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)
James Ash
Gemini Fund Services, LLC., 450 Wireless Blvd., Hauppauge, NY 11788
(Name and address of agent for service)
Registrant's telephone number, including area code:
631-470-2619
Date of fiscal year end:
10/31
Date of reporting period: 4/30/12
Item 1. Reports to Stockholders.
THIS REPORT CONTAINS “FORWARD-LOOKING STATEMENTS” WITHIN THE MEANING OF THE PRIVATE SECURITIES LITIGATION REFORM ACT OF 1995. FORWARD-LOOKING STATEMENTS ALSO INCLUDE THOSE PRECEDED BY, FOLLOWED BY OR THAT INCLUDE THE WORDS “BELIEVES”, “EXPECTS”, “ANTICIPATES” OR SIMILAR EXPRESSIONS. SUCH STATEMENTS SHOULD BE VIEWED WITH CAUTION. ACTUAL RESULTS OR EXPERIENCE COULD DIFFER MATERIALLY FROM THE FORWARD-LOOKING STATEMENTS AS A RESULT OF MANY FACTORS, INCLUDING THE INABILITY OF THE FUNDS TO MEET SALES GOALS AND SLOWING OF THE OVERALL ECONOMY. EACH FUND MAKES NO COMMITMENTS TO DISCLOSE ANY REVISIONS TO FORWARD-LOOKING STATEMENTS, OR ANY FACTS, EVENTS OR CIRCUMSTANCES AFTER THE DATE HEREOF THAT MAY BEAR UPON FORWARD-LOOKING STATEMENTS. IN ADDITION, PROSPECTIVE PURCHASERS OF THE FUNDS SHOULD CONSIDER CAREFULLY THE INFORMATION SET FORTH HEREIN. OTHER FACTORS AND ASSUMPTIONS NOT IDENTIFIED ABOVE MAY ALSO HAVE BEEN INVOLVED IN THE DERIVATION OF THESE FORWARD-LOOKING STATEMENTS, AND THE FAILURE OF THESE OTHER ASSUMPTIONS TO BE REALIZED MAY ALSO CAUSE ACTUAL RESULTS TO DIFFER MATERIALLY FROM THOSE PROJECTED.
Dear Fellow Shareholders,
Our fiscal year began on November 1, 2011 and although it did not begin with tragic tsunamis, earthquakes, and global riots, in our view, the opening months did carry some of the volatility that we witnessed during the previous fiscal year.
We believe this volatility began to subside as the new fiscal year progressed. In a reversal from what we witnessed in the previous months, U.S. stocks and bonds have generally rallied for the majority of the time since the new fiscal year began.
The global markets experienced a large rally in December as somewhat more positive economic news filled U.S. headlines. The European Central Bank provided fast liquidity relief directly to banks across the euro-zone, and Chinese banking authorities expressed their interest in easing monetary policy to boost growth. However, foreign stocks appear to have continued to reflect the concerns among investors regarding euro-zone sovereign debt issues and a potentially sharp slowdown in Chinese economic growth. As a result, foreign stocks posted negative returns during four of the past six months.
Generally, fixed income remained positive throughout the first six months of this fiscal year, as investors vacillated between searching for yield and then returning to perceived safety. In fact, at one point in the past six-month period, long-term Treasuries had fallen more than 8.4 percent as many investors made this “risk-on / risk-off” transition.
Although we saw what we consider to be a considerable increase in capital appreciation across many asset classes over the past six months, we continue to remain cautious, keeping a watchful eye on what is transpiring both within the U.S. and overseas.
Amid the excitement, we introduced the Dunham Focused Large Cap Growth Fund, which is sub-advised by The Ithaka Group, LLC. This Fund’s objective is to maximize capital appreciation and it seeks to meet this objective by investing in a concentrated portfolio of growth stocks. We are confident that this enhancement to our offering will benefit our shareholders.
We consistently emphasize that the Dunham Funds and their Sub-Advisers generally use the market downturns as possible opportunities to capitalize on what they perceive as security mispricing. Therefore, we understand how emotions are sometimes more apparent in the price of securities or market fluctuations than the strength of the underlying fundamentals. These are often the opportunities that our Sub-Advisers seek to take advantage of when these securities re-emerge. We believe that this recent environment may have unveiled numerous opportunities across many asset classes. This is another reason that we believe a diversified portfolio helps to reduce overall volatility and that the various choices you have at Dunham can be combined to create a portfolio specific to your needs, while considering your concerns about the markets, both short-term and long-term.
We remain steadfast in our commitment to provide you with the highest level of service and an investment experience tailored to your unique needs and goals. Once again, thank you for your continued trust and the confidence that you have placed in us. At Dunham, we take that very seriously.
Sincerely,
Jeffrey A. Dunham
President
Dunham & Associates Investment Counsel, Inc.
April 30, 2012
Investments are subject to risks and fluctuate in value. Diversification does not guarantee a profit or ensure against a loss.
Dunham Monthly Distribution Fund
Message from the Sub-Adviser (Westchester Capital Management, LLC)
The IQ Hedge Market Neutral Beta Index rose 0.6 percent over the six-month period ending April 30, 2012. Broad market neutral investment strategies rebounded from weak performance at the start of the fiscal year to post very strong December and January returns. Still, the latter months of the second fiscal quarter saw performance modestly decline. Merger arbitrage strategies comprise the largest single strategy in the Fund, and the HFRX ED: Merger Arbitrage Index rose 1.5 percent in the first half of the fiscal year. In contrast, the HFRX Macro/CTA Index fell 0.9 percent over the same period, as global macro strategies struggled to keep pace with other alternative investments.
Over the six month period, the largest single strategy allocation within the Fund was devoted to merger arbitrage (“merger arb”), ranging from an approximate 45 to 50 percent allocation over both fiscal quarters. The second fiscal quarter did see the allocation reach the higher end of this range. A cash acquisition merger arb position may see the Sub-Adviser simply purchase the target company’s stock, as there typically will remain some discount below the offering price until the deal is closed. In a stock-for-stock merger arbitrage investment, the Sub-Adviser may purchase the shares of the firm being acquired, while shorting the stock of the acquiring firm, with the intention of realizing the “spread” between the two stocks upon the merger’s successful completion. The Sub-Adviser may also create “synthetic” short positions by utilizing options and swaps.
Both fiscal quarters saw the Sub-Adviser take part in a number of new merger deals, particularly abroad: Chinese hydraulic mining supplier Era Mining Machinery Ltd.’s (8043 HK) purchase for HK$6.1 billion by manufacturing conglomerate Caterpillar Inc. (CAT); Florida-based grocer Winn-Dixie Stores Inc. (WINN), being acquired for $560 million cash by fellow southern grocery chain Bi-Lo, which is owned by private equity firm Lone Star Funds; wide area network (WAN) optimizer and Internet security provider Blue Coat Systems, Inc. (BCSI), the leveraged buyout target of a $1.3 billion cash offer from a consortium of private equity investors including the Ontario Teachers’ Pension Plan and Thoma Bravo; and global mining conglomerate Glencore International PLC’s (GLEN LN) C$7.4 billion cash takeover of Canadian grain transporter Viterra Inc. (VT CN).
The Fund may also hold income-generating preferred stock shares, convertible bonds, and more traditional bonds. Though the Sub-Adviser slightly increased the allocations to both preferred stocks and bonds in the month of January, the second fiscal quarter saw allocations to each of these types of securities decline by several percentage points. Despite the lower allocations, the second fiscal quarter did see some turnover in this portion of the Fund: the Sub-Adviser did exit a position in Bank of America Corp. preferreds (060505682), while initiating a preferred stock position in Citigroup, Inc. (17306R204). New bond purchases were also made in PHH Corp 7.125% Due 3/1/13 (693320AF0), Patriot Coal Corp. Conv. Bond 3.25% Due 5/31/13 (70336TAA2), and Rite Aid Corp. 10.375% Due 7/15/2016 (767754BV5).
Furthermore, the Sub-Adviser has used its extensive experience with options to ameliorate the few occasions when it has invested in a deal that has not come to fruition. The Sub-Adviser believes that the Fund may still eke out a profit on the failed NYSE Euronext, Inc. (NYX)-Deutsche Boerse AG (DB1 GR) merger of exchanges. Though the deal was ultimately blocked by European anti-monopoly regulators, the spread on the deal turned negative and the Sub-Adviser was able to sell deep in the money calls. In the second fiscal quarter, pharmaceutical giant Roche Holdings AG’s (RO SW) repeated bids for life science gene sequencer Illumina, Inc. (ILMN) that were voted down by Illumina’s board of directors; the Sub-Adviser is currently writing a number of in-the-money covered calls to generate income as it exits Illumina stock.
Growth of $10,000 Investment - (Unaudited)
Total Returns as of April 30, 2012
|
| Six Months | One Year | Annualized Three Years | Annualized Five Years | Annualized Since Inception (8/1/08)* |
Class N |
| 5.20% | 1.93% | 7.02% | N/A | 4.03%** |
Class C Class A with load of 5.75% Class A without load |
| 4.67% (0.97)% 5.07% | 0.90% (4.18)% 1.67% | 5.95% 4.67% 6.76% | N/A N/A N/A | 1.94% 1.19% 2.72% |
IQ Hedge Market Neutral Beta Index |
| 0.56% | (1.86)% | 3.24% | N/A | 2.80% |
* Westchester Capital Management, Inc. was named Sub-Adviser to the Fund on August 1, 2008. Prior to August 1, 2008, the Fund was named Kelmoore Strategy Liberty Fund and managed under a different Adviser.
** Class N commenced operations on September 29, 2008.
IQ Hedge Market Neutral Beta Index is a benchmark index designed to replicate the risk-adjusted return characteristics of the collective hedge funds using a market neutral investment style. Investors cannot invest directly in an index or benchmark.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 2.57% for Class N, 3.57% for Class C and 2.82% for Class A. 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.
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Monthly Distribution Fund (Unaudited) | ||||||||
April 30, 2012 | ||||||||
|
|
|
|
|
|
|
|
|
Security |
|
|
| Shares |
|
|
| Market Value |
COMMON STOCK - 56.6% |
|
|
|
|
|
|
|
|
AEROSPACE/DEFENSE - 0.0 % |
|
|
|
|
|
|
|
|
Goodrich Corp. |
|
|
| 118 |
|
|
| $ 14,804 |
|
|
|
|
|
|
|
|
|
BANKS - 1.7 % |
|
|
|
|
|
|
|
|
Citigroup, Inc. ^ |
|
|
| 30,000 |
|
|
| 991,200 |
KeyCorp ^ |
|
|
| 167,800 |
|
|
| 1,349,112 |
|
|
|
|
|
|
|
| 2,340,312 |
BEVERAGES - 0.6 % |
|
|
|
|
|
|
|
|
Molson Coors Brewing Co. ^ |
|
|
| 20,400 |
|
|
| 848,232 |
|
|
|
|
|
|
|
|
|
BIOTECHNOLOGY - 4.5 % |
|
|
|
|
|
|
|
|
Amylin Pharmaceuticals, Inc. * ^ |
|
|
| 39,000 |
|
|
| 1,010,490 |
Ardea Biosciences, Inc. * |
|
|
| 111,900 |
|
|
| 3,565,134 |
Illumina, Inc. * ^ |
|
|
| 35,600 |
|
|
| 1,585,268 |
|
|
|
|
|
|
|
| 6,160,892 |
COMMERCIAL SERVICES - 2.5 % |
|
|
|
|
|
|
|
|
Dollar Thrifty Automotive Group * # ^ |
|
|
| 41,700 |
|
|
| 3,371,862 |
|
|
|
|
|
|
|
|
|
CHEMICALS - 5.7 % |
|
|
|
|
|
|
|
|
Huntsman Corp. # ^ |
|
|
| 226,000 |
|
|
| 3,200,160 |
Solutia, Inc. # |
|
|
| 160,900 |
|
|
| 4,559,906 |
|
|
|
|
|
|
|
| 7,760,066 |
DIVERSIFIED FINANCIAL SERVICES - 2.1 % |
|
|
|
|
|
|
| |
NYSE Euronext ^ |
|
|
| 14,911 |
|
|
| 383,958 |
Osaka Securities Exchange Co. Ltd. |
|
|
| 209 |
|
|
| 1,194,398 |
TMX Group, Inc. |
|
|
| 28,754 |
|
|
| 1,309,745 |
|
|
|
|
|
|
|
| 2,888,101 |
ELECTRIC - 3.6 % |
|
|
|
|
|
|
|
|
Exelon Corp. |
|
|
| 35,753 |
|
|
| 1,394,724 |
Progress Energy, Inc. # |
|
|
| 64,800 |
|
|
| 3,448,656 |
|
|
|
|
|
|
|
| 4,843,380 |
FOOD - 2.4 % |
|
|
|
|
|
|
|
|
Kraft Foods, Inc. - Cl. A ^ |
|
|
| 50,700 |
|
|
| 2,021,409 |
Sara Lee Corp. ^ |
|
|
| 55,700 |
|
|
| 1,227,628 |
|
|
|
|
|
|
|
| 3,249,037 |
HEALTHCARE-PRODUCTS - 0.5 % |
|
|
|
|
|
|
|
|
Gen-Probe, Inc. * |
|
|
| 8,200 |
|
|
| 668,710 |
|
|
|
|
|
|
|
|
|
HOUSEHOLD PRODUCTS - 1.2 % |
|
|
|
|
|
|
|
|
Kimberly-Clark Corp. ^ |
|
|
| 21,300 |
|
|
| 1,671,411 |
|
|
|
|
|
|
|
|
|
INSURANCE - 1.5 % |
|
|
|
|
|
|
|
|
Delphi Financial Group, Inc. # |
|
|
| 15,100 |
|
|
| 685,842 |
Hartford Financial Services Group, Inc. ^ |
|
|
| 64,900 |
|
|
| 1,333,695 |
|
|
|
|
|
|
|
| 2,019,537 |
INTERNET - 2.9 % |
|
|
|
|
|
|
|
|
Alibaba.com Ltd. * |
|
|
| 795,000 |
|
|
| 1,365,018 |
Liberty Interactive Corp. * ^ |
|
|
| 36,100 |
|
|
| 680,124 |
Tudou Holdings Ltd. - ADR * |
|
|
| 33,600 |
|
|
| 1,210,944 |
Yahoo!, Inc. * ^ |
|
|
| 42,500 |
|
|
| 660,450 |
|
|
|
|
|
|
|
| 3,916,536 |
MACHINERY-CONSTRUCTION & MINING - 0.2 % |
|
|
|
|
|
|
| |
ERA Mining Machinery Ltd. * |
|
|
| 2,937,200 |
|
|
| 333,183 |
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Monthly Distribution Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
|
|
|
|
|
|
|
|
Security |
|
|
| Shares |
|
|
| Market Value |
MEDIA - 0.5 % |
|
|
|
|
|
|
|
|
Astral Media, Inc. |
|
|
| 14,200 |
|
|
| $ 701,520 |
|
|
|
|
|
|
|
|
|
MINING - 0.0 % |
|
|
|
|
|
|
|
|
Pan American Silver Corp. |
|
|
| 160 |
|
|
| 3,122 |
|
|
|
|
|
|
|
|
|
MISCELLANEOUS MANUFACTURING - 3.4 % |
|
|
|
|
|
|
|
|
General Electric Co. # ^ |
|
|
| 180,200 |
|
|
| 3,528,316 |
Neo Material Technologies, Inc. * |
|
|
| 94,600 |
|
|
| 1,042,707 |
|
|
|
|
|
|
|
| 4,571,023 |
OIL & GAS - 5.3 % |
|
|
|
|
|
|
|
|
BP PLC - ADR # ^ |
|
|
| 73,000 |
|
|
| 3,168,930 |
Chesapeake Energy Corp. ^ |
|
|
| 43,600 |
|
|
| 803,984 |
ConocoPhillips # ^ |
|
|
| 29,000 |
|
|
| 2,077,270 |
EXCO Resources, Inc. ^ |
|
|
| 62,627 |
|
|
| 459,682 |
Sunoco, Inc. ^ |
|
|
| 13,300 |
|
|
| 655,557 |
|
|
|
|
|
|
|
| 7,165,423 |
PHARMACEUTICALS - 3.6 % |
|
|
|
|
|
|
|
|
Abbott Laboratories ^ |
|
|
| 22,400 |
|
|
| 1,390,144 |
Catalyst Health Solutions, Inc. * |
|
|
| 23,600 |
|
|
| 2,038,332 |
Express Scripts Holding Co. * |
|
|
| 3 |
|
|
| 167 |
Pfizer, Inc. ^ |
|
|
| 46,400 |
|
|
| 1,063,952 |
Warner Chilcott PLC * ^ |
|
|
| 19,800 |
|
|
| 430,650 |
|
|
|
|
|
|
|
| 4,923,245 |
PIPELINES - 0.2 % |
|
|
|
|
|
|
|
|
El Paso Corp. |
|
|
| 9,700 |
|
|
| 287,799 |
|
|
|
|
|
|
|
|
|
RETAIL - 0.2 % |
|
|
|
|
|
|
|
|
Gap, Inc. ^ |
|
|
| 10,600 |
|
|
| 302,100 |
|
|
|
|
|
|
|
|
|
SEMICONDUCTORS - 1.6 % |
|
|
|
|
|
|
|
|
Novellus Systems, Inc. * # |
|
|
| 45,233 |
|
|
| 2,114,643 |
|
|
|
|
|
|
|
|
|
SOFTWARE - 1.0 % |
|
|
|
|
|
|
|
|
CA, Inc. # ^ |
|
|
| 50,000 |
|
|
| 1,321,000 |
|
|
|
|
|
|
|
|
|
TELECOMMUNICATIONS - 7.7 % |
|
|
|
|
|
|
|
|
AT&T, Inc. # ^ |
|
|
| 65,350 |
|
|
| 2,150,668 |
CenturyLink, Inc. # ^ |
|
|
| 69,900 |
|
|
| 2,695,344 |
TELUS Corp. |
|
|
| 84,400 |
|
|
| 4,955,124 |
Verizon Communications, Inc. ^ |
|
|
| 14,700 |
|
|
| 593,586 |
|
|
|
|
|
|
|
| 10,394,722 |
TRANSPORTATION - 3.6 % |
|
|
|
|
|
|
|
|
Viterra, Inc. |
|
|
| 246,200 |
|
|
| 3,965,116 |
Viterra, Inc. |
|
|
| 58,400 |
|
|
| 941,058 |
|
|
|
|
|
|
|
| 4,906,174 |
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCK (Cost - $75,417,013) |
|
|
|
|
|
| 76,776,834 | |
|
|
|
|
|
|
|
|
|
CLOSED-END FUNDS - 1.1% |
|
|
|
|
|
|
|
|
Eaton Vance Floating-Rate Income Trust # |
|
|
| 92,807 |
|
|
| 1,508,114 |
TOTAL CLOSED-END FUNDS (Cost $1,508,624) |
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Monthly Distribution Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
|
|
|
|
|
|
|
|
Security |
|
|
| Dividend |
|
|
|
|
PREFERRED STOCK - 20.2% |
| Shares |
| Rate |
|
|
| Market Value |
BANKS - 15.1% |
|
|
|
|
|
|
|
|
Bank of America Corp. # |
| 61,173 |
| 8.200 | % |
|
| $ 1,548,900 |
Countrywide Capital IV # |
| 70,000 |
| 6.750 |
|
|
| 1,661,800 |
Countrywide Capital V # |
| 140,950 |
| 7.000 |
|
|
| 3,357,429 |
GMAC Capital Trust I # |
| 140,900 |
| 8.125 |
|
|
| 3,374,555 |
KeyCorp # |
| 17,495 |
| 7.750 |
|
|
| 1,946,648 |
National Westminster Bank PLC # |
| 132,600 |
| 7.763 |
|
|
| 3,016,650 |
Royal Bank of Scotland Group PLC # |
| 56,035 |
| 7.250 |
|
|
| 1,238,934 |
Wells Fargo & Co. # |
| 2,500 |
| 7.500 |
|
|
| 2,800,075 |
|
|
|
|
|
|
|
| 18,944,991 |
DIVERSIFIED FINANCIAL SERVICES - 2.7% |
|
|
|
|
|
|
| |
Citigroup Capital IX # |
| 147,500 |
| 6.000 |
|
|
| 3,545,900 |
Citigroup Capital VIII |
| 70,000 |
| 6.950 |
|
|
| 1,740,900 |
|
|
|
|
|
|
|
| 5,286,800 |
ELECTRIC - 2.4% |
|
|
|
|
|
|
|
|
Southern California Edison Co. # |
| 3,000,000 |
| 6.250 |
|
|
| 3,137,160 |
|
|
|
|
|
|
|
|
|
TOTAL PREFERRED STOCK (Cost - $27,246,814) |
|
|
|
|
|
| 27,368,951 | |
|
|
|
|
|
|
|
|
|
|
| Principal |
| Interest |
| Maturity |
|
|
BONDS & NOTES - 8.1% |
| Amount |
| Rate |
| Date |
|
|
COAL - 1.9 % |
|
|
|
|
|
|
|
|
Patriot Coal Corp. |
| $ 2,762,000 |
| 3.250 | % | 5/31/2013 |
| 2,596,280 |
|
|
|
|
|
|
|
|
|
COMMERCIAL SERVICES - 0.8 % |
|
|
|
|
|
|
|
|
PHH Corp. |
| 1,000,000 |
| 7.125 |
| 3/1/2013 |
| 1,020,000 |
|
|
|
|
|
|
|
|
|
DIVERSIFIED FINANCIAL SERVICES- 2.8 % |
|
|
|
|
|
|
| |
Goldman Sachs Capital I # |
| 4,000,000 |
| 6.345 |
| 2/15/2034 |
| 3,740,916 |
|
|
|
|
|
|
|
|
|
RETAIL - 1.0 % |
|
|
|
|
|
|
|
|
Rite Aid Corp. |
| 1,257,000 |
| 10.375 |
| 7/15/2016 |
| 1,332,420 |
|
|
|
|
|
|
|
|
|
SEMICONDUCTORS - 0.4 % |
|
|
|
|
|
|
|
|
Advanced Micro Devices, Inc. # |
| 520,000 |
| 5.750 |
| 8/15/2012 |
| 527,150 |
|
|
|
|
|
|
|
|
|
TELECOMMUNICATIONS - 1.2 % |
|
|
|
|
|
|
|
|
Level 3 Financing, Inc. |
| 1,612,000 |
| 8.750 |
| 2/15/2017 |
| 1,676,480 |
|
|
|
|
|
|
|
|
|
SAVINGS & LOANS - 2.6 % |
|
|
|
|
|
|
|
|
Washington Mutual, Inc. *** |
| 957,000 |
| 4.200 |
| 1/15/2010 |
| 35,026 |
Washington Mutual, Inc. *** |
| 629,000 |
| 5.000 |
| 3/22/2012 |
| 25,349 |
Washington Mutual, Inc. *** |
| 1,244,000 |
| 5.250 |
| 9/15/2017 |
| 47,894 |
Washington Mutual, Inc. *** |
| 157,000 |
| 5.500 |
| 8/24/2011 |
| 4,788 |
|
|
|
|
|
|
|
| 113,057 |
|
|
|
|
|
|
|
|
|
TOTAL BONDS & NOTES (Cost - $11,273,038) |
|
|
|
|
|
| 11,006,303 | |
|
|
|
|
|
|
|
|
|
PURCHASED PUT OPTIONS - 1.5 % |
|
|
|
|
| Contracts** |
| Market Value |
Abbott Labs, Expiration May 2012, Exercise Price $52.50 |
|
|
|
| 224 |
| $ 448 | |
American Eagle Outfitters, Expiration May 2012, Exercise Price $10.00 |
|
|
|
| 1847 |
| 9,235 | |
Amylin Pharmaceuticals, Inc, Expiration June 2012, Exercise Price $20.00 |
|
|
|
| 108 |
| 3,726 | |
Amylin Pharmaceuticals, Inc, Expiration May 2012, Exercise Price $20.00 |
|
|
|
| 282 |
| 1,692 | |
AT&T, Inc., Expiration May 2012, Exercise Price $25.00 |
|
|
|
| 654 |
| 654 | |
BP PLC, Expiration July 2012, Exercise Price $39.00 |
|
|
|
| 133 |
| 8,645 | |
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Monthly Distribution Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
| Contracts** |
| Market Value |
PURCHASED PUT OPTIONS (Continued)- 1.5 % |
|
|
|
|
|
|
| |
BP PLC, Expiration July 2012, Exercise Price $40.00 |
|
|
|
| 249 |
| $ 22,410 | |
BP PLC, Expiration July 2012, Exercise Price $37.00 |
|
|
|
| 281 |
| 11,240 | |
CA, Inc., Expiration May 2012, Exercise Price $22.00 |
|
|
|
| 250 |
| 2,500 | |
CenturyLink, Inc., Expiration July 2012, Exercise Price $32.00 |
|
|
|
| 47 |
| 705 | |
CenturyLink, Inc., Expiration July 2012, Exercise Price $33.00 |
|
|
|
| 286 |
| 5,720 | |
Chesapeake Energy Corporation, Expiration May 2012, Exercise Price $16.00 |
|
|
|
| 436 |
| 13,516 | |
ConocoPhillips, Expiration May 2012, Exercise Price $60.00 |
|
|
|
| 290 |
| 1,450 | |
Gap, Inc., Expiration June 2012, Exercise Price $21.00 |
|
|
|
| 106 |
| 530 | |
General Electric Co., Expiration May 2012, Exercise Price $15.00 |
|
|
|
| 1,765 |
| 1,765 | |
Hartford Financial Services Group, Inc., Expiration June 2012, Exercise Price $17.00 |
|
|
|
| 145 |
| 2,465 | |
Hartford Financial Services Group, Inc., Expiration June 2012, Exercise Price $14.00 |
|
|
|
| 431 |
| 1,724 | |
Huntsman Corp, Expiration August 2012, Exercise Price $11.00 |
|
|
|
| 1,057 |
| 31,710 | |
Huntsman Corp, Expiration May 2012, Exercise Price $8.00 |
|
|
|
| 2,077 |
| 10,385 | |
Keycorp, Expiration June 2012, Exercise Price $5.00 |
|
|
|
| 839 |
| 10,068 | |
Kinder Morgan, Inc., Expiration June 2012, Exercise Price $45.00 |
|
|
|
| 314 |
| 376,800 | |
Kinder Morgan, Inc., Expiration June 2012, Exercise Price $40.00 |
|
|
|
| 411 |
| 295,920 | |
Kraft Foods, Inc., Expiration June 2012, Exercise Price $33.00 |
|
|
|
| 104 |
| 728 | |
Kraft Foods, Inc., Expiration June 2012, Exercise Price $32.00 |
|
|
|
| 202 |
| 1,414 | |
Liberty Media Holding Corp., Expiration May 2012, Exercise Price $15.00 |
|
|
|
| 361 |
| 16,245 | |
Molson Coors Brewing Co., Expiration July 2012, Exercise Price $35.00 |
|
|
|
| 204 |
| 4,080 | |
Molycorp, Inc., Expiration September 2012, Exercise Price $40.00 |
|
|
|
| 115 |
| 167,325 | |
Pfizer, Inc., Expiration July 2012, Exercise Price $17.00 |
|
|
|
| 464 |
| 2,088 | |
Sara Lee Corp., Expiration May 2012, Exercise Price $18.00 |
|
|
|
| 586 |
| 2,930 | |
SPDR S&P 500 ETF Trust, Expiration May 2012 , Exercise Price $136.00 |
|
|
|
| 102 |
| 7,140 | |
SPDR S&P 500 ETF Trust, Expiration May 2012 , Exercise Price $138.00 |
|
|
|
| 103 |
| 11,948 | |
Warner Chilcott PLC, Expiration June 2012, Exercise Price $18.00 |
|
|
|
| 198 |
| 11,682 | |
Williams Cos., Inc., Expiration May 2012, Exercise Price $20.00 |
|
|
|
| 393 |
| 1,179 | |
Yahoo, Inc., Expiration July 2012, Exercise Price $12.00 |
|
|
|
| 425 |
| 2,763 | |
Youku.com., Inc., Expiration September 2012, Exercise Price $40.00 |
|
|
|
| 536 |
| 951,400 | |
TOTAL PURCHASED PUT OPTIONS (Cost - $2,478,867) |
|
|
|
|
|
| 1,994,230 | |
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS - 3.4% |
|
|
|
|
| Interest |
|
|
MONEY MARKET FUND - 3.4% |
| Shares |
|
|
| Rate |
|
|
First American Government Obligations Fund |
| 4,604,986 |
|
|
| 0.00%+ |
| 4,604,986 |
TOTAL SHORT-TERM INVESTMENTS (Cost - $4,604,986) |
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 90.9% (Cost - $122,529,342) |
|
|
|
|
|
| $ 123,259,418 | |
CASH AND OTHER ASSETS LESS LIABILITIES- 9.1% |
|
|
|
|
|
| 12,313,649 | |
NET ASSETS - 100.0% |
|
|
|
|
|
|
| $ 135,573,067 |
|
|
|
|
|
|
|
|
|
* Non-Income producing security. |
|
|
|
|
|
|
|
|
** Each Purchased Option contract allows the Fund to sell 100 shares of the underlying security at the exercise price. | ||||||||
*** Issuer in default on interest payment; non-interest producing security. | ||||||||
+ Variable rate security. Interest rate is as of April 30, 2012. |
|
|
|
|
|
|
| |
^ Subject to call option written. |
|
|
|
|
|
|
|
|
# All or a portion of the security is segregated as collateral for securities sold short and/or options purchased/written at April 30, 2012. Total collateral had a market value of $62,218,714 at April 30, 2012. | ||||||||
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
| Contracts ++ |
| Market Value |
SCHEDULE OF WRITTEN CALL OPTIONS - (1.5)% |
|
|
|
|
|
|
| |
Abbott Labs, Expiration May 2012, Exercise Price $57.50 |
|
|
|
| 224 |
| $ 101,920 | |
Amylin Pharmaceuticals, Inc, Expiration May 2012, Exercise Price $22.00 |
|
|
|
| 282 |
| 112,095 | |
Amylin Pharmaceuticals, Inc, Expiration June 2012, Exercise Price $23.00 |
|
|
|
| 108 |
| 37,800 | |
AT&T, Inc., Expiration July 2012, Exercise Price $30.00 |
|
|
|
| 577 |
| 175,985 | |
AT&T, Inc., Expiration May 2012, Exercise Price $31.00 |
|
|
|
| 77 |
| 14,476 | |
BP PLC, Expiration July 2012, Exercise Price $45.00 |
|
|
|
| 306 |
| 30,294 | |
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Monthly Distribution Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
| Contracts ++ |
| Market Value |
SCHEDULE OF WRITTEN CALL OPTIONS (Continued) - (1.5)% |
|
|
|
|
|
|
| |
BP PLC, Expiration July 2012, Exercise Price $46.00 |
|
|
|
| 249 |
| $ 16,932 | |
British Sky Broadcasting Group, Expiration May 2012, Exercise Price GBP 7.00 |
|
|
|
| 13 |
| 1,530 | |
CA, Inc., Expiration May 2012, Exercise Price $26.00 |
|
|
|
| 500 |
| 42,500 | |
CenturyLink, Inc., Expiration July 2012, Exercise Price $39.00 |
|
|
|
| 571 |
| 34,260 | |
CenturyLink, Inc., Expiration July 2012, Exercise Price $38.00 |
|
|
|
| 95 |
| 10,925 | |
Chesapeake Energy Corporation, Expiration May 2012, Exercise Price $18.00 |
|
|
|
| 436 |
| 56,244 | |
Citigroup, Inc., Expiration May 2012, Exercise Price $33.00 |
|
|
|
| 300 |
| 29,100 | |
ConocoPhillips, Expiration May 2012, Exercise Price $70.00 |
|
|
|
| 290 |
| 63,800 | |
Dollar Thrifty Automotive Group, Expiration May 2012, Exercise Price $75.00 |
|
|
|
| 106 |
| 69,960 | |
Dollar Thrifty Automotive Group, Expiration July 2012, Exercise Price $85.00 |
|
|
|
| 5 |
| 1,275 | |
Duke Energy Corp., Expiration July 2012, Exercise Price $21.00 |
|
|
|
| 473 |
| 28,380 | |
EXCO Resources, Inc., Expiration June 2012, Exercise Price $7.00 |
|
|
|
| 75 |
| 6,000 | |
Exelon Corp., Expiration July 2012, Exercise Price $40.00 |
|
|
|
| 116 |
| 2,900 | |
Exelon Corp., Expiration May 2012, Exercise Price $39.00 |
|
|
|
| 95 |
| 2,850 | |
Exelon Corp., Expiration June 2012, Exercise Price $39.00 |
|
|
|
| 15 |
| 675 | |
Gap, Inc., Expiration June 2012, Exercise Price $25.00 |
|
|
|
| 106 |
| 40,015 | |
General Electric Co., Expiration May 2012, Exercise Price $18.00 |
|
|
|
| 1,802 |
| 290,122 | |
Hartford Financial Services Group, Inc., Expiration June 2012, Exercise Price $18.00 |
|
|
|
| 431 |
| 120,034 | |
Hartford Financial Services Group, Inc., Expiration June 2012, Exercise Price $20.00 |
|
|
|
| 218 |
| 28,449 | |
Huntsman Corp., Expiration August 2012, Exercise Price $13.00 |
|
|
|
| 2,113 |
| 422,600 | |
Huntsman Corp., Expiration May 2012, Exercise Price $14.00 |
|
|
|
| 103 |
| 7,210 | |
Huntsman Corp., Expiration May 2012, Exercise Price $15.00 |
|
|
|
| 21 |
| 714 | |
Huntsman Corp., Expiration August 2012, Exercise Price $15.00 |
|
|
|
| 13 |
| 1,300 | |
Illumina, Inc., Expiration June 2012, Exercise Price $42.00 |
|
|
|
| 85 |
| 31,450 | |
Illumina, Inc., Expiration June 2012, Exercise Price $40.00 |
|
|
|
| 75 |
| 39,750 | |
Illumina, Inc., Expiration May 2012, Exercise Price $40.00 |
|
|
|
| 74 |
| 35,520 | |
Illumina, Inc., Expiration June 2012, Exercise Price $41.00 |
|
|
|
| 72 |
| 31,680 | |
Keycorp, Expiration June 2012, Exercise Price $7.00 |
|
|
|
| 839 |
| 87,256 | |
Keycorp, Expiration June 2012, Exercise Price $8.00 |
|
|
|
| 839 |
| 26,009 | |
Kimberly Clark Corp., Expiration July 2012, Exercise Price $70.00 |
|
|
|
| 213 |
| 183,180 | |
Kinder Morgan, Inc., Expiration June 2012, Exercise Price $40.00 |
|
|
|
| 351 |
| 14,040 | |
Kinder Morgan, Inc., Expiration June 2012, Exercise Price $45.00 |
|
|
|
| 314 |
| 4,710 | |
Kraft Foods, Inc., Expiration June 2012, Exercise Price $38.00 |
|
|
|
| 507 |
| 104,949 | |
Lam Research Corp., Expiration June 2012 , Exercise Price $31.00 |
|
|
|
| 388 |
| 419,040 | |
Lam Research Corp., Expiration June 2012 , Exercise Price $32.00 |
|
|
|
| 69 |
| 67,275 | |
Liberty Media Holding Corp., Expiration May 2012, Exercise Price $18.00 |
|
|
|
| 361 |
| 88,445 | |
Molson Coors Brewing Co., Expiration July 2012, Exercise Price $40.00 |
|
|
|
| 204 |
| 46,920 | |
Molycorp, Inc., Expiration September 2012, Exercise Price $40.00 |
|
|
|
| 115 |
| 6,670 | |
NYSE Euronext, Expiration June 2012, Exercise Price $27.00 |
|
|
|
| 64 |
| 2,048 | |
NYSE Euronext, Expiration June 2012, Exercise Price $28.00 |
|
|
|
| 64 |
| 960 | |
NYSE Euronext, Expiration May 2012, Exercise Price $29.00 |
|
|
|
| 12 |
| 24 | |
Pfizer, Inc., Expiration July 2012, Exercise Price $21.00 |
|
|
|
| 464 |
| 93,728 | |
Sara Lee Corp., Expiration May 2012, Exercise Price $21.00 |
|
|
|
| 586 |
| 65,925 | |
SPDR S&P 500 ETF Trust, Expiration May 2012 , Exercise Price $143.00 |
|
|
|
| 52 |
| 2,652 | |
Sunoco, Inc., Expiration June 2012 , Exercise Price $48.00 |
|
|
|
| 79 |
| 15,800 | |
Sunoco, Inc., Expiration August 2012 , Exercise Price $47.00 |
|
|
|
| 54 |
| 17,820 | |
SXC Health Solutions Corp., Expiration July 2012, Exercise Price $87.50 |
|
|
|
| 65 |
| 49,400 | |
SXC Health Solutions Corp., Expiration July 2012, Exercise Price $85.00 |
|
|
|
| 56 |
| 48,160 | |
Verizon Communications, Inc., Expiration May 2012, Exercise Price $37.00 |
|
|
|
| 147 |
| 48,510 | |
Warner Chilcott PLC, Expiration June 2012, Exercise Price $21.00 |
|
|
|
| 198 |
| 37,422 | |
Xstrata PLC, Expiration June 2012, Exercise Price GBP 10.60 |
|
|
|
| 88 |
| 174,288 | |
Xstrata PLC, Expiration May 2012, Exercise Price GBP 11.00 |
|
|
|
| 68 |
| 86,657 | |
Xstrata PLC, Expiration June 2012, Exercise Price GBP 11.00 |
|
|
|
| 29 |
| 42,841 | |
Yahoo, Inc., Expiration July 2012, Exercise Price $14.00 |
|
|
|
| 425 |
| 77,350 | |
Youku.com, Inc., Expiration September 2012, Exercise Price $40.00 |
|
|
|
| 536 |
| 21,440 | |
TOTAL WRITTEN CALL OPTIONS - (Proceeds - $3,573,631) |
|
|
|
|
|
| 3,722,265 | |
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Monthly Distribution Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
| Contracts ++ |
| Market Value |
SCHEDULE OF WRITTEN PUT OPTIONS - (0.0)% |
|
|
|
|
|
|
| |
Barnes & Noble, Expiration May 2012, Exercise Price $12.00 |
|
|
|
| 1,011 |
| $ 5,055 | |
SPDR S&P 500 ETF Trust, Expiration May 2012, Exercise Price $130.00 |
|
|
|
| 51 |
| 969 | |
SPDR S&P 500 ETF Trust, Expiration May 2012, Exercise Price $132.00 |
|
|
|
| 70 |
| 2,100 | |
TOTAL WRITTEN PUT OPTIONS - (Proceeds - $60,155) |
|
|
|
|
|
| 8,124 | |
|
|
|
|
|
|
|
|
|
++ Each Written Call/Put Option contract allows the holder to purchase/sell 100 shares of the underlying security from/to the Fund at the stated exercise price. |
|
| ||||||
|
|
|
|
|
|
|
|
|
SECURITIES SOLD SHORT - (10.8)% |
|
|
|
|
| Shares |
| Market Value |
Duke Energy Corp. |
|
|
|
|
| 122,020 |
| $ 2,614,889 |
Eastman Chemical Co. |
|
|
|
|
| 19,308 |
| 1,042,053 |
Hertz Global Holdings Inc. |
|
|
|
|
| 23,745 |
| 365,910 |
Johnson & Johnson |
|
|
|
|
| 43,054 |
| 2,802,385 |
Kinder Morgan Inc./Delaware |
|
|
|
|
| 124,024 |
| 284,015 |
Kinder Morgan Inc./Delaware |
|
|
|
|
| 46,387 |
| 1,665,293 |
Lam Research Corp. |
|
|
|
|
| 5,063 |
| 210,874 |
SPDR S&P 500 ETF Trust |
|
|
|
|
| 2,400 |
| 335,448 |
SXC Health Solutions Corp. |
|
|
|
|
| 3,500 |
| 317,030 |
TELUS Corp. |
|
|
|
|
| 84,400 |
| 5,068,617 |
TOTAL SECURITIES SOLD SHORT - (Proceeds - $13,976,328) |
|
|
|
|
|
| 14,706,514 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized |
LONG EQUITY SWAP CONTRACTS- (0.2)% |
|
|
|
|
|
| Appreciation/ (Depreciation) | |
British Sky Broadcasting Group Equity Swap, JP Morgan - September 17, 2012 |
|
|
|
|
|
| (307,230) | |
to receive total return of British Sky Broadcasting less USD- 3 Month LIBOR |
|
|
|
|
|
|
| |
(NOTIONAL AMOUNT $2,168,455) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Charter Hall Office REIT Equity Swap, JP Morgan - February 21, 2013 |
|
|
|
|
|
| (204,271) | |
to receive total return of Charter Hall Office REIT less USD- 3 Month LIBOR |
|
|
|
|
|
|
| |
(NOTIONAL AMOUNT $1,327,225) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
El Paso Corporation Equity Swap, JP Morgan - February 13, 2013 |
|
|
|
|
|
| 34,298 | |
to receive total return of El Paso Corporation less USD- 3 Month LIBOR |
|
|
|
|
|
|
| |
(NOTIONAL AMOUNT $8,080,744) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goodrich Corp. Equity Swap, JP Morgan - October 17, 2012 |
|
|
|
|
|
| 213,380 | |
to receive total return of Goodrich Corp. less USD- 3 Month LIBOR |
|
|
|
|
|
|
| |
(NOTIONAL AMOUNT $5,964,145) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goodrich Corp. Equity Swap, JP Morgan - February 10, 2013 |
|
|
|
|
|
| (173) | |
to receive total return of Goodrich Corp. less USD- 3 Month LIBOR |
|
|
|
|
|
|
| |
(NOTIONAL AMOUNT $2,168,122) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
International Power PLC Equity Swap, JP Morgan - April 5, 2013 |
|
|
|
|
|
| 97,848 | |
to receive total return of International Power PLC less USD- 3 Month LIBOR |
|
|
|
|
|
|
| |
(NOTIONAL AMOUNT $4,317,948) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Motorola Mobility Holdings Equity Swap, JP Morgan - February 13, 2013 |
|
|
|
|
|
| (32,821) | |
to receive total return of Motorola Mobility Holdings less USD- 3 Month LIBOR |
|
|
|
|
|
|
| |
(NOTIONAL AMOUNT $7,052,797) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Monthly Distribution Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
|
|
|
|
|
|
| Unrealized |
LONG EQUITY SWAP CONTRACTS (Continued) - (0.2)% |
|
|
|
|
|
| Appreciation/ (Depreciation) | |
Synthes Inc. Equity Swap, JP Morgan - September 17, 2012 |
|
|
|
|
|
| $ 19,858 | |
to receive total return of Synthes less USD- 3 Month LIBOR |
|
|
|
|
|
|
| |
(NOTIONAL AMOUNT $7,409,625) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TNT Express NV Equity Swap, JP Morgan -March 26, 2013 |
|
|
|
|
|
| 2,186 | |
to receive total return of TNT Express NV less USD- 3 Month LIBOR |
|
|
|
|
|
|
| |
(NOTIONAL AMOUNT $3,048,948) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Xstrata PLC Equity Swap, JP Morgan - February 10, 2013 |
|
|
|
|
|
| (12,756) | |
to receive total return of Xstrata PLC less USD- 3 Month LIBOR |
|
|
|
|
|
|
| |
(NOTIONAL AMOUNT $3,549,128.90) |
|
|
|
|
|
|
|
|
TOTAL LONG EQUITY SWAP CONTRACTS |
|
|
|
|
|
| $ (189,681) | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio Composition * - Unaudited | ||||||||
Financial |
| 30.32% |
| Utilities |
|
|
| 6.59% |
Consumer, Non-cyclical |
| 18.09% |
| Basic Materials |
|
| 6.41% | |
Communications |
| 13.77% |
| Funds |
|
|
| 3.80% |
Energy |
| 8.29% |
| Technology |
|
|
| 3.27% |
Industrial |
| 8.11% |
| Consumer, Cyclical |
|
| 1.35% | |
|
|
|
| Total |
|
|
| 100.00% |
|
|
|
|
|
|
|
|
|
* Based on total market value of investments as of April 30, 2012. |
|
|
|
|
|
|
| |
Percentage may differ from Schedule of Investments which is based on Fund net assets. |
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
Dunham Corporate/Government Bond Fund
Message from the Sub-Adviser (Newfleet Asset Management, LLC)
Bonds broadly started the fiscal year in positive territory but this trend did not continue through the latter portion of the second fiscal quarter. Treasuries in the middle of the yield curve, as measured by the BofA ML Treasuries 5-7 Years Index, did end the second fiscal quarter in positive territory but were only up 0.2 percent. This paled in comparison to the previous fiscal quarter where these same bonds increased close to 2.5 percent, bringing six-month performance to 2.7 percent. Long-term Treasuries, as measured by the BofA ML Treasuries 10+ Years Index, fell 1.5 percent over the second fiscal quarter, contributing to a steepening yield curve. This negative performance came on the heels of rising 5.6 percent in the first fiscal quarter. Broad investment-grade bonds, as measured by the Barclays Aggregate Bond Index, ended the second fiscal quarter up 0.5 percent, primarily due to the relative outperformance of corporate bonds, as measured by the BofA ML U.S. Corporate Bond Master Index, which increased 1.5 percent over the second fiscal quarter. Over the six-month period ending April 30, 2012, broad investment-grade bonds and corporate bonds rose 2.4 percent and 3.8 percent, respectively.
In contrast to the first fiscal quarter, long-term Treasuries underperformed intermediate-term Treasuries in the second fiscal quarter as investors generally sold out of the relatively low-yielding long-term Treasuries and redeemed less from those at the middle of the yield curve. Long-term Treasury yields ended the second fiscal quarter close to 2.9 percent, which was almost 1.3 percent lower than the end of April 2011. Announcements from the Federal Reserve that “Operation Twist” would be allowed to expire this year and that further easing would require a more dire environment than current conditions also contributed to the sell-off. Over the past 12 months, long-term and intermediate-term Treasuries were up 25.1 percent and 10.2 percent, respectively.
The Sub-Adviser continues to be pleased with the progression of the European Central Bank’s Long-Term Refinance Operation. This program offers banks three-year loans at a discount against a wider-than-usual range of collateral. The Sub-Adviser believes that the increased liquidity that the program provides the banking sector will in-turn affect borrowing across countries including the United States. In addition, during the last two fiscal quarters, the Greek debt negotiations continued to progress and helped to spur some of the rally into higher-yielding investments such as corporate bonds and stocks. This rally also contributed to the relative outperformance of high-yield bonds. High-yield bonds, as measured by the BofA ML High-Yield Bond Cash Pay Index, increased 6.4 percent over the six-month period, outperforming both investment-grade bonds and Treasuries, in general. The Sub-Adviser has slightly reduced the Fund’s exposure to high-yield bonds to approximately 17 percent, down from 20 percent at the beginning of the fiscal year.
The Sub-Adviser maintained an underweight to non-agency mortgage-backed securities, as it continued to be concerned with volatility and uncertainty in the space. Mortgage-backed securities as a whole, as measured by the BofA ML Mortgage Master Index, rose 2.1 percent during the six-month period. This underweight did slightly benefit relative performance, but the Sub-Adviser’s decision to specifically overweight commercial mortgage-backed securities (CMBS) strongly contributed to relative performance. Commercial mortgage-backed securities in general, as measured by the BofA ML CMBS Fixed Rate Index, rose 5.0 percent over the same time period. In the second fiscal quarter, the Sub-Adviser was initially concerned with the effect that the Maiden Lane III portfolio (created by the bailout of American International Group in 2008) liquidation of $7.5 billion in CMBS would have on the market. The results that were released at the end of the second fiscal quarter showed that there was in fact adequate demand to absorb the influx in supply, providing widespread relief in the CMBS market.
The Sub-Adviser remains optimistic about the U.S. economy and is cautious about Europe as the pending results of elections in Greece and France may affect the progress of the debt resolutions in the European Union. Therefore, the Sub-Adviser believes that volatility and investor uncertainty may remain high in the near-term and remains concerned that smaller emerging markets countries that depend in some way on European banks for financing may be vulnerable to tighter credit. The Sub-Adviser generally believes that the U.S. economy may see some additional improvement in the near future, but that the expiration of Operation Twist and the lower likelihood of additional stimulus will generally reduce investors’ appetite for riskier securities.
Growth of $10,000 Investment - (Unaudited)
Total Returns as of April 30, 2012
Six Months |
| One Year | Annualized Three Years | Annualized Five Years | Annualized Since Inception (12/10/04) | |
Class N | 4.45% |
| 5.83% | 8.18% | 6.34% | 5.24% |
Class C Class A with load of 4.50% Class A without load | 4.08% (0.42)% 4.25% |
| 5.06% 0.83% 5.59% | 7.38% 6.25% 7.90% | 5.54% 5.10% 6.07% | 4.47% 4.79%* 5.69%* |
Barclays Aggregate Bond Index | 2.44% |
| 7.54% | 7.06% | 6.37% | 5.50% |
*Class A commenced operations on January 3, 2007.
The Barclays Aggregate Bond Index is an unmanaged index which represents the U.S. investment-grade fixed-rate bond market (including government and corporate securities, mortgage pass-through securities and asset-backed securities). Investors cannot invest directly in an index or benchmark.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.30% for Class N, 2.05% for Class C and 1.55% for Class A. 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.
