Dunham Funds N-CSRS Certified semi-annual shareholder report (management investment company)

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., 80 Arkay Drive, Suite 110, Hauppauge, NY 11788

(Name and address of agent for service)

Registrant's telephone number, including area code: 631-470-2619

Date of fiscal year end: 10/31

Date of reporting period: 4/30/16

Item 1. Reports to Stockholders.

This Semi-Annual Report contains “forward-looking statements” within the meaning of the Private Securities Litigation Reform Act of 1995. Forward-looking statements also include those preceded by, followed by or that include the words “believes”, “expects”, “anticipates” or similar expressions. Such statements should be viewed with caution. Actual results or experience could differ materially from the forward-looking statements as a result of many factors. Each Fund makes no commitments to disclose any revisions to forward-looking statements, or any facts, events or circumstances after the date hereof that may bear upon forward-looking statements. In addition, prospective purchasers of the Funds should consider carefully the information set forth herein and the applicable fund’s prospectus. Other factors and assumptions not identified above may also have been involved in the derivation of these forward-looking statements, and the failure of these other assumptions to be realized may also cause actual results to differ materially from those projected.

Dunham Floating Rate Bond Fund

Message from the Sub-Adviser (Newfleet Asset Management, LLC)

Despite a December increase in interest rates by the U.S. Federal Reserve for the first time in nearly a decade, interest rates decreased over the first half of the fiscal year ended April 30, 2016. While there was a slight increase towards the beginning of the fiscal period, interest rates generally declined thereafter. The yield on 10-year Treasuries began the fiscal year at 2.14 percent, rose to a high of 2.34 in early November, and ended the first fiscal quarter at 1.92 percent. The beginning of the second fiscal quarter saw interest rates hit a low of 1.66 percent in early February, before finishing the fiscal six-month period at 1.83 percent. The performance of bank loans, as measured by the S&P/LSTA Leveraged Loan Index, generally followed interest rates downward during the first half of the fiscal six-month period, but subsequently reversed course while interest rates continued to decline. Bank loans gained 1.6 percent over the fiscal period, after falling 1.8 percent over the prior fiscal six-month period. Although interest rates fell, the London Interbank Offered Rate (“LIBOR”) rose over the fiscal period. Three-month LIBOR began the fiscal period at 0.33 percent, hit a low of 0.33 percent in early November, then began a steady increase, hitting a high of 0.64 percent in mid-March, before ending the fiscal six-month period at 0.64 percent, nearly 91 percent higher than it began the fiscal period.

There were two quite different stories for U.S. stocks between the first and second halves of the fiscal six-month period, and bank loan returns generally mirrored both plots. The first half of the fiscal year saw a decline in U.S. stocks and bank loans, as investors sold risk. The second half of the fiscal year began with a generally flat February for both U.S. stocks and bank loans before turning sharply positive as investors bought risk. At the beginning of the fiscal period, the average bank loan in the Fund had a price of $96.79. By the middle of the fiscal period, the average bank loan price dropped to $94.50, before rebounding to $96.72 by the end of the fiscal six-month period. The Sub-Adviser remains optimistic about the asset class’ potential as interest rates rise and investor sentiment towards the loan space allows the price to continue to increase. At the beginning of the fiscal six-month period, approximately 36 bank loans in the Fund had a price lower than $95, which represented approximately 13 percent of the bank loans in the Fund. By the end of the fiscal six-month period, the Fund held approximately 29 bank loans with a price below $95, which represented approximately 11 percent of the bank loans in the Fund.

The yields on bank loans, as measured by the S&P / LSTA Leveraged Loan 100 Index, generally moved in the opposite direction from broader Treasury yield movements for the majority of the fiscal period, although they still ended slightly lower by the end. Bank loans, in general, began the fiscal six-month period with a yield-to-maturity of 5.9 percent, approximately 1.7 percent less than their traditional high-yield bond counterparts, as measured by the BofA Merrill Lynch High-Yield Bond Cash Pay Index. Bank loans outperformed traditional high-yield bonds over the first half of fiscal period by 3.7 percent, but trailed by 4.8 percent over the second half of the fiscal six-month period. Over the entire period, bank loans underperformed traditional high-yield bonds by 0.7 percent. The yield gap between the bank loans and traditional high-yield bonds saw an overall expansion over the fiscal period. At the end of the fiscal six months, the yields on bank loans stood at 5.8 percent and traditional high-yield bonds ended at 7.7 percent. The Fund held approximately 4.5 percent of its assets in traditional high-yield bonds which, from an allocation perspective, enhanced relative performance during the fiscal period.

The Sub-Adviser continued to focus on higher rated first lien loans within the bank loan space, limiting its exposure to bank loans rated CCC and lower. The exposure to lower-rated loans, second lien loans, and traditional bonds has been limited to instances where the Sub-Adviser has determined that the additional reward is expected to significantly outweigh the additional risk. However, with the significant increase in lower-rated securities over the second half of the six-month period, some of the Fund’s bonds also benefitted. For example, the Fund held the CCC-rated traditional bonds issued by Beverage Packaging Holdings Luxembourg I SA (08783AAC7) (holding percentage*: 0.15 percent), a joint issuer of debt that operates as a dual issuer of senior notes. The company is a subsidiary of Reynolds Group Holdings Limited, which is a leading global manufacturer and supplier of consumer beverage and foodservice packaging products, based in Auckland, New Zealand. The Beverage Packaging Holdings bonds increased 2.7 percent on a total return basis over the six-month period. In addition, the Fund held the traditional CCC-rated bond issued by iHeartCommunications, Inc. (184502BL5) (holding percentage*: 0.08 percent), a mobile and on-demand entertainment and information services provider. Over the first half of the six-month period the company’s bonds took a hit, losing a painful 15.6 percent on a total return basis. The second half of the six-month period saw a reversal, however, with the company’s bonds gaining 15.9 percent on a total return basis. On a net basis, the bonds were down 2.1 percent over the entire six-month period. As oil prices fell over the first half of the six-month period, so did many energy-related issuers in the Fund. However, as oil prices rallied from their January lows, these same issuers saw substantial increases in their bank loans. One such issuer was MEG Energy Corporation (BL0932949) (holding percentage*: 0.28 percent), an oil and gas company that is primarily involved in oil sands development and leases. Over the first fiscal quarter, the MED Energy Corp. bank loan saw a price decrease of 17 percent, but saw a rebound of 11.8 percent over the second fiscal quarter, paring overall losses for the six-month period to 4.5 percent.

The Sub-Adviser also analyzes recovery expectations for bank loans that are issued by companies proceeding through restructurings or defaults. For example, the Fund continued to hold the Caesars Entertainment Operating Co., Inc. bank loan (BL1302209) (holding percentage*: 0.15 percent), a casino, restaurant, and convention-space operator, which defaulted on its debt over a year ago. The bank loan was priced at $89.71 at the beginning of the six-month period, but rebounded by the end of the period to a price to just below $94.50.

The Sub-Adviser remains optimistic that interest rates, in general, will eventually rise and that bank loan investors may benefit from a highly-correlated increase in LIBOR. Although the Federal Open Market Committee’s planned four interest rate increases have been reduced to two for 2016, the Sub-Adviser believes we are in the late innings of the credit cycle. They are, however, incrementally dialing up risk in the Fund, albeit cautiously. The Sub-Adviser remains encouraged by the historically low default rates combined with the floating rate feature offered by bank loans.

* Holdings percentage(s) as of 4/30/2016.

Growth of $100,000 Investment - (Unaudited)

Total Returns as of April 30, 2016

			Annualized
	Six	One	Since Inception
	Months	Year	(11/1/13)
Class N	1.58%	0.21%	1.41%
Class C	1.21%	(0.53)%	0.65%
Class A with load of 4.50%	(2.99)%	(4.48)%	(0.68)%
Class A without load	1.57%	0.07%	1.17%
S&P/LSTA Leverage Loan Index	1.88%	(0.07)%	2.31%
Morningstar Bank Loan Category	0.96%	(0.88)%	1.35%

The S&P/LSTA U.S. Leveraged Loan 100 Index is designed to reflect the performance of the largest facilities in the leveraged loan market. Investors cannot invest directly in an index or benchmark.

The Morningstar Bank Loan Category is generally representative of mutual funds that primarily invest in floating-rate bank loans instead of bonds. These bank loans generally offer interest payments that typically float above a common short-term benchmark such as the London interbank offered rate, or LIBOR.

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including cost of underlying funds, are 1.27% for Class N, 2.02% for Class C and 1.52% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com

1

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Floating Rate Bond Fund

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
BANK LOANS - 92.7%
CONSUMER DISCRETIONARY - 26.0%
Acosta Holdco, Inc.	$	239,761		4.2500	%	9/26/2021	$	237,864
Advantage Sales & Marketing, Inc.		97,000		7.5000		7/24/2022		92,150
Allison Transmission, Inc.		583,827		3.5000		8/24/2019		585,508
Aristocrat International Property		366,000		4.7500		10/20/2021		368,353
Boyd Gaming Corp.		467,297		4.0000		8/14/2020		469,049
Caesars Entertainment Operating Co., Inc.*		203,234		10.2500		2/28/2017		190,024
Caesars Entertainment Operating Co., Inc.*		137,310		13.2500		2/28/2017		129,700
Caesars Entertainment Resort Properties, Inc.		272,860		7.0000		10/12/2020		258,622
Caesars Growth Properties Holdings, LLC		152,026		6.2500		5/8/2021		136,824
CBAC Borrower LLC		99,750		8.2500		7/2/2020		93,516
CCO Safari III LLC		138,000		3.2500		8/24/2021		138,421
CCO Safari III LLC		708,000		3.5000		1/24/2023		712,174
CDS US Intermediate Holdings		175,120		5.0000		7/8/2022		170,013
Charter Communications Operations, LLC		326,812		3.0000		6/30/2020		326,684
CityCenter Holdings LLC		301,249		4.2500		10/16/2020		302,605
Clear Channel Communications		480,000		7.3866		1/30/2019		360,468
CS Intermediate Holdco 2 LLC		410,689		4.0000		4/4/2021		411,333
CSC Holdings LLC		723,149		3.1366		4/16/2020		722,550
CSC Holdings LLC		620,000		5.0000		10/8/2022		624,005
Delta, Inc.		310,000		4.7500		7/30/2021		305,128
Eldorado Resorts, Inc.		129,025		4.2500		7/24/2022		129,186
Federal-Mogul Holdings Corp.		293,261		4.7500		4/16/2021		279,771
Gates Global LLC		318,003		4.2500		7/6/2021		305,623
Graton Economic Development Authority		137,622		4.7500		8/31/2022		137,966
Hilton Worldwide Finance LLC		1,575,784		3.5000		10/26/2020		1,583,490
Hudson’s Bay Co		250,000		4.7500		9/30/2022		251,563
Ineos Group Holdings Ltd		327,265		4.2500		12/14/2022		327,756
Infiltrator Systems Integrated		78,408		5.2500		5/28/2022		78,604
Intelsat Jackson Holdings S.A.		200,000		3.7500		6/30/2019		188,178
KAR Auction Services, Inc.		311,188		3.9375		3/12/2021		312,873
KAR Auction Services, Inc.		75,000		4.2500		3/8/2023		75,438
Laureate Education, Inc.		476,428		5.0000		6/16/2018		443,674
Leslie’s Poolmart, Inc.		266,262		4.2500		10/16/2019		265,932
Libbey Glass, Inc.		258,609		3.7500		4/8/2021		258,664
LTF Merger Sub, Inc.		221,116		4.2500		6/10/2022		220,357
Mattress Holding Corp.		288,000		6.2500		10/20/2021		289,080
MCC Georgia LLC		299,738		3.2500		1/28/2021		299,988
MCC Georgia LLC		61,898		3.7500		6/30/2021		61,975
MCC Georgia LLC		155,630		3.5000		6/30/2021		156,020
MGM Growth Properties Operating, LLC		377,000		4.0000		4/24/2023		379,631
Michaels Stores, Inc.		531,529		3.7500		1/28/2020		532,999
Mohegan Tribal Gaming Authority		325,917		5.5000		6/16/2018		324,830
MPG Holdco I, Inc.		286,885		3.7500		10/20/2021		285,604
Neiman Marcus Group LTD, Inc.		270,000		4.2500		10/24/2020		257,850
Numericable US LLC		143,000		4.7500		2/10/2023		143,409
Numericable US LLC		325,000		5.0000		1/16/2024		327,200
Party City Holdings, Inc.		434,232		4.2500		8/20/2022		433,720
Penn National Gaming, Inc.		455,789		3.2500		10/30/2020		456,358
Petsmart, Inc.		541,905		4.2500		3/12/2022		541,252
Scientific Games International, Inc.		681,732		6.0000		9/30/2021		673,105
ServiceMasterCo.LLC/The		897,233		4.2500		6/30/2021		902,002
SInc.lair Television Group, Inc.		372,188		3.5000		7/30/2021		372,031
Six Flags Theme Parks, Inc.		397,254		3.5006		6/30/2022		400,150

See accompanying notes to financial statements.

2

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Floating Rate Bond Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
CONSUMER DISCRETIONARY (Continued) - 26.0%
SRAM Corporation	$	282,400		4.0124	%	4/10/2020	$	249,218
Staples, Inc.		945,000		4.7500		2/2/2022		949,134
Station Casinos LLC		247,370		4.2500		3/2/2020		248,220
TI Group Automotive Systems LLC		181,464		4.5000		6/30/2022		181,692
Transtar Holding Co		34,213		7.7500		10/8/2018		23,493
Tribune Co		368,952		3.7500		12/28/2020		369,626
Univision Communications, Inc.		262,667		4.0000		2/29/2020		263,314
Univision Communications, Inc.		1,331,185		4.0000		2/29/2020		1,330,955
US Farathane LLC		154,791		6.7500		12/24/2021		155,371
Ziggo BV		154,941		3.6519		1/16/2022		154,622
Ziggo BV		99,847		3.6478		1/16/2022		99,641
Ziggo BV		164,212		3.6013		1/16/2022		163,874
								22,520,430
CONSUMER STAPLES - 7.3%
Albertson’s Holdings LLC		278,190		5.5000		8/24/2021		279,614
Albertsons LLC		252,368		5.5000		12/20/2022		253,665
ARAMARK Corp.		800,682		3.2500		2/24/2021		802,684
Coty, Inc.		102,976		3.7500		10/28/2022		103,877
Dole Food Co, Inc.		557,688		4.5020		10/31/2018		558,087
Galleria Co		205,952		3.7500		1/26/2023		206,564
Hostess Brands LLC		319,395		4.1366		8/4/2022		321,059
Hostess Brands LLC		235,000		8.5000		8/4/2023		231,769
Kronos, Inc./MA		60,875		9.7500		4/30/2020		61,839
Kronos, Inc./MA		820,590		4.5000		10/30/2019		820,417
Oak Tea, Inc.		59,901		4.2500		7/2/2022		60,225
Pinnacle Foods Finance LLC		802,277		3.0000		4/28/2020		802,610
Pinnacle Foods Finance LLC		22,943		3.7500		1/12/2023		23,094
Prestige Brands, Inc.		635,634		3.5218		9/4/2021		638,151
Reynolds Group Holdings, Inc.		445,370		4.5000		11/30/2018		447,157
Rite Aid Corp.		430,000		4.8750		6/20/2021		431,479
Spectrum Brands, Inc.		280,321		3.5000		6/24/2022		281,828
								6,324,119
ENERGY - 1.4%
Chelsea Petroleum		199,179		5.2500		10/28/2022		194,199
Chief Exploration & Development LLC		172,000		7.5000		5/16/2021		130,505
Drillships Financing Holding Inc.		141,366		6.0000		4/1/2021		69,269
Drillships Ocean Ventures, Inc.		110,040		5.5000		7/24/2021		65,611
Fieldwood Energy LLC		215,850		8.3750		9/30/2020		59,089
Jonah Energy LLC		243,000		7.5000		5/12/2021		164,835
MEG Energy Corp.		276,394		3.7500		4/1/2020		248,983
Paragon Offshore Finance Co		174,258		5.2500		7/16/2021		47,268
Seadrill Operating LP		492,086		4.0000		2/20/2021		246,043
								1,225,802

See accompanying notes to financial statements.

3

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Floating Rate Bond Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
FINANCIALS - 5.2%
Alixpartners LLP	$	515,410		4.5000	%	7/28/2022	$	518,201
Asurion LLC		82,794		5.0000		5/24/2019		82,639
Asurion LLC		189,120		5.0000		8/4/2022		188,157
Capital Automotive L.P.		93,064		4.0000		4/10/2019		93,541
Capital Automotive LP		197,005		6.0000		4/30/2020		198,359
Delos Finance		381,000		3.5000		3/6/2021		383,000
DTZ US Borrower LLC		595,499		4.2500		11/4/2021		595,747
Realogy Group LLC		773,336		3.7500		3/4/2020		774,384
Starwood Property Trust, Inc.		476,516		3.5000		4/16/2020		474,729
TransUnion LLC		892,339		3.5000		4/8/2021		889,884
Walter Investment Management Corp.		373,471		4.7500		12/18/2020		328,772
								4,527,413
HEALTHCARE - 16.7%
21st Century Oncology, Inc.		208,425		6.5000		4/30/2022		186,019
Acadia Healthcare Co, Inc.		226,433		4.5000		2/16/2023		228,449
Akorn, Inc.		258,134		6.0000		4/16/2021		259,103
Alere, Inc.		172,038		4.2500		6/20/2022		170,774
American Renal Holdings Co, Inc.		134,000		4.7500		8/20/2019		134,084
Amneal Pharmaceuticals LLC		344,403		4.5007		10/31/2019		344,546
Amsurg Corp.		101,197		3.5000		7/16/2021		101,667
Ardent Legacy Acquisitions, Inc.		194,025		6.5000		8/4/2021		194,995
Capsugel Holdings US, Inc.		410,809		4.0000		8/1/2021		412,029
CHG Buyer Corp.		397,008		4.2500		11/20/2019		397,957
CHS/Community Health Systems Inc.		282,504		3.7500		1/1/2020		278,846
CHS/Community Health Systems Inc.		519,800		4.0000		1/28/2021		513,126
CHS/Community Health Systems Inc.		218,666		3.8855		1/1/2019		218,096
Concordia Healthcare Corp.		149,625		5.2500		10/20/2021		148,652
ConvaTec, Inc.		10,800		4.2500		6/16/2020		10,826
DaVita, Inc.		748,589		3.5000		6/24/2021		753,549
DJO Finance LLC		158,800		4.2500		6/8/2020		154,979
Emdeon, Inc.		43,446		3.7500		11/2/2018		43,746
Emdeon, Inc.		492,500		3.7500		11/2/2018		492,810
Emergency Medical Svcs Corp.		190,010		4.2500		5/24/2018		190,560
Endo Luxembourg Finance ICo.		620,445		3.7500		9/26/2022		619,437
Envision Healthcare Corp.		161,595		4.5000		10/28/2022		162,330
FHC Health Systems, Inc.		247,500		5.0000		12/24/2021		244,406
Greatbatch Ltd		100,748		5.2500		10/28/2022		101,393
HCA, Inc.		203,925		3.8866		3/16/2023		205,653
Horizon Pharma, Inc.		131,010		4.5000		5/8/2021		128,062
IASIS Healthcare LLC		299,227		4.5000		5/4/2018		299,351
IMS Health, Inc.		450,311		3.5000		3/16/2021		451,275
inVentiv Health, Inc.		233,269		7.7500		5/16/2018		234,291
Kinetic Concepts, Inc.		417,411		4.5000		5/4/2018		417,978
Mallinckrodt International Finance		154,840		3.2500		3/20/2021		151,744
Mallinckrodt International Finance		225,074		3.5000		3/20/2021		222,635
MJ Acquisition Corp.		230,260		4.0004		5/31/2022		229,397
MPH Acquisition Holdings LLC		245,417		3.7500		4/1/2021		244,711

See accompanying notes to financial statements.

4

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Floating Rate Bond Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
HEALTHCARE (Continued) - 16.7%
National Mentor Holdings, Inc.	$	266,797		4.2500	%	2/1/2021	$	266,397
National Surgical Hospitals Inc.		117,115		4.5000		5/31/2022		116,676
NBTY, Inc.		56,000		5.0000		4/26/2023		56,251
NVA Holdings, Inc.		92,000		8.0000		8/14/2022		90,006
NVA Holdings, Inc.		115,000		5.5000		8/14/2021		115,431
Onex Schumacher Finance LP		223,875		5.0000		7/28/2022		223,409
Ortho-Clinical Diag Holdings		335,878		4.7500		6/30/2021		318,934
Pharmaceutical Product Development		294,335		4.2500		8/18/2022		294,275
PRA Holdings, Inc.		367,438		4.5000		9/24/2020		369,826
Quintiles Transnational Corp.		122,078		3.2500		5/12/2022		122,535
Quorum Health Corp.		226,000		6.7500		4/12/2022		226,318
RegionalCare Hospital Partners		313,762		6.7500		4/23/2019		314,351
RPI Finance Trust		296,992		3.5000		11/8/2020		298,755
Select Medical Corp.		255,000		6.0000		3/4/2021		256,275
Sterigenics-Nordion Holdings LLC		119,400		4.2500		5/16/2022		119,400
Surgery Center Holdings, Inc.		46,412		5.2500		11/4/2020		46,572
Surgery Center Holdings, Inc.		164,000		5.2500		11/4/2020		164,564
Surgical Care Affiliates LLC		270,776		4.2500		3/16/2022		271,115
Team Health, Inc.		243,390		4.5000		11/24/2022		245,520
US Renal Care, Inc.		354,113		5.2500		12/30/2022		355,497
Valeant Pharmaceuticals International		296,703		4.7500		8/4/2020		292,359
Valeant Pharmaceuticals International		409,899		5.0000		3/31/2022		397,250
Valeant Pharmaceuticals International		654,744		4.5000		2/12/2019		637,286
								14,546,478
INDUSTRIALS - 12.3%
Air Canada		400,905		4.0000		9/26/2019		403,244
Allied Security Holdings LLC		302,473		4.2500		2/12/2021		300,583
Allied Security Holdings LLC		38,479		8.0000		8/12/2021		37,686
American Airlines, Inc.		436,545		3.2500		6/28/2020		434,910
American Airlines, Inc.		89,000		3.5000		4/28/2023		88,722
Brickman Group Holdings, Inc.		491,179		4.0000		12/18/2020		489,134
Brickman Group Holdings, Inc.		249,000		7.5000		12/16/2021		244,954
Brock Holdings III, Inc.		214,562		6.0000		3/16/2017		208,393
Builders FirstSource, Inc.		271,749		6.0000		7/28/2022		272,258
DynCorp International, Inc.		227,868		6.2500		7/8/2016		221,602
Filtration Group, Inc.		20,950		8.2500		11/22/2021		20,701
Filtration Group, Inc.		162,260		4.2500		11/24/2020		162,178
Gardner Denver, Inc.		265,000		4.2500		7/30/2020		248,619
Harland Clarke Holdings Corp.		173,518		7.0000		5/22/2018		172,087
Harland Clarke Holdings Corp.		65,119		6.0000		8/4/2019		64,012
HD Supply, Inc.		546,691		3.7500		8/12/2021		547,990
Headwaters, Inc.		422,660		4.5000		3/24/2022		425,830
Husky Injection Molding		171,490		4.2500		6/30/2021		170,704
McJunkin Red Man Corp.		139,284		4.7500		11/8/2019		135,918
Navistar, Inc.		61,845		6.5000		8/8/2020		58,598
Nortek, Inc.		606,433		3.5000		10/30/2020		597,588
PQ Corp.		93,000		5.7500		10/28/2022		93,614
Prime Security Services		39,000		5.5000		5/2/2022		39,225
Quikrete Co, Inc.		384,342		4.0000		9/28/2020		384,583
Rexnord LLC		655,325		4.0000		8/20/2020		652,846
Science Applications International		308,130		3.7500		5/4/2022		309,672
Sedgwick, Inc.		677,102		3.7500		2/28/2021		666,665
Sedgwick, Inc.		195,000		6.7500		2/28/2022		186,225
SiteOne Landscape Supply Holdings		176,000		6.5000		4/28/2022		176,660
Spin Holdco, Inc.		283,261		4.2500		11/14/2019		278,421
TransDigm, Inc.		815,831		3.7500		2/28/2020		816,340

See accompanying notes to financial statements.

5

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Floating Rate Bond Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
INDUSTRIALS (Continued) - 12.3%
TransDigm, Inc.	$	81,547		3.7500	%	6/4/2021	$	81,267
TransDigm, Inc.		396,192		3.5000		5/16/2022		392,797
United Airlines, Inc.		518,409		3.5000		9/16/2021		519,612
US Airways, Inc.		504,700		3.5000		5/24/2019		505,490
Waste Industries USA, Inc.		294,629		4.2500		2/28/2020		295,917
								10,705,045
INFORMATION TECHNOLOGY - 8.9%
Allflex Holdings III, Inc.		282,750		4.2500		7/16/2020		282,220
Applied Systems, Inc.		221,058		4.2605		1/24/2021		219,037
Applied Systems, Inc.		158,197		7.5000		1/24/2022		157,878
Avago Technologies Cayman Ltd.		705,000		4.2500		1/31/2023		706,449
Blue Coat Systems, Inc.		263,340		4.5000		5/20/2022		262,462
CCC Holdings,, Inc.		335,409		4.0000		12/20/2019		334,152
CDW LLC		1,062,140		3.2500		4/28/2020		1,063,287
Deltek, Inc.		126,852		5.0000		6/24/2022		127,328
Deltek, Inc.		94,000		9.5000		6/26/2023		93,530
Ensemble S Merger Sub, Inc.		318,400		4.7500		9/30/2022		318,333
First Data Corp.		198,000		4.3839		7/8/2022		198,421
First Data Corp.		1,209,841		4.6339		3/24/2021		1,214,626
Infinity Acquisition, LLC		305,982		4.0000		8/6/2021		292,787
Infor US, Inc.		243,327		3.7500		6/4/2020		239,069
Infor US, Inc.		306,676		3.7500		6/4/2020		300,288
Mitchell International, Inc.		369,375		4.5000		10/12/2020		368,220
Mitchell International, Inc.		221,000		8.5000		10/12/2021		206,083
MKS Instruments, Inc.		91,000		4.7500		4/30/2023		91,417
NXP BV		237,405		3.7500		12/8/2020		238,414
ON Semiconductor Corp.		139,000		5.2500		4/1/2023		139,840
Presidio, Inc.		202,554		5.2500		2/2/2022		201,896
SS&C European Holdings SARL		25,225		3.3866		7/8/2020		25,036
SS&C European Holdings SARL		39,125		3.3866		7/8/2020		38,831
SS&C Technologies, Inc.		277,489		4.0000		7/8/2022		278,790
SS&C Technologies, Inc.		40,224		4.0000		7/8/2022		40,412
Western Digital Corp.		290,000		6.2500		4/28/2023		283,656
								7,722,462
MATERIALS- 7.3%
American Builders & Contractor Supply Co., Inc.		553,612		3.5000		4/16/2020		555,549
Anchor Glass Container Corp.		428,352		4.2500		6/30/2022		430,094
Ardagh Holdings USA, Inc.		260,513		4.0000		12/16/2019		260,553
Berlin Packaging LLC		291,062		4.5000		9/30/2021		291,971
Berry Plastics Corp.		147,971		4.0000		10/4/2022		152,474
Berry Plastics Group, Inc.		238,843		3.5000		2/8/2020		239,132
Berry Plastics Group, Inc.		417,784		3.7500		1/6/2021		414,999
CPG International, Inc.		277,863		4.7500		9/30/2020		276,821
Fortescue Metals Group Ltd		700,929		4.2500		6/30/2019		662,476
Huntsman International LLC		485,870		3.7500		9/30/2021		487,896
Huntsman International LLC		112,000		4.2500		3/31/2023		112,911
Ineos Group Holdings Ltd		625,220		3.7500		12/16/2020		620,140
Ineos US Finance LLC		395,702		4.2500		4/1/2022		394,220
Owens-Brockway Glass Container		286,870		3.5000		8/31/2022		287,825
Royal Holdings, Inc./IN		236,215		4.5000		6/20/2022		234,850

See accompanying notes to financial statements.

6

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Floating Rate Bond Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
MATERIALS (Continued) - 7.3%
Solenis International LP	$	153,660		4.2500	%	8/1/2021	$	152,508
Summit Materials		390,053		4.0000		7/18/2022		390,499
Univar, Inc.		300,490		4.2500		6/30/2022		297,646
WR Grace & Co		111,773		2.7500		2/4/2021		111,513
								6,374,077
TELECOMMUNICATION SERVICES - 4.2%
Global Tel*Link Corp.		302,023		5.0000		5/24/2020		282,344
Level 3 Financing Inc		355,000		4.0000		1/16/2020		356,731
Level 3 Financing, Inc.		986,000		3.5000		6/1/2022		988,204
Sable International Finance Lt		165,550		5.5000		12/2/2022		166,533
Sable International Finance Lt		135,450		5.5000		12/2/2022		136,254
SBA Senior Finance II LLC		210,255		3.2500		3/24/2021		210,367
SBA Senior Finance II LLC		159,793		3.2500		6/10/2022		159,464
Securus Technologies Holdings		141,376		4.7500		4/30/2020		134,859
Securus Technologies Holdings		84,788		5.2500		4/30/2020		80,880
T-Mobile USA, Inc.		199,500		3.5000		11/8/2022		200,947
Virgin Media Investment Holdings		445,962		3.6519		6/30/2023		445,683
West Corporation		232,707		3.2500		6/30/2018		231,601
XO Communications LLC		259,700		4.2500		3/20/2021		259,917
								3,653,784
UTILITIES - 3.4%
APLP Holdings LP		445,000		6.0000		4/12/2023		443,888
Calpine Construction Finance Co., LP		470,708		3.0000		5/4/2020		465,120
Calpine Construction Finance Co., LP		258,836		3.2500		2/1/2022		256,138
Calpine Corp.		230,673		4.0000		10/8/2019		231,366
Calpine Corp.		618,328		3.5000		5/28/2022		615,953
NRG Energy, Inc.		723,690		2.7500		6/30/2018		723,173
Texas Comp Elec Hold LLC		635,000		5.1291		10/10/2017		218,048
								2,953,686
TOTAL BANK LOANS (Cost - $81,956,720)								80,553,296
BONDS & NOTES - 4.6%
AIRLINES - 0.2%
Air Canada - 144A		75,000		6.7500		10/1/2019		78,750
American Airlines Group, Inc. - 144A		45,000		4.6250		3/1/2020		44,381
								123,131
BUILDING MATERIALS - 0.0%
Standard Industries, Inc./NJ - 144A		5,000		5.1250		2/15/2021		5,225
CHEMICALS - 0.1%
Hexion, Inc.		150,000		6.6250		4/15/2020		126,375
DIVERSIFIED FINANCIAL SERVICES - 0.5%
Ally Financial, Inc.		80,000		3.2500		2/13/2018		80,200
Ally Financial, Inc.		50,000		4.1250		2/13/2022		50,875
International Lease Finance Corp		120,000		3.8750		4/15/2018		122,100
Springleaf Finance Corp.		170,000		5.2500		12/15/2019		161,925
								415,100
ELECTRIC - 0.1%
Talen Energy Supply LLC		100,000		4.6250		7/15/2019		93,500
ENTERTAINMENT - 0.1%
GLP Capital LP		50,000		4.8750		11/1/2020		53,000
GLP Capital LP .		10,000		4.3750		4/15/2021		10,250
								63,250
FOOD - 0.1%
Dole Food Co., Inc. - 144A		70,000		7.2500		5/1/2019		70,525

See accompanying notes to financial statements.

7

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Floating Rate Bond Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
HEALTHCARE-PRODUCTS - 0.8%
Kinetic Concepts, Inc. - 144A	$	10,000		7.8750	%	2/15/2021	$	10,838
Centene Corp. - 144A		75,000		5.6250		2/15/2021		79,125
CHS/Community Health Systems, Inc.		75,000		5.1250		8/15/2018		76,125
HCA, Inc.		200,000		3.7500		3/15/2019		206,000
Surgery Center Holdings, Inc. - 144A		130,000		8.8750		4/15/2021		130,325
Tenet Healthcare Corp. - 144A		25,000		5.0000		3/1/2019		24,875
Tenet Healthcare Corp.		75,000		6.0000		10/1/2020		79,875
Tenet Healthcare Corp.		80,000		3.7841		6/15/2020		80,500
								687,663
HOLDING COMPANIES - DIVERSIFICATION - 0.2%
Argos Merger Sub, Inc. - 144A ^		140,000		7.1250		3/15/2023		143,500
HOME BUILDERS - 0.1%
TRI Pointe Group, Inc.		70,000		4.3750		6/15/2019		70,525
LODGING - 0.0%
Boyd Gaming Corp.		40,000		6.8750		5/15/2023		41,700
MEDIA - 1.1%
Altice Financing SA - 144A		200,000		6.6250		2/15/2023		198,510
CCO Safari II LLC - 144A		300,000		3.5790		7/23/2020		311,658
Cequel Capital Corp - 144A		50,000		6.3750		9/15/2020		51,377
iHeartCommunications, Inc.		95,000		9.0000		12/15/2019		73,981
Numericable-SFR SA - 144A		200,000		6.0000		5/15/2022		201,010
RCN Telecom Services LLC - 144A		110,000		8.5000		8/15/2020		111,788
								948,324
MINING - 0.1%
Vedanta Resources PLC - 144A		100,000		9.5000		7/18/2018		93,750
OIL & GAS SERVICES - 0.1%
FTS International, Inc. - 144A		50,000		6.2500		5/1/2022		8,025
FTS International, Inc.		120,000		8.1182		6/15/2020		87,643
								95,668
PACKAGING & CONTAINERS - 0.4%
Ardagh Holdings USA, Inc. - 144A		200,000		6.2500		1/31/2019		205,500
Beverage Packaging Holdings Luxembourg II SA - 144A		130,000		6.0000		6/15/2017		129,838
Reynolds Group Issuer, Inc. ^		50,000		5.7500		10/15/2020		52,000
								387,338
PHARMACEUTICALS - 0.2%
Capsugel SