 | $ | 19.23 | ||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income * | 0.00 | 0.11 | 0.30 | 0.28 | 0.13 | 0.32 | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) ! | 4.78 | (0.14 | ) | 3.32 | (0.35 | ) | 0.40 | 0.73 | ||||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 4.78 | (0.03 | ) | 3.62 | (0.07 | ) | 0.53 | 1.05 | ||||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | 0.00 | (0.31 | ) | (0.29 | ) | (0.12 | ) | (0.36 | ) | (0.21 | ) | |||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | (1.48 | ) | (1.00 | ) | — | (0.12 | ) | (2.82 | ) | (1.76 | ) | |||||||||||||||||||||||||||||||||||||
Total distributions | (1.48 | ) | (1.31 | ) | (0.29 | ) | (0.24 | ) | (3.18 | ) | (1.97 | ) | ||||||||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 20.64 | $ | 17.34 | $ | 18.68 | $ | 15.35 | $ | 15.66 | $ | 18.31 | ||||||||||||||||||||||||||||||||||||
Total return + # | 28.33 | % | (0.02 | )% | 24.16 | % | (0.48 | )% | 3.63 | % | 5.77 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 81,828 | $ | 53,647 | $ | 42,865 | $ | 43,163 | $ | 34,256 | $ | 25,479 | ||||||||||||||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 2.62 | % | 1.66 | % | 1.15 | % | 1.10 | % | 1.17 | % | 1.21 | % | ||||||||||||||||||||||||||||||||||||
Ratios of net investment income to average net assets: ^ | (0.95 | )% | 0.63 | % | 1.81 | % | 1.82 | % | 0.79 | % | 1.74 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (1) | 35 | % | 125 | % | 63 | % | 74 | % | 101 | % | 110 | % | ||||||||||||||||||||||||||||||||||||
Class A | Class C | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months | Six Months | |||||||||||||||||||||||||||||||||||||||||||||||
Ended April 30, | Year Ended October 31, | Ended April 30, | Year Ended October 31, | |||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period/year | $ | 17.47 | $ | 18.81 | $ | 15.46 | $ | 15.78 | $ | 18.35 | $ | 19.26 | $ | 16.30 | $ | 17.69 | $ | 14.54 | $ | 14.88 | $ | 17.55 | $ | 18.50 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) * | (0.02 | ) | 0.06 | 0.26 | 0.24 | 0.10 | 0.27 | (0.09 | ) | (0.06 | ) | 0.13 | 0.12 | (0.02 | ) | 0.13 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) ! | 4.81 | (0.13 | ) | 3.35 | (0.35 | ) | 0.41 | 0.74 | 4.48 | (0.14 | ) | 3.17 | (0.34 | ) | 0.38 | 0.70 | ||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 4.79 | (0.07 | ) | 3.61 | (0.11 | ) | 0.51 | 1.01 | 4.39 | (0.20 | ) | 3.30 | (0.22 | ) | 0.36 | 0.83 | ||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | 0.00 | (0.27 | ) | (0.26 | ) | (0.09 | ) | (0.26 | ) | (0.16 | ) | — | (0.19 | ) | (0.15 | ) | — | (0.21 | ) | (0.02 | ) | |||||||||||||||||||||||||||
Distributions from net realized gains | (1.48 | ) | (1.00 | ) | — | (0.12 | ) | (2.82 | ) | (1.76 | ) | (1.48 | ) | (1.00 | ) | — | (0.12 | ) | (2.82 | ) | (1.76 | ) | ||||||||||||||||||||||||||
Total distributions | (1.48 | ) | (1.27 | ) | (0.26 | ) | (0.21 | ) | (3.08 | ) | (1.92 | ) | (1.48 | ) | (1.19 | ) | (0.15 | ) | (0.12 | ) | (3.03 | ) | (1.78 | ) | ||||||||||||||||||||||||
Net asset value, end of year | $ | 20.78 | $ | 17.47 | $ | 18.81 | $ | 15.46 | $ | 15.78 | $ | 18.35 | $ | 19.21 | $ | 16.30 | $ | 17.69 | $ | 14.54 | $ | 14.88 | $ | 17.55 | ||||||||||||||||||||||||
Total return + # | 28.16 | % | (0.28 | )% | 23.81 | % | (0.74 | )% | 3.44 | % | 5.54 | % | 27.71 | % | (1.08 | )% | 22.97 | % | (1.50 | )% | 2.61 | % | 4.73 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 14,008 | $ | 11,196 | $ | 9,161 | $ | 8,444 | $ | 6,002 | $ | 9,376 | $ | 3,900 | $ | 2,998 | $ | 2,812 | $ | 2,308 | $ | 2,448 | $ | 3,211 | ||||||||||||||||||||||||
Ratios of expenses to average net assets: ^ | 1.87 | % | 1.91 | % | 1.40 | % | 1.35 | % | 1.42 | % | 1.45 | % | 2.62 | % | 2.66 | % | 2.15 | % | 2.10 | % | 2.17 | % | 2.21 | % | ||||||||||||||||||||||||
Ratios of net investment income (loss) to average net assets: ^ | (0.20 | )% | 0.36 | % | 1.56 | % | 1.57 | % | 0.60 | % | 1.45 | % | (0.95 | )% | (0.36 | )% | 0.79 | % | 0.85 | % | (0.11 | )% | 0.70 | % | ||||||||||||||||||||||||
Portfolio turnover rate (1) | 35 | % | 125 | % | 63 | % | 74 | % | 101 | % | 110 | % | 35 | % | 125 | % | 63 | % | 74 | % | 101 | % | 110 | % |
* | The net investment income (loss) per share data was determined using the average shares outstanding throughout each year. |
+ | Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. |
! | The amount of net realized and unrealized gain (loss) on investment per share for the year ended October 31, 2020 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund share in relation to fluctuating market values. |
^ | Annualized for periods less than one year. |
(1) | Not annualized for periods less than one year. |
See accompanying notes which are an integral part to these financial statements.
155
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 |
1. | ORGANIZATION |
Each Dunham Fund (each, a “Fund” and collectively the “Funds”) is a series of shares of beneficial interest in the Dunham Funds (the “Trust”), a Delaware Business Trust organized on November 28, 2007 and registered under the Investment Company Act of 1940, as amended, (the “1940 Act”) as an open-end management investment company. The Dunham Funds currently consist of fourteen funds: Dunham Corporate/Government Bond Fund; Dunham Floating Rate Bond Fund; Dunham High-Yield Bond Fund; Dunham International Opportunity Bond Fund; Dunham Large Cap Value Fund; Dunham Small Cap Value Fund; Dunham Focused Large Cap Growth Fund; Dunham Small Cap Growth Fund; Dunham Emerging Markets Stock Fund; Dunham International Stock Fund; Dunham Dynamic Macro Fund; Dunham Long/Short Credit Fund; Dunham Monthly Distribution Fund; and Dunham Real Estate Stock Fund. With the exception of Dunham International Opportunity Bond Fund, Dunham Focused Large Cap Growth Fund, and Dunham Real Estate Stock Fund, the remaining Funds are diversified funds within the meaning of the 1940 Act.
Fund | Primary Objective | |
Dunham Corporate/Government Bond Fund (“Corporate/Government Bond”) | Current income and capital appreciation | |
Dunham Floating Rate Bond Fund (“Floating Rate Bond”) | High level of current income | |
Dunham High-Yield Bond Fund (“High-Yield Bond”) | High level of current income | |
Dunham International Opportunity Bond Fund (“International Opportunity Bond”) | High level of current income | |
Dunham Large Cap Value Fund (“Large Cap Value”) | Maximize total return from capital appreciation and dividends | |
Dunham Small Cap Value Fund (“Small Cap Value”) | Maximize total return from capital appreciation and income | |
Dunham Focused Large Cap Growth Fund (“Focused Large Cap Growth”) | Maximize capital appreciation | |
Dunham Small Cap Growth Fund (“Small Cap Growth”) | Maximize capital appreciation | |
Dunham Emerging Markets Stock Fund (“Emerging Markets Stock”) | Maximize capital appreciation | |
Dunham International Stock Fund (“International Stock”) | Maximize total return from capital appreciation and dividends | |
Dunham Dynamic Macro Fund (“Dynamic Macro”) | Maximize total return from capital appreciation and dividends | |
Dunham Long/Short Credit Fund (“Long/Short Credit”) | Maximize total return under varying market conditions through both current income and capital appreciation | |
Dunham Monthly Distribution Fund (“Monthly Distribution”) | Positive returns in rising and falling market environments | |
Dunham Real Estate Stock Fund (“Real Estate Stock”) | Maximize total return from capital appreciation and dividends |
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 Floating Rate Bond, High-Yield Bond, International Opportunity Bond, Focused Large Cap Growth, Dynamic Macro, and Monthly Distribution 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 Floating Rate Bond, International Opportunity Bond, Focused Large Cap Growth, Dynamic Macro, and Monthly Distribution commenced operations on January 3, 2007. Monthly Distribution’s Predecessor Fund’s Class A shares and Class C shares commenced operations on December 26, 2000. Monthly Distribution’s Class N shares commenced operations on September 29, 2008. Dynamic Macro commenced operations on April 30, 2010. Focused Large Cap Growth commenced operations on December 8, 2011. Floating Rate Bond and International Opportunity Bond commenced operations on November 1, 2013.
2. | SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies.”
156
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
The following is a summary of significant accounting policies followed by the Funds in preparation of their financial statements.
a. Security Valuation – In determining each Fund’s Net Asset Value (“NAV”) per share, equity securities for which market quotations are readily available are valued at current market value using the last reported sales price. NASDAQ traded securities are valued using the NASDAQ official closing price (“NOCP”). If no sale price is reported, the mean between the current bid and ask price is used. If market quotations are not readily available, then securities are valued at fair value as determined by the Board of Trustees of the Trust (the “Board”) (or its delegate). U.S. Government and Agency securities are valued at the mean between the most recent bid and ask prices. Short -term debt instruments with a remaining maturity of more than 60 days, intermediate and long-term bonds, convertible bonds, bank loans and other debt securities are generally valued on the basis of dealer supplied quotations or by a pricing system selected by Dunham & Associates Investment Counsel, Inc. (“Dunham & Associates” or the “Adviser”) and approved by the Board. Where such prices are not available, valuations will be obtained from brokers who are market makers for such securities. However, in circumstances where the Adviser deems it appropriate to do so, the mean of the bid and ask prices for over-the-counter securities or the last available sale price for exchange-traded debt securities may be used. Where no last sale price for exchange traded debt securities is available, the mean of the bid and ask prices may be used. Short-term debt securities with a remaining maturity of 60 days or less may be valued at amortized cost, provided such valuations represent fair value.
Options are valued at the last reported sale price at the close of the exchange on which the security is primarily traded. If no sales are reported for the exchange-traded options, or the options are not exchange-traded, then they are valued at the mean of their most recent quoted bid and ask price.
Futures and future options are valued daily at the final settled price or, in the absence of a settled price, at the mean between the current bid and ask prices on the day of valuation.
Swap transactions are valued through an independent pricing service or at fair value based on daily price reporting from the swap counterparty issuing the swap. Total return swaps on securities listed on an exchange shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices.
Trading in securities on Far East securities exchanges and over-the-counter markets is normally completed well before the close of business on each business day in New York (i.e., a day on which the New York Stock Exchange (“NYSE”) is open). In addition, Far East securities trading generally, or in a particular country or countries, may not take place on all business days in New York. Furthermore, trading takes place in Japanese markets on certain Saturdays and in various foreign markets on days, which are not business days in New York, and on which a Fund’s NAV is not calculated. Each Fund calculates the NAV per share, and therefore effects sales, redemptions and repurchases of its shares, as of the close of regular trading on the NYSE once on each day on which the NYSE is open. Such calculation may not take place contemporaneously with the determination of the prices of the majority of the portfolio securities used in such calculation. If events that may materially affect the value of such securities occur between the time when their price is determined and the time when the Fund’s NAV is calculated, such securities may be valued at fair value as determined in good faith in accordance with procedures approved by the Board.
Securities in which the Funds invest may be traded in markets that close before 4:00 p.m. Eastern Time (“ET”). Normally, developments that occur between the close of the foreign markets and 4:00 p.m. ET will not be reflected in a Fund’s NAV. However, management may determine that such developments are so significant that they will materially affect the value of a Fund’s securities, and the Fund may adjust the previous closing prices to reflect what the Board believes to be the fair value of these securities as of 4:00 p.m. ET. Both Emerging Markets Stock and International 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 or closed-end investment companies (the “Underlying Funds”). The Underlying Funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based upon the methods established by the board of directors of the Underlying Funds.
Open-end investment companies are valued at their respective net asset values as reported by such investment companies. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed-end investment company purchased by the Funds will not change.
157
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
The Funds utilize various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities.
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of April 30, 2021 for the Funds’ assets and liabilities measured at fair value:
Corporate/Government Bond | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Fund | $ | 462,265 | $ | — | $ | — | $ | 462,265 | ||||||||
Asset Backed Securities * | — | 27,858,168 | — | 27,858,168 | ||||||||||||
Corporate Bonds * | — | 29,519,383 | — | 29,519,383 | ||||||||||||
Municipal Bonds | — | 2,124,761 | — | 2,124,761 | ||||||||||||
Non U.S. Government & Agencies | — | 1,803,692 | — | 1,803,692 | ||||||||||||
Term Loans * | — | 8,432,642 | — | 8,432,642 | ||||||||||||
U.S. Government & Agencies | — | 20,066,569 | — | 20,066,569 | ||||||||||||
Short-Term Investment | 15,394,834 | — | — | 15,394,834 | ||||||||||||
Total | $ | 15,857,099 | $ | 89,805,215 | $ | — | $ | 105,662,314 | ||||||||
Floating Rate Bond | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks * | $ | 528,069 | $ | 497 | $ | — | $ | 528,566 | ||||||||
Exchange Traded Funds | 2,173,425 | — | — | 2,173,425 | ||||||||||||
Corporate Bonds * | — | 6,254,803 | — | 6,254,803 | ||||||||||||
Term Loans * | — | 179,029,996 | — | 179,029,996 | ||||||||||||
Rights | — | 11,732 | — | 11,732 | ||||||||||||
Warrants | — | 264,528 | — | 264,528 | ||||||||||||
Short-Term Investment | 4,394,586 | — | — | 4,394,586 | ||||||||||||
Collateral for Securities Loaned | 1,923,079 | — | — | 1,923,079 | ||||||||||||
Total | $ | 9,019,159 | $ | 185,561,556 | $ | — | $ | 194,580,715 | ||||||||
High-Yield Bond | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks * | $ | 3,406 | $ | — | $ | — | $ | 3,406 | ||||||||
Convertible Bonds * | — | 304,983 | — | 304,983 | ||||||||||||
Corporate Bonds * | — | 108,198,720 | — | 108,198,720 | ||||||||||||
Collateral for Securities Loaned | 2,481,100 | — | — | 2,481,100 | ||||||||||||
Total | $ | 2,484,506 | $ | 108,503,703 | $ | — | $ | 110,988,209 |
158
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
International Opportunity Bond | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset Backed Securities | $ | — | $ | 107,235 | $ | — | $ | 107,235 | ||||||||
Corporate Bonds * | — | 44,319,615 | — | 44,319,615 | ||||||||||||
Non U.S. Government & Agencies | — | 20,505,385 | — | 20,505,385 | ||||||||||||
Short-Term Investment | 1,769,843 | — | — | 1,769,843 | ||||||||||||
Collateral for Securities Loaned | 3,315,835 | — | — | 3,315,835 | ||||||||||||
Total Assets | $ | 5,085,678 | $ | 64,932,235 | $ | — | $ | 70,017,913 | ||||||||
Assets - Derivatives | ||||||||||||||||
Futures Contracts | $ | 117,372 | $ | — | $ | — | $ | 117,372 | ||||||||
Forward Foreign Currency Exchange Contracts | — | 21,510 | — | 21,510 | ||||||||||||
Swap Contracts | — | 48,769 | — | 48,769 | ||||||||||||
Total Asset Derivatives | $ | 117,372 | $ | 70,279 | $ | — | $ | 187,651 | ||||||||
Liabilities - Derivatives | ||||||||||||||||
Futures Contracts | $ | 142,034 | $ | — | $ | — | $ | 142,034 | ||||||||
Forward Foreign Currency Exchange Contracts | — | 351,566 | — | 351,566 | ||||||||||||
Total Liability Derivatives | $ | 142,034 | $ | 351,566 | $ | — | $ | 493,600 | ||||||||
Large Cap Value | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks * | $ | 128,191,016 | $ | — | $ | — | $ | 128,191,016 | ||||||||
REITs * | 5,634,243 | — | — | 5,634,243 | ||||||||||||
Collateral for Securities Loaned | 8,018,249 | — | — | 8,018,249 | ||||||||||||
Total | $ | 141,843,508 | $ | — | $ | — | $ | 141,843,508 | ||||||||
Small Cap Value | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks * | $ | 67,133,109 | $ | — | $ | — | $ | 67,133,109 | ||||||||
REITs * | 8,659,975 | — | — | 8,659,975 | ||||||||||||
Collateral for Securities Loaned | 6,328,824 | — | — | 6,328,824 | ||||||||||||
Total | $ | 82,121,908 | $ | — | $ | — | $ | 82,121,908 | ||||||||
Focused Large Cap Growth | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks * | $ | 189,620,824 | $ | — | $ | — | $ | 189,620,824 | ||||||||
Collateral for Securities Loaned | 28,925,473 | — | — | 28,925,473 | ||||||||||||
Total | $ | 218,546,297 | $ | — | $ | — | $ | 218,546,297 | ||||||||
Small Cap Growth | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks * | $ | 77,476,094 | $ | — | $ | — | $ | 77,476,094 | ||||||||
Collateral for Securities Loaned | 791,706 | — | — | 791,706 | ||||||||||||
Total | $ | 78,267,800 | $ | — | $ | — | $ | 78,267,800 |
159
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
Emerging Markets Stock | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Closed End Fund | $ | — | $ | 1,210,207 | $ | — | $ | 1,210,207 | ||||||||
Common Stocks * | 12,879,118 | 106,972,610 | — | 119,851,728 | ||||||||||||
Warrants | 8,663 | — | — | 8,663 | ||||||||||||
Collateral for Securities Loaned | 1,790,237 | — | — | 1,790,237 | ||||||||||||
Total | $ | 14,678,018 | $ | 108,182,817 | $ | — | $ | 122,860,835 | ||||||||
International Stock | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks * | $ | 28,448,727 | $ | 129,653,366 | $ | — | $ | 158,102,093 | ||||||||
Exchange Traded Funds | 1,626,423 | — | — | 1,626,423 | ||||||||||||
Warrant | — | 7,604 | — | 7,604 | ||||||||||||
Collateral for Securities Loaned | 7,007,102 | — | — | 7,007,102 | ||||||||||||
Total | $ | 37,082,252 | $ | 129,660,970 | $ | — | $ | 166,743,222 | ||||||||
Dynamic Macro | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds * | $ | 8,708,651 | $ | — | $ | — | $ | 8,708,651 | ||||||||
U.S. Government & Agencies | — | 10,640,921 | — | 10,640,921 | ||||||||||||
Short-Term Investments | �� | 2,813,733 | — | — | 2,813,733 | |||||||||||
Collateral for Securities Loaned | 936,606 | — | — | 936,606 | ||||||||||||
Purchased Options | 1,059,759 | — | — | 1,059,759 | ||||||||||||
Total Assets | $ | 13,518,749 | $ | 10,640,921 | $ | — | $ | 24,159,670 | ||||||||
Assets - Derivatives | ||||||||||||||||
Futures Contracts | $ | 122,599 | $ | — | $ | — | $ | 122,599 | ||||||||
Total Asset Derivatives | $ | 122,599 | $ | — | $ | — | $ | 122,599 | ||||||||
Liabilities - Derivatives | ||||||||||||||||
Futures Contracts | $ | 11,609 | $ | — | $ | — | $ | 11,609 | ||||||||
Long/Short Credit | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks * | $ | — | $ | — | $ | 21,700 | $ | 21,700 | ||||||||
Preferred Stocks * | — | 4,689,560 | — | 4,689,560 | ||||||||||||
Corporate Bonds * | — | 85,368,718 | — | 85,368,718 | ||||||||||||
Non-U.S. Government & Agencies | — | 1,074,865 | — | 1,074,865 | ||||||||||||
Term Loans * | — | 4,596,263 | — | 4,596,263 | ||||||||||||
U.S. Government & Agencies | — | 78,836,995 | — | 78,836,995 | ||||||||||||
Short-Term Investment | 4,639,298 | — | — | 4,639,298 | ||||||||||||
Collateral for Securities Loaned | 32,708,745 | — | — | 32,708,745 | ||||||||||||
Total Assets | $ | 37,348,043 | $ | 174,566,401 | $ | 21,700 | $ | 211,936,144 | ||||||||
Assets - Derivatives | ||||||||||||||||
Futures Contracts | $ | 591,520 | $ | — | $ | — | $ | 591,520 | ||||||||
Swap Contracts | — | 83,664 | — | 83,664 | ||||||||||||
Total Asset Derivatives | $ | 591,520 | $ | 83,664 | $ | — | $ | 675,184 | ||||||||
Liabilities - Derivatives | ||||||||||||||||
Futures | $ | 8,207 | $ | — | $ | — | $ | 8,207 | ||||||||
Swap Contracts | — | 388,048 | — | 388,048 | ||||||||||||
Total Liability Derivatives | $ | 8,207 | $ | 388,048 | $ | — | $ | 396,255 |
160
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
Monthly Distribution | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Closed-End Fund | $ | — | $ | 4,585,480 | $ | — | $ | 4,585,480 | ||||||||
Common Stocks * | 182,727,519 | — | — | 182,727,519 | ||||||||||||
Rights | — | 10,079 | — | 10,079 | ||||||||||||
Short-Term Investment | 14,085,034 | — | — | 14,085,034 | ||||||||||||
Total Assets | $ | 196,812,553 | $ | 4,595,559 | $ | — | $ | 201,408,112 | ||||||||
Liabilities | ||||||||||||||||
Securities Sold Short | $ | 104,944,175 | $ | — | $ | — | $ | 104,944,175 | ||||||||
Total Liabilities | $ | 104,944,175 | $ | — | $ | — | $ | 104,944,175 | ||||||||
Real Estate Stock | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks * | $ | 98,692,235 | $ | — | $ | — | $ | 98,692,235 | ||||||||
Collateral for Securities Loaned | 22,583,103 | — | — | 22,583,103 | ||||||||||||
Total | $ | 121,275,338 | $ | — | $ | — | $ | 121,275,338 |
* | See each Fund’s Schedule of Investments for breakdown by industry. |
The following is a reconciliation for the Dunham Long/Short Credit Fund for which Level 3 inputs were used in determining value:
Beginning | Net | Ending | ||||||||||||||||||||||||||||||
balance | Total | Change in | transfers | balance | ||||||||||||||||||||||||||||
October 31, | realized | unrealized | Net | in/(out) of | April 30, | |||||||||||||||||||||||||||
2020 | gain/(loss) | appreciation | Conversion | Purchases | Net Sales | Level 3 | 2021 | |||||||||||||||||||||||||
Common Stock | $ | 21,700 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 21,700 |
Quantitative disclosures of unobservable inputs and assumptions used by Dunham Long/Short Credit Fund are below:
Investments in Securities: | |||||||
Common Stock | |||||||
NII Holdings, Inc. | $ | 21,700 | Independent Valuation Discount for lack of marketability | ||||
Total Fair Value Securities | $ | 21,700 |
b. Foreign Currency Translations – The accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency, and income receipts and expense payments, are translated into U.S. dollars using the prevailing exchange rates at the London market close. Purchases and sales of securities are translated into U.S. dollars at the contractual currency rates established at the approximate time of the trade.
Net realized gains and losses on foreign currency transactions represent net gains and losses from currency realized between the trade and settlement dates on securities transactions and the difference between income accrued versus income received. The effects of changes in foreign currency exchange rates on investments in securities are included with the net realized and unrealized gain or loss on investment securities.
c. Forward Foreign Currency Exchange Contracts – As foreign securities are purchased, a Fund generally enters into forward foreign currency exchange contracts in order to hedge against foreign currency exchange rate risks. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. A Fund may also enter into forward foreign currency exchange contracts as an investment strategy consistent with that Fund’s investment objective. Realized gains and losses from contract transactions are included as a component of net realized gains (losses) from investments and forward foreign currency exchange contracts in the Statements of Operations.
d. Options – Dynamic Macro and Monthly Distribution 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
161
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
transaction, the Fund realizes a gain (or loss in the case of a closing purchase transaction where the cost to close the transaction exceeds the original premium received), and the liability related to the option is extinguished. Any such gain or loss generally is a short -term capital gain or loss for federal income tax purposes. If a call option that a Fund has written on any equity security is exercised, that Fund will realize a capital gain or loss (long-term or short-term, depending on the holding period of the underlying security) from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. If a put option that a Fund has written on an equity security is exercised, the amount of the premium originally received reduces the cost of the security that a Fund purchases upon exercise of the option. When a Fund writes a put option, that Fund must deposit cash or liquid securities into a segregated account equal to the put option’s exercise value (number of shares times strike price).
A Fund may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in that Fund’s portfolio. If such a decline occurs, the put options will permit that Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by that Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to that Fund. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to that Fund, the benefits realized by that Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities.
e. Cash – The Funds consider their investments in an FDIC insured interest bearing savings account to be cash. The Funds maintain cash balances, which, at times, may exceed federally insured limits. The Funds maintain these balances with a high quality financial institution.
f. Swap Agreements – International Opportunity Bond, Long/Short Credit and Monthly Distribution are subject to stock market risk and fixed income risk in the normal course of pursuing their investment objectives. The Funds may enter into various swap transactions for investment purposes to manage equity risk and credit risk. These are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments. The gross returns to be exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statements of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statements of Assets and Liabilities and may be referred to as upfront payments. The Funds amortize upfront payments and/or accrue for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statements of Operations. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statements of Operations. The Funds segregate liquid securities having a value at least equal to the amount of its current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statements of Assets and Liabilities. The Funds’ maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the contract’s remaining life, to the extent that that amount is positive.
g. Futures Contracts – International Opportunity Bond, Dynamic Macro, and Long/Short Credit are subject to equity risk, interest rate risk and forward currency exchange rate risk in the normal course of pursuing their investment objectives. The Funds may purchase or sell futures contracts to gain exposure to, or hedge against, changes in the value of equities, interest rates, and foreign exchange rates. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Fund’s agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, the Funds recognize a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. If the Funds were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Funds would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. The Funds segregate cash having a value at least equal to the amount of the current obligation under any open futures contract. Risks may exceed amounts recognized in the Statements of Assets and Liabilities. With futures, there is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
h. Short Sales – A “short sale” is a transaction in which a Fund sells a security it does not own but has borrowed in anticipation that the market price of that security will decline. The Fund would be obligated to replace the security borrowed by purchasing it on the open market at a later date. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will incur a loss. Conversely, if the price declines, the Fund will realize a gain.
162
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
i. Impact of Derivatives on the Statements of Assets and Liabilities and Statements of Operations – The following is a summary of the location of derivative investments of each Fund in the Statement of Assets and Liabilities as of April 30, 2021:
Location on the Statements of Assets and Liabilities | ||
Derivatives Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Currency/Commodity Interest rate contracts | Investments in securities Unrealized appreciation on futures Unrealized appreciation on swap contracts Unrealized appreciation on forward foreign currency exchange contracts | Option contracts written Unrealized depreciation on futures Unrealized depreciation on swap contracts Unrealized depreciation on forward foreign currency exchange contracts |
The following table sets forth the fair value of each Fund’s derivative contracts by primary risk exposure as of April 30, 2021:
Asset Derivatives Investment Value | ||||||||||||||||
Equity | Currency | Interest Rate | Total value at | |||||||||||||
Contracts | Contracts | Contracts | April 30, 2021 | |||||||||||||
International Opportunity Bond | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 21,510 | $ | — | $ | 21,510 | ||||||||
Futures Contracts | — | — | 117,372 | 117,372 | ||||||||||||
Swap Contracts | — | — | 48,769 | 48,769 | ||||||||||||
Dynamic Macro | ||||||||||||||||
Futures Contracts | $ | 77,469 | $ | — | $ | 45,130 | $ | 122,599 | ||||||||
Purchased Options | 58,110 | — | 1,001,649 | 1,059,759 | ||||||||||||
Long/Short Credit | ||||||||||||||||
Credit Default Swap Contracts | $ | 83,664 | $ | — | $ | — | $ | 83,664 | ||||||||
Futures Contracts | — | — | 591,520 | 591,520 | ||||||||||||
Liability Derivatives Investment Value | ||||||||||||||||
Equity | Currency | Interest Rate | Total value at | |||||||||||||
Contracts | Contracts | Contracts | April 30, 2021 | |||||||||||||
International Opportunity Bond | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 351,566 | $ | — | $ | 351,566 | ||||||||
Futures Contracts | — | — | 142,034 | 142,034 | ||||||||||||
Dynamic Macro | ||||||||||||||||
Futures Contracts | $ | 55,414 | $ | — | $ | 29,298 | $ | 84,712 | ||||||||
Long/Short Credit | ||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | 8,207 | $ | 8,207 | ||||||||
Credit Default Swap Contracts | 121,094 | — | — | 121,094 | ||||||||||||
Total Return Swap Contract | — | — | 266,954 | 266,954 |
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, 2021.
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Currency/Commodity/ Interest rate contracts | Net realized gain (loss) from: Futures , Purchased options, Written options, Swap contracts, Forward foreign currency exchange contracts
Net change in unrealized appreciation (depreciation) on: Futures , Purchased options, Written options, Swap contracts, and Forward foreign currency exchange contracts |
163
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (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, 2021:
Realized gain (loss) on derivatives recognized in the Statements of Operations | ||||||||||||||||
Equity | Currency | Interest Rate | Total value at | |||||||||||||
Derivative Investment type | Contracts | Contracts | Contracts | April 30, 2021 | ||||||||||||
International Opportunity Bond | ||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | (205,254 | ) | $ | (205,254 | ) | ||||||
Swap Contracts | — | — | 6,614 | 6,614 | ||||||||||||
Forward Foreign Currency Exchange Contracts | — | 103,587 | — | 103,587 | ||||||||||||
Dynamic Macro | ||||||||||||||||
Futures Contracts | $ | 317,743 | $ | — | $ | (219,145 | ) | $ | 98,598 | |||||||
Purchased Options | (207,174 | ) | — | (279,126 | ) | (486,300 | ) | |||||||||
Written Options | 220,527 | — | — | 220,527 | ||||||||||||
Long/Short Credit | $ | — | $ | — | $ | 2,101,415 | $ | 2,101,415 | ||||||||
Futures Contracts | ||||||||||||||||
Swaps Contracts | 113,036 | — | (809,382 | ) | (696,346 | ) | ||||||||||
Monthly Distribution | ||||||||||||||||
Purchased Options | $ | (1,419,123 | ) | $ | — | $ | — | $ | (1,419,123 | ) | ||||||
Written Options | (116,543 | ) | — | — | (116,543 | ) | ||||||||||
Swaps Contracts | 958,760 | — | — | 958,760 | ||||||||||||
Changes in unrealized appreciation (depreciation) on derivatives recognized in the Statements of Operations | ||||||||||||||||
Equity | Currency | Interest Rate | Total value at | |||||||||||||
Derivative Investment type | Contracts | Contracts | Contracts | April 30, 2021 | ||||||||||||
International Opportunity Bond | ||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | (103,977 | ) | $ | (103,977 | ) | ||||||
Swap Contracts | — | — | 20,954 | 20,954 | ||||||||||||
Forward Foreign Currency Exchange Contracts | — | (666,739 | ) | — | (666,739 | ) | ||||||||||
Dynamic Macro | ||||||||||||||||
Futures Contracts | $ | 201,944 | $ | — | $ | (76,801 | ) | $ | 125,143 | |||||||
Purchased Options | (292,340 | ) | — | (14,643 | ) | (306,983 | ) | |||||||||
Written Options | 241,214 | — | — | 241,214 | ||||||||||||
Long/Short Credit | $ | — | $ | — | $ | 125,895 | $ | 125,895 | ||||||||
Futures Contracts | ||||||||||||||||
Swaps Contracts | (719,191 | ) | — | 332,151 | (387,040 | ) | ||||||||||
Monthly Distribution | ||||||||||||||||
Purchased Options | $ | 92,399 | $ | — | $ | — | $ | 92,399 | ||||||||
Written Options | (262,914 | ) | — | — | (262,914 | ) | ||||||||||
Swaps Contracts | (827,327 | ) | — | — | (827,327 | ) |
The average notional value of the derivative instruments for the six months ended April 30, 2021 is disclosed below:
Average Notional Value | ||||||||||||||||||||||||||||
Long | Short | Purchased | Written | Long | Short | FX | ||||||||||||||||||||||
Futures | Futures | Options | Options | Swaps | Swaps | Contracts | ||||||||||||||||||||||
International Opportunity Bond | $ | 18,960,557 | $ | 9,549,059 | $ | — | $ | — | $ | — | $ | 1,604,500 | (169,902 | ) | ||||||||||||||
Dynamic Macro | 12,822,995 | 4,283,271 | 16,645,979 | 1,005,000 | — | — | — | |||||||||||||||||||||
Long/Short Credit | — | 49,325,890 | — | — | 44,000,000 | 12,000,000 | — | |||||||||||||||||||||
Monthly Distribution | — | — | 12,737,750 | 15,237,600 | 3,071,746 | — | — |
j. Offsetting of Financial Assets & Liabilities and Derivative Assets & Liabilities – International Opportunity Bond, Dynamic Macro, Long/Short Credit, and Monthly Distribution 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. The following table shows additional information regarding the offsetting of assets and liabilities at April 30, 2021.
164
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
International Opportunity Bond | ||||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||||
Assets: | Statements of Assets & Liabilities | |||||||||||||||||||||||||
Gross Amounts | ||||||||||||||||||||||||||
Gross | Offset in the | Net Amounts of Assets | ||||||||||||||||||||||||
Amounts of | Statements of | Presented in the | Cash | |||||||||||||||||||||||
Recognized | Assets & | Statements of Assets | Financial | Collateral | ||||||||||||||||||||||
Description | Counterparty | Assets | Liabilities | & Liabilities | Instruments | Received | Net Amount | |||||||||||||||||||
Forward Foreign Currency Exchange Contracts | Capstone Global Markets | $ | 9,043 | $ | — | $ | 9,043 | $ | — | $ | — | $ | 9,043 | |||||||||||||
JP Morgan Chase | 12,467 | — | 12,467 | — | — | 12,467 | ||||||||||||||||||||
Futures Contracts | Barclays | 47,868 | — | 47,868 | (13,007 | ) | — | 34,861 | ||||||||||||||||||
Credit Default Swap | Citibank | 48,768 | — | 48,768 | — | — | 48,768 | |||||||||||||||||||
Total | $ | 118,146 | $ | — | $ | 118,146 | $ | (13,007 | ) | $ | — | $ | 105,139 | |||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||||
Liabilities: | Statements of Assets & Liabilities | |||||||||||||||||||||||||
Gross Amounts | ||||||||||||||||||||||||||
Gross | Offset in the | Net Amounts of | ||||||||||||||||||||||||
Amounts of | Statements of | Liabilities Presented in | Cash | |||||||||||||||||||||||
Recognized | Assets & | the Statements of | Financial | Collateral | ||||||||||||||||||||||
Description | Counterparty | Liabilities | Liabilities | Assets & Liabilities | Instruments (1) | Pledged | Net Amount | |||||||||||||||||||
Forward Foreign Currency Exchange Contracts | Barclays | $ | (1,750 | ) | $ | — | $ | (1,750 | ) | $ | — | $ | — | $ | (1,750 | ) | ||||||||||
Capstone Global Markets | $ | (157,114 | ) | — | (157,114 | ) | 9,043 | — | (148,071 | ) | ||||||||||||||||
JP Morgan Chase | (192,701 | ) | — | (192,701 | ) | 12,467 | — | (180,234 | ) | |||||||||||||||||
Futures Contracts | Barclays | (13,007 | ) | — | (13,007 | ) | — | — | (13,007 | ) | ||||||||||||||||
Total | $ | (364,572 | ) | $ | — | $ | (364,572 | ) | $ | 21,510 | $ | — | $ | (343,062 | ) | |||||||||||
Dynamic Macro | ||||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||||
Assets: | Statements of Assets & Liabilities | |||||||||||||||||||||||||
Net Amounts of Assets | ||||||||||||||||||||||||||
Gross Amounts | Gross Amounts Offset | Presented in the | Cash | |||||||||||||||||||||||
of Recognized | in the Statements of | Statements of Assets | Financial | Collateral | ||||||||||||||||||||||
Description | Counterparty | Assets | Assets & Liabilities | & Liabilities | Instruments | Received | Net Amount | |||||||||||||||||||
Futures Contracts | Goldman Sachs | $ | 122,599 | $ | — | $ | 122,599 | $ | (84,712 | ) | $ | — | $ | 37,887 | ||||||||||||
Purchased Options | Goldman Sachs | 1,059,759 | — | 1,059,759 | — | — | 1,059,759 | |||||||||||||||||||
Total | $ | 1,182,358 | $ | — | $ | 1,182,358 | $ | (84,712 | ) | $ | — | $ | 1,097,646 | |||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||||
Liabilities: | Statements of Assets & Liabilities | |||||||||||||||||||||||||
Net Amounts of | ||||||||||||||||||||||||||
Gross Amounts | Gross Amounts Offset | Liabilities Presented in | Cash | |||||||||||||||||||||||
of Recognized | in the Statements of | the Statements of | Financial | Collateral | ||||||||||||||||||||||
Description | Counterparty | Liabilities | Assets & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | |||||||||||||||||||
Futures Contracts | Goldman Sachs | $ | (84,712 | ) | $ | — | $ | (84,712 | ) | $ | — | $ | — | $ | (84,712 | ) | ||||||||||
Total | $ | (84,712 | ) | $ | — | $ | (84,712 | ) | $ | 402,800 | $ | — | $ | 318,088 | ||||||||||||
(1) | The amount is limited to the derivative liability balance and accordingly, does not include excess collateral pledged. |
165
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
Long/Short Credit | ||||||||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||||
Assets: | Statements of Assets & Liabilities | |||||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||||
Gross Amounts of | Offset in the | Assets Presented in | ||||||||||||||||||||||||
Recognized | Statements of | the Statements of | Financial | Cash Collateral | ||||||||||||||||||||||
Description | Counterparty | Assets | Assets & Liabilities | Assets & Liabilities | Instruments | Received | Net Amount | |||||||||||||||||||
Futures Contracts | HSBC | $ | 591,520 | $ | — | $ | 591,520 | $ | — | $ | — | $ | 591,520 | |||||||||||||
Credit Default Swaps | Barclays | 51,948 | — | 51,948 | — | — | 51,948 | |||||||||||||||||||
Credit Default Swaps | Goldman Sachs | 31,716 | — | 31,716 | — | — | 31,716 | |||||||||||||||||||
Total | $ | 675,184 | $ | — | $ | 675,184 | $ | — | $ | — | $ | 675,184 | ||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||||||||
Liabilities: | Statements of Assets & Liabilities | |||||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||||
Gross Amounts of | Offset in the | Liabilities Presented | ||||||||||||||||||||||||
Recognized | Statements of | in the Statements of | Financial | Cash Collateral | ||||||||||||||||||||||
Description | Counterparty | Liabilities | Assets & Liabilities | Assets & Liabilities | Instruments | Pledged (1) | Net Amount | |||||||||||||||||||
Futures | HSBC | $ | (8,207 | ) | $ | — | $ | (8,207 | ) | $ | — | $ | 8,207 | $ | — | |||||||||||
Credit Default Swaps | Barclays | (9,969 | ) | — | (9,969 | ) | — | 9,969 | — | |||||||||||||||||
Credit Default Swaps | Goldman Sachs | — | — | — | — | — | — | |||||||||||||||||||
Credit Default Swaps | US Bank | (95,244 | ) | — | (95,244 | ) | — | 95,244 | — | |||||||||||||||||
Credit Default Swaps | JP Morgan | (15,881 | ) | — | (15,881 | ) | — | 15,881 | — | |||||||||||||||||
Total Return Swap | US Bank | (266,954 | ) | — | (266,954 | ) | — | 266,954 | — | |||||||||||||||||
Total | $ | (396,255 | ) | $ | — | $ | (396,255 | ) | $ | — | $ | 396,255 | $ | — | ||||||||||||
(1) | The amount is limited to the derivative liability balance and accordingly, does not include excess collateral pledged. |
k. Deposits with Broker for Futures, Options and Swaps
Fund | Broker | Deposit with Broker | ||||
International Opportunity Bond | Barclays | $ | 191,887 | |||
Citibank | 637,382 | |||||
JP Morgan | 160,000 | |||||
Dynamic Macro | Goldman Sachs | 364,122 | ||||
Long/Short Credit | Goldman Sachs | 1,190,718 |
l. 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.
m. Investment Transactions, Investment Income and Expenses – Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions and foreign exchange transactions are calculated using the identified cost method. Dividend income and expense is recorded on the ex-dividend date (“ex-date”) except in the case of certain dividends from foreign securities, which are recorded as soon after the ex-date that the respective Fund, using reasonable diligence, becomes aware of such dividends. Interest income is recorded on an accrual basis. Discounts are accreted and premiums are amortized as adjustments to interest income and the identified cost of investments. Expenses of the Trust that are directly identifiable to a specific Fund are charged to that Fund. Expenses, which are not readily identifiable to a specific Fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the Funds. Each Fund’s income, expenses (other than the class specific distribution fees) and realized and unrealized gains and losses are allocated proportionally each day between the classes based upon the relative net assets of each class.
n. 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,
166
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
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.
o. LIBOR Risk - The Funds Investment, payment obligations and financing terms may be based on floating rates such as the London Interbank Offered Rate, or “LIBOR,” which is the offered rate for short-term Eurodollar deposits between major international banks. Plans are underway to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the nature of any replacement rate and the impact of the transition from LIBOR on the Funds transactions and the financial markets generally. As such, the potential effect of the transition away from the LIBOR on the Funds’ investments cannot yet be determined.
p. Natural Disaster/Epidemic Risk – Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis, and other severe weather-related phenomena generally, and widespread disease and illness, including pandemics and epidemics, have been and can be highly disruptive to economies and markets. They may adversely impact individual companies, sectors, industries, markets, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. For example, the novel coronavirus (COVID-19), which was first detected in 2019, has resulted in, among other things, stressors to healthcare service infrastructure, country border closings, business and school closings, and disruptions to supply chains and customer activity. Natural disaster/epidemic risk could have a significant adverse impact on the Funds’ portfolio investments.
q. 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 2018 to 2020 and expected to be taken in tax year 2021 and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken in the above open tax years. The Funds identify their major tax jurisdiction as U.S. Federal. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties. Generally tax authorities can examine tax returns filed for the last three years.
r. 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 Corporate/Government Bond, Floating Rate Bond, High-Yield Bond, International Opportunity Bond, Long/Short Credit, and Monthly Distribution which will distribute their respective net investment income, if any, monthly. Distributions of net investment income and net capital gains are determined in accordance with income tax regulations which may differ from GAAP. Differences in dividends from net investment income per share between the classes are due to service and distribution related expenses. Dividends and distributions to shareholders are recorded on ex-date. Monthly Distribution’s distribution policy is to make twelve monthly distributions to shareholders. The level of monthly distributions (including any return of capital) is not fixed but is expected to be at or near the level of the prime interest rate (“Prime Rate”). Additionally, Monthly Distribution’s distribution policy is not designed to generate, and is not expected to result in, distributions that equal a fixed percentage of Monthly Distribution’s current net asset value per share. Shareholders receiving periodic payments from Monthly Distribution may be under the impression that they are receiving net income.
167
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
However, all or a portion of a distribution may consist of a return of capital. Shareholders should not assume that the source of a distribution from Monthly Distribution is net income.
s. Real Estate Investment Trusts – Real Estate Stock invests primarily in Real Estate Investment Trusts (REITs). Distributions from REITs may be characterized as dividends, capital gains, and/or return of capital.
t. 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 | ||||
Corporate/Government Bond | 0.65% – 0.95% | 0.50% | 0.15% – 0.45% | |||
Floating Rate Bond | 0.70% – 1.06% | 0.60% | 0.10% – 0.46% | |||
High-Yield Bond | 0.82% – 1.02% | 0.60% | 0.22% – 0.42% | |||
International Opportunity Bond | 0.80% – 1.30% | 0.60% | 0.20% – 0.70% | |||
Large Cap Value | 0.75% – 1.15% | 0.65% | 0.10% – 0.50% | |||
Small Cap Value | 0.75% – 1.45% | 0.65% | 0.10% – 0.80% | |||
Focused Large Cap Growth | 0.85% – 1.15% | 0.65% | 0.20% – 0.50% | |||
Small Cap Growth | 0.65% – 1.65% | 0.65% | 0.00% – 1.00% | |||
Emerging Markets Stock | 0.70% – 1.50% | 0.65% | 0.05% – 0.85% | |||
International Stock | 0.95% – 1.65% | 0.65% | 0.30% – 1.00% | |||
Dynamic Macro | 1.05% – 1.75% | 0.65% | 0.40% – 1.10% | |||
Long/Short Credit | 0.70% – 1.80% | 0.65% | 0.05% – 1.15% | |||
Monthly Distribution | 0.87% – 1.63% | 0.65% | 0.22% – 0.98% | |||
Real Estate Stock | 0.80% – 1.40% | 0.65% | 0.15% – 0.75% |
Each Fund’s Sub-Advisory Fulcrum Fee is calculated daily using an annual base Sub-Advisory fee of a specified amount of the average daily net assets of the Fund (the “Base Fee”), adjusted by the Fund’s Class N share performance relative to the Fund’s benchmark (the “Performance Fee”). Depending on a Fund’s net performance versus its benchmark, the Sub-Adviser will receive a fee adjustment in accordance with a formula that equates a percentage of out- or under- performance to a percentage of fee increases or decreases, respectively. In addition, some Fulcrum Fees employ a “null zone” around the base fee, whereby small differences in performance versus the benchmark will not trigger a fee increase or decrease. During the first 12 months of the Fulcrum Fee arrangement, the Performance Fee is calculated daily from inception date of the agreement to the calculation date and is applied to the average daily net assets of the Funds during the calculation period. After the initial 12 months, the Performance Fee is calculated on a daily basis based on comparative performance over a rolling 12-month period. All Funds, with the exception of Monthly Distribution which is in the initial year of a new Fulcrum Fee arrangement, are calculating Performance Fees on a rolling 12-month basis as of April 1, 2021.
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.
168
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
By virtue of using average daily net assets over a “rolling” 12-month period for purposes of calculating the Performance Fee while using average daily net assets for the most recent month for purposes of calculating the Base Fee, the actual total Fulcrum Fee paid by the Fund to the Sub-Adviser may be higher or lower than the maximum or minimum annual rates described above if the average daily net assets do not remain constant during the rolling 12-month period. If the Fund is significantly underperforming versus the Index and the Fund’s net assets have declined significantly, the monthly total Fulcrum Fee can be a negative number (although the performance fee rate can never be negative, the Performance Fee can be negative). In such instances, if the negative Fulcrum Fee is not earned back or offset the following month, the Sub-Adviser must reimburse the Fund the amount of the negative Fulcrum Fee within an agreed upon time. Likewise, in the case where the Fund has significantly underperformed versus the Index but net assets have increased significantly, the monthly total Fulcrum Fee can be positive although the performance fee rate may be 0.00%. In such instances, the Fund will pay the Sub-Adviser the monthly Fulcrum Fee.
The table below lists the current Sub-Advisers along with their Fulcrum Fee arrangements.
Null | Minimum | Maximum | ||||
Fund | Sub-Adviser | Benchmark | Base Fee | Zone | Fee | Fee |
Corporate/Government Bond | Newfleet Asset Management, LLC | Bloomberg Barclays Aggregate Bond Index | 0.30% | +/- 0.15% | 0.15% | 0.45% |
Floating Rate Bond | Newfleet Asset Management, LLC | Credit Suisse Leveraged Loan Total Return Index | 0.28% | +/- 0.00% | 0.10% | 0.46% |
High-Yield Bond | PineBridge Investments LLC | Barclays U.S. Corporate High Yield Bond Ba/B 2% Issuer Capped Index | 0.32% | +/- 0.00% | 0.22% | 0.42% |
International Opportunity Bond | Stone Harbor Investment Partners LP | Barclays Global ex US Aggregate Bond Index (Hedged) | 0.45% | +/- 0.00% | 0.20% | 0.70% |
Large Cap Value | Rothschild & Co. Asset Management US Inc. | Russell 1000 Value Index | 0.30% | +/- 0.00% | 0.10% | 0.50% |
Small Cap Value | Ziegler Capital Management, LLC | Russell 2000 Value Index | 0.45% | +/- 0.00% | 0.10% | 0.80% |
Focused Large Cap Growth | The Ithaka Group, LLC | Russell 1000 Growth Index | 0.35% | +/- 0.30% | 0.20% | 0.50% |
Small Cap Growth | Pier Capital, LLC | Russell 2000 Growth Index | 0.50% | +/- 0.20% | 0.00% | 1.00% |
Emerging Markets Stock | NS Partners Ltd. | MSCI Emerging Markets Index (Net) | 0.45% | +/- 0.00% | 0.05% | 0.85% |
International Stock | Arrowstreet Capital L.P. | MSCI All Country World Index ex USA (Net) | 0.65% | +/- 0.20% | 0.30% | 1.00% |
Dynamic Macro | Mellon Investments Corporation | IQ Hedge Global Macro Beta Index | 0.75% | +/- 0.00% | 0.40% | 1.10% |
Long/Short Credit | Metlife Investment Advisors, LLC | BofA Merrill Lynch US 3-month Treasury Bill Index PLUS 300 bps (3.00%) | 0.60% | +/- 0.00% | 0.05% | 1.15% |
Monthly Distribution * | Grantham, Mayo, Van Otterloo & Co., LLC | IQ Hedge Market Neutral Total Return Index | 0.60% | +/- 0.00% | 0.22% | 0.98% |
Real Estate Stock | American Assets Capital Advisers, LLC | Dow Jones US Real Estate Total Return Index | 0.45% | +/- 0.00% | 0.15% | 0.75% |
* | Effective April 1, 2021 Grantham, Mayo, Van Otterloo & Co., LLC replaced Weiss Multi-Strategy Advisers, LLC as the sub-adviser to Monthly Distribution. Weiss Multi-Strategy Advisers, LLC had a Base fee of 0.60%, a Minimum fee of 0.22% and a Maximum fee of 0.98%. |
b. Administration, Fund Accounting and Transfer Agency Fees – Gemini Fund Services, LLC (“GFS” or the “Administrator”) serves as the administrator, fund accountant and transfer agent for the Funds. For providing administration services, GFS receives from each Fund a monthly fee based on the combined average daily net assets at the following annual rates; 0.07% on the first $250 million of average net assets; 0.05% on average net assets between $250 million and $500 million; 0.03% on average net assets over $500 million; and 0.01% on average net assets over $1 billion. Such fees are subject to an annual minimum of $400,000 in total for the entire Trust. For providing fund accounting services, GFS receives from the Trust a minimum annual fee of $245,000. For providing transfer agent services, GFS receives from the Trust a minimum annual fee of $201,600.
Blu Giant, LLC, (“Blu Giant”), an affiliate of GFS, provides EDGAR conversion and filing services as well as some print management services for the Funds on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Funds. An individual from GFS serves as an officer for the Trust and receives no additional compensation from the Trust for serving in that role.
c. Distributor – The Distributor of the Funds is Dunham & Associates (the “Distributor”). The Funds have adopted an Amended and Restated Rule 12b-1 Plan (the “Plan”) in accordance with Rule 12b-1 under the 1940 Act for Class A and Class C shares. The Plan for Class A shares authorizes the Funds to pay distribution fees to the Distributor or other entities on a monthly basis at an annualized rate of up to 0.25% of the average daily net assets attributable to Class A shares. The Plan for Class C shares authorizes the Funds to pay distribution fees at the annualized rate of 0.75% for the equity Funds and 0.50% for the fixed income Funds and shareholder servicing
169
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
fees at the annualized rate of 0.25% to the Distributor or other entities on a monthly basis based on the average daily net assets attributable to Class C shares. Class N shares do not pay distribution fees or shareholder servicing fees.
Distributor Sales Charges | ||||
Fund | Class A | |||
Corporate/Government Bond | $ | 1,025 | ||
Floating Rate Bond | 804 | |||
High-Yield Bond | 3,231 | |||
International Opportunity Bond | 4 | |||
Large Cap Value | 8,476 | |||
Small Cap Value | 2,008 | |||
Focused Large Cap Growth | 60,946 | |||
Small Cap Growth | 39,146 | |||
Emerging Markets Stock | 213 | |||
International Stock | 2,805 | |||
Dynamic Macro | 119 | |||
Long/Short Credit | 5,206 | |||
Monthly Distribution | 8,074 | |||
Real Estate Stock | 11,091 |
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; $2,500 for all electronically-attended 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 $169,000 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, 2021, certain Funds had portfolio trades executed with a certain brokers pursuant to a commission recapture agreement under which the brokers returned a portion of the Fund’s brokerage commissions on the Fund’s behalf. Such amounts, under such commission recapture agreement, are included in fees paid indirectly in the Funds’ Statements of Operations and will be paid directly by the brokers for the expenses of the Fund. For the six months ended April 30, 2021, the amounts received by the Administrator on behalf of certain participating Funds under this arrangement were: Large Cap Value - $779, Small Cap Value - $1,116, Small Cap Growth - $633, and International Stock - $1,524.
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, 2021 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 | ||||||||||||
Corporate/Government Bond | $ | 36,881,148 | $ | 14,174,171 | $ | 8,747,889 | $ | 3,544,176 | ||||||||
Floating Rate Bond | 95,090,576 | 81,936,334 | — | — | ||||||||||||
High-Yield Bond | 44,247,207 | 35,483,557 | — | — | ||||||||||||
International Opportunity Bond | 29,488,807 | 8,874,025 | — | — | ||||||||||||
Large Cap Value | 61,042,228 | 31,685,599 | — | — | ||||||||||||
Small Cap Value | 28,459,617 | 32,382,050 | — | — | ||||||||||||
Focused Large Cap Growth | 30,016,258 | 23,984,132 | — | — | ||||||||||||
Small Cap Growth | 51,303,582 | 53,571,303 | — | — | ||||||||||||
Emerging Markets Stock | 57,516,716 | 48,232,921 | — | — | ||||||||||||
International Stock | 109,146,748 | 113,218,885 | — | — | ||||||||||||
Dynamic Macro | — | 6,792,165 | — | — | ||||||||||||
Long/Short Credit | 127,078,883 | 85,534,567 | 77,564,471 | 63,577,150 | ||||||||||||
Monthly Distribution | 461,178,884 | 379,786,435 | — | — | ||||||||||||
Real Estate Stock | 39,947,863 | 29,457,157 | — | — |
170
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (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, 2021, were as follows:
Gross | Gross | Net Unrealized | ||||||||||||||
Tax | Unrealized | Unrealized | Appreciation/ | |||||||||||||
Cost | Appreciation | Depreciation | (Depreciation) | |||||||||||||
Corporate/Government Bond | $ | 105,367,498 | $ | 1,786,119 | $ | (1,491,303 | ) | $ | 294,816 | |||||||
Floating Rate Bond | 196,283,019 | 1,583,414 | (3,285,718 | ) | (1,702,304 | ) | ||||||||||
High-Yield Bond | 107,285,032 | 5,010,044 | (1,306,867 | ) | 3,703,177 | |||||||||||
International Opportunity Bond | 68,181,648 | 3,132,559 | (1,602,243 | ) | 1,530,316 | |||||||||||
Large Cap Value | 98,433,766 | 44,048,337 | (638,595 | ) | 43,409,742 | |||||||||||
Small Cap Value | 58,634,475 | 24,569,805 | (1,082,372 | ) | 23,487,433 | |||||||||||
Focused Large Cap Growth | 111,486,519 | 108,310,503 | (1,250,725 | ) | 107,059,778 | |||||||||||
Small Cap Growth | 56,032,912 | 25,252,878 | (3,017,990 | ) | 22,234,888 | |||||||||||
Emerging Markets Stock | 96,353,280 | 30,916,122 | (4,408,567 | ) | 26,507,555 | |||||||||||
International Stock | 135,280,330 | 34,945,579 | (3,482,686 | ) | 31,462,893 | |||||||||||
Dynamic Macro | 21,160,346 | 3,646,694 | (609,483 | ) | 3,037,211 | |||||||||||
Long/Short Credit | 209,719,250 | 3,169,125 | (952,231 | ) | 2,216,894 | |||||||||||
Monthly Distribution | 99,814,358 | 12,495,137 | (15,845,558 | ) | (3,350,421 | ) | ||||||||||
Real Estate Stock | 97,577,974 | 25,743,061 | (2,045,697 | ) | 23,697,364 |
6. | SHARES OF BENEFICIAL INTEREST |
Following is a summary of shareholder transactions for each Fund for the six months ended April 30, 2021 and the year ended October 31, 2020, respectively:
For the six months ended April 30, 2021:
Class N Shares | Class A Shares | |||||||||||||||||||||||||||||||
Net Increase | Net Increase | |||||||||||||||||||||||||||||||
Distributions | (Decrease) in | Distributions | (Decrease) in | |||||||||||||||||||||||||||||
Fund | Issued | Reinvested | Redeemed | Shares | Issued | Reinvested | Redeemed | Shares | ||||||||||||||||||||||||
Corporate/Government Bond | 1,791,401 | 38,799 | (479,794 | ) | 1,350,406 | 230,656 | 3,967 | (124,572 | ) | 110,051 | ||||||||||||||||||||||
Floating Rate Bond | 2,488,283 | 278,323 | (965,868 | ) | 1,800,738 | 384,396 | 36,026 | (331,475 | ) | 88,947 | ||||||||||||||||||||||
High-Yield Bond | 1,652,448 | 209,288 | (1,047,551 | ) | 814,185 | 236,122 | 25,908 | (229,837 | ) | 32,193 | ||||||||||||||||||||||
International Opportunity Bond | 2,217,458 | 71,155 | (304,341 | ) | 1,984,272 | 386,595 | 10,286 | (91,201 | ) | 305,680 | ||||||||||||||||||||||
Large Cap Value | 1,233,473 | 57,194 | (594,820 | ) | 695,847 | 199,148 | 9,622 | (243,077 | ) | (34,307 | ) | |||||||||||||||||||||
Small Cap Value | 700,242 | 33,238 | (786,509 | ) | (53,029 | ) | 74,771 | 5,343 | (242,803 | ) | (162,689 | ) | ||||||||||||||||||||
Focused Large Cap Growth | 729,091 | 71,719 | (392,226 | ) | 408,584 | 167,685 | 21,228 | (227,773 | ) | (38,860 | ) | |||||||||||||||||||||
Small Cap Growth | 479,366 | 264,776 | (654,528 | ) | 89,614 | 346,698 | 96,685 | (181,379 | ) | 262,004 | ||||||||||||||||||||||
Emerging Markets Stock | 991,556 | 6,610 | (404,486 | ) | 593,680 | 175,578 | — | (130,026 | ) | 45,552 | ||||||||||||||||||||||
International Stock | 1,059,507 | 51,395 | (973,983 | ) | 136,919 | 143,703 | 8,406 | (311,846 | ) | (159,737 | ) | |||||||||||||||||||||
Dynamic Macro | 249,380 | 12,928 | (836,540 | ) | (574,232 | ) | 60,382 | 1,231 | (218,938 | ) | (157,325 | ) | ||||||||||||||||||||
Long/Short Credit | 6,040,427 | 252,511 | (1,165,652 | ) | 5,127,286 | 801,693 | 34,911 | (224,540 | ) | 612,064 | ||||||||||||||||||||||
Monthly Distribution | 846,699 | 80,328 | (539,260 | ) | 387,767 | 105,860 | 14,833 | (183,630 | ) | (62,937 | ) | |||||||||||||||||||||
Real Estate Stock | 831,950 | 254,742 | (215,921 | ) | 870,771 | 111,909 | 50,131 | (128,871 | ) | 33,169 |
171
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
Class C Shares | ||||||||||||||||
Net Increase | ||||||||||||||||
Distributions | (Decrease) in | |||||||||||||||
Fund | Issued | Reinvested | Redeemed | Shares | ||||||||||||
Corporate/Government Bond | 41,475 | 769 | (47,440 | ) | (5,196 | ) | ||||||||||
Floating Rate Bond | 44,828 | 9,783 | (68,493 | ) | (13,882 | ) | ||||||||||
High-Yield Bond | 36,288 | 8,398 | (44,816 | ) | (130 | ) | ||||||||||
International Opportunity Bond | 31,425 | 1,359 | (9,311 | ) | 23,473 | |||||||||||
Large Cap Value | 20,973 | 898 | (59,601 | ) | (37,730 | ) | ||||||||||
Small Cap Value | 25,953 | 396 | (45,940 | ) | (19,591 | ) | ||||||||||
Focused Large Cap Growth | 39,632 | 7,708 | (33,262 | ) | 14,078 | |||||||||||
Small Cap Growth | 26,343 | 36,644 | (29,617 | ) | 33,370 | |||||||||||
Emerging Markets Stock | 20,999 | — | (27,730 | ) | (6,731 | ) | ||||||||||
International Stock | 18,938 | 166 | (45,169 | ) | (26,065 | ) | ||||||||||
Dynamic Macro | 6,934 | — | (30,429 | ) | (23,495 | ) | ||||||||||
Long/Short Credit | 86,719 | 7,088 | (66,954 | ) | 26,853 | |||||||||||
Monthly Distribution | 37,388 | 16,666 | (143,755 | ) | (89,701 | ) | ||||||||||
Real Estate Stock | 28,582 | 15,851 | (25,342 | ) | 19,091 |
For the year ended October 31, 2020:
Class N Shares | Class A Shares | |||||||||||||||||||||||||||||||
Net Increase | Net Increase | |||||||||||||||||||||||||||||||
Distributions | (Decrease) in | Distributions | (Decrease) in | |||||||||||||||||||||||||||||
Fund | Issued | Reinvested | Redeemed | Shares | Issued | Reinvested | Redeemed | Shares | ||||||||||||||||||||||||
Corporate/Government Bond | 2,442,311 | 66,476 | (1,328,640 | ) | 1,180,147 | 294,446 | 9,157 | (250,960 | ) | 52,643 | ||||||||||||||||||||||
Floating Rate Bond | 3,849,760 | 592,036 | (6,066,744 | ) | (1,624,948 | ) | 810,520 | 80,421 | (1,027,096 | ) | (136,155 | ) | ||||||||||||||||||||
High-Yield Bond | 2,455,724 | 433,543 | (3,601,390 | ) | (712,123 | ) | 460,273 | 58,376 | (528,449 | ) | (9,800 | ) | ||||||||||||||||||||
International Opportunity Bond | 2,299,451 | 89,247 | (1,311,372 | ) | 1,077,326 | 456,811 | 13,291 | (186,162 | ) | 283,940 | ||||||||||||||||||||||
Large Cap Value | 2,399,060 | 138,361 | (1,252,393 | ) | 1,285,028 | 658,171 | 34,070 | (543,574 | ) | 148,667 | ||||||||||||||||||||||
Small Cap Value | 2,415,552 | — | (1,820,596 | ) | 594,956 | 470,660 | — | (386,664 | ) | 83,996 | ||||||||||||||||||||||
Focused Large Cap Growth | 1,137,971 | 97,550 | (1,086,213 | ) | 149,308 | 582,227 | 27,824 | (677,311 | ) | (67,260 | ) | |||||||||||||||||||||
Small Cap Growth | 837,545 | 40,552 | (1,232,242 | ) | (354,145 | ) | 480,062 | 11,564 | (580,869 | ) | (89,243 | ) | ||||||||||||||||||||
Emerging Markets Stock | 1,853,780 | 34,748 | (1,572,886 | ) | 315,642 | 459,657 | 5,711 | (363,721 | ) | 101,647 | ||||||||||||||||||||||
International Stock | 2,284,755 | 138,030 | (2,661,981 | ) | (239,196 | ) | 514,676 | 28,085 | (621,576 | ) | (78,815 | ) | ||||||||||||||||||||
Dynamic Macro | 784,689 | — | (1,599,151 | ) | (814,462 | ) | 221,207 | — | (479,227 | ) | (258,020 | ) | ||||||||||||||||||||
Long/Short Credit | 8,085,347 | 163,905 | (3,899,273 | ) | 4,349,979 | 1,087,252 | 24,191 | (502,836 | ) | 608,607 | ||||||||||||||||||||||
Monthly Distribution | 1,427,177 | 175,987 | (2,120,885 | ) | (517,721 | ) | 298,337 | 38,406 | (569,549 | ) | (232,806 | ) | ||||||||||||||||||||
Real Estate Stock | 1,563,413 | 170,517 | (933,460 | ) | 800,470 | 426,430 | 36,244 | (308,616 | ) | 154,058 |
Class C Shares | ||||||||||||||||
Net Increase | ||||||||||||||||
Distributions | (Decrease) in | |||||||||||||||
Fund | Issued | Reinvested | Redeemed | Shares | ||||||||||||
Corporate/Government Bond | 455,539 | 3,711 | (449,782 | ) | 9,468 | |||||||||||
Floating Rate Bond | 433,161 | 25,748 | (619,674 | ) | (160,765 | ) | ||||||||||
High-Yield Bond | 127,404 | 22,144 | (461,812 | ) | (312,264 | ) | ||||||||||
International Opportunity Bond | 79,096 | 2,354 | (104,595 | ) | (23,145 | ) | ||||||||||
Large Cap Value | 140,599 | 10,700 | (222,263 | ) | (70,964 | ) | ||||||||||
Small Cap Value | 141,105 | — | (162,323 | ) | (21,218 | ) | ||||||||||
Focused Large Cap Growth | 126,528 | 12,296 | (171,171 | ) | (32,347 | ) | ||||||||||
Small Cap Growth | 60,791 | 4,355 | (106,446 | ) | (41,300 | ) | ||||||||||
Emerging Markets Stock | 93,733 | 665 | (149,063 | ) | (54,665 | ) | ||||||||||
International Stock | 133,574 | 6,779 | (247,349 | ) | (106,996 | ) | ||||||||||
Dynamic Macro | 62,303 | — | (127,248 | ) | (64,945 | ) | ||||||||||
Long/Short Credit | 606,976 | 6,997 | (646,224 | ) | (32,251 | ) | ||||||||||
Monthly Distribution | 136,689 | 47,226 | (550,746 | ) | (366,831 | ) | ||||||||||
Real Estate Stock | 89,003 | 11,800 | (75,792 | ) | 25,011 |
172
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
7. | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL |
The tax character of dividends paid during the year or period ended October 31, 2020 and October 31, 2019 was as follows:
For fiscal year ended | Ordinary | Long-Term | Return of | |||||||||||||
10/31/2020 | Income | Capital Gains | Capital | Total | ||||||||||||
Corporate/Government Bond ** | $ | 1,137,278 | $ | — | $ | — | $ | 1,137,278 | ||||||||
Floating Rate Bond ** | 6,315,171 | — | — | 6,315,171 | ||||||||||||
High-Yield Bond ** | 4,586,673 | — | — | 4,586,673 | ||||||||||||
International Opportunity Bond | 598,123 | — | 329,450 | 927,573 | ||||||||||||
Large Cap Value | 933,518 | 1,931,134 | �� | 2,864,652 | ||||||||||||
Small Cap Value | — | — | — | — | ||||||||||||
Focused Large Cap Growth | — | 3,668,052 | — | 3,668,052 | ||||||||||||
Small Cap Growth | 116,998 | 825,002 | — | 942,000 | ||||||||||||
Emerging Markets Stock * | 834,088 | — | — | 834,088 | ||||||||||||
International Stock * | 3,234,865 | — | — | 3,234,865 | ||||||||||||
Dynamic Macro | — | — | — | — | ||||||||||||
Long/Short Credit ** | 1,890,160 | — | — | 1,890,160 | ||||||||||||
Monthly Distribution ** | 2,397,356 | — | 6,523,968 | 8,921,324 | ||||||||||||
Real Estate Stock | 1,519,797 | 2,213,358 | — | 3,733,155 | ||||||||||||
For fiscal year ended | Ordinary | Long-Term | Return of | |||||||||||||
10/31/2019 | Income | Capital Gains | Capital | Total | ||||||||||||
Corporate/Government Bond | $ | 1,364,485 | $ | — | $ | — | $ | 1,364,485 | ||||||||
Floating Rate Bond | 8,609,420 | — | — | 8,609,420 | ||||||||||||
High-Yield Bond ** | 5,606,169 | — | 1,997 | 5,608,166 | ||||||||||||
International Opportunity Bond | 78,557 | 143,753 | 2,685 | 224,995 | ||||||||||||
Large Cap Value | 1,029,945 | 2,475,280 | — | 3,505,225 | ||||||||||||
Small Cap Value | 1,864,480 | 3,196,685 | 23,516 | 5,084,681 | ||||||||||||
Focused Large Cap Growth | — | 6,222,027 | — | 6,222,027 | ||||||||||||
Small Cap Growth | 3,935,267 | 5,125,659 | — | 9,060,926 | ||||||||||||
Emerging Markets Stock * | 1,399,913 | — | — | 1,399,913 | ||||||||||||
International Stock * | 1,605,914 | 6,332,594 | — | 7,938,508 | ||||||||||||
Dynamic Macro | 771,551 | — | 228,780 | 1,000,331 | ||||||||||||
Long/Short Credit | 2,186,769 | — | — | 2,186,769 | ||||||||||||
Monthly Distribution | — | — | 14,962,154 | 14,962,154 | ||||||||||||
Real Estate Stock | 963,717 | — | — | 963,717 |
* | The difference between ordinary distributions paid from book and ordinary distributions paid from tax relates to allowable foreign tax credits of $449,736 and $203,526 for fiscal year ended October 31, 2020 for International Stock and Emerging Markets Stock respectively, and $454,755 and $196,218 for fiscal year ended October 31, 2019 for International Stock and Emerging Markets Stock respectively, which have been passed through to the Funds’ underlying shareholders and are deemed dividends for tax purposes. |
** | Differences in distributions between the Statements of Changes paid from book and tax on the income funds relate to the adjustments for dividends payable for tax purposes. |
173
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
Permanent book and tax differences, primarily attributable to the reclass of net operating losses and fund distributions and the expiration of capital loss carry forwards, resulted in reclassification for the tax year ended October 31, 2020 as follows:
Paid | ||||||||
In | Accumulated | |||||||
Fund | Capital | Earnings (Loss) | ||||||
Corporate/Government Bond | $ | — | $ | — | ||||
Floating Rate Bond | — | — | ||||||
High-Yield Bond | — | — | ||||||
International Opportunity Bond | — | — | ||||||
Large Cap Value | — | — | ||||||
Small Cap Value | — | — | ||||||
Focused Large Cap Growth | (338,360 | ) | 338,360 | |||||
Small Cap Growth | — | — | ||||||
Emerging Markets Stock | — | — | ||||||
International Stock | — | — | ||||||
Dynamic Macro | (63 | ) | 63 | |||||
Long/Short Credit | — | — | ||||||
Monthly Distribution | 257,363 | (257,363 | ) | |||||
Real Estate Stock | (147,594 | ) | 147,594 |
Net assets were unaffected by the above reclassifications.
As of each of the Fund’s tax year-ended October 31, 2020, 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) | |||||||||||||||||||||
Corporate/Government Bond | $ | 31,740 | $ | — | $ | — | $ | (1,523,599 | ) | $ | (747 | ) | $ | 1,521,805 | $ | 29,199 | ||||||||||||
Floating Rate Bond | 313,241 | — | — | (11,671,053 | ) | (2,664 | ) | (7,550,250 | ) | (18,910,726 | ) | |||||||||||||||||
High-Yield Bond | 65,115 | — | — | (8,941,917 | ) | (5,843 | ) | 50,099 | (8,832,546 | ) | ||||||||||||||||||
International Opportunity Bond | — | — | — | (442,099 | ) | (234 | ) | 151,908 | (290,425 | ) | ||||||||||||||||||
Large Cap Value | 840,718 | 0.00 | — | (35,068 | ) | — | 15,957,825 | 16,763,475 | ||||||||||||||||||||
Small Cap Value | 311,089 | — | — | (5,861,913 | ) | — | 1,444,008 | (4,106,816 | ) | |||||||||||||||||||
Focused Large Cap Growth | — | 3,869,602 | (1,348,225 | ) | — | — | 86,773,598 | 89,294,975 | ||||||||||||||||||||
Small Cap Growth | 3,589,384 | 5,463,299 | — | — | — | 11,725,012 | 20,777,695 | |||||||||||||||||||||
Emerging Markets Stock | 125,474 | — | — | (243,844 | ) | — | 14,548,978 | 14,430,608 | ||||||||||||||||||||
International Stock | 1,074,955 | 70,639 | — | — | — | 7,164,979 | 8,310,573 | |||||||||||||||||||||
Dynamic Macro | 148,493 | — | — | (2,532,651 | ) | — | 1,943,024 | (441,134 | ) | |||||||||||||||||||
Long/Short Credit | 2,559,523 | — | — | — | (3,331 | ) | 1,079,578 | 3,635,770 | ||||||||||||||||||||
Monthly Distribution | — | — | (676,660 | ) | — | (164,836 | ) | (6,574,783 | ) | (7,416,279 | ) | |||||||||||||||||
Real Estate Stock | — | 5,909,275 | — | — | — | 6,519,324 | 12,428,599 |
The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income (loss) and accumulated net realized gain (loss) from security transactions are primarily attributable to the tax deferral of losses on wash sales, the mark-to-market treatment of open forward foreign currency contracts, options, dividend payable and swap contracts, and adjustments for partnerships, perpetual bonds, passive foreign investment companies, 1256 option contracts and C Corporation return of capital distributions. The unrealized appreciation (depreciation) in the table above includes unrealized foreign currency gains (losses) for the Funds. In addition, the amount listed under other book/tax differences are primarily attributable to the tax deferral of losses on straddles and constructive sales, and tax adjustments for accrued dividend payable.
174
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Funds incurred and elected to defer such late year losses as follows:
Late Year | ||||
Fund | Losses | |||
Corporate/Government Bond | $ | — | ||
Floating Rate Bond | — | |||
High-Yield Bond | — | |||
International Opportunity Bond | — | |||
Large Cap Value | — | |||
Small Cap Value | — | |||
Focused Large Cap Growth | 1,348,225 | |||
Small Cap Growth | — | |||
Emerging Markets Stock | — | |||
International Stock | — | |||
Dynamic Macro | — | |||
Long/Short Credit | — | |||
Monthly Distribution | 676,660 | |||
Real Estate Stock | — |
At October 31, 2020, the following Funds had capital loss carryforwards for federal income tax purposes available to offset future capital gains as follows:
Capital Loss Carry | ||||||||||||||||
Fund | Short-Term | Long-Term | Total | Forward Utilized | ||||||||||||
Corporate/Government Bond | $ | 946,087 | $ | 577,512 | $ | 1,523,599 | $ | 1,661,249 | ||||||||
Floating Rate Bond | 1,896,219 | 9,774,834 | 11,671,053 | — | ||||||||||||
High-Yield Bond | 3,478,880 | 5,463,037 | 8,941,917 | — | ||||||||||||
International Opportunity Bond | 386,984 | 55,115 | 442,099 | — | ||||||||||||
Large Cap Value | — | 35,068 | 35,068 | — | ||||||||||||
Small Cap Value | 1,118,935 | 4,742,978 | 5,861,913 | — | ||||||||||||
Focused Large Cap Growth | — | — | — | — | ||||||||||||
Small Cap Growth | — | — | — | — | ||||||||||||
Emerging Markets Stock | 243,844 | — | 243,844 | 1,228,480 | ||||||||||||
International Stock | — | — | — | 4,689,441 | ||||||||||||
Dynamic Macro | 2,479,933 | 52,718 | 2,532,651 | — | ||||||||||||
Long/Short Credit | — | — | — | — | ||||||||||||
Monthly Distribution | — | — | — | 1,071,140 | ||||||||||||
Real Estate Stock | — | — | — | — |
175
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
8. | LINE OF CREDIT |
Currently, the Funds have a $50,000,000 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 at rate of Prime less .5%. The Uncommitted Line is not a “committed” line of credit, which is to say that the Bank is not obligated to lend money to a Fund. Accordingly, it is possible that a Fund may wish to borrow money for a temporary or emergency purpose but may not be able to do so. Based only on the days borrowed, the average amount of borrowings outstanding were as follows:
Average borrowings | Average | |||||
Fund | outstanding | borrowings rate | ||||
Floating Rate Bond | $ | 601,633 | 2.75% | |||
Small Cap Value | 2,060,750 | 2.75% | ||||
Focused Large Cap Growth | 867,000 | 2.75% | ||||
Small Cap Growth | 2,441,667 | 2.75% | ||||
Emerging Markets Stock | 679,846 | 2.75% | ||||
International Stock | 142,446 | 2.75% | ||||
Long/Short Credit | 308,000 | 2.75% | ||||
Monthly Distribution | 628,000 | 2.75% | ||||
Real Estate Stock | 111,571 | 2.75% |
The interest expense for all the Funds listed above is immaterial.
As of April 30, 2021, all the Funds listed above had no outstanding borrowings on the Uncommitted Line. Funds not listed above did not access the line of credit during the six months ended April 30, 2021.
9. | SECURITIES LENDING |
The Funds have entered into separate Securities Lending Agreements (“Agreements”) with the U.S. Bank National Association (the “Bank”) and Securities Finance Trust Company (“SFTC”). High-Yield Bond, Small Cap Growth and Monthly Distribution lend securities with SFTC. All other Funds lend securities 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. International Stock is below the 105% threshold due to market fluctuation. All interest and dividend payments received on securities which are held on loan, provided that there is no material default, will be paid to the respective Fund. A portion of the income generated by the investment in the Funds collateral, net of any rebates paid by the Bank to the borrowers is remitted to the Bank or SFTC as lending agent and the remainder is paid to the Fund(s).
Securities lending income is disclosed in the Funds’ Statements of Operations and is net of fees retained by the counterparty. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the Borrower fails to return them. Should the borrower of the securities fail financially, each Fund has the right to repurchase the securities using the collateral in the open market. The remaining contractual maturity of all securities lending transactions are overnight and continuous.
176
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
The below table shows the collateral held by each Fund at the end of the period.
Gross Amounts Not Offset in the | ||||||||||||||||||||||||||
Statement of Assets & Liabilities | ||||||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||||
Gross Amounts | Offset in the | Liabilities Presented in | ||||||||||||||||||||||||
of Recognized | Statement of Assets | the Statement of | Financial | Cash Collateral | ||||||||||||||||||||||
Description | Counterparty | Liabilities | & Liabilities | Assets & Liabilities | Instruments | Pledged | Net Amount | |||||||||||||||||||
Corporate/Government Bond | ||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Securities Loaned | US Bank | $ | (15,183,092 | ) | $ | — | $ | (15,183,092 | ) | $ | 15,183,092 | $ | — | $ | — | |||||||||||
Floating Rate Bond | ||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Securities Loaned | US Bank | $ | (1,923,079 | ) | $ | — | $ | (1,923,079 | ) | $ | 1,923,079 | $ | — | $ | — | |||||||||||
High-Yield Bond | ||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Securities Loaned | SFTC | $ | (2,481,100 | ) | $ | — | $ | (2,481,100 | ) | $ | 2,481,100 | $ | — | $ | — | |||||||||||
International Opportunity Bond | ||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Securities Loaned | US Bank | $ | (3,315,835 | ) | $ | — | $ | (3,315,835 | ) | $ | 3,315,835 | $ | — | $ | — | |||||||||||
Large Cap Value | ||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Securities Loaned | US Bank | $ | (8,018,249 | ) | $ | — | $ | (8,018,249 | ) | $ | 8,018,249 | $ | — | $ | — | |||||||||||
Small Cap Value | ||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Securities Loaned | US Bank | $ | (6,328,824 | ) | $ | — | $ | (6,328,824 | ) | $ | 6,328,824 | $ | — | $ | — | |||||||||||
Focused Large Cap Growth | ||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Securities Loaned | US Bank | $ | (28,925,473 | ) | $ | — | $ | (28,925,473 | ) | $ | 28,925,473 | $ | — | $ | — | |||||||||||
Small Cap Growth | ||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Securities Loaned | SFTC | $ | (791,706 | ) | $ | — | $ | (791,706 | ) | $ | 791,706 | $ | — | $ | — | |||||||||||
Emerging Markets Stock | ||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Securities Loaned | US Bank | $ | (1,790,237 | ) | $ | — | $ | (1,790,237 | ) | $ | 1,790,237 | $ | — | $ | — | |||||||||||
International Stock | ||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Securities Loaned | US Bank | $ | (7,007,102 | ) | $ | — | $ | (7,007,102 | ) | $ | 7,007,102 | $ | — | $ | — | |||||||||||
Dynamic Macro | ||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Securities Loaned | US Bank | $ | (936,606 | ) | $ | — | $ | (936,606 | ) | $ | 936,606 | $ | — | $ | — | |||||||||||
Long/Short Credit | ||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Securities Loaned | US Bank | $ | (32,708,745 | ) | $ | — | $ | (32,708,745 | ) | $ | 32,708,745 | $ | — | $ | — | |||||||||||
Real Estate Stock | ||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Securities Loaned | US Bank | $ | (22,583,103 | ) | $ | — | $ | (22,583,103 | ) | $ | 22,583,103 | $ | — | $ | — | |||||||||||
177
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
The following table presents financial instruments that are subject to enforceable netting arrangements as of April 30, 2021.
Gross Amounts of Assets Presented in the Statements of Assets and Liabilities | ||||||||
Market Value of Loaned | Market Value of | |||||||
Fund | Securities | Collateral (1) | ||||||
Corporate/Government Bond | $ | 14,872,875 | $ | 14,872,875 | ||||
Floating Rate Bond | 1,882,076 | 1,882,076 | ||||||
High-Yield Bond | 2,432,452 | 2,432,452 | ||||||
International Opportunity Bond * | 3,258,422 | 3,258,422 | ||||||
Large Cap Value | 7,853,165 | 7,853,165 | ||||||
Small Cap Value | 6,088,163 | 6,088,163 | ||||||
Focused Large Cap Growth | 27,729,587 | 27,729,587 | ||||||
Small Cap Growth | 775,776 | 775,776 | ||||||
Emerging Markets Stock * | 1,639,480 | 1,639,480 | ||||||
International Stock * | 6,684,326 | 6,684,326 | ||||||
Dynamic Macro | 916,848 | 916,848 | ||||||
Long/Short Credit | 32,029,420 | 32,029,420 | ||||||
Real Estate Stock | 21,842,554 | 21,842,554 |
(1) | The amount is limited to the loaned securities and accordingly, does not include excess collateral pledged. |
* | Securities collateralized below 102% or 105% for foreign securities. The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% or 105% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% or 105% due to end of day market movement. The next business day, additional collateral is obtained/received from the borrower to replenish/reestablish 102% or 105%. |
10. | UNDERLYING INVESTMENTS IN OTHER INVESTMENT COMPANIES |
The Funds invest in other investment companies. Each underlying fund, including each ETF, is subject to specific risks, depending on the nature of the underlying fund. These risks could include liquidity risk, sector risk, foreign and related currency risk and high yield risk. Investors in the Funds will indirectly bear fees and expenses charged by the underlying investment companies in which the Funds invest in addition to the Funds’ direct fees and expenses. All the Funds may invest in investment companies. Such investments would subject the Funds to similar risks.
The performance of Dynamic Macro will be directly affected by the performance of the SPDR S&P 500 ETF Trust. The financial statements of this Fund, including the portfolio of investments, can be found at the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with Dynamic Macro’s financial statements. As of April 30, 2021, the percentage of Dynamic Macro Fund invested in the SPDR S&P 500 ETF Trust was 25.4%.
11. | LIQUIDITY RISK MANAGEMENT PROGRAM |
In October 2016, the Securities and Exchange Commission (“SEC”) adopted Rule 22e-4, or the “Liquidity Rule,” under the Investment Company Act of 1940. The Liquidity Rule requires a mutual fund to adopt a liquidity risk management program (“Program”). In June 2018, the SEC adopted a requirement that a mutual fund disclose information about the operation and effectiveness of its Program in its reports to shareholders.
The Funds have adopted and implemented a Program pursuant to the Liquidity Rule, effective December 1, 2018. The Program is intended to provide a framework for: (1) assessing and managing a Fund’s liquidity risk (i.e., the risk that a Fund could not meet requests to redeem shares without significantly diluting remaining investors’ interests) based on a variety of factors, including the Fund’s investment strategy and liquidity of its portfolio investments, (2) classifying the liquidity of a Fund’s investments, (3) determining a Fund’s highly liquid investment minimum (“HLIM”), if applicable, (4) complying with a Fund’s illiquid investment limit, and (5) reporting to the Funds’ Board of Trustees. The Board of Trustees designated the Funds’ investment adviser, Dunham & Associates Investment Counsel, Inc. (the “Program Administrator”), to administer the Program. The Program Administrator established a liquidity risk management group to assist the Program Administrator in implementing the Program.
Under the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories defined by the SEC: highly liquid, moderately liquid, less liquid, and illiquid. Liquidity classifications take into account a variety of market, trading, and investment factors, including the Fund’s reasonably anticipated trade size, and the Program Administrator has engaged a third-party vendor to assist with the classification of portfolio investments.
178
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
April 30, 2021 (Continued) |
The Liquidity Rule prohibits mutual funds from acquiring investments that would cause their illiquid investments to exceed 15% of net assets. The Liquidity Rule also requires funds that do not primarily hold assets that are highly liquid investments to determine a minimum percentage of net assets to be invested in highly liquid investments (the HLIM). The Program includes provisions designed to comply with the 15% limit on illiquid investments and for determining and complying with the HLIM requirement, as applicable.
In accordance with the Liquidity Rule, the Program Administrator prepared, and the Funds’ Board of Trustees reviewed, a report regarding the operation and effectiveness of the Program for the period from December 1, 2019 through December 31, 2020. The report concluded that the Program remains reasonably designed to assess and manage a Fund’s liquidity risk, and that during the period the Program was implemented effectively.
12. | SUBSEQUENT EVENTS |
Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.
179
ADDITIONAL INFORMATION (Unaudited) |
Dunham Funds |
15(c) BOARD CONSIDERATIONS |
December 14-15, 2020 |
I. | Background |
On December 14-15, 2020, 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 approval and/or renewal of the sub-advisory agreements with various sub-advisers for certain series (the “Funds”). The investment advisory agreement and the sub-advisory agreements collectively are referred to as the “Advisory Agreements.” The Funds and the relevant sub-advisers with sub-advisory agreements up for approval and/or renewal include:
Fund | Sub-Advisory Agreement | |
1. | Dunham Corporate/Government Bond Fund | Newfleet Asset Management, LLC |
2. | Dunham Dynamic Macro Fund | Mellon Investments Corporation |
3. | Dunham Emerging Markets Stock Fund | NS Partners Ltd. |
4. | Dunham Floating Rate Bond Fund | Newfleet Asset Management, LLC |
5. | Dunham Focused Large Cap Growth Fund | The Ithaka Group, LLC |
6. | Dunham High Yield Bond Fund | PineBridge Investments LLC |
7. | Dunham International Opportunity Bond Fund | [Stone Harbor Investment Partners LP not up for renewal at this time; sub-advisory contract recently approved in December 2019] |
8. | Dunham International Stock Fund | Arrowstreet Capital, Limited Partnership |
9. | Dunham Large Cap Value Fund | Rothschild & Co. Asset Management US Inc. |
10. | Dunham Long/Short Credit Fund (formerly Dunham Appreciation & Income Fund) | MetLife Investment Advisors, LLC |
11. | Dunham Monthly Distribution Fund | Weiss Multi-Strategy Advisers LLC |
12. | Dunham Real Estate Stock Fund | [American Assets Capital Advisers LLC not up for renewal at this time; sub-advisory contract recently approved in December 2019] |
13. | Dunham Small Cap Growth Fund | Pier Capital, LLC |
14. | Dunham Small Cap Value Fund | [Ziegler Capital Management, LLC not up for renewal at this time; sub-advisory contract most recently approved in March 2020] |
180
ADDITIONAL INFORMATION (Unaudited)(Continued) |
The Independent Trustees had requested and reviewed materials the Adviser and the sub-advisers provided prior to and during the meetings and had reviewed a memorandum from Fund counsel that reviewed their fiduciary duties pertaining to renewal of investment management and sub-advisory agreements and the factors they should consider in evaluating the Advisory agreements.
Among other information, the Adviser and the sub-advisers provided information to assist the Independent Trustees in assessing the nature, extent and quality of services provided, information comparing the investment performance, advisory fees and operating expense ratio of each Fund to other funds, information about estimated profitability and/or financial condition and compliance and regulatory matters. The Board determined that, given the totality of the information provided with respect to each Advisory Agreement, the Board had received sufficient information to approve the Advisory Agreements.
The Independent Trustees and Fund counsel met in executive sessions to consider the renewal of the Advisory Agreements. The Board also received information about the Funds throughout the year in connection with the regular quarterly Board meetings from the Adviser and various Fund sub-advisers.
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.
II. | 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, five and ten year periods or since a Fund’s inception, as applicable, ended September 30, 2020. The Board considered that the Adviser had delegated day-to-day portfolio management of each Fund’s 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 yearly compliance reviews. The Board concluded that the Adviser appropriately had reviewed and monitored each sub-adviser’s investment performance.
181
ADDITIONAL INFORMATION (Unaudited)(Continued) |
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. The Board concluded that the Adviser’s fee ranges are applied reasonably based on the nature of a Fund ( i.e., bond vs. equity, or alternative vs. traditional). The Board observed 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, the Adviser’s ongoing quantitative and qualitative analysis of each sub-adviser, and the other services that the Adviser provides to the Funds.
The Board also noted:
● | 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 in line with the average of the Peer Group and higher than the Morningstar category, however, the overall expense ratio was in a reasonable range. |
● | Dunham Floating Rate Bond 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 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 in light of above average atypical other expenses. |
● | 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. |
182
ADDITIONAL INFORMATION (Unaudited)(Continued) |
● | Dunham Large 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. |
● | Dunham Long/Short Credit Fund (formerly Dunham Appreciation & Income 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 also lower. |
● | Dunham Monthly Distribution 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 Real Estate 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 Small 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 Small Cap Value Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar Category; and 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.
183
ADDITIONAL INFORMATION (Unaudited)(Continued) |
III. | Sub-Advisory Agreements |
Nature, Extent and Quality of Services. In considering the approval and/or renewal of the sub-advisory agreement, as applicable, 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 average total returns of the Fund’s Peer Group and Morningstar category averages and benchmark index. The Board also noted:
● | Dunham Corporate/Government Bond Fund: The Board noted that Newfleet Asset Management, LLC (“Newfleet”), has served as the Fund’s sub-adviser since December 10, 2004 (the inception date of the Fund). The Board noted that the Fund underperformed its benchmark index and Peer Group average over the one-year time period and the Morningstar category average over the five-year time period, and the Morningstar category average and Peer Group average over the ten-year time period. The Board observed that the Fund’s underperformance could be attributed largely to the lower duration exposure of the Fund, as well as a lower allocation to U.S. Government and agency securities. The Adviser believes that the trailing underperformance can be attributed primarily to more recent underperformance, and that Newfleet has navigated the extreme market environment well. The Board concluded that the services Newfleet provided were satisfactory. |
● | Dunham Dynamic Macro Fund: The Board noted that Mellon Investments Corporation (“Mellon”), has served as the Fund’s sub-adviser since October 1, 2014 (while the Fund’s inception date is April 30, 2010). The Board noted that despite outperforming the Peer Group and Morningstar category average over the one-year and five-year timeframes, the Fund underperformed the benchmark index over each time period. The Board observed that the underperformance relative to the benchmark over the longer-term periods primarily can be attributed to the previous sub-adviser and the strategy that was implemented prior to Mellon. Since Mellon began to manage the Fund, the Fund has outperformed its Morningstar category average and Peer Group average. The Board concluded that the services Mellon provided were satisfactory. |
● | Dunham Emerging Markets Stock Fund: The Board noted that NS Partners Ltd. (“NS Partners”), has served as the Fund’s sub-adviser since April 1, 2019 (while the Fund’s inception date is December 10, 2004). Although the Fund outperformed the benchmark index, the Morningstar category average, and Peer Group average during the most recent one-year period, the Fund lagged the Peer Group and benchmark index over the five-year period and longer-term. However, the Board considered that this was attributable primarily to the performance of the previous sub-adviser that was replaced at the end of March 2019. Since NS Partners began to manage the fund, the Fund has outperformed its benchmark index, Morningstar category average, and Peer Group average. The Board concluded that the services NS Partners provided were satisfactory. |
184
ADDITIONAL INFORMATION (Unaudited)(Continued) |
● | Dunham Floating Rate Bond Fund: The Board noted that Newfleet Asset Management, LLC (“Newfleet”), has served as the Fund’s sub-adviser since November 4, 2013 (the inception date of the Fund). The Board noted that the Fund underperformed the benchmark index, Morningstar category average, and Peer Group average over the one-year, five-year, since Fund inception, and since Newfleet began to manage the Fund. A significant portion of the underperformance of the Fund versus the benchmark index and Peer Group average could be explained by Fund expenses. While Fund expenses are a challenge, the Adviser believes that Newfleet will be able to identify and take advantage of inefficiencies in the bank loan market. The Adviser will continue to monitor for other sub-advisory strategies that may be more effective. The Board concluded that the services Newfleet provided were satisfactory. |
● | Dunham Focused Large Cap Growth Fund: The Board noted that The Ithaka Group, LLC (“Ithaka”), has served as the Fund’s sub-adviser since December 8, 2011 (the inception date of the Fund), and the Fund may hold a maximum of 35 stocks. The Board noted that the Fund outperformed its Peer Group average and Morningstar category average over the relevant periods. The Board also noted that the Fund outperformed or was in line with its benchmark index over the relevant periods. When the Fund historically has outperformed its Peer Group average, the Morningstar category average, and benchmark index, it has done so by a significant amount. The Board concluded that the services Ithaka provided were satisfactory. |
● | Dunham High Yield Bond Fund: The Board noted that PineBridge Investments LLC (“PineBridge”), has served as the Fund’s sub-adviser since July 1, 2017 (while the Fund’s inception date is July 1, 2005). The Board noted that the Fund underperformed the benchmark index over the one-year, five-year, since Fund inception, and since PineBridge began to manage the Fund. However, the Fund outperformed or performed in line with the Peer Group average and Morningstar category average across the relevant periods. The Adviser noted that a significant portion of the Fund’s underperformance versus the benchmark index is explained by Fund expenses. Since PineBridge began to manage the Fund, the Fund has outperformed its Morningstar category average and Peer Group average. The Board concluded that the services PineBridge provided were satisfactory. |
● | Dunham International Stock Fund: The Board noted that Arrowstreet Capital, Limited Partnership (“Arrowstreet”), has served as the Fund’s sub-adviser since July 1, 2008 (while the Fund’s inception date is December 10, 2004). The Board noted that the Fund outperformed or was in line with the Peer Group average, benchmark mark and Morningstar category average over the relevant periods. The Board concluded that the services Arrowstreet provided were satisfactory. |
● | Dunham Large Cap Value Fund: The Board noted that Rothschild & Co. Asset Management U.S. Inc. (“Rothschild”), has served as the Fund’s sub-adviser since July 1, 2015 (while the Fund’s inception date is December 10, 2004). The Board noted that the Fund underperformed the benchmark index over the five-year and ten-year periods. However, since Rothschild began to manage the Fund, the Fund has performed in line with the benchmark index. Also, the Fund has outperformed the benchmark index and Morningstar category average over the past year. The Board concluded that the services Rothschild provided were satisfactory. |
185
ADDITIONAL INFORMATION (Unaudited)(Continued) |
● | Dunham Long/Short Credit Fund (formerly Dunham Appreciation & Income Fund): The Board noted that MetLife Investment Management, LLC (“MetLife”), has served as the Fund’s sub-adviser since July 1, 2018 (while the Fund’s inception date is December 10, 2004). The Board noted that the Fund outperformed or was in line with its Peer Group average, the Morningstar category average and its benchmark index over all time periods. The Board concluded that the services MetLife provided were satisfactory. |
● | Dunham Monthly Distribution Fund: The Board noted that Weiss Multi-Strategy Advisers, LLC (“Weiss”), has served as the Fund’s sub-adviser since April 1, 2017 (while the Fund’s inception date is September 29, 2008). The Board noted that the Fund underperformed the benchmark index over the one-year period and since Weiss began to manage the Fund. However, during those same time periods, the Fund outperformed the Morningstar category average. Although the Fund outperformed the Peer Group average over the one-year period, it underperformed the Peer Group average over the longer-term periods. Considering the most recent year, Weiss believed that downside risk was more substantial than the upside potential, which substantially helped the Fund’s relative performance during the extreme drawdowns in March 2020. The Board concluded that the services that Weiss provided were satisfactory. |
● | Dunham Small Cap Growth Fund: The Board noted that Pier Capital, LLC (“Pier”), has served as the Fund’s sub-adviser since December 10, 2004 (the inception date of the Fund). The Board noted that the Fund outperformed its Peer Group average, Morningstar category average, and benchmark index over the relevant time periods. The Board concluded that the services Pier 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 noted 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. The Board recognized the unique nature of a 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 noted information that the Adviser provided regarding the specific benchmark index used to compute each sub-adviser’s performance fee, how performance adjustments are calculated, and why each Fund’s N-share class (as the class with the most assets) is used for performance calculations.
The Board confirmed its belief that performance fees help ensure that any significant fee adjustments are attributable to a sub-adviser’s skill, rather than to random performance fluctuations, and the performance fee aligns a sub-adviser’s interest with those of Fund shareholders. The Board concluded that each sub-adviser’s fees were in a reasonable range.
The Board reviewed the relevance of economies of scale in the context of a sub-adviser that receives a performance based fee. The Board agreed that the Adviser successfully had 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
186
ADDITIONAL INFORMATION (Unaudited)(Continued) |
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.
IV. | 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 approval and/or continuation of the Advisory Agreements, as applicable, are in the best interests of each Fund.
187
ADDITIONAL INFORMATION (Unaudited)(Continued) |
Dunham Monthly Distribution Fund |
15(c) BOARD CONSIDERATIONS |
March 16, 2021 |
I. | Background |
On March 16, 2021, the Board of Trustees (the “Board”) of Dunham Funds (the “Trust”), a Delaware business trust, met to consider, among other things, a new sub-advisory agreement (the “Sub-Advisory Agreement”) for the following Trust series (the “Fund”):
Fund | Sub-Advisory Agreement |
Dunham Monthly Distribution Fund | Grantham Mayo Van Otterloo & Co. LLC |
The Sub-Advisory Agreement with Grantham Mayo Van Otterloo & Co. LLC (“GMO” or the “Sub-Adviser”) would take effect on or about April 1, 2021. GMO would take over sub-advisory responsibilities from the current sub-adviser Weiss Multi-Strategy Advisers LLC (“Weiss”).
In considering the Sub-Advisory Agreement, the Independent Trustees had requested and reviewed materials that Dunham & Associates Investment Counsel, Inc. (the “Adviser”) and the Sub-Adviser provided prior to and during the meeting. The Independent Trustees also had reviewed a memorandum from Fund counsel that addressed their fiduciary duties pertaining to the new Sub-Advisory Agreement and the factors they should consider in evaluating the Sub-Advisory Agreement.
Among other information, the Adviser and GMO provided information to assist the Independent Trustees in assessing the nature, extent and quality of services provided, information comparing the investment performance, sub-advisory fees and operating expense ratio of the Fund to other funds, information about estimated profitability and/or financial condition and compliance and regulatory matters. The Board determined that, given the totality of the information provided with respect to the Sub-Advisory Agreement, the Board had received sufficient information to approve the Sub-Advisory Agreement.
Based upon its review, the Board concluded that it was in the best interests of the Fund that the Sub-Advisory Agreement be approved. In considering the approval of the Sub-Advisory Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, and considered a variety of factors in its analysis, including those discussed below. The Board did not allot a particular weight to any one factor or group of factors.
II. | Sub-Advisory Agreement |
Nature, Extent and Quality of Services. In considering the approval of the Sub-Advisory Agreement between the Fund and GMO, the Board considered the nature, extent and quality of services GMO would provide under the Sub-Advisory Agreement. The Board reviewed the background of the investment professionals that would service the Fund, and GMO’s reputation, resources and investment approach. The Board also reviewed information provided regarding the
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ADDITIONAL INFORMATION (Unaudited)(Continued) |
structure of portfolio manager compensation, trading and brokerage practices, soft dollar usage, risk management and compliance matters.
The Board noted in particular that GMO was founded in 1977 and is an independent investment management firm with a diversified set of investment capabilities. GMO has $63 billion in assets under management, and currently serves as sub-adviser several other mutual funds. The Board concluded that the services that the Sub-Adviser would provide should be satisfactory.
Performance. The Board considered that the performance of a similar investment strategy as GMO would use for Monthly Distribution, the GMO Event Driven Strategy, for various periods compared to its benchmark and peer group. The Board noted the outperformance for the three-year and since inception periods of the GMO Event Driven Strategy.
Sub-Advisory Fees and Economies of Scale. The Board considered the Fund’s sub-advisory fee schedule and noted the fees charged to comparable portfolios, if any, that the Sub-Adviser managed. The Board considered that the fee schedule was negotiated between the Adviser and the Sub-Adviser, an unaffiliated third party.
The Board reviewed the operation of the performance fee and the impact on fees and expenses based on various performance results. They discussed the unique nature of the performance fee, which results in higher fees when the Sub-Adviser delivers results, and how performance fees should be integrated into their analysis.
The Board confirmed its belief that performance fees help ensure that any significant fee adjustments are attributable to the Sub-Adviser’s skill, rather than to random performance fluctuations, and the performance fee aligns the Sub-Adviser’s interest with those of Fund shareholders.
The Board also noted in particular that the Fund’s sub-advisory fee schedule will remain the same after the Sub-Adviser takes over from the current sub-adviser, Weiss. The Fund will pay a “fulcrum fee” consisting of: a “base fee” of 60 basis points (0.60%) annually; and a “performance fee” at a rate that will vary by up to +/- 38 bps (0.38%). The performance fee will be added to or subtracted from the base fee to arrive at the total fulcrum fee. The comparative index will be the IndexIQ IQ Hedge Market Neutral Total Return Index over the applicable measurement period. The Board concluded that the Sub-Adviser’s fees were in a reasonable range.
The Board reviewed the relevance of economies of scale in the context of the Sub-Adviser that receives a performance-based fee. The Board agreed that the Adviser had successfully negotiated a favorable base fee with the Sub-Adviser, and that reductions based on asset growth, when coupled with the possibility of fee reductions based on performance, could hinder the Adviser’s ability to attract top sub-advisory talent. The Board agreed that pursuing breakpoints with the Sub-Adviser would not be in the best interests of Fund shareholders at this time.
Profitability and Fallout Benefits. The Board considered any information provided regarding the Sub-Adviser’s estimated profitability from providing sub-advisory services to the Fund. The Board noted that the sub-advisory fee schedule was negotiated between the Adviser and the Sub-Adviser, an unaffiliated third party. The Board reviewed materials provided regarding any additional benefits the Sub-Adviser would receive.
Conclusion. Based on all of the information considered and the conclusions reached, the Board determined that the terms of the Sub-Advisory Agreement for the Fund are fair and reasonable, and that the approval of the Sub-Advisory Agreement is in the best interests of the Fund.
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DUNHAM FUNDS’ EXPENSES (Unaudited) |
Example
Shareholders of mutual funds will pay (1) transitional costs, such as sales load, and (2) ongoing expenses, such as advisory fees, distribution and service fees (12b-1), and other fund expenses. The following examples are intended to help you understand the ongoing cost (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions which may be assessed by mutual funds. This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The columns under the heading entitled “Actual” help you estimate the actual expenses you paid over the period. The “Actual-Ending Account Value” shown is derived from the Fund’s actual return, and the “Actual- Expenses Paid During Period” shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. To estimate the expenses you paid on your account during this period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled “Actual-Expenses Paid During Period”.
Hypothetical Examples for Comparison Purposes
The columns under the heading entitled “Hypothetical” provide information about hypothetical account value and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs which may be applicable to your account. Therefore, the last column of the table (Hypothetical- Expenses Paid During Period) is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Actual | Hypothetical | |||||||||||
Fund’s | Beginning | Ending | Ending | |||||||||
Annualized | Account | Account | Expenses | Account | Expenses | |||||||
Expense | Value | Value | Paid During | Value | Paid During | |||||||
Ratio | 11/1/20 | 4/30/21 | Period* | 4/30/21 | Period* | |||||||
Class N: | ||||||||||||
Corporate/Government Bond Fund | 1.21% | $1,000.00 | $1,000.50 | $6.01 | $1,018.79 | $6.07 | ||||||
Floating Rate Bond Fund | 0.95% | $1,000.00 | $1,051.80 | $4.84 | $1,020.08 | $4.76 | ||||||
High-Yield Bond Fund | 1.20% | $1,000.00 | $1,076.50 | $6.19 | $1,018.83 | $6.02 | ||||||
International Opportunity Bond Fund | 1.91% | $1,000.00 | $1,038.20 | $9.64 | $1,015.34 | $9.53 | ||||||
Large Cap Value Fund | 1.10% | $1,000.00 | $1,346.10 | $6.42 | $1,019.32 | $5.53 | ||||||
Small Cap Value Fund | 1.08% | $1,000.00 | $1,527.30 | $6.78 | $1,019.43 | $5.42 | ||||||
Focused Large Cap Growth Fund | 1.26% | $1,000.00 | $1,195.40 | $6.85 | $1,018.55 | $6.30 | ||||||
Small Cap Growth Fund | 1.83% | $1,000.00 | $1,416.90 | $10.95 | $1,015.73 | $9.14 | ||||||
Emerging Markets Stock Fund | 1.73% | $1,000.00 | $1,254.70 | $9.65 | $1,016.23 | $8.63 | ||||||
International Stock Fund | 1.92% | $1,000.00 | $1,356.20 | $11.21 | $1,015.28 | $9.59 | ||||||
Dynamic Macro Fund | 1.86% | $1,000.00 | $1,081.10 | $9.62 | $1,015.55 | $9.32 | ||||||
Long/Short Credit Fund | 1.83% | $1,000.00 | $1,030.90 | $9.24 | $1,015.70 | $9.17 | ||||||
Monthly Distribution Fund | 2.12% | $1,000.00 | $1,049.80 | $10.76 | $1,014.29 | $10.58 | ||||||
Real Estate Stock Fund | 1.62% | $1,000.00 | $1,283.30 | $9.18 | $1,016.75 | $8.11 | ||||||
Class A: | ||||||||||||
Corporate/Government Bond Fund | 1.46% | $1,000.00 | $1,000.00 | $7.22 | $1,017.58 | $7.28 | ||||||
Floating Rate Bond Fund | 1.19% | $1,000.00 | $1,050.60 | $6.07 | $1,018.87 | $5.98 | ||||||
High-Yield Bond Fund | 1.45% | $1,000.00 | $1,076.70 | $7.47 | $1,017.60 | $7.26 | ||||||
International Opportunity Bond Fund | 2.16% | $1,000.00 | $1,037.40 | $10.92 | $1,014.07 | $10.80 | ||||||
Large Cap Value Fund | 1.36% | $1,000.00 | $1,343.80 | $7.89 | $1,018.06 | $6.80 | ||||||
Small Cap Value Fund | 1.33% | $1,000.00 | $1,525.50 | $8.34 | $1,018.19 | $6.66 | ||||||
Focused Large Cap Growth Fund | 1.51% | $1,000.00 | $1,193.60 | $8.22 | $1,017.30 | $7.56 | ||||||
Small Cap Growth Fund | 2.07% | $1,000.00 | $1,415.50 | $12.43 | $1,014.51 | $10.36 | ||||||
Emerging Markets Stock Fund | 1.98% | $1,000.00 | $1,252.40 | $11.04 | $1,014.99 | $9.88 | ||||||
International Stock Fund | 2.17% | $1,000.00 | $1,354.30 | $12.68 | $1,014.03 | $10.84 | ||||||
Dynamic Macro Fund | 2.09% | $1,000.00 | $1,079.50 | $10.80 | $1,014.41 | $10.46 | ||||||
Long/Short Credit Fund | 2.07% | $1,000.00 | $1,029.80 | $10.44 | $1,014.51 | $10.36 | ||||||
Monthly Distribution Fund | 2.36% | $1,000.00 | $1,048.60 | $11.99 | $1,013.09 | $11.79 | ||||||
Real Estate Stock Fund | 1.87% | $1,000.00 | $1,281.60 | $10.60 | $1,015.50 | $9.36 |
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DUNHAM FUNDS’ EXPENSES (Unaudited) (Continued) |
Actual | Hypothetical | |||||||||||
Fund’s | Beginning | Ending | Ending | |||||||||
Annualized | Account | Account | Expenses | Account | Expenses | |||||||
Expense | Value | Value | Paid During | Value | Paid During | |||||||
Ratio | 11/1/20 | 4/30/21 | Period* | 4/30/21 | Period* | |||||||
Class C: | ||||||||||||
Corporate/Government Bond Fund | 1.96% | $1,000.00 | $997.50 | $9.69 | $1,015.09 | $9.78 | ||||||
Floating Rate Bond Fund | 1.69% | $1,000.00 | $1,046.90 | $8.59 | $1,016.40 | $8.46 | ||||||
High-Yield Bond Fund | 1.95% | $1,000.00 | $1,074.20 | $10.04 | $1,015.12 | $9.75 | ||||||
International Opportunity Bond Fund | 2.66% | $1,000.00 | $1,034.70 | $13.41 | $1,011.62 | $13.25 | ||||||
Large Cap Value Fund | 2.11% | $1,000.00 | $1,338.50 | $12.22 | $1,014.35 | $10.52 | ||||||
Small Cap Value Fund | 2.08% | $1,000.00 | $1,519.60 | $12.99 | $1,014.48 | $10.39 | ||||||
Focused Large Cap Growth Fund | 2.26% | $1,000.00 | $1,189.30 | $12.26 | $1,013.60 | $11.27 | ||||||
Small Cap Growth Fund | 2.83% | $1,000.00 | $1,409.50 | $16.89 | $1,010.78 | $14.09 | ||||||
Emerging Markets Stock Fund | 2.73% | $1,000.00 | $1,248.40 | $15.20 | $1,011.27 | $13.60 | ||||||
International Stock Fund | 2.92% | $1,000.00 | $1,349.50 | $17.01 | $1,010.32 | $14.55 | ||||||
Dynamic Macro Fund | 2.86% | $1,000.00 | $1,076.80 | $14.71 | $1,010.63 | $14.24 | ||||||
Long/Short Credit Fund | 2.83% | $1,000.00 | $1,026.10 | $14.23 | $1,010.75 | $14.12 | ||||||
Monthly Distribution Fund | 3.11% | $1,000.00 | $1,044.70 | $15.76 | $1,009.38 | $15.49 | ||||||
Real Estate Stock Fund | 2.62% | $1,000.00 | $1,277.10 | $14.80 | $1,011.79 | $13.08 |
* | 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, 2021). |
191
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 |
192
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 |
193
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-PORT. Form N-PORT 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-PORT is available without charge, upon request, by calling (888)-3DUNHAM (338-6426).
194
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.
DUNHAM-SA21
Item 2. Code of Ethics. Not applicable.
Item 3. Audit Committee Financial Expert. Not applicable.
Item 4. Principal Accountant Fees and Services. Not applicable.
Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.
Item 6. Schedule of Investments. Schedule of investments in securities of unaffiliated issuers is included under Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Funds. Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Funds. Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders. None
Item 11. Controls and Procedures.
(a) Based on an evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the disclosure controls and procedures are reasonably designed to ensure that the information required in filings on Forms N-CSR is recorded, processed, summarized, and reported on a timely basis.
(b) There were no significant changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. Not Applicable to open-end investment companies.
Item 13. Exhibits.
(a)(1) Not required for semi-annual reports.
(a)(3) Not applicable.
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 7/8/2021
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 7/8/2021
By (Signature and Title)
/s/ Denise Iverson
Denise Iverson, Principal Financial Officer/Treasurer
Date 7/8/2021