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Corporate / Government Bond Fund (Unaudited) | ||||||||
April 30, 2012 | ||||||||
|
| Principal |
| Interest |
| Maturity |
| Market |
Security |
| Amount |
| Rate |
| Date |
| Value |
CORPORATE NOTES & BONDS - 39.9 % |
|
|
|
|
|
|
| |
AGRICULTURE - 0.4 % |
|
|
|
|
|
|
|
|
American Rock Salt Co. LLC/American Rock Capital Corp. - 144A | $ 375,000 |
| 8.2500 | % | 5/1/2018 |
| $ 330,000 | |
|
|
|
|
|
|
|
|
|
BANKS - 7.3 % |
|
|
|
|
|
|
|
|
Ally Financial, Inc. |
| 430,000 |
| 5.5000 |
| 2/15/2017 |
| 437,525 |
Bank of America Corp. |
| 165,000 |
| 5.0000 |
| 5/13/2021 |
| 163,459 |
Bank of America Corp. |
| 265,000 |
| 5.6250 |
| 7/1/2020 |
| 273,125 |
Bank of America Corp. |
| 360,000 |
| 5.7500 |
| 8/15/2016 |
| 374,800 |
Capital One Financial Corp. |
| 205,000 |
| 6.1500 |
| 9/1/2016 |
| 227,628 |
Capital One Financial Corp. |
| 115,000 |
| 7.3750 |
| 5/23/2014 |
| 127,591 |
Citigroup Inc. |
| 536,000 |
| 5.0000 |
| 9/15/2014 |
| 555,103 |
Goldman Sachs Group, Inc. |
| 140,000 |
| 5.1250 |
| 1/15/2015 |
| 147,773 |
Goldman Sachs Group, Inc. |
| 375,000 |
| 5.7500 |
| 1/24/2022 |
| 392,302 |
Goldman Sachs Group, Inc. |
| 190,000 |
| 6.0000 |
| 6/15/2020 |
| 202,283 |
JPMorgan Chase & Co. |
| 235,000 |
| 3.4500 |
| 3/1/2016 |
| 245,690 |
JPMorgan Chase & Co. |
| 255,000 |
| 5.1250 |
| 9/15/2014 |
| 273,592 |
JPMorgan Chase & Co. |
| 125,000 |
| 7.9000 | + | Perpetual |
| 137,430 |
KeyCorp |
| 215,000 |
| 5.1000 |
| 3/24/2021 |
| 241,110 |
Morgan Stanley |
| 180,000 |
| 5.5500 |
| 4/27/2017 |
| 182,124 |
Morgan Stanley |
| 190,000 |
| 5.7500 |
| 1/25/2021 |
| 186,878 |
Regions Financial Corp. |
| 445,000 |
| 0.6437 | + | 6/26/2012 |
| 444,582 |
Regions Financial Corp. |
| 245,000 |
| 4.8750 |
| 4/26/2013 |
| 251,774 |
Regions Financial Corp. |
| 145,000 |
| 5.7500 |
| 6/15/2015 |
| 152,256 |
Resona Bank Ltd. - 144A |
| 165,000 |
| 5.8500 | + | Perpetual |
| 171,843 |
SunTrust Banks, Inc. |
| 45,000 |
| 5.2500 |
| 11/5/2012 |
| 45,905 |
Wells Fargo & Co. |
| 190,000 |
| 3.6760 | + | 6/15/2016 |
| 204,036 |
Wells Fargo & Co. |
| 170,000 |
| 4.6000 |
| 4/1/2021 |
| 187,075 |
|
|
|
|
|
|
|
| 5,625,884 |
BEVERAGES - 0.8 % |
|
|
|
|
|
|
|
|
Beverages & More, Inc. - 144A |
| 270,000 |
| 9.6250 |
| 10/1/2014 |
| 284,850 |
Heineken NV - 144A |
| 320,000 |
| 3.4000 |
| 4/1/2022 |
| 323,994 |
|
|
|
|
|
|
|
| 608,844 |
BIOTECHNOLOGY - 0.3 % |
|
|
|
|
|
|
|
|
Gilead Sciences, Inc. |
| 180,000 |
| 4.4000 |
| 12/1/2021 |
| 194,481 |
|
|
|
|
|
|
|
|
|
CHEMICALS - 1.7 % |
|
|
|
|
|
|
|
|
Chevron Phillips Chemical Co. LLC/LP - 144A | 305,000 |
| 4.7500 |
| 2/1/2021 |
| 344,019 | |
Chevron Phillips Chemical Co. LLC/LP - 144A | 295,000 |
| 7.0000 |
| 6/15/2014 |
| 330,456 | |
Dow Chemical Co. |
| 105,000 |
| 4.2500 |
| 11/15/2020 |
| 111,039 |
Dow Chemical Co. |
| 275,000 |
| 5.9000 |
| 2/15/2015 |
| 308,825 |
Dow Chemical Co. |
| 205,000 |
| 6.0000 |
| 10/1/2012 |
| 209,200 |
|
|
|
|
|
|
|
| 1,303,539 |
COMMERCIAL SERVICES - 0.6 % |
|
|
|
|
|
|
| |
DynCorp International, Inc. |
| 300,000 |
| 10.3750 |
| 7/1/2017 |
| 258,000 |
Lender Processing Services, Inc. | 170,000 |
| 8.1250 |
| 7/1/2016 |
| 177,437 | |
|
|
|
|
|
|
|
| 435,437 |
DIVERSIFIED FINANCIAL SERVICES - 4.1 % |
|
|
|
|
|
|
| |
American Express Co. |
| 245,000 |
| 7.2500 |
| 5/20/2014 |
| 273,714 |
Bear Stearns Cos LLC |
| 205,000 |
| 7.2500 |
| 2/1/2018 |
| 248,890 |
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Corporate / Government Bond Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
| Principal |
| Interest |
| Maturity |
| Market |
Security |
| Amount |
| Rate |
| Date |
| Value |
DIVERSIFIED FINANCIAL SERVICES - 4.1 % (continued) |
|
|
|
|
|
|
| |
E*TRADE Financial Corp. |
| $ 285,000 |
| 7.8750 | % | 12/1/2015 |
| $ 290,344 |
Ford Motor Credit Co. LLC |
| 200,000 |
| 5.0000 |
| 5/15/2018 |
| 216,000 |
General Electric Capital Corp. |
| 360,000 |
| 1.8750 |
| 9/16/2013 |
| 364,756 |
General Electric Capital Corp. |
| 360,000 |
| 4.6500 |
| 10/17/2021 |
| 390,330 |
GFI Group Inc. |
| 410,000 |
| 8.3750 |
| 7/19/2018 |
| 380,275 |
Icahn Enterprises LP / Icahn Enterprises Finance Corp. | 170,000 |
| 8.0000 |
| 1/15/2018 |
| 181,262 | |
International Lease Finance Corp. | 360,000 |
| 4.8750 |
| 4/1/2015 |
| 357,750 | |
Oppenheimer Holdings, Inc. |
| 280,000 |
| 8.7500 |
| 4/15/2018 |
| 285,600 |
Woodside Finance, Ltd. - 144A |
| 165,000 |
| 4.6000 |
| 5/10/2021 |
| 173,559 |
|
|
|
|
|
|
|
| 3,162,480 |
ELECTRIC - 1.7 % |
|
|
|
|
|
|
|
|
Calpine Corp. - 144A |
| 185,000 |
| 7.5000 |
| 2/15/2021 |
| 197,025 |
Calpine Corp. - 144A |
| 65,000 |
| 7.8750 |
| 7/31/2020 |
| 70,769 |
CMS Energy Corp. |
| 85,000 |
| 2.7500 |
| 5/15/2014 |
| 85,106 |
CMS Energy Corp. |
| 250,000 |
| 6.2500 |
| 2/1/2020 |
| 275,000 |
Dominion Resources, Inc. |
| 85,000 |
| 8.8750 |
| 1/15/2019 |
| 115,808 |
Georgia Power Co. |
| 100,000 |
| 6.0000 |
| 11/1/2013 |
| 107,910 |
Nevada Power Co. |
| 125,000 |
| 6.5000 |
| 5/15/2018 |
| 154,280 |
Virginia Electric and Power Co. |
| 265,000 |
| 5.4000 |
| 1/15/2016 |
| 304,912 |
|
|
|
|
|
|
|
| 1,310,810 |
ENTERTAINMENT - 0.6 % |
|
|
|
|
|
|
|
|
AMC Entertainment, Inc. |
| 265,000 |
| 9.7500 |
| 12/1/2020 |
| 256,719 |
Peninsula Gaming LLC / Peninsula Gaming Corp. | 190,000 |
| 10.7500 |
| 8/15/2017 |
| 209,712 | |
United Artists Theatre Circuit Inc. 1995-A Pass Through Trust * | 3,933 |
| 9.3000 |
| 7/1/2015 |
| 3,948 | |
|
|
|
|
|
|
|
| 470,379 |
FOOD - 0.4 % |
|
|
|
|
|
|
|
|
Kraft Foods, Inc. |
| 100,000 |
| 2.6250 |
| 5/8/2013 |
| 101,781 |
Kraft Foods, Inc. |
| 170,000 |
| 6.1250 |
| 2/1/2018 |
| 204,155 |
|
|
|
|
|
|
|
| 305,936 |
HEALTHCARE-PRODUCTS - 0.7 % |
|
|
|
|
|
|
| |
Boston Scientific Corp. |
| 205,000 |
| 6.0000 |
| 1/15/2020 |
| 238,136 |
Kinetic Concepts, Inc. / KCI USA, Inc. - 144A | 335,000 |
| 12.5000 |
| 11/1/2019 |
| 309,038 | |
|
|
|
|
|
|
|
| 547,174 |
HEALTHCARE-SERVICES - 0.5 % |
|
|
|
|
|
|
| |
Aviv Healthcare Properties LP / Aviv Healthcare Capital Corp. | 180,000 |
| 7.7500 |
| 2/15/2019 |
| 188,325 | |
Aviv Healthcare Properties LP / Aviv Healthcare Capital Corp. - 144A | 135,000 |
| 7.7500 |
| 2/15/2019 |
| 138,544 | |
Tenet Healthcare Corp. - 144A |
| 80,000 |
| 6.2500 |
| 11/1/2018 |
| 83,300 |
|
|
|
|
|
|
|
| 410,169 |
HOLDING COMPANIES-DIVERSIFIED - 0.2 % |
|
|
|
|
|
|
| |
Hutchison Whampoa International 09/19 Ltd. - 144A | 120,000 |
| 5.7500 |
| 9/11/2019 |
| 134,854 | |
|
|
|
|
|
|
|
|
|
HOUSEHOLD PRODUCTS/WARES - 0.2 % |
|
|
|
|
|
|
| |
Reynolds Group Issuer, Inc. - 144A | 185,000 |
| 8.5000 |
| 2/15/2021 |
| 177,600 | |
|
|
|
|
|
|
|
|
|
INSURANCE - 3.0 % |
|
|
|
|
|
|
|
|
Chubb Corp. |
| 85,000 |
| 6.3750 | + | 3/29/2067 |
| 87,444 |
CNA Financial Corp. |
| 355,000 |
| 5.8750 |
| 8/15/2020 |
| 388,483 |
Lincoln National Corp. |
| 295,000 |
| 4.2000 |
| 3/15/2022 |
| 295,652 |
Lincoln National Corp. |
| 275,000 |
| 7.0000 |
| 6/15/2040 |
| 322,168 |
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Corporate / Government Bond Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
| Principal |
| Interest |
| Maturity |
| Market |
Security |
| Amount |
| Rate |
| Date |
| Value |
INSURANCE - 3.0 % (continued) |
|
|
|
|
|
|
| |
MetLife, Inc. |
| $ 235,000 |
| 5.0000 | % | 6/15/2015 |
| $ 259,069 |
Prudential Financial, Inc. |
| 235,000 |
| 3.6250 |
| 9/17/2012 |
| 237,512 |
Prudential Financial, Inc. |
| 145,000 |
| 6.2000 |
| 1/15/2015 |
| 160,405 |
Prudential Financial, Inc. |
| 145,000 |
| 7.3750 |
| 6/15/2019 |
| 180,441 |
Prudential Financial, Inc. |
| 195,000 |
| 8.8750 | + | 6/15/2038 |
| 232,294 |
QBE Capital Funding III Ltd. - 144A | 200,000 |
| 7.2500 | + | 5/24/2041 |
| 183,293 | |
|
|
|
|
|
|
|
| 2,346,761 |
INTERNET - 0.5 % |
|
|
|
|
|
|
|
|
EarthLink, Inc. |
| 380,000 |
| 8.8750 |
| 5/15/2019 |
| 374,300 |
|
|
|
|
|
|
|
|
|
INVESTMENT COMPANIES - 0.1 % |
|
|
|
|
|
|
| |
Spencer Spirit Holdings Inc. / Spencer Gifts LLC / Spirit Halloween Superstores - 144A | 80,000 |
| 11.0000 |
| 5/1/2017 |
| 89,400 | |
|
|
|
|
|
|
|
|
|
LODGING - 0.0 % |
|
|
|
|
|
|
|
|
Caesars Entertainment Operating Co., Inc. - 144A | 30,000 |
| 8.5000 |
| 2/15/2020 |
| 30,862 | |
|
|
|
|
|
|
|
|
|
MEDIA - 2.7 % |
|
|
|
|
|
|
|
|
CCO Holdings LLC / CCO Holdings Capital Corp. | 230,000 |
| 6.5000 |
| 4/30/2021 |
| 241,500 | |
Cequel Communications Holdings I LLC / Cequel Capital Corp. - 144A | 145,000 |
| 8.6250 |
| 11/15/2017 |
| 156,056 | |
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. - 144A | 515,000 |
| 3.8000 |
| 3/15/2022 |
| 511,446 | |
Discovery Communications LLC | 120,000 |
| 3.7000 |
| 6/1/2015 |
| 128,538 | |
DISH DBS Corp. |
| 110,000 |
| 7.1250 |
| 2/1/2016 |
| 121,550 |
NBCUniversal Media LLC |
| 235,000 |
| 2.1000 |
| 4/1/2014 |
| 240,090 |
NBCUniversal Media LLC |
| 190,000 |
| 4.3750 |
| 4/1/2021 |
| 207,142 |
Time Warner Cable, Inc. |
| 225,000 |
| 5.0000 |
| 2/1/2020 |
| 251,267 |
Time Warner Cable, Inc. |
| 40,000 |
| 5.5000 |
| 9/1/2041 |
| 42,090 |
Time Warner Cable, Inc. |
| 150,000 |
| 4.0000 |
| 9/1/2021 |
| 155,549 |
|
|
|
|
|
|
|
| 2,055,228 |
METAL FABRICATE/HARDWARE - 0.0 % |
|
|
|
|
|
|
| |
Valmont Industries, Inc. |
| 10,000 |
| 6.6250 |
| 4/20/2020 |
| 11,643 |
|
|
|
|
|
|
|
|
|
MINING - 1.1 % |
|
|
|
|
|
|
|
|
BHP Billiton Finance USA Ltd. |
| 215,000 |
| 1.6250 |
| 2/24/2017 |
| 215,890 |
Corp Nacional del Cobre de Chile - 144A | 60,000 |
| 3.7500 |
| 11/4/2020 |
| 62,570 | |
Freeport-McMoRan Copper & Gold, Inc. | 245,000 |
| 3.5500 |
| 3/1/2022 |
| 242,578 | |
Vale Overseas Ltd. |
| 295,000 |
| 4.3750 |
| 1/11/2022 |
| 303,723 |
|
|
|
|
|
|
|
| 824,761 |
OFFICE/BUSINESS EQUIPMENT - 0.3 % |
|
|
|
|
|
|
| |
Xerox Corp. |
| 230,000 |
| 4.5000 |
| 5/15/2021 |
| 239,189 |
|
|
|
|
|
|
|
|
|
OIL & GAS - 2.2 % |
|
|
|
|
|
|
|
|
Linn Energy LLC/Linn Energy Finance Corp. | 360,000 |
| 7.7500 |
| 2/1/2021 |
| 377,100 | |
OGX Austria GmbH - 144A |
| 275,000 |
| 8.5000 |
| 6/1/2018 |
| 285,656 |
Petrobras International Finance Co. - Pifco | 300,000 |
| 5.3750 |
| 1/27/2021 |
| 328,347 | |
Petrohawk Energy Corp. |
| 150,000 |
| 7.2500 |
| 8/15/2018 |
| 171,323 |
Phillips 66 - 144A |
| 295,000 |
| 4.3000 |
| 4/1/2022 |
| 308,309 |
Phillips 66 - 144A |
| 195,000 |
| 5.8750 |
| 5/1/2042 |
| 206,714 |
|
|
|
|
|
|
|
| 1,677,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Corporate / Government Bond Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
| Principal |
| Interest |
| Maturity |
| Market |
Security |
| Amount |
| Rate |
| Date |
| Value |
OIL & GAS SERVICES - 0.2 % |
|
|
|
|
|
|
|
|
Weatherford International Ltd. |
| $ 175,000 |
| 4.5000 | % | 4/15/2022 |
| $ 180,530 |
|
|
|
|
|
|
|
|
|
PACKAGING & CONTAINERS - 0.2 % |
|
|
|
|
|
|
| |
Ball Corp. |
| 115,000 |
| 5.7500 |
| 5/15/2021 |
| 124,200 |
PHARMACEUTICALS - 0.9 % |
|
|
|
|
|
|
|
|
Express Scripts Holding Co. - 144A | 310,000 |
| 2.6500 |
| 2/15/2017 |
| 315,926 | |
Express Scripts Holding Co. - 144A | 300,000 |
| 2.1000 |
| 2/12/2015 |
| 304,683 | |
Express Scripts Holding Co. |
| 75,000 |
| 5.2500 |
| 6/15/2012 |
| 75,406 |
|
|
|
|
|
|
|
| 696,015 |
PIPELINES - 2.0 % |
|
|
|
|
|
|
|
|
Atmos Energy Corp. |
| 305,000 |
| 6.3500 |
| 6/15/2017 |
| 359,924 |
Copano Energy LLC / Copano Energy Finance Corp. | 30,000 |
| 7.1250 |
| 4/1/2021 |
| 31,575 | |
El Paso Pipeline Partners Operating Co. LLC | 345,000 |
| 7.5000 |
| 11/15/2040 |
| 413,137 | |
Energy Transfer Partners LP |
| 35,000 |
| 5.2000 |
| 2/1/2022 |
| 37,377 |
Energy Transfer Partners LP |
| 205,000 |
| 6.5000 |
| 2/1/2042 |
| 218,017 |
Kinder Morgan Energy Partners LP | 115,000 |
| 5.8500 |
| 9/15/2012 |
| 117,075 | |
Plains All American Pipeline LP / PAA Finance Corp. | 205,000 |
| 3.6500 |
| 6/1/2022 |
| 206,552 | |
Plains All American Pipeline LP / PAA Finance Corp. | 105,000 |
| 5.1500 |
| 6/1/2042 |
| 107,330 | |
Spectra Energy Partners LP |
| 80,000 |
| 4.6000 |
| 6/15/2021 |
| 84,179 |
|
|
|
|
|
|
|
| 1,575,166 |
REITS - 2.1 % |
|
|
|
|
|
|
|
|
CNL Lifestyle Properties, Inc. |
| 260,000 |
| 7.2500 |
| 4/15/2019 |
| 238,550 |
DDR Corp. |
| 210,000 |
| 7.8750 |
| 9/1/2020 |
| 248,850 |
Digital Realty Trust LP |
| 335,000 |
| 5.2500 |
| 3/15/2021 |
| 352,363 |
Duke Realty LP |
| 365,000 |
| 5.9500 |
| 2/15/2017 |
| 408,687 |
Felcor Lodging LP |
| 240,000 |
| 6.7500 |
| 6/1/2019 |
| 243,600 |
Ventas Realty LP / Ventas Capital Corp. | 95,000 |
| 4.2500 |
| 3/1/2022 |
| 94,314 | |
|
|
|
|
|
|
|
| 1,586,364 |
RETAIL - 1.0 % |
|
|
|
|
|
|
|
|
Brown Shoe Co., Inc. |
| 275,000 |
| 7.1250 |
| 5/15/2019 |
| 266,750 |
CVS Pass-Through Trust - 144A |
| 110,036 |
| 7.5070 |
| 1/10/2032 |
| 136,758 |
Landry's Holdings, Inc. - 144A |
| 260,000 |
| 11.5000 |
| 6/1/2014 |
| 261,628 |
Landry's, Inc. - 144A |
| 125,000 |
| 9.3750 |
| 5/1/2020 |
| 127,187 |
|
|
|
|
|
|
|
| 792,323 |
SOFTWARE - 0.2 % |
|
|
|
|
|
|
|
|
First Data Corp. |
| 210,000 |
| 11.2500 |
| 3/31/2016 |
| 194,250 |
|
|
|
|
|
|
|
|
|
TELECOMMUNICATIONS - 3.6 % |
|
|
|
|
|
|
| |
AT&T, Inc. |
| 315,000 |
| 3.8750 |
| 8/15/2021 |
| 339,151 |
AT&T, Inc. |
| 90,000 |
| 4.4500 |
| 5/15/2021 |
| 101,003 |
CenturyLink, Inc. |
| 270,000 |
| 6.4500 |
| 6/15/2021 |
| 280,357 |
Cincinnati Bell, Inc. |
| 370,000 |
| 8.3750 |
| 10/15/2020 |
| 367,225 |
GCI, Inc. |
| 190,000 |
| 8.6250 |
| 11/15/2019 |
| 209,950 |
Goodman Networks, Inc. - 144A | 350,000 |
| 12.1250 |
| 7/1/2018 |
| 350,875 | |
NII Capital Corp. |
| 345,000 |
| 7.6250 |
| 4/1/2021 |
| 322,575 |
UPCB Finance VI, Ltd. - 144A |
| 265,000 |
| 6.8750 |
| 1/15/2022 |
| 271,956 |
Virgin Media Finance PLC |
| 190,000 |
| 8.3750 |
| 10/15/2019 |
| 212,562 |
West Corp. |
| 160,000 |
| 7.8750 |
| 1/15/2019 |
| 171,400 |
Windstream Corp. |
| 180,000 |
| 7.0000 |
| 3/15/2019 |
| 183,375 |
|
|
|
|
|
|
|
| 2,810,429 |
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Corporate / Government Bond Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
| Principal |
| Interest |
| Maturity |
| Market |
Security |
| Amount |
| Rate |
| Date |
| Value |
TOBACCO - 0.3 % |
|
|
|
|
|
|
|
|
Altria Group, Inc. |
| $ 75,000 |
| 9.2500 | % | 8/6/2019 |
| $ 102,482 |
Philip Morris International, Inc. |
| 85,000 |
| 6.8750 |
| 3/17/2014 |
| 94,843 |
|
|
|
|
|
|
|
| 197,325 |
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE NOTES & BONDS (Cost - $29,381,703) |
|
|
|
|
|
| 30,823,782 | |
|
|
|
|
|
|
|
|
|
FOREIGN GOVERNMENT BOND - 0.4 % |
|
|
|
|
|
|
| |
Mexico Government International Bond | 295,000 |
| 4.7500 |
| 3/8/2044 |
| 303,130 | |
TOTAL FOREIGN GOVERNMENT BOND (Cost - $290,757) |
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
MORTGAGE BACKED SECURITIES - 6.9 % |
|
|
|
|
|
|
| |
Bear Stearns Commercial Mortgage Securities 2005-PWR9 A4B | 580,000 |
| 4.9430 |
| 9/11/2042 |
| 612,869 | |
Bear Stearns Commercial Mortgage Securities 2007-T28 A3 | 150,000 |
| 5.7930 |
| 9/11/2042 |
| 158,965 | |
Commercial Mortgage Pass Through Certificates 2007-C9 A4 | 180,000 |
| 6.0063 | + | 12/10/2049 |
| 208,631 | |
Credit Suisse Mortgage Capital Certificates 2008-C1 AM - 144A | 510,000 |
| 6.4084 | + | 2/15/2041 |
| 481,547 | |
Credit Suisse Mortgage Capital Certificates 2006-C1 A3 | 24,579 |
| 5.5958 | + | 2/15/2039 |
| 25,709 | |
Credit Suisse Mortgage Capital Certificates 2006-C1 A4 | 590,000 |
| 5.5958 | + | 2/15/2039 |
| 656,110 | |
Greenwich Capital Commercial Funding Corp. 2006-GG7 A4 | 310,000 |
| 6.0811 | + | 7/10/2038 |
| 354,945 | |
JP Morgan Chase Commercial Mortgage Securities Corp. 2007-CB18 A3 | 613,457 |
| 5.4470 |
| 6/12/2047 |
| 651,393 | |
Morgan Stanley Capital I 2005-IQ10 A4B | 510,000 |
| 5.2840 | + | 9/15/2042 |
| 554,649 | |
Morgan Stanley Capital I 2006-HQ10 AM | 125,000 |
| 5.3600 |
| 11/12/2041 |
| 132,301 | |
Morgan Stanley Capital I 2006-IQ11 A4 | 790,000 |
| 5.8975 | + | 10/15/2042 |
| 890,370 | |
Morgan Stanley Capital I 2007-T27 A4 | 440,000 |
| 5.8174 | + | 6/11/2042 |
| 508,372 | |
Wachovia Bank Commercial Mortgage Trust 2006-C23 A5 | 90,000 |
| 5.4160 | + | 1/15/2045 |
| 100,469 | |
TOTAL MORTGAGE BACKED SECURITIES (Cost - $5,056,793) |
|
|
|
|
|
| 5,336,330 | |
|
|
|
|
|
|
|
|
|
U.S. GOVERNMENT & AGENCIES -49.4 % |
|
|
|
|
|
|
| |
U.S. GOVERNMENT AGENCY - 19.5 % |
|
|
|
|
|
|
| |
Fannie Mae Pool 310041 |
| 454,162 |
| 6.5000 |
| 5/1/2037 |
| 515,025 |
Fannie Mae Pool 703391 |
| 650,611 |
| 5.0000 |
| 5/1/2033 |
| 711,462 |
Fannie Mae Pool 735061 |
| 151,395 |
| 6.0000 |
| 11/1/2034 |
| 168,941 |
Fannie Mae Pool 866009 |
| 288,692 |
| 6.0000 |
| 3/1/2036 |
| 320,303 |
Fannie Mae Pool 880117 |
| 120,851 |
| 5.5000 |
| 4/1/2036 |
| 133,639 |
Fannie Mae Pool 889883 |
| 1,771,229 |
| 6.5000 |
| 3/1/2038 |
| 2,010,186 |
Fannie Mae Pool 909141 |
| 46,207 |
| 6.0000 |
| 1/1/2038 |
| 51,491 |
Fannie Mae Pool 909153 |
| 45,721 |
| 6.0000 |
| 2/1/2038 |
| 50,950 |
Fannie Mae Pool 909175 |
| 123,979 |
| 5.5000 |
| 4/1/2038 |
| 136,712 |
Fannie Mae Pool 909220 |
| 224,130 |
| 6.0000 |
| 8/1/2038 |
| 249,645 |
Fannie Mae Pool 909223 |
| 122,566 |
| 6.0000 |
| 8/1/2038 |
| 136,519 |
Fannie Mae Pool 929191 |
| 332,080 |
| 6.0000 |
| 3/1/2038 |
| 370,057 |
Fannie Mae Pool 931983 |
| 1,085,892 |
| 5.5000 |
| 9/1/2039 |
| 1,199,194 |
Fannie Mae Pool 931995 |
| 189,341 |
| 5.0000 |
| 9/1/2039 |
| 208,372 |
Fannie Mae Pool 938574 |
| 908,435 |
| 5.5000 |
| 9/1/2036 |
| 998,234 |
Fannie Mae Pool 962752 |
| 98,500 |
| 5.0000 |
| 4/1/2038 |
| 110,172 |
Fannie Mae Pool 975649 |
| 616,963 |
| 6.0000 |
| 7/1/2038 |
| 688,703 |
Fannie Mae Pool AA7001 |
| 638,457 |
| 5.0000 |
| 6/1/2039 |
| 702,628 |
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Corporate / Government Bond Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
| Principal |
| Interest |
| Maturity |
| Market |
Security |
| Amount |
| Rate |
| Date |
| Value |
U.S. GOVERNMENT AGENCY - 19.5 % (continued) |
|
|
|
|
|
|
| |
Fannie Mae Pool AD0727 |
| $ 1,207,563 |
| 6.0000 | % | 8/1/2039 |
| $ 1,347,833 |
Fannie Mae Pool AE2496 |
| 231,549 |
| 4.5000 |
| 9/1/2040 |
| 255,007 |
Fannie Mae-Aces 1999-M2 B |
| 507,749 |
| 6.5086 | + | 3/25/2029 |
| 589,003 |
Federal National Mortgage Association | 485,000 |
| 0.0000 | ** | 10/9/2019 |
| 388,281 | |
Freddie Mac Gold Pool A46224 |
| 396,737 |
| 5.0000 |
| 7/1/2035 |
| 432,452 |
Freddie Mac Gold Pool A62582 |
| 65,312 |
| 6.0000 |
| 6/1/2037 |
| 72,095 |
Freddie Mac Gold Pool G01499 |
| 60,063 |
| 7.0000 |
| 1/1/2033 |
| 69,401 |
Freddie Mac Gold Pool G01980 |
| 741,460 |
| 5.0000 |
| 12/1/2035 |
| 816,443 |
Freddie Mac Gold Pool G03660 |
| 529,827 |
| 6.0000 |
| 12/1/2037 |
| 587,440 |
Freddie Mac Gold Pool G05888 |
| 233,768 |
| 5.5000 |
| 10/1/2039 |
| 255,776 |
Freddie Mac Gold Pool G06380 |
| 1,309,817 |
| 6.5000 |
| 2/1/2035 |
| 1,483,315 |
|
|
|
|
|
|
|
| 15,059,279 |
U.S. TREASURY OBLIGATIONS - 29.9 % |
|
|
|
|
|
|
| |
United States Treasury Bond |
| 2,400,000 |
| 3.5000 |
| 2/15/2039 |
| 2,601,375 |
United States Treasury Note |
| 6,530,000 |
| 2.0000 |
| 11/15/2021 |
| 6,596,831 |
United States Treasury Note |
| 5,070,000 |
| 1.0000 |
| 8/31/2016 |
| 5,142,090 |
United States Treasury Note |
| 5,020,000 |
| 0.2500 |
| 11/30/2013 |
| 5,020,392 |
United States Treasury Note |
| 3,645,000 |
| 1.3750 |
| 11/30/2018 |
| 3,681,450 |
|
|
|
|
|
|
|
| 23,042,138 |
|
|
|
|
|
|
|
|
|
TOTAL U.S. GOVERNMENT & AGENCIES (Cost - $36,849,044) |
|
|
|
|
|
| 38,101,417 | |
|
|
|
|
|
|
|
|
|
BANK LOANS - 0.7 % |
|
|
|
|
|
|
|
|
Chrysler Group LLC |
| 223,056 |
| 4.7500 | + | 5/24/2017 |
| 229,455 |
Pinnacle Foods Finance LLC |
| 123,750 |
| 8.0000 | + | 4/16/2016 |
| 125,521 |
Roundy's Supermarkets |
| 147,813 |
| 4.2500 | + | 5/10/2017 |
| 151,804 |
TOTAL BANK LOANS (Cost - $494,619) |
|
|
|
|
|
| 506,780 | |
|
|
|
|
|
|
|
|
|
|
|
|
| Dividend |
|
|
|
|
|
| Shares |
| Rate |
|
|
|
|
PREFERRED STOCK - 0.8 % |
|
|
|
|
|
|
|
|
BANKS - 0.5 % |
|
|
|
|
|
|
|
|
GMAC Capital Trust I |
| 17,600 |
| 8.1250 |
| 2/15/2040 |
| 421,520 |
|
|
|
|
|
|
|
|
|
DIVERSIFIED FINANCIAL SERVICES - 0.3 % |
|
|
|
|
|
|
| |
Citigroup Capital XIII |
| 7,200 |
| 7.8750 |
| 10/30/2040 |
| 191,736 |
|
|
|
|
|
|
|
|
|
TOTAL PREFERRED STOCK (Cost - $620,000) |
|
|
|
|
|
| 613,256 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Corporate / Government Bond Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS - 2.4 % | Principal Amount |
| Interest Rate |
|
|
|
| |
MONEY MARKET FUND - 2.4 % |
|
|
|
|
|
|
| |
Fidelity Institutional Money Market Funds - Government Portfolio | 1,890,091 |
| 0.0100 | + |
|
| 1,890,091 | |
TOTAL SHORT-TERM INVESTMENTS (Cost - $1,890,091) |
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 100.5 % (Cost - $74,583,007) |
|
|
|
|
|
| $ 77,574,786 | |
OTHER LIABILITIES LESS ASSETS - (0.5) % |
|
|
|
|
|
| (411,372) | |
NET ASSETS - 100.0% |
|
|
|
|
|
|
| $ 77,163,414 |
|
|
|
|
|
|
|
|
|
+ Variable rate security. Interest rate is as of April 30, 2012. |
|
|
|
|
|
|
| |
* The value of this security has been determined in good faith under the policies of the Board of Trustees. |
|
|
|
|
|
| ||
** Zero coupon security. Payment received at maturity. |
|
|
|
|
|
|
| |
144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. | ||||||||
|
|
|
|
|
|
|
|
|
Portfolio Composition * - Unaudited | ||||||||
Government Bonds |
| 49.12% | Preferred Stock |
|
|
| 0.79% | |
Corporate Bonds |
| 39.73% | Bank Loans |
|
|
| 0.65% | |
Mortgage-Backed Securities |
| 6.88% | Foreign Government Bonds |
| 0.39% | |||
Short-Term Investments |
| 2.44% | Total |
|
|
| 100.00% | |
|
|
|
|
|
|
|
|
|
* Based on total market value of investments as of April 30, 2012. |
|
|
|
|
|
|
| |
Percentage may differ from Schedule of Investments which is based on Fund net assets. |
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
Dunham High-Yield Bond Fund
Message from the Sub-Adviser (PENN Capital Management Company, Inc.)
For the six months ending April 30, 2012, high-yield bonds, as measured by the BofA Merrill Lynch High-Yield Bond Cash Pay Index, continued to outperform broad investment-grade bonds, as measured by the Barclays Aggregate Bond Index, and broad Treasuries, as measured by the BofA Merrill Lynch Treasury Master Index. High yield bonds increased 6.4 percent, while broad investment-grade bonds increased 2.4 percent and broad Treasuries gained 1.8 percent.
Within the high-yield bond market, securities rated CCC and lower outperformed securities rated BB and securities rated B in the first half of the fiscal year. CCC-rated bonds increased 8.4 percent, while B-rated bonds increased 6.3 percent and BB-rated bonds gained 5.8 percent. During the first fiscal quarter, the outperformance of B-rated bonds over BB-rated and CCC-rated benefitted the Fund as the Sub-Adviser maintained a BB and B-rated bond bias. However, in the second fiscal quarter, the outperformance of CCC-rated bonds over BB and B-rated bonds detracted from the Funds relative performance due to the focus on BB and B-rated bonds.
The Sub-Adviser generally retained a low exposure to the debt of businesses tied to housing in the first fiscal quarter. This included the building materials, paper, forest products, and metals industries. In addition, the Sub-Adviser maintained an underweight in health care, as it believed that the health care sector may have increased volatility, well-above historical levels. This view was adopted primarily due to the large amount of health care high-yield bond issuers that are more service-oriented and therefore potentially impacted by health care cuts in the national budget. The Sub-Adviser did express interest in a related industry group, pharmaceuticals. Patheon, Inc. (70319WAA6), a drug developer and manufacturer in North America and Europe, was favored by the Sub-Adviser because of its relatively low financial leverage and its positioning within its marketplace. During the fiscal quarter, Patheon Inc. bonds were flat while high-yield bonds in the health care sector generally increased 3.6 percent. Although the bonds recently underperformed their sector peers in general, the Sub-Adviser believed that the bonds still offered an attractive risk/reward profile and plans to keep the holding in the Fund. As the European Central Bank made moves to enhance the liquidity, the Sub-Adviser was concerned whether investor appetite for the “refinancing bonds” would remain strong. Therefore, the Sub-Adviser limited the Fund’s exposure to companies that may be directly affected by a decreased level of interest in euro-zone sovereign debt.
In the second fiscal quarter, the Fund continued to maintain an underweight position in debt issued by the housing sector and related sectors, due to the Sub-Adviser still being skeptical on the housing recovery. The Fund benefitted from being underweight natural gas and related sectors such as natural gas production, utilities, and coal companies due to unusually warm winter weather driving natural gas prices down nearly 20 percent over the fiscal quarter. Adding value to the Fund was an overweight position in packaging companies such as Packaging Dynamics Corp. (695160AA9); which benefitted from the decline in natural gas prices. The Fund was overweight the financial services sector, banking in particular, with companies such as Synovus Financial Corporation (87161CAJ4) adding value to the Fund during the second fiscal quarter, posting a 4.0 percent gain. The Sub-Adviser believes banks have and will benefit from a steepening yield curve and the recovering economy. The Sub-Adviser was underweight the energy sector but added to positions due to recent weakness and a belief the sector could see demand going forward. During the second fiscal quarter, positions in oil and energy producers such as Chesapeake Energy Corporation (165167CG0) and NRG Energy, Inc. (629377BR2) were purchased and added to, respectively.
Growth of $10,000 Investment - (Unaudited)
Total Returns as of April 30, 2012
|
| Six Months | One Year | Annualized Three Years | Annualized Five Years | Annualized Since Inception (7/1/05) |
Class N |
| 6.19% | 4.18% | 15.00% | 5.69% | 5.93% |
Class C Class A with load of 4.50% Class A without load |
| 5.74% 1.25% 6.01% | 3.29% (0.67)% 3.96% | 14.12% 12.97% 14.70% | 4.90% 4.44% 5.41% | 5.12% 4.46%* 5.36%* |
BofA Merrill Lynch High-Yield Bond Cash Pay Index |
| 6.42% | 5.21% | 19.47% | 7.67% | 8.15% |
*Class A commenced operations on January 3, 2007.
The BofA Merrill Lynch High-Yield Bond Cash Pay Index is an unmanaged portfolio constructed to mirror the public high-yield debt market. Issues included in the index have maturities of one year or more and have a credit rating lower than BBB-/Baa3. Investors cannot invest directly in an index or benchmark.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.39% for Class N, 2.14% for Class C and 1.64% for Class A. 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.
SCHEDULE OF INVESTMENTS | ||||||||
Dunham High-Yield Bond Fund (Unaudited) | ||||||||
April 30, 2012 | ||||||||
|
| Principal |
| Interest |
| Maturity |
| Market |
Security |
| Amount |
| Rate |
| Date |
| Value |
BONDS & NOTES - 88.7 % |
|
|
|
|
|
|
|
|
AEROSPACE/DEFENSE - 0.4 % |
|
|
|
|
|
|
|
|
AAR Corp. -144A |
| $ 350,000 |
| 7.250 | % | 1/15/2022 |
| $ 356,562 |
|
|
|
|
|
|
|
| |
AIRLINES - 0.5 % |
|
|
|
|
|
|
|
|
Delta Air Lines, Inc. -144A |
| 230,000 |
| 12.250 |
| 3/15/2015 |
| 251,275 |
United Air Lines, Inc. -144A |
| 158,000 |
| 9.875 |
| 8/1/2013 |
| 165,900 |
|
|
|
|
|
|
| 417,175 | |
APPAREL - 0.3 % |
|
|
|
|
|
|
|
|
Perry Ellis International, Inc. |
| 320,000 |
| 7.875 |
| 4/1/2019 |
| 323,600 |
|
|
|
|
|
|
|
| |
AUTO MANUFACTURERS - 0.8 % |
|
|
|
|
|
|
|
|
Chrysler Group LLC |
| 745,000 |
| 8.000 |
| 6/15/2019 |
| 774,800 |
|
|
|
|
|
|
|
| |
AUTO PARTS & EQUIPMENT - 1.4 % |
|
|
|
|
|
|
|
|
Goodyear Tire & Rubber Co. |
| 250,000 |
| 7.000 |
| 5/15/2022 |
| 249,375 |
Pittsburgh Glass Works LLC -144A |
| 735,000 |
| 8.500 |
| 4/15/2016 |
| 727,650 |
Titan International, Inc. |
| 280,000 |
| 7.875 |
| 10/1/2017 |
| 298,200 |
|
|
|
|
|
|
| 1,275,225 | |
BANKS - 5.8 % |
|
|
|
|
|
|
|
|
CIT Group, Inc. -144A |
| 750,000 |
| 5.500 |
| 2/15/2019 |
| 772,500 |
CIT Group, Inc. -144A |
| 705,000 |
| 7.000 |
| 5/2/2016 |
| 708,525 |
First Tennessee Bank NA |
| 500,000 |
| 5.050 |
| 1/15/2015 |
| 515,828 |
Synovus Financial Corp. |
| 1,370,000 |
| 5.125 |
| 6/15/2017 |
| 1,280,950 |
Synovus Financial Corp. |
| 1,250,000 |
| 7.875 |
| 2/15/2019 |
| 1,329,687 |
Wachovia Capital Trust III |
| 780,000 |
| 5.570 | + | Perpetual |
| 726,375 |
|
|
|
|
|
|
| 5,333,865 | |
CHEMICALS - 0.7 % |
|
|
|
|
|
|
|
|
Huntsman International LLC |
| 130,000 |
| 8.625 |
| 3/15/2021 |
| 149,012 |
Ineos Finance PLC -144A |
| 500,000 |
| 8.375 |
| 2/15/2019 |
| 537,500 |
|
|
|
|
|
|
| 686,512 | |
COAL - 0.8 % |
|
|
|
|
|
|
|
|
Cloud Peak Energy Resources LLC |
| 75,000 |
| 8.250 |
| 12/15/2017 |
| 76,125 |
Cloud Peak Energy Resources LLC |
| 155,000 |
| 8.500 |
| 12/15/2019 |
| 158,487 |
CONSOL Energy, Inc. |
| 215,000 |
| 8.000 |
| 4/1/2017 |
| 227,900 |
Peabody Energy Corp. -144A |
| 250,000 |
| 6.000 |
| 11/15/2018 |
| 255,000 |
|
|
|
|
|
|
|
| 717,512 |
COMMERCIAL SERVICES - 4.9 % |
|
|
|
|
|
|
|
|
ACE Cash Express, Inc. -144A |
| 320,000 |
| 11.000 |
| 2/1/2019 |
| 294,400 |
Avis Budget Car Rental LLC |
| 710,000 |
| 7.750 |
| 5/15/2016 |
| 730,412 |
Avis Budget Car Rental LLC |
| 170,000 |
| 8.250 |
| 1/15/2019 |
| 178,925 |
Avis Budget Car Rental LLC |
| 155,000 |
| 9.750 |
| 3/15/2020 |
| 171,275 |
Cardtronics, Inc. |
| 500,000 |
| 8.250 |
| 9/1/2018 |
| 555,000 |
CoreLogic, Inc. -144A |
| 270,000 |
| 7.250 |
| 6/1/2021 |
| 285,525 |
Emergency Medical Services Corp. |
| 510,000 |
| 8.125 |
| 6/1/2019 |
| 525,300 |
Great Lakes Dredge & Dock Corp. |
| 400,000 |
| 7.375 |
| 2/1/2019 |
| 414,000 |
National Money Mart Co. |
| 485,000 |
| 10.375 |
| 12/15/2016 |
| 542,594 |
RSC Equipment Rental, Inc. |
| 203,000 |
| 9.500 |
| 12/1/2014 |
| 207,821 |
TransUnion LLC |
| 295,000 |
| 11.375 |
| 6/15/2018 |
| 351,787 |
United Rentals North America, Inc. |
| 170,000 |
| 10.875 |
| 6/15/2016 |
| 193,162 |
|
|
|
|
|
|
|
| 4,450,201 |
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham High-Yield Bond Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
| Principal |
| Interest |
| Maturity |
| Market |
Security |
| Amount |
| Rate |
| Date |
| Value |
COMPUTERS - 1.5 % |
|
|
|
|
|
|
|
|
Seagate HDD Cayman |
| $ 515,000 |
| 7.750 | % | 12/15/2018 |
| $ 570,362 |
Seagate Technology International -144A |
| 395,000 |
| 10.000 |
| 5/1/2014 |
| 447,337 |
Stream Global Services, Inc. |
| 330,000 |
| 11.250 |
| 10/1/2014 |
| 348,975 |
|
|
|
|
|
|
|
| 1,366,674 |
COSMETICS/PERSONAL CARE - 0.8 % |
|
|
|
|
|
|
|
|
Revlon Consumer Products Corp. |
| 700,000 |
| 9.750 |
| 11/15/2015 |
| 758,625 |
|
|
|
|
|
|
|
|
|
DIVERSIFIED FINANCIAL SERVICES - 5.0 % |
|
|
|
|
|
|
| |
Aircastle Ltd. -144A |
| 250,000 |
| 6.750 |
| 4/15/2017 |
| 253,750 |
Aircastle Ltd. |
| 850,000 |
| 9.750 |
| 8/1/2018 |
| 941,375 |
Aircastle Ltd. -144A |
| 155,000 |
| 9.750 |
| 8/1/2018 |
| 170,887 |
E*TRADE Financial Corp. |
| 300,000 |
| 6.750 |
| 6/1/2016 |
| 308,250 |
E*TRADE Financial Corp. |
| 315,000 |
| 7.875 |
| 12/1/2015 |
| 320,906 |
E*TRADE Financial Corp. |
| 1,080,000 |
| 12.500 |
| 11/30/2017 |
| 1,263,600 |
International Lease Finance Corp. |
| 165,000 |
| 5.250 |
| 1/10/2013 |
| 167,269 |
International Lease Finance Corp. |
| 640,000 |
| 5.625 |
| 9/20/2013 |
| 653,600 |
International Lease Finance Corp. |
| 165,000 |
| 6.375 |
| 3/25/2013 |
| 169,744 |
International Lease Finance Corp. |
| 245,000 |
| 8.625 |
| 1/15/2022 |
| 281,478 |
|
|
|
|
|
|
|
| 4,530,859 |
ELECTRIC - 1.7 % |
|
|
|
|
|
|
|
|
Calpine Construction Finance Co. LP -144A |
| 255,000 |
| 8.000 |
| 6/1/2016 |
| 277,950 |
Calpine Corp. -144A |
| 275,000 |
| 7.250 |
| 10/15/2017 |
| 294,937 |
NRG Energy, Inc. |
| 190,000 |
| 7.375 |
| 1/15/2017 |
| 197,837 |
NRG Energy, Inc. |
| 80,000 |
| 7.625 |
| 1/15/2018 |
| 81,400 |
NRG Energy, Inc. |
| 430,000 |
| 7.625 |
| 5/15/2019 |
| 425,700 |
NRG Energy, Inc. |
| 280,000 |
| 8.250 |
| 9/1/2020 |
| 280,700 |
|
|
|
|
|
|
|
| 1,558,524 |
ELECTRICAL COMPONENTS & EQUIPMENT - 1.3 % |
|
|
|
|
|
|
| |
Belden, Inc. |
| 265,000 |
| 7.000 |
| 3/15/2017 |
| 273,612 |
Coleman Cable, Inc. |
| 435,000 |
| 9.000 |
| 2/15/2018 |
| 461,100 |
WESCO Distribution, Inc. |
| 470,000 |
| 7.500 |
| 10/15/2017 |
| 483,512 |
|
|
|
|
|
|
|
| 1,218,224 |
ENTERTAINMENT - 2.3 % |
|
|
|
|
|
|
|
|
GWR Operating Partnership LLP |
| 365,000 |
| 10.875 |
| 4/1/2017 |
| 412,450 |
Isle of Capri Casinos, Inc. |
| 285,000 |
| 7.750 |
| 3/15/2019 |
| 294,975 |
Lions Gate Entertainment, Inc. -144A |
| 235,000 |
| 10.250 |
| 11/1/2016 |
| 259,675 |
Palace Entertainment Holdings LLC -144A |
| 385,000 |
| 8.875 |
| 4/15/2017 |
| 398,475 |
Pinnacle Entertainment, Inc. |
| 145,000 |
| 7.750 |
| 4/1/2022 |
| 154,062 |
Pinnacle Entertainment, Inc. |
| 235,000 |
| 8.625 |
| 8/1/2017 |
| 258,500 |
Universal City Development Partners Ltd. |
| 331,000 |
| 8.875 |
| 11/15/2015 |
| 359,878 |
|
|
|
|
|
|
|
| 2,138,015 |
FOOD - 0.2 % |
|
|
|
|
|
|
|
|
Smithfield Foods, Inc. |
| 140,000 |
| 10.000 |
| 7/15/2014 |
| 164,500 |
|
|
|
|
|
|
|
|
|
FOREST PRODUCTS & PAPER - 1.2 % |
|
|
|
|
|
|
|
|
Boise Paper Holdings LLC |
| 610,000 |
| 9.000 |
| 11/1/2017 |
| 681,675 |
Xerium Technologies, Inc. |
| 480,000 |
| 8.875 |
| 6/15/2018 |
| 403,200 |
|
|
|
|
|
|
|
| 1,084,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham High-Yield Bond Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
| Principal |
| Interest |
| Maturity |
| Market |
Security |
| Amount |
| Rate |
| Date |
| Value |
GAS - 1.5 % |
|
|
|
|
|
|
|
|
Sabine Pass LNG LP |
| $ 720,000 |
| 7.250 | % | 11/30/2013 |
| $ 757,800 |
Sabine Pass LNG LP |
| 535,000 |
| 7.500 |
| 11/30/2016 |
| 576,462 |
|
|
|
|
|
|
|
| 1,334,262 |
HEALTHCARE-PRODUCTS - 1.7 % |
|
|
|
|
|
|
|
|
Alere, Inc. |
| 520,000 |
| 8.625 |
| 10/1/2018 |
| 540,800 |
Biomet, Inc. |
| 315,000 |
| 11.625 |
| 10/15/2017 |
| 343,350 |
Hanger Orthopedic Group, Inc. |
| 250,000 |
| 7.125 |
| 11/15/2018 |
| 260,937 |
Universal Hospital Services, Inc. |
| 430,000 |
| 8.500 |
| 6/1/2015 |
| 442,631 |
|
|
|
|
|
|
|
| 1,587,718 |
HEALTHCARE-SERVICES - 1.3 % |
|
|
|
|
|
|
|
|
HCA, Inc. |
| 700,000 |
| 6.250 |
| 2/15/2013 |
| 721,437 |
Health Net, Inc. |
| 235,000 |
| 6.375 |
| 6/1/2017 |
| 249,100 |
ResCare, Inc. |
| 195,000 |
| 10.750 |
| 1/15/2019 |
| 217,669 |
|
|
|
|
|
|
|
| 1,188,206 |
HOUSEHOLD PRODUCTS - 1.3 % |
|
|
|
|
|
|
|
|
Prestige Brands, Inc. |
| 225,000 |
| 8.250 |
| 4/1/2018 |
| 247,500 |
Reynolds Group Issuer, Inc. -144A |
| 305,000 |
| 7.875 |
| 8/15/2019 |
| 330,925 |
Reynolds Group Issuer, Inc. -144A |
| 300,000 |
| 9.000 |
| 4/15/2019 |
| 301,125 |
Reynolds Group Issuer, Inc. -144A |
| 250,000 |
| 9.875 |
| 8/15/2019 |
| 256,562 |
Yankee Candle Co., Inc. |
| 92,000 |
| 8.500 |
| 2/15/2015 |
| 94,531 |
|
|
|
|
|
|
|
| 1,230,643 |
HOUSEWARES - 0.6 % |
|
|
|
|
|
|
|
|
Libbey Glass, Inc. |
| 550,000 |
| 10.000 |
| 2/15/2015 |
| 589,187 |
|
|
|
|
|
|
|
|
|
INTERNET - 1.2 % |
|
|
|
|
|
|
|
|
EarthLink, Inc. |
| 720,000 |
| 8.875 |
| 5/15/2019 |
| 709,200 |
Equinix, Inc. |
| 310,000 |
| 8.125 |
| 3/1/2018 |
| 342,550 |
|
|
|
|
|
|
|
| 1,051,750 |
INVESTMENT COMPANIES - 0.8 % |
|
|
|
|
|
|
|
|
Offshore Group Investments Ltd. |
| 275,000 |
| 11.500 |
| 8/1/2015 |
| 302,156 |
Offshore Group Investments Ltd. -144A |
| 400,000 |
| 11.500 |
| 8/1/2015 |
| 439,500 |
|
|
|
|
|
|
|
| 741,656 |
LEISURE TIME - 0.8 % |
|
|
|
|
|
|
|
|
NCL Corp. Ltd. |
| 410,000 |
| 11.750 |
| 11/15/2016 |
| 478,675 |
Royal Caribbean Cruises Ltd. |
| 215,000 |
| 6.875 |
| 12/1/2013 |
| 228,437 |
|
|
|
|
|
|
|
| 707,112 |
LODGING - 3.3 % |
|
|
|
|
|
|
|
|
Ameristar Casinos, Inc. |
| 345,000 |
| 7.500 |
| 4/15/2021 |
| 366,562 |
Ameristar Casinos, Inc. -144A |
| 245,000 |
| 7.500 |
| 4/15/2021 |
| 260,313 |
Boyd Gaming Corp. |
| 200,000 |
| 9.125 |
| 12/1/2018 |
| 211,000 |
Gaylord Entertainment Co. |
| 355,000 |
| 6.750 |
| 11/15/2014 |
| 358,994 |
MGM Resorts International |
| 360,000 |
| 6.625 |
| 7/15/2015 |
| 376,200 |
MGM Resorts International |
| 360,000 |
| 7.500 |
| 6/1/2016 |
| 376,200 |
MGM Resorts International -144A |
| 355,000 |
| 8.625 |
| 2/1/2019 |
| 387,394 |
MGM Resorts International |
| 250,000 |
| 10.375 |
| 5/15/2014 |
| 286,250 |
MGM Resorts International |
| 80,000 |
| 13.000 |
| 11/15/2013 |
| 93,200 |
Wynn Las Vegas LLC |
| 250,000 |
| 7.875 |
| 5/1/2020 |
| 276,875 |
|
|
|
|
|
|
|
| 2,992,988 |
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham High-Yield Bond Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
| Principal |
| Interest |
| Maturity |
| Market |
Security |
| Amount |
| Rate |
| Date |
| Value |
MACHINERY-DIVERSIFIED - 0.7 % |
|
|
|
|
|
|
|
|
Briggs & Stratton Corp. |
| $ 350,000 |
| 6.875 | % | 12/15/2020 |
| $ 371,875 |
Dematic SA -144A |
| 280,000 |
| 8.750 |
| 5/1/2016 |
| 295,750 |
|
|
|
|
|
|
|
| 667,625 |
MEDIA - 4.1 % |
|
|
|
|
|
|
|
|
Clear Channel Worldwide Holdings, Inc. |
| 450,000 |
| 9.250 |
| 12/15/2017 |
| 495,563 |
Cumulus Media Holdings, Inc. |
| 480,000 |
| 7.750 |
| 5/1/2019 |
| 456,600 |
DISH DBS Corp. |
| 210,000 |
| 7.750 |
| 5/31/2015 |
| 237,300 |
Entravision Communications Corp. |
| 430,000 |
| 8.750 |
| 8/1/2017 |
| 455,800 |
Nexstar Broadcasting, Inc. |
| 250,000 |
| 8.875 |
| 4/15/2017 |
| 268,125 |
Salem Communications Corp. |
| 377,000 |
| 9.625 |
| 12/15/2016 |
| 420,355 |
Sinclair Television Group, Inc. |
| 390,000 |
| 8.375 |
| 10/15/2018 |
| 428,025 |
Sirius XM Radio, Inc. -144A |
| 375,000 |
| 8.750 |
| 4/1/2015 |
| 427,500 |
XM Satellite Radio, Inc. -144A |
| 295,000 |
| 7.625 |
| 11/1/2018 |
| 323,025 |
XM Satellite Radio, Inc. -144A |
| 235,000 |
| 13.000 |
| 8/1/2013 |
| 267,019 |
|
|
|
|
|
|
|
| 3,779,312 |
METAL FABRICATE/HARDWARE - 0.4 % |
|
|
|
|
|
|
|
|
Atkore International, Inc. |
| 360,000 |
| 9.875 |
| 1/1/2018 |
| 369,000 |
|
|
|
|
|
|
|
|
|
MINING - 0.7 % |
|
|
|
|
|
|
|
|
FMG Resources Ltd. -144A |
| 455,000 |
| 6.000 |
| 4/1/2017 |
| 464,100 |
FMG Resources Ltd. -144A |
| 165,000 |
| 6.875 |
| 4/1/2022 |
| 167,888 |
|
|
|
|
|
|
|
| 631,988 |
MISCELLANEOUS MANUFACTURING - 1.2 % |
|
|
|
|
|
|
| |
Bombardier, Inc. -144A |
| 750,000 |
| 6.300 |
| 5/1/2014 |
| 791,250 |
Polypore International, Inc. |
| 270,000 |
| 7.500 |
| 11/15/2017 |
| 284,850 |
|
|
|
|
|
|
|
| 1,076,100 |
OFFICE FURNISHINGS - 0.4 % |
|
|
|
|
|
|
|
|
Interface, Inc. |
| 345,000 |
| 7.625 |
| 12/1/2018 |
| 374,325 |
|
|
|
|
|
|
|
|
|
OFFICE/BUSINESS EQUIPMENT - 0.6 % |
|
|
|
|
|
|
|
|
CDW LLC |
| 500,000 |
| 8.000 |
| 12/15/2018 |
| 547,500 |
|
|
|
|
|
|
|
|
|
OIL & GAS - 10.0 % |
|
|
|
|
|
|
|
|
Bill Barrett Corp. |
| 200,000 |
| 7.000 |
| 10/15/2022 |
| 193,500 |
Bill Barrett Corp. |
| 185,000 |
| 7.625 |
| 10/1/2019 |
| 187,775 |
Bill Barrett Corp. |
| 475,000 |
| 9.875 |
| 7/15/2016 |
| 529,625 |
Chaparral Energy, Inc. -144A |
| 370,000 |
| 7.625 |
| 11/15/2022 |
| 378,325 |
Chaparral Energy, Inc. |
| 530,000 |
| 8.875 |
| 2/1/2017 |
| 556,171 |
Chaparral Energy, Inc. |
| 205,000 |
| 9.875 |
| 10/1/2020 |
| 231,138 |
Chesapeake Energy Corp. |
| 735,000 |
| 6.125 |
| 2/15/2021 |
| 698,250 |
Chesapeake Energy Corp. |
| 400,000 |
| 6.625 |
| 8/15/2020 |
| 391,500 |
Cimarex Energy Co. |
| 450,000 |
| 5.875 |
| 5/1/2022 |
| 466,875 |
Comstock Resources, Inc. |
| 600,000 |
| 7.750 |
| 4/1/2019 |
| 561,000 |
Hercules Offshore, Inc. -144A |
| 930,000 |
| 7.125 |
| 4/1/2017 |
| 931,163 |
Hercules Offshore, Inc. -144A |
| 550,000 |
| 10.250 |
| 4/1/2019 |
| 548,625 |
Hercules Offshore, Inc. -144A |
| 315,000 |
| 10.500 |
| 10/15/2017 |
| 330,750 |
Linn Energy LLC -144A |
| 420,000 |
| 6.250 |
| 11/1/2019 |
| 414,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham High-Yield Bond Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
| Principal |
| Interest |
| Maturity |
| Market |
Security |
| Amount |
| Rate |
| Date |
| Value |
OIL & GAS (Continued)- 10.0 % |
|
|
|
|
|
|
|
|
Linn Energy LLC |
| $ 245,000 |
| 7.750 | % | 2/1/2021 |
| $ 256,638 |
Linn Energy LLC |
| 355,000 |
| 8.625 |
| 4/15/2020 |
| 389,613 |
Parker Drilling Co. |
| 250,000 |
| 9.125 |
| 4/1/2018 |
| 266,250 |
SandRidge Energy, Inc. |
| 295,000 |
| 9.875 |
| 5/15/2016 |
| 328,925 |
Swift Energy Co. |
| 350,000 |
| 7.125 |
| 6/1/2017 |
| 363,125 |
Swift Energy Co. -144A |
| 250,000 |
| 7.875 |
| 3/1/2022 |
| 256,875 |
W&T Offshore, Inc. |
| 505,000 |
| 8.500 |
| 6/15/2019 |
| 535,300 |
Western Refining, Inc. -144A |
| 315,000 |
| 11.250 |
| 6/15/2017 |
| 359,888 |
|
|
|
|
|
|
|
| 9,175,536 |
OIL & GAS SERVICES - 3.3 % |
|
|
|
|
|
|
|
|
Basic Energy Services, Inc. |
| 510,000 |
| 7.125 |
| 4/15/2016 |
| 520,200 |
Basic Energy Services, Inc. |
| 175,000 |
| 7.750 |
| 2/15/2019 |
| 178,938 |
Helix Energy Solutions Group, Inc. -144A |
| 370,000 |
| 9.500 |
| 1/15/2016 |
| 388,963 |
Key Energy Services, Inc. -144A |
| 500,000 |
| 6.750 |
| 3/1/2021 |
| 515,000 |
Pioneer Drilling Co. |
| 340,000 |
| 9.875 |
| 3/15/2018 |
| 360,400 |
Pioneer Drilling Co. -144A |
| 230,000 |
| 9.875 |
| 3/15/2018 |
| 243,800 |
Stallion Oilfield Holdings Ltd. |
| 335,000 |
| 10.500 |
| 2/15/2015 |
| 360,963 |
Trinidad Drilling Ltd. -144A |
| 425,000 |
| 7.875 |
| 1/15/2019 |
| 454,750 |
|
|
|
|
|
|
|
| 3,023,014 |
PACKAGING & CONTAINERS - 1.3 % |
|
|
|
|
|
|
|
|
Packaging Dynamics Corp. -144A |
| 350,000 |
| 8.750 |
| 2/1/2016 |
| 373,625 |
Sealed Air Corp. -144A |
| 560,000 |
| 6.875 |
| 7/15/2033 |
| 543,340 |
Sealed Air Corp. -144A |
| 245,000 |
| 8.125 |
| 9/15/2019 |
| 275,013 |
|
|
|
|
|
|
|
| 1,191,978 |
PHARMACEUTICALS - 1.8 % |
|
|
|
|
|
|
|
|
BioScrip, Inc. |
| 570,000 |
| 10.250 |
| 10/1/2015 |
| 619,875 |
Patheon, Inc. -144A |
| 715,000 |
| 8.625 |
| 4/15/2017 |
| 647,075 |
Warner Chilcott Co. LLC |
| 315,000 |
| 7.750 |
| 9/15/2018 |
| 345,713 |
|
|
|
|
|
|
|
| 1,612,663 |
PIPELINES - 0.6 % |
|
|
|
|
|
|
|
|
Holly Energy Partners LP - 144A |
| 500,000 |
| 6.500 |
| 3/1/2020 |
| 506,250 |
|
|
|
|
|
|
|
|
|
REITS - 1.7 % |
|
|
|
|
|
|
|
|
CNL Lifestyle Properties, Inc. |
| 305,000 |
| 7.250 |
| 4/15/2019 |
| 279,838 |
Felcor Lodging LP |
| 270,000 |
| 6.750 |
| 6/1/2019 |
| 274,050 |
Felcor Lodging LP |
| 576,000 |
| 10.000 |
| 10/1/2014 |
| 665,280 |
Sabra Health Care LP |
| 270,000 |
| 8.125 |
| 11/1/2018 |
| 288,563 |
|
|
|
|
|
|
|
| 1,507,731 |
RETAIL - 1.8 % |
|
|
|
|
|
|
|
|
HSN, Inc. |
| 665,000 |
| 11.250 |
| 8/1/2016 |
| 720,700 |
Sally Holdings LLC -144A |
| 250,000 |
| 6.875 |
| 11/15/2019 |
| 267,500 |
Toys R Us Property Co. II LLC |
| 260,000 |
| 8.500 |
| 12/1/2017 |
| 271,700 |
Wendy's Co. |
| 325,000 |
| 10.000 |
| 7/15/2016 |
| 354,250 |
|
|
|
|
|
|
|
| 1,614,150 |
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham High-Yield Bond Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
| Principal |
| Interest |
| Maturity |
| Market |
Security |
| Amount |
| Rate |
| Date |
| Value |
SAVINGS & LOANS - 0.6 % |
|
|
|
|
|
|
|
|
Amsouth Bank |
| $ 540,000 |
| 4.850 | % | 4/1/2013 |
| $ 549,450 |
|
|
|
|
|
|
|
|
|
SEMICONDUCTORS - 0.9 % |
|
|
|
|
|
|
|
|
Freescale Semiconductor, Inc. -144A |
| 430,000 |
| 9.250 |
| 4/15/2018 |
| 473,538 |
MagnaChip Semiconductor SA |
| 300,000 |
| 10.500 |
| 4/15/2018 |
| 338,250 |
|
|
|
|
|
|
|
| 811,788 |
SOFTWARE - 0.6 % |
|
|
|
|
|
|
|
|
MedAssets, Inc. |
| 555,000 |
| 8.000 |
| 11/15/2018 |
| 582,750 |
|
|
|
|
|
|
|
|
|
TELECOMMUNICATIONS - 14.7 % |
|
|
|
|
|
|
|
|
Alcatel-Lucent USA, Inc. |
| 665,000 |
| 6.450 |
| 3/15/2029 |
| 490,438 |
Alcatel-Lucent USA, Inc. |
| 370,000 |
| 6.500 |
| 1/15/2028 |
| 271,025 |
Cincinnati Bell, Inc. |
| 550,000 |
| 8.250 |
| 10/15/2017 |
| 572,000 |
Cincinnati Bell, Inc. |
| 220,000 |
| 8.375 |
| 10/15/2020 |
| 218,350 |
Cincinnati Bell, Inc. |
| 1,320,000 |
| 8.750 |
| 3/15/2018 |
| 1,244,100 |
Cricket Communications, Inc. |
| 165,000 |
| 7.750 |
| 5/15/2016 |
| 174,488 |
Cricket Communications, Inc. |
| 355,000 |
| 7.750 |
| 10/15/2020 |
| 334,144 |
Frontier Communications Corp. |
| 500,000 |
| 6.250 |
| 1/15/2013 |
| 512,500 |
Frontier Communications Corp. |
| 615,000 |
| 8.250 |
| 4/15/2017 |
| 661,125 |
Frontier Communications Corp. |
| 260,000 |
| 8.500 |
| 4/15/2020 |
| 271,700 |
GCI, Inc. |
| 500,000 |
| 8.625 |
| 11/15/2019 |
| 552,500 |
Integra Telecom Holdings, Inc. -144A |
| 345,000 |
| 10.750 |
| 4/15/2016 |
| 327,750 |
ITC Deltacom, Inc. |
| 845,000 |
| 10.500 |
| 4/1/2016 |
| 908,375 |
Level 3 Financing, Inc. |
| 1,330,000 |
| 4.506 |
| 2/15/2015 |
| 1,291,763 |
Level 3 Financing, Inc. |
| 850,000 |
| 10.000 |
| 2/1/2018 |
| 935,000 |
Nextel Communications, Inc. |
| 275,000 |
| 5.950 |
| 3/15/2014 |
| 275,000 |
Nextel Communications, Inc. |
| 245,000 |
| 6.875 |
| 10/31/2013 |
| 246,225 |
NII Capital Corp. |
| 205,000 |
| 7.625 |
| 4/1/2021 |
| 191,675 |
NII Capital Corp. |
| 730,000 |
| 8.875 |
| 12/15/2019 |
| 739,125 |
PAETEC Holding Corp. |
| 280,000 |
| 8.875 |
| 6/30/2017 |
| 307,300 |
Sprint Nextel Corp. |
| 940,000 |
| 6.000 |
| 12/1/2016 |
| 857,750 |
Sprint Nextel Corp. -144A |
| 400,000 |
| 7.000 |
| 3/1/2020 |
| 409,000 |
Sprint Nextel Corp. -144A |
| 410,000 |
| 9.000 |
| 11/15/2018 |
| 452,538 |
TW Telecom Holdings, Inc. |
| 345,000 |
| 8.000 |
| 3/1/2018 |
| 379,500 |
ViaSat, Inc. -144A |
| 500,000 |
| 6.875 |
| 6/15/2020 |
| 508,750 |
Windstream Corp. |
| 250,000 |
| 7.500 |
| 6/1/2022 |
| 263,125 |
|
|
|
|
|
|
|
| 13,395,246 |
TRANSPORTATION - 1.2 % |
|
|
|
|
|
|
|
|
Commercial Barge Line Co. |
| 430,000 |
| 12.500 |
| 7/15/2017 |
| 485,363 |
Florida East Coast Railway Corp. |
| 565,000 |
| 8.125 |
| 2/1/2017 |
| 583,363 |
|
|
|
|
|
|
|
| 1,068,726 |
|
|
|
|
|
|
|
|
|
TOTAL BONDS & NOTES ( Cost - $77,470,867) |
|
|
|
|
|
| 81,064,402 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham High-Yield Bond Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
|
|
| Dividend |
|
|
| Market |
Security |
| Shares |
| Rate |
|
|
| Value |
PREFERRED STOCK - 3.9 % |
|
|
|
|
|
|
|
|
BANKS - 3.9 % |
|
|
|
|
|
|
|
|
Bank of America Corp. |
| 1,425 |
| 7.250 | % |
|
| $ 1,387,950 |
Wells Fargo & Co. |
| 740 |
| 7.500 |
|
|
| 828,822 |
Zions Bancorporation |
| 50,275 |
| 9.500 |
|
|
| 1,318,211 |
TOTAL PREFERRED STOCK ( Cost - $2,999,514) |
|
|
|
|
|
|
| 3,534,983 |
|
| Principal |
| Interest |
|
|
|
|
|
| Amount |
| Rate |
|
|
|
|
SHORT-TERM INVESTMENTS - 5.7 % |
|
|
|
|
|
|
|
|
MONEY MARKET FUND - 5.7 % |
|
|
|
|
|
|
|
|
First American Government Obligations Fund | $ 5,175,160 |
| 0.00 | %+ |
|
| 5,175,160 | |
TOTAL SHORT-TERM INVESTMENTS (Cost - $5,175,160) |
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 98.3 % (Cost - $85,645,541) |
|
|
|
|
|
| $ 89,774,545 | |
OTHER ASSETS LESS LIABILITIES - 1.7 % |
|
|
|
|
|
| 1,587,731 | |
NET ASSETS - 100.0 % |
|
|
|
|
|
|
| $ 91,362,276 |
|
|
|
|
|
|
|
|
|
+ Variable rate security. Interest rate is as of April 30, 2012. |
|
|
|
|
|
|
| |
144A- Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. | ||||||||
REIT - Real Estate Investment Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio Composition * - Unaudited | ||||||||
B3 | 25.63% |
|
| Caa1 |
|
|
| 4.09% |
B2 | 18.63% |
|
| Baa3 |
|
|
| 2.23% |
B1 | 18.34% |
|
| Ba1 |
|
|
| 2.00% |
Ba3 | 10.36% |
|
| Baa2 |
|
|
| 0.40% |
NR | 7.11% |
|
| Caa2 |
|
|
| 0.40% |
Ba2 | 5.05% |
|
| Short-Term Investments |
| 5.76% | ||
|
|
|
| Total |
|
|
| 100.00% |
* Based on total market value of investments as of April 30, 2012. |
|
|
|
|
|
|
| |
Percentage may differ from Schedule of Investments which is based on Fund net assets. |
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
Dunham Loss Averse Growth Fund
Message from the Sub-Adviser (PVG Asset Management Corp.)
Long/Short investment strategies, as measured by the IQ Hedge Long/Short Equity Beta Index, gained 3.4 percent over six months ending April 30, 2012. The index outperformed the HFRX Equity Market Neutral Index which attempts to track market neutral hedge-fund managers; it posted a decline of 3.1 percent. For much of the first fiscal quarter, investors remained cautious as concerns over the state of the U.S. and global economies lingered as well as the ongoing sovereign debt crisis in Europe. In January broad equity markets posted solid gains as investors responded favorably to improving domestic economic data. The positive sentiment carried over into the second fiscal quarter with February also seeing broad equity markets advance. However, by April lackluster domestic economic reports and concerns over the euro-zone debt crisis resurfaced.
The Sub-Adviser continues to seek and maintain companies that generate income within the Fund, focusing on companies that pay what it believes are attractive dividends. In addition to income generation, the Sub-Adviser is also opportunistic with regards to companies with attractive valuation levels or the potential for significant capital appreciation. The Fund also maintains a significant position in an inverse equity ETF as a hedging mechanism against declining markets.
During the first fiscal quarter the Sub-Adviser believed that the fears concerning the sovereign debt crisis in Europe and the possibility of the U.S. economy slipping back into a recession were overdone and began to have a more bullish market outlook. As the economy continued to mend, the Sub-Adviser felt that cyclical names, particularly in the retail space, may add value to the Fund, and thereby increased exposure in this area. Kohl’s Corporation (KSS), a retail department store chain, and Target Corporation (TGT), a general merchandise store chain, were new positions added to the Fund. The Fund also increased its exposure to financial services stocks due to valuation as the sector recently had a significant pullback and the Sub-Adviser felt the stocks may add value as economic fundamentals continued to improve. More specifically, within the financial services sector, the Sub-Adviser was bullish on business development companies, which aided in the Fund’s relative outperformance, due to those companies generally exhibiting less leverage than traditional banks. Companies such as Blackrock Kelso Capital Corp. (BKCC) and MCG Capital Corp. (MCGC) were added during the first fiscal quarter and performed strongly in the three month period, up 9.3 percent and 5.1 percent, respectively.
The Sub-Adviser believed that after a strong first fiscal quarter which generally saw equity markets improve, the second fiscal quarter could experience a slow down with corporate earnings flattening heading into the summer. The Sub-Adviser took a cautious stance with regards to the slowing Chinese economy and concerns over the euro-zone sovereign debt crisis resurfacing and therefore moved to a more defensive positioning. In addition to maintaining a heavy allocation to the REIT sector, the Fund increased exposure to the consumer staples sector, with the purchase of Safeway, Inc. (SWY) and Supervalu, Inc. (SVU), both large grocery store chains. Adding to the defensive theme, the Fund added positions in the healthcare sector with purchases of Johnson & Johnson (JNJ), a large drug manufacturer, and St. Jude Medical, Inc. (STJ), a medical appliance and equipment manufacturer. The Sub-Adviser exited out of Target Corp. (TGT) and Kohls Corporation (KSS), both large retailers, as it believes their price targets were met. Both companies added value to the Fund’s absolute performance with Target Corp. advancing 12.2 percent, and Kohls Corporation gaining 7.1 percent during the second fiscal quarter.
Growth of $10,000 Investment - (Unaudited)
Total Returns as of April 30, 2012
| Six Months |
| One Year | Annualized Three Years | Annualized Five Years | Since Inception (4/30/2010) |
Class N | 3.25% |
| 2.64% | N/A | N/A | 2.63% |
Class C Class A with load of 5.75% Class A without load | 2.86% (2.70)% 3.20% |
| 1.63% (3.61)% 2.28% | N/A N/A N/A | N/A N/A N/A | 1.67% (0.64)% 2.35% |
IQ Hedge Long/Short Equity Beta Index | 3.44% |
| (4.21)% | N/A | N/A | 4.80% |
The IQ Hedge Long/Short Equity Beta Index attempts to replicate the risk-adjusted return characteristics of the collective hedge funds using a long/short equity investment style.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 2.10% for Class N, 3.10% for Class C and 2.35% for Class A. 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.
SCHEDULE OF INVESTMENTS | ||||||||||
Dunham Loss Averse Growth Fund (Unaudited) | ||||||||||
April 30, 2012 | ||||||||||
|
|
|
| Market |
|
|
|
|
| Market |
Security |
| Shares |
| Value |
| Security |
| Shares |
| Value |
COMMON STOCK - 65.7 % |
|
|
|
|
|
|
|
|
| |
AUTO MANUFACTURERS - 1.6 % |
|
|
|
| OIL & GAS - 5.3 % (continued) |
|
|
| ||
Ford Motor Co. |
| 20,000 |
| $ 225,600 |
| QR Energy LP |
| 13,500 |
| $ 253,125 |
|
|
|
|
|
|
|
|
|
| 734,395 |
BANKS - 1.2 % |
|
|
|
|
| PHARMACEUTICALS - 3.9 % |
|
|
| |
JPMorgan Chase & Co. | 4,000 |
| 171,920 |
| Ampio Pharmaceuticals, Inc. * | 12,500 |
| 38,625 | ||
|
|
|
|
|
| Johnson & Johnson |
| 4,000 |
| 260,360 |
BEVERAGES - 1.5 % |
|
|
|
|
| Ventrus Biosciences, Inc. * | 27,000 |
| 245,970 | |
Dr Pepper Snapple Group, Inc. | 5,000 |
| 202,900 |
|
|
|
|
| 544,955 | |
|
|
|
|
|
| PIPELINES - 1.3 % |
|
|
|
|
BIOTECHNOLOGY - 0.3 % |
|
|
|
| Copano Energy LLC |
| 5,000 |
| 178,700 | |
Coronado Biosciences, Inc. * | 7,000 |
| 46,410 |
|
|
|
|
|
| |
|
|
|
|
|
| REITS - 18.0 % |
|
|
|
|
COMPUTERS - 2.1 % |
|
|
|
|
| AG Mortgage Investment Trust, Inc. | 8,000 |
| 158,400 | |
Hewlett-Packard Co. |
| 12,000 |
| 297,120 |
| ARMOUR Residential REIT, Inc. | 96,000 |
| 670,080 | |
|
|
|
|
|
| Chimera Investment Corp. | 150,000 |
| 433,500 | |
COSMETICS/PERSONAL CARE - 1.1 % |
|
|
|
| Gladstone Commercial Corp. | 15,477 |
| 262,954 | ||
Avon Products, Inc. |
| 7,000 |
| 151,200 |
| Invesco Mortgage Capital, Inc. | 7,000 |
| 123,480 | |
|
|
|
|
|
| NorthStar Realty Finance Corp. | 50,000 |
| 285,000 | |
ELECTRIC - 1.3 % |
|
|
|
|
| PennyMac Mortgage Investment Trust | 6,500 |
| 131,885 | |
TECO Energy, Inc. |
| 10,000 |
| 180,200 |
| Two Harbors Investment Corp. | 14,000 |
| 146,440 | |
|
|
|
|
|
| Whitestone REIT - Cl. B |
| 22,100 |
| 305,422 |
ENVIRONMENTAL CONTROL - 0.7 % |
|
|
|
|
|
|
|
| 2,517,161 | |
Waste Management, Inc. | 3,000 |
| 102,600 |
| RETAIL - 3.9 % |
|
|
|
| |
|
|
|
|
|
| Inergy LP |
| 5,000 |
| 97,450 |
FOOD - 5.8 % |
|
|
|
|
| RadioShack Corp. |
| 40,000 |
| 207,200 |
General Mills, Inc. |
| 10,000 |
| 388,900 |
| Wal-Mart Stores, Inc. |
| 4,000 |
| 235,640 |
Safeway, Inc. |
| 15,000 |
| 304,950 |
|
|
|
|
| 540,290 |
SUPERVALU, Inc. |
| 20,000 |
| 118,800 |
| SEMICONDUCTORS - 2.6 % |
|
|
| |
|
|
|
| 812,650 |
| Applied Materials, Inc. |
| 19,000 |
| 227,810 |
HEALTHCARE-PRODUCTS - 1.4 % |
|
|
|
| Intersil Corp. - Cl. A |
| 13,000 |
| 133,510 | |
St Jude Medical, Inc. |
| 5,000 |
| 193,600 |
|
|
|
|
| 361,320 |
|
|
|
|
|
| TELECOMMUNICATIONS - 3.0 % |
|
|
| |
INVESTMENT COMPANIES - 7.8 % |
|
|
|
| Cellcom Israel, Ltd. |
| 10,000 |
| 124,900 | |
Apollo Investment Corp. |
| 20,000 |
| 145,000 |
| Telecom Argentina SA - ADR * | 6,000 |
| 87,780 | |
BlackRock Kelso Capital Corp. | 18,601 |
| 179,500 |
| Telefonica SA - ADR |
| 14,000 |
| 204,820 | |
Fifth Street Finance Corp. | 15,000 |
| 147,300 |
|
|
|
|
| 417,500 | |
Full Circle Capital Corp. |
| 20,050 |
| 151,177 |
| TOYS/GAMES/HOBBIES - 0.5 % |
|
|
| |
Kohlberg Capital Corp. |
| 12,000 |
| 74,040 |
| Hasbro, Inc. |
| 2,000 |
| 73,480 |
MCG Capital Corp. |
| 40,000 |
| 167,600 |
|
|
|
|
|
|
Prospect Capital Corp. |
| 10,000 |
| 109,200 |
| TOTAL COMMON STOCK (Cost - $9,049,455) |
|
| 9,177,051 | |
TICC Capital Corp. |
| 12,500 |
| 115,125 |
|
|
|
|
|
|
|
|
|
| 1,088,942 |
| EXCHANGE TRADED FUNDS - 17.6 % |
|
|
| |
MEDIA - 1.3 % |
|
|
|
|
| EQUITY FUND - 17.6 % |
|
|
| |
Time Warner, Inc. |
| 5,000 |
| 187,300 |
| ProShares UltraShort S&P500 * | 162,000 |
| 2,462,400 | |
|
|
|
|
|
| TOTAL EXCHANGE TRADED FUNDS (Cost - $2,487,175) |
|
| ||
MISCELLANEOUS MANUFACTURING - 1.1 % |
|
|
|
|
|
|
|
|
| |
General Electric Co. |
| 7,600 |
| 148,808 |
| TOTAL INVESTMENTS - 83.3 % (Cost - $11,536,630) |
| $ 11,639,451 | ||
|
|
|
|
|
| OTHER ASSETS LESS LIABILITIES - 16.7 % |
|
| 2,341,665 | |
OIL & GAS - 5.3 % |
|
|
|
|
| NET ASSETS - 100.0% |
|
|
| $ 13,981,116 |
BreitBurn Energy Partners LP | 10,000 |
| 190,300 |
| * Non-income producing security. |
|
|
| ||
Exxon Mobil Corp. |
| 1,500 |
| 129,510 |
| ADR - American Depositary Receipt. |
|
|
| |
Pengrowth Energy Corp. | 18,000 |
| 161,460 |
| REIT - Real Estate Investment Trust. |
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
Portfolio Composition * - Unaudited | ||||||||||
Financial |
| 41.17% |
|
|
| Technology |
| 7.17% |
|
|
Consumer, Non-cyclical |
| 21.27% |
|
|
| Communications |
| 6.59% |
|
|
Energy |
| 9.95% |
|
|
| Industrial |
| 2.74% |
|
|
Consumer, Cyclical |
| 9.15% |
|
|
| Utilities |
| 1.96% |
|
|
|
|
|
|
|
| Total |
| 100.00% |
|
|
* Based on total market value of investments as of April 30, 2012. |
|
|
|
|
|
|
|
| ||
Percentage may differ from Schedule of Investments which is based on Fund net assets. |
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
Dunham Appreciation & Income Fund
Message from the Sub-Adviser (Calamos Advisors, LLC)
Convertible securities, as measured by the Merrill Lynch Convertibles ex Mandatory Index, rose 11.7 percent in the six- month period ended April 30, 201 2 .. Total convertible market assets and new issues remained at multi-year lows as record low interest rates have made it relatively unattractive for most firms to issue convertible bonds. The Sub-Adviser noted that new issuance of convertibles has improved somewhat but most have been below investment-grade quality, which Fund tends to avoid due to the Sub-Adviser ’s process .. Approximately 40 percent of the entire convertible market is comprised of unrated and CCC or lower convertible bonds that the Fund will not purchase. The Fund ended April with approximately 48 percent convertible bonds, 48 percent stocks and 4 percent cash. The Sub-Adviser plans to maintain that composition for the foreseeable future due to fewer opportunities in the shrinking convertible market.
Speculative grade convertibles outperformed investment grade convertibles by only a small margin in the six months ended April 30, 2012 despite strong equity performance and better - than - expected domestic economic data for much of the period. The Sub-Adviser expects that spread to remain tight unless there is more quantitative easing from the Federal Reserve or fiscal stimulus from the government.
The Sub-Adviser add ed to the energy sector during the time period studied , moving from a n equal weight position at the beginning of the period to a more than 4 percent overweight relative to the benchmark. The overweight had little effect on the Fund as energy stocks outperformed by a wide margin in the first fiscal quarter then gave back nearly all of the gains in the second quarter. The Sub-Adviser intends to continue overweighting the sector in the belief that energy prices will remain high as many central banks around the world continue to ease monetary policy in an attempt to bolster their sluggish economies.
Exposure to the information technology sector was an overall positive for the Fund in the six-months ended April 30, 2012, though it had detracted somewhat in the first three months of that time period .. The Fund maintained a strong overweight to the sector, devoting nearly 40 percent of the Fund to such securities. The S ub- A dviser believes these firms to have better efficiency and more room for productivity gains than other sectors. Teradata Corporation (TDC), a diversified computer systems firm, gained 17 percent in the time period studied.
The financial s ervices sector was a large contributor to performance, despite the fact that it was significantly underweighted. Security selection was crucial, as only 6 percent of the Fund was devoted to this sector, while the benchmark holds nearly 19 percent of its assets in financial s .. Mastercard Incorporated (MA), a transaction processing company, returned more than 30 percent in the six-month period ended April 30, 2012. Still, the Sub-Adviser notes that the Fund will remain strongly underweight in this space due to a lack of long-term clarity in the sector.
Going forward, the Sub-Adviser expects a mild recovery and modest economic growth in the U.S. It believes the U.S. economy may have good quarters, followed by weak ones and real U.S. gross domestic product growth around the 2 percent range until the debt reduction cycle plays out further around the world. While the U.S. consumer has reduced debt, consumer spending has exceeded income growth since mid-2011 and the rebuilding of net worth appears incomplete, according to the Sub-Adviser.
Growth of $10,000 Investment – (Unaudited)
Total Returns as of April 30, 2012
|
| Six Months | One Year | Annualized Three Years | Annualized Five Years | Annualized Since Inception (12/10/04) |
Class N |
| 2.41% | (4.29)% | 15.24% | 3.85% | 5.22% |
Class C Class A with load of 5.75% Class A without load |
| 1.88% (3.58)% 2.31% | (5.21)% (9.93)% (4.40)% | 14.13% 12.73% 14.99% | 2.83% 2.37% 3.60% | 4.19% 3.07%* 4.21%* |
ML Conv. ex Mandatory Index |
| 7.08% | (2.19)% | 17.08% | 3.74% | 5.02% |
*Class A commenced operations on January 3, 2007.
The Merrill Lynch Convertibles ex Mandatory Index measures the performance of convertible securities of all corporate sectors with a par amount of $25 million or more and a maturity of at least one year and excludes preferred equity redemption stocks and converted securities. Investors cannot invest directly in an index or benchmark.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.92% for Class N, 2.92% for Class C and 2.17% for Class A. 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.
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Appreciation & Income Fund (Unaudited) | ||||||||
April 30, 2012 | ||||||||
|
|
|
|
|
|
|
| Market |
Security |
|
|
|
|
| Shares |
| Value |
COMMON STOCK - 45.0 % |
|
|
|
|
|
|
|
|
BEVERAGES - 1.8 % |
|
|
|
|
|
|
|
|
Coca-Cola Co. |
|
|
|
|
| 7,650 |
| $ 583,848 |
|
|
|
|
|
|
|
|
|
BIOTECHNOLOGY - 0.8 % |
|
|
|
|
|
|
|
|
Biogen Idec Inc. |
|
|
|
|
| 1,950 |
| 261,320 |
|
|
|
|
|
|
|
|
|
CHEMICALS - 0.5 % |
|
|
|
|
|
|
|
|
Mosaic Co. |
|
|
|
|
| 3,000 |
| 158,460 |
|
|
|
|
|
|
|
|
|
COMMERCIAL SERVICES - 1.1 % |
|
|
|
|
|
|
|
|
Mastercard, Inc. - Cl. A |
|
|
|
|
| 775 |
| 350,509 |
|
|
|
|
|
|
|
|
|
COMPUTERS - 5.1 % |
|
|
|
|
|
|
|
|
Accenture PLC - Cl. A |
|
|
|
|
| 10,250 |
| 665,737 |
Dell, Inc. |
|
|
|
|
| 20,000 |
| 327,400 |
Teradata Corp. |
|
|
|
|
| 9,050 |
| 631,509 |
|
|
|
|
|
|
|
| 1,624,646 |
DIVERSIFIED FINANCIAL SERVICES - 3.0 % |
|
|
|
|
|
|
|
|
Franklin Resources, Inc. |
|
|
|
|
| 3,000 |
| 376,530 |
T Rowe Price Group, Inc. |
|
|
|
|
| 9,000 |
| 568,035 |
|
|
|
|
|
|
|
| 944,565 |
ENGINEERING & CONSTRUCTION - 1.0 % |
|
|
|
|
|
|
|
|
ABB Ltd. |
|
|
|
|
| 17,500 |
| 330,225 |
|
|
|
|
|
|
|
|
|
INTERNET - 5.6 % |
|
|
|
|
|
|
|
|
Amazon.com, Inc. |
|
|
|
|
| 2,450 |
| 568,155 |
eBay, Inc. |
|
|
|
|
| 20,875 |
| 856,919 |
Yahoo!, Inc. |
|
|
|
|
| 23,500 |
| 365,190 |
|
|
|
|
|
|
|
| 1,790,264 |
IRON/STEEL - 0.7 % |
|
|
|
|
|
|
|
|
Cliffs Natural Resources, Inc. |
|
|
|
|
| 3,500 |
| 217,910 |
|
|
|
|
|
|
|
|
|
MINING - 2.4 % |
|
|
|
|
|
|
|
|
Barrick Gold Corp. |
|
|
|
|
| 11,850 |
| 479,096 |
Yamana Gold, Inc. |
|
|
|
|
| 18,500 |
| 271,950 |
|
|
|
|
|
|
|
| 751,046 |
MISCELLANEOUS MANUFACTURING - 3.5 % |
|
|
|
|
|
|
|
|
Dover Corp. |
|
|
|
|
| 8,500 |
| 532,610 |
Eaton Corp. |
|
|
|
|
| 12,000 |
| 578,160 |
|
|
|
|
|
|
|
| 1,110,770 |
OIL & GAS - 2.5 % |
|
|
|
|
|
|
|
|
Helmerich & Payne, Inc. |
|
|
|
|
| 8,700 |
| 447,093 |
Occidental Petroleum Corp. |
|
|
|
|
| 3,915 |
| 357,126 |
|
|
|
|
|
|
|
| 804,219 |
OIL & GAS SERVICES - 2.2 % |
|
|
|
|
|
|
|
|
National Oilwell Varco, Inc. |
|
|
|
|
| 2,950 |
| 223,492 |
Schlumberger Ltd. |
|
|
|
|
| 6,650 |
| 493,031 |
|
|
|
|
|
|
|
| 716,523 |
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Appreciation & Income Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
|
|
|
|
|
|
| Market |
Security |
|
|
|
|
| Shares |
| Value |
PHARMACEUTICALS - 4.1 % |
|
|
|
|
|
|
|
|
Johnson & Johnson |
|
|
|
|
| 8,100 |
| $ 527,229 |
Mead Johnson Nutrition Co. - Cl. A |
|
|
|
|
| 4,900 |
| 419,244 |
Novo Nordisk A/S |
|
|
|
|
| 2,550 |
| 374,901 |
|
|
|
|
|
|
|
| 1,321,374 |
SEMICONDUCTORS - 2.8 % |
|
|
|
|
|
|
|
|
QUALCOMM, Inc. |
|
|
|
|
| 13,750 |
| 877,800 |
|
|
|
|
|
|
|
|
|
SOFTWARE - 6.6 % |
|
|
|
|
|
|
|
|
Check Point Software Technologies Ltd. |
|
|
|
|
| 1,178 |
| 68,477 |
Microsoft Corp. |
|
|
|
|
| 25,000 |
| 800,500 |
Oracle Corp. |
|
|
|
|
| 30,000 |
| 881,700 |
SAP AG |
|
|
|
|
| 5,600 |
| 371,224 |
|
|
|
|
|
|
|
| 2,121,901 |
TELECOMMUNICATIONS - 1.3 % |
|
|
|
|
|
|
|
|
Cisco Systems, Inc. |
|
|
|
|
| 19,750 |
| 397,963 |
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCK (Cost - $11,864,191) |
|
|
|
|
|
| 14,363,343 | |
|
|
|
|
|
|
|
|
|
|
| Principal |
| Interest |
| Maturity |
|
|
CONVERTIBLE BONDS - 40.9 % | Amount |
| Rate |
| Date |
|
| |
ADVERTISING - 1.2 % |
|
|
|
|
|
|
|
|
Omnicom Group, Inc. |
| $342,000 |
| 0.000% |
| 7/1/2038 |
| 377,483 |
|
|
|
|
|
|
|
|
|
BIOTECHNOLOGY - 2.7 % |
|
|
|
|
|
|
|
|
Gilead Sciences, Inc. |
| 650,000 |
| 1.625 |
| 5/1/2016 |
| 862,875 |
|
|
|
|
|
|
|
|
|
COMPUTERS - 3.7 % |
|
|
|
|
|
|
|
|
EMC Corp. |
| 540,000 |
| 1.750 |
| 12/1/2013 |
| 962,550 |
SanDisk Corp. |
| 215,000 |
| 1.500 |
| 8/15/2017 |
| 223,869 |
|
|
|
|
|
|
|
| 1,186,419 |
ENTERTAINMENT - 1.8 % |
|
|
|
|
|
|
|
|
International Game Technology | 525,000 |
| 3.250 |
| 5/1/2014 |
| 580,781 | |
|
|
|
|
|
|
|
|
|
HEALTHCARE-PRODUCTS - 3.8 % |
|
|
|
|
|
|
| |
Hologic, Inc. |
| 550,000 |
| 2.000 |
| 12/15/2037 |
| 595,375 |
Medtronic, Inc. |
| 625,000 |
| 1.625 |
| 4/15/2013 |
| 632,031 |
|
|
|
|
|
|
|
| 1,227,406 |
HOLDING COMPANIES - 0.8 % |
|
|
|
|
|
|
| |
Leucadia National Corp. |
| 210,000 |
| 3.750 |
| 4/15/2014 |
| 255,150 |
|
|
|
|
|
|
|
|
|
INTERNET - 4.1 % |
|
|
|
|
|
|
|
|
Priceline.com, Inc. -144A |
| 330,000 |
| 1.000 |
| 3/15/2018 |
| 365,211 |
Symantec Corp. |
| 570,000 |
| 1.000 |
| 6/15/2013 |
| 609,188 |
TIBCO Software, Inc. -144A |
| 315,000 |
| 2.250 |
| 5/1/2032 |
| 321,300 |
|
|
|
|
|
|
|
| 1,295,699 |
MACHINERY-DIVERSIFIED - 1.2 % |
|
|
|
|
|
|
| |
AGCO Corp. |
| 300,000 |
| 1.250 |
| 12/15/2036 |
| 381,375 |
|
|
|
|
|
|
|
|
|
MEDIA - 0.5 % |
|
|
|
|
|
|
|
|
Liberty Interactive LLC |
| 190,000 |
| 3.250 |
| 3/15/2031 |
| 166,506 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Appreciation & Income Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
| Principal |
| Interest |
| Maturity |
| Market |
Security |
| Amount |
| Rate |
| Date |
| Value |
MINING - 4.5 % |
|
|
|
|
|
|
|
|
Goldcorp, Inc. |
| $475,000 |
| 2.000% |
| 8/1/2014 |
| $ 548,031 |
Newmont Mining Corp. |
| 525,000 |
| 1.250 |
| 7/15/2014 |
| 645,094 |
Newmont Mining Corp. |
| 200,000 |
| 1.625 |
| 7/15/2017 |
| 255,250 |
|
|
|
|
|
|
|
| 1,448,375 |
OIL & GAS - 1.6 % |
|
|
|
|
|
|
|
|
Chesapeake Energy Corp. |
| 550,000 |
| 2.750 |
| 11/15/2035 |
| 512,875 |
|
|
|
|
|
|
|
|
|
OIL & GAS SERVICES - 2.2 % |
|
|
|
|
|
|
| |
Helix Energy Solutions Group, Inc. | 320,000 |
| 3.250 |
| 3/15/2032 |
| 366,221 | |
Hornbeck Offshore Services, Inc. | 320,000 |
| 1.625 |
| 11/15/2026 |
| 344,000 | |
|
|
|
|
|
|
|
| 710,221 |
PHARMACEUTICALS - 2.0 % |
|
|
|
|
|
|
| |
Salix Pharmaceuticals Ltd. -144A | 325,000 |
| 1.500 |
| 3/15/2019 |
| 331,906 | |
Teva Pharmaceutical Finance Co. LLC | 275,000 |
| 0.250 |
| 2/1/2026 |
| 299,750 | |
|
|
|
|
|
|
|
| 631,656 |
SEMICONDUCTORS - 5.4 % |
|
|
|
|
|
|
| |
Intel Corp. |
| 410,000 |
| 3.250 |
| 8/1/2039 |
| 575,538 |
Lam Research Corp. -144A |
| 385,000 |
| 0.500 |
| 5/15/2016 |
| 383,556 |
Lam Research Corp. -144A |
| 190,000 |
| 1.250 |
| 5/15/2018 |
| 190,950 |
Linear Technology Corp. |
| 285,000 |
| 3.000 |
| 5/1/2027 |
| 300,686 |
Rovi Corp. |
| 265,000 |
| 2.625 |
| 2/15/2040 |
| 271,625 |
|
|
|
|
|
|
|
| 1,722,355 |
SOFTWARE - 5.4 % |
|
|
|
|
|
|
|
|
Electronic Arts, Inc. -144A |
| 350,000 |
| 0.750 |
| 7/15/2016 |
| 323,750 |
Microsoft Corp. -144A |
| 290,000 |
| 0.000 |
| 6/15/2013 |
| 317,550 |
Nuance Communications, Inc. -144A | 430,000 |
| 2.750 |
| 11/1/2031 |
| 483,750 | |
Take-Two Interactive Software, Inc. -144A | 230,000 |
| 1.750 |
| 12/1/2016 |
| 232,770 | |
VeriFone Systems, Inc. |
| 325,000 |
| 1.375 |
| 6/15/2012 |
| 359,531 |
|
|
|
|
|
|
|
| 1,717,351 |
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE BONDS (Cost - $12,964,504) |
|
|
|
|
|
| 13,076,527 | |
|
|
|
|
|
|
|
|
|
CORPORATE BONDS - 5.6 % |
|
|
|
|
|
|
| |
INTERNET - 1.1 % |
|
|
|
|
|
|
|
|
Expedia, Inc. |
| 320,000 |
| 5.950 |
| 8/15/2020 |
| 336,134 |
|
|
|
|
|
|
|
|
|
OIL & GAS - 0.6 % |
|
|
|
|
|
|
|
|
Noble Energy, Inc. |
| 203,000 |
| 4.150 |
| 12/15/2021 |
| 212,117 |
|
|
|
|
|
|
|
|
|
OIL & GAS SERVICES - 0.9 % |
|
|
|
|
|
|
| |
Oil States International, Inc. |
| 275,000 |
| 6.500 |
| 6/1/2019 |
| 289,781 |
|
|
|
|
|
|
|
|
|
RETAIL - 3.0 % |
|
|
|
|
|
|
|
|
Gap, Inc. |
| 325,000 |
| 5.950 |
| 4/12/2021 |
| 334,009 |
JC Penney Corp. |
| 310,000 |
| 5.750 |
| 2/15/2018 |
| 316,200 |
Ltd Brands, Inc. |
| 300,000 |
| 5.625 |
| 2/15/2022 |
| 300,750 |
|
|
|
|
|
|
|
| 950,959 |
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS (Cost - $1,782,644) |
|
|
|
|
|
| 1,788,991 | |
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||
Dunham Appreciation & Income Fund (Unaudited) (Continued) | ||||||||
April 30, 2012 | ||||||||
|
|
|
|
|
| Dividend |
| Market |
Security |
|
|
| Shares |
| Rate |
| Value |
PREFERRED STOCK - 4.4 % |
|
|
|
|
|
|
| |
BANKS - 1.2 % |
|
|
|
|
|
|
|
|
Wells Fargo & Co. |
|
|
| 325 |
| 7.500% |
| $ 364,010 |
|
|
|
|
|
|
|
|
|
DIVERSIFIED FINANCIAL SERVICES - 0.7 % |
|
|
|
|
|
|
| |
AMG Capital Trust II |
|
|
| 5,500 |
| 5.150 |
| 236,156 |
|
|
|
|
|
|
|
|
|
OIL & GAS - 2.5 % |
|
|
|
|
|
|
|
|
Apache Corp. |
|
|
| 10,800 |
| 6.000 |
| 573,696 |
Chesapeake Energy Corp. -144A |
|
| 260 |
| 5.750 |
| 224,251 | |
|
|
|
|
|
|
|
| 797,947 |
|
|
|
|
|
|
|
|
|
TOTAL PREFERRED STOCK (Cost - $1,347,826) |
|
|
|
|
| 1,398,113 | ||
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS - 2.5 % |
|
|
|
| Interest |
|
| |
MONEY MARKET FUND - 2.5 % |
|
|
|
| Rate |
|
| |
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio |
| 795,827 |
| 0.12%+ |
| 795,827 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost - $795,827) |
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 98.4 % (Cost - $28,754,992) |
|
|
|
|
| $ 31,422,801 | ||
OTHER ASSETS LESS LIABILITIES - 1.6 % |
|
|
|
|
| 518,711 | ||
NET ASSETS - 100.0 % |
|
|
|
|
| $ 31,941,512 | ||
|
|
|
|
|
|
|
|
|
*Non-income producing security. |
|
|
|
|
|
|
| |
+ Variable rate security. Interest rate is as of April 30, 2012. |
|
|
|
|
|
|
| |
ADR - American Depositary Receipt. |
|
|
|
|
|
|
| |
144A- Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. | ||||||||
|
|
|
|
|
|
|
| |
Portfolio Composition * - Unaudited |
|
|
|
| ||||
Common Stock |
|
|
| 45.71% |
|
|
|
|
Convertible Bonds |
|
|
| 41.62% |
|
|
|
|
Corporate Bonds |
|
|
| 5.69% |
|
|
|
|
Preferred Stock |
|
|
| 4.45% |
|
|
|
|
Short-Term Investments |
|
|
| 2.53% |
|
|
|
|
Total |
|
|
| 100.00% |
|
|
|
|
* Based on total market value of investments as of April 30, 2012. |
|
|
|
|
|
|
| |
Percentage may differ from Schedule of Investments which is based on Fund net assets. |
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
Dunham Large Cap Value Fund
Message from the Sub-Adviser (C.S. McKee, L.P.)
Large cap value stocks, as measured by the Russell 1000 Value Index, rose 11.6 percent in the six-month period ended April 30, 2012. Strong returns in the financials, industrials, and consumer discretionary sectors were mainly responsible for the asset class’ gains. Outsized returns in financial services stocks particularly enhanced performance, as they, by a wide margin, comprised the largest sector in the index.
As with the overall benchmark index, financial stocks were the largest contributor to performance in the Fund. Individual stock selection in this sector outperformed financial stocks contained in the benchmark index by more than 10 percent, which added relative value, despite a large underweight to the sector. The Sub-Adviser still believes there are significant headwinds to be overcome in the banking industry and broader financial sector, however, and plans to maintain a significant underweight. Wells Fargo & Company (WFC), a large regional bank, was the largest contributor to performance in the sector, returning more than 30 percent during the six-month period.
In a turnaround from the previous six months, the energy sector detracted from performance somewhat. The Sub-Adviser was overweight the sector by more than 1 percent and underperformed stocks within the index moderately. Hess Corporation (HES), an oil and gas refining company, lost more than 16 percent during the six-month period ended April 30, 2012. The Sub-Adviser plans to maintain the overweight in this sector until there is some sign of a major slowdown in demand.
The Fund underweighted the consumer discretionary sector by more than 2 percent, which was a slight drag on performance, as discretionary was the highest returning sector in the benchmark. Still, the Fund’s selections within the sector outperformed the overall benchmark by a wide margin, which was a positive.
The industrials sector added value to the portfolio after lagging somewhat in the previous six-month period. A large overweight to the sector was the main driver of performance as selections were in-line with industrials stocks contained in the benchmark index. Borgwarner, Inc. (BWA), an auto parts manufacturer, had the largest impact on performance in this sector. The stock returned more than 27 percent in the last six months. The Sub-Adviser will continue to overweight the sector by approximately 4 percent in the belief that manufacturing will continue to steer the economic recovery
The Fund’s performance was enhanced by positions in the utilities sector, an area that had a relatively small absolute weighting but a reasonably large impact. Again, a large underweight to the index was the main factor and added 15 basis points to overall performance. NextEra Energy (NEE), a Florida-based electric utility, was the best performer in the sector, returning more than 16 percent in the six-month period ended April 30, 2012. The Sub-Adviser plans to move closer to an equal weight over next few months after underweighting the sector by approximately 2 percent in the last several quarters.
Going forward, no material changes are planned for the Fund. The Sub-Adviser believes energy prices may have peaked and sees no threat of domestic recession. The Sub-Adviser also believes U.S. equities should see continued earnings growth in the coming quarters and gross domestic product growth in the 2.5 to 3.0 percent annualized range.
Growth of $10,000 Investment - (Unaudited)
Total Returns as of April 30, 2012
|
| Six Months | One Year | Annualized Three Years | Annualized Five Years | Annualized Since Inception (12/10/04) |
Class N |
| 8.26% | (1.41)% | 16.61% | (1.08)% | 3.26% |
Class C Class A with load of 5.75% Class A without load |
| 7.76% 2.02% 8.20% | (2.37)% (7.24)% (1.58)% | 15.50% 14.10% 16.40% | (2.06)% (2.47)% (1.31)% | 2.25% (1.41)%* (0.31)%* |
Russell 1000 Value Index |
| 11.62% | 1.03% | 18.32% | (1.73)% | 3.53% |
*Class A commenced operations on January 3, 2007.
The Russell 1000 Value Index measures the performance of the 1,000 largest companies in the Russell 3000 Index with lower price-to-book ratios and lower forecasted growth values. Investors cannot invest directly in an index or benchmark.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.62% for Class N, 2.62% for Class C and 1.87% for Class A. 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.
SCHEDULE OF INVESTMENTS | ||||||||||
Dunham Large Cap Value Fund (Unaudited) | ||||||||||
April 30, 2012 | ||||||||||
|
|
|
| Market |
|
|
|
|
| Market |
Security |
| Shares |
| Value |
| Security |
| Shares |
| Value |
COMMON STOCK - 97.1 % |
|
|
|
|
|
|
|
|
| |
AEROSPACE/DEFENSE - 4.5 % |
|
|
|
| MEDICAL - 5.2 % (continued) |
|
|
| ||
Honeywell International, Inc. | 15,572 |
| $ 944,598 |
| Laboratory Corp. of America Holdings * | 7,502 |
| $ 659,351 | ||
United Technologies Corp. | 12,016 |
| 980,986 |
| Quest Diagnostics, Inc. |
| 7,800 |
| 449,982 | |
|
|
|
| 1,925,584 |
|
|
|
|
| 2,195,369 |
AUTO PARTS & EQUIPMENT - 2.0 % |
|
|
|
| MINING - 3.1 % |
|
|
|
| |
BorgWarner, Inc. * |
| 10,500 |
| 829,920 |
| Freeport-McMoRan Copper & Gold, Inc. | 34,800 |
| 1,332,840 | |
|
|
|
|
|
|
|
|
|
|
|
BANKS - 12.4 % |
|
|
|
|
| OIL & GAS - 10.7 % |
|
|
|
|
Bank of New York Mellon Corp. | 32,500 |
| 768,625 |
| Apache Corp. |
| 12,032 |
| 1,154,350 | |
Goldman Sachs Group, Inc. | 6,500 |
| 748,475 |
| Chevron Corp. |
| 16,300 |
| 1,736,928 | |
JPMorgan Chase & Co. | 29,802 |
| 1,280,890 |
| ConocoPhillips |
| 15,896 |
| 1,138,630 | |
US Bancorp |
| 23,507 |
| 756,220 |
| Hess Corp. |
| 10,300 |
| 537,042 |
Wells Fargo & Co. |
| 51,600 |
| 1,724,988 |
|
|
|
|
| 4,566,950 |
|
|
|
| 5,279,198 |
| OIL & GAS SERVICES - 1.8 % |
|
|
| |
BEVERAGES - 1.6 % |
|
|
|
|
| Halliburton, Co. |
| 22,700 |
| 776,794 |
Beam, Inc. |
| 11,567 |
| 656,774 |
|
|
|
|
|
|
|
|
|
|
|
| PHARMACEUTICALS - 7.6 % |
|
|
| |
COMPUTERS - 3.8 % |
|
|
|
|
| AmerisourceBergen Corp. | 29,500 |
| 1,097,695 | |
EMC Corp. * |
| 33,400 |
| 942,214 |
| Express Scripts Holding Co. * | 16,300 |
| 909,377 | |
SanDisk Corp. * |
| 17,700 |
| 655,077 |
| Watson Pharmaceuticals, Inc. * | 16,400 |
| 1,235,904 | |
|
|
|
| 1,597,291 |
|
|
|
|
| 3,242,976 |
CONGLOMERATES - 8.9 % |
|
|
|
| RETAIL - 1.4 % |
|
|
|
| |
Dover Corp. |
| 19,000 |
| 1,190,540 |
| Kohl's Corp. |
| 11,900 |
| 596,547 |
Emerson Electric, Co. |
| 15,752 |
| 827,610 |
|
|
|
|
|
|
General Electric, Co. |
| 89,627 |
| 1,754,897 |
| RETAIL - DISCOUNT - 2.9 % |
|
|
| |
|
|
|
| 3,773,047 |
| Wal-Mart Stores, Inc. |
| 20,600 |
| 1,213,546 |
COSMETICS/PERSONAL CARE - 2.8 % |
|
|
|
|
|
|
|
|
| |
Procter & Gamble, Co. |
| 18,800 |
| 1,196,432 |
| SEMICONDUCTORS - 3.4 % |
|
|
| |
|
|
|
|
|
| Intel Corp. |
| 51,428 |
| 1,460,555 |
DIVERSIFIED FINANCIAL SERVICES - 2.7 % |
|
|
|
|
|
|
|
|
| |
American Express Co. |
| 18,800 |
| 1,131,948 |
| SOFTWARE - 4.7 % |
|
|
|
|
|
|
|
|
|
| Microsoft Corp. |
| 39,400 |
| 1,261,588 |
ELECTRIC - 2.3 % |
|
|
|
|
| Oracle Corp. |
| 25,000 |
| 734,750 |
NextEra Energy, Inc. |
| 15,236 |
| 980,437 |
|
|
|
|
| 1,996,338 |
|
|
|
|
|
| TELEPHONE - INTEGRATED - 3.4 % |
|
|
| |
ELECTRIC UTILITIES - 2.1 % |
|
|
|
| AT&T, Inc. |
| 44,445 |
| 1,462,685 | |
Public Service Enterprise Group, Inc. | 28,800 |
| 897,120 |
|
|
|
|
|
| |
|
|
|
|
|
| TOBACCO - 2.0 % |
|
|
|
|
HEALTHCARE-SERVICES - 2.2 % |
|
|
|
| Philip Morris International, Inc. | 9,595 |
| 858,848 | ||
Covance, Inc. * |
| 10,400 |
| 486,304 |
|
|
|
|
|
|
Humana, Inc. |
| 5,700 |
| 459,876 |
|
|
|
|
|
|
|
|
|
| 946,180 |
| TOTAL COMMON STOCK (Cost - $29,894,908) |
|
| 41,291,544 | |
INSURANCE - 1.6 % |
|
|
|
|
|
|
|
|
|
|
Allstate Corp. |
| 20,132 |
| 671,000 |
| SHORT-TERM INVESTMENTS - 2.8 % |
|
|
| |
|
|
|
|
|
| MONEY MARKET FUND - 2.8 % |
|
|
| |
INTERNET - 2.1 % |
|
|
|
|
| STIT-STIC Prime Portfolio 0.00% + | 1,173,995 |
| 1,173,995 | |
eBay, Inc. * |
| 21,500 |
| 882,575 |
| TOTAL SHORT-TERM INVESTMENTS (Cost - $1,173,995) |
|
| ||
|
|
|
|
|
|
|
|
|
|
|
MEDIA - 1.9 % |
|
|
|
|
| TOTAL INVESTMENTS - 99.9 % (Cost - $31,068,903) |
| $ 42,465,539 | ||
Time Warner Cable, Inc. | 10,200 |
| 820,590 |
| OTHER ASSETS LESS LIABILITIES - 0.1 % |
|
| 45,819 | ||
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
| $ 42,511,358 |
MEDICAL - 5.2 % |
|
|
|
|
| * Non-income producing security. |
|
|
| |
Baxter International, Inc. |
| 19,600 |
| 1,086,036 |
| + Variable rate security. Interest rate is as of April 30, 2012. |
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||||
Dunham Large Cap Value Fund (Unaudited) (Continued) | ||||||||||
April 30, 2012 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
Portfolio Composition * - Unaudited | ||||||||||
Consumer Non-Cyclical |
| 21.42% |
|
|
|
| Communications |
|
| 7.46% |
Financial |
| 16.68% |
|
|
|
| Consumer, Cyclical |
|
| 6.22% |
Industrial |
| 13.42% |
|
|
|
| Utilities |
|
| 4.42% |
Energy |
| 12.58% |
|
|
|
| Basic Materials |
|
| 3.14% |
Technology |
| 11.90% |
|
|
|
| Short Term Investments |
|
| 2.76% |
|
|
|
|
|
|
| Total |
|
| 100.00% |
|
|
|
|
|
|
|
|
|
|
|
* Based on total market value of investments as of April 30, 2012. |
|
|
|
|
|
|
|
| ||
Percentage may differ from Schedule of Investments which is based on Fund net assets. |
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
Dunham Large Cap Growth Fund
Message from the Sub-Adviser (Mar Vista Investment Partners, LLC)
Large cap growth stocks closed the six months ending April 30, 2012 up 14.1 percent as measured by the Russell 1000 Growth Index, slightly outperforming broad equity markets, as measured by the Standard & Poors 500 Index, which posted a gain of 12.7 percent. Investor uncertainty concerning the state of domestic and world economies as well as debt concerns in Europe plagued the first fiscal quarter and contributed to mostly flat returns in both November and December. Towards the end of the first fiscal quarter equity markets appeared to reflect growing investor confidence as many corporations reported strong earnings and the domestic economic picture began to show signs of life. The second fiscal quarter started strong with the months of February and March posting solid gains before ending predominantly flat in April. Improving investor confidence in the domestic economy, waning concerns regarding the euro-zone debt crisis, and strong corporate quarterly earnings by over 80 percent of reporting companies, contributed to the overall positive second fiscal quarter. However, by the middle of April, lackluster domestic economic reports, resurfacing concerns over the euro-zone debt crisis (particularly in Spain) and less than promising economic reports from China may have led to investors reassessing their positions.
During the first fiscal quarter the Sub-Adviser felt the domestic economic picture was beginning to stabilize and the equity markets once again focused on company fundamentals. Sector weightings and stock selection in the industrial and information technology sectors as well as strong stock selection in the consumer discretionary sectors positively impacted performance, helping to offset underperformance in the healthcare and financial services sectors. Companies such as: The Walt Disney Co. (DIS), an entertainment provider, and Exxon Mobil Corporation (XOM), a producer of crude oil and natural gas, posted strong gains of 25.5 percent and 11.8 percent over the last six months, respectively.
Despite the strong start to the second fiscal quarter, the Sub-Adviser believed that the global economic environment had started to cool down and the possibility of a pullback had increased. Due to the possibility of a pullback in the equity markets, the Sub-Adviser paid particular attention to companies it believed could weather market volatility should the global and domestic economic picture continue to dim. The Fund was overweight consumer staples relative to the benchmark index. Defensive companies such Anheuser Busch InBev (BUD), a large beverage provider, and Coca-Cola Co. (KO), also a large beverage provider, posted gains of 22 percent and 13.8 percent, respectively, during the fiscal quarter. Financial services giant Visa, Inc. (V) posted a strong gain of 22 percent over the second fiscal quarter and 32.4 percent over the six month period ending April 30, 2012.
Looking forward, the Sub-Adviser continues to have concerns regarding the ongoing debt crisis in Europe, potential unrest in the Middle East and the slowing global economy. The Sub-Adviser will continue to invest in what it considers “wide-moat” businesses that provide competitive advantages and abundant opportunities to grow and reinvest capital at high rates of return. Furthermore, the Sub-Adviser feels due to valuation and the quality companies within the Fund, the impact from the macro-economic environment has been minimized.
Growth of $10,000 Investment - (Unaudited)
Total Returns as of April 30, 2012
| Six Months | One Year | Annualized Three Years | Annualized Five Years | Annualized Since Inception (12/10/04) |
Class N | 12.08% | 6.01% | 14.14% | (2.45)% | 0.76% |
Class C Class A with load of 5.75% Class A without load | 11.40% 5.28% 11.67% | 4.67% (0.41)% 5.56% | 12.87% 11.55% 13.81% | (3.45)% (3.91)% (2.76)% | (0.26)% (2.67)%* (1.59)%* |
Russell 1000 Growth Index | 14.13% | 7.26% | 21.44% | 4.11% | 5.80% |
*Class A commenced operations on January 3, 2007.
The Russell 1000 Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. Investors cannot invest directly in an index or benchmark.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including cost of underlying funds, are 1.21% for Class N, 2.21% for Class C and 1.46% for Class A. 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.
SCHEDULE OF INVESTMENTS | ||||||||||
Dunham Large Cap Growth Fund (Unaudited) | ||||||||||
April 30, 2012 | ||||||||||
|
|
|
| Market |
|
|
|
|
| Market |
Security |
| Shares |
| Value |
| Security |
| Shares |
| Value |
COMMON STOCK - 97.9 % |
|
|
|
|
|
|
|
|
| |
AEROSPACE/DEFENSE - 1.3 % |
|
|
|
|
| OIL & GAS - 7.2 % |
|
|
|
|
United Technologies Corp. |
| 5,165 |
| $ 421,671 |
| Exxon Mobil Corp. |
| 15,827 |
| $ 1,366,503 |
|
|
|
|
|
| Occidental Petroleum Corp. |
| 10,534 |
| 960,912 |
APPAREL - 3.8 % |
|
|
|
|
|
|
|
|
| 2,327,415 |
Coach, Inc. |
| 7,475 |
| 546,871 |
| OIL & GAS SERVICES - 3.0 % |
|
|
|
|
NIKE, Inc., Cl. B |
| 6,069 |
| 678,939 |
| Schlumberger Ltd. |
| 13,038 |
| 966,638 |
|
|
|
| 1,225,810 |
|
|
|
|
|
|
BEVERAGES - 9.8 % |
|
|
|
|
| PHARMACEUTICALS - 1.2 % |
|
|
|
|
Anheuser-Busch InBev NV - ADR |
| 14,476 |
| 1,051,247 |
| Johnson & Johnson |
| 6,103 |
| 397,244 |
Coca-Cola Co. |
| 15,757 |
| 1,202,574 |
|
|
|
|
|
|
PepsiCo, Inc. |
| 13,946 |
| 920,436 |
| RETAIL - 5.8 % |
|
|
|
|
|
|
|
| 3,174,257 |
| Home Depot, Inc. |
| 16,789 |
| 869,502 |
CHEMICALS - 5.2 % |
|
|
|
|
| Target Corp. |
| 17,018 |
| 986,023 |
Air Products & Chemicals, Inc. |
| 10,616 |
| 907,562 |
|
|
|
|
| 1,855,525 |
Praxair, Inc. |
| 6,686 |
| 773,570 |
| SEMICONDUCTORS - 2.5 % |
|
|
|
|
|
|
|
| 1,681,132 |
| Maxim Integrated Products, Inc. |
| 27,643 |
| 817,680 |
COMMERCIAL SERVICES - 3.6 % |
|
|
|
|
|
|
|
|
|
|
Paychex, Inc. |
| 14,309 |
| 443,293 |
| SOFTWARE - 7.0 % |
|
|
|
|
Visa, Inc. - Cl. A |
| 5,934 |
| 729,763 |
| Microsoft Corp. |
| 36,465 |
| 1,167,609 |
|
|
|
| 1,173,056 |
| Oracle Corp. |
| 36,572 |
| 1,074,851 |
COMPUTERS - 9.6 % |
|
|
|
|
|
|
|
|
| 2,242,460 |
Apple, Inc. * |
| 3,660 |
| 2,138,318 |
| TELECOMMUNICATIONS - 5.8 % |
|
|
|
|
NetApp, Inc. * |
| 24,565 |
| 953,859 |
| American Tower Corp. - Cl. A |
| 17,011 |
| 1,115,582 |
|
|
|
| 3,092,177 |
| QUALCOMM, Inc. |
| 11,983 |
| 764,995 |
COSMETICS/PERSONAL CARE - 5.8 % |
|
|
|
|
|
|
|
|
| 1,880,577 |
Colgate-Palmolive Co. |
| 8,140 |
| 805,372 |
| TRANSPORTATION - 6.1 % |
|
|
|
|
Procter & Gamble Co. |
| 16,899 |
| 1,075,452 |
| Expeditors International of Washington, Inc. |
| 18,974 |
| 758,960 |
|
|
|
| 1,880,824 |
| FedEx Corp. |
| 7,922 |
| 699,037 |
ELECTRONICS - 5.2 % |
|
|
|
|
| Union Pacific Corp. |
| 4,404 |
| 495,186 |
Honeywell International, Inc. |
| 12,934 |
| 784,577 |
|
|
|
|
| 1,953,183 |
Thermo Fisher Scientific, Inc. |
| 16,022 |
| 891,624 |
|
|
|
|
|
|
|
|
|
| 1,676,201 |
| TOTAL COMMON STOCK |
|
|
| 31,601,517 |
FOOD - 2.9 % |
|
|
|
|
| ( Cost - $25,275,574) |
|
|
|
|
Kraft Foods, Inc. - Cl. A |
| 23,340 |
| 930,566 |
|
|
|
|
|
|
|
|
|
|
|
| SHORT-TERM INVESTMENTS - 3.1 % |
|
|
|
|
HEALTHCARE-PRODUCTS - 3.7 % |
|
|
|
|
| MONEY MARKET FUND - 3.1 % |
|
|
|
|
Baxter International, Inc. |
| 11,744 |
| 650,735 |
| Fidelity Institutional |
| 982,229 |
| 982,229 |
St. Jude Medical, Inc. |
| 13,864 |
| 536,814 |
| Money Market Portfolio - 0.20% + |
|
|
|
|
|
|
|
| 1,187,549 |
| TOTAL SHORT-TERM INVESTMENTS |
|
|
| |
INSURANCE - 5.8 % |
|
|
|
|
| ( Cost - $982,229) |
|
|
|
|
Berkshire Hathaway, Inc. - Cl. B * |
| 15,158 |
| 1,219,461 |
|
|
|
|
|
|
Markel Corp. * |
| 1,486 |
| 654,256 |
| TOTAL INVESTMENTS - 101.0 % |
|
|
| $ 32,583,746 |
|
|
|
| 1,873,717 |
| ( Cost - $26,257,803) |
|
|
|
|
MEDIA - 2.6 % |
|
|
|
|
| LIABILITIES IN EXCESS OF OTHER ASSETS- (1.0) % |
| (315,436) | ||
Walt Disney Co. |
| 19,574 |
| 843,835 |
| NET ASSETS - 100.0% |
|
| $ 32,268,310 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Non-Income producing security. |
|
|
|
|
|
|
|
|
|
|
+ Variable rate security. Interest rate is as of April 30, 2012. |
|
|
|
|
|
|
|
| ||
ADR - American Depositary Receipt. |
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||||
Dunham Large Cap Growth Fund (Unaudited) (Continued) | ||||||||||
April 30, 2012 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
Portfolio Composition * - Unaudited | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
Consumer, Non-Cyclical |
| 26.83% |
|
|
| Financial |
|
|
| 9.18% |
Technology |
| 21.23% |
|
|
| Basic Materials |
|
|
| 5.16% |
Industrial |
| 12.43% |
|
|
| Short Term Investments |
|
|
| 3.01% |
Energy |
| 10.11% |
|
|
| Communications |
|
|
| 2.59% |
Consumer, Cyclical |
| 9.46% |
|
|
| Total |
|
|
| 100.00% |
|
|
|
|
|
|
|
|
|
|
|
* Based on total market value of investments as of April 30, 2012. |
|
|
|
|
|
|
|
| ||
Percentage may differ from Schedule of Investments which is based on Fund net assets. |
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
Dunham Focused Large Cap Growth Fund
Message from the Sub-Adviser (The Ithaka Group, LLC)
Large cap growth stocks, as measured by the Russell 1000 Growth Index, rose 8.1 percent over the second fiscal quarter, after rising 6 percent in January. This increase was primarily driven by investors reallocating from their “lower-risk” investments to opportunities in the areas of the market that are generally associated with “higher-risk” and higher returns, such as growth stocks. The Sub-Adviser implements a concentrated approach to investing in large cap growth stocks which generally means that the Fund is more sensitive to an individual holding’s performance than the performance of any single sector or the performance of the benchmark index as a whole.
The largest holding in the Fund and in the benchmark index, Apple, Inc. (AAPL), rose 48.4 percent since it was purchased by the Fund near the beginning of December 2011. Concern that Apple, Inc.’s substantial size would inevitably dampen earnings growth contributed to the containment of its valuation during 2011, but recently both the forward earnings estimate and valuation leaped ahead by double digits. The Sub-Adviser anticipates continued robust growth for Apple, Inc., as the company continues to introduce cutting-edge products and enter new markets with success. Another large holding in the Fund and contributor to performance was Salesforce.com, Inc. (CRM), adding 25.7 percent since its initial purchase in December 2011. The large increase was primarily due to the company delivering strong earnings and sales numbers, up almost 40 percent and ahead of expectations. Both of these firms are members of the information technology sector of the benchmark index. The information technology sector rose 18.3 percent since December 9, 2011, significantly lagging the performance of Apple, Inc. and Salesforce.com, Inc.
Within the consumer discretionary sector, Coach Inc. (COH), a producer of leather goods such as purses and cases, increased only 4.4 percent during the second fiscal quarter, while the consumer discretionary sector in general increased 10.4 percent. This lackluster performance was primarily due to investor concern about the decrease in reported North American sales. The position in Coach Inc. detracted from the Fund’s performance in the latest fiscal quarter relative to the benchmark index and the sector, but this was more than offset by the Fund’s significant exposure to Priceline.com, Inc. (PCLN). Priceline.com, Inc. surged 43.7 percent during the second fiscal quarter as the company continues to boast operating margins well-above competitors and produce strong earnings results. The Sub-Adviser continued to favor Priceline.com, Inc. as it continues to lead competition in the “room-bidding” marketplace which is heavily used by both business and non-business patrons across the country.
The Fund slightly reduced exposure to stocks headquartered outside of the United States, as it exited China-based New Oriental Education & Technology Group, Inc. (EDU) at the beginning of March. Subsequent to selling out of the position, the stock rose only 4 basis points through the end of the second fiscal quarter, significantly underperforming the benchmark index by almost 4.2 percent during the same timeframe. As of April 30, 2012, only 8.1 percent of the portfolio was allocated to stocks outside of the United States. The Sub-Adviser does not have a target allocation for foreign-based companies as each stock in the Fund is subjected to the same fundamental criteria to be added or removed from the Fund’s holdings.
The Sub-Adviser primarily focuses on stocks that exhibit above average growth in revenues and cash flow and does not anticipate making significant changes to the existing holdings. The Sub-Adviser does not directly implement global or macroeconomic views into the selection process, but did voice concern over holdings that have significant exposure to Europe. In addition, the Sub-Adviser voiced concern about how the Facebook Inc. (FB) initial public offering may impact the growth equity market and peers as the date nears.
Growth of $10,000 Investment - (Unaudited)
Total Returns as of April 30, 2012
| Six Months | One Year | Annualized Three Years | Annualized Five Years | Since Inception (12/8/11)* |
Class N | N/A | N/A | N/A | N/A | 13.10% |
Class C Class A with load of 5.75% Class A without load | N/A N/A N/A | N/A N/A N/A | N/A N/A N/A | N/A N/A N/A | 12.70% 6.41% 12.90% |
Russell 1000 Growth Index | N/A | N/A | N/A | N/A | 15.63% |
*Fund commenced operations on December 8, 2011.
The Russell 1000 Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. Investors cannot invest directly in an index or benchmark.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including cost of underlying funds, are 1.01% for Class N, 2.01% for Class C and 1.26% for Class A. 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.
SCHEDULE OF INVESTMENTS | ||||||||||
Dunham Focused Large Cap Growth Fund (Unaudited) | ||||||||||
April 30, 2012 | ||||||||||
|
|
|
| Market |
|
|
|
|
| Market |
Security |
| Shares |
| Value |
| Security |
| Shares |
| Value |
COMMON STOCK - 97.9 % |
|
|
|
|
|
|
|
|
| |
AEROSPACE/DEFENSE - 5.3 % |
|
|
|
|
| METAL FABRICATE/HARDWARE - 3.9 % |
|
|
| |
BE Aerospace, Inc. * |
| 1,022 |
| $ 48,065 |
| Precision Castparts Corp. |
| 304 |
| $ 53,617 |
TransDigm Group, Inc. * |
| 199 |
| 25,098 |
|
|
|
|
|
|
|
|
|
| 73,163 |
| MISCELLANEOUS MANUFACTURING - 0.7 % |
|
| ||
APPAREL - 6.2 % |
|
|
|
|
| Polypore International, Inc. * |
|
|
| 9,935 |
Coach, Inc. |
| 806 |
| 58,967 |
|
|
|
|
|
|
Under Armour, Inc. - Cl. A * |
| 276 |
| 27,029 |
| OIL & GAS SERVICES - 6.3 % |
|
|
|
|
|
|
|
| 85,996 |
| National Oilwell Varco, Inc. |
| 15,827 |
| 49,244 |
BIOTECHNOLOGY - 1.2 % |
|
|
|
|
| Schlumberger Ltd. |
| 10,534 |
| 37,441 |
Illumina, Inc. * |
| 373 |
| 16,610 |
|
|
|
|
| 86,685 |
|
|
|
|
|
| REITS - 1.9 % |
|
|
|
|
CHEMICALS - 1.6 % |
|
|
|
|
| American Tower Corp. |
| 13,038 |
| 26,166 |
Potash Corp. of Saskatchewan, Inc. |
| 523 |
| 22,217 |
|
|
|
|
|
|
|
|
|
|
|
| RETAIL - 5.2 % |
|
|
|
|
COMMERCIAL SERVICES - 9.0 % |
|
|
|
|
| Starbucks Corp. |
| 6,103 |
| 42,748 |
Mastercard, Inc. - Cl. A |
| 184 |
| 83,218 |
| Ulta Salon Cosmetics & Fragrance, Inc. |
|
|
| 28,658 |
Visa, Inc. - Cl. A |
| 332 |
| 40,829 |
|
|
|
|
| 71,406 |
|
|
|
| 124,047 |
| SEMICONDUCTORS - 5.7 % |
| 16,789 |
|
|
COMPUTERS - 7.3 % |
|
|
|
|
| ARM Holdings PLC - ADR |
| 17,018 |
| 25,634 |
Apple, Inc. * |
| 173 |
| 101,074 |
| QUALCOMM, Inc. |
|
|
| 53,434 |
|
|
|
|
|
|
|
|
|
| 79,068 |
FOOD - 1.2 % |
|
|
|
|
| SOFTWARE - 9.8 % |
| 27,643 |
|
|
Whole Foods Market, Inc. |
| 206 |
| 17,112 |
| Salesforce.com, Inc. * |
|
|
| 73,660 |
|
|
|
|
|
| VeriFone Systems, Inc. * |
|
|
| 21,057 |
HEALTHCARE-PRODUCTS - 4.4 % |
|
|
|
| Vmware, Inc. - Cl. A * |
| 36,465 |
| 40,331 | |
Intuitive Surgical, Inc. * |
| 105 |
| 60,711 |
|
|
|
|
| 135,048 |
|
|
|
|
|
| TOTAL COMMON STOCK |
|
|
|
|
INTERNET - 20.4 % |
|
|
|
|
| ( Cost - $1,267,988) |
|
|
| 1,356,247 |
Amazon.com, Inc. * |
| 332 |
| 76,991 |
|
|
|
|
|
|
Baidu, Inc. - ADR * |
| 209 |
| 27,734 |
| SHORT-TERM INVESTMENTS - 2.8 % |
|
|
| |
F5 Networks, Inc. * |
| 274 |
| 36,697 |
| MONEY MARKET FUND - 2.8 % |
|
|
|
|
LinkedIn Corp. - Cl. A * |
| 361 |
| 39,150 |
| First American Prime Obligations |
| 39,013 |
| 39,013 |
MercadoLibre, Inc. |
| 276 |
| 26,700 |
| Money Market Portfolio - 0.00% + |
|
|
|
|
OpenTable, Inc. * |
| 260 |
| 11,630 |
| TOTAL SHORT-TERM INVESTMENTS |
|
|
| |
Priceline.com, Inc. * |
| 83 |
| 63,148 |
| ( Cost - $39,013) |
|
|
|
|
|
|
|
| 282,050 |
|
|
|
|
|
|
LODGING - 2.9 % |
|
|
|
|
| TOTAL INVESTMENTS - 100.7 % |
|
|
| $ 1,395,260 |
Wynn Resorts Ltd. |
| 296 |
| 39,486 |
| ( Cost - $1,307,001) |
|
|
|
|
|
|
|
|
|
| LIABILITIES IN EXCESS OF OTHER ASSETS - (0.7) % |
| (10,166) | ||
MACHINERY-CONSTRUCTION & MINING - 2.4 % |
|
|
| NET ASSETS - 100.0 % |
|
|
| $ 1,385,094 | ||
Caterpillar, Inc. |
| 325 |
| 33,400 |
|
|
|
|
|
|
|
|
|
|
|
| * Non-Income producing security. |
|
|
|
|
MACHINERY-DIVERSIFIED - 2.8 % |
|
|
|
|
| + Variable rate security. Interest rate is as of April 30, 2012. |
|
| ||
Cummins, Inc. |
| 332 |
| 38,456 |
| ADR - American Depositary Receipt. |
|
| ||
|
|
|
|
|
| REIT- Real Estate Investment Trust. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||||
Dunham Focused Large Cap Growth Fund (Unaudited) (Continued) | ||||||||||
April 30, 2012 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
Portfolio Composition * - Unaudited | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
Technology |
| 22.59% |
|
|
| Energy |
|
|
| 6.21% |
Communications |
| 20.21% |
|
|
| Short Term Investments |
|
|
| 2.80% |
Consumer, Non-Cyclical |
| 15.66% |
|
|
| Financial |
|
|
| 1.88% |
Industrial |
| 14.95% |
|
|
| Basic Materials |
|
|
| 1.59% |
Consumer, Cyclical |
| 14.11% |
|
|
| Total |
|
|
| 100.00% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Based on total market value of investments as of April 30, 2012. |
|
|
|
|
|
|
| |||
Percentage may differ from Schedule of Investments which is based on Fund net assets. |
|
|
|
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
Dunham International Stock Fund
Message from the Sub-Adviser (Arrowstreet Capital, Limited Partnership)
International equity markets, as measured by the MSCI All Country World ex U.S. Index (net) (referred to as the “Index”), rose 2.7 percent during the six month period ending April 30, 2012 (the “six-month period”). For the months of November and December of 2011, the Index was down 5.1 percent and 1.1 percent respectively. In January markets turned positive, posting a 6.8 percent gain, as investors responded favorably to modestly positive domestic economic data and strong corporate earnings. In February the Index returned 5.6 percent, primarily driven by a second tranche of long term refinancing operations in late February where the European Central Bank provided three year loans at one percent that buoyed market liquidity, helped ease sovereign debt tensions, and reduced borrowing costs in the region. In March and April, the Index was down 1.4 percent and 1.6 percent, respectively, primarily due to renewed concerns over the euro-zone sovereign debt crisis.
The Sub-Adviser’s investment process utilizes quantitative methods that focus on identifying and incorporating investment signals into its proprietary return forecast, risk forecast and transaction cost forecast models. It is best characterized as a dynamic process that uses these models to evaluate securities on an integrated basis to exploit tactical opportunities across companies, sectors, and countries while seeking to avoid long term systematic biases toward any particular country, sector, style, or market capitalization. These models are designed to understand what information is likely to impact stock prices with a predictable and measurable lag that allows time to invest and profit. The models obtain the information to forecast individual stock returns by evaluating a stock’s potential on the basis of: (1) direct effects - characteristics of the company itself; and (2) indirect effects - characteristics of other companies that are related by virtue of a common country affiliation and sector affiliation (called country/sector baskets); a common country affiliation; and a common global sector affiliation. Over any time period, the strategy’s performance relative to the Index is driven by allocations to country/sector baskets, stock selection, and the effects of currency exposures differing from those of the Index.
Countries contributing most to returns relative to the Index during the six-month period included Brazil (primarily due to consumer staples and utilities sector overweights), Thailand (primarily due to consumer discretionary sector and consumer staples sector overweights), and the Netherlands and Korea (both benefiting from information technology sector overweights). Countries contributing most to underperformance relative to the Index included Italy (primarily due to a financial services sector overweight), Japan (primarily due to a telecommunication services sector overweight), and Finland (primarily due to an information technology sector overweight).
Sectors contributing most to returns relative to the Index during the six-month period included materials (primarily due to a Canada underweight and a South Africa overweight), utilities (primarily due to a Brazil overweight), and energy (primarily due to Canada and Brazil underweights). Sectors contributing most to underperformance relative to the Index included financial services (primarily due to France and Italy overweights), information technology (primarily due to a Finland overweight and a Japan underweight), and healthcare (primarily due to a UK overweight).
The stocks contributing most to returns relative to the Index during the six-month period included Companhia de Bebidas das Americas (Brazil consumer staples) Samsung Electronics Co. Ltd. (Korea information technology), and Companhia Energetica de Minas Gerais (Brazil utilities). Stocks contributing most to underperformance relative to the Index included UniCredit S.p.A (Italy financial services), Nokia Corp. (Finland information technology), and Softbank (Japan financial services).
The foregoing “Message from the Sub-Advisor” is provided by Arrowstreet Capital, Limited Partnership (“Arrowstreet”) through April 30, 2012 for informational purposes only and solely with respect to the portfolio of assets within the Fund managed by Arrowstreet. . References to specific stocks, countries or sectors are shown for informational purposes only and are not intended as investment advice. Arrowstreet is not responsible for, and makes no representation with respect to, any other information or performance data set forth herein.
Growth of $10,000 Investment - (Unaudited)
Total Returns as of April 30, 2012**
| Six Months |
| One Year | Annualized Three Years | Annualized Five Years | Annualized Since Inception (12/10/04) |
Class N | 1.02% |
| (15.52)% | 13.95% | (3.35)% | 3.65% |
Class C Class A with load of 5.75% Class A without load | 0.52% (4.86)% 0.92% |
| (16.36)% (20.60)% (15.73)% | 12.80% 11.45% 13.68% | (4.31)% (4.72)% (3.58)% | 2.63% (3.27)%* (2.18)%* |
MSCI ACW ex US Index (net) | 2.73% |
| (12.90)% | 13.55% | (2.75)% | 5.39% |
*Class A commenced operations on January 3, 2007.
**Arrowstreet Capital, Limited Partnership became the Sub-Adviser of the Dunham International Stock Fund effective July 1, 2008.
The MSCI All Country World ex US (net) Index 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.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 2.28% for Class N, 3.28% for Class C and 2.53% for Class A. 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.
SCHEDULE OF INVESTMENTS | ||||||||||
Dunham International Stock Fund (Unaudited) | ||||||||||
April 30, 2012 | ||||||||||
|
|
|
| Market |
|
|
|
|
| Market |
Security |
| Shares |
| Value |
| Security |
| Shares |
| Value |
COMMON STOCK - 93.1 % |
|
|
|
|
|
|
|
|
| |
AEROSPACE/DEFENSE - 1.5 % |
|
|
|
| BANKS - 10.8 % (continued) |
|
|
| ||
BAE Systems PLC |
| 38,769 |
| $ 185,853 |
| BNP Paribas SA |
| 16,952 |
| $ 683,914 |
European Aeronautic Defence and Space Co. NV | 3,032 |
| 119,775 |
| CaixaBank |
| 12,611 |
| 43,457 | |
Rolls-Royce Holdings PLC * | 21,493 |
| 287,391 |
| Credit Agricole SA |
| 34,044 |
| 175,182 | |
Safran SA |
| 1,846 |
| 68,396 |
| DNB ASA |
| 5,919 |
| 63,730 |
|
|
|
| 661,415 |
| Intesa Sanpaolo SpA |
| 272,997 |
| 413,667 |
AGRICULTURE - 2.1 % |
|
|
|
|
| Intesa Sanpaolo SpA |
| 56,321 |
| 75,246 |
British American Tobacco Malaysia Bhd | 1,100 |
| 20,162 |
| Kasikornbank PCL |
| 13,900 |
| 73,634 | |
Japan Tobacco, Inc. |
| 83 |
| 459,564 |
| KBC Groep NV |
| 4,415 |
| 85,561 |
KT&G Corp. |
| 2,183 |
| 149,815 |
| Krung Thai Bank PCL |
| 134,700 |
| 78,595 |
Souza Cruz SA |
| 7,700 |
| 120,445 |
| Lloyds Banking Group PLC * | 255,017 |
| 128,070 | |
Swedish Match AB |
| 3,800 |
| 154,758 |
| Mediobanca SpA |
| 15,797 |
| 77,203 |
|
|
|
| 904,744 |
| Natixis |
| 41,107 |
| 125,264 |
AIRLINES - 0.0 % |
|
|
|
|
| OTP Bank PLC |
| 1,686 |
| 29,608 |
Turk Hava Yollari * |
| 1 |
| 2 |
| Shinsei Bank Ltd. |
| 26,000 |
| 33,535 |
|
|
|
|
|
| Societe Generale SA |
| 12,823 |
| 303,460 |
APPAREL - 0.5 % |
|
|
|
|
| Sumitomo Mitsui Trust Holdings, Inc. | 1,000 |
| 2,928 | |
Burberry Group PLC |
| 5,499 |
| 132,550 |
| Svenska Handelsbanken AB | 4,210 |
| 136,236 | |
Christian Dior SA |
| 686 |
| 103,404 |
| Swedbank AB |
| 9,806 |
| 161,833 |
|
|
|
| 235,954 |
| UniCredit SpA |
| 161,968 |
| 645,784 |
AUTO MANUFACTURERS - 8.3 % |
|
|
|
|
|
|
|
| 2,974,346 | |
Bayerische Motoren Werke AG | 7,399 |
| 703,469 |
| BEVERAGES - 1.5 % |
|
|
|
| |
Daihatsu Motor Co., Ltd. |
| 7,000 |
| 132,072 |
| Anheuser-Busch InBev NV | 2,268 |
| 163,405 | |
Daimler AG |
| 7,762 |
| 429,321 |
| Cia de Bebidas das Americas - ADR | 7,088 |
| 297,554 | |
Fiat SpA * |
| 39,706 |
| 191,716 |
| Cia de Bebidas das Americas - Right * | 26 |
| 223 | |
Fuji Heavy Industries, Ltd. | 35,000 |
| 263,856 |
| Fomento Economico Mexicano SAB de CV - ADR | 927 |
| 75,328 | ||
Hino Motors, Ltd. |
| 17,000 |
| 120,166 |
| Grupo Modelo SAB de CV | 8,200 |
| 58,048 | |
Honda Motor Co., Ltd. |
| 6,900 |
| 248,201 |
| Kirin Holdings Co. Ltd. |
| 5,000 |
| 63,630 |
Hyundai Motor Co. |
| 753 |
| 177,760 |
|
|
|
|
| 658,188 |
Isuzu Motors, Ltd. |
| 45,000 |
| 256,794 |
| BUILDING MATERIALS - 0.1 % |
|
|
| |
Kia Motors Corp. |
| 2,690 |
| 197,389 |
| Asahi Glass Co. Ltd. |
| 3,000 |
| 23,576 |
Mazda Motor Corp. * |
| 31,000 |
| 50,351 |
|
|
|
|
|
|
Nissan Motor Co. Ltd. |
| 29,500 |
| 306,559 |
| CHEMICALS - 0.6 % |
|
|
|
|
Peugeot SA |
| 4,805 |
| 57,686 |
| Bayer AG |
| 2,894 |
| 203,845 |
Renault SA |
| 7,364 |
| 334,867 |
| Brenntag AG |
| 425 |
| 52,926 |
Volkswagen AG |
| 569 |
| 97,163 |
|
|
|
|
| 256,771 |
|
|
|
| 3,567,370 |
| COMMERCIAL SERVICES - 1.4 % |
|
|
| |
AUTO PARTS & EQUIPMENTMENT - 3.8 % |
|
|
|
| CCR SA |
| 15,500 |
| 120,981 | |
Aisin Seiki Co., Ltd. |
| 6,600 |
| 232,287 |
| Cielo SA |
| 5,880 |
| 177,804 |
Bridgestone Corp. |
| 13,400 |
| 316,909 |
| Edenred |
| 3,026 |
| 96,637 |
Cie Generale des Etablissements Michelin | 1,183 |
| 88,375 |
| Experian PLC |
| 3,714 |
| 58,669 | |
Continental AG |
| 2,285 |
| 221,535 |
| Reed Elsevier PLC |
| 6,464 |
| 53,474 |
GKN PLC |
| 20,973 |
| 69,380 |
| Sodexo |
| 1,021 |
| 81,310 |
Koito Manufacturing Co. Ltd. | 6,000 |
| 92,797 |
|
|
|
|
| 588,875 | |
Pirelli & C SpA |
| 5,531 |
| 67,368 |
| COMPUTERS - 0.6 % |
|
|
|
|
Sumitomo Electric Industries Ltd. | 3,200 |
| 43,144 |
| Fujitsu Ltd. |
| 45,000 |
| 218,605 | |
Sumitomo Rubber Industries Ltd. | 3,900 |
| 53,641 |
| SK C&C Co. Ltd. |
| 571 |
| 47,065 | |
Toyota Industries Corp. |
| 3,900 |
| 110,104 |
|
|
|
|
| 265,670 |
Valeo SA |
| 7,123 |
| 350,164 |
| COSMETICS/PERSONAL CARE - 0.6 % |
|
|
| |
|
|
|
| 1,645,704 |
| Beiersdorf AG |
| 794 |
| 55,699 |
BANKS - 10.8 % |
|
|
|
|
| Kao Corp. |
| 4,600 |
| 123,197 |
Banca Monte dei Paschi di Siena SpA | 350,036 |
| 124,473 |
| LG Household & Health Care Ltd. | 117 |
| 61,275 | ||
Banco Bilbao Vizcaya Argentaria SA | 27,995 |
| 189,372 |
| Natura Cosmeticos SA |
| 1,400 |
| 31,843 | |
Banco Espirito Santo SA * | 17,713 |
| 15,000 |
|
|
|
|
| 272,014 | |
Banco Bilbao Vizcaya Argentaria SA - Right * | 27,995 |
| 4,001 |
| DISTRIBUTION/WHOLESALE - 0.4 % |
|
|
| ||
Banco Santander SA - Right * | 101,814 |
| 27,079 |
| Marubeni Corp. |
| 16,000 |
| 111,044 | |
Banco Santander SA |
| 116,230 |
| 729,489 |
| Sojitz Corp. |
| 34,200 |
| 57,568 |
Bangkok Bank PCL |
| 13,800 |
| 85,443 |
|
|
|
|
| 168,612 |
Bangkok Bank PCL |
| 9,600 |
| 60,396 |
| DIVERSIFIED FINANCIAL SERVICES - 0.9 % |
|
|
| |
Bankia SA * |
| 27,720 |
| 95,172 |
| Old Mutual PLC |
| 25,243 |
| 60,605 |
|
|
|
|
|
| ORIX Corp. |
| 3,380 |
| 323,003 |
|
|
|
|
|
|
|
|
|
| 383,608 |
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||||
Dunham International Stock Fund (Unaudited) (Continued) | ||||||||||
April 30, 2012 | ||||||||||
|
|
|
| Market |
|
|
|
|
| Market |
Security |
| Shares |
| Value |
| Security |
| Shares |
| Value |
ELECTRIC - 1.3 % |
|
|
|
|
| HOME BUILDERS - 0.2 % |
|
|
| |
Aboitiz Power Corp. |
| 163,800 |
| $ 131,708 |
| Sekisui Chemical Co., Ltd. | 11,000 |
| $ 98,854 | |
Centrais Eletricas Brasileiras SA | 6,400 |
| 55,125 |
|
|
|
|
|
| |
Cia Energetica de Minas Gerais - ADR | 8,886 |
| 219,218 |
| HOME FURNISHINGS - 0.6 % |
|
|
| ||
CPFL Energia SA - ADR |
| 87 |
| 2,453 |
| Panasonic Corp. |
| 2,900 |
| 22,222 |
Red Electrica Corp. SA |
| 1,172 |
| 51,006 |
| Sony Corp. |
| 14,600 |
| 236,019 |
Tractebel Energia SA |
| 5,000 |
| 86,475 |
|
|
|
|
| 258,241 |
|
|
|
| 545,985 |
| HOUSEHOLD PRODUCTS/WARES - 0.1 % |
|
|
| |
ELECTRICAL COMPONENTS & EQUIPMENT - 0.5 % |
|
|
|
| Societe BIC SA |
| 468 |
| 51,532 | |
Brother Industries Ltd. |
| 8,100 |
| 108,783 |
|
|
|
|
|
|
Furukawa Electric Co., Ltd. | 16,000 |
| 43,398 |
| HOUSEWARES - 0.0 % |
|
|
|
| |
NV Bekaert SA |
| 495 |
| 14,696 |
| Turkiye Sise ve Cam Fabrikalari AS | 2 |
| 4 | |
Prysmian SpA |
| 3,060 |
| 49,825 |
|
|
|
|
|
|
|
|
|
| 216,702 |
| INSURANCE - 4.7 % |
|
|
|
|
ELECTRONICS - 0.2 % |
|
|
|
|
| Aegon NV * |
| 47,101 | �� | 219,012 |
LG Display Co., Ltd. * |
| 1,750 |
| 38,632 |
| Ageas |
| 37,893 |
| 69,024 |
Nippon Electric Glass Co., Ltd. | 4,000 |
| 32,303 |
| AIA Group Ltd. |
| 13,200 |
| 46,719 | |
|
|
|
| 70,935 |
| Assicurazioni Generali SpA | 17,177 |
| 234,258 | |
ENGINEERING & CONSTRUCTION - 0.2 % |
|
|
|
| AXA SA * |
| 34,622 |
| 491,798 | |
Chiyoda Corp. |
| 5,000 |
| 60,179 |
| CNP Assurances |
| 6,382 |
| 89,573 |
Sacyr Vallehermoso SA |
| 9,625 |
| 17,389 |
| Delta Lloyd NV |
| 3,439 |
| 57,978 |
|
|
|
| 77,568 |
| Mapfre SA |
| 24,451 |
| 70,757 |
ENTERTAINMENT - 0.2 % |
|
|
|
| MS&AD Insurance Group Holdings | 6,600 |
| 121,617 | ||
OPAP SA |
| 8,549 |
| 76,373 |
| NKSJ Holdings, Inc. |
| 500 |
| 10,287 |
|
|
|
|
|
| Sanlam Ltd. |
| 34,544 |
| 149,486 |
FOOD - 3.6 % |
|
|
|
|
| SCOR SE |
| 4,625 |
| 122,228 |
Ajinomoto Co. Inc. |
| 11,000 |
| 141,898 |
| Standard Life PLC |
| 36,400 |
| 132,126 |
BIM Birlesik Magazalar AS | 2,684 |
| 111,759 |
| Swiss Re AG * |
| 1,494 |
| 93,787 | |
BRF - Brasil Foods SA - ADR | 6,398 |
| 117,915 |
| T&D Holdings, Inc. |
| 8,500 |
| 91,581 | |
Cia Brasileira de Distribuicao Grupo Pao de Acucar - Right * | 12 |
| 17 |
| Tokio Marine Holdings, Inc. | 400 |
| 10,228 | ||
Cosan SA Industria e Comercio | 6,600 |
| 115,612 |
|
|
|
|
| 2,010,459 | |
Danone |
| 1,262 |
| 88,810 |
| INTERNET - 0.3 % |
|
|
|
|
Distribuidora Internacional de Alimentacion SA * | 24,888 |
| 119,448 |
| NCSoft Corp. |
| 186 |
| 47,972 | |
Jeronimo Martins SGPS SA | 2,379 |
| 44,505 |
| NHN Corp. |
| 324 |
| 73,245 | |
Kerry Group PLC |
| 1,389 |
| 63,410 |
|
|
|
|
| 121,217 |
Koninklijke Ahold NV |
| 13,267 |
| 168,327 |
| INVESTMENT COMPANIES - 0.7 % |
|
|
| |
Nippon Meat Packers Inc. | 2,000 |
| 25,535 |
| Investment AB Kinnevik |
| 5,230 |
| 106,354 | |
Orion Corp/Republic of South Korea | 83 |
| 65,736 |
| Investor AB |
| 8,288 |
| 165,215 | |
Shoprite Holdings Ltd. |
| 5,790 |
| 100,445 |
| Resolution Ltd. |
| 10,194 |
| 37,040 |
Tiger Brands Ltd. |
| 2,859 |
| 105,170 |
|
|
|
|
| 308,609 |
Unilever NV - GDR |
| 7,971 |
| 272,938 |
| IRON/STEEL - 0.2 % |
|
|
|
|
WM Morrison Supermarkets PLC | 1,875 |
| 8,543 |
| Kumba Iron Ore Ltd. |
| 1,458 |
| 103,561 | |
|
|
|
| 1,550,068 |
|
|
|
|
|
|
FOOD SERVICE - 0.7 % |
|
|
|
|
| LEISURE TIME - 0.5 % |
|
|
|
|
Compass Group PLC |
| 27,709 |
| 289,649 |
| TUI Travel PLC |
| 27,859 |
| 86,406 |
|
|
|
|
|
| Yamaha Motor Co. Ltd. |
| 9,500 |
| 126,824 |
HEALTHCARE-PRODUCTS - 0.8 % |
|
|
|
|
|
|
|
| 213,230 | |
Cie Generale d'Optique Essilor International SA | 825 |
| 72,669 |
| LODGING - 0.6 % |
|
|
|
| |
Coloplast A/S |
| 421 |
| 77,920 |
| Sands China Ltd. |
| 45,200 |
| 176,993 |
Fresenius SE & Co. KGaA | 1,638 |
| 163,472 |
| SJM Holdings Ltd. |
| 29,000 |
| 63,375 | |
Luxottica Group SpA |
| 1,441 |
| 51,507 |
|
|
|
|
| 240,368 |
|
|
|
| 365,568 |
| MACHINERY-CONSTRUCTION & MINING - 0.1 % |
|
|
| |
HOLDING COMPANIES-DIVERSIFIED - 1.3 % |
|
|
|
| United Tractors Tbk PT |
| 19,500 |
| 62,646 | |
Exor SpA |
| 3,756 |
| 87,417 |
|
|
|
|
|
|
Groupe Bruxelles Lambert SA | 658 |
| 45,649 |
| MEDIA - 1.6 % |
|
|
|
| |
Hutchison Whampoa Ltd. |
| 14,000 |
| 134,137 |
| BEC World PCL |
| 153,500 |
| 256,490 |
Imperial Holdings Ltd. |
| 4,987 |
| 108,760 |
| British Sky Broadcasting Group PLC | 12,310 |
| 135,465 | |
LVMH Moet Hennessy Louis Vuitton SA | 739 |
| 122,551 |
| ITV PLC |
| 55,903 |
| 75,968 | |
Remgro Ltd. |
| 431 |
| 7,325 |
| Kabel Deutschland Holding AG * | 1,003 |
| 63,208 | |
Wharf Holdings Ltd. |
| 6,000 |
| 35,587 |
| Lagardere SCA |
| 81 |
| 2,455 |
|
|
|
| 541,426 |
| PagesJaunes Groupe |
| 3,022 |
| 8,673 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||||
Dunham International Stock Fund (Unaudited) (Continued) | ||||||||||
April 30, 2012 | ||||||||||
|
|
|
| Market |
|
|
|
|
| Market |
Security |
| Shares |
| Value |
| Security |
| Shares |
| Value |
MEDIA - 1.6 % (continued) |
|
|
|
| RETAIL - 2.9 % |
|
|
|
| |
Pearson PLC |
| 5,262 |
| $ 99,096 |
| Aeon Co., Ltd. |
| 22,400 |
| $ 292,286 |
Societe Television Francaise 1 | 4,532 |
| 43,881 |
| Astra International Tbk PT |
| 12,500 |
| 96,401 | |
|
|
|
| 542,259 |
| Autogrill SpA |
| 4,818 |
| 47,956 |
MINING - 1.4 % |
|
|
|
|
| E-Mart Co. Ltd. |
| 401 |
| 95,155 |
Antofagasta PLC |
| 1,994 |
| 38,392 |
| Grupo Elektra SA de CV |
| 185 |
| 11,282 |
Fresnillo PLC |
| 4,323 |
| 110,151 |
| Jollibee Foods Corp. |
| 32,600 |
| 86,460 |
KGHM Polska Miedz SA | 5,060 |
| 223,624 |
| PPR |
| 743 |
| 124,294 | |
Umicore SA |
| 4,528 |
| 245,795 |
| Seven & I Holdings Co., Ltd. | 12,100 |
| 366,086 | |
|
|
|
| 617,962 |
| Spirit Pub Co. PLC * |
| 51,316 |
| 46,353 |
MISCELLANEOUS MANUFACTURING - 1.0 % |
|
|
|
| UNY Co., Ltd. |
| 8,400 |
| 97,566 | |
FUJIFILM Holdings Corp. | 9,700 |
| 205,638 |
|
|
|
|
| 1,263,839 | |
IMI PLC |
| 6,365 |
| 102,264 |
| RETAIL - APPAREL/SHOES - 0.4 % |
|
|
| |
Konica Minolta Holdings, Inc. | 8,000 |
| 64,873 |
| Next PLC |
| 3,281 |
| 156,088 | |
Nikon Corp. |
| 1,600 |
| 47,398 |
|
|
|
|
|
|
|
|
|
| 420,173 |
| RETAIL - BUILDING PRODUCTS - 0.8 % |
|
|
| |
OFFICE/BUSINESS EQUIPMENT - 0.3 % |
|
|
|
| Kingfisher PLC |
| 71,829 |
| 338,856 | |
Ricoh Co., Ltd. |
| 8,000 |
| 71,629 |
|
|
|
|
|
|
Seiko Epson Corp. |
| 3,900 |
| 52,002 |
| RETAIL - CONVENIENCE STORE - 0.6 % |
|
|
| |
|
|
|
| 123,631 |
| Alimentation Couche Tard, Inc. | 1,765 |
| 76,674 | |
OIL & GAS - 3.4 % |
|
|
|
|
| CP ALL PCL * |
| 75,900 |
| 188,442 |
ENI SpA |
| 8,047 |
| 178,735 |
|
|
|
|
| 265,116 |
Lukoil OAO - ADR |
| 6,212 |
| 381,106 |
| RETAIL - JEWELRY - 0.2 % |
|
|
| |
OMV AG |
| 2,640 |
| 89,269 |
| Cie Financiere Richemont SA | 1,777 |
| 109,964 | |
SK Holdings Co., Ltd. |
| 485 |
| 51,635 |
|
|
|
|
|
|
Statoil ASA |
| 9,453 |
| 253,379 |
| RETAIL - MAJOR DEPARTMENT STORE - 0.1 % |
|
|
| |
Statoil ASA - ADR |
| 2,773 |
| 74,621 |
| Home Retail Group PLC |
| 35,237 |
| 60,943 |
Total SA |
| 4,606 |
| 221,021 |
|
|
|
|
|
|
Total SA - ADR |
| 4,302 |
| 206,969 |
| RETAIL - MISC/DIVERSIFIED - 0.2 % |
|
|
| |
|
|
|
| 1,456,735 |
| Woolworths Holdings Ltd./South Africa | 15,935 |
| 100,049 | |
OIL & GAS SERVICES - 0.1 % |
|
|
|
|
|
|
|
|
| |
Saipem SpA |
| 1,077 |
| 53,212 |
| RETAIL - PUBS - 0.1 % |
|
|
|
|
|
|
|
|
|
| Enterprise Inns PLC * |
| 39,979 |
| 39,782 |
PHARMACEUTICALS - 8.6 % |
|
|
|
|
|
|
|
|
| |
Actelion Ltd. * |
| 1,893 |
| 80,143 |
| RETAIL - RESTAURANTS - 0.2 % |
|
|
| |
AstraZeneca PLC |
| 9,292 |
| 407,389 |
| Whitbread PLC |
| 2,360 |
| 73,841 |
Celesio AG |
| 2,952 |
| 50,888 |
|
|
|
|
|
|
Eisai Co., Ltd. |
| 2,700 |
| 105,472 |
| SEMICONDUCTORS - 6.2 % |
|
|
| |
GlaxoSmithKline PLC - ADR | 16,465 |
| 761,177 |
| ARM Holdings PLC |
| 24,423 |
| 206,591 | |
GlaxoSmithKline PLC |
| 4,531 |
| 104,707 |
| ASML Holding NV |
| 5,065 |
| 258,264 |
Grifols SA * |
| 3,311 |
| 83,334 |
| ASML Holding NV |
| 5,173 |
| 263,118 |
Merck KGaA |
| 1,121 |
| 123,174 |
| Infineon Technologies AG |
| 39,501 |
| 393,500 |
Novartis AG |
| 6,766 |
| 373,490 |
| Macronix International |
| 409,727 |
| 134,745 |
Novo Nordisk A/S |
| 3,832 |
| 564,764 |
| Samsung Electronics Co., Ltd. | 1,007 |
| 1,232,524 | |
Ono Pharmaceutical Co., Ltd. | 1,800 |
| 101,866 |
| SK Hynix Inc. * |
| 3,630 |
| 89,470 | |
Roche Holding AG |
| 1,914 |
| 349,707 |
| STMicroelectronics NV |
| 1,128 |
| 6,520 |
Sanofi |
| 4,941 |
| 377,260 |
| STMicroelectronics NV |
| 15,834 |
| 91,135 |
Shire PLC - ADR |
| 872 |
| 85,072 |
|
|
|
|
| 2,675,867 |
Shire PLC |
| 4,162 |
| 135,675 |
| SOFTWARE - 3.5 % |
|
|
|
|
|
|
|
| 3,704,118 |
| Amadeus IT Holding SA |
| 11,794 |
| 241,354 |
PRIVATE EQUITY - 0.2 % |
|
|
|
| Sage Group PLC |
| 22,666 |
| 105,343 | |
Eurazeo |
| 1,455 |
| 74,567 |
| SAP AG - ADR |
| 576 |
| 38,183 |
|
|
|
|
|
| SAP AG |
| 17,321 |
| 1,148,183 |
REAL ESTATE - 0.5 % |
|
|
|
|
|
|
|
|
| 1,533,063 |
Cheung Kong Holdings Ltd. | 9,000 |
| 119,040 |
| TELECOMMUNICATIONS - 9.4 % |
|
|
| ||
New World Development Co., Ltd. | 43,000 |
| 53,311 |
| Alcatel-Lucent/France * |
| 18,769 |
| 28,853 | |
Wheelock & Co., Ltd. |
| 17,000 |
| 57,283 |
| BT Group PLC |
| 71,296 |
| 243,914 |
|
|
|
| 229,634 |
| China Mobile Ltd. |
| 96,000 |
| 1,062,228 |
REITS - 0.1 % |
|
|
|
|
| Chorus Ltd. * |
| 17,477 |
| 48,850 |
Unibail-Rodamco SE |
| 268 |
| 50,129 |
| France Telecom SA |
| 4,447 |
| 60,937 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||||
Dunham International Stock Fund (Unaudited) (Continued) | ||||||||||
April 30, 2012 | ||||||||||
|
|
|
| Market |
|
|
|
|
| Market |
Security |
| Shares |
| Value |
| Security |
|
|
| Value |
TELECOMMUNICATIONS - 9.4 % |
|
|
|
| BEVERAGES - 1.0 % |
|
|
|
| |
HKT Trust / HKT Ltd. * |
| 25,391 |
| $ 19,736 |
| Cia de Bebidas das Americas | 10,700 |
| $ 451,145 | |
Millicom International Cellular SA - NVDR | 1,138 |
| 120,416 |
|
|
|
|
|
| |
NICE Systems Ltd. * |
| 1,430 |
| 54,760 |
| ELECTRIC - 0.3 % |
|
|
|
|
Nippon Telegraph & Telephone Corp. | 10,600 |
| 479,364 |
| Cia Energetica de Minas Gerais | 3,000 |
| 59,490 | ||
Nokia OYJ |
| 88,818 |
| 321,551 |
| Eletropaulo Metropolitana Eletricidade de Sao Paulo SA | 5,400 |
| 83,156 | |
PCCW Ltd. |
| 398,000 |
| 147,805 |
|
|
|
|
| 142,646 |
Softbank Corp. |
| 4,400 |
| 131,259 |
| FOOD - 0.2 % |
|
|
|
|
StarHub Ltd. |
| 70,000 |
| 180,365 |
| Cia Brasileira de Distribuicao Grupo Pao de Acucar | 1,600 |
| 74,389 | |
Telecom Corp. of New Zealand Ltd. | 86,062 |
| 185,199 |
|
|
|
|
|
| |
Telecom Italia SpA * |
| 110,540 |
| 125,359 |
| SEMICONDUCTORS - 0.2 % |
|
|
| |
Telecom Italia SpA * |
| 112,715 |
| 105,532 |
| Samsung Electronics Co., Ltd. | 115 |
| 81,956 | |
Telenor ASA |
| 9,846 |
| 180,792 |
|
|
|
|
|
|
Telstra Corp. Ltd. |
| 128,501 |
| 473,486 |
| TELECOMMUNICATIONS - 0.3 % |
|
|
| |
Tim Participacoes SA - ADR | 1,020 |
| 30,529 |
| Telefonica Brasil SA |
| 4,800 |
| 137,592 | |
Vodacom Group Ltd. |
| 4,728 |
| 65,937 |
|
|
|
|
|
|
|
|
|
| 4,066,872 |
| TOTAL PREFERRED STOCK (Cost - 1,206,453) |
|
| 1,523,885 | |
|
|
|
|
|
|
|
|
|
|
|
TOYS/GAMES/HOBBIES - 0.1 % |
|
|
|
| SHORT-TERM INVESTMENTS - 2.8 % |
|
|
| ||
Namco Bandai Holdings, Inc. | 3,000 |
| 42,875 |
| MONEY MARKET FUND - 2.8 % |
|
|
| ||
|
|
|
|
|
| Fidelity Institutional Money Market Funds - Government Portfolio | 1,195,395 |
| 1,195,395 | |
TRANSPORTATION - 0.8 % |
|
|
|
| TOTAL SHORT-TERM INVESTMENTS (Cost - $1,195,395) |
|
|
| ||
Deutsche Post AG |
| 1,416 |
| 26,432 |
|
|
|
|
|
|
Kawasaki Kisen Kaisha Ltd. * | 22,000 |
| 46,317 |
| TOTAL INVESTMENTS - 99.4 % (Cost - $40,598,339) |
|
| $ 42,937,883 | ||
Koninklijke Vopak NV |
| 833 |
| 53,705 |
| OTHER ASSETS LESS LIABILITIES - 0.6 % |
|
| 247,133 | |
Nippon Yusen KK |
| 51,000 |
| 150,682 |
| NET ASSETS - 100.0% |
|
|
| $ 43,185,016 |
Orient Overseas International Ltd. | 13,500 |
| 91,994 |
|
|
|
|
|
| |
|
|
|
| 369,130 |
| * Non-income producing security. |
|
|
| |
WATER - 0.5 % |
|
|
|
|
| ADR - American Depositary Receipt. |
|
|
| |
Cia de Saneamento Basico do Estado de Sao Paulo - ADR | 1,577 |
| 124,835 |
| GDR - Global Depositary Receipt |
|
|
| ||
Cia de Saneamento Basico do Estado de Sao Paulo | 2,000 |
| 79,256 |
| NVDR - Non Voting Depositary Receipt. |
|
|
| ||
|
|
|
| 204,091 |
| + Variable rate security. Interest rate is as of April 30, 2012. |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCK (Cost - $38,196,491) |
|
| 40,218,603 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
PREFERRED STOCK - 3.5 % |
|
|
|
|
|
|
|
|
| |
AEROSPACE/DEFENSE - 0.0 % |
|
|
|
|
|
|
|
|
|
|
Rolls-Royce Holdings PLC * | 2,278,258 |
| 3,700 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
AUTO MANUFACTURERS - 1.5 % |
|
|
|
|
|
|
|
|
| |
Hyundai Motor Co. |
| 711 |
| 46,751 |
|
|
|
|
|
|
Porsche Automobil Holding SE | 2,507 |
| 153,108 |
|
|
|
|
|
| |
Volkswagen AG |
| 2,283 |
| 432,598 |
|
|
|
|
|
|
|
|
|
| 632,457 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio Composition * - Unaudited | ||||||||||
Other Countries |
| 23.58% |
|
|
| South Korea |
| 5.72% |
|
|
Japan |
| 16.37% |
|
|
| Brazil |
| 5.56% |
|
|
France |
| 10.96% |
|
|
| Hong Kong |
| 4.26% |
|
|
Britain |
| 10.33% |
|
|
| Spain |
| 3.89% |
|
|
Germany |
| 10.15% |
|
|
| Netherlands |
| 3.29% |
|
|
Italy |
| 5.89% |
|
|
| Total |
| 100.00% |
|
|
* Based on total market value of investments as of April 30, 2012. |
|
|
|
|
|
|
|
| ||
Percentage may differ from Schedule of Investments which is based on Fund net assets. |
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
Dunham Real Estate Stock Fund
Message from the Sub-Adviser (Ten Asset Management, Inc.)
The real estate stock market, as measured by the Dow Jones U.S. Select Real Estate Securities Index, continued its remarkable rally from the first fiscal quarter through the second fiscal quarter ending April 30, 2012. In the first fiscal quarter, real estate securities rose 7.0 percent and in the most recent fiscal quarter increased an additional 7.2 percent. Across both periods, this brought the return on real estate stocks to 14.7 percent, 1.5 percent higher than U.S. stocks in general, as measured by the S&P 500 Index. In the span of the past six months, concerns about Greece generally transitioned from regularly moving markets to far less volatile action and the strength of the domestic economic recovery has been largely taken for granted. These rapid shifts in market psychology have led to opportunities which the sub-adviser’s strategy seeks to take advantage of, as it remains focused on real estate investment trusts (“REITs”) that trade at a discount to their intrinsic value.
The continuation of the rally in real estate stocks during the most recent fiscal quarter was led by regional mall REITs, and closely followed by retail REITs and warehouse/industrial REITs. Regional mall REITs climbed 14.2 percent during the most recent fiscal quarter after rising 8.5 percent in the previous fiscal quarter. Retail and warehouse/industrial REITs rose 11.7 and 11.4 percent, respectively over the most recent fiscal quarter. In contrast, the worst performing REITs, in general, were healthcare REITs, whose prospects were hampered by concerns regarding Medicare reimbursement amid austerity. Healthcare REITs rose less than 1.0 percent during the most recent fiscal quarter, underperforming the real estate stock index by close to 6.2 percent. Another relative underperformer was the hotel REITs sector, which underperformed the real estate stock index by 1.7 percent during the most recent fiscal quarter. The underperformance of the hotel REIT sector was on the heels of the hotel REIT sector increasing 14.8 percent in the first fiscal quarter, leaving it one of the strongest performers within the REITs market in the past six months.
The Sub-Adviser remains interested in how the real estate market will react to the winding down of the Federal Reserve’s “Operation Twist.” This is primarily because the Sub-Adviser believes that a key driver to REIT earnings is the spread earned between portfolio income and borrowing costs. Portfolio income generally resets at a pace slower than borrowing costs, causing the spread income to increase as the yield curve flattens. For example, as of April 30, 2012 the yield on 30-year Treasuries stood at 3.1 percent, barely changed from January and down from 4.4 percent as of June 30, 2011. The yield on 10-year treasuries stood at less than 2.0 percent, also insignificantly changed from three months ago and down from 3.2 percent as of June 30, 2011. In the event that the expiration of Operation Twist affects the shape of the yield curve and causes it to steepen, this will generally eat away at REIT earnings and may affect the valuations on REITs that are most sensitive to interest rate changes.
The Fund’s return in the past two fiscal quarters benefitted from the better performance of REITs trading at discounted FFO (funds from operations) yields, which are favored by the Sub-Adviser’s selection process, as well as REITs with less turnover or changes within their property portfolios. During the six month period, the Fund benefitted from holding DuPont Fabros Technology (DFT), which focuses on data center properties whose growth generally coincides with the demand for cloud computing. DuPont Fabros Technology increased 31.8 percent over past two fiscal quarters. Another strong contributor to Fund performance was Pennsylvania Real Estate Investment Trust (PEI), a commercial REIT which returned 41.1 percent during the past two fiscal quarters. The Fund’s performance was negatively impacted by its position in First Potomac Realty Trust (FPO), a REIT focused on Washington DC properties, which declined 9.7 percent over the six month period and 15.1 percent in the most recent fiscal quarter primarily due to concern over its earnings release.
Consistent with the Sub-Adviser’s discipline to invest in REITs with premium FFO yields and trading at a discount to their NAV (net asset value), the Sub-Adviser remains slightly overweight hotel and office REITs and underweight residential REITs. The Sub-Adviser is optimistic about some of the Fed’s programs and their benefit to REITs not only from the apparent aim of supporting housing prices, but with the indirect benefit of supporting spread income through a flattening yield curve. The Sub-Adviser believes REITs should continue to attract income investors looking for sources of yield.
Growth of $10,000 Investment - (Unaudited)
Total Returns as of April 30, 2012
| Six Months | One Year | Annualized Three Years | Annualized Five Years | Annualized Since Inception (12/10/04) |
Class N | 14.15% | 7.60% | 30.92% | (0.21)% | 5.58% |
Class C Class A with load of 5.75% Class A without load | 13.66% 7.56% 14.10% | 6.50% 1.13% 7.34% | 29.66% 28.06% 30.62% | (1.21)% (1.61)% (0.44)% | 4.53% (1.00)%* 0.12%* |
DJ U.S. Select Real Estate Securities Index | 14.73% | 10.00% | 32.80% | (0.31)% | 6.60% |
*Class A commenced operations on January 3, 2007.
The DJ U.S. Select Real Estate Securities Index is a market-capitalization weighted index which provides a broad measure of the performance of publicly traded real estate securities. Investors cannot invest directly in an index or benchmark.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.53% for Class N, 2.53% for Class C and 1.78% for Class A. 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.
SCHEDULE OF INVESTMENTS | ||||||||||
Dunham Real Estate Stock Fund (Unaudited) | ||||||||||
April 30, 2012 | ||||||||||
|
|
|
| Market |
|
|
|
|
| Market |
Security |
| Shares |
| Value |
| Security |
| Shares |
| Value |
REITS - 98.2 % |
|
|
|
|
|
|
|
|
|
|
APARTMENTS - 15.8% |
|
|
|
|
| REGIONAL MALLS - 18.7% |
|
|
|
|
Apartment Investment & Management Co. - Cl. A |
| 2,500 |
| $ 67,875 |
| CBL & Associates Properties, Inc. |
| 14,470 |
| $ 269,576 |
Avalonbay Communities |
| 4,070 |
| 591,778 |
| The Macerich Co. |
| 3,712 |
| 228,548 |
BRE Properties, Inc |
| 1,400 |
| 73,500 |
| Penn Real Estate Investment Trust |
| 26,780 |
| 377,330 |
Camden Property Trust |
| 7,520 |
| 508,878 |
| Rouse Properties, Inc. * |
| 450 |
| 6,048 |
Equity Residential |
| 14,420 |
| 885,965 |
| Simon Property Group |
| 12,801 |
| 1,991,836 |
Essex Property Trust, Inc. |
| 700 |
| 110,579 |
| Taubman Centers, Inc. |
| 3,980 |
| 307,176 |
Home Properties, Inc. |
| 4,070 |
| 248,474 |
|
|
|
|
| 3,180,514 |
UDR, Inc. |
| 7,750 |
| 204,058 |
| SHOPPING CENTERS - 3.2% |
|
|
|
|
|
|
|
| 2,691,106 |
| Federal Realty Investment Trust |
| 1,800 |
| 181,188 |
DIVERSIFIED - 12.5% |
|
|
|
|
| Kimco Realty Corp. |
| 8,801 |
| 170,827 |
CapLease, Inc. |
| 22,700 |
| 94,205 |
| Kite Realty Group Trust |
| 37,800 |
| 193,158 |
DuPont Fabros Technology, Inc. |
| 14,100 |
| 382,815 |
|
|
|
|
| 545,173 |
Lexington Realty Trust |
| 21,950 |
| 195,355 |
| SINGLE TENANT - 0.5% |
|
|
|
|
Liberty Property Trust |
| 5,770 |
| 210,317 |
| Getty Realty Corp. |
| 5,400 |
| 85,428 |
Mission West Properties, Inc. |
| 15,400 |
| 135,212 |
|
|
|
|
|
|
One Liberty Properties, Inc. |
| 12,286 |
| 232,328 |
| STORAGE - 4.6% |
|
|
|
|
PS Business Parks, Inc. |
| 1,600 |
| 109,200 |
| CubeSmart |
| 12,300 |
| 154,488 |
Vornado Realty Trust |
| 8,971 |
| 770,071 |
| Public Storage |
| 3,942 |
| 564,731 |
|
|
|
| 2,129,502 |
| Sovran Self Storage, Inc. |
| 1,100 |
| 57,970 |
HEALTH CARE - 12.6% |
|
|
|
|
|
|
|
|
| 777,189 |
HCP, Inc |
| 19,090 |
| 791,281 |
| WAREHOUSE - 4.3% |
|
|
|
|
Health Care REIT, Inc. |
| 5,020 |
| 284,433 |
| First Potomac Realty Trust |
| 17,600 |
| 218,944 |
Omega Healthcare Investors |
| 17,000 |
| 363,970 |
| Prologis, Inc. |
| 14,414 |
| 515,733 |
Senior Housing Property Trust |
| 8,200 |
| 181,056 |
|
|
|
|
| 734,677 |
Ventas, Inc. |
| 8,953 |
| 526,347 |
|
|
|
|
|
|
|
|
|
| 2,147,087 |
| TOTAL REITS (Cost - $11,679,565) |
|
|
| 16,728,862 |
HOTELS - 8.4% |
|
|
|
|
|
|
|
|
|
|
Ashford Hospitality Trust |
| 36,340 |
| 310,344 |
| SHORT-TERM INVESTMENTS - 1.5% |
|
|
|
|
Hospitality Properties Trust |
| 16,980 |
| 468,308 |
| MONEY MARKET FUND - 1.5% |
|
|
|
|
Host Hotels & Resorts, Inc. |
| 16,616 |
| 276,490 |
| Fidelity Institutional Money Market |
|
|
|
|
Sunstone Hotel Investors, Inc. * |
| 36,500 |
| 372,300 |
| Funds - Government Portfolio, 0.01%+ |
| 250,952 |
| 250,952 |
|
|
|
| 1,427,442 |
| TOTAL SHORT TERM INVESTMENTS |
|
|
|
|
MANUFACTURED HOMES - 1.2% |
|
|
|
|
| (Cost - $250,952) |
|
|
|
|
Sun Communities, Inc. |
| 4,200 |
| 183,750 |
|
|
|
|
|
|
UMH Properties, Inc. |
| 2,200 |
| 25,938 |
| TOTAL INVESTMENTS - 99.7% (Cost - $11,930,517) |
|
| $ 16,979,814 | |
|
|
|
| 209,688 |
| OTHER ASSETS LESS LIABILITIES - 0.3% |
|
| 58,069 | |
MORTGAGE - 1.0% |
|
|
|
|
| NET ASSETS - 100.0% |
|
|
| $ 17,037,883 |
AG Mortgage Investment Trust |
| 8,570 |
| 169,686 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OFFICE PROPERTY - 15.4% |
|
|
|
|
|
|
|
|
|
|
Boston Properties, Inc. |
| 5,400 |
| 584,550 |
|
|
|
|
|
|
Brandywine Realty Trust |
| 30,480 |
| 361,493 |
|
|
|
|
|
|
CommonWealth REIT |
| 23,135 |
| 433,781 |
|
|
|
|
|
|
Highwoods Properties, Inc. |
| 12,810 |
| 444,891 |
|
|
|
|
|
|
Mack Cali Realty Corp. |
| 18,990 |
| 545,393 |
| REIT - Real Estate Investment Trust. |
|
|
|
|
Parkway Properties, Inc. |
| 8,300 |
| 82,087 |
| + Variable rate security. Interest rate is as of April 30, 2012. |
|
| ||
Piedmont Office Realty Trust - Cl. A |
| 10,100 |
| 179,174 |
| * Non-Income producing security. |
|
|
|
|
|
|
|
| 2,631,369 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||||
Dunham Real Estate Stock Fund (Unaudited) (Continued) | ||||||||||
April 30, 2012 | ||||||||||
Portfolio Composition * - Unaudited | ||||||||||
Regional Malls |
|
|
| 18.73% |
| Warehouse/Industrial |
|
|
| 4.33% |
Apartments |
|
|
| 15.85% |
| Shopping Centers |
|
|
| 3.21% |
Office Property |
|
|
| 15.50% |
| Short Term Investments |
|
|
| 1.48% |
Health Care |
|
|
| 12.64% |
| Manufactured Homes |
|
|
| 1.23% |
Diversified |
|
|
| 12.54% |
| Mortgage |
|
|
| 1.00% |
Hotels |
|
|
| 8.41% |
| Single Tenant |
|
|
| 0.50% |
Storage |
|
|
| 4.58% |
| Total |
|
|
| 100.00% |
|
|
|
|
|
|
|
|
|
|
|
* Based on total market value of investments as of April 30, 2012. |
|
|
|
|
|
|
| |||
Percentage may differ from Schedule of Investments which is based on Fund net assets. |
|
|
|
| ||||||
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
Dunham Small Cap Value Fund
Message from the Sub-Adviser (Denver Investment Advisors LLC)
Small capitalization value stocks, as measured by the Russell 2000 Value Index, increased by 7.1 percent in the six-month period ended April 30, 2012. The energy, utilities and communications sectors were the largest contributors to the Fund’s performance relative to the benchmark. Individual security selection within those sectors was the main driver of performance, according to the Sub-Adviser. The Sub-Adviser also noted that the Fund performed relatively well despite the underperformance of so-called “quality” small cap stocks that have lower betas, sell for more than twenty dollars per share and pay dividends. The Sub-Adviser’s strategy only allows it to buy dividend paying small cap stocks that are priced at more than five dollars per share.
The energy sector was the top contributor to performance against the benchmark index in the six-month period ended April 30, 2012. The Sub-Adviser was underweight the sector by a small amount, but its selections outperformed energy stocks within the index by nearly 10 percent. Berry Petroleum Co. (BRY), an independent oil and gas exploration firm, had a 30 percent total return in the six-month period.
In a turnaround from the previous six-month period studied, the consumer cyclicals sector had a slightly negative impact on the Fund. The Sub-Adviser underweighted the sector by more than 2 percent while selections underperformed cyclicals within the benchmark by a relatively small margin. One of the top ten holdings, Stage Stores, Inc. (SSI), a clothing retailer, fell just over 1 percent in the time period studied after rising by 45 percent in the previous six months.
Exposure to the financial sector had a positive impact on the Fund despite a 1 percent underweight to the index. Security selection in financials was mainly responsible for the outperformance. Trustmark Corporation, a regional bank contained in the Fund, gained only 1 percent in the six-months ended April 30, 2011. Fulton Financial Corporation (FULT), a regional bank in the Northeast, delivered a 12.6 percent return in the six-month period ended April 30, 2012. The Fund is shifting to an equal weight position after severely underweighting the sector in several previous quarters. The Sub-Adviser feels that after years of recovery from the financial meltdown, banks are in a better position to grow, particularly in the small capitalization space.
The utilities sector was the second largest contributor to performance against the benchmark index. Both security selection and a 2 percent underweight to the index contributed to the outperformance. The Sub-Adviser plans to maintain the underweight position, as it feels most of the companies in the sector are somewhat overvalued.
The communications sector also added value to the Fund despite its extremely low weighting in the benchmark index. The Sub-Adviser maintained an overweight of just over 1 percent and outperformed communications stocks within the index by nearly 10 percent.
Going forward, no material changes are planned for the Fund. The Sub-Adviser expects quite a bit of volatility may occur in the second half of the year as growth slows in China and Europe’s recession continues to be a concern. It also expects wage growth to be flat to negative in the U.S., with gross domestic product growth at approximately 2 percent annualized.
Growth of $10,000 Investment – (Unaudited)
Total Returns as of April 30, 2012
| Six Months |
| One Year | Annualized Three Years | Annualized Five Years | Annualized Since Inception (12/10/04) |
Class N | 9.00% |
| (1.73)% | 19.60% | (0.66)% | 2.67% |
Class C Class A with load of 5.75% Class A without load | 8.53% 2.63% 8.85% |
| (2.61)% (7.59)% (1.99)% | 18.46% 17.00% 19.33% | (1.63)% (2.08)% (0.91)% | 1.68% (0.81)%* 0.29%* |
Russell 2000 Value Index | 11.47% |
| (4.06)% | 18.77% | (0.49)% | 3.95% |
* Class A commenced operations on January 3, 2007.
The Russell 2000 Value Index measures the performance of the 2000 smallest companies with lower price-to-book ratios and lower forecasted growth values. Investors cannot invest directly in an index or benchmark.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 2.11% for Class N, 3.11% for Class C and 2.36% for Class A. 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.
SCHEDULE OF INVESTMENTS | ||||||||||
Dunham Small Cap Value Fund (Unaudited) | ||||||||||
April 30, 2012 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
Security |
| Shares |
| Market Value |
| Security |
| Shares |
| Market Value |
COMMON STOCK - 96.4 % |
|
|
|
|
|
|
|
|
| |
AEROSPACE/DEFENSE - 3.0 % |
|
|
|
| HOUSEHOLD PRODUCTS - 1.7 % |
|
|
| ||
Alliant Techsystems, Inc. | 4,250 |
| $ 226,525 |
| Ennis, Inc. |
| 8,250 |
| $ 130,020 | |
Cubic Corp. |
| 4,350 |
| 201,101 |
| Toro, Co. |
| 3,170 |
| 226,528 |
Curtiss-Wright Corp. |
| 5,350 |
| 188,801 |
|
|
|
|
| 356,548 |
|
|
|
| 616,427 |
| INSURANCE - 11.8 % |
|
|
|
|
APPAREL - 1.6 % |
|
|
|
|
| Alterra Capital Holdings, Ltd. | 17,880 |
| 427,868 | |
Jones Group, Inc. |
| 30,050 |
| 337,161 |
| American Equity Investment Life Holding Co. | 31,310 |
| 383,861 | |
|
|
|
|
|
| Aspen Insurance Holdings, Ltd. | 11,300 |
| 320,016 | |
AUTO PARTS & EQUIPMENT - 1.3 % |
|
|
|
| Endurance Specialty Holdings, Ltd. | 12,600 |
| 506,268 | ||
Cooper Tire & Rubber Co. | 18,100 |
| 270,595 |
| Kemper Corp. |
| 6,650 |
| 199,433 | |
| �� |
|
|
|
| Protective Life Corp. |
| 10,550 |
| 308,693 |
BANKS - 10.6 % |
|
|
|
|
| StanCorp Financial Group, Inc. | 7,770 |
| 298,213 | |
Bank of the Ozarks, Inc. | 8,300 |
| 256,470 |
|
|
|
|
| 2,444,352 | |
Community Bank System, Inc. | 9,550 |
| 268,546 |
| TRUCKING & LEASING - 1.2 % |
|
|
| ||
Fulton Financial Corp. |
| 38,000 |
| 398,620 |
| GATX Corp. |
| 5,895 |
| 252,719 |
Trustmark Corp. |
| 11,150 |
| 283,767 |
|
|
|
|
|
|
Webster Financial Corp. |
| 11,300 |
| 256,849 |
| IRON/STEEL - 0.9 % |
|
|
|
|
Westamerica Bancorporation | 8,785 |
| 402,968 |
| Schnitzer Steel Industries, Inc. | 4,750 |
| 189,383 | ||
Wintrust Financial Corp. |
| 8,790 |
| 317,583 |
|
|
|
|
|
|
|
|
|
| 2,184,803 |
| MINING - 0.5 % |
|
|
|
|
CHEMICALS - 4.7 % |
|
|
|
|
| Compass Minerals International, Inc. | 1,400 |
| 107,128 | |
Cabot Corp. |
| 8,820 |
| 380,407 |
|
|
|
|
|
|
Innophos Holdings, Inc. |
| 4,520 |
| 222,248 |
| MISCELLANEOUS MANUFACTURING - 1.0 % |
|
|
| |
Sensient Technologies Corp. | 9,950 |
| 369,643 |
| Actuant Corp. |
| 7,350 |
| 200,434 | |
|
|
|
| 972,298 |
|
|
|
|
|
|
COMMERCIAL SERVICES - 3.6 % |
|
|
|
| OIL & GAS - 1.4 % |
|
|
|
| |
Brink's Co. |
| 13,340 |
| 338,836 |
| Berry Petroleum, Co. |
| 6,400 |
| 291,520 |
MAXIMUS, Inc. |
| 8,900 |
| 393,825 |
|
|
|
|
|
|
|
|
|
| 732,661 |
| PHARMACEUTICALS - 2.5 % |
|
|
| |
DISTRIBUTION/WHOLESALE - 1.9 % |
|
|
|
| Medicis Pharmaceutical Corp. | 13,300 |
| 511,651 | ||
Owens & Minor, Inc. |
| 13,502 |
| 394,798 |
|
|
|
|
|
|
|
|
|
|
|
| REITS - 5.2 % |
|
|
|
|
ELECTRIC - 3.6 % |
|
|
|
|
| DuPont Fabros Technology, Inc. | 10,600 |
| 287,790 | |
Portland General Electric, Co. | 16,500 |
| 426,195 |
| Government Properties Income Trust | 10,100 |
| 234,522 | ||
UIL Holdings Corp. |
| 9,370 |
| 322,047 |
| Hatteras Financial Corp. |
| 9,200 |
| 267,996 |
|
|
|
| 748,242 |
| LTC Properties, Inc. |
| 8,850 |
| 294,528 |
ELECTRICAL COMPONENTS & EQUIPMENT - 1.3 % |
|
|
|
|
|
|
|
| 1,084,836 | |
Belden, Inc. |
| 7,620 |
| 265,024 |
| REITS - MANUFACTURED HOMES - 1.1 % |
|
|
| |
|
|
|
|
|
| Equity Lifestyle Properties, Inc. | 3,200 |
| 223,808 | |
ELECTRONICS - 2.2 % |
|
|
|
|
|
|
|
|
|
|
CTS Corp. |
| 17,650 |
| 189,384 |
| REITS - OFFICE PROPERTY - 1.6 % |
|
|
| |
Park Electrochemical Corp. | 8,838 |
| 254,976 |
| Brandywine Realty Trust | 27,630 |
| 327,692 | ||
|
|
|
| 444,360 |
|
|
|
|
|
|
FOREST PRODUCTS & PAPER - 4.3 % |
|
|
|
| RETAIL - 2.3 % |
|
|
|
| |
Buckeye Technologies, Inc. | 12,600 |
| 408,366 |
| CEC Entertainment, Inc. | 5,500 |
| 210,210 | ||
Schweitzer-Mauduit International, Inc. | 7,050 |
| 478,131 |
| Dillard's, Inc. |
| 4,150 |
| 267,924 | |
|
|
|
| 886,497 |
|
|
|
|
| 478,134 |
HAND/MACHINE TOOLS - 1.2 % |
|
|
|
| RETAIL - APPAREL - 4.7 % |
|
|
| ||
Franklin Electric Co. Inc. | 4,930 |
| 247,240 |
| Finish Line, Inc. |
| 17,990 |
| 400,457 | |
|
|
|
|
|
| Regis Corp. |
| 16,570 |
| 304,060 |
HEALTHCARE-PRODUCTS - 5.2 % |
|
|
|
| Stage Stores Inc. |
| 16,852 |
| 257,330 | |
Meridian Bioscience, Inc. | 16,780 |
| 344,829 |
|
|
|
|
| 961,847 | |
STERIS Corp. |
| 7,170 |
| 225,210 |
|
|
|
|
|
|
West Pharmaceutical Services, Inc. | 11,300 |
| 507,370 |
|
|
|
|
|
| |
|
|
|
| 1,077,409 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||||
Dunham Small Cap Value Fund (Unaudited) (Continued) | ||||||||||
April 30, 2012 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
Security |
| Shares |
| Market Value |
| Security |
| Shares |
| Market Value |
RETAIL - CONVENIENCE STORE - 1.8 % |
|
|
|
| TRANSPORTATION - 4.4 % |
|
|
| ||
Casey's General Stores, Inc. | 6,650 |
| $ 374,727 |
| Bristow Group, Inc. |
| 8,450 |
| $ 412,782 | |
|
|
|
|
|
| Teekay Tankers, Ltd. - Cl. A | 14,700 |
| 75,852 | |
RETAIL - RESTAURANTS - 2.1 % |
|
|
|
| Tidewater, Inc. |
| 7,670 |
| 422,080 | |
Bob Evans Farms, Inc. |
| 11,590 |
| 443,202 |
|
|
|
|
| 910,714 |
|
|
|
|
|
|
|
|
|
|
|
RETAIL - SPECIALTY - 1.8 % |
|
|
|
| TOTAL COMMON STOCK (Cost - $16,946,768) |
|
| 19,942,901 | ||
Cash America International, Inc. | 7,990 |
| 373,533 |
|
|
|
|
|
| |
|
|
|
|
|
| SHORT-TERM INVESTMENTS - 3.4 % |
|
|
| |
SEMICONDUCTORS - 0.9 % |
|
|
|
| MONEY MARKET FUND - 3.4 % |
|
|
| ||
Intersil Corp. - Cl. A |
| 18,900 |
| 194,103 |
| Fidelity Institutional Money Market Funds - |
|
|
| |
|
|
|
|
|
| Government Portfolio - 0.01% + | 707,828 |
| 707,828 | |
SOFTWARE - 1.9 % |
|
|
|
|
| TOTAL SHORT-TERM INVESTMENTS (Cost - $707,828) |
|
| ||
Blackbaud, Inc. |
| 6,020 |
| 186,500 |
|
|
|
|
|
|
Ebix, Inc. |
| 10,050 |
| 205,522 |
| TOTAL INVESTMENTS - 99.8 % (Cost - $17,654,596) |
| $ 20,650,729 | ||
|
|
|
| 392,022 |
| OTHER ASSETS LESS LIABILITIES - 0.2 % |
|
| 32,976 | |
TELECOMMUNICATIONS - 3.1 % |
|
|
|
| NET ASSETS - 100.0% |
|
|
| $ 20,683,705 | |
Plantronics, Inc. |
| 16,885 |
| 647,033 |
|
|
|
|
|
|
|
|
|
|
|
| + Variable rate security, Interest rates as of April 30, 2012. |
|
| ||
|
|
|
|
|
| REIT - Real Estate Investment Trust |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio Composition * - Unaudited | ||||||||||
Financial |
| 31.42% |
|
|
|
| Utilities |
|
| 3.75% |
Consumer, Cyclical |
| 19.36% |
|
|
|
| Communications |
|
| 3.24% |
Industrial |
| 14.73% |
|
|
|
| Technology |
|
| 2.94% |
Consumer, Non-Cyclical | 12.29% |
|
|
|
| Energy |
|
| 1.46% | |
Basic Materials |
| 10.81% |
|
|
|
| Total |
|
| 100.00% |
|
|
|
|
|
|
|
|
|
|
|
* Based on total market value of investments as of April 30, 2012. |
|
|
|
|
|
|
|
|
| |
Percentage may differ from Schedule of Investments which is based on Fund net assets. |
|
|
|
|
|
|
| |||
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
Dunham Small Cap Growth Fund
Message from the Sub-Adviser (Pier Capital, LLC)
Small capitalization growth equities, as measured by the Russell 2000 Growth Index, finished the first half of the fiscal year up 10.6 percent. Growth stocks in the small cap space lagged their larger cap peers, as measured by the Russell 1000 Growth Index, by 3.6 percentage points over this same six-month period. The relative underperformance occurred in the second fiscal quarter, especially April, as small cap growth equities, which are historically more volatile than large cap growth equities, experienced a stronger selloff than the broader market.
The Sub-Adviser ended the first fiscal quarter with an overweight allocation to the industrials sector. The sector had been particularly sold off at the end of the prior fiscal year, as industrial firms often operate with a high amount of leverage and intensive capital requirements that can see margins rapidly shift depending on the economic cycle. The Sub-Adviser had avoided names in the sector that were particularly depressed in price, even though these named rallied strongly in the latter part of the quarter, as it requires a fundamental firm catalyst rather than simply a “cheap” valuation to invest. The Sub-Adviser’s overall investment approach continues to target firms with secular market catalysts and novel product creation that can initially drive top-line sales, as well as eventually expanding bottom-line margins and revenue.
By the close of the second fiscal quarter, the Fund had an approximate 5 percent overweight allocation to the industrials sector, an increased overweighting from the end of January and the modest underweight to begin the fiscal year. The Sub-Adviser monitored recessionary developments in Europe, since the widespread deflation there has the potential to impact manufacturing orders from U.S. firms, as well as the potential for a sharp slowdown in Chinese export growth. While the Sub-Adviser did notice a moderation in factory orders later in the fiscal quarter and continues to carefully observe the situation, it does feel that the domestic manufacturing resurgence may still continue and has found attractive growth prospects in the sector. In the industrials space, top performers held over the six month period included names such as jet cabin designer BE Aerospace, Inc. (BEAV), which rose 24.7 percent, and less-than-truckload motor carrier Old Dominion Freight Line, Inc. (ODFL), which added 21.7 percent.
The information technology sector was the largest absolute weighting in the Fund across most of this six- month period, rising from a 21.5 percent allocation in early November to approximately 35 percent by April’s close. The Sub-Adviser especially increased the overweighting to this sector over the second fiscal quarter. OSI Systems, Inc. (OSIS) was a strong performer with a 12.7 percent gain since initial purchase in late February. OSI Systems manufactures electronic components for various industries including healthcare and defense, and rose after its Q3 profits increased 43 percent. The Fund exited, in several sales mid-March through mid-April, its position in Stratasys Inc. (SSYS) a developer of 3D printers for direct digital manufacturing. The final position closure in April came after the stock rallied on news of a merger with Israel’s Object Ltd., another 3D printer manufacturer, in a deal that valued both firms at $1.4 billion.
In contrast, the Sub-Adviser largely trimmed back its overweight allocation to consumer discretionary firms over the course of both fiscal quarters. While the Fund began the year significantly overweight the sector at 26.7 percent of holdings, by the end of April consumer discretionary stocks were a modest underweight, at approximately 14.9 percent of the Fund. Body Central Corp. (BODY), a retailer of inexpensive apparel for women, so-called “fast fashion,” was a top performer in the sector after rising 44.6 percent over both fiscal quarters. Select Comfort Corp. (SCSS), a mattress retailer, was another strong consumer discretionary holdings, gaining 39.1 percent over first half of the fiscal year.
Growth of $10,000 Investment - (Unaudited)
Total Returns as of April 30, 2012
| Six Months | One Year | Annualized Three Years | Annualized Five Years | Annualized Since Inception (12/10/04) |
Class N | 11.19% | (8.12)% | 20.30% | 4.86% | 6.20% |
Class C Class A with load of 5.75% Class A without load | 10.66% 4.71% 11.10% | (9.01)% (13.59)% (8.31)% | 19.09% 17.71% 20.05% | 3.81% 3.37% 4.60% | 5.16% 3.91%* 5.08%* |
Russell 2000 Growth Index | 10.58% | (4.42)% | 21.83% | 3.27% | 5.73% |
*Class A commenced operations on January 3, 2007.
The Russell 2000 Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. Investors cannot invest directly in an index or benchmark.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.46% for Class N, 2.46% for Class C and 1.71% for Class A. 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.
SCHEDULE OF INVESTMENTS | ||||||||||
Dunham Small Cap Growth Fund (Unaudited) | ||||||||||
April 30, 2012 | ||||||||||
|
|
|
| Market |
|
|
|
|
| Market |
Security |
| Shares |
| Value |
| Security |
| Shares |
| Value |
COMMON STOCK - 96.3 % |
|
|
|
|
|
|
|
|
|
|
AEROSPACE/DEFENSE - 1.2 % |
|
|
|
|
| ELECTRONICS - 2.8 % |
|
|
|
|
BE Aerospace, Inc. * |
| 4,849 |
| $ 228,048 |
| II-VI, Inc. * |
| 2,103 |
| $ 42,922 |
|
|
|
|
|
| Imax Corp. * |
| 7,716 |
| 184,952 |
AIRLINES - 2.1 % |
|
|
|
|
| OSI Systems, Inc. * |
| 4,457 |
| 297,995 |
Allegiant Travel Co. * |
| 2,780 |
| 163,353 |
|
|
|
|
| 525,869 |
Spirit Airlines, Inc. * |
| 9,351 |
| 224,611 |
| ENGINEERING & CONSTRUCTION - 0.8 % |
|
|
| |
|
|
|
| 387,964 |
| McDermott International, Inc. * |
| 12,562 |
| 141,951 |
APPAREL - 1.3 % |
|
|
|
|
|
|
|
|
|
|
Deckers Outdoor Corp. * |
| 1,572 |
| 80,188 |
| FOOD - 1.5 % |
|
|
|
|
Maidenform Brands, Inc. * |
| 7,245 |
| 165,403 |
| Chefs' Warehouse, Inc. * |
| 5,156 |
| 124,672 |
|
|
|
| 245,591 |
| United Natural Foods, Inc. * |
| 3,296 |
| 162,460 |
AUTO MANUFACTURERS - 0.7 % |
|
|
|
|
|
|
|
|
| 287,132 |
Wabash National Corp. * |
| 15,051 |
| 125,977 |
| HEALTHCARE-PRODUCTS - 6.3 % |
|
|
|
|
|
|
|
|
|
| ABIOMED, Inc. * |
| 9,627 |
| 234,225 |
BANKS - 1.4 % |
|
|
|
|
| Cepheid, Inc. * |
| 4,153 |
| 159,517 |
Signature Bank * |
| 3,916 |
| 257,242 |
| Cyberonics, Inc. * |
| 4,361 |
| 167,026 |
|
|
|
|
|
| Given Imaging Ltd. * |
| 4,131 |
| 80,224 |
BIOTECHNOLOGY - 4.6 % |
|
|
|
|
| MAKO Surgical Corp. * |
| 4,569 |
| 188,745 |
Alexion Pharmaceuticals, Inc. * |
| 3,490 |
| 315,217 |
| Meridian Bioscience, Inc. |
| 8,120 |
| 166,866 |
Exact Sciences Corp. * |
| 15,934 |
| 171,609 |
| OraSure Technologies, Inc. * �� |
| 15,554 |
| 178,404 |
Illumina, Inc. * |
| 4,296 |
| 191,301 |
|
|
|
|
| 1,175,007 |
Incyte Corp. Ltd. * |
| 7,546 |
| 171,143 |
| HEALTHCARE-SERVICES - 2.3 % |
|
|
|
|
|
|
|
| 849,270 |
| Centene Corp. * |
| 3,616 |
| 143,157 |
CHEMICALS - 1.3 % |
|
|
|
|
| ICON PLC - ADR * |
| 7,567 |
| 167,836 |
Cytec Industries, Inc. |
| 2,574 |
| 163,629 |
| Molina Healthcare, Inc. * |
| 4,314 |
| 110,654 |
Zoltek, Inc. * |
| 6,319 |
| 69,699 |
|
|
|
|
| 421,647 |
|
|
|
| 233,328 |
| HOME BUILDERS - 0.9 % |
|
|
|
|
COMMERCIAL SERVICES - 11.0 % |
|
|
|
|
| Thor Industries, Inc. |
| 4,683 |
| 158,426 |
Cardtronics, Inc. * |
| 5,633 |
| 148,486 |
|
|
|
|
|
|
DFC Global Corp. * |
| 9,182 |
| 160,501 |
| HOME FURNISHINGS - 1.9 % |
|
|
|
|
ExlService Holdings, Inc. * |
| 5,842 |
| 161,706 |
| La-Z-Boy, Inc. * |
| 11,076 |
| 166,915 |
Huron Consulting Group, Inc. * |
| 4,157 |
| 146,493 |
| Select Comfort Corp. * |
| 6,394 |
| 184,659 |
ICF International, Inc. * |
| 5,856 |
| 146,049 |
|
|
|
|
| 351,574 |
Kenexa Corp. * |
| 5,058 |
| 165,245 |
| HOUSEHOLD PRODUCTS/WARES - 0.9 % |
|
|
| |
MAXIMUS, Inc. |
| 4,520 |
| 200,010 |
| Tumi Holdings, Inc. * |
| 6,414 |
| 163,365 |
On Assignment, Inc. * |
| 11,733 |
| 219,524 |
|
|
|
|
|
|
PAREXEL International Corp. * |
| 6,164 |
| 166,058 |
| INTERNET - 8.6 % |
|
|
|
|
ServiceSource International, Inc. * |
| 10,417 |
| 172,714 |
| Active Network, Inc. * |
| 10,240 |
| 172,032 |
TrueBlue, Inc. * |
| 9,639 |
| 166,369 |
| Bankrate, Inc. * |
| 7,711 |
| 180,592 |
United Rentals, Inc. * |
| 3,968 |
| 185,226 |
| comScore, Inc. * |
| 6,928 |
| 138,006 |
|
|
|
| 2,038,381 |
| Liquidity Services, Inc. * |
| 3,388 |
| 180,682 |
COMPUTERS - 0.9 % |
|
|
|
|
| MercadoLibre, Inc. |
| 2,002 |
| 193,673 |
Cadence Design Systems, Inc. * |
| 14,343 |
| 167,383 |
| Rackspace Hosting, Inc. * |
| 3,109 |
| 180,602 |
|
|
|
|
|
| Sourcefire, Inc. * |
| 4,420 |
| 225,376 |
DISTRIBUTION/WHOLESALE - 2.8 % |
|
|
|
|
| SPS Commerce, Inc. * |
| 2,890 |
| 80,400 |
Beacon Roofing Supply, Inc. * |
| 7,177 |
| 191,554 |
| Stamps.com, Inc. * |
| 2,447 |
| 71,036 |
MWI Veterinary Supply, Inc. * |
| 1,784 |
| 168,410 |
| Yelp, Inc. - Cl. A * |
| 7,280 |
| 166,421 |
WESCO International, Inc. * |
| 2,477 |
| 164,448 |
|
|
|
|
| 1,588,820 |
|
|
|
| 524,412 |
| MACHINERY-DIVERSIFIED - 0.9 % |
|
|
|
|
DIVERSIFIED FINANCIAL SERVICES - 2.6 % |
|
|
| Chart Industries, Inc. * |
| 2,148 |
| 164,172 | ||
Financial Engines, Inc. * |
| 8,762 |
| 200,124 |
|
|
|
|
|
|
Portfolio Recovery Associates, Inc. * |
| 1,969 |
| 135,506 |
| MISCELLANEOUS MANUFACTURING- 2.5 % |
|
| ||
Stifel Financial Corp. * |
| 3,999 |
| 145,644 |
| Hexcel Corp. * |
| 5,889 |
| 161,241 |
|
|
|
| 481,274 |
| Proto Labs, Inc. * |
| 8,182 |
| 303,552 |
|
|
|
|
|
|
|
|
|
| 464,793 |
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||||
Dunham Small Cap Growth Fund (Unaudited) (Continued) | ||||||||||
April 30, 2012 | ||||||||||
|
|
|
| Market |
|
|
|
|
| Market |
Security |
| Shares |
| Value |
| Security |
| Shares |
| Value |
OIL & GAS - 4.6 % |
|
|
|
|
|
|
|
|
|
|
Atwood Oceanics, Inc. * |
| 5,196 |
| $ 230,339 |
| SOFTWARE - 10.0 % |
|
|
|
|
Continental Resources, Inc. * |
| 2,091 |
| 186,622 |
| Ariba, Inc. * |
| 4,761 |
| $ 181,870 |
GeoResources, Inc. * |
| 6,718 |
| 253,336 |
| Concur Technologies, Inc. * |
| 3,047 |
| 172,338 |
Oasis Petroleum, Inc. * |
| 5,275 |
| 174,444 |
| EPAM Systems, Inc. * |
| 16,430 |
| 339,115 |
|
|
|
| 844,741 |
| Guidewire Software, Inc. * |
| 5,479 |
| 149,138 |
PHARMACEUTICALS - 1.0 % |
|
|
|
|
| Jive Software, Inc. * |
| 6,958 |
| 165,670 |
Herbalife Ltd. |
| 2,778 |
| 195,349 |
| Medidata Solutions, Inc. * |
| 6,556 |
| 169,866 |
|
|
|
|
|
| NetSuite, Inc. * |
| 3,584 |
| 159,058 |
RETAIL - 12.4 % |
|
|
|
|
| Pegasystems, Inc. |
| 4,377 |
| 162,781 |
BJ's Restaurants, Inc. * |
| 4,778 |
| 206,362 |
| RealPage, Inc. * |
| 11,376 |
| 206,474 |
Body Central Corp. * |
| 6,118 |
| 185,804 |
| Velti PLC * |
| 12,842 |
| 153,462 |
Chico's FAS, Inc. |
| 10,752 |
| 165,151 |
|
|
|
|
| 1,859,772 |
Cost Plus, Inc. * |
| 8,256 |
| 159,919 |
| TELECOMMUNICATIONS - 1.3 % |
|
|
|
|
DSW, Inc. - Cl. A |
| 4,498 |
| 253,057 |
| Allot Communications Ltd. * |
| 4,446 |
| 109,105 |
Francesca's Holdings Corp. * |
| 6,854 |
| 214,873 |
| Aruba Networks, Inc. * |
| 6,445 |
| 136,118 |
GNC Holdings, Inc. - Cl. A |
| 6,124 |
| 239,203 |
|
|
|
|
| 245,223 |
Lululemon Athletica, Inc. * |
| 2,717 |
| 201,438 |
| TRANSPORTATION - 3.5 % |
|
|
|
|
Lumber Liquidators Holdings, Inc. * |
| 6,175 |
| 178,643 |
| Echo Global Logistics, Inc. * |
| 6,702 |
| 114,135 |
Men's Wearhouse, Inc. |
| 3,604 |
| 133,492 |
| Hub Group, Inc. * |
| 4,520 |
| 158,200 |
Panera Bread Co. * |
| 1,168 |
| 184,451 |
| Knight Transportation, Inc. |
| 8,454 |
| 138,815 |
Vitamin Shoppe, Inc. * |
| 3,725 |
| 175,336 |
| Old Dominion Freight Line, Inc. * |
| 5,181 |
| 230,399 |
|
|
|
| 2,297,729 |
|
|
|
|
| 641,549 |
SEMICONDUCTORS - 4.3 % |
|
|
|
|
| TOTAL COMMON STOCK |
|
|
|
|
Inphi Corp. * |
| 9,620 |
| 97,643 |
| (Cost - $15,551,765) |
|
|
| 17,857,593 |
KLA-Tencor Corp. |
| 3,372 |
| 175,850 |
|
|
|
|
|
|
Mellanox Technologies Ltd. * |
| 1,384 |
| 81,089 |
| SHORT-TERM INVESTMENTS - 3.6 % |
|
|
| |
Nanometrics, Inc. * |
| 7,727 |
| 119,846 |
| MONEY MARKET FUND - 3.6% |
|
|
|
|
Ultratech, Inc. * |
| 5,105 |
| 163,054 |
| Fidelity Government Portfolio, 0.01%+ |
| 661,357 |
| 661,357 |
Volterra Semiconductor Corp. * |
| 4,686 |
| 154,122 |
| TOTAL SHORT-TERM INVESTMENTS |
|
|
| |
|
|
|
| 791,604 |
| (Cost - $661,357) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 99.9 % |
|
|
|
|
|
|
|
|
|
| (Cost - $16,213,122) |
|
|
| $ 18,518,950 |
* Non-Income producing security. |
|
|
|
|
| OTHER ASSETS LESS LIABILITIES - 0.1 % |
|
| 14,047 | |
+ Variable rate security. Interest rate is as of April 30, 2012. |
|
|
| NET ASSETS - 100.0% |
|
|
| $ 18,532,997 | ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio Composition * - Unaudited | ||||||||||
Consumer, Non-Cyclical |
|
|
| 27.70% |
| Energy |
|
|
| 4.56% |
Consumer, Cyclical |
|
|
| 22.10% |
| Financial |
|
|
| 3.99% |
Technology |
|
|
| 15.22% |
| Funds |
|
|
| 3.57% |
Industrial |
|
|
| 11.70% |
| Basic Materials |
|
|
| 1.26% |
Communications |
|
|
| 9.90% |
| Total |
|
|
| 100.00% |
|
|
|
|
|
|
|
|
|
|
|
* Based on total market value of investments as of April 30, 2012. |
|
|
|
|
|
|
| |||
Percentage may differ from Schedule of Investments which is based on Fund net assets. |
|
|
|
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
Dunham Emerging Markets Stock Fund
Message from the Sub-Adviser (Marvin & Palmer Associates, Inc.)
The MSCI Emerging Markets Index rebounded off its poor performance in the latter quarters of the prior fiscal year, gaining 3.9 percent during the six-month period ended April 30, 2012. Performance was especially positive in the months of December and January, following a weak early first fiscal quarter. Emerging markets stocks did appear to peak in mid-February, subsequently retreating into late April. This six-month period was particularly volatile: the MSCI India Index, which surged 21.0 percent in the first fiscal quarter, was among the worst performers in the following three months with a 5.5 percent decline. In contrast several smaller emerging markets, which investors may once have expected to be far more volatile, posted robust gains this half of the fiscal year: with the MSCI Philippines Index and MSCI Thailand Index rose 21.1 and 24.2 percent, respectively.
Global markets began a large rally in December on a number of positive data points: manufacturing growth showed resilience in America, as did holiday season consumer confidence and spending; the European Central Bank unleashed several hundred billion euros’ worth of loans directly to banks across the euro-zone, a much-needed injection of liquidity that appeared to stave off a credit freeze; and Chinese banking authorities signaled ample willingness to ease policy to boost growth prospects. Though the Sub-Adviser favorably viewed concerted emerging markets central bank easing efforts in the first fiscal quarter, the developing recession in the euro-zone and potential slack in trade demand led it to reorient the Fund more defensively in the second fiscal quarter.
In light of the more positive macro environment in the latter part of the first fiscal quarter, the Sub-Adviser initially began adding to higher-beta, cyclically-sensitive sectors like materials and energy that had been prior underweights in the Fund. The Fund bought positions in South African gold miner Harmony Gold Mining Company Ltd. (HMY), Chinese copper miner and smelter Jiangxi Copper Company Ltd. (358 HK), major chemical refiner and oil driller China Petroleum and Chemical Corporation (386 HK), and Brazilian oil explorer OGX Petroleo e Gas Participacoes SA (OGXP3 BZ). The potential slowdown in global growth did lead the Sub-Adviser to reassess these positions in the second fiscal quarter, and by the close of April it had exited the Fund’s positions in Jiangxi Copper Company and OGX Petroleo e Gas.
The Fund’s largest regional allocation has been to Asia/Pacific and the Sub-Adviser has overweighted it relative to the benchmark throughout this six-month period. Still, the Sub-Adviser’s more defensive view of the global economic picture led it to reduce its modest first fiscal quarter overweight to China to a marginal underweight in the second fiscal quarter, though the Sub-Adviser still anticipates any slowdown in Chinese growth can to a large extent be managed by monetary authorities there. Within China, the Fund has maintained a strong overweight to the consumer discretionary sector as a part of its thematic play on the emerging affluence of middle class consumers. Sands China Ltd. (1928 HK) a large operator of casinos in Macau, China, soared 30.2 percent over both fiscal quarters. In contrast, longtime-holding carmaker Brilliance China Automotive Holdings Ltd. (1114 HK), fell 1.1 percent over the same period. Another long-time Fund holding, Chinese internet search engine Baidu, Inc. (BIDU), also lagged broader emerging markets with a 5.3 percent loss in the six-month period.
The Fund ended April modestly underweight Latin America versus the benchmark index. Individual stock selection in Brazil was a major driver of regional performance for the Fund. Companhia de Bebidas das Americas (AmBev) (ABV), a Brazilian distributor of beer and soft drinks, rose 25.9 percent over both fiscal quarters, while newer Brazilian holding Souza Cruz S.A. (CRUZ3 BZ), a cigarette-maker added in late February, rose 22.6 percent through the end of April. Brazilian securities exchange operator CETIP (CTIP3 BZ) was another top performer in the region, gaining 24.9 percent. Over the six-month period, the Sub-Adviser trimmed its position in mega cap, quasi-state owned oil conglomerate Petroleo Brasileiro S.A. (Petrobras) (PBR) by nearly a third. Petrobras fell 22.5 percent in the second fiscal quarter, dragging its six-month return to negative 11.1 percent.
Growth of $10,000 Investment - (Unaudited)
Total Returns as of April 30, 2012
| Six Months |
| One Year | Annualized Three Years | Annualized Five Years | Annualized Since Inception (12/10/04) |
Class N | 3.72% |
| (18,40)% | 17.82% | (1.73)% | 8.86% |
Class C Class A with load of 5.75% Class A without load | 3.26% (2.35)% 3.63% |
| (19.22)% (23.28)% (18.59% | 16.65% 15.20% 17.51% | (2.71)% (3.14)% (1.99)% | 7.80% (1.13)%* (0.02)%* |
MSCI Emerging Markets Index | 3.93% |
| (12.61)% | 18.33% | 3.48% | 12.71% |
*Class A commenced operations on January 3, 2007.
The MSCI Emerging Markets Index 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.
As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 2.11% for Class N, 3.11% for Class C and 2.36% for Class A. 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.
SCHEDULE OF INVESTMENTS | ||||||||||||
Dunham Emerging Markets Stock Fund (Unaudited) | ||||||||||||
April 30, 2012 | ||||||||||||
|
|
|
| Market |
|
|
|
|
|
|
| Market |
Security |
| Shares |
| Value |
| Security |
|
|
| Shares |
| Value |
COMMON STOCK - 90.4 % |
|
|
|
|
|
|
|
|
|
|
| |
AGRICULTURE - 0.5 % |
|
|
|
|
| ELECTRICAL COMPONENTS & EQUIPMENT - 1.7 % |
|
|
|
| ||
Souza Cruz SA |
| 8,600 |
| $ 134,523 |
| Delta Electronics, Inc. |
|
|
| 47,000 |
| $ 139,015 |
|
|
|
|
|
| Simplo Technology Co., Ltd. |
|
|
| 44,000 |
| 335,473 |
AUTO MANUFACTURERS - 4.0 % |
|
|
|
|
|
|
|
|
|
| 474,488 | |
Brilliance China Automotive Holdings, Ltd. * | 749,200 |
| 808,297 |
| ELECTRONICS - 3.0 % |
|
|
|
|
|
| |
Hyundai Motor, Co. |
| 1,362 |
| 321,526 |
| Hon Hai Precision Industry Co., Ltd. |
|
|
| 214,000 |
| 673,765 |
|
|
|
| 1,129,823 |
| Phison Electronics Corp. |
|
|
| 26,000 |
| 184,349 |
AUTO PARTS & EQUIPMENT - 0.8 % |
|
|
|
|
|
|
|
|
|
| 858,114 | |
Hyundai Mobis |
| 859 |
| 232,244 |
| HEALTHCARE-SERVICES - 0.9 % |
|
|
|
|
|
|
|
|
|
|
|
| Amil Participacoes SA |
|
|
| 11,200 |
| 110,249 |
BANKS - 9.6 % |
|
|
|
|
| Fleury SA |
|
|
| 10,400 |
| 135,822 |
Banco Bradesco SA - ADR | 11,200 |
| 179,536 |
|
|
|
|
|
|
| 246,071 | |
BanColombia SA - ADR | 2,000 |
| 135,660 |
| HOLDING COMPANIES-DIVERSIFIED - 5.5 % |
|
|
|
|
| ||
Bank Rakyat Indonesia Persero Tbk PT | 595,000 |
| 428,990 |
| Alfa SAB de CV |
|
|
| 14,200 |
| 203,501 | |
BDO Unibank Inc. |
| 146,700 |
| 229,535 |
| Alliance Global Group, Inc. |
|
|
| 641,400 |
| 187,031 |
FirstRand Ltd. |
| 75,900 |
| 247,579 |
| Ayala Corp. |
|
|
| 21,168 |
| 215,280 |
Grupo Financiero Banorte SAB de CV | 50,000 |
| 241,556 |
| Barloworld Ltd. |
|
|
| 27,100 |
| 342,799 | |
Industrial & Commercial Bank of China | 640,000 |
| 425,290 |
| Imperial Holdings Ltd. |
|
|
| 13,300 |
| 290,055 | |
Metropolitan Bank & Trust | 135,769 |
| 292,873 |
| Siam Cement PCL - NVDR |
|
|
| 11,100 |
| 126,066 | |
Sberbank of Russia - ADR * | 12,100 |
| 156,695 |
| Sime Darby Bhd |
|
|
| 53,400 |
| 171,523 | |
Sberbank of Russia - ADR | 2,700 |
| 34,857 |
|
|
|
|
|
|
| 1,536,255 | |
Security Bank Corp. |
| 55,600 |
| 187,737 |
| HOME FURNISHINGS - 0.4 % |
|
|
|
|
|
|
Siam Commercial Bank Public Co. - NVDR | 29,300 |
| 147,643 |
| Haier Electronics Group Co., Ltd. * |
|
|
| 104,000 |
| 108,249 | |
|
|
|
| 2,707,951 |
|
|
|
|
|
|
|
|
BEVERAGES - 3.6 % |
|
|
|
|
| INTERNET - 3.3 % |
|
|
|
|
|
|
Arca Continental SAB de CV | 27,500 |
| 140,427 |
| Baidu, Inc. - ADR * |
|
|
| 5,800 |
| 769,660 | |
Cia Cervecerias Unidas SA - ADR | 1,400 |
| 100,268 |
| Tencent Holdings, Ltd. * |
|
|
| 4,700 |
| 147,052 | |
Cia de Bebidas das Americas - ADR | 12,000 |
| 503,760 |
|
|
|
|
|
|
| 916,712 | |
Fomento Economico Mexicano SAB de CV - ADR | 3,400 |
| 276,284 |
| IRON/STEEL - 0.5 % |
|
|
|
|
|
| |
|
|
|
| 1,020,739 |
| Vale SA - ADR |
|
|
| 5,900 |
| 130,980 |
BUILDING MATERIALS - 3.2 % |
|
|
|
|
|
|
|
|
|
|
| |
Indocement Tunggal Prakarsa Tbk PT | 166,000 |
| 325,527 |
| LODGING - 3.5 % |
|
|
|
|
|
| |
Semen Gresik Persero Tbk PT | 428,000 |
| 564,922 |
| Genting Bhd |
|
|
| 56,200 |
| 191,466 | |
|
|
|
| 890,449 |
| Sands China, Ltd. |
|
|
| 206,400 |
| 808,214 |
CHEMICALS - 1.6 % |
|
|
|
|
|
|
|
|
|
|
| 999,680 |
LG Chem, Ltd. |
| 692 |
| 172,973 |
| MEDIA - 1.2 % |
|
|
|
|
|
|
Mexichem SAB de CV |
| 40,500 |
| 151,215 |
| Media Nusantara Citra Tbk PT |
|
|
| 500,000 |
| 122,263 |
Ultrapar Participacoes SA | 6,100 |
| 139,228 |
| Naspers, Ltd. |
|
|
| 3,500 |
| 211,807 | |
|
|
|
| 463,416 |
|
|
|
|
|
|
| 334,070 |
COMMERCIAL SERVICES - 1.9 % |
|
|
|
| METAL FABRICATE/HARDWARE - 1.1 % |
|
|
|
|
| ||
Cielo SA |
| 12,360 |
| 373,750 |
| Catcher Technology, Co. Ltd. |
|
|
| 50,000 |
| 317,891 |
Multiplus SA |
| 7,600 |
| 166,481 |
|
|
|
|
|
|
|
|
|
|
|
| 540,231 |
| MINING - 1.0 % |
|
|
|
|
|
|
COMPUTERS - 0.5 % |
|
|
|
|
| Grupo Mexico SAB de CV |
|
|
| 51,521 |
| 159,081 |
Sonda SA |
| 50,000 |
| 149,138 |
| Harmony Gold Mining, Co. Ltd. - ADR |
|
|
| 14,100 |
| 136,770 |
|
|
|
|
|
|
|
|
|
|
|
| 295,851 |
DIVERSIFIED FINANCIAL SERVICES - 1.1 % |
|
|
|
| OIL & GAS - 7.8 % |
|
|
|
|
|
| |
CETIP SA - Mercados Organizados | 7,340 |
| 113,573 |
| China Petroleum & Chemical Corp. |
|
|
| 162,000 |
| 172,083 | |
Chinatrust Financial Holding Co. Ltd. | 327,291 |
| 207,745 |
| CNOOC, Ltd. |
|
|
| 188,000 |
| 397,321 | |
|
|
|
| 321,318 |
| Ecopetrol SA - ADR |
|
|
| 2,200 |
| 142,340 |
ELECTRIC - 0.7 % |
|
|
|
|
| Gazprom OAO - ADR * |
|
|
| 33,500 |
| 386,590 |
CEZ AS |
| 5,000 |
| 201,587 |
| Kunlun Energy, Co. Ltd. * |
|
|
| 110,000 |
| 193,064 |
|
|
|
|
|
| NovaTek OAO - GDR |
|
|
| 3,000 |
| 381,300 |
|
|
|
|
|
| Petroleo Brasileiro SA - ADR |
|
|
| 10,500 |
| 247,223 |
|
|
|
|
|
| PTT Exploration & Production PCL - NVDR |
|
| 48,800 |
| 281,100 | |
|
|
|
|
|
|
|
|
|
|
|
| 2,201,021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | ||||||||||||
Dunham Emerging Markets Stock Fund (Unaudited) (Continued) | ||||||||||||
April 30, 2012 | ||||||||||||
|
|
|
| Market |
|
|
|
|
|
|
| Market |
Security |
| Shares |
| Value |
| Security |
|
|
| Shares |
| Value |
OIL & GAS SERVICES - 2.0 % |
|
|
|
| TELECOMMUNICATIONS - 4.4 % |
|
|
|
|
|
| |
Eurasia Drilling, Co. Ltd. - GDR | 5,800 |
| $ 165,300 |
| America Movil SAB de CV - ADR |
|
|
| 8,100 |
| $ 215,865 | |
Eurasia Drilling, Co. Ltd. - GDR | 4,800 |
| 136,800 |
| Axiata Group Bhd |
|
|
| 70,800 |
| 124,167 | |
Petrofac, Ltd. |
| 9,300 |
| 262,652 |
| China Mobile, Ltd. |
|
|
| 22,000 |
| 243,427 |
|
|
|
| 564,752 |
| Millicom International Cellular SA - NVDR |
|
| 1,700 |
| 179,884 | |
|
|
|
|
|
| MTN Group Ltd. |
|
|
| 10,500 |
| 184,169 |
ENGINEERING & CONSTRUCTION - 1.8 % |
|
|
|
| Philippine Long Distance Telephone Co. |
|
| 2,400 |
| 146,939 | ||
DMCI Holdings, Inc. |
| 120,600 |
| 169,957 |
| Taiwan Mobile, Co. Ltd. |
|
|
| 45,000 |
| 145,213 |
Samsung Engineering Co., Ltd. | 1,704 |
| 322,608 |
|
|
|
|
|
|
| 1,239,664 | |
|
|
|
| 492,565 |
|
|
|
|
|
|
|
|
FOOD - 1.2 % |
|
|
|
|
| TOTAL COMMON STOCK (Cost - $21,950,899) |
|
|
|
| 25,485,745 | |
Cia Brasileira de Distribuicao Grupo Pao de Acucar - ADR |
|
|
|
|
|
|
|
|
|
|
| |
3,200 |
| 150,496 |
| PREFERRED STOCK - 1.3 % |
|
|
|
|
|
| ||
Cosan SA Industria e Comercio | 10,000 |
| 175,169 |
| BANKS - 0.4 % |
|
|
|
|
|
| |
|
|
|
| 325,665 |
| Banco do Estado do Rio Grande do Sul |
|
| 12,700 |
| 110,327 | |
HEALTHCARE-PRODUCTS - 0.5 % |
|
|
|
|
|
|
|
|
|
|
| |
Aspen Pharmacare Holdings Ltd. * | 8,200 |
| 132,940 |
| MINING - 0.9 % |
|
|
|
|
|
| |
|
|
|
|
|
| Vale SA |
|
|
| 11,600 |
| 252,693 |
PHARMACEUTICALS - 0.4 % |
|
|
|
|
|
|
|
|
|
|
| |
Hypermarcas SA * |
| 18,900 |
| 123,665 |
| TOTAL PREFERRED STOCK (Cost - $224,553) |
|
|
|
| 363,020 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
REAL ESTATE - 3.9 % |
|
|
|
|
| WARRANTS - 5.6 % | Issued By |
| Maturity |
|
|
|
Ayala Land Inc. |
| 315,200 |
| 159,553 |
| HDFC Bank, Ltd. ** | UBS |
| 12/16/2014 | 24,500 |
| 252,032 |
BR Malls Participacoes SA | 26,000 |
| 323,490 |
| ITC Limited ** | UBS |
| 11/17/2014 | 105,800 |
| 492,524 | |
China Overseas Land & Investment Ltd. | 216,000 |
| 466,837 |
| Sberbank of Russia ** | UBS |
| 12/12/2013 | 80,000 |
| 258,200 | |
Evergrande Real Estate Group Ltd. | 251,000 |
| 144,113 |
| TATA Motors, Ltd. ** | UBS |
| 3/12/2013 | 51,400 |
| 308,529 | |
|
|
|
| 1,093,993 |
| Yes Bank, Ltd. ** | UBS |
| 3/12/2013 | 39,400 |
| 261,266 |
RETAIL - 7.3 % |
|
|
|
|
| TOTAL WARRANTS (Cost - $1,484,635) |
|
|
|
| 1,572,551 | |
Astra International Tbk PT | 22,700 |
| 175,065 |
|
|
|
|
|
|
|
| |
Foschini Group, Ltd. |
| 25,600 |
| 425,637 |
| SHORT-TERM INVESTMENTS - 4.7 % |
|
|
|
|
| |
Lojas Renner SA |
| 3,800 |
| 121,549 |
| MONEY MARKET FUND - 4.7 % |
|
|
|
|
|
|
Mitra Adiperkasa Tbk PT | 223,500 |
| 168,755 |
| First American Government Obligations Fund - 0.02 % + |
| 1,341,514 |
| 1,341,514 | |||
Mr Price Group, Ltd. |
| 15,000 |
| 203,750 |
| TOTAL SHORT-TERM INVESTMENTS (Cost - $1,341,514) |
|
|
| |||
Raia Drogasil SA |
| 13,300 |
| 143,142 |
|
|
|
|
|
|
|
|
SM Investments, Corp. |
| 36,330 |
| 599,408 |
| TOTAL INVESTMENTS - 102.0 % (Cost - $25,001,601) |
|
|
| $ 28,762,830 | ||
Wal-Mart de Mexico SAB de CV | 74,000 |
| 211,986 |
| OTHER LIABILITIES LESS ASSETS - (2.0) % |
|
|
|
| (562,535) | ||
|
|
|
| 2,049,292 |
| NET ASSETS - 100.0% |
|
|
|
|
| $ 28,200,295 |
SEMICONDUCTORS - 8.5 % |
|
|
|
|
|
|
|
|
|
|
| |
Samsung Electronics, Co. Ltd. | 1,176 |
| 1,439,372 |
| * Non-income producing security. |
|
|
|
|
|
| |
Taiwan Semiconductor Manufacturing, Co. Ltd. | 326,000 |
| 964,842 |
| ** The value of this security has been determined in good faith under the policies of the Board of | |||||||
|
|
|
| 2,404,214 |
| Trustees. |
|
|
|
|
|
|
SHIPBUILDING - 3.0 % |
|
|
|
|
| + Variable rate security. Interest rate is as of April 30, 2012. |
|
|
| |||
Samsung Heavy Industries, Co. Ltd. | 23,200 |
| 848,194 |
| ADR - American Depositary Receipt. |
|
|
|
|
| ||
|
|
|
|
|
| GDR - Global Depositary Receipt. |
|
|
|
|
|
|
|
|
|
|
|
| NVDR - Non Voting Depositary Receipt. |
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio Composition * - Unaudited | ||||||||||||
Other Countries |
| 25.02% |
|
|
| South Africa |
|
|
| 7.56% |
|
|
Brazil |
| 12.64% |
|
|
| China |
|
|
| 7.15% |
|
|
South Korea |
| 11.60% |
|
|
| Hong Kong |
|
|
| 6.33% |
|
|
Taiwan |
| 10.32% |
|
|
| Indonesia |
|
|
| 6.21% |
|
|
Philippines |
| 7.61% |
|
|
| Mexico |
|
|
| 5.56% |
|
|
|
|
|
|
|
| Total |
|
|
| 100.00% |
|
|
* Based on total market value of investments as of April 30, 2012. |
|
|
|
|
|
|
|
|
|
| ||
Percentage may differ from Schedule of Investments which is based on Fund net assets. |
|
|
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
STATEMENTS OF ASSETS AND LIABILITIES | ||||||||
April 30, 2012 (Unaudited) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| Dunham | Dunham |
|
|
|
|
|
|
| Monthly | Corporate / | Dunham | Dunham | Dunham | Dunham |
|
|
| Distribution | Government | High-Yield | Loss Averse | Appreciation & | Large Cap |
|
|
| Fund | Bond Fund | Bond Fund | Growth Fund | Income Fund | Value Fund |
Assets: |
|
|
|
|
|
|
| |
Investments in securities, at cost |
| $ 122,529,342 | $ 74,583,007 | $ 85,645,541 | $ 11,536,630 | $ 28,754,992 | $ 31,068,903 | |
Investments in securities, at value |
| $ 123,259,418 | $ 77,574,786 | $ 89,774,545 | $ 11,639,451 | $ 31,422,801 | $ 42,465,539 | |
Deposits with brokers |
| 20,677,320 | - | - | - | - | - | |
Cash |
| 12,240,000 | - | - | 970,892 | - | - | |
Foreign currency, at value (Cost $20,020) |
| 20,100 | - | - | - | - | - | |
Receivable for securities sold |
| 9,355,445 | 605,149 | 320,063 | 2,430,678 | 575,582 | - | |
Interest and dividends receivable |
| 338,362 | 671,346 | 1,623,642 | 26,464 | 113,323 | 52,643 | |
Receivable for fund shares sold |
| 68,966 | 3,929 | 299,216 | - | 8,348 | 22,464 | |
Receivable for open forward foreign currency contracts |
| 36,933 | - | - | - | - | - | |
Prepaid expenses and other assets |
| 166,336 | 36,007 | 38,373 | 27,920 | 35,080 | 30,355 | |
| Total Assets |
| 166,162,880 | 78,891,217 | 92,055,839 | 15,095,405 | 32,155,134 | 42,571,001 |
|
|
|
|
|
|
|
|
|
Liabilities: |
|
|
|
|
|
|
| |
Option contracts written (proceeds $3,633,786) |
| 3,730,389 | - | - | - | - | - | |
Securities sold short (proceeds $13,976,328) |
| 14,706,514 | - | - | - | - | - | |
Unrealized depreciation on swaps |
| 189,681 | - | - | - | - | - | |
Payable for securities purchased |
| 11,244,584 | 1,558,045 | 454,526 | 930,178 | 163,148 | - | |
Payable for fund shares redeemed |
| 56,483 | 77,617 | 68,966 | 154,012 | 107 | 8,940 | |
Payable for open forward foreign currency contracts |
| 344,222 | - | - | - | - | - | |
Distributions payable |
| 44,347 | 769 | 65,115 | - | - | - | |
Payable to adviser |
| 73,963 | 32,503 | 45,474 | 7,630 | 17,550 | 23,345 | |
Payable to sub-adviser |
| 138,830 | 13,651 | 29,141 | 9,926 | 7,145 | 419 | |
Payable for distribution fees |
| 31,676 | 6,922 | 10,562 | 1,765 | 4,773 | 6,127 | |
Payable for administration fees |
| 7,519 | 8,851 | 2,042 | 1,546 | 2,467 | 4,202 | |
Payable for fund accounting fees |
| 5,786 | 3,641 | 4,859 | 624 | 2,128 | 2,027 | |
Payable for transfer agent fees |
| 1,983 | 1,916 | 1,592 | 1,393 | 1,298 | 953 | |
Payable for custody fees |
| 1,253 | 12,683 | 1,720 | 338 | 1,752 | 248 | |
Accrued expenses and other liabilities |
| 12,583 | 11,205 | 9,566 | 6,877 | 13,254 | 13,382 | |
| Total Liabilities |
| 30,589,813 | 1,727,803 | 693,563 | 1,114,289 | 213,622 | 59,643 |
|
|
|
|
|
|
|
|
|
Net Assets |
| $ 135,573,067 | $ 77,163,414 | $ 91,362,276 | $ 13,981,116 | $ 31,941,512 | $ 42,511,358 | |
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
| |
Paid in capital |
| $ 154,701,673 | $ 73,298,023 | $ 95,680,024 | $ 13,859,834 | $ 31,271,945 | $ 39,978,720 | |
Undistributed net investment income (loss) |
| 171,524 | (122,136) | 18,954 | 28,417 | (168,948) | 74,889 | |
Accumulated net realized gain (loss) on |
|
|
|
|
|
|
| |
investments and foreign currency transactions |
| (18,706,529) | 995,748 | (8,465,706) | (9,966) | (1,829,294) | (8,962,222) | |
Net unrealized appreciation (depreciation) on |
|
|
|
|
|
|
| |
investments and foreign currency translations |
| (593,601) | 2,991,779 | 4,129,004 | 102,831 | 2,667,809 | 11,419,971 | |
|
|
|
|
|
|
|
|
|
Net Assets |
| $ 135,573,067 | $ 77,163,414 | $ 91,362,276 | $ 13,981,116 | $ 31,941,512 | $ 42,511,358 | |
|
|
|
|
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
|
|
|
| |
| Class N Shares: |
|
|
|
|
|
|
|
| Net Assets |
| $ 73,074,688 | $ 65,965,273 | $ 67,934,259 | $ 9,794,027 | $ 22,709,702 | $ 33,968,242 |
| Shares of beneficial interest outstanding |
|
|
|
|
|
|
|
| (no par value; unlimited shares authorized) |
| 1,968,132 | 4,580,762 | 7,269,124 | 966,470 | 2,537,654 | 2,973,553 |
| Net asset value, offering and |
|
|
|
|
|
|
|
| redemption price per share |
| $ 37.13 | $ 14.40 | $ 9.35 | $ 10.13 | $ 8.95 | $ 11.42 |
|
|
|
|
|
|
|
|
|
| Class A Shares: |
|
|
|
|
|
|
|
| Net Assets |
| $ 33,051,005 | $ 1,205,793 | $ 10,128,162 | $ 2,565,518 | $ 4,980,412 | $ 2,463,037 |
| Shares of beneficial interest outstanding |
|
|
|
|
|
|
|
| (no par value; unlimited shares authorized) |
| 898,683 | 83,846 | 1,075,464 | 252,435 | 557,398 | 215,729 |
| Net asset value and |
|
|
|
|
|
|
|
| redemption price per share |
| $ 36.78 | $ 14.38 | $ 9.42 | $ 10.16 | $ 8.94 | $ 11.42 |
| Front-end sales charge factor |
| 0.9425 | 0.9550 | 0.9550 | 0.9425 | 0.9425 | 0.9425 |
| Offering price per share (Net asset value per |
|
|
|
|
|
|
|
| share / front-end sales charge factor) |
| $ 39.02 | $ 15.06 | $ 9.86 | $ 10.78 | $ 9.49 | $ 12.12 |
|
|
|
|
|
|
|
|
|
| Class C Shares: |
|
|
|
|
|
|
|
| Net Assets |
| $ 29,447,374 | $ 9,992,348 | $ 13,299,855 | $ 1,621,571 | $ 4,251,398 | $ 6,080,079 |
| Shares of beneficial interest outstanding |
|
|
|
|
|
|
|
| (no par value; unlimited shares authorized) |
| 908,228 | 698,312 | 1,429,639 | 161,535 | 481,620 | 547,411 |
| Net asset value, offering and |
|
|
|
|
|
|
|
| redemption price per share |
| $ 32.42 | $ 14.31 | $ 9.30 | $ 10.04 | $ 8.83 | $ 11.11 |
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
STATEMENTS OF ASSETS AND LIABILITIES (Continued) | |||||||||
April 30, 2012 (Unaudited) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| Dunham |
|
|
|
| Dunham |
|
|
| Dunham | Focused | Dunham | Dunham | Dunham | Dunham | Emerging |
|
|
| Large Cap | Large Cap | International | Real Estate | Small Cap | Small Cap | Markets |
|
|
| Growth Fund | Growth Fund (1) | Stock Fund | Stock Fund | Value Fund | Growth Fund | Stock Fund |
Assets: |
|
|
|
|
|
|
|
| |
Investments in securities, at cost |
| $ 26,257,803 | $ 1,307,001 | $ 40,598,339 | $ 11,930,517 | $ 17,654,596 | $ 16,213,122 | $ 25,001,601 | |
Investments in securities, at value |
| $ 32,583,746 | $ 1,395,260 | $ 42,937,883 | $ 16,979,814 | $ 20,650,729 | $ 18,518,950 | $ 28,762,830 | |
Foreign currency, at value (Cost $778,840) |
| - | - | 125,911 | - | - | - | 13,481 | |
Cash |
| - | - | - | - | - | - | 829 | |
Receivable for securities sold |
| 279,177 | 35,794 | 449,655 | - | 31,481 | 750,130 | 124,921 | |
Interest and dividends receivable |
| 43,433 | 503 | 277,696 | 29,466 | 10,432 | 6 | 39,224 | |
Receivable for fund shares sold |
| 10,512 | - | 20,481 | 4,831 | 5,953 | 3,062 | 7,592 | |
Receivable for open forward foreign currency contracts |
| - | - | 84,433 | - | - | - | - | |
Due from sub-adviser |
| - | - | - | 353 | - | 2,279 | - | |
Prepaid expenses and other assets |
| 29,045 | 1,092 | 55,846 | 43,079 | 28,787 | 36,888 | 39,617 | |
| Total Assets |
| 32,945,913 | 1,432,649 | 43,951,905 | 17,057,543 | 20,727,382 | 19,311,315 | 28,988,494 |
|
|
|
|
|
|
|
|
|
|
Liabilities: |
|
|
|
|
|
|
|
| |
Cash overdraft |
| - | - | - | - | - | - | - | |
Payable for securities purchased |
| 623,977 | 41,569 | 565,234 | - | - | 751,242 | 737,687 | |
Payable for fund shares redeemed |
| 6,101 | - | 4,174 | 28 | 62 | 145 | - | |
Payable for open forward foreign currency contracts |
| - | - | 115,991 | - | - | - | - | |
Payable to adviser |
| 17,845 | 314 | 23,806 | 9,163 | 11,260 | 10,166 | 15,558 | |
Payable to sub-adviser |
| 8,133 | - | 10,630 | - | 16,940 | - | 5,594 | |
Payable for distribution fees |
| 4,056 | 295 | 7,201 | 1,841 | 3,043 | 4,010 | 4,226 | |
Payable for administration fees |
| 2,592 | 75 | 7,011 | 459 | 1,350 | 1,573 | 2,267 | |
Payable for fund accounting fees |
| 1,483 | 57 | 2,602 | 713 | 941 | 1,305 | 1,332 | |
Payable for transfer agent fees |
| 1,443 | 1,589 | 979 | 1,425 | 1,730 | 1,485 | 2,025 | |
Payable for custody fees |
| 1,633 | 440 | 22,520 | 453 | 2,084 | 901 | 14,368 | |
Accrued expenses and other liabilities |
| 10,340 | 3,216 | 6,741 | 5,578 | 6,267 | 7,491 | 5,142 | |
| Total Liabilities |
| 677,603 | 47,555 | 766,889 | 19,660 | 43,677 | 778,318 | 788,199 |
|
|
|
|
|
|
|
|
|
|
Net Assets |
| $ 32,268,310 | $ 1,385,094 | $ 43,185,016 | $ 17,037,883 | $ 20,683,705 | $ 18,532,997 | $ 28,200,295 | |
|
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
| |
Paid in capital |
| $ 45,903,761 | $ 1,316,626 | $ 52,920,850 | $ 13,489,969 | $ 22,974,138 | $ 15,691,103 | $ 30,066,385 | |
Undistributed net investment income (loss) |
| 63,127 | (21,405) | 22,835 | 203,227 | (31,099) | (124,629) | (41,520) | |
Accumulated net realized gain (loss) on |
|
|
|
|
|
|
|
| |
investments and foreign currency transactions |
| (20,024,521) | 1,614 | (12,046,751) | (1,704,610) | (5,255,467) | 660,695 | (5,584,064) | |
Net unrealized appreciation on |
|
|
|
|
|
|
|
| |
investments and foreign currency translations |
| 6,325,943 | 88,259 | 2,288,082 | 5,049,297 | 2,996,133 | 2,305,828 | 3,759,494 | |
|
|
|
|
|
|
|
|
|
|
Net Assets |
| $ 32,268,310 | $ 1,385,094 | $ 43,185,016 | $ 17,037,883 | $ 20,683,705 | $ 18,532,997 | $ 28,200,295 | |
|
|
|
|
|
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
|
|
|
|
| |
| Class N Shares: |
|
|
|
|
|
|
|
|
| Net Assets |
| $ 27,601,026 | $ 316,949 | $ 36,180,915 | $ 14,649,722 | $ 13,835,565 | $ 13,472,681 | $ 14,145,161 |
| Shares of beneficial interest outstanding |
|
|
|
|
|
|
|
|
| (no par value; unlimited shares authorized) |
| 6,739,529 | 28,034 | 3,066,048 | 938,473 | 1,215,503 | 821,382 | 1,015,377 |
| Net asset value, offering and |
|
|
|
|
|
|
|
|
| redemption price per share |
| $ 4.10 | $ 11.31 | $ 11.80 | $ 15.61 | $ 11.38 | $ 16.40 | $ 13.93 |
|
|
|
|
|
|
|
|
|
|
| Class A Shares: |
|
|
|
|
|
|
|
|
| Net Assets |
| $ 385,192 | $ 932,545 | $ 925,249 | $ 142,053 | $ 4,546,482 | $ 1,959,426 | $ 11,309,263 |
| Shares of beneficial interest outstanding |
|
|
|
|
|
|
|
|
| (no par value; unlimited shares authorized) |
| 95,013 | 82,584 | 78,370 | 9,092 | 401,774 | 120,905 | 824,814 |
| Net asset value and |
|
|
|
|
|
|
|
|
| redemption price per share |
| $ 4.05 | $ 11.29 | $ 11.81 | $ 15.62 | $ 11.32 | $ 16.21 | $ 13.71 |
| 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) |
| $ 4.30 | $ 11.98 | $ 12.53 | $ 16.57 | $ 12.01 | $ 17.20 | $ 14.55 |
| Class C Shares: |
|
|
|
|
|
|
|
|
| Net Assets |
| $ 4,282,092 | $ 135,600 | $ 6,078,852 | $ 2,246,108 | $ 2,301,658 | $ 3,100,890 | $ 2,745,871 |
| Shares of beneficial interest outstanding |
|
|
|
|
|
|
|
|
| (no par value; unlimited shares authorized) |
| 1,122,859 | 12,032 | 530,481 | 147,480 | 213,010 | 204,633 | 206,092 |
| Net asset value, offering and |
|
|
|
|
|
|
|
|
| redemption price per share |
| $ 3.81 | $ 11.27 | $ 11.46 | $ 15.23 | $ 10.81 | $ 15.15 | $ 13.32 |
|
|
|
|
|
|
|
|
|
|
(1) | The Dunham Focused Large Cap Growth Fund commenced operation on December 8, 2011. | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
STATEMENTS OF OPERATIONS | ||||||||
For the Six Months Ended April 30, 2012 (Unaudited) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| Dunham | Dunham |
|
|
|
|
|
|
| Monthly | Corporate / | Dunham | Dunham | Dunham | Dunham |
|
|
| Distribution | Government | High-Yield | Loss Averse | Appreciation & | Large Cap |
|
|
| Fund | Bond Fund | Bond Fund | Growth Fund | Income Fund | Value Fund |
|
|
|
|
|
|
|
|
|
Investment Income: |
|
|
|
|
|
|
| |
Interest income |
| $ 588,226 | $ 1,545,212 | $ 2,721,734 | $ - | $ 249,824 | $ 478 | |
Dividend income |
| 1,654,432 | 34,565 | 132,740 | 410,033 | 152,475 | 452,343 | |
Less: Foreign withholding taxes |
| - | - | (157) | (2,642) | (577) | - | |
| Total Investment Income |
| 2,242,658 | 1,579,777 | 2,854,317 | 407,391 | 401,722 | 452,821 |
|
|
|
|
|
|
|
|
|
Operating Expenses: |
|
|
|
|
|
|
| |
Investment advisory fees |
| 419,753 | 180,878 | 224,679 | 40,303 | 99,261 | 135,588 | |
Sub-advisory fees |
| 484,330 | 126,615 | 187,233 | 31,002 | 91,625 | 89,696 | |
Sub-advisory performance fees |
| 311,715 | (56,797) | (45,703) | 16,100 | 13,077 | (45,421) | |
Fund accounting fees |
| 36,878 | 20,335 | 20,874 | 3,432 | 9,822 | 12,212 | |
Distribution fees- Class C Shares |
| 138,927 | 35,677 | 43,794 | 6,384 | 20,136 | 29,477 | |
Distribution fees- Class A Shares |
| 39,905 | 1,109 | 10,145 | 2,250 | 4,923 | 3,185 | |
Administration fees |
| 50,863 | 46,305 | 34,254 | 6,184 | 12,420 | 18,886 | |
Registration fees |
| 30,411 | 24,921 | 20,164 | 22,439 | 17,465 | 24,905 | |
Transfer agent fees |
| 12,465 | 11,170 | 10,701 | 8,833 | 10,354 | 8,957 | |
Custodian fees |
| 171,383 | 12,932 | 5,745 | 3,493 | 5,087 | 3,256 | |
Professional fees |
| 14,690 | 12,852 | 13,625 | 7,777 | 9,017 | 10,603 | |
Chief Compliance Officer fees |
| 7,480 | 5,270 | 5,935 | 899 | 2,828 | 3,332 | |
Printing and postage expense |
| 32,397 | 4,488 | 4,239 | 2,004 | 2,493 | 3,983 | |
Trustees' fees |
| 5,488 | 2,448 | 2,757 | 419 | 1,314 | 1,549 | |
Insurance expense |
| 12,964 | 1,700 | 1,915 | 289 | 912 | 1,076 | |
Non 12b-1 shareholder servicing fees |
| 17,956 | 214 | - | 1,995 | 600 | 2,574 | |
Dividend expense on short sales |
| 205,367 | - | - | - | - | - | |
Miscellaneous expenses |
| 8,481 | 3,492 | 3,240 | 1,245 | 2,593 | 2,244 | |
| Total Operating Expenses |
| 2,001,453 | 433,609 | 543,597 | 155,048 | 303,927 | 306,102 |
|
|
|
|
|
|
|
|
|
Net Investment Income |
| 241,205 | 1,146,168 | 2,310,720 | 252,343 | 97,795 | 146,719 | |
|
|
|
|
|
|
|
|
|
Realized and Unrealized |
|
|
|
|
|
|
| |
Gain (Loss) on Investments, Foreign |
|
|
|
|
|
|
| |
Currency and Written Options: |
|
|
|
|
|
|
| |
Net realized gain (loss) from: |
|
|
|
|
|
|
| |
Investments |
| 4,831,287 | 1,200,621 | (73,590) | 333,134 | 1,361,036 | 448,593 | |
Options purchased |
| (1,604,266) | - | - | - | - | - | |
Securities sold short |
| (868,164) | - | - | - | - | - | |
Written options |
| (1,294,728) | - | - | - | - | - | |
Foreign currency transactions |
| 497,134 | - | - | - | - | - | |
Swap contracts |
| 71,937 | - | - | - | - | - | |
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
| ||
Investments |
| 4,927,212 | 792,798 | 2,232,384 | (162,031) | (764,772) | 2,663,151 | |
Options purchased |
| (104,278) | - | - | - | - | - | |
Securities sold short |
| (330,755) | - | - | - | - | - | |
Written options |
| 261,640 | - | - | - | - | - | |
Foreign currency translations |
| (333,253) | - | - | 10 | - | - | |
Swap contracts |
| 116,100 | - | - | - | - | - | |
Net Realized and Unrealized Gain (Loss) |
| 6,169,866 | 1,993,419 | 2,158,794 | 171,113 | 596,264 | 3,111,744 | |
|
|
|
|
|
|
|
|
|
Net Increase/(Decrease) in Net Assets |
|
|
|
|
|
|
| |
Resulting From Operations |
| $ 6,411,071 | $ 3,139,587 | $ 4,469,514 | $ 423,456 | $ 694,059 | $ 3,258,463 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
STATEMENTS OF OPERATIONS (Continued) | |||||||||
For the Six Months Ended April 30, 2012 (Unaudited) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| Dunham |
|
|
|
| Dunham |
|
|
| Dunham | Focused | Dunham | Dunham | Dunham | Dunham | Emerging |
|
|
| Large Cap | Large Cap | International | Real Estate | Small Cap | Small Cap | Markets |
|
|
| Growth Fund | Growth Fund (1) | Stock Fund | Stock Fund | Value Fund | Growth Fund | Stock Fund |
|
|
|
|
|
|
|
|
|
|
Investment Income: |
|
|
|
|
|
|
|
| |
Interest income |
| $ 912 | $ 9 | $ 812 | $ 17 | $ 38 | $ 32 | $ 21 | |
Dividend income |
| 320,660 | 1,147 | 666,384 | 416,609 | 199,536 | 18,261 | 200,513 | |
Less: Foreign withholding taxes |
| (3,452) | (11) | (50,095) | - | - | - | (15,530) | |
| Total Investment Income |
| 318,120 | 1,145 | 617,101 | 416,626 | 199,574 | 18,293 | 185,004 |
|
|
|
|
|
|
|
|
|
|
Operating Expenses: |
|
|
|
|
|
|
|
| |
Investment advisory fees |
| 107,181 | 1,557 | 144,440 | 65,301 | 58,540 | 63,512 | 74,350 | |
Sub-advisory fees |
| 74,202 | 830 | 144,440 | 40,185 | 49,534 | 48,855 | 68,632 | |
Sub-advisory performance fees |
| (27,353) | (415) | (20,081) | (30,047) | 42,694 | (54,761) | (50,422) | |
Fund accounting fees |
| 9,496 | 650 | 13,639 | 7,649 | 5,092 | 7,421 | 6,939 | |
Distribution fees- Class C Shares |
| 22,114 | 190 | 31,937 | 9,965 | 12,137 | 15,409 | 13,058 | |
Distribution fees- Class A Shares |
| 352 | 460 | 1,359 | 5,906 | 1,984 | 2,641 | 7,807 | |
Administration fees |
| 14,286 | 61 | 32,671 | 8,757 | 8,316 | 9,931 | 12,321 | |
Registration fees |
| 21,292 | 1,932 | 24,905 | 16,965 | 24,905 | 16,860 | 24,908 | |
Transfer agent fees |
| 4,918 | 7,102 | 9,968 | 8,707 | 9,182 | 10,127 | 9,609 | |
Custodian fees |
| 5,419 | 1,854 | 74,384 | 1,975 | 4,986 | 7,439 | 34,811 | |
Professional fees |
| 10,216 | 6,380 | 10,987 | 7,088 | 8,308 | 7,810 | 8,400 | |
Chief Compliance Officer fees |
| 2,999 | 13 | 3,663 | 737 | 1,358 | 1,736 | 1,437 | |
Printing and postage expense |
| 2,743 | 1,932 | 2,244 | 1,247 | 1,249 | 2,519 | 1,497 | |
Trustees' fees |
| 1,394 | 5 | 1,701 | 342 | 630 | 992 | 666 | |
Insurance expense |
| 968 | 4 | 1,181 | 239 | 439 | 447 | 464 | |
Non 12b-1 shareholder servicing fees |
| 1,173 | - | 83 | - | 72 | 744 | 268 | |
Miscellaneous expenses |
| 2,995 | 959 | 2,489 | 997 | 1,247 | 1,240 | 1,247 | |
| Total Operating Expenses |
| 254,395 | 23,514 | 480,010 | 146,013 | 230,673 | 142,922 | 215,992 |
| Less: Advisory/Sub-advisory fees waived |
| - | (964) | - | - | - | - | - |
| Net Operating Expenses |
| 254,395 | 22,550 | 480,010 | 146,013 | 230,673 | 142,922 | 215,992 |
|
|
|
|
|
|
|
|
|
|
Net Investment Income (Loss) |
| 63,725 | (21,405) | 137,091 | 270,613 | (31,099) | (124,629) | (30,988) | |
|
|
|
|
|
|
|
|
|
|
Realized and Unrealized |
|
|
|
|
|
|
|
| |
Gain (Loss) on Investments and |
|
|
|
|
|
|
|
| |
Foreign Currency: |
|
|
|
|
|
|
|
| |
Net realized gain (loss) from: |
|
|
|
|
|
|
|
| |
Investments |
| 713,114 | 1,614 | (301,066) | 1,023,328 | 871,744 | 1,223,601 | (1,727,184) | |
Foreign currency transactions |
| - |
| (1,502) | - | - | - | (55,741) | |
Net change in unrealized appreciation/(depreciation) on: |
|
|
|
|
|
|
|
| |
Investments |
| 2,966,690 | 88,259 | 641,576 | 1,314,280 | 719,544 | 1,059,749 | 2,615,949 | |
Foreign currency translations |
| - | - | (84,795) | - | - | - | 689 | |
Net Realized and Unrealized Gain |
| 3,679,804 | 89,873 | 254,213 | 2,337,608 | 1,591,288 | 2,283,350 | 833,713 | |
|
|
|
|
|
|
|
|
|
|
Net Increase in Net Assets |
|
|
|
| - |
|
|
| |
Resulting From Operations |
| $ 3,743,529 | $ 68,468 | $ 391,304 | $ 2,608,221 | $ 1,560,189 | $ 2,158,721 | $ 802,725 | |
|
|
|
|
|
|
|
|
|
|
(1) | The Dunham Focused Large Cap Growth Fund commenced operations on December 8, 2011. | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
STATEMENTS OF CHANGES IN NET ASSETS | ||||||||||
| ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Dunham | Dunham | Dunham | Dunham | ||||
|
|
| Monthly Distribution | Corporate/Government | High-Yield | Loss Averse | ||||
|
|
| Fund | Bond Fund | Bond Fund | Growth Fund | ||||
|
|
| Six Months |
| Six Months |
| Six Months |
| Six Months |
|
|
|
| Ended | Year Ended | Ended | Year Ended | Ended | Year Ended | Ended | Year Ended |
|
|
| April 30, 2012 | Oct. 31, 2011 | April 30, 2012 | Oct. 31, 2011 | April 30, 2012 | Oct. 31, 2011 | April 30, 2012 | Oct. 31, 2011 |
|
|
| (Unaudited) |
| (Unaudited) |
| (Unaudited) |
| (Unaudited) |
|
Operations: |
|
|
|
|
|
|
|
|
| |
Net investment income (loss) |
| $ 241,205 | $ (318,022) | $ 1,146,168 | $ 2,851,337 | $ 2,310,720 | $ 4,728,125 | $ 252,343 | $ 103,800 | |
Net realized gain (loss) from investments, |
|
|
|
|
|
|
|
|
| |
foreign currency and written options |
| 1,633,200 | 6,542,483 | 1,200,621 | 1,417,751 | (73,590) | 2,292,862 | 333,134 | (322,299) | |
Net change in unrealized appreciation |
|
|
|
|
|
|
|
|
| |
(depreciation) on investments, |
|
|
|
|
|
|
|
|
| |
foreign currency and written options |
| 4,536,666 | (6,754,490) | 792,798 | (2,699,501) | 2,232,384 | (4,315,365) | (162,021) | 174,329 | |
Net Increase/(Decrease) in Net Assets |
|
|
|
|
|
|
|
|
| |
Resulting From Operations |
| 6,411,071 | (530,029) | 3,139,587 | 1,569,587 | 4,469,514 | 2,705,622 | 423,456 | (44,170) | |
|
|
|
|
|
|
|
|
|
|
|
Distributions to Shareholders From: |
|
|
|
|
|
|
|
|
| |
Net Realized Gains: |
|
|
|
|
|
|
|
|
| |
| Class N |
| (950,990) | (1,878,166) | (1,220,087) | (2,262,050) | - | - | - | (39,259) |
| Class A |
| (437,153) | (1,113,726) | (16,307) | (15,036) | - | - | - | (54,003) |
| Class C |
| (433,828) | (939,881) | (185,383) | (331,168) | - | - | - | (2,541) |
Net Investment Income: |
|
|
|
|
|
|
|
|
| |
| Class N |
| (179,457) | - | (1,117,327) | (2,672,946) | (1,738,904) | (3,728,869) | (261,573) | - |
| Class A |
| (86,603) | - | (14,819) | (25,491) | (246,142) | (415,354) | (35,200) | - |
| Class C |
| (83,200) | - | (136,158) | (329,452) | (324,480) | (614,428) | (23,988) | - |
Total Dividends and Distributions |
|
|
|
|
|
|
|
|
| |
to Shareholders |
| (2,171,231) | (3,931,773) | (2,690,081) | (5,636,143) | (2,309,526) | (4,758,651) | (320,761) | (95,803) | |
|
|
|
|
|
|
|
|
|
|
|
Share Transactions of |
|
|
|
|
|
|
|
|
| |
Beneficial Interest: |
|
|
|
|
|
|
|
|
| |
Net proceeds from shares sold |
|
|
|
|
|
|
|
|
| |
| Class N |
| 13,996,294 | 50,554,555 | 12,385,918 | 14,004,250 | 22,949,009 | 12,520,509 | 3,395,178 | 6,915,883 |
| Class A |
| 6,190,811 | 30,453,694 | 1,233,149 | 550,731 | 4,490,865 | 3,050,873 | 1,350,543 | 1,298,156 |
| Class C |
| 4,138,159 | 15,048,836 | 1,309,776 | 1,954,921 | 4,194,011 | 3,914,166 | 690,424 | 1,338,808 |
Reinvestment of dividends and distributions |
|
|
|
|
|
|
|
|
| |
| Class N |
| 1,086,381 | 1,675,469 | 2,148,897 | 4,911,999 | 1,543,572 | 3,159,164 | 38,949 | 7,132 |
| Class A |
| 359,282 | 796,366 | 24,524 | 33,675 | 171,488 | 301,903 | 28,436 | 52,848 |
| Class C |
| 433,788 | 787,075 | 298,528 | 660,391 | 265,643 | 518,990 | 23,988 | 2,192 |
Cost of shares redeemed |
|
|
|
|
|
|
|
|
| |
| Class N |
| (10,061,101) | (22,721,851) | (7,759,917) | (34,778,317) | (3,735,937) | (27,149,775) | (2,510,991) | (2,632,911) |
| Class A |
| (6,936,109) | (21,119,895) | (672,220) | (463,600) | (1,224,152) | (2,078,647) | (622,474) | (5,462,046) |
| Class C |
| (3,576,847) | (8,270,693) | (924,207) | (5,303,209) | (1,899,453) | (2,913,813) | (168,478) | (414,073) |
Net Increase (Decrease) in Net Assets From |
|
|
|
|
|
|
|
| ||
Share Transactions of Beneficial Interest |
| 5,630,658 | 47,203,556 | 8,044,448 | (18,429,159) | 26,755,046 | (8,676,630) | 2,225,575 | 1,105,989 | |
|
|
|
|
|
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
| 9,870,498 | 42,741,754 | 8,493,954 | (22,495,715) | 28,915,034 | (10,729,659) | 2,328,270 | 966,016 | |
|
|
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
|
| |
| Beginning of Period |
| 125,702,569 | 82,960,815 | 68,669,460 | 91,165,175 | 62,447,242 | 73,176,901 | 11,652,846 | 10,686,830 |
| End of Period* |
| $ 135,573,067 | $ 125,702,569 | $ 77,163,414 | $ 68,669,460 | $ 91,362,276 | $ 62,447,242 | $ 13,981,116 | $ 11,652,846 |
| * Includes undistributed net investment |
|
|
|
|
|
|
|
|
|
| income (loss) at end of period |
| $ 171,524 | $ 279,579 | $ (122,136) | $ - | $ 18,954 | $ 17,760 | $ 28,417 | $ 96,835 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
STATEMENTS OF CHANGES IN NET ASSETS (Continued) | |||||||||||
| |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Dunham | Dunham | Dunham | Dunham | Dunham | ||||
|
|
| Appreciation & | Large Cap | Large Cap | Focused Large Cap | International | ||||
|
|
| Income Fund | Value Fund | Growth Fund | Growth Fund (1) | Stock Fund | ||||
|
|
| Six Months |
| Six Months |
| Six Months |
| Period | Six Months |
|
|
|
| Ended | Year Ended | Ended | Year Ended | Ended | Year Ended | Ended | Ended | Year Ended |
|
|
| April 30, 2012 | Oct. 31, 2011 | April 30, 2012 | Oct. 31, 2011 | April 30, 2012 | Oct. 31, 2011 | April 30, 2012 | April 30, 2012 | Oct. 31, 2011 |
|
|
| (Unaudited) |
| (Unaudited) |
| (Unaudited) |
| (Unaudited) | (Unaudited) |
|
Operations: |
|
|
|
|
|
|
|
|
|
| |
Net investment income (loss) |
| $ 97,795 | $ 251,352 | $ 146,719 | $ 164,786 | $ 63,725 | $ 92,796 | $ (21,405) | $ 137,091 | $ 485,221 | |
Net realized gain (loss) from investments |
|
|
|
|
|
|
|
|
|
| |
and foreign currency |
| 1,361,036 | 2,908,258 | 448,593 | 1,814,957 | 713,114 | 1,361,744 | 1,614 | (302,568) | 1,547,670 | |
Net change in unrealized appreciation |
|
|
|
|
|
|
|
|
|
| |
(depreciation) on investments |
|
|
|
|
|
|
|
|
|
| |
and foreign currency |
| (764,772) | (855,338) | 2,663,151 | 930,353 | 2,966,690 | 15,327 | 88,259 | 556,781 | (5,265,265) | |
Net Increase/(Decrease) in Net Assets |
|
|
|
|
|
|
|
|
|
| |
Resulting From Operations |
| 694,059 | 2,304,272 | 3,258,463 | 2,910,096 | 3,743,529 | 1,469,867 | 68,468 | 391,304 | (3,232,374) | |
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Shareholders From: |
|
|
|
|
|
|
|
|
|
| |
Net Investment Income: |
|
|
|
|
|
|
|
|
|
| |
| Class N |
| (290,529) | (663,047) | (158,239) | (202,004) | (92,415) | (15,864) | - | (508,799) | (304,185) |
| Class A |
| (35,067) | (226,554) | (3,694) | (22,102) | (224) | - | - | (14,078) | (2,273) |
| Class C |
| (14,305) | (63,368) | - | - | - | - | - | (21,368) | - |
Total Dividends and Distributions |
|
|
|
|
|
|
|
|
|
| |
to Shareholders |
| (339,901) | (952,969) | (161,933) | (224,106) | (92,639) | (15,864) | - | (544,245) | (306,458) | |
|
|
|
|
|
|
|
|
|
|
|
|
Share Transactions of |
|
|
|
|
|
|
|
|
|
| |
Beneficial Interest: |
|
|
|
|
|
|
|
|
|
| |
Net proceeds from shares sold |
|
|
|
|
|
|
|
|
|
| |
| Class N |
| 1,500,509 | 5,950,237 | 1,323,692 | 8,639,025 | 719,802 | 5,634,161 | 306,383 | 1,237,945 | 11,987,263 |
| Class A |
| 2,252,737 | 6,751,170 | 154,606 | 587,182 | 143,017 | 237,430 | 882,307 | 280,997 | 1,277,221 |
| Class C |
| 765,649 | 1,456,911 | 388,279 | 1,218,316 | 141,845 | 1,074,630 | 129,979 | 394,077 | 1,592,576 |
Reinvestment of dividends and distributions |
|
|
|
|
|
|
|
|
|
| |
| Class N |
| 287,073 | 643,241 | 153,677 | 193,522 | 86,229 | 14,465 | - | 508,513 | 304,050 |
| Class A |
| 23,365 | 201,137 | 3,521 | 20,678 | 224 | - | - | 13,992 | 1,465 |
| Class C |
| 13,911 | 63,368 | - | - | - | - | - | 21,312 | - |
Cost of shares redeemed |
|
|
|
|
|
|
|
|
|
| |
| Class N |
| (3,821,228) | (6,921,903) | (4,155,642) | (8,202,795) | (5,597,887) | (9,464,379) | (2) | (4,580,823) | (6,783,971) |
| Class A |
| (326,952) | (11,605,250) | (759,990) | (1,817,354) | (35,177) | (192,883) | (2,041) | (662,791) | (147,594) |
| Class C |
| (706,607) | (1,009,824) | (866,558) | (1,200,052) | (969,044) | (1,443,466) | - | (1,196,241) | (1,275,435) |
Net Increase (Decrease) in Net Assets From |
|
|
|
|
|
|
|
|
| ||
Share Transactions of Beneficial Interest |
| (11,543) | (4,470,913) | (3,758,415) | (561,478) | (5,510,991) | (4,140,042) | 1,316,626 | (3,983,019) | 6,955,575 | |
|
|
|
|
|
|
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
| 342,615 | (3,119,610) | (661,885) | 2,124,512 | (1,860,101) | (2,686,039) | 1,385,094 | (4,135,960) | 3,416,743 | |
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
|
|
| |
| Beginning of Period |
| 31,598,897 | 34,718,507 | 43,173,243 | 41,048,731 | 34,128,411 | 36,814,450 | - | 47,320,976 | 43,904,233 |
| End of Period |
| $ 31,941,512 | $ 31,598,897 | $ 42,511,358 | $ 43,173,243 | $ 32,268,310 | $ 34,128,411 | $ 1,385,094 | $ 43,185,016 | $ 47,320,976 |
| * Includes undistributed net investment |
|
|
|
|
|
|
|
|
|
|
| income (loss) at end of period |
| $ (168,948) | $ 73,158 | $ 74,889 | $ 90,103 | $ 63,127 | $ 92,041 | $ (21,405) | $ 22,835 | $ 429,989 |
|
|
|
|
|
|
|
|
|
|
|
|
(1) | The Dunham Focused Large Cap Growth Fund commenced operation on December 8, 2011. | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
STATEMENTS OF CHANGES IN NET ASSETS (Continued) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Dunham | Dunham | Dunham | Dunham | ||||
|
|
| Real Estate | Small Cap | Small Cap | Emerging Markets | ||||
|
|
| Stock Fund | Value Fund | Growth Fund | Stock Fund | ||||
|
|
| Six Months |
| Six Months |
| Six Months |
| Six Months |
|
|
|
| Ended | Year Ended | Ended | Year Ended | Ended | Year Ended | Ended | Year Ended |
|
|
| April 30, 2012 | Oct. 31, 2011 | April 30, 2012 | Oct. 31, 2011 | April 30, 2012 | Oct. 31, 2011 | April 30, 2012 | Oct. 31, 2011 |
|
|
| (Unaudited) |
| (Unaudited) |
| (Unaudited) |
| (Unaudited) |
|
Operations: |
|
|
|
|
|
|
|
|
| |
Net investment income (loss) |
| $ 270,613 | $ 128,167 | $ (31,099) | $ (15,451) | $ (124,629) | $ (304,325) | $ (30,988) | $ (103,427) | |
Net realized gain (loss) from investments and |
|
|
|
|
|
|
|
|
| |
foreign currency |
| 1,023,328 | 368,525 | 871,744 | 2,165,519 | 1,223,601 | 2,637,645 | (1,782,925) | (410,410) | |
Net change in unrealized appreciation |
|
|
|
|
|
|
|
|
| |
(depreciation) on investments and foreign currency | 1,314,280 | 1,326,163 | 719,544 | (892,308) | 1,059,749 | (1,723,771) | 2,616,638 | (3,060,641) | ||
Net Increase (Decrease) in Net Assets |
|
|
|
|
|
|
|
|
| |
Resulting From Operations |
| 2,608,221 | 1,822,855 | 1,560,189 | 1,257,760 | 2,158,721 | 609,549 | 802,725 | (3,574,478) | |
|
|
|
|
|
|
|
|
|
|
|
Distributions to Shareholders From: |
|
|
|
|
|
|
|
|
| |
Net Investment Income: |
|
|
|
|
|
|
|
|
| |
| Class N |
| (113,301) | (104,823) | - | (27,644) | - | - | - | - |
| Class A |
| (55,961) | (458) | - | - | - | - | - | - |
| Class C |
| - | (4,466) | - | - | - | - | - | - |
Total Dividends and Distributions |
|
|
|
|
|
|
|
|
| |
to Shareholders |
| (169,262) | (109,747) | - | (27,644) | - | - | - | - | |
|
|
|
|
|
|
|
|
|
|
|
Share Transactions of |
|
|
|
|
|
|
|
|
| |
Beneficial Interest: |
|
|
|
|
|
|
|
|
| |
Net proceeds from shares sold |
|
|
|
|
|
|
|
|
| |
| Class N |
| 2,307,659 | 6,926,996 | 337,934 | 3,379,433 | 564,457 | 4,469,761 | 900,594 | 7,197,886 |
| Class A |
| 545,782 | 7,759,189 | 4,445,110 | 666,939 | 753,897 | 7,301,900 | 10,844,785 | 1,356,820 |
| Class C |
| 303,700 | 890,853 | 100,267 | 588,713 | 250,332 | 943,873 | 357,730 | 1,136,980 |
Reinvestment of dividends and distributions |
|
|
|
|
|
|
|
|
| |
| Class N |
| 113,210 | 104,396 | - | 27,622 | - | - | - | - |
| Class A |
| 55,961 | 458 | - | - | - | - | - | - |
| Class C |
| - | 4,466 | - | - | - | - | - | - |
Cost of shares redeemed |
|
|
|
|
|
|
|
|
| |
| Class N |
| (2,045,124) | (3,120,705) | (2,463,864) | (4,103,911) | (3,640,127) | (5,200,831) | (1,901,852) | (3,370,029) |
| Class A |
| (7,834,388) | (1,517,535) | (230,499) | (653,789) | (1,010,232) | (5,114,764) | (684,043) | (2,834,374) |
| Class C |
| (261,908) | (390,413) | (571,852) | (501,566) | (662,262) | (1,334,726) | (442,774) | (591,454) |
Net Increase (Decrease) in Net Assets From |
|
|
|
|
|
|
|
| ||
Share Transactions of Beneficial Interest |
| (6,815,108) | 10,657,705 | 1,617,096 | (596,559) | (3,743,935) | 1,065,213 | 9,074,440 | 2,895,829 | |
|
|
|
|
|
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
| (4,376,149) | 12,370,813 | 3,177,285 | 633,557 | (1,585,214) | 1,674,762 | 9,877,165 | (678,649) | |
|
|
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
|
| |
| Beginning of Period |
| 21,414,032 | 9,043,219 | 17,506,420 | 16,872,863 | 20,118,211 | 18,443,449 | 18,323,130 | 19,001,779 |
| End of Period* |
| $ 17,037,883 | $ 21,414,032 | $ 20,683,705 | $ 17,506,420 | $ 18,532,997 | $ 20,118,211 | $ 28,200,295 | $ 18,323,130 |
| * Includes undistributed net investment |
|
|
|
|
|
|
|
|
|
| income (loss) at end of period |
| $ 203,227 | $ 101,876 | $ (31,099) | $ - | $ (124,629) | $ - | $ (41,520) | $ (10,532) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See accompanying notes to financial statements. |
FINANCIAL HIGHLIGHTS | |||||||||||||
Dunham Monthly Distribution Fund | |||||||||||||
The table sets forth financial data for one share of beneficial interest outstanding throughout each period. | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class N | Class A | ||||||||||
|
| Six Months |
|
| Six Months |
|
|
| Ten Months |
|
| ||
|
| Ended | Year Ended | Period Ended | Ended | Year Ended | Ended | Year Ended | Year Ended | ||||
|
| April 30, | October 31, | October 31, | April 30, | October 31, | October 31, | December 31, | December 31, | ||||
|
| 2012 | 2011 | 2010 | 2009 | 2008* | 2012 | 2011 | 2010 | 2009 | 2008 ~ | 2007 | 2006 |
|
| (Unaudited) |
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 35.87 | $ 36.52 | $ 34.09 | $ 34.78 | $ 37.32 | $ 35.58 | $ 36.32 | $ 33.99 | $ 34.78 | $ 46.78 | $ 51.01 | $ 51.84 | |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income (loss)** | 0.12 | 0.01 | 0.22 | (0.03) | (0.05) | 0.07 | (0.09) | 0.14 | (0.11) | (0.56) | (0.18) | (0.27) |
| Net realized and unrealized gain (loss) *** | 1.73 | 0.53 | 3.35 | 1.39 | (2.35) | 1.72 | 0.54 | 3.33 | 1.37 | (9.08) | 1.08 | 5.07 |
| Payment from affiliate | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.07++ |
| Total income (loss) from investment operations | 1.85 | 0.54 | 3.57 | 1.36 | (2.40) | 1.79 | 0.45 | 3.47 | 1.26 | (9.64) | 0.90 | 4.87 |
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net realized gains | (0.59) | (1.19) | (1.14) | (1.15) | (0.14) | (0.59) | (1.19) | (1.14) | (1.15) | (0.14) | (5.13) | 0.00 |
| Tax return of capital | 0.00 | 0.00 | 0.00 | (0.90) | 0.00 | 0.00 | 0.00 | 0.00 | (0.90) | (2.22) | 0.00 | (5.70) |
| Total distributions | (0.59) | (1.19) | (1.14) | (2.05) | (0.14) | (0.59) | (1.19) | (1.14) | (2.05) | (2.36) | (5.13) | (5.70) |
Net asset value, end of period | $ 37.13 | $ 35.87 | $ 36.52 | $ 34.09 | $ 34.78 | $ 36.78 | $ 35.58 | $ 36.32 | $ 33.99 | $ 34.78 | $ 46.78 | $ 51.01 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 5.20% | 1.47% | 10.64% | 4.29% | (6.44)% | 5.07% | 1.22% | 10.38% | 3.99% | (21.27)% | 1.72% | 9.92% | |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of period (in 000s) | $ 73,075 | $ 65,621 | $ 38,328 | $ 16,612 | $ 291 | $ 33,051 | $ 32,381 | $ 23,453 | $ 24,080 | $ 34,552 | $ 18,223 | $ 24,795 |
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 2.79% | 2.57% | 2.45% | 2.38% | 3.40% | 3.04% | 2.82% | 2.70% | 2.63% | 3.65% | 2.36% | 2.34% |
| After fee waivers^ | 2.79% | 2.57% | 2.45% | 2.35% | 3.40% | 3.04% | 2.82% | 2.70% | 2.60% | 3.65% | 2.25% | 2.21% |
| Ratios of net investment income (loss) to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 0.65% | 0.03% | 0.62% | (0.11)% | (1.44)% | 0.40% | (0.22)% | 0.37% | (0.36)% | (1.69)% | (0.44)% | (0.59)% |
| After fee waivers^ | 0.65% | 0.03% | 0.62% | (0.08)% | (1.44)% | 0.40% | (0.22)% | 0.37% | (0.33)% | (1.69)% | (0.33)% | (0.46)% |
| Portfolio turnover rate | 119% (1) | 277% | 370% | 480% | 160% (1) | 119% (1) | 277% | 370% | 480% | 160% (1) | 213% | 196% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class C |
|
|
|
|
| ||||||
|
| Six Months |
|
|
| Ten Months |
|
|
|
|
|
|
|
|
| Ended | Year Ended | Ended | Year Ended | Year Ended |
|
|
|
|
| ||
|
| April 30, | October 31, | October 31, | December 31, | December 31, |
|
|
|
|
| ||
|
| 2012 | 2011 | 2010 | 2009 | 2008 ~ | 2007 | 2006 |
|
|
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 31.55 | $ 32.59 | $ 30.83 | $ 32.00 | $ 43.50 | $ 48.12 | $ 49.55 |
|
|
|
|
| |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment loss** | (0.06) | (0.32) | (0.12) | (0.33) | (0.75) | (0.55) | (0.64) |
|
|
|
|
|
| Net realized and unrealized gain (loss) *** | 1.52 | 0.47 | 3.02 | 1.21 | (8.39) | 1.06 | 4.84 |
|
|
|
|
|
| Payment from affiliate | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.07++ |
|
|
|
|
|
| Total income (loss) from investment operations | 1.46 | 0.15 | 2.90 | 0.88 | (9.14) | 0.51 | 4.27 |
|
|
|
|
|
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net realized gains | (0.59) | (1.19) | (1.14) | (1.15) | (0.14) | (5.13) | 0.00 |
|
|
|
|
|
| Tax return of capital | 0.00 | 0.00 | 0.00 | (0.90) | (2.22) | 0.00 | (5.70) |
|
|
|
|
|
| Total distributions | (0.59) | (1.19) | (1.14) | (2.05) | (2.36) | (5.13) | (5.70) |
|
|
|
|
|
Net asset value, end of period | $ 32.42 | $ 31.55 | $ 32.59 | $ 30.83 | $ 32.00 | $ 43.50 | $ 48.12 |
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 4.67% | 0.43% | 9.59% | 3.12% | (21.74)% | 0.98% | 9.13% |
|
|
|
|
| |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of period (in 000s) | $ 29,447 | $ 27,701 | $ 21,181 | $ 19,553 | $ 28,310 | $ 15,161 | $ 18,601 |
|
|
|
|
|
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 3.79% | 3.57% | 3.45% | 3.38% | 4.40% | 3.11% | 3.09% |
|
|
|
|
|
| After fee waivers^ | 3.79% | 3.57% | 3.45% | 3.35% | 4.40% | 3.00% | 2.96% |
|
|
|
|
|
| Ratios of net investment loss to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | (0.35)% | (0.97)% | (0.38)% | (1.11)% | (2.44)% | (1.20)% | (1.34)% |
|
|
|
|
|
| After fee waivers^ | (0.35)% | (0.97)% | (0.38)% | (1.08)% | (2.44)% | (1.09)% | (1.20)% |
|
|
|
|
|
| Portfolio turnover rate | 119% (1) | 277% | 370% | 480% | 160% (1) | 213% | 196% |
|
|
|
|
|
* | Class N shares commenced operations on September 29, 2008. | ||||||||||||
** | The net investment income (loss) per share data was determined using the average shares outstanding throughout the period. | ||||||||||||
*** | Realized and unrealized gain (loss) per share does not correlate to the aggregate of the net realized and unrealized loss in the Statements of Operations for the year ended October 31, 2011, primarily due to the timing of the sales and repurchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. | ||||||||||||
^ Annualized for periods less than one year. | |||||||||||||
+Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total | |||||||||||||
return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. | |||||||||||||
(1) Not Annualized |
|
|
|
|
|
|
|
|
|
|
|
| |
++ Amount was calculated based on the average shares outstanding during the year. | |||||||||||||
~ The Fund's fiscal year end changed from December 31 to October 31 effective September 29, 2008. | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
FINANCIAL HIGHLIGHTS | |||||||||||||
Dunham Corporate/Government Bond Fund | |||||||||||||
The table sets forth financial data for one share of beneficial interest outstanding throughout each period. | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class N |
|
|
|
|
|
| |||||
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
|
|
| Ended | Year Ended |
|
|
|
|
|
| ||||
|
| April 30, | October 31, |
|
|
|
|
|
| ||||
|
| 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
|
|
|
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year | $ 14.32 | $ 14.99 | $ 14.32 | $ 12.73 | $ 13.65 | $ 13.58 |
|
|
|
|
|
| |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income** | 0.23 | 0.52 | 0.54 | 0.52 | 0.53 | 0.59 |
|
|
|
|
|
|
| Net realized and unrealized gain (loss) | 0.40 | (0.20) | 0.76 | 1.60 | (0.90) | 0.06 |
|
|
|
|
|
|
| Total income (loss) from investment operations | 0.63 | 0.32 | 1.30 | 2.12 | (0.37) | 0.65 |
|
|
|
|
|
|
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | (0.26) | (0.56) | (0.56) | (0.53) | (0.53) | (0.58) |
|
|
|
|
|
|
| Distributions from net realized gains | (0.29) | (0.43) | (0.07) | 0.00 | (0.02) | 0.00 |
|
|
|
|
|
|
| Total distributions | (0.55) | (0.99) | (0.63) | (0.53) | (0.55) | (0.58) |
|
|
|
|
|
|
Net asset value, end of year | $ 14.40 | $ 14.32 | $ 14.99 | $ 14.32 | $ 12.73 | $ 13.65 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 4.45% | 2.33% | 9.32% | 16.92% | (3.21)% | 4.87% |
|
|
|
|
|
| |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of year (in 000s) | $ 65,965 | $ 58,810 | $ 78,181 | $ 65,445 | $ 71,815 | $ 81,719 |
|
|
|
|
|
|
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | 1.10% | 1.30% | 1.37% | 1.21% | 1.07% | 1.06% |
|
|
|
|
|
|
| After fee waivers | 1.10% | 1.30% | 1.37% | 1.18% | 1.07% | 1.03% |
|
|
|
|
|
|
| Ratios of net investment income to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | 3.27% | 3.62% | 3.66% | 3.77% | 3.91% | 4.32% |
|
|
|
|
|
|
| After fee waivers | 3.27% | 3.62% | 3.66% | 3.80% | 3.91% | 4.35% |
|
|
|
|
|
|
| Portfolio turnover rate | 103% (1) | 178% | 174% | 266% | 253% | 291% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A | Class C | ||||||||||
|
| Six Months |
|
|
|
| Period | Six Months |
|
|
|
|
|
|
| Ended | Year Ended | Ended | Ended | Year Ended | |||||||
|
| April 30, | October 31, | October 31, | April 30, | October 31, | |||||||
|
| 2012 | 2011 | 2010 | 2009 | 2008 | 2007* | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
|
| (Unaudited) |
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 14.31 | $ 14.98 | $ 14.36 | $ 12.77 | $ 13.69 | $ 13.60 | $ 14.23 | $ 14.90 | $ 14.24 | $ 12.66 | $ 13.57 | $ 13.51 | |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income** | 0.21 | 0.49 | 0.50 | 0.48 | 0.50 | 0.46 | 0.18 | 0.41 | 0.42 | 0.41 | 0.43 | 0.49 |
| Net realized and unrealized gain (loss) | 0.39 | (0.20) | 0.76 | 1.61 | (0.90) | (0.14) | 0.39 | (0.20) | 0.76 | 1.59 | (0.89) | 0.05 |
| Total income (loss) from investment operations | 0.60 | 0.29 | 1.26 | 2.09 | (0.40) | 0.32 | 0.57 | 0.21 | 1.18 | 2.00 | (0.46) | 0.54 |
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | (0.24) | (0.53) | (0.57) | (0.50) | (0.50) | (0.23) | (0.20) | (0.45) | (0.45) | (0.42) | (0.43) | (0.48) |
| Distributions from net realized gains | (0.29) | (0.43) | (0.07) | 0.00 | (0.02) | 0.00 | (0.29) | (0.43) | (0.07) | 0.00 | (0.02) | 0.00 |
| Total distributions | (0.53) | (0.96) | (0.64) | (0.50) | (0.52) | (0.23) | (0.49) | (0.88) | (0.52) | (0.42) | (0.45) | (0.48) |
Net asset value, end of period | $ 14.38 | $ 14.31 | $ 14.98 | $ 14.36 | $ 12.77 | $ 13.69 | $ 14.31 | $ 14.23 | $ 14.90 | $ 14.24 | $ 12.66 | $ 13.57 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 4.25% | 2.15% | 8.98% | 16.61% | (3.45)% | 2.40% | 4.08% | 1.57% | 8.48% | 16.05% | (3.82)% | 4.07% | |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of period (in 000s) | $ 1,206 | $ 610 | $ 518 | $ 212 | $ 188 | $ 221 | $ 9,992 | $ 9,250 | $ 12,466 | $ 13,119 | $ 12,890 | $ 13,801 |
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 1.35% | 1.55% | 1.62% | 1.46% | 1.32% | 1.31% | 1.85% | 2.05% | 2.12% | 1.96% | 1.82% | 1.81% |
| After fee waivers^ | 1.35% | 1.55% | 1.62% | 1.43% | 1.32% | 1.28% | 1.85% | 2.05% | 2.12% | 1.93% | 1.82% | 1.78% |
| Ratios of net investment income to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 3.02% | 3.37% | 3.41% | 3.52% | 3.66% | 4.08% | 2.52% | 2.87% | 2.91% | 3.02% | 3.16% | 3.57% |
| After fee waivers^ | 3.02% | 3.37% | 3.41% | 3.55% | 3.66% | 4.11% | 2.52% | 2.87% | 2.91% | 3.05% | 3.16% | 3.60% |
| Portfolio turnover rate | 103% (1) | 178% | 174% | 266% | 253% | 291% (1) | 103% (1) | 178% | 174% | 266% | 253% | 291% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Class A shares commenced operations on January 3, 2007. |
|
|
|
|
|
|
| ||||||
**The net investment income per share data was determined using the average shares outstanding throughout the period. |
|
|
|
| |||||||||
^ Annualized for periods less than one year. |
|
| |||||||||||
+Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total |
| ||||||||||||
return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
|
| |||||||||||
(1) | Not annualized. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
FINANCIAL HIGHLIGHTS | |||||||||||||
Dunham High-Yield Bond Fund | |||||||||||||
The table sets forth financial data for one share of beneficial interest outstanding throughout each period. | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class N |
|
|
|
|
|
| |||||
|
| Six Months |
|
|
|
|
|
|
| ||||
|
| Ended | Year Ended |
|
|
|
|
|
| ||||
|
| April 30, | October 31, |
|
|
|
|
|
| ||||
|
| 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
|
|
|
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year | $ 9.08 | $ 9.36 | $ 8.65 | $ 7.30 | $ 9.79 | $ 9.91 |
|
|
|
|
|
| |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income** | 0.29 | 0.65 | 0.72 | 0.62 | 0.63 | 0.65 |
|
|
|
|
|
|
| Net realized and unrealized gain (loss) | 0.26 | (0.28) | 0.70 | 1.34 | (2.49) | (0.15) |
|
|
|
|
|
|
| Total income (loss) from investment operations | 0.55 | 0.37 | 1.42 | 1.96 | (1.86) | 0.50 |
|
|
|
|
|
|
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | (0.28) | (0.65) | (0.71) | (0.61) | (0.63) | (0.62) |
|
|
|
|
|
|
| Total distributions | (0.28) | (0.65) | (0.71) | (0.61) | (0.63) | (0.62) |
|
|
|
|
|
|
Net asset value, end of year | $ 9.35 | $ 9.08 | $ 9.36 | $ 8.65 | $ 7.30 | $ 9.79 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 6.19% | 4.03% | 17.11% | 28.20% | (20.10)% | 5.05% |
|
|
|
|
|
| |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of year (in 000s) | $ 67,934 | $ 45,586 | $ 58,597 | $ 51,747 | $ 43,837 | $ 72,503 |
|
|
|
|
|
|
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | 1.30% | 1.38% | 1.23% | 1.58% | 1.57% | 1.29% |
|
|
|
|
|
|
| After fee waivers | 1.30% | 1.38% | 1.23% | 1.55% | 1.57% | 1.29% |
|
|
|
|
|
|
| Ratios of net investment income to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | 6.30% | 6.92% | 7.99% | 8.00% | 6.81% | 6.53% |
|
|
|
|
|
|
| After fee waivers | 6.30% | 6.92% | 7.99% | 8.03% | 6.81% | 6.53% |
|
|
|
|
|
|
| Portfolio turnover rate | 18% (1) | 49% | 60% | 103% | 75% | 64% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A | Class C | ||||||||||
|
| Six Months |
|
|
|
| Period | Six Months |
|
|
|
|
|
|
| Ended | Year Ended | Ended | Ended | Year Ended | |||||||
|
| April 30, | October 31, | October 31, | April 30, | October 31, | |||||||
|
| 2012 | 2011 | 2010 | 2009 | 2008 | 2007* | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
|
| (Unaudited) |
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 9.15 | $ 9.42 | $ 8.71 | $ 7.34 | $ 9.81 | $ 10.06 | $ 9.04 | $ 9.31 | $ 8.61 | $ 7.27 | $ 9.75 | $ 9.90 | |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income** | 0.28 | 0.63 | 0.70 | 0.63 | 0.60 | 0.53 | 0.25 | 0.58 | 0.65 | 0.55 | 0.55 | 0.58 |
| Net realized and unrealized gain (loss) | 0.26 | (0.27) | 0.71 | 1.33 | (2.50) | (0.45) | 0.26 | (0.28) | 0.69 | 1.35 | (2.47) | (0.16) |
| Total income (loss) from investment operations | 0.54 | 0.36 | 1.41 | 1.96 | (1.90) | 0.08 | 0.51 | 0.30 | 1.34 | 1.90 | (1.92) | 0.42 |
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | (0.27) | (0.63) | (0.70) | (0.59) | (0.57) | (0.33) | (0.25) | (0.57) | (0.64) | (0.56) | (0.56) | (0.57) |
| Total distributions | (0.27) | (0.63) | (0.70) | (0.59) | (0.57) | (0.33) | (0.25) | (0.57) | (0.64) | (0.56) | (0.56) | (0.57) |
Net asset value, end of period | $ 9.42 | $ 9.15 | $ 9.42 | $ 8.71 | $ 7.34 | $ 9.81 | $ 9.30 | $ 9.04 | $ 9.31 | $ 8.61 | $ 7.27 | $ 9.75 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 6.01% | 3.84% | 16.85% | 27.91% | (20.43)% | 0.83% | 5.74% | 3.28% | 16.16% | 27.37% | (20.73)% | 4.25% | |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of period (in 000s) | $ 10,128 | $ 6,457 | $ 5,366 | $ 4,909 | $ 1,590 | $ 178 | $ 13,300 | $ 10,404 | $ 9,214 | $ 7,678 | $ 8,203 | $ 11,609 |
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 1.55% | 1.63% | 1.48% | 1.83% | 1.82% | 1.55% | 2.05% | 2.13% | 1.98% | 2.33% | 2.32% | 2.04% |
| After fee waivers^ | 1.55% | 1.63% | 1.48% | 1.80% | 1.82% | 1.55% | 2.05% | 2.13% | 1.98% | 2.30% | 2.32% | 2.04% |
| Ratios of net investment income to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 6.05% | 6.67% | 7.74% | 7.75% | 6.56% | 6.28% | 5.55% | 6.17% | 7.24% | 7.25% | 6.06% | 5.78% |
| After fee waivers^ | 6.05% | 6.67% | 7.74% | 7.78% | 6.56% | 6.28% | 5.55% | 6.17% | 7.24% | 7.28% | 6.06% | 5.78% |
| Portfolio turnover rate | 18% (1) | 49% | 60% | 103% | 75% | 64% (1) | 18% (1) | 49% | 60% | 103% | 75% | 64% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Class A shares commenced operations on January 3, 2007. |
|
|
|
|
|
|
|
| |||||
**The net investment income per share data was determined using the average shares outstanding throughout the period. |
|
|
| ||||||||||
^ Annualized for periods less than one year. |
|
|
|
|
|
|
|
| |||||
+Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total |
|
| |||||||||||
return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
|
|
| ||||||||||
(1) | Not annualized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
FINANCIAL HIGHLIGHTS | |||||||||||
Dunham Loss Averse Growth Fund* | |||||||||||
The table sets forth financial data for one share of beneficial interest outstanding throughout each period. | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class N | Class A | Class C | |||||
|
|
| Six Months |
|
| Six Months |
|
| Six Months |
|
|
|
|
| Ended | Year Ended | Period Ended | Ended | Year Ended | Period Ended | Ended | Year Ended | Period Ended |
|
|
| April 30, | October 31, | October 31, | April 30, | October 31, | October 31, | April 30, | October 31, | October 31, |
|
|
| 2012 | 2011 | 2010 | 2012 | 2011 | 2010 | 2012 | 2011 | 2010 |
|
|
| (Unaudited) |
|
| (Unaudited) |
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
| $ 10.10 | $ 10.17 | $ 10.00 | $ 10.06 | $ 10.16 | $ 10.00 | $ 9.96 | $ 10.13 | $ 10.00 | |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
| |
| Net investment income (loss)** |
| 0.21 | 0.17 | (0.13) | 0.20 | 0.02 | (0.14) | 0.16 | 0.07 | (0.17) |
| Net realized and unrealized gain (loss) |
| 0.12 | (0.15) | 0.30 | 0.11 | (0.03) | 0.30 | 0.12 | (0.15) | 0.30 |
| Total income (loss) from investment operations |
| 0.33 | 0.02 | 0.17 | 0.31 | (0.01) | 0.16 | 0.28 | (0.08) | 0.13 |
Less distributions: |
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income |
| (0.30) | 0.00 | 0.00 | (0.21) | 0.00 | 0.00 | (0.20) | 0.00 | 0.00 |
| Distributions from net realized gains |
| 0.00 | (0.09) | 0.00 | 0.00 | (0.09) | 0.00 | 0.00 | (0.09) | 0.00 |
| Total distributions |
| (0.30) | (0.09) | 0.00 | (0.21) | (0.09) | 0.00 | (0.20) | (0.09) | 0.00 |
Net asset value, end of period |
| $ 10.13 | $ 10.10 | $ 10.17 | $ 10.16 | $ 10.06 | $ 10.16 | $ 10.04 | $ 9.96 | $ 10.13 | |
|
|
|
|
|
|
|
|
|
|
|
|
Total return +, # |
| 3.25% | 0.20% | 1.70% | 3.20% | (0.10)% | 1.60% | 2.86% | (0.79)% | 1.30% | |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of period (in 000s) |
| $ 9,794 | $ 8,798 | $ 4,303 | $ 2,566 | $ 1,788 | $ 6,224 | $ 1,622 | $ 1,067 | $ 160 |
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ |
| 2.35% | 1.98% | 2.75% | 2.60% | 2.23% | 3.00% | 3.35% | 2.98% | 3.75% |
| After fee waivers^ |
| 2.35% | 1.98% | 2.75% | 2.60% | 2.23% | 3.00% | 3.35% | 2.98% | 3.75% |
| Ratios of net investment income (loss) to |
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ |
| 4.20% | 1.71% | (2.39)% | 3.95% | 1.46% | (2.64)% | 3.20% | 0.71% | (3.39)% |
| After fee waivers^ |
| 4.20% | 1.71% | (2.39)% | 3.95% | 1.46% | (2.64)% | 3.20% | 0.71% | (3.39)% |
| Portfolio turnover rate |
| 228% (1) | 704% | 402% (1) | 228% (1) | 704% | 402% (1) | 228% (1) | 704% | 402% (1) |
|
|
|
|
|
|
|
|
|
|
|
|
* The fund commenced operations on April 30, 2010. |
| ||||||||||
**The net investment income (loss) per share data was determined using the average shares outstanding throughout the period. |
| ||||||||||
^ Annualized for periods less than one year. |
| ||||||||||
+Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. |
| ||||||||||
Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
| ||||||||||
# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial |
| ||||||||||
reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| ||||||||||
(1) | Not annualized. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
FINANCIAL HIGHLIGHTS | |||||||||||||
Dunham Appreciation & Income Fund | |||||||||||||
The table sets forth financial data for one share of beneficial interest outstanding throughout each period. | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class N |
|
|
|
|
|
| |||||
|
| Six Months |
|
|
|
|
|
|
| ||||
|
| Ended | Year Ended |
|
|
|
|
|
| ||||
|
| April 30, | October 31, |
|
|
|
|
|
| ||||
|
| 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
|
|
|
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year | $ 8.86 | $ 8.47 | $ 7.53 | $ 5.77 | $ 10.13 | $ 9.11 |
|
|
|
|
|
| |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income** | 0.03 | 0.08 | 0.16 | 0.14 | 0.03 | 0.03 |
|
|
|
|
|
|
| Net realized and unrealized gain (loss) | 0.17 | 0.55 | 0.90 | 1.70 | (3.46) | 1.87 |
|
|
|
|
|
|
| Total income (loss) from investment operations | 0.20 | 0.63 | 1.06 | 1.84 | (3.43) | 1.90 |
|
|
|
|
|
|
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | (0.11) | (0.24) | (0.12) | (0.08) | (0.30) | (0.23) |
|
|
|
|
|
|
| Distributions from net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | (0.36) | (0.65) |
|
|
|
|
|
|
| Distributions from paid in capital | 0.00 | 0.00 | 0.00 | 0.00 | (0.27) | 0.00 |
|
|
|
|
|
|
| Total distributions | (0.11) | (0.24) | (0.12) | (0.08) | (0.93) | (0.88) |
|
|
|
|
|
|
Net asset value, end of year | $ 8.95 | $ 8.86 | $ 8.47 | $ 7.53 | $ 5.77 | $ 10.13 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 2.41% | 7.56% | 14.22% | 32.37% | (37.06)% | 22.85% |
|
|
|
|
|
| |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of year (in 000s) | $ 22,710 | $ 24,475 | $ 23,718 | $ 20,515 | $ 24,521 | $ 34,074 |
|
|
|
|
|
|
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | 1.83% | 1.91% | 1.52% | 1.86% | 1.90% | 1.87% |
|
|
|
|
|
|
| After fee waivers | 1.83% | 1.91% | 1.52% | 1.83% | 1.90% | 1.87% |
|
|
|
|
|
|
| Ratios of net investment income to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | 0.78% | 0.90% | 1.99% | 2.15% | 0.41% | 0.31% |
|
|
|
|
|
|
| After fee waivers | 0.78% | 0.90% | 1.99% | 2.18% | 0.41% | 0.31% |
|
|
|
|
|
|
| Portfolio turnover rate | 29% (1) | 69% | 71% | 69% | 104% | 109% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A | Class C | ||||||||||
|
| Six Months |
|
|
|
| Period | Six Months |
|
|
|
|
|
|
| Ended | Year Ended | Ended | Ended | Year Ended | |||||||
|
| April 30, | October 31, | October 31, | April 30, | October 31, | |||||||
|
| 2012 | 2011 | 2010 | 2009 | 2008 | 2007* | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
|
| (Unaudited) |
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 8.83 | $ 8.45 | $ 7.52 | $ 5.74 | $ 10.11 | $ 8.41 | $ 8.70 | $ 8.32 | $ 7.40 | $ 5.64 | $ 9.95 | $ 8.90 | |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income (loss)** | 0.03 | 0.06 | 0.14 | 0.13 | 0.01 | 0.00 | (0.01) | (0.01) | 0.08 | 0.07 | (0.05) | (0.06) |
| Net realized and unrealized gain (loss) | 0.17 | 0.55 | 0.90 | 1.70 | (3.45) | 1.70 | 0.17 | 0.55 | 0.89 | 1.69 | (3.41) | 1.85 |
| Total income (loss) from investment operations | 0.20 | 0.61 | 1.04 | 1.83 | (3.44) | 1.70 | 0.16 | 0.54 | 0.97 | 1.76 | (3.46) | 1.79 |
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | (0.09) | (0.23) | (0.11) | (0.05) | (0.27) | 0.00 | (0.03) | (0.16) | (0.05) | 0.00 | (0.02) | (0.09) |
| Distributions from net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | (0.36) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.36) | (0.65) |
| Distributions from paid in capital | 0.00 | 0.00 | 0.00 | 0.00 | (0.30) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.47) | 0.00 |
| Total distributions | (0.09) | (0.23) | (0.11) | (0.05) | (0.93) | 0.00 | (0.03) | (0.16) | (0.05) | 0.00 | (0.85) | (0.74) |
Net asset value, end of period | $ 8.94 | $ 8.83 | $ 8.45 | $ 7.52 | $ 5.74 | $ 10.11 | $ 8.83 | $ 8.70 | $ 8.32 | $ 7.40 | $ 5.64 | $ 9.95 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 2.31% | 7.33% | 13.96% | 32.09% | (37.32)% | 20.21% | 1.88% | 6.49% | 13.14% | 31.21% | (37.80)% | 21.69% | |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of period (in 000s) | $ 4,980 | $ 2,994 | $ 7,530 | $ 2,498 | $ 468 | $ 732 | $ 4,251 | $ 4,130 | $ 3,471 | $ 3,513 | $ 3,642 | $ 6,442 |
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 2.08% | 2.16% | 1.77% | 2.11% | 2.15% | 2.12% | 2.83% | 2.91% | 2.52% | 2.86% | 2.90% | 2.87% |
| After fee waivers^ | 2.08% | 2.16% | 1.77% | 2.08% | 2.15% | 2.12% | 2.83% | 2.91% | 2.52% | 2.83% | 2.90% | 2.87% |
| Ratios of net investment income (loss) to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 0.53% | 0.65% | 1.74% | 1.90% | 0.16% | 0.06% | (0.22)% | (0.10)% | 0.99% | 1.15% | (0.59)% | (0.69)% |
| After fee waivers^ | 0.53% | 0.65% | 1.74% | 1.93% | 0.16% | 0.06% | (0.22)% | (0.10)% | 0.99% | 1.18% | (0.59)% | (0.69)% |
| Portfolio turnover rate | 29% (1) | 69% | 71% | 69% | 104% | 109% (1) | 29% (1) | 69% | 71% | 69% | 104% | 109% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Class A shares commenced operations on January 3, 2007. |
|
|
|
|
|
|
|
| |||||
**The net investment income (loss) per share data was determined using the average shares outstanding throughout the period. |
|
|
|
| |||||||||
^ Annualized for periods less than one year. |
|
|
|
|
|
|
|
| |||||
+Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total |
|
|
| ||||||||||
return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
|
|
|
| |||||||||
(1) | Not annualized. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
FINANCIAL HIGHLIGHTS | |||||||||||||
Dunham Large Cap Value Fund | |||||||||||||
The table sets forth financial data for one share of beneficial interest outstanding throughout each period. | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class N |
|
|
|
|
|
| |||||
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
|
|
| Ended | Year Ended |
|
|
|
|
|
| ||||
|
| April 30, | October 31, |
|
|
|
|
|
| ||||
|
| 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
|
|
|
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year | $ 10.60 | $ 9.96 | $ 8.70 | $ 8.09 | $ 13.30 | $ 12.45 |
|
|
|
|
|
| |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income ** | 0.05 | 0.06 | 0.06 | 0.07 | 0.10 | 0.16 |
|
|
|
|
|
|
| Net realized and unrealized gain (loss) | 0.82 | 0.64 | 1.25 | 0.62 | (4.90) | 1.47 |
|
|
|
|
|
|
| Total income (loss) from investment operations | 0.87 | 0.70 | 1.31 | 0.69 | (4.80) | 1.63 |
|
|
|
|
|
|
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | (0.05) | (0.06) | (0.05) | (0.08) | (0.14) | (0.08) |
|
|
|
|
|
|
| Distributions from net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | (0.27) | (0.70) |
|
|
|
|
|
|
| Total distributions | (0.05) | (0.06) | (0.05) | (0.08) | (0.41) | (0.78) |
|
|
|
|
|
|
Net asset value, end of year | $ 11.42 | $ 10.60 | $ 9.96 | $ 8.70 | $ 8.09 | $ 13.30 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 8.26% | 7.06% | 15.11% | 8.72% | (37.14)% | 13.67% |
|
|
|
|
|
| |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of year (in 000s) | $ 33,968 | $ 34,171 | $ 31,436 | $ 29,315 | $ 32,126 | $ 48,049 |
|
|
|
|
|
|
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | 1.31% | 1.62% | 1.40% | 1.72% | 1.85% | 1.32% |
|
|
|
|
|
|
| After fee waivers | 1.31% | 1.62% | 1.40% | 1.69% | 1.85% | 1.32% |
|
|
|
|
|
|
| Ratios of net investment income to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | 0.86% | 0.53% | 0.61% | 0.90% | 0.71% | 1.28% |
|
|
|
|
|
|
| After fee waivers | 0.86% | 0.53% | 0.61% | 0.93% | 0.71% | 1.28% |
|
|
|
|
|
|
| Portfolio turnover rate | 8% (1) | 30% | 23% | 47% | 21% | 23% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A | Class C | ||||||||||
|
| Six Months |
|
|
|
| Period | Six Months |
|
|
|
|
|
|
| Ended |
| Year Ended | Ended | Ended | Year Ended | ||||||
|
| April 30, |
| October 31, | October 31, | April 30, | October 31, | ||||||
|
| 2012 | 2011 | 2010 | 2009 | 2008 | 2007* | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
|
| (Unaudited) |
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.57 | $ 9.95 | $ 8.69 | $ 8.06 | $ 13.28 | $ 12.18 | $ 10.31 | $ 9.73 | $ 8.53 | $ 7.93 | $ 13.04 | $ 12.26 | |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income (loss)** | 0.03 | 0.04 | 0.01 | 0.05 | 0.07 | 0.11 | (0.01) | (0.05) | (0.04) | (0.01) | (0.01) | 0.04 |
| Net realized and unrealized gain (loss) | 0.84 | 0.64 | 1.28 | 0.63 | (4.89) | 0.99 | 0.81 | 0.63 | 1.24 | 0.61 | (4.81) | 1.44 |
| Total income (loss) from investment operations | 0.87 | 0.68 | 1.29 | 0.68 | (4.82) | 1.10 | 0.80 | 0.58 | 1.20 | 0.60 | (4.82) | 1.48 |
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | (0.02) | (0.06) | (0.03) | (0.05) | (0.13) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.02) | 0.00 |
| Distributions from net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | (0.27) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.27) | (0.70) |
| Total distributions | (0.02) | (0.06) | (0.03) | (0.05) | (0.40) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.29) | (0.70) |
Net asset value, end of period | $ 11.42 | $ 10.57 | $ 9.95 | $ 8.69 | $ 8.06 | $ 13.28 | $ 11.11 | $ 10.31 | $ 9.73 | $ 8.53 | $ 7.93 | $ 13.04 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 8.20% | 6.78% | 14.82% | 8.55% | (37.34)% | 9.03% | 7.76% | 5.96% | 14.07% | 7.57% | (37.74)% | 12.52% | |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of period (in 000s) | $ 2,463 | $ 2,874 | $ 3,844 | $ 55 | $ 90 | $ 187 | $ 6,080 | $ 6,129 | $ 5,769 | $ 4,953 | $ 5,069 | $ 8,785 |
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 1.56% | 1.87% | 1.65% | 1.97% | 2.10% | 1.57% | 2.31% | 2.62% | 2.40% | 2.72% | 2.85% | 2.32% |
| After fee waivers^ | 1.56% | 1.87% | 1.65% | 1.94% | 2.10% | 1.57% | 2.31% | 2.62% | 2.40% | 2.69% | 2.85% | 2.32% |
| Ratios of net investment income (loss) to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 0.61% | 0.28% | 0.36% | 0.65% | 0.46% | 1.03% | (0.14)% | (0.47)% | (0.39)% | (0.10)% | (0.29)% | 0.28% |
| After fee waivers^ | 0.61% | 0.28% | 0.36% | 0.68% | 0.46% | 1.03% | (0.14)% | (0.47)% | (0.39)% | (0.07)% | (0.29)% | 0.28% |
| Portfolio turnover rate | 8% (1) | 30% | 23% | 47% | 21% | 23% (1) | 8% (1) | 30% | 23% | 47% | 21% | 23% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Class A shares commenced operations on January 3, 2007. |
|
|
|
|
|
| |||||||
**The net investment income (loss) per share data was determined using the average shares outstanding throughout the period. |
|
| |||||||||||
^ Annualized for periods less than one year. |
|
|
|
|
|
|
| ||||||
+Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total | |||||||||||||
return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. | |||||||||||||
(1) | Not annualized. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
FINANCIAL HIGHLIGHTS | |||||||||||||||||||
Dunham Large Cap Growth Fund | |||||||||||||||||||
The table sets forth financial data for one share of beneficial interest outstanding throughout each period. | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class N |
|
|
|
|
|
|
|
| |||||||||
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ended | Year Ended |
|
|
|
|
|
|
|
| ||||||||
|
| April 30, | October 31, |
|
|
|
|
|
|
|
| ||||||||
|
| 2012 | 2011 |
| 2010 |
| 2009 |
| 2008 |
| 2007 |
|
|
|
|
|
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year | $ 3.67 | $ 3.50 |
| $ 3.12 |
| $ 3.16 |
| $ 5.54 |
| $ 4.68 |
|
|
|
|
|
|
|
| |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income (loss)** | 0.01 | 0.01 |
| 0.01 |
| 0.01 |
| (0.03) |
| 0.01 |
|
|
|
|
|
|
|
|
| Net realized and unrealized gain (loss) | 0.43 | 0.16 |
| 0.37 |
| (0.05) |
| (2.10) |
| 0.98 |
|
|
|
|
|
|
|
|
| Total income (loss) from investment operations | 0.44 | 0.17 |
| 0.38 |
| (0.04) |
| (2.13) |
| 0.99 |
|
|
|
|
|
|
|
|
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | (0.01) | 0.00 | (a) | 0.00 | (a) | 0.00 |
| 0.00 | (a) | 0.00 |
|
|
|
|
|
|
|
|
| Distributions from net realized gains | 0.00 | 0.00 |
| 0.00 |
| 0.00 |
| (0.25) |
| (0.13) |
|
|
|
|
|
|
|
|
| Total distributions | (0.01) | 0.00 |
| 0.00 |
| 0.00 |
| (0.25) |
| (0.13) |
|
|
|
|
|
|
|
|
Net asset value, end of year | $ 4.10 | $ 3.67 |
| $ 3.50 |
| $ 3.12 |
| $ 3.16 |
| $ 5.54 |
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 12.08% | 4.91% |
| 12.29% |
| (1.27)% |
| (40.18)% |
| 21.56% |
|
|
|
|
|
|
|
| |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of year (in 000s) | $ 27,601 | $ 29,252 |
| $ 31,774 |
| $ 33,199 |
| $ 44,811 |
| $ 66,087 |
|
|
|
|
|
|
|
|
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | 1.41% | 1.20% |
| 1.26% |
| 1.04% |
| 1.77% |
| 1.39% |
|
|
|
|
|
|
|
|
| After fee waivers | 1.41% | 1.20% |
| 1.26% |
| 1.01% |
| 1.77% |
| 1.24% |
|
|
|
|
|
|
|
|
| Ratios of net investment income (loss) to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | 0.52% | 0.39% |
| 0.18% |
| 0.18% |
| (0.60)% |
| 0.01% |
|
|
|
|
|
|
|
|
| After fee waivers | 0.52% | 0.39% |
| 0.18% |
| 0.21% |
| (0.60)% |
| 0.16% |
|
|
|
|
|
|
|
|
| Portfolio turnover rate | 19% (1) | 81% |
| 291% |
| 258% |
| 328% |
| 232% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
| Class C | |||||||||||||||
|
| Six Months |
|
|
|
|
|
|
|
| Period |
| Six Months |
|
|
|
|
|
|
|
| Ended | Year Ended | Ended |
| Ended | Year Ended | ||||||||||||
|
| April 30, | October 31, | October 31, | April 30, | October 31, | |||||||||||||
|
| 2012 | 2011 |
| 2010 |
| 2009 |
| 2008 |
| 2007* |
| 2012 | 2011 | 2010 | 2009 | 2008 |
| 2007 |
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 3.63 | $ 3.47 |
| $ 3.09 |
| $ 3.14 |
| $ 5.54 |
| $ 4.63 |
| $ 3.42 | $ 3.30 | $ 2.96 | $ 3.04 | $ 5.38 |
| $ 4.59 | |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income (loss)** | 0.00 | 0.00 | (a) | 0.00 | (a) | 0.00 | (a) | (0.04) |
| 0.00 | (a) | (0.01) | (0.02) | (0.03) | (0.02) | (0.07) |
| (0.04) |
| Net realized and unrealized gain (loss) | 0.42 | 0.16 |
| 0.38 |
| (0.05) |
| (2.11) |
| 0.91 |
| 0.40 | 0.14 | 0.37 | (0.06) | (2.02) |
| 0.96 |
| Total income (loss) from investment operations | 0.42 | 0.16 |
| 0.38 |
| (0.05) |
| (2.15) |
| 0.91 |
| 0.39 | 0.12 | 0.34 | (0.08) | (2.09) |
| 0.92 |
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | 0.00 | 0.00 |
| 0.00 |
| 0.00 |
| 0.00 | (a) | 0.00 |
| 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (a) | 0.00 |
| Distributions from net realized gains | 0.00 | 0.00 |
| 0.00 |
| 0.00 |
| (0.25) |
| 0.00 |
| 0.00 | 0.00 | 0.00 | 0.00 | (0.25) |
| (0.13) |
| Total distributions | 0.00 | 0.00 |
| 0.00 |
| 0.00 |
| (0.25) |
| 0.00 |
| 0.00 | 0.00 | 0.00 | 0.00 | (0.25) |
| (0.13) |
Net asset value, end of period | $ 4.05 | $ 3.63 |
| $ 3.47 |
| $ 3.09 |
| $ 3.14 |
| $ 5.54 |
| $ 3.81 | $ 3.42 | $ 3.30 | $ 2.96 | $ 3.04 |
| $ 5.38 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 11.67% | 4.61% |
| 12.30% |
| (1.59)% |
| (40.55)% |
| 19.65% |
| 11.40% | 3.64% | 11.49% | (2.63)% | (40.65)% |
| 20.44% | |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of period (in 000s) | $ 385 | $ 245 |
| $ 195 |
| $ 53 |
| $ 31 |
| $ 293 |
| $ 4,282 | $ 4,631 | $ 4,845 | $ 5,106 | $ 5,923 |
| $ 11,394 |
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 1.66% | 1.45% |
| 1.51% |
| 1.29% |
| 2.02% |
| 1.64% |
| 2.41% | 2.20% | 2.26% | 2.04% | 2.77% |
| 2.39% |
| After fee waivers^ | 1.66% | 1.45% |
| 1.51% |
| 1.26% |
| 2.02% |
| 1.49% |
| 2.41% | 2.20% | 2.26% | 2.01% | 2.77% |
| 2.24% |
| Ratios of net investment income (loss) to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 0.27% | 0.14% |
| (0.07)% |
| (0.07)% |
| (0.85)% |
| (0.24)% |
| (0.48)% | (0.61)% | (0.82)% | (0.82)% | (1.60)% |
| (0.99)% |
| After fee waivers^ | 0.27% | 0.14% |
| (0.07)% |
| (0.04)% |
| (0.85)% |
| (0.09)% |
| (0.48)% | (0.61)% | (0.82)% | (0.79)% | (1.60)% |
| (0.84)% |
| Portfolio turnover rate | 19% (1) | 81% |
| 291% |
| 258% |
| 328% |
| 232% (1) |
| 19% (1) | 81% | 291% | 258% | 328% |
| 232% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Class A shares commenced operations on January 3, 2007. |
|
|
|
|
|
|
|
|
|
| |||||||||
**The net investment income (loss) per share data was determined using the average shares outstanding throughout the period. |
|
|
|
| |||||||||||||||
^ Annualized for periods less than one year. |
|
|
|
|
|
|
|
|
|
|
|
| |||||||
+Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total |
|
|
| ||||||||||||||||
return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
|
|
|
| |||||||||||||||
(a) Represents less than $0.01 per share. |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
(1) | Not annualized. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
FINANCIAL HIGHLIGHTS | |||||||
Dunham Focused Large Cap Growth Fund | |||||||
The table sets forth financial data for one share of beneficial interest outstanding throughout each period. | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class N | Class A | Class C |
|
|
|
|
|
|
|
|
|
|
|
|
| Period Ended | Period Ended | Period Ended |
|
|
|
|
| April 30, | April 30, | April 30, |
|
|
|
|
| 2012* | 2012* | 2012* |
|
|
|
|
| (Unaudited) | (Unaudited) | (Unaudited) |
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
| $ 10.00 | $ 10.00 | $ 10.00 |
|
| |
Income (loss) from investment operations: |
|
|
|
|
|
| |
| Net investment loss** |
| (0.26) | (0.41) | (0.29) |
|
|
| Net realized and unrealized gain |
| 1.57 | 1.70 | 1.56 |
|
|
| Total income from investment operations |
| 1.31 | 1.29 | 1.27 |
|
|
Less distributions: |
|
|
|
|
|
| |
| Distributions from net investment income |
| 0.00 | 0.00 | 0.00 |
|
|
| Distributions from net realized gains |
| 0.00 | 0.00 | 0.00 |
|
|
| Total distributions |
| 0.00 | 0.00 | 0.00 |
|
|
Net asset value, end of period |
| $ 11.31 | $ 11.29 | $ 11.27 |
|
| |
|
|
|
|
|
|
|
|
Total return + |
| 13.10% | 12.90% | 12.70% |
|
| |
Ratios/Supplemental Data: |
|
|
|
|
|
| |
| Net assets, end of period (in 000s) |
| $ 317 | $ 933 | $ 136 |
|
|
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
| Before fee waivers^ |
| 6.68% | 6.93% | 7.68% |
|
|
| After fee waivers^ |
| 6.29% | 6.54% | 7.29% |
|
|
| Ratios of net investment income (loss) to |
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
| Before fee waivers^ |
| (6.19)% | (6.44)% | (7.19)% |
|
|
| After fee waivers^ |
| (5.81)% | (5.56)% | (6.31)% |
|
|
| Portfolio turnover rate |
| 31% (1) | 31% (1) | 31% (1) |
|
|
|
|
|
|
|
|
|
|
* The Fund commenced operations on December 8, 2011. |
|
| |||||
**The net investment income (loss) per share data was determined using the average shares outstanding throughout the period. |
| ||||||
^ Annualized for periods less than one year. |
|
| |||||
+Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. | |||||||
Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
| ||||||
(1) | Not annualized. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
FINANCIAL HIGHLIGHTS | |||||||||||||
Dunham International Stock Fund | |||||||||||||
The table sets forth financial data for one share of beneficial interest outstanding throughout each period. | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class N |
|
|
|
|
|
| |||||
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
|
|
| Ended | Year Ended |
|
|
|
|
|
| ||||
|
| April 30, | October 31, |
|
|
|
|
|
| ||||
|
| 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
|
|
|
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year | $ 11.85 | $ 12.79 | $ 11.12 | $ 8.09 | $ 16.40 | $ 14.41 |
|
|
|
|
|
| |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income** | 0.04 | 0.15 | 0.08 | 0.05 | 0.18 | 0.01 |
|
|
|
|
|
|
| Net realized and unrealized gain (loss) | 0.07 | (0.98) | 1.80 | 3.09 | (7.71) | 2.99 |
|
|
|
|
|
|
| Total income (loss) from investment operations | 0.11 | (0.83) | 1.88 | 3.14 | (7.53) | 3.00 |
|
|
|
|
|
|
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | (0.16) | (0.11) | (0.21) | (0.11) | (0.10) | (0.01) |
|
|
|
|
|
|
| Distributions from net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | (0.68) | (1.00) |
|
|
|
|
|
|
| Total distributions | (0.16) | (0.11) | (0.21) | (0.11) | (0.78) | (1.01) |
|
|
|
|
|
|
Net asset value, end of year | $ 11.80 | $ 11.85 | $ 12.79 | $ 11.12 | $ 8.09 | $ 16.40 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 1.02% | (6.56)% | 17.15% | 39.44% | (47.93)% | 21.70% |
|
|
|
|
|
| |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of year (in 000s) | $ 36,181 | $ 39,163 | $ 36,546 | $ 31,858 | $ 31,369 | $ 50,847 |
|
|
|
|
|
|
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | 2.01% | 2.28% | 2.53% | 2.63% | 1.80% | 1.91% |
|
|
|
|
|
|
| After fee waivers | 2.01% | 2.28% | 2.53% | 2.60% | 1.80% | 1.91% |
|
|
|
|
|
|
| Ratios of net investment income to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | 0.77% | 1.19% | 0.67% | 0.55% | 1.45% | 0.07% |
|
|
|
|
|
|
| After fee waivers | 0.77% | 1.19% | 0.67% | 0.58% | 1.45% | 0.07% |
|
|
|
|
|
|
| Portfolio turnover rate | 70% (1) | 110% | 118% | 173% | 149% | 55% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
| Class C | |||||||||
|
| Six Months |
|
|
|
| Period | Six Months |
|
|
|
|
|
|
| Ended | Year Ended | Ended | Ended | Year Ended | |||||||
|
| April 30, | October 31, | October 31, | April 30, | October 31, | |||||||
|
| 2012 | 2011 | 2010 | 2009 | 2008 | 2007* | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
|
| (Unaudited) |
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 11.84 | $ 12.79 | $ 11.13 | $ 8.05 | $ 16.36 | $ 14.62 | $ 11.44 | $ 12.37 | $ 10.78 | $ 7.81 | $ 15.90 | $ 14.13 | |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income (loss)** | 0.02 | 0.18 | 0.04 | 0.03 | 0.13 | (0.02) | (0.01) | 0.02 | (0.04) | (0.04) | 0.05 | (0.14) |
| Net realized and unrealized gain (loss) | 0.08 | (1.04) | 1.82 | 3.10 | (7.67) | 1.76 | 0.07 | (0.95) | 1.75 | 3.01 | (7.46) | 2.92 |
| Total income (loss) from investment operations | 0.10 | (0.86) | 1.86 | 3.13 | (7.54) | 1.74 | 0.06 | (0.93) | 1.71 | 2.97 | (7.41) | 2.78 |
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | (0.13) | (0.09) | (0.20) | (0.05) | (0.09) | 0.00 | (0.04) | 0.00 | (0.12) | 0.00 | 0.00 | (0.01) |
| Distributions from net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | (0.68) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.68) | (1.00) |
| Total distributions | (0.13) | (0.09) | (0.20) | (0.05) | (0.77) | 0.00 | (0.04) | 0.00 | (0.12) | 0.00 | (0.68) | (1.01) |
Net asset value, end of period | $ 11.81 | $ 11.84 | $ 12.79 | $ 11.13 | $ 8.05 | $ 16.36 | $ 11.46 | $ 11.44 | $ 12.37 | $ 10.78 | $ 7.81 | $ 15.90 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 0.92% | (6.78)% | 16.85% | 39.17% | (48.04)% | 11.90% | 0.52% | (7.52)% | 16.00% | 38.03% | (48.43)% | 20.51% | |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of period (in 000s) | $ 925 | $ 1,309 | $ 322 | $ 57 | $ 39 | $ 182 | $ 6,079 | $ 6,849 | $ 7,036 | $ 5,766 | $ 4,975 | $ 10,092 |
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 2.26% | 2.53% | 2.78% | 2.88% | 2.05% | 2.16% | 3.01% | 3.28% | 3.53% | 3.63% | 2.80% | 2.91% |
| After fee waivers^ | 2.26% | 2.53% | 2.78% | 2.85% | 2.05% | 2.16% | 3.01% | 3.28% | 3.53% | 3.60% | 2.80% | 2.91% |
| Ratios of net investment income (loss) to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 0.52% | 0.94% | 0.42% | 0.30% | 1.20% | (0.18)% | (0.23)% | 0.19% | (0.33)% | (0.45)% | 0.45% | (0.93)% |
| After fee waivers^ | 0.52% | 0.94% | 0.42% | 0.33% | 1.20% | (0.18)% | (0.23)% | 0.19% | (0.33)% | (0.42)% | 0.45% | (0.93)% |
| Portfolio turnover rate | 70% (1) | 110% | 118% | 173% | 149% | 55% (1) | 70% (1) | 70% (1) | 118% | 173% | 149% | 55% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Class A shares commenced operations on January 3, 2007. |
|
|
|
|
|
|
| ||||||
**The net investment income (loss) per share data was determined using the average shares outstanding throughout the period. |
|
|
| ||||||||||
^ Annualized for periods less than one year. |
|
|
|
|
|
|
|
| |||||
+Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total | |||||||||||||
return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
| ||||||||||||
(1) | Not annualized. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
FINANCIAL HIGHLIGHTS | |||||||||||||
Dunham Real Estate Stock Fund | |||||||||||||
The table sets forth financial data for one share of beneficial interest outstanding throughout each period. | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class N |
|
|
|
|
|
| |||||
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
|
|
| Ended | Year Ended |
|
|
|
|
|
| ||||
|
| April 30, | October 31, |
|
|
|
|
|
| ||||
|
| 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
|
|
|
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year | $ 13.80 | $ 12.84 | $ 9.27 | $ 9.14 | $ 16.77 | $ 21.73 |
|
|
|
|
|
| |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income** | 0.20 | 0.14 | 0.14 | 0.08 | 0.21 | 0.17 |
|
|
|
|
|
|
| Net realized and unrealized gain (loss) | 1.73 | 0.98 | 3.54 | 0.23 | (6.68) | (0.88) |
|
|
|
|
|
|
| Total income (loss) from investment operations | 1.93 | 1.12 | 3.68 | 0.31 | (6.47) | (0.71) |
|
|
|
|
|
|
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | (0.12) | (0.16) | (0.11) | (0.18) | (0.19) | (0.01) |
|
|
|
|
|
|
| Distributions from net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | (0.97) | (4.24) |
|
|
|
|
|
|
| Total distributions | (0.12) | (0.16) | (0.11) | (0.18) | (1.16) | (4.25) |
|
|
|
|
|
|
Net asset value, end of year | $ 15.61 | $ 13.80 | $ 12.84 | $ 9.27 | $ 9.14 | $ 16.77 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 14.15% | 8.82% | 39.91% | 3.89% | (40.64)% | (4.20)% |
|
|
|
|
|
| |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of year (in 000s) | $ 14,650 | $ 12,507 | $ 7,686 | $ 5,542 | $ 5,786 | $ 10,683 |
|
|
|
|
|
|
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | 1.34% | 1.51% | 2.26% | 3.05% | 1.85% | 1.73% |
|
|
|
|
|
|
| After fee waivers | 1.34% | 1.51% | 2.26% | 3.02% | 1.81% | 1.53% |
|
|
|
|
|
|
| Ratios of net investment income to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | 2.82% | 1.09% | 1.22% | 1.05% | 1.61% | 0.75% |
|
|
|
|
|
|
| After fee waivers | 2.82% | 1.09% | 1.22% | 1.08% | 1.65% | 0.95% |
|
|
|
|
|
|
| Portfolio turnover rate | 5% (1) | 59% | 157% | 221% | 99% | 90% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A | Class C | ||||||||||
|
| Six Months |
|
|
|
| Period | Six Months |
|
|
|
|
|
|
| Ended | Year Ended | Ended | Ended | Year Ended | |||||||
|
| April 30, | October 31, | October 31, | April 30, | October 31, | |||||||
|
| 2012 | 2011 | 2010 | 2009 | 2008 | 2007* | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
|
| (Unaudited) |
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 13.80 | $ 12.85 | $ 9.27 | $ 9.13 | $ 16.75 | $ 17.65 | $ 13.40 | $ 12.49 | $ 9.01 | $ 8.82 | $ 16.20 | $ 21.31 | |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income (loss)** | 0.19 | 0.13 | 0.10 | 0.06 | 0.20 | 0.10 | 0.13 | 0.01 | 0.02 | 0.01 | 0.10 | (0.01) |
| Net realized and unrealized gain (loss) | 1.74 | 0.95 | 3.56 | 0.22 | (6.69) | (1.00) | 1.70 | 0.94 | 3.46 | 0.22 | (6.47) | (0.85) |
| Total income (loss) from investment operations | 1.93 | 1.08 | 3.66 | 0.28 | (6.49) | (0.90) | 1.83 | 0.95 | 3.48 | 0.23 | (6.37) | (0.86) |
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | (0.11) | (0.13) | (0.08) | (0.14) | (0.16) | 0.00 | 0.00 | (0.04) | 0.00 | (0.04) | (0.04) | (0.01) |
| Distributions from net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | (0.97) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.97) | (4.24) |
| Total distributions | (0.11) | (0.13) | (0.08) | (0.14) | (1.13) | 0.00 | 0.00 | (0.04) | 0.00 | (0.04) | (1.01) | (4.25) |
Net asset value, end of period | $ 15.62 | $ 13.80 | $ 12.85 | $ 9.27 | $ 9.13 | $ 16.75 | $ 15.23 | $ 13.40 | $ 12.49 | $ 9.01 | $ 8.82 | $ 16.20 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 14.10% | 8.48% | 39.66% | 3.64% | (40.86)% | (5.09)% | 13.66% | 7.65% | 38.62% | 2.76% | (41.23)% | (5.15)% | |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of period (in 000s) | $ 142 | $ 6,962 | $ 47 | $ 20 | $ 83 | $ 186 | $ 2,246 | $ 1,944 | $ 1,310 | $ 943 | $ 1,276 | $ 2,855 |
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 1.59% | 1.76% | 2.51% | 3.30% | 2.10% | 1.98% | 2.34% | 2.51% | 3.26% | 4.05% | 2.85% | 2.73% |
| After fee waivers^ | 1.59% | 1.76% | 2.51% | 3.27% | 2.06% | 1.78% | 2.34% | 2.51% | 3.26% | 4.02% | 2.81% | 2.53% |
| Ratios of net investment income (loss) to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 2.57% | 0.81% | 0.97% | 0.80% | 1.36% | 0.50% | 1.82% | 0.07% | 0.22% | 0.05% | 0.61% | (0.25)% |
| After fee waivers^ | 2.57% | 0.81% | 0.97% | 0.83% | 1.40% | 0.70% | 1.82% | 0.07% | 0.22% | 0.08% | 0.65% | (0.05)% |
| Portfolio turnover rate | 5% (1) | 59% | 157% | 221% | 99% | 90% (1) | 5% (1) | 59% | 157% | 221% | 99% | 90% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Class A shares commenced operations on January 3, 2007. |
|
|
|
|
|
|
|
| |||||
**The net investment income (loss) per share data was determined using the average shares outstanding throughout the period. |
|
|
| ||||||||||
^ Annualized for periods less than one year. |
|
|
|
|
|
|
|
| |||||
+Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total |
|
| |||||||||||
return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
|
|
| ||||||||||
(1) | Not annualized. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
FINANCIAL HIGHLIGHTS | ||||||||||||||
Dunham Small Cap Value Fund | ||||||||||||||
The table sets forth financial data for one share of beneficial interest outstanding throughout each period. | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class N |
|
|
|
|
|
| |||||
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ended | Year Ended |
|
|
|
|
|
| |||||
|
| April 30, | October 31, |
|
|
|
|
|
| |||||
|
| 2012 | 2011 | 2010 |
| 2009 | 2008 | 2007 |
|
|
|
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year | $ 10.44 | $ 9.78 | $ 7.94 |
| $ 7.64 | $ 12.27 | $ 13.18 |
|
|
|
|
|
| |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income (loss)** | (0.01) | 0.02 | 0.03 |
| 0.08 | 0.08 | (0.01) |
|
|
|
|
|
|
| Net realized and unrealized gain (loss) | 0.95 | 0.66 | 1.90 |
| 0.32 | (4.38) | 1.34 |
|
|
|
|
|
|
| Total income (loss) from investment operations | 0.94 | 0.68 | 1.93 |
| 0.40 | (4.30) | 1.33 |
|
|
|
|
|
|
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | 0.00 | (0.02) | (0.09) |
| (0.10) | 0.00 | 0.00 |
|
|
|
|
|
|
| Distributions from net realized gains | 0.00 | 0.00 | 0.00 |
| 0.00 | (0.33) | (2.24) |
|
|
|
|
|
|
| Total distributions | 0.00 | (0.02) | (0.09) |
| (0.10) | (0.33) | (2.24) |
|
|
|
|
|
|
Net asset value, end of year | $ 11.38 | $ 10.44 | $ 9.78 |
| $ 7.94 | $ 7.64 | $ 12.27 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 9.00% | 6.94% | 24.39% |
| 5.54% | (35.85)% | 10.75% |
|
|
|
|
|
| |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of year (in 000s) | $ 13,836 | $ 14,739 | $ 14,378 |
| $ 13,288 | $ 17,630 | $ 28,678 |
|
|
|
|
|
|
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | 2.42% | 2.10% | 2.08% |
| 1.48% | 1.89% | 2.49% |
|
|
|
|
|
|
| After fee waivers | 2.42% | 2.10% | 2.08% |
| 1.45% | 1.89% | 2.34% |
|
|
|
|
|
|
| Ratios of net investment income (loss) to |
|
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | (0.17)% | 0.06% | 0.37% |
| 1.19% | 0.84% | (0.20)% |
|
|
|
|
|
|
| After fee waivers | (0.17)% | 0.06% | 0.37% |
| 1.22% | 0.84% | (0.05)% |
|
|
|
|
|
|
| Portfolio turnover rate | 29% (1) | 50% | 41% |
| 40% | 52% | 44% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A | Class C | |||||||||||
|
| Six Months |
|
|
|
|
| Period | Six Months |
|
|
|
|
|
|
| Ended | Year Ended | Ended | Ended | Year Ended | ||||||||
|
| April 30, | October 31, | October 31, | April 30, | October 31, | ||||||||
|
| 2012 | 2011 | 2010 |
| 2009 | 2008 | 2007* | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
|
| (Unaudited) |
|
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.40 | $ 9.75 | $ 7.92 |
| $ 7.61 | $ 12.25 | $ 11.71 | $ 9.96 | $ 9.40 | $ 7.65 | $ 7.32 | $ 11.88 | $ 12.94 | |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income (loss)** | (0.05) | (0.01) | 0.00 | (a) | 0.07 | 0.05 | (0.03) | (0.06) | (0.09) | (0.06) | 0.01 | (0.03) | (0.13) |
| Net realized and unrealized gain (loss) | 0.97 | 0.66 | 1.89 |
| 0.32 | (4.36) | 0.57 | 0.91 | 0.65 | 1.82 | 0.32 | (4.20) | 1.31 |
| Total income (loss) from investment operations | 0.92 | 0.65 | 1.89 |
| 0.39 | (4.31) | 0.54 | 0.85 | 0.56 | 1.76 | 0.33 | (4.23) | 1.18 |
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | 0.00 | 0.00 | (0.06) |
| (0.08) | 0.00 | 0.00 | 0.00 | 0.00 | (0.01) | 0.00 | 0.00 | 0.00 |
| Distributions from net realized gains | 0.00 | 0.00 | 0.00 |
| 0.00 | (0.33) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.33) | (2.24) |
| Total distributions | 0.00 | 0.00 | (0.06) |
| (0.08) | (0.33) | 0.00 | 0.00 | 0.00 | (0.01) | 0.00 | (0.33) | (2.24) |
Net asset value, end of period | $ 11.32 | $ 10.40 | $ 9.75 |
| $ 7.92 | $ 7.61 | $ 12.25 | $ 10.81 | $ 9.96 | $ 9.40 | $ 7.65 | $ 7.32 | $ 11.88 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 8.85% | 6.67% | 24.01% |
| 5.35% | (35.99)% | 4.61% | 8.53% | 5.96% | 23.02% | 4.51% | (36.45)% | 9.64% | |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of period (in 000s) | $ 4,546 | $ 193 | $ 154 |
| $ 19 | $ 30 | $ 68 | $ 2,302 | $ 2,574 | $ 2,341 | $ 2,012 | $ 2,289 | $ 5,059 |
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 2.67% | 2.35% | 2.33% |
| 1.73% | 2.14% | 2.74% | 3.42% | 3.10% | 3.08% | 2.48% | 2.89% | 3.49% |
| After fee waivers^ | 2.67% | 2.35% | 2.33% |
| 1.70% | 2.14% | 2.59% | 3.42% | 3.10% | 3.08% | 2.45% | 2.89% | 3.34% |
| Ratios of net investment income (loss) to |
|
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | (0.42)% | (0.22)% | 0.12% |
| 0.94% | 0.59% | (0.45)% | (1.17)% | (0.95)% | (0.63)% | 0.19% | (0.16)% | (1.20)% |
| After fee waivers^ | (0.42)% | (0.22)% | 0.12% |
| 0.97% | 0.59% | (0.29)% | (1.17)% | (0.95)% | (0.63)% | 0.22% | (0.16)% | (1.05)% |
| Portfolio turnover rate | 29% (1) | 50% | 41% |
| 40% | 52% | 44% (1) | 29% (1) | 50% | 41% | 40% | 52% | 44% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Class A shares commenced operations on January 3, 2007. |
|
|
|
|
|
| ||||||||
**The net investment income (loss) per share data was determined using the average shares outstanding throughout the period. |
|
| ||||||||||||
^ Annualized for periods less than one year. |
|
|
|
|
|
|
| |||||||
+Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total | ||||||||||||||
return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. | ||||||||||||||
(a) Represents less than $0.01 per share. |
|
|
|
|
|
|
| |||||||
(1) | Not annualized. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
FINANCIAL HIGHLIGHTS | |||||||||||||
Dunham Small Cap Growth Fund | |||||||||||||
The table sets forth financial data for one share of beneficial interest outstanding throughout each period. | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class N |
|
|
|
|
|
| |||||
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
|
|
| Ended | Year Ended |
|
|
|
|
|
| ||||
|
| April 30, | October 31, |
|
|
|
|
|
| ||||
|
| 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
|
|
|
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year | $ 14.75 | $ 13.67 | $ 11.02 | $ 9.34 | $ 16.50 | $ 13.62 |
|
|
|
|
|
| |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment loss** | (0.08) | (0.18) | (0.24) | (0.17) | (0.20) | (0.13) |
|
|
|
|
|
|
| Net realized and unrealized gain (loss) | 1.73 | 1.26 | 2.89 | 1.85 | (5.48) | 3.44 |
|
|
|
|
|
|
| Total income (loss) from investment operations | 1.65 | 1.08 | 2.65 | 1.68 | (5.68) | 3.31 |
|
|
|
|
|
|
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | (1.48) | (0.43) |
|
|
|
|
|
|
| Total distributions | 0.00 | 0.00 | 0.00 | 0.00 | (1.48) | (0.43) |
|
|
|
|
|
|
Net asset value, end of year | $ 16.40 | $ 14.75 | $ 13.67 | $ 11.02 | $ 9.34 | $ 16.50 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 11.19% | 7.90% | 24.05% | 17.99% | (37.74)% | 24.92% |
|
|
|
|
|
| |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of year (in 000s) | $ 13,473 | $ 14,975 | $ 14,301 | $ 14,217 | $ 18,649 | $ 31,562 |
|
|
|
|
|
|
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | 1.27% | 1.45% | 2.22% | 2.35% | 2.03% | 1.43% |
|
|
|
|
|
|
| After fee waivers | 1.27% | 1.45% | 2.22% | 2.32% | 2.03% | 1.43% |
|
|
|
|
|
|
| Ratios of net investment loss to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | (1.08)% | (1.15)% | (1.88)% | (1.82)% | (1.51)% | (0.86)% |
|
|
|
|
|
|
| After fee waivers | (1.08)% | (1.15)% | (1.88)% | (1.79)% | (1.51)% | (0.86)% |
|
|
|
|
|
|
| Portfolio turnover rate | 105% (1) | 235% | 194% | 214% | 250% | 214% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A | Class C | ||||||||||
|
| Six Months |
|
|
|
| Period | Six Months |
| ||||
|
| Ended | Year Ended | Ended | Ended | Year Ended | |||||||
|
| April 30, | October 31, | October 31, | April 30, | October 31, | |||||||
|
| 2012 | 2011 | 2010 | 2009 | 2008 | 2007* | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
|
| (Unaudited) |
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 14.59 | $ 13.56 | $ 10.96 | $ 9.31 | $ 16.49 | $ 13.70 | $ 13.69 | $ 12.82 | $ 10.44 | $ 8.94 | $ 16.00 | $ 13.34 | |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment loss** | (0.10) | (0.24) | (0.25) | (0.20) | (0.26) | (0.14) | (0.15) | (0.31) | (0.34) | (0.25) | (0.32) | (0.27) |
| Net realized and unrealized gain (loss) | 1.72 | 1.27 | 2.85 | 1.85 | (5.44) | 2.93 | 1.61 | 1.18 | 2.72 | 1.75 | (5.26) | 3.36 |
| Total income (loss) from investment operations | 1.62 | 1.03 | 2.60 | 1.65 | (5.70) | 2.79 | 1.46 | 0.87 | 2.38 | 1.50 | (5.58) | 3.09 |
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | (1.48) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (1.48) | (0.43) |
| Total distributions | 0.00 | 0.00 | 0.00 | 0.00 | (1.48) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (1.48) | (0.43) |
Net asset value, end of period | $ 16.21 | $ 14.59 | $ 13.56 | $ 10.96 | $ 9.31 | $ 16.49 | $ 15.15 | $ 13.69 | $ 12.82 | $ 10.44 | $ 8.94 | $ 16.00 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return + | 11.10% | 7.60% | 23.72% | 17.72% | (37.89)% | 20.36% | 10.66% | 6.79% | 22.80% | 16.78% | (38.34)% | 23.77% | |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of period (in 000s) | $ 1,959 | $ 1,950 | $ 852 | $ 149 | $ 24 | $ 207 | $ 3,101 | $ 3,193 | $ 3,291 | $ 3,041 | $ 3,192 | $ 6,305 |
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 1.52% | 1.70% | 2.47% | 2.60% | 2.28% | 1.68% | 2.27% | 2.45% | 3.22% | 3.35% | 3.03% | 2.43% |
| After fee waivers^ | 1.52% | 1.70% | 2.47% | 2.57% | 2.28% | 1.68% | 2.27% | 2.45% | 3.22% | 3.32% | 3.03% | 2.43% |
| Ratios of net investment loss to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | (1.33)% | (1.40)% | (2.13)% | (2.07)% | (1.76)% | (1.11)% | (2.08)% | (2.15)% | (2.88)% | (2.82)% | (2.51)% | (1.86)% |
| After fee waivers^ | (1.33)% | (1.40)% | (2.13)% | (2.04)% | (1.76)% | (1.11)% | (2.08)% | (2.15)% | (2.88)% | (2.79)% | (2.51)% | (1.86)% |
| Portfolio turnover rate | 105% (1) | 235% | 194% | 214% | 250% | 214% (1) | 105% (1) | 235% | 194% | 214% | 250% | 214% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Class A shares commenced operations on January 3, 2007. |
|
|
|
|
|
|
|
| |||||
**The net investment loss per share data was determined using the average shares outstanding throughout the period. |
|
|
| ||||||||||
^ Annualized for periods less than one year. |
|
|
|
|
|
|
|
| |||||
+Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total |
|
| |||||||||||
return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
|
|
| ||||||||||
(1) | Not annualized. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
FINANCIAL HIGHLIGHTS | |||||||||||||
Dunham Emerging Markets Stock Fund | |||||||||||||
The table sets forth financial data for one share of beneficial interest outstanding throughout each period. | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class N |
|
|
|
|
|
| |||||
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
|
|
| Ended | Year Ended |
|
|
|
|
|
| ||||
|
| April 30, | October 31, |
|
|
|
|
|
| ||||
|
| 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
|
|
|
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year | $ 13.43 | $ 16.03 | $ 13.41 | $ 7.32 | $ 24.83 | $ 19.07 |
|
|
|
|
|
| |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment income (loss)** | (0.01) | (0.05) | (0.11) | (0.08) | 0.03 | (0.06) |
|
|
|
|
|
|
| Net realized and unrealized gain (loss) | 0.51 | (2.55) | 3.01 | 6.28 | (12.90) | 9.31 |
|
|
|
|
|
|
| Total income (loss) from investment operations | 0.50 | (2.60) | 2.90 | 6.20 | (12.87) | 9.25 |
|
|
|
|
|
|
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | 0.00 | 0.00 | (0.28) | 0.00 | (0.14) | (0.35) |
|
|
|
|
|
|
| Distributions from net realized gains | 0.00 | 0.00 | 0.00 | (0.11) | (4.50) | (3.14) |
|
|
|
|
|
|
| Total distributions | 0.00 | 0.00 | (0.28) | (0.11) | (4.64) | (3.49) |
|
|
|
|
|
|
Net asset value, end of year | $ 13.93 | $ 13.43 | $ 16.03 | $ 13.41 | $ 7.32 | $ 24.83 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return +, # | 3.72% | (16.22)% | 21.98% | 86.15% | (62.85)% | 55.66% |
|
|
|
|
|
| |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of year (in 000s) | $ 14,145 | $ 14,616 | $ 13,592 | $ 10,999 | $ 9,466 | $ 23,492 |
|
|
|
|
|
|
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | 1.72% | 2.10% | 2.24% | 2.45% | 1.70% | 2.58% |
|
|
|
|
|
|
| After fee waivers | 1.72% | 2.10% | 2.24% | 2.42% | 1.63% | 2.28% |
|
|
|
|
|
|
| Ratios of net investment income (loss) to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers | (0.21)% | (0.35)% | (0.80)% | (0.91)% | 0.14% | (0.57)% |
|
|
|
|
|
|
| After fee waivers | (0.21)% | (0.35)% | (0.80)% | (0.88)% | 0.21% | (0.27)% |
|
|
|
|
|
|
| Portfolio turnover rate | 62% (1) | 98% | 206% | 63% | 84% | 92% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
| Class C | |||||||||
|
| Six Months |
|
|
|
| Period | Six Months |
|
|
|
|
|
|
| Ended | Year Ended | Ended | Ended | Year Ended | |||||||
|
| April 30, | October 31, | October 31, | April 30, | October 31, | |||||||
|
| 2012 | 2011 | 2010 | 2009 | 2008 | 2007* | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
|
| (Unaudited) |
|
|
|
|
| (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 13.23 | $ 15.83 | $ 13.28 | $ 7.27 | $ 24.79 | $ 17.97 | $ 12.90 | $ 15.56 | $ 13.06 | $ 7.20 | $ 24.56 | $ 18.95 | |
Income (loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net investment loss** | 0.00 | (0.12) | (0.15) | (0.12) | (0.01) | (0.09) | (0.08) | (0.20) | (0.24) | (0.17) | (0.12) | (0.26) |
| Net realized and unrealized gain (loss) | 0.48 | (2.48) | 2.98 | 6.24 | (12.84) | 6.91 | 0.50 | (2.46) | 2.91 | 6.14 | (12.74) | 9.24 |
| Total income (loss) from investment operations | 0.48 | (2.60) | 2.83 | 6.12 | (12.85) | 6.82 | 0.42 | (2.66) | 2.67 | 5.97 | (12.86) | 8.98 |
Less distributions: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Distributions from net investment income | 0.00 | 0.00 | (0.28) | 0.00 | (0.17) | 0.00 | 0.00 | 0.00 | (0.17) | 0.00 | 0.00 | (0.23) |
| Distributions from net realized gains | 0.00 | 0.00 | 0.00 | (0.11) | (4.50) | 0.00 | 0.00 | 0.00 | 0.00 | (0.11) | (4.50) | (3.14) |
| Total distributions | 0.00 | 0.00 | (0.28) | (0.11) | (4.67) | 0.00 | 0.00 | 0.00 | (0.17) | (0.11) | (4.50) | (3.37) |
Net asset value, end of period | $ 13.71 | $ 13.23 | $ 15.83 | $ 13.28 | $ 7.27 | $ 24.79 | $ 13.32 | $ 12.90 | $ 15.56 | $ 13.06 | $ 7.20 | $ 24.56 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return +, # | 3.63% | (16.42)% | 21.62% | 85.64% | (62.96)% | 37.95% | 3.26% | (17.10)% | 20.67% | 84.37% | (63.22)% | 54.16% | |
Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Net assets, end of period (in 000s) | $ 11,309 | $ 951 | $ 2,663 | $ 635 | $ 86 | $ 350 | $ 2,746 | $ 2,755 | $ 2,746 | $ 2,169 | $ 1,444 | $ 4,318 |
| Ratios of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | 1.97% | 2.35% | 2.49% | 2.70% | 1.95% | 2.83% | 2.72% | 3.10% | 3.24% | 3.45% | 2.70% | 3.58% |
| After fee waivers^ | 1.97% | 2.35% | 2.49% | 2.67% | 1.88% | 2.53% | 2.72% | 3.10% | 3.24% | 3.42% | 2.63% | 3.28% |
| Ratios of net investment loss to |
|
|
|
|
|
|
|
|
|
|
|
|
| average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Before fee waivers^ | (0.46)% | (0.80)% | (1.05)% | (1.16)% | (0.11)% | (0.82)% | (1.21)% | (1.35)% | (1.80)% | (1.91)% | (0.86)% | (1.57)% |
| After fee waivers^ | (0.46)% | (0.80)% | (1.05)% | (1.13)% | (0.04)% | (0.52)% | (1.21)% | (1.35)% | (1.80)% | (1.88)% | (0.79)% | (1.27)% |
| Portfolio turnover rate | 62% (1) | 98% | 206% | 63% | 84% | 92% (1) | 62% (1) | 98% | 206% | 63% | 84% | 92% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Class A shares commenced operations on January 3, 2007. |
|
|
|
|
|
|
| ||||||
**The net investment income (loss) per share data was determined using the average shares outstanding throughout the period. |
| ||||||||||||
^ Annualized for periods less than one year. |
|
|
|
|
|
|
|
| |||||
+Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total | |||||||||||||
return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares. |
| ||||||||||||
# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial |
|
|
|
| |||||||||
reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
|
|
|
|
| ||||||||
(1) | Not annualized. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements. |
NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2012
1.
ORGANIZATION
Each Dunham Fund and collectively the Funds (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 (the “1940 Act”), as amended, as an open-end management investment company. Prior to that date, the Dunham Funds were a series of AdvisorOne Funds, also a Delaware Business Trust. The Dunham Funds currently consist of thirteen funds: Monthly Distribution Fund; Corporate/Government Bond Fund; High-Yield Bond Fund; Loss Averse Growth Fund; Appreciation & Income Fund; Large Cap Value Fund; Large Cap Growth Fund; Focused Large Cap Growth Fund; International Stock Fund; Real Estate Stock Fund; Small Cap Value Fund; Small Cap Growth Fund and Emerging Markets Stock Fund. The Monthly Distribution Fund, Large Cap Growth Fund, Focused Large Cap Growth Fund, and Real Estate Stock Fund operate as non-diversified funds, while the remaining funds operate as diversified funds, within the meaning of the 1940 Act.
UFund |
| UPrimary Objective | ||
Monthly Distribution Corporate/Government Bond High-Yield Bond |
| Positive returns in rising and falling market environments Current income and capital appreciation High level of current income | ||
Loss Averse Growth |
| Capital appreciation | ||
Appreciation & Income |
| Total return under varying market conditions through both income and capital appreciation | ||
Large Cap Value |
| Total return from capital appreciation and dividends | ||
Large Cap Growth |
| Maximize capital appreciation | ||
Focused Large Cap Growth |
| Maximize capital appreciation | ||
International Stock |
| Total return from capital appreciation and dividends | ||
Real Estate Stock |
| Total return from capital appreciation and dividends | ||
Small Cap Value |
| Total return from capital appreciation and income | ||
Small Cap Growth |
| Maximize capital appreciation | ||
Emerging Markets Stock |
| Maximize capital appreciation |
Currently, each Fund offers Class A, Class C and Class N shares. Each class represents an interest in the same assets of the applicable Fund with the only difference being that Class A shares are subject to a front-end sales charge and an annual distribution fee and Class C shares are subject to an annual service and distribution fee. The Class C and N shares, with the exception of Monthly Distribution, High-Yield Bond, Loss Averse Growth, and Focused Large Cap Growth, 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 N shares commenced operations on July 1, 2005. The Class A shares for all Funds except Monthly Distribution, Loss Averse Growth, and Focused Large Cap Growth commenced operations on January 3, 2007. Monthly Distribution‘s Predecessor Fund’s Class A shares and C shares commenced operations on December 26, 2000. Monthly Distribution Class N shares commenced operations on September 29, 2008. Loss Averse Growth commenced operations on April 30, 2010. Focused Large Cap Growth commenced operations on December 8, 2011.
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 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 last bid price is used. If market quotations are not readily available, then securities are valued at fair value as determined by the Board of Trustees (the “Board”) (or its delegate). U.S. Government and agency securities are valued at the mean between the most recent bid and asked prices. Short-term debt instruments with a remaining maturity of more than 60 days, intermediate and long-term bonds, convertible bonds, and other debt securities are generally valued on the basis of dealer supplied quotations or by a pricing system selected by Dunham & Associates Investment Counsel, Inc. (“Dunham & Associates” or the “Adviser”) and approved by the Board. Where such prices are not available, valuations will be obtained from brokers who are market makers for such securities. However, in circumstances where the Adviser deems it appropriate to do so, the mean of the bid and asked prices for over-the-counter securities or the last available sale price for exchange-traded debt securities may be used. Where no last sale price for exchange traded debt securities is available, the mean of the bid and asked prices may be used. Short-term debt securities with a remaining maturity of 60 days or less are valued at amortized cost, provided such valuations represent fair value.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2012
Options are valued at the last reported sale price at the close of the exchange on which the security is primarily traded. If no sales are reported for the exchange-traded options, or the options are not exchange-traded, then they are valued at the mean of their most recent quoted bid and asked price. Futures contracts are valued at the daily quoted settlement prices.
Equity swaps are valued at the last reported sale price at the close of the exchange on which the underlying security is primarily traded. If no sale price is reported, the last bid price is used.
Trading in securities on Far Eastern securities exchanges and over-the-counter markets is normally completed well before the close of business on each business day in New York (i.e., a day on which the NYSE is open). In addition, Far Eastern securities trading generally, or in a particular country or countries, may not take place on all business days in New York. Furthermore, trading takes place in Japanese markets on certain Saturdays and in various foreign markets on days, which are not business days in New York, and on which a Fund’s net asset value is not calculated. Each Fund calculates net asset value 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 net asset value is calculated, such securities may be valued at fair value as determined in good faith in accordance with procedures approved by the Board.
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.
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 the Fund’s NAV. However, Funds may determine that such developments are so significant that they will materially affect the value of the Fund’s securities, and the Fund may adjust the previous closing prices to reflect what the Board believes to be the fair value of these securities as of 4:00 p.m. ET. Effective July 1, 2009, both International Stock and Emerging Markets Stock began using fair value prices as provided by an independent pricing vendor on a daily basis for those securities traded on a foreign exchange.
The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities.
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2012
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, 2012 for the Funds’ assets and liabilities measured at fair value:
Monthly Distribution
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 76,776,834 | $ - | $ - | $ 76,776,834 |
Closed-End Funds | 1,508,114 | - | - | 1,508,114 |
Preferred Stock * | 27,368,951 | - |
| 27,368,951 |
Bonds & Notes * | - | 11,006,303 | - | 11,006,303 |
Purchased Put Options | 1,994,230 | - | - | 1,994,230 |
Short-Term Investments | 4,604,986 | - | - | 4,604,986 |
Total Investments | $ 112,253,115 | $ 11,006,303 | $ - | $ 123,259,418 |
Derivatives |
|
|
|
|
Forward Currency Exchange Contracts | - | 36,291 | - | 36,291 |
Total Derivatives | $ - | $ 36,291 | $ - | $ 36,291 |
Liabilities |
|
|
|
|
Securities Sold Short | 14,706,514 | - | - | 14,706,514 |
Total Liabilities | $ 14,706,514 | $ - | $ - | $ 14,706,514 |
Derivatives |
|
|
|
|
Written Options | 3,730,389 | - | - | 3,730,389 |
Equity Swap Contracts | 189,681 |
|
| 189,681 |
Forward Currency Exchange Contracts | - | 344,222 | - | 344,222 |
Total Derivatives | $ 3,920,070 | $ 344,222 | $ - | $ 4,264,292 |
Corporate/Government Bond
Assets | Level 1 | Level 2 | Level 3 | Total |
Corporate Notes & Bonds * | $ - | $ 30,823,782 | $ - | $ 30,823,782 |
Foreign Government Bond | - | 303,130 | - | 303,130 |
Mortgage Backed Securities | - | 5,336,330 | - | 5,336,330 |
U.S. Government & Agencies | - | 38,101,417 | - | 38,101,417 |
Bank Loans | - | 506,780 | - | 506,780 |
Preferred Stock * | 613,256 | - | - | 613,256 |
Short-Term Investments | 1,890,091 | - | - | 1,890,091 |
Total | $ 2,503,347 | $ 75,071,439 | $ - | $ 77,574,786 |
|
|
|
|
|
High-Yield Bond
Assets | Level 1 | Level 2 | Level 3 | Total |
Bonds & Notes * | $ - | $ 81,064,402 | $ - | $ 81,064,402 |
Preferred Stock * | 3,534,983 | - | - | 3,534,983 |
Short-Term Investments | 5,175,160 | - | - | 5,175,160 |
Total | $ 8,710,143 | $ 81,064,402 | $ - | $ 89,774,545 |
|
|
|
|
|
Loss Averse Growth
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 9,177,051 | $ - | $ - | $ 9,177,051 |
Exchange Traded Funds | 2,462,400 | - | - | 2,462,400 |
Total | $ 11,639,451 | $ - | $ - | $ 11,639,451 |
|
|
|
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2012
Appreciation & Income
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 14,363,343 | $ - | $ - | $ 14,363,343 |
Convertible Bonds * | - | 13,076,527 | - | 13,076,527 |
Corporate Bonds * | 1,788,991 | - | - | 1,788,991 |
Preferred Stock * | 1,398,113 | - | - | 1,398,113 |
Short-Term Investments | 795,827 | - | - | 795,827 |
Total | $ 18,346,274 | $ 13,076,527 | $ - | $ 31,422,801 |
|
|
|
|
|
Large Cap Value
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 41,291,544 | $ - | $ - | $ 41,291,544 |
Short-Term Investments | 1,173,995 | - | - | 1,173,995 |
Total | $ 42,465,539 | $ - | $ - | $ 42,465,539 |
|
|
|
|
|
Large Cap Growth
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 31,601,517 | $ - | $ - | $ 31,601,517 |
Short-Term Investments | 982,229 | - | - | 982,229 |
Total | $ 32,583,746 | $ - | $ - | $ 32,583,746 |
|
|
|
|
|
Focused Large Cap Growth
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 1,356,247 | $ - | $ - | $ 1,356,247 |
Short-Term Investments | 39,013 | - | - | 39,013 |
Total | $ 1,395,260 | $ - | $ - | $ 1,395,260 |
|
|
|
|
|
International Stock
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 3,723,682 | $ 36,494,921 | $ - | $ 40,218,603 |
Preferred Stock * | 805,772 | 718,113 | - | 1,523,885 |
Short-Term Investments | 1,195,395 | - | - | 1,195,395 |
Total Investments | $ 5,724,849 | $ 37,213,034 | $ - | $ 42,937,883 |
Derivatives |
|
|
|
|
Forward Currency Exchange Contracts | - | 84,433 | - | 84,433 |
Total Derivatives | $ - | $ 84,433 | $ - | $ 84,433 |
Liabilities - Derivatives |
|
|
|
|
Forward Currency Exchange Contracts | - | 115,991 | - | 115,991 |
Total Liabilities | $ - | $ 115,991 | $ - | $ 115,991 |
|
|
|
|
|
Real Estate Stock
Assets | Level 1 | Level 2 | Level 3 | Total |
REITs * | $ 16,728,862 | $ - | $ - | $ 16,728,862 |
Short-Term Investments | 250,952 | - | - | 250,952 |
Total | $ 16,979,814 | $ - | $ - | $ 16,979,814 |
|
|
|
|
|
Small Cap Value
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 19,942,901 | $ - | $ - | $ 19,942,901 |
Short-Term Investments | 707,828 | - | - | 707,828 |
Total | $ 20,650,729 | $ - | $ - | $ 20,650,729 |
|
|
|
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2012
Small Cap Growth
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 17,857,593 | $ - | $ - | $ 17,857,593 |
Short-Term Investments | 661,357 | - | - | 661,357 |
Total | $ 18,518,950 | $ - | $ - | $ 18,518,950 |
|
|
|
|
|
Emerging Markets Stock
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stock * | $ 6,192,106 | $ 19,293,640 | $ - | $ 25,485,746 |
Preferred Stock * | 363,020 | - | - | 363,020 |
Warrants | - | 1,572,551 | - | 1,572,551 |
Short-Term Investments | 1,341,514 | - | - | 1,341,514 |
Total | $ 7,896,640 | $ 20,866,191 | $ - | $ 28,762,831 |
Forward Currency Exchange Contracts | - | 1,310 | - | 1,310 |
Total | $ - | $ 1,310 | $ - | $ 1,310 |
Liabilities-Derivatives |
|
|
|
|
Forward Currency Contracts | - | - | - | - |
Total Derivatives | $ - | $ - | $ - | $ - |
* See each Fund’s Schedule of Investments for breakdown by industry.
The Funds did not hold any Level 3 securities during the year.
There were no transfers into or out of Level 1 and 2 during the current year presented. It is the Funds’ policy to recognize transfers into and out of Level 1 and Level 2 at the end of the reporting year.
b. Foreign Currency Translations – The accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency, and income receipts and expense payments, are translated into U.S. dollars using the prevailing exchange rate at the London market close. Purchases and sales of securities are translated into U.S. dollars at the contractual currency rates established at the approximate time of the trade.
Net realized gains and losses on foreign currency transactions represent net gains and losses from currency realized between the trade and settlement dates on securities transactions and the difference between income accrued versus income received. The effects of changes in foreign currency exchange rates on investments in securities are included with the net realized and unrealized gain or loss on investment securities.
c. Forward Currency Contracts – As foreign securities are purchased, a Fund generally enters into forward currency exchange contracts in order to hedge against foreign currency exchange rate risks. A Fund may also enter into forward currency contracts as an investment strategy consistent with that Fund’s investment objective. 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. Realized gains and losses from contract transactions are included as a component of net realized gains (losses) from investments and foreign currency in the Statements of Operations. For the six months ended April 30, 2012, Monthly Distribution had net realized gains of $423,776 and International Stock and Emerging Markets Stock had net realized losses $26,441 and $84,194, respectively, on forward currency contracts. At April 30, 2012, net unrealized gains on open forward currency contracts for Monthly Distribution and Emerging Markets Stock were $307,931 and $2,154 respectively, and net unrealized losses for International Stock were $84,795
d. Options – Monthly Distribution is subject to equity price risk in the normal course of pursuing its investment objective 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 the Fund as an asset and an equivalent liability. The liability is thereafter valued to reflect the current value of the option. If the option is not exercised and expires, or if the Fund effects a closing purchase transaction, the Fund realizes a gain (or loss in the case of a closing purchase transaction where the cost to close the transaction exceeds the original premium received), and the liability related to the option is extinguished. Any such gain or loss generally is a short-term capital gain or loss for federal income tax purposes. If a call option that a Fund has written on any equity security is exercised, the Fund realizes a capital gain or loss (long-term or short-term, depending on the holding period of the underlying security) from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. If a put option that the Fund has written on an equity security is exercised, the amount of the premium originally received reduces the cost of the security that the Fund purchases upon exercise of the option. When a Fund writes a put option, the 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 the Fund’s portfolio. If such a decline occurs, the put options will permit the 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 the Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to the 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 the Fund, the benefits realized by the Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities. For the six months ended April 30, 2012, Monthly Distribution Fund had net realized losses of $2,910,972 resulting from option activity.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2012
e. Swap Agreements – Monthly Distribution is subject to equity price risk in the normal course of pursuing its investment objectives. The Funds may enter into various swap transactions for investment purposes to manage equity risk. These would be two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments. The gross returns to be exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund amortizes upfront payments and/or accrues for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of its current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statement of Assets and Liabilities. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the contract’s remaining life, to the extent that that amount is positive. For the six months ended April 30, 2012, Monthly Distribution had net realized gains of $71,937 resulting from swap activity.
The derivative instruments outstanding as of April 30, 2012 as disclosed in the Notes to the Financial Statements and the amounts of realized and changes in unrealized gains and losses on derivative instruments during the year as disclosed in the Statement of Operations, serve as indicators of the volume of derivative activity for the Funds.
f. Short Sales – A "short sale" is a transaction in which the Fund sells a security it does not own but has borrowed in anticipation that the market price of that security will decline. The Fund is 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.
g. 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 is recorded on the ex-dividend date (“ex-date”) except in the case of certain dividends from foreign securities, which are recorded as soon after the ex-date as the respective Fund, using reasonable diligence, becomes aware of such dividends. Interest income is recorded on an accrual basis. Discounts are accreted and premiums are amortized as adjustments to interest income and the identified cost of investments. Expenses of the Trust that are directly identifiable to a specific Fund, are charged to that Fund. Expenses, which are not readily identifiable to a specific Fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the Funds. Each Fund’s income, expenses (other than the class specific distribution fees) and realized and unrealized gains and losses are allocated proportionally each day between the classes based upon the relative net assets of each class.
h. Concentration of Risk – Investing in securities of foreign issuers and currency transactions may involve certain considerations and risks not typically associated with investments in the United States. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region. These conditions could cause the securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. government securities.
Small capitalization (“small cap”) companies may be more vulnerable than larger capitalization companies to adverse business or economic developments. Small cap companies may also have limited product lines, markets or financial resources, and may be dependent on a relatively small management group. Securities of such companies may be less liquid and more volatile than securities of larger capitalization companies or the market averages in general and therefore may involve greater risk than investing in larger capitalization companies.
The ability of issuers of debt securities held by the Funds to meet their obligations may be affected by economic and political developments particular to a specific industry, country, state or region. Investments in lower grade debt securities are subject to special risks, including greater price volatility and a greater risk of loss of principal and interest.
The risk in writing a call option is that the 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 the 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
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2012
transactions also involve risks concerning liquidity of the options market. An illiquid market for an option may limit the 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.
i. 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 2008 to 2010, the year ended October 31, 2011, and the period ended April 30, 2012, and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken in the above open tax years. The Funds identify their major tax jurisdictions as U.S. Federal. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties. Generally tax authorities can examine tax returns filed for the last three years.
j. Distributions to Shareholders – It is each Fund’s policy to distribute its respective net investment income and net capital gains, if any, annually except for Monthly Distribution, Corporate/Government Bond and High-Yield Bond, which will distribute their respective net investment income, if any, monthly. Distributions of net investment income and net capital gains are determined in accordance with income tax regulations which may differ from GAAP. Differences in dividends from net investment income per share between the classes are due to service and distribution related expenses.
k. 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 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 outperforming, or is penalized when under-performing, a Fund’s benchmark index. The Funds’ Fulcrum Fee arrangements have been in place, with few changes, since July 1, 2006. As a result of the Fulcrum Fee arrangement, the total annual management fee for a Fund will have a range as shown in the table below.
Management Fee | Adviser’s Portion | Sub-Adviser’s Portion | |
Monthly Distribution | 0.90% – 1.90% | 0.65% | 0.25% - 1.25%* |
Corporate/Government Bond | 0.70% – 1.00% | 0.50% | 0.20% - 0.50% |
High-Yield Bond | 0.80% – 1.40% | 0.60% | 0.20% - 0.80% |
Loss Averse Growth | 0.75% – 1.55% | 0.65% | 0.10% - 0.90% |
Appreciation & Income | 0.90% – 1.60% | 0.65% | 0.25% - 0.95% |
Large Cap Value | 0.65% – 1.51% | 0.65% | 0.00% - 0.86% |
Large Cap Growth | 0.75% – 1.45% | 0.65% | 0.10% - 0.80% |
Focused Large Cap Growth ** | 0.45% – 0.79% | 0.45% | 0.00% - 0.34% |
International Stock | 0.95% – 1.65% | 0.65% | 0.30% - 1.00% |
Real Estate Stock | 0.65% – 1.45% | 0.65% | 0.00% - 0.80% |
Small Cap Value | 0.65% – 1.75% | 0.65% | 0.00% - 1.10% |
Small Cap Growth | 0.65% – 1.65% | 0.65% | 0.00% - 1.00% |
Emerging Markets Stock | 0.75% – 1.75% | 0.65% | 0.10% - 1.10% |
* Prior to March 1, 2011, the Sub-Adviser’s Portion for Monthly Distribution was 0.00% - 1.00% and the Management Fee was 0.65% - 1.65%.
**The Adviser has contractually agreed to waive a portion of its fee during the first 12 months of fund operations, as follows: 0.30% waiver in the first three months, 0.20% waiver in the second three months, 0.15% waiver in the third three months, and 0.10% waiver in the final three months of the 12-month period. The Sub-Adviser has contractually agreed to waive a portion of its fee during the first 12 months of fund operations, as follows: 0.17% waive from its base fee and limit its performance fee to plus or minus 0.17%, resulting in a range of fees of 0.00% to 0.34%.
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, each Fulcrum Fee employs a “null zone” around the base fee, whereby small differences in performance versus the benchmark will not trigger a fee increase or decrease.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2012
During the first 12 months of the Fulcrum Fee arrangement, the Performance Fee is calculated daily from inception date of the agreement to the calculation date and is applied to the average daily net assets of the Fund during the calculation period. After the initial 12 months, the Performance Fee is calculated on a daily basis based on comparative performance over a rolling 12-month period. All Funds, with the exception of Focused Large Cap Growth, which is in the initial year of its fulcrum fee arrangement, are calculating Performance Fees on a rolling 12-month basis as of April 30, 2012.
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, 0.00%), the Sub-Adviser, in most cases, will receive no compensation until the end of the first year. At the end of the first year of the agreement, the Sub-Adviser will be paid a lump sum that reflects the accrued Fulcrum Fee over the year, less any Minimum Fees paid out during the first year. Therefore, in the first year, the Fulcrum Fee methodology has three elements: 1) daily calculation of the Performance Fee and daily accrual of the Fulcrum Fee; 2) monthly payment of the Minimum Fee only (if any); and 3) a lump sum payment at the end of the initial 12-month period of the accrued Fulcrum Fee less the Minimum Fee.
By virtue of using average daily net assets over a “rolling” 12-month period for purposes of calculating the Performance Fee while using average daily net assets for the most recent month for purposes of calculating the Base Fee, the actual total Fulcrum Fee paid by the Fund to the Sub-Adviser may be higher or lower than the maximum or minimum annual rates described above if the average daily net assets do not remain constant during the rolling 12-month period. If the Fund is significantly underperforming versus the Index and the Fund’s net assets have declined significantly, the monthly total Fulcrum Fee can be a negative number (although the performance fee rate can never be negative, the performance fee can be negative). In such instances, if the negative Fulcrum Fee is not earned back or offset the following month, the Sub-Adviser must reimburse the Fund the amount of the negative Fulcrum Fee within an agreed upon time. Likewise, in the case where the Fund has significantly underperformed versus the Index but net assets have increased significantly, the monthly total Fulcrum Fee can be positive although the performance fee rate may be 0.00%. In such instances, the Fund will pay the Sub-Adviser the monthly Fulcrum Fee.
The table below lists the current Sub-Advisers along with their fulcrum fee arrangements.
Fund | Sub-Adviser | Benchmark | Base Fee | Null Zone | Minimum Fee | Maximum Fee |
Monthly Distribution* | Westchester Capital Management, LLC | IQ Hedge Market Neutral Beta Index | 0.75% | +/- 0.15% | 0.25% | 1.25% |
Corporate/Government Bond | Newfleet Asset Management, LLC | Barclays Capital Aggregate Bond Index | 0.35% | +/- 0.10% | 0.20% | 0.50% |
High-Yield Bond | PENN Capital Management Co., Inc. | BofA Merrill Lynch High-Yield Cash Pay Index | 0.50% | +/- 0.20% | 0.20% | 0.80% |
Loss Averse Growth | PVG Asset Management Corp. | IQ Hedge Long/Short Beta Index | 0.50% | +/- 0.20% | 0.10% | 0.90% |
Appreciation & Income | Calamos Advisors, LLC | Merrill Lynch Conv ex. Mandatory Index | 0.60% | +/- 0.20% | 0.25% | 0.95% |
Large Cap Value | C.S. McKee L.P. | Russell 1000 Value Index | 0.43% | +/- 1.50% | 0.00% | 0.86% |
Large Cap Growth | Mar Vista Investment Partners, LLC | Russell 1000 Growth Index | 0.45% | +/- 0.60% | 0.10% | 0.80% |
Focused Large Cap Growth** | The Ithaka Group, LLC | Russell 1000 Growth Index | 0.34% | +/- 0.30% | 0.10% | 0.58% |
International Stock | Arrowstreet Capital L.P. | MSCI All Country World Index ex USA (Net) | 0.65% | +/- 0.20% | 0.30% | 1.00% |
Real Estate Stock | Ten Asset Management, Inc. | Dow Jones US Select Real Estate Securities Total Return Index | 0.40% | +/- 0.20% | 0.00% | 0.80% |
Small Cap Value | Denver Investment Advisors LLC | Russell 2000 Value Index | 0.55% | +/- 0.25% | 0.00% | 1.10% |
Small Cap Growth | Pier Capital, LLC | Russell 2000 Growth Index | 0.50% | +/- 0.20% | 0.00% | 1.00% |
Emerging Markets Stock | Marvin & Palmer Associates, Inc. | MSCI Emerging Markets Index USD (Net) | 0.60% | +/- 0.30% | 0.10% | 1.10% |
*Prior to March 1, 2011, the Monthly Distribution Base Fee was 0.50% with a Minimum Fee of 0.00% and a Maximum Fee of 1.00%.
**The Sub-Adviser has contractually agreed to waive a portion of its fee during the first 12 months of fund operations, as follows: 0.17% waived from
its base fee and limit its performance fee to plus or minus 0.17%, resulting in a range of fees of 0.00% to 0.34%.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2012
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, the Administrator receives from each Fund a monthly fee based on the combined average daily net assets at the following annual rates: 0.08% on the first $250 million of average net assets; 0.07% on average net assets between $250 million and $500 million; 0.05% on average net assets over $500 million. Such fees are subject to a minimum of $400,000 in total for the entire Trust. For providing fund accounting services, the Administrator receives from each Fund a monthly fee based on the combined average daily net assets at the following rates: 0.05% on the first $250 million of average net assets; 0.03% on average net assets between $250 million and $500 million; 0.01% on average net assets over $500 million. Such fees are subject to a minimum $300,000 in total for the entire Trust. For providing transfer agent services, the Administrator receives from the Trust a minimum annual fee of $200,000. The total expenses incurred by each Fund for such services provided by GFS are disclosed in the Statements of Operations.
Pursuant to the terms of a Custody Administration Agreement, Monthly Distribution pays GFS a monthly fee of $300.
Gemcom, LLC (“Gemcom”), an affiliate of GFS, provides EDGAR conversion and filing services as well as some print management services for the Funds on an ad-hoc basis. For the provision of these services, Gemcom receives customary fees from the Fund.
An officer of GFS is also an officer of the Trust.
c. Chief Compliance Officer– Northern Lights Compliance Services, LLC (“NLCS”), an affiliate of GFS, provides a Chief Compliance Officer (“CCO”) to the Trust, as well as related compliance services, pursuant to a consulting agreement between NLCS and the Trust. Under the terms of such agreement, NLCS receives customary fees from the Funds.
d. Distributor – The distributor of the Funds is Dunham & Associates (the “Distributor”). The Funds have adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act, as amended, for Class A and Class C shares. The Plan provides for the monthly payment of a distribution fee to the Distributor or other entities at an annualized rate of 0.75% for the equity funds and 0.50% for the fixed-income funds, based on the average daily net assets attributable to Class C shares, and 0.25% of the average daily net assets attributable to Class A shares. In addition, the Funds have adopted a Shareholder Servicing Plan which provides for the payment of a shareholder service fee at an annualized rate of up to 0.25% of the average daily net assets attributable to the Class C shares. Class N shares do not pay 12b-1 distribution or shareholder servicing fees.
e. Trustees’ Fees – The Funds pay no compensation to its Trustees who are employees of the Adviser or its affiliates. The Board has approved the following Trustee compensation schedule: Each Trustee will receive $4,250 for each board meeting attended in-person; $500 for all telephonic board meetings; $500 for in-person committee meetings and $250 for telephonic committee meetings, unless the committee meeting is on the same day as a board meeting, in which case the Trustee will not be compensated. The Funds also reimburse each such Trustee for travel and other expenses incurred in attending meetings of the Board.
f. Other Affiliates–During the six months ended April 30, 2012, CIM Securities, LLC, a registered broker/dealer and an affiliate of the PVG Asset Management Corp., Loss Averse’s Sub-Adviser, executed trades on behalf of the Fund. These trades were cleared through Southwest Securities, Inc. and CIM Securities LLC, received $27,226 in trade commissions for the six months ended April 30, 2012.
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, 2012 were as follows:
Fund |
| Purchases (excluding U.S. Government Securities) |
| Sale Proceeds (excluding U.S. Government Securities) |
| Purchases of U.S. Government Securities |
| Proceeds of U.S. Government Securities |
Monthly Distribution |
| $154,372,336 |
| $165,225,609 |
| $ - |
| $ - |
Corporate/Government Bond |
| 26,339,460 |
| 26,816,052 |
| 55,016,114 |
| 45,914,686 |
High-Yield Bond |
| 37,165,003 |
| 12,579,745 |
| - |
| - |
Loss Averse Growth |
| 25,687,966 |
| 23,938,638 |
| - |
| - |
Appreciation & Income |
| 8,840,256 |
| 9,795,268 |
| - |
| - |
Large Cap Value |
| 3,383,722 |
| 8,176,025 |
| - |
| - |
Large Cap Growth |
| 6,247,115 |
| 11,721,683 |
| - |
| - |
Focused Large Cap Growth |
| 1,489,283 |
| 222,909 |
| - |
| - |
International Stock |
| 30,666,803 |
| 35,597,900 |
| - |
| - |
Real Estate Stock |
| 973,111 |
| 7,795,617 |
| - |
| - |
Small Cap Value |
| 6,481,069 |
| 5,059,685 |
| - |
| - |
Small Cap Growth |
| 20,140,520 |
| 24,159,684 |
| - |
| - |
Emerging Markets Stock |
| 22,316,685 |
| 13,817,800 |
| - |
| - |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2012
Transactions in option contracts purchased/written for Monthly Distribution during the six months ended April 30, 2012 were as follows:
|
| Options Purchased |
| Options Written | ||||
|
| Contracts |
| Premium |
| Contracts |
| Premium |
Outstanding at October 31, 2011 |
| 8,272 |
| $ 789,058 |
| 15,082 |
| $ 1,515,964 |
Options purchased/written during year |
| 32,933 |
| 3,734,302 |
| 233,295 |
| 10,416,944 |
Options exercised during year |
| (7) |
| (2,611) |
| (10,745) |
| (1,844,178) |
Options expired during year |
| (21,146) |
| (876,064) |
| (192,649) |
| (581,062) |
Options closed during year |
| (4,027) |
| (1,165,818) |
| (26,638) |
| (5,873,882) |
Outstanding at April 30, 2012 |
| 16,025 |
| $ 2,478,867 |
| 18,345 |
| $ 3,633,786 |
5.
AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION
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, 2012, were as follows:
Fund | Identified Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation)* |
Monthly Distribution | $ 122,529,342 | $ 4,857,887 | $ (5,451,487) | $ (593,600) |
Corporate/Government Bond | 74,583,007 | 3,189,543 | (197,764) | 2,991,779 |
High-Yield Bond | 85,645,541 | 4,488,590 | (359,586) | 4,129,004 |
Loss Averse Growth | 11,536,630 | 383,488 | (280,667) | 102,821 |
Appreciation & Income | 28,754,992 | 3,625,676 | (957,867) | 2,667,809 |
Large Cap Value | 31,069,903 | 12,204,801 | (784,830) | 11,419,971 |
Large Cap Growth | 26,257,803 | 6,500,809 | (174,866) | 6,325,943 |
Focused Large Cap Growth | 1,307,001 | 98,810 | (10,551) | 88,259 |
International Stock | 40,598,339 | 5,552,702 | (3,213,158) | 2,339,544 |
Real Estate Stock | 11,930,517 | 5,257,868 | (208,571) | 5,049,297 |
Small Cap Value | 17,654,596 | 3,211,817 | (215,684) | 2,996,133 |
Small Cap Growth | 16,213,122 | 2,727,622 | (421,794) | 2,305,828 |
Emerging Markets Stock | 25,001,601 | 4,202,537 | (441,308) | 3,761,229 |
* Excludes Unrealized on Foreign Currency Transactions. |
6.
FOREIGN CURRENCY CONTRACTS
At April 30, 2012 Monthly Distribution Fund, International Stock Fund and Emerging Markets Stock Fund had the following open foreign currency contracts:
Monthly Distribution: |
|
|
|
| Unrealized |
| Settlement |
| Local | U.S. Dollar | Appreciation |
Foreign Currency | Date | Counterparty | Currency | Market Value | (Depreciation) |
To Buy: |
|
|
|
|
|
Canadian Dollar | 5/2/2012 | JP Morgan | 4,936,625 | $ 5,016,895 | $ (20,549) |
Euro | 5/4/2012 | JP Morgan | 1,572,560 | 2,078,217 | 2,628 |
Euro | 5/4/2012 | JP Morgan | 1,848,700 | 2,447,679 | (1,440) |
Australian Dollar | 5/10/2012 | JP Morgan | 620,440 | 637,213 | 8,086 |
British Pound | 5/30/2012 | JP Morgan | 215,908 | 347,828 | 2,721 |
|
|
|
| $ 10,527,832 | $ (8,554) |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2012
Monthly Distribution: |
|
|
|
| Unrealized |
| Settlement |
| Local | U.S. Dollar | Appreciation |
Foreign Currency | Date | Counterparty | Currency | Market Value | (Depreciation) |
To Sell: |
|
|
|
|
|
Canadian Dollar | 5/2/2012 | JP Morgan | 20,800 | $ 20,950 | $ (102) |
Canadian Dollar | 5/2/2012 | JP Morgan | 1,339,200 | 1,355,740 | 339 |
Canadian Dollar | 5/2/2012 | JP Morgan | 2,648,750 | 2,667,153 | (13,640) |
Canadian Dollar | 5/2/2012 | JP Morgan | 336,375 | 338,065 | (2,379) |
Canadian Dollar | 5/2/2012 | JP Morgan | 84,500 | 84,111 | (1,412) |
Canadian Dollar | 5/2/2012 | JP Morgan | 55,250 | 55,791 | (127) |
Canadian Dollar | 5/2/2012 | JP Morgan | 237,250 | 239,254 | (866) |
Canadian Dollar | 5/2/2012 | JP Morgan | 214,500 | 217,988 | 893 |
Euro | 5/4/2012 | JP Morgan | 1,572,560 | 2,071,612 | (9,232) |
Euro | 5/4/2012 | JP Morgan | 1,324,300 | 1,739,468 | (12,873) |
Euro | 5/4/2012 | JP Morgan | 524,400 | 692,006 | (1,891) |
Australian Dollar | 5/10/2012 | JP Morgan | 620,440 | 638,650 | (6,649) |
Australian Dollar | 5/11/2012 | JP Morgan | 1,070,202 | 1,101,623 | (11,327) |
Canadian Dollar | 5/17/2012 | JP Morgan | 1,326,105 | 1,325,542 | (16,128) |
Swiss Franc | 5/29/2012 | JP Morgan | 4,305,400 | 4,711,148 | (32,333) |
British Pound | 5/30/2012 | JP Morgan | 1,399,608 | 2,214,530 | (57,874) |
British Pound | 6/27/2012 | JP Morgan | 1,999,800 | 3,225,677 | (20,728) |
Hong Kong Dollar | 6/27/2012 | JP Morgan | 10,732,500 | 1,383,647 | (127) |
Hong Kong Dollar | 7/11/2012 | JP Morgan | 2,584,736 | 332,988 | (290) |
Japanese Yen | 7/25/2012 | JP Morgan | 94,050,000 | 1,135,870 | (42,600) |
Canadian Dollar | 8/29/2012 | JP Morgan | 4,936,625 | 5,002,027 | 20,366 |
Euro | 9/10/2012 | JP Morgan | 1,848,700 | 2,449,620 | 910 |
Euro | 9/10/2012 | JP Morgan | 125,400 | 166,448 | 349 |
Euro | 9/10/2012 | JP Morgan | 416,100 | 550,869 | (280) |
British Pound | 9/12/2012 | JP Morgan | 427,450 | 684,112 | (9,446) |
British Pound | 9/12/2012 | JP Morgan | 1,406,734 | 2,230,067 | (52,428) |
British Pound | 9/12/2012 | JP Morgan | 545,490 | 868,134 | (16,951) |
British Pound | 9/12/2012 | JP Morgan | 165,110 | 266,073 | (1,826) |
British Pound | 9/12/2012 | JP Morgan | 181,830 | 294,928 | (100) |
Euro | 9/12/2012 | JP Morgan | 28,961 | 37,921 | (441) |
Euro | 9/12/2012 | JP Morgan | 8,613 | 11,315 | (93) |
Euro | 9/12/2012 | JP Morgan | 2,607 | 3,443 | (10) |
Euro | 9/12/2012 | JP Morgan | 2,871 | 3,801 | (2) |
Canadian Dollar | 9/20/2012 | JP Morgan | 761,530 | 764,281 | (3,728) |
Canadian Dollar | 12/19/2012 | JP Morgan | 710,000 | 707,806 | (6,349) |
|
|
|
| $ 39,592,656 | $ (299,377) |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2012
International Stock : |
|
|
|
| Unrealized |
| Settlement |
| Local | U.S. Dollar | Appreciation |
Foreign Currency | Date | Counterparty | Currency | Market Value | (Depreciation) |
To Buy: |
|
|
|
|
|
Canadian Dollar | 5/1/2012 | Deutsche Bank | 25,981 | $ 26,297 | $ (105) |
Danish Krona | 5/1/2012 | BNY Mellon Bank | 283,742 | 50,472 | 109 |
Brazilian Real | 5/2/2012 | US Bank | 72,543 | 38,294 | (101) |
Canadian Dollar | 5/2/2012 | Deutsche Bank | 10,955 | 11,088 | (80) |
Danish Krona | 5/2/2012 | UBS/Deutsche Bank | 344,908 | 61,352 | (65) |
Euro | 5/2/2012 | BNY Mellon Bank | 21,897 | 28,974 | - |
Hong Kong Dollar | 5/2/2012 | Deutsche Bank | 43,161 | 5,564 | 1 |
Japanese Yen | 5/2/2012 | BNY Mellon Bank | 4,980,301 | 63,349 | 1,153 |
South African Rand | 5/2/2012 | BNY Mellon Bank | 77,626 | 10,013 | 148 |
Swedish Krona | 5/2/2012 | BNY Mellon Bank | 150,813 | 22,431 | 53 |
Thai Baht | 5/2/2012 | US Bank | 1,181,139 | 38,394 | 232 |
Swedish Krona | 5/3/2012 | Deutsche Bank | 149,884 | 22,291 | (27) |
Japanese Yen | 5/7/2012 | Deutsche Bank | 8,946,093 | 112,003 | 1,019 |
Australian Dollar | 6/20/2012 | BNY Mellon Bank | 1,331,014 | 1,378,322 | (4,370) |
British Pound | 6/20/2012 | Royal Bank of Scotland | 298,092 | 483,930 | 17,147 |
Canadian Dollar | 6/20/2012 | UBS | 3,497,226 | 3,535,352 | 19,527 |
Danish Krona | 6/20/2012 | UBS | 34,039 | 6,057 | (8) |
Euro | 6/20/2012 | BNY Mellon Bank | 188,236 | 249,133 | 532 |
Hong Kong Dollar | 6/20/2012 | UBS | 287 | 37 | - |
Norwegian Krona | 6/20/2012 | BNY Mellon Bank | 505,198 | 88,005 | 1,068 |
Singapore Dollar | 6/20/2012 | UBS | 184,621 | 149,267 | 2,896 |
Swedish Krona | 6/20/2012 | BNY Mellon Bank | 2,834,361 | 420,712 | 4,963 |
Swiss Franc | 6/20/2012 | UBS | 1,760,157 | 1,939,795 | 31,972 |
|
|
|
| $ 8,741,132 | $ 76,064 |
International Stock : |
|
|
|
| Unrealized |
| Settlement |
| Local | U.S. Dollar | Appreciation |
Foreign Currency | Date | Counterparty | Currency | Market Value | (Depreciation) |
To Sell: |
|
|
|
|
|
British Pound | 5/1/2012 | Deutsche Bank | 18,687 | $ 30,239 | $ (109) |
Japanese Yen | 5/1/2012 | BNY Mellon Bank | 7,873,570 | 96,746 | (1,821) |
Brazilian Real | 5/2/2012 | US Bank | 6,447 | 3,412 | 9 |
British Pound | 5/2/2012 | Deutsche Bank | 9,587 | 15,584 | 16 |
Japanese Yen | 5/2/2012 | Deutsche Bank | 16,500,735 | 204,648 | (1,926) |
Mexican Peso | 5/2/2012 | Deutsche Bank | 130,052 | 9,993 | (7) |
South African Rand | 5/2/2012 | UBS | 4,659,803 | 4,101 | (22) |
Swiss Franc | 5/2/2012 | Deutsche Bank | 556 | 612 | - |
Turkish Lira | 5/2/2012 | Deutsche Bank | 2,167 | 1,230 | (1) |
Euro | 5/3/2012 | Deutsche Bank | 1,168 | 1,548 | 3 |
British Pound | 5/4/2012 | Deutsche Bank | 3,753 | 3,754 | 1 |
Euro | 5/4/2012 | Deutsche Bank | 3,188 | 3,188 | 0 |
Turkish Lira | 5/4/2012 | Deutsche Bank | 1,609 | 1,609 | (1) |
Australian Dollar | 6/20/2012 | BNY Mellon Bank | 324,481 | 339,597 | 3,583 |
British Pound | 6/20/2012 | BNY Mellon Bank | 297,811 | 466,381 | (17,092) |
Canadian Dollar | 6/20/2012 | UBS | 461,390 | 459,643 | (6,776) |
Danish Krona | 6/20/2012 | UBS | 959,186 | 169,169 | (1,512) |
Euro | 6/20/2012 | BNY Mellon Bank | 2,963,273 | 3,874,805 | (47,136) |
Japanese Yen | 6/20/2012 | BNY Mellon Bank | 1,027 | 12 | (1) |
New Zealand Dollar | 6/20/2012 | Royal Bank of Scotland | 232,632 | 189,670 | (73) |
Norwegian Krona | 6/20/2012 | Royal Bank of Scotland | 2,142,978 | 373,087 | (219) |
Swedish Krona | 6/20/2012 | BNY Mellon Bank | 2,542,140 | 374,956 | (2,381) |
Swiss Franc | 6/20/2012 | Royal Bank of Scotland/BNY Mellon | 1,760,157 | 1,907,636 | (32,158) |
|
|
|
| $ 8,531,620 | $ (107,622) |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2012
7.
SHARES OF BENEFICIAL INTEREST
At April 30, 2012, each Fund had an unlimited number of shares authorized with no par value.
Following is a summary of shareholder transactions for each Fund for the six months or period ending April 30, 2012 and the year ended October 31, 2011:
Six Months or Period Ended April 30, 2012:
| Class N Shares |
| Class A Shares | ||||||
Fund | Issued | Distributions Reinvested | Redeemed | Net Increase/ (Decrease) in Shares |
| Issued | Distributions Reinvested | Redeemed | Net Increase/ (Decrease) in Shares |
Monthly Distribution | 382,698 | 29,746 | (273,964) | 138,480 |
| 169,852 | 9,934 | (191,324) | (11,538) |
Corporate/Government Bond | 866,291 | 151,706 | (543,186) | 474,811 |
| 86,575 | 1,733 | (47,124) | 41,184 |
High-Yield Bond | 2,486,405 | 167,623 | (405,379) | 2,248,649 |
| 481,990 | 18,457 | (130,867) | 369,580 |
Loss Averse Growth | 342,070 | 3,956 | (250,286) | 95,740 |
| 133,974 | 2,897 | (62,195) | 74,676 |
Appreciation & Income | 171,968 | 34,587 | (430,769) | (224,214) |
| 253,155 | 2,818 | (37,590) | 218,383 |
Large Cap Value | 118,220 | 14,993 | (382,780) | (249,567) |
| 14,488 | 343 | (70,956) | (56,125) |
Large Cap Growth | 186,043 | 23,496 | (1,444,010) | (1,234,471) |
| 36,561 | 61 | (9,296) | 27,326 |
Focused Large Cap Growth | 28,034 | - | - | 28,034 |
| 82,768 | - | (184) | 82,584 |
International Stock | 105,470 | 47,348 | (390,361) | (237,543) |
| 24,217 | 1,301 | (57,632) | (32,114) |
Real Estate Stock | 165,425 | 8,306 | (141,891) | 31,840 |
| 39,022 | 4,103 | (538,661) | (495,536) |
Small Cap Value | 30,530 | - | (227,120) | (196,590) |
| 403,771 | - | (20,582) | 383,189 |
Small Cap Growth | 36,559 | - | (230,644) | (194,085) |
| 52,147 | - | (64,900) | (12,753) |
Emerging Markets Stock | 67,195 | - | (140,555) | (73,360) |
| 804,451 | - | (51,564) | 752,887 |
|
|
|
|
|
|
|
|
|
|
| Class C Shares |
| |||
Fund | Issued | Distributions Reinvested | Redeemed | Net Increase/ (Decrease) in Shares |
|
Monthly Distribution | 129,006 | 13,569 | (112,465) | 30,110 |
|
Corporate/Government Bond | 92,513 | 21,229 | (65,220) | 48,522 |
|
High-Yield Bond | 458,076 | 28,994 | (207,997) | 279,073 |
|
Loss Averse Growth | 68,831 | 2,469 | (16,905) | 54,395 |
|
Appreciation & Income | 87,117 | 1,694 | (82,032) | 6,779 |
|
Large Cap Value | 35,973 | - | (83,033) | (47,060) |
|
Large Cap Growth | 38,978 | - | (269,583) | (230,605) |
|
Focused Large Cap Growth | 12,032 | - | - | 12,032 |
|
International Stock | 35,354 | 2,036 | (105,418) | (68,028) |
|
Real Estate Stock | 21,678 | - | (19,251) | 2,427 |
|
Small Cap Value | 9,605 | - | (55,063) | (45,458) |
|
Small Cap Growth | 17,663 | - | (46,277) | (28,614) |
|
Emerging Markets Stock | 27,726 | - | (35,152) | (7,426) |
|
|
|
|
|
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2012
Year Ended October 31, 2011:
| Class N Shares |
| Class A Shares | ||||||
Fund | Issued | Distributions Reinvested | Redeemed | Net Increase/ (Decrease) in Shares |
| Issued | Distributions Reinvested | Redeemed | Net Increase/ (Decrease) in Shares |
Monthly Distribution | 1,368,358 | 45,723 | (634,043) | 780,038 |
| 830,532 | 21,817 | (587,893) | 264,456 |
Corporate/Government Bond | 965,070 | 343,843 | (2,419,378) | (1,110,465) |
| 38,122 | 2,356 | (32,426) | 8,052 |
High-Yield Bond | 1,329,411 | 338,266 | (2,905,273) | (1,237,596) |
| 323,072 | 32,109 | (218,648) | 136,533 |
Loss Averse Growth | 713,091 | 707 | (265,997) | 447,801 |
| 128,780 | 5,243 | (568,636) | (434,613) |
Appreciation & Income | 673,757 | 74,449 | (785,248) | (37,042) |
| 767,966 | 23,334 | (1,343,120) | (551,820) |
Large Cap Value | 815,727 | 18,205 | (765,893) | 68,039 |
| 55,309 | 1,947 | (171,631) | (114,375) |
Large Cap Growth | 1,538,223 | 3,931 | (2,647,390) | (1,105,236) |
| 62,978 | - | (51,509) | 11,469 |
International Stock | 959,284 | 23,588 | (536,321) | 446,551 |
| 96,710 | 113 | (11,506) | 85,317 |
Real Estate Stock | 530,485 | 8,042 | (230,297) | 308,230 |
| 614,321 | 35 | (113,370) | 500,986 |
Small Cap Value | 322,245 | 2,565 | (383,232) | (58,422) |
| 62,165 | - | (59,388) | 2,777 |
Small Cap Growth | 297,481 | - | (327,834) | (30,353) |
| 457,575 | - | (386,715) | 70,860 |
Emerging Markets Stock | 468,356 | - | (227,564) | 240,792 |
| 90,636 | - | (186,944) | (96,308) |
|
|
|
|
|
|
|
|
|
|
| Class C Shares |
| |||
Fund | Issued | Distributions Reinvested | Redeemed | Net Increase/ (Decrease) in Shares |
|
Monthly Distribution | 460,569 | 24,234 | (256,687) | 228,116 |
|
Corporate/Government Bond | 136,342 | 46,546 | (369,794) | (186,906) |
|
High-Yield Bond | 412,665 | 55,906 | (307,196) | 161,375 |
|
Loss Averse Growth | 133,515 | 219 | (42,384) | 91,350 |
|
Appreciation & Income | 166,636 | 7,412 | (116,306) | 57,742 |
|
Large Cap Value | 116,309 | - | (114,834) | 1,475 |
|
Large Cap Growth | 312,630 | - | (429,612) | (116,982) |
|
International Stock | 132,149 | - | (102,532) | 29,617 |
|
Real Estate Stock | 69,484 | 351 | (29,693) | 40,142 |
|
Small Cap Value | 58,589 | - | (49,039) | 9,550 |
|
Small Cap Growth | 66,556 | - | (89,955) | (23,399) |
|
Emerging Markets Stock | 76,510 | - | (39,421) | 37,089 |
|
|
|
|
|
|
|
8.
DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. Reclassifications are made to a Fund’s capital accounts for permanent tax differences to reflect income and gains available for distribution (or available capital loss carry forwards) under income tax regulations.
As of October 31, 2011, permanent book and tax differences, attributable primarily from differing treatments for foreign currency transactions, dividend reclassifications, reclassifications of gains on contingent convertible debt securities, net operating losses and security paydown gains and losses were identified and reclassified among the components of the following Fund’s net assets as follows:
Fund | Paid in Capital | Undistributed Net Investment Income/(Loss) | Accumulated Net Realized Gain/(Loss) on Investments and Foreign Currency Transactions |
Monthly Distribution | $ (6,186,744) | $ 608,328 | $ 5,578,416 |
Corporate/Government Bond | - | 173,420 | (173,420) |
Loss Averse Growth | - | (6,965) | 6,965 |
Appreciation & Income | - | 157,832 | (157,832) |
International Stock | - | (84,129) | 84,129 |
Small Cap Value | (43,095) | 43,095 | - |
Small Cap Growth | (304,312) | 304,325 | (13) |
Emerging Markets Stock | (335,790) | 274,419 | 61,371 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2012
The tax character of distributions paid during the years or period ended October 31, 2011 and October 31, 2010 were as follows:
| Year Ended October 31, 2011 |
| Year or Period Ended October 31, 2010 | ||||||
Fund | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total |
| Ordinary Income | Long-Term Capital Gain | Return of Capital | Total |
Monthly Distribution | $ 3,931,773 | $ - | $ - | $ 3,931,773 |
| $ 2,221,849 | $ - | $ - | $ 2,221,849 |
Corporate/Government Bond | 4,758,649 | 877,494 | - | 5,636,143 |
| 3,527,777 | - | - | 3,527,777 |
High-Yield Bond | 4,758,651 | - | - | 4,758,651 |
| 5,286,245 | - | - | 5,286,245 |
Loss Averse Growth | 95,803 | - | - | 95,803 |
| - | - | - | - |
Appreciation & Income | 952,969 | - | - | 952,969 |
| 375,498 | - | - | 375,498 |
Large Cap Value | 224,106 | - | - | 224,106 |
| 164,866 | - | - | 164,866 |
Large Cap Growth | 15,864 | - | - | 15,864 |
| 33,521 | - | - | 33,521 |
International Stock | 306,458 | - | - | 306,458 |
| 651,479 | - | - | 651,479 |
Real Estate Stock | 109,747 | - | - | 109,747 |
| 61,575 | - | - | 61,575 |
Small Cap Value | 27,644 | - | - | 27,644 |
| 140,604 | - | - | 140,604 |
Small Cap Growth | - | - | - | - |
| - | - | - | - |
Emerging Markets Stock | - | - | - | - |
| 277,140 | - | - | 277,140 |
As of October 31, 2011, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
Fund | Undistributed Ordinary Income | Accumulated Long-Term Gains | Capital Loss Carry Forwards | Unrealized Appreciation/ (Depreciation) | Total Accumulated Earnings/(Deficits) |
Monthly Distribution | $ - | $ - | $ (18,515,745) | $ (4,852,701) | $ (23,368,446) |
Corporate/Government Bond | - | 1,421,311 | - | 1,994,574 | 3,415,885 |
High-Yield Bond | 17,760 | - | (8,392,116) | 1,896,620 | (6,477,736) |
Loss Averse Growth | 96,835 | - | (152,058) | 73,810 | 18,587 |
Appreciation & Income | 263,092 | - | (3,173,982) | 3,226,299 | 315,409 |
Large Cap Value | 90,103 | - | (8,345,431) | 7,691,436 | (563,892) |
Large Cap Growth | 92,041 | - | (20,587,548) | 3,209,166 | (17,286,341) |
International Stock | 514,046 | - | (11,303,888) | 1,206,949 | (9,582,893) |
Real Estate Stock | 101,876 | - | (2,545,645) | 3,552,724 | 1,108,955 |
Small Cap Value | - | - | (5,640,250) | 1,789,628 | (3,850,622) |
Small Cap Growth | - | - | (252,947) | 936,120 | 683,173 |
Emerging Markets Stock | - | - | (3,737,827) | 1,069,012 | (2,668,815) |
At October 31, 2011, the following Funds had capital loss carryforwards for federal income tax purposes available to offset future capital gains through the indicated expiration date:
| Expiring October 31, |
| |||
Fund | 2015 | 2016 | 2017 | 2019 | Total |
Monthly Distribution* | $ 12,285,899 | $ - | $ 6,229,846 | $ - | $ 18,515,745 |
High-Yield Bond |
| 2,511,654 | 5,880,462 | - | 8,392,116 |
Loss Averse Growth |
| - | - | 152,058 | 152,058 |
Appreciation & Income |
| - | 3,173,982 | - | 3,173,982 |
Large Cap Value |
| 2,379,074 | 5,966,357 | - | 8,345,431 |
Large Cap Growth |
| 6,086,766 | 14,500,782 | - | 20,587,548 |
International Stock |
| 2,320,734 | 8,983,154 | - | 11,303,888 |
Real Estate Stock |
| 463,094 | 2,082,551 | - | 2,545,645 |
Small Cap Value |
| - | 5,640,250 | - | 5,640,250 |
Small Cap Growth |
| - | 252,947 | - | 252,947 |
Emerging Markets Stock |
| - | 3,386,808 | 351,019 | 3,737,827 |
* For the Monthly Distribution Fund, $5,007,582, $4,434,238 and $2,844,079 of capital loss carryover related to the acquisition of the Kelmoore Strategy Fund, Kelmoore Strategy Eagle Fund and Kelmoore Strategy Liberty Fund, respectively, is remaining to be recognized over the next four years. These amounts are subject to annual limitations of $1,374,302, $1,216,951 and $780,541 for the Kelmoore Strategy Fund, Kelmoore Strategy Eagle Fund and Kelmoore Strategy Liberty Fund, respectively, under tax rules.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2012
9.
NEW ACCOUNTING PRONOUNCEMENTS
In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements” in GAAP and the International Financial Reporting Standards (“IFRSs”). ASU No. 2011-04 amends FASB ASC Topic 820, Fair Value Measurements and Disclosures, to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with GAAP and IFRSs. ASU No. 2011-04 is effective for fiscal years beginning after December 15, 2011 and for interim periods within those fiscal years. Management is currently evaluating the impact these amendments may have on the Fund’s financial statements.
In December 2011, FASB issued ASU No. 2011-11 related to disclosures about offsetting assets and liabilities. The amendments in this ASU require an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effects of those arrangements on its financial position. The ASU is effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The guidance requires retrospective application for all comparative periods presented. Management is currently evaluating the impact this amendment may have on the Fund’s financial statements.
10.
SUBSEQUENT EVENTS
The Funds are required to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the Statements of Assets and Liabilities. For non-recognized subsequent events that must be disclosed to keep the financial statements from being misleading, the Funds are required to disclose the nature of the event as well as an estimate of its financial effect, or a statement that such an estimate cannot be made. Management has evaluated subsequent events through the issuance of these financial statements and has noted such events below.
At a meeting held on March 27, 2012, the Board, including a majority of the Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, considered and approved the termination of Ten Asset Management, Inc. as a sub-adviser to the Fund, effective April 30, 2012, and the appointment of Cornerstone Real Estate Advisers, LLC (“Cornerstone”) to sub-advise the Fund, effective May 1, 2012. The Board also approved a change to the investment objective of the Dunham Loss Averse Growth Fund, as well as a name change to the “Dunham Loss Averse Equity Income Fund” effective on June 15, 2012. The Funds New Investment Objective is to seek to maximize total return from capital appreciation and dividends, with capital preservation during market downturns as a secondary goal.
ADDITIONAL INFORMATION (Unaudited)
FACTORS CONSIDERED BY THE INDEPENDENT TRUSTEES IN APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS
At a regular meeting (the “Meeting”) of the Board of Trustees (the “Board”) of the Dunham Funds (the “Trust”) held on December 13, 2011, the Board, including the disinterested Trustees (the “Independent Trustees”), considered the renewal of the investment advisory agreement applicable to each of the Funds (“Investment Advisory Agreement”) and sub-advisory agreements (the “Sub-Advisory Agreements”) among the Trust, Dunham & Associates Investment Counsel, Inc. (the “Adviser”) and the following Sub-Advisers (each a "Sub-Adviser”, collectively, the "Sub-Advisers") for the indicated series of the Trust: (i) Arrowstreet Capital, L.P. (“Arrowstreet”) with respect to the Dunham International Stock Fund; (ii) Calamos Advisors, LLC (“Calamos”) with respect to the Dunham Appreciation & Income Fund; (iii) C.S. McKee, L.P. (“C.S. McKee”) with respect to the Dunham Large Cap Value Fund; (iv) Denver Investment Advisers LLC (“Denver”) with respect to the Dunham Small Cap Value Fund; (v) PENN Capital Management Co., Inc. (“PENN”) with respect to the Dunham High- Yield Bond Fund; (vi) Pier Capital, LLC (“Pier”) with respect to the Dunham Small Cap Growth Fund; (vii) Newfleet Asset Management, LLC (fka, SCM Advisors LLC) (“Newfleet”) with respect to the Dunham Corporate/Government Bond Fund; (viii) Westchester Capital Management, LLC (“Westchester”) with respect to the Dunham Monthly Distribution Fund; (ix) PVG Asset Management Corp. (“PVG”) with respect to the Dunham Loss Averse Growth Fund; (x) Mar Vista Investment Partners, LLC (“Mar Vista”) with respect to the Dunham Large Cap Growth Fund; (xi) Marvin & Palmer Associates, Inc. (“Marvin & Palmer”) with respect to the Dunham Emerging Markets Stock Fund; and (xii) Ten Asset Management, Inc. (“Ten”) with respect to the Dunham Real Estate Stock Fund. The Board deliberations included consideration of the following:
Trustees reviewed information related to the proposed renewal of the Investment Advisory Agreement with the Trust, including the investment performance of each Fund and a comparison to a peer group of funds and appropriate indices, the Adviser’s personnel and resources, and comparative fees and expenses of a peer group of funds. The following is a summary of the information reviewed and considered by the Trustees and does not detail all information reviewed and considered.
Nature, Extent and Quality of Services. As to the nature, extent and quality of services to be provided, the Board reviewed a copy of the Adviser’s Form ADV and discussed the qualifications of the Adviser’s key personnel, its experience managing mutual funds, and its compliance infrastructure and policies. The Trustees noted the Adviser’s on-going commitment to marketing and growing Fund assets. A representative of the Adviser noted that there have been no changes to key personnel, and further reported that the Trust and Adviser each maintain Directors and Officers liability insurance coverage of $1,000,000. The Independent Trustees noted that the Adviser provides a high level of service to the Funds and maintains open and frank communications with the Board. The Board also reviewed the capitalization of the Adviser based on financial statements provided by the Adviser in the Board materials. The Trustees concluded that they were satisfied with the nature, extent and quality of the services provided to the Funds by the Adviser.
Performance. As to the investment performance of each Fund, the Trustees reviewed and discussed the performance of each Fund (as measured by the performance of Class N shares, the Trust's largest share Class) compared to broad-based securities market indices, over the past one year, three-year and since-inception periods. The Board also noted information was provided comparing each Fund's performance to that of the average of a relevant peer group. The Independent Trustees discussed the Adviser’s active and consistent approach to monitoring each Sub-Adviser, particularly with respect to the Sub-Adviser's strategies and performance. They concluded that the Adviser, through its Sub-Advisers, had provided an acceptable level of investment return to shareholders.
Fees and Expenses. As to the costs of the services to be provided and profits to be realized by the Adviser, the Board reviewed and discussed each Fund’s advisory fees and overall expenses compared to peer groups of similarly managed funds. The Trustees discussed that the advisory fee for stock funds was approximately 65 basis points whereas the advisory fee for bond funds was approximately 50 basis points. The Adviser representative discussed that stocks funds generally have a higher rate of return and require more involvement in managing the portfolio, and added that when each respective Fund was launched the Adviser looked at the marketplace for similarly managed funds to determine fees that were fair and reasonable in its opinion. The Trustees also discussed the underwriting and 12b-1 fees paid to the Adviser. It was the consensus of the Board that, based on the Adviser’s expertise and level of service, the management fees were reasonable.
Profitability. The Trustees next reviewed an analysis of profitability provided by the Adviser. The Trustees took into account possible benefits derived by the Adviser from its relationship with the Funds. In its evaluation of the Adviser's profitability, the Trustees discussed the salary component of advisory expenses, both including and excluding personnel involved with marketing the Funds. They noted that profit margins would be significantly higher if marketing persons were excluded. The Independent Trustees discussed the Adviser’s expectations for profitability, and the level of profit required to adequately incentivize the Adviser. They expressed their agreement that a reasonable profit is critical to maintaining a quality advisory relationship. The Trustees concluded that, although certain Funds’ fees may be on the high end relative to other similarly managed funds, the fees for each Fund are reasonable in light of the advisory services provided and the performance of the Funds, and that the Adviser’s profits from its relationship with the Funds was not excessive.
Economies of Scale. As to economies of scale, the Trustees noted that the Advisory Agreements did not contain breakpoints that reduce the fee rate on assets above specified levels. The Trustees agreed that breakpoints may be an appropriate way for the Adviser to share economies of scale with the Funds and the shareholders if the Funds experience a substantial growth in assets; however, the Trustees recognized that no Fund had yet reached an asset level where the Adviser could realize significant economies of scale. The Trustees noted that economies of scale would need to be considered in the future as net asset levels of the Funds grow. Consequently, the Trustees concluded that the absence of breakpoints was acceptable under the circumstances.
Conclusion. During the Board’s deliberations, it was noted that the Board did not identify any single piece of information that was all-important or controlling with respect to the Investment Advisory Agreement. Based on their deliberations, the Board, including all of the Independent Trustees, unanimously concluded that the terms of the Investment Advisory Agreement are fair and reasonable, the renewal of the Investment Advisory Agreement is in the best interests of each Fund and its shareholders, and that the advisory fees are for services different than those provided by any Funds’ Sub-Advisers and not duplicative.
The Trustees then reviewed information received related to the Sub-Advisory Agreements, including the investment performance of each Fund and a comparison to a peer group of funds and appropriate indices, each Sub-Adviser’s personnel and resources, and comparative fees and expenses of a peer group of funds.
The following is a summary of the information reviewed and considered by the Trustees and does not detail all information reviewed and considered.
Nature, Extent and Quality of Services. As to the nature, quality and extent of the services provided by the Sub-Advisers, the Board reviewed materials provided by each Sub-Adviser regarding its operations, including their practices for monitoring compliance. Where applicable, the Board discussed the results of recent SEC examinations and the Sub-Advisers’ response to the SEC, and the Board was satisfied with each response. The Board also discussed litigation matters disclosed in the materials provided. The Board then discussed the financial condition of each Sub-Adviser and reviewed any financial information provided by the Sub-Advisers. The Board also reviewed the presentation materials prepared by each Sub-Adviser describing their investment processes. The Board also discussed each Sub-Adviser’s compliance structure and broker selection process. It was the consensus of the Trustees that each Sub-Adviser continues to have adequate experience and expertise to manage the Fund for which it acts as Sub-Adviser in a manner acceptable to the Board.
Performance. As to the investment performance of each Sub-Adviser, the Board reviewed the performance of each Fund (as measured by the performance of Class N shares) compared to broad-based securities market indices, over the past one-year, three-year and since-inception periods. The Board also noted information was provided comparing each Fund’s performance to that of the average of a relevant peer group and benchmark index. Overall, the Board concluded that the performance of each Fund was acceptable.
Fees and Expenses. As to the cost of the services to be provided and the profits realized by each Sub-Adviser, the Board considered the Base Fee (as defined in the Sub-Advisory Agreements) paid to each Sub-Adviser when the performance of the applicable Fund is equal to that of the index plus or minus a “null” zone. The Trustees also discussed at length the operation of the Performance Fee and the impact on fees and expenses based on various performance results. Where provided, the Trustees compared advisory (and sub-advisory) fees, including both flat fee rates and performance fee rates, charged by each Sub-Adviser to its other accounts. The Board also compared each Fund’s fees and total expense ratio with those of a peer group of funds, discussed at length how each Fund compared, and concluded that the sub-advisory fees were within a reasonable range, particularly in light of the relatively small size of each Fund.
The Board then considered the potential fee adjustments to be made to each Fund’s Base Fee based on performance. The Trustees agreed that the 12-month period over which performance is computed is sufficiently long to provide a reasonable basis for indicating performance. The Trustees further agreed that the method by which the Performance Fee is calculated under the Sub-Advisory Agreements ensures that any significant fee adjustments are attributable to the Sub-Adviser’s skill level, rather than to random fluctuations, and the performance fee clearly aligns the Sub-Adviser’s interest with those of the Fund’s shareholders. It was the consensus of the Board that the maximum performance adjustment under each Sub-Advisory Agreement would only be made for performance differences that could reasonably be considered meaningful and significant taking into account each Fund’s size, volatility, diversification and variability of performance differences. After consideration, the Board was satisfied that in each case, the relationship of the fee adjustments to the Base Fee was not disproportionately large and that the Funds’ sub-advisory fee was acceptable in light of the quality of services each Fund has received and continues to expect to receive from its Sub-Adviser.
Profitability. As to profitability, the Trustees discussed the total fees previously paid, and expected to be paid to each Sub-Adviser based on each Fund's current assets, and noted that payments above the Base Fee are dependent on the Sub-Adviser's performance relative to the applicable index. The Trustees noted that the Sub-Advisers generally receive no other compensation from the Fund or the Adviser except the sub-advisory fees earned pursuant to the Sub-Advisory Agreement and, in some cases, soft dollars and brokerage fees paid to affiliates. The Trustees reviewed financial information and profitability analysis of the Sub-Advisers that provided this information. The Board reviewed financial and profitability analyses provided and the Board concluded that in light of the alignment of interests between the Sub-Advisers and shareholders created by the performance-based fulcrum fee arrangement, the fee arrangement is reasonable and no Sub-Advisers would reap excessive profits from its relationship with the Fund. The Board noted that the Sub-Advisory fees will be higher for better performance by a Fund and agreed that profitability did not appear to be excessive in any instance.
Economies of Scale. As to economies of scale, the Trustees noted that the Sub-Advisory Agreements did not contain breakpoints that reduce the fee rate on assets above specified levels. The Trustees agreed that breakpoints may be an appropriate way for the Sub-Advisers to share their economies of scale with the Funds and the shareholders if the Funds experience a substantial growth in assets; however, the Trustees recognized that no Fund had yet reached an asset level where the Sub-Adviser could realize significant economies of scale. The Trustees noted that economies of scale would need to be considered in the future as net asset levels of the Funds grow. Consequently, the Trustees concluded that the absence of breakpoints at this time was acceptable under the circumstances.
Conclusion. During the Board’s deliberations, it was noted that the Board did not identify any single piece of information that was all-important or controlling with respect to the Sub-Advisory Agreements. Based on the Board’s deliberations and its evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously concluded that the terms of the Sub-Advisory Agreements are reasonable.
--------------------------------------------------------------------------------------------------------------------------------------------------------------------
At a regular meeting (the “Meeting”) of the Board of Trustees (the “Board”) of the Dunham Funds (the “Trust”) held on March 27, 2012, the Board, including the disinterested Trustees (the “Independent Trustees”), considered the approval of a new sub-advisory agreement among the Trust, Dunham & Associates Investment Counsel, Inc. (the “Adviser”) and Cornerstone Real Estate Advisers, LLC (“Cornerstone”) (the “Cornerstone Sub-Advisory Agreement”) on behalf of the Dunham Real Estate Stock Fund (the “Fund”). In connection with its review and approval of the Cornerstone Sub-Advisory Agreement, the Board considered materials furnished by Cornerstone and the Adviser, including information about, but not limited to, Cornerstone’s personnel, operations and financial condition.
At the Meeting, representatives from the Adviser presented to the Board information regarding Cornerstone and the Fund, and responded to questions from the Trustees. The Board also reviewed the terms of the Cornerstone Sub-Advisory Agreement and compared its terms to those of the prior sub-advisory agreement for the Fund. The Trustees discussed the terms of the Cornerstone Sub-Advisory Agreement and the performance goals and fulcrum fee arrangements set forth in the Cornerstone Sub-Advisory Agreement. A discussion ensued regarding the risks and rewards involved for Cornerstone under the fulcrum fee arrangement.
Nature, Extent and Quality of Services. As to the nature, quality and extent of the services to be provided by Cornerstone pursuant to the Cornerstone Sub-Advisory Agreement, the Board noted the experience of the portfolio management and research personnel of Cornerstone, including their experience in the investment industry, education and industry credentials. The Board then reviewed the capitalization of Cornerstone based on financial information provided by Cornerstone in the Board materials. The Board also reviewed the presentation materials prepared by Cornerstone detailing its investment process. In addition, the Board discussed Cornerstone’s compliance structure and broker selection process and determined that Cornerstone had the experience and expertise necessary to manage the Fund in a manner acceptable to the Board.
Performance. As for the performance of Cornerstone, the Board reviewed the performance of a composite of the firm’s U.S. REIT portfolios that had been managed in a similar fashion as proposed for the Fund. The Board concluded that Cornerstone could be expected to obtain an acceptable level of investment return for shareholders.
Fees and Expenses. As to the cost of the services to be provided and the profits to be realized by the Sub-Adviser, the Board considered the Base Fee to be paid to Cornerstone when the performance of the Fund was equal to that of the FTSE NAREIT All REIT Index. The Trustees also discussed at length the operation of the Performance Fee and the impact on fees and expenses based on various performance results. The Trustees compared the sub-advisory fees charged by Cornerstone to other accounts with investment objectives and strategies similar to that of the Fund and noted that the Fund’s sub-advisory fee was within the range. The Board also compared the Fund’s expected total expense ratio under the Cornerstone Sub-Advisory Agreement with the expense ratios of a peer group of real estate stock funds and concluded that the Base Fee was reasonable. The Board then considered potential fee adjustments to be made to the Fund’s Base Fee based on performance. The Trustees agreed that the twelve-month period over which performance would be computed was sufficiently long to provide a reasonable basis for evaluating Cornerstone’s performance. The Trustees further agreed that the method by which the Performance Fee would be calculated under the Cornerstone Sub-Advisory Agreement including the impact of the “null zone”, would ensure that any significant fee adjustments were attributable to Cornerstone’s skill, or lack thereof, rather than to random fluctuations. It was the consensus of the Board that the maximum performance adjustment under the Cornerstone Sub-Advisory Agreement would only be made for performance differences that could reasonably be considered meaningful and significant taking into account the Fund’s size, volatility, diversification and variability of performance differences. After consideration, the Board was satisfied that the relationship of the fee adjustments to the Base Fee was reasonable and not disproportionately large, and that the Fund’s sub-advisory fee was acceptable in light of the quality of services the Fund expected to receive from Cornerstone and the level of fees paid by other accounts managed by Cornerstone.
Economies of Scale. As to economies of scale, the Trustees noted that the Cornerstone Sub-Advisory Agreement did not contain breakpoints that reduce the fee rate on assets above specified levels. The Trustees agreed that breakpoints may be an appropriate way for Cornerstone to share its economies of scale with the Fund and its shareholders if the Fund experiences a substantial growth in assets; however, the Trustees recognized that the Fund had not yet reached an asset level where Cornerstone could realize any material economies of scale. Consequently, the Trustees concluded that the absence of breakpoints was acceptable under the circumstances.
Profitability. The Board, including the Independent Trustees, next considered the anticipated profits to be realized by Cornerstone in connection with sub-advising the Fund (based on information provided by Cornerstone) and whether the amount of profits are fair entrepreneurial profits for the management of the Fund. The Board discussed the total fees expected to be paid to Cornerstone based on the Fund’s current assets, and noted that Cornerstone will receive no other compensation from the Fund or the Adviser except the sub-advisory fees earned pursuant to the Cornerstone Sub-Advisory Agreement. The Board agreed that Cornerstone’s anticipated profitability did not appear to be excessive.
Conclusion. During the Board’s deliberations, it was noted that the Board did not identify any single piece of information that was all important or controlling with respect to the Cornerstone Sub-Advisory Agreement. As a result of their deliberations, the Board, including all of the Independent Trustees, concluded that the terms of the Cornerstone Sub-Advisory Agreement were fair and reasonable and voted unanimously to approve the Cornerstone Sub-Advisory Agreement for the Fund.
YOUR FUNDS’ EXPENSES (Unaudited)
Example
Shareholders of mutual funds will pay 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 (5% return before expenses) | ||
| Fund’s Annualized Expense Ratio | Beginning Account Value 11/1/11* | Ending Account Value 4/30/12 | Expenses Paid During Period** | Ending Account Value 4/30/12 | Expenses Paid During Period*** | |
Class N: |
|
|
|
|
|
|
|
Monthly Distribution Fund | 2.79% | $1,000.00 | $1,052.00 | $14.23 |
| $1,010.99 | $13.95 |
Corporate/Government Bond Fund | 1.10% | $1,000.00 | $1,044.50 | $ 5.59 |
| $1,019.39 | $ 5.52 |
High-Yield Bond Fund | 1.30% | $1,000.00 | $1,061.90 | $ 6.66 |
| $1,018.40 | $ 6.52 |
Loss Averse Growth Fund | 2.35% | $1,000.00 | $1,032.50 | $12.01 |
| $1,013.18 | $11.76 |
Appreciation & Income Fund | 1.83% | $1,000.00 | $1,024.10 | $ 9.21 |
| $1,015.76 | $ 9.17 |
Large Cap Value Fund | 1.31% | $1,000.00 | $1,082.60 | $ 6.78 |
| $1,018.35 | $ 6.57 |
Large Cap Growth Fund | 1.41% | $1,000.00 | $1,120.80 | $ 7.43 |
| $1,017.85 | $ 7.07 |
Focused Large Cap Growth Fund | 6.29% | $1,000.00 | $1,131.00 | $26.55+ |
| $ 993.30 | $31.38 |
International Stock Fund | 2.01% | $1,000.00 | $1,010.20 | $10.05 |
| $1,014.87 | $10.07 |
Real Estate Stock Fund | 1.34% | $1,000.00 | $1,141.50 | $ 7.13 |
| $1,018.20 | $ 6.72 |
Small Cap Value Fund | 2.42% | $1,000.00 | $1,090.00 | $12.58 |
| $1,012.83 | $12.11 |
Small Cap Growth Fund | 1.27% | $1,000.00 | $1,111.90 | $ 6.67 |
| $1,018.55 | $ 6.37 |
Emerging Markets Stock Fund | 1.72% | $1,000.00 | $1,037.20 | $ 8.71 |
| $1,016.31 | $ 8.62 |
Class A: |
|
|
|
|
|
|
|
Monthly Distribution Fund | 3.04% | $1,000.00 | $1,050.70 | $15.50 |
| $1,009.75 | $15.19 |
Corporate/Government Bond Fund | 1.35% | $1,000.00 | $1,042.50 | $ 6.86 |
| $1,018.15 | $ 6.77 |
High-Yield Bond Fund | 1.55% | $1,000.00 | $1,060.10 | $ 7.94 |
| $1,017.16 | $ 7.77 |
Loss Averse Growth Fund | 2.60% | $1,000.00 | $1,032.00 | $13.28 |
| $1,011.93 | $13.01 |
Appreciation & Income Fund | 2.08% | $1,000.00 | $1,023.10 | $10.46 |
| $1,014.52 | $10.42 |
Large Cap Value Fund | 1.56% | $1,000.00 | $1,082.00 | $ 8.08 |
| $1,017.11 | $ 7.82 |
Large Cap Growth Fund | 1.66% | $1,000.00 | $1,116.70 | $ 8.74 |
| $1,016.61 | $ 8.32 |
Focused Large Cap Growth Fund | 6.54% | $1,000.00 | $1,129.00 | $27.58+ |
| $ 992.34 | $32.40 |
International Stock Fund | 2.26% | $1,000.00 | $1,009.20 | $11.29 |
| $1,013.63 | $11.31 |
Real Estate Stock Fund | 1.59% | $1,000.00 | $1,141.00 | $ 8.46 |
| $1,016.96 | $ 7.97 |
Small Cap Value Fund | 2.67% | $1,000.00 | $1,088.50 | $13.86 |
| $1,011.59 | $13.35 |
Small Cap Growth Fund | 1.52% | $1,000.00 | $1,111.00 | $ 7.98 |
| $1,017.30 | $ 7.62 |
Emerging Markets Stock Fund | 1.97% | $1,000.00 | $1,036.30 | $ 9.97 |
| $1,015.07 | $ 9.87 |
YOUR FUNDS’ EXPENSES (Unaudited) (Continued)
|
|
| Actual |
| Hypothetical (5% return before expenses) | ||
| Fund’s Annualized Expense Ratio | Beginning Account Value 11/1/11* | Ending Account Value 4/30/12 | Expenses Paid During Period** | Ending Account Value 4/30/12 | Expenses Paid During Period*** | |
Class C: |
|
|
|
|
|
|
|
Monthly Distribution Fund | 3.79% | $1,000.00 | $1,046.70 | $19.29 |
| $1,006.02 | $18.90 |
Corporate/Government Bond Fund | 1.85% | $1,000.00 | $1,040.80 | $ 9.39 |
| $1,015.66 | $ 9.27 |
High-Yield Bond Fund | 2.05% | $1,000.00 | $1,057.40 | $10.49 |
| $1,014.67 | $10.27 |
Loss Averse Growth Fund | 3.35% | $1,000.00 | $1,028.40 | $17.08 |
| $1,008.20 | $16.73 |
Appreciation & Income Fund | 2.83% | $1,000.00 | $1,018.80 | $14.20 |
| $1,010.79 | $14.15 |
Large Cap Value Fund | 2.31% | $1,000.00 | $1,077.60 | $11.93 |
| $1,013.38 | $11.56 |
Large Cap Growth Fund | 2.41% | $1,000.00 | $1,114.00 | $12.67 |
| $1,012.88 | $12.06 |
Focused Large Cap Growth Fund | 7.29% | $1,000.00 | $1,127.00 | $30.72+ |
| $ 988.61 | $36.04 |
International Stock Fund | 3.01% | $1,000.00 | $1,005.20 | $15.01 |
| $1,009.90 | $15.04 |
Real Estate Stock Fund | 2.34% | $1,000.00 | $1,136.60 | $12.43 |
| $1,013.23 | $11.71 |
Small Cap Value Fund | 3.42% | $1,000.00 | $1,085.30 | $17.73 |
| $1,007.86 | $17.07 |
Small Cap Growth Fund | 2.27% | $1,000.00 | $1,106.60 | $11.89 |
| $1,013.58 | $11.36 |
Emerging Markets Stock Fund | 2.72% | $1,000.00 | $1,016.30 | $13.75 |
| $1,011.34 | $13.60 |
*Focused Large Cap Growth Fund’s beginning account value from December 8, 2011 (commencement of initial offering) to April 30, 2012.
**Expenses Paid During Period are equal to the Fund’s annualized expense ratio (except Focused Large Cap Growth), multiplied by the average account
value over the period, multiplied by 182 days and divided by 366 (to reflect the number of days in the six month period ending April 30, 2012).
***Please note that while Focused Large Cap Growth Fund commenced operations on December 8, 2011, the hypothetical expenses paid during the period
reflect projected activity for the full six month period for purposes of comparability. This projection assumes that annualized expense ratios were in effect
during the period from November 1, 2011 to April 30, 2012.
+Expenses Paid During Period are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by
145 days and divided by 366.
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 |
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 |
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 do not jointly market |
How to Obtain Proxy Voting Information
Information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 as well as a description of the policies and procedures that the Funds use to determine how to vote proxies is available without charge, upon request, by calling (888)-3DUNHAM (338-6426) or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
How to Obtain 1st and 3rd Fiscal Quarter Portfolio Holdings
Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC (800)-SEC-0330. The information on Form N-Q is available without charge, upon request, by calling (888)-3DUNHAM (338-6426).
Item 2. Code of Ethics. Not applicable.
Item 3. Audit Committee Financial Expert. Not applicable.
Item 4. Principal Accountant Fees and Services. Not applicable.
Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.
Item 6. Schedule of Investments. Schedule of investments in securities of unaffiliated issuers is included under Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Funds. Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Funds. Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders. None
Item 11. Controls and Procedures.
(a)
Based on an evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the disclosure controls and procedures are reasonably designed to ensure that the information required in filings on Forms N-CSR is recorded, processed, summarized, and reported on a timely basis.
(b)
There were no significant changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1)
Not required for semi-annual reports.
(a)(2)
Certifications required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith..
(a)(3)
Not applicable.
(b)
Certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Dunham Funds
By (Signature and Title)
/s/Jeffrey Dunham
Jeffrey Dunham, President
Date
7/5/12
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)
/s/Jeffrey Dunham
Jeffrey Dunham, President
Date
7/5/12
By (Signature and Title)
/s/Denise Iverson
Denise Iverson, Treasurer
Date
7/5/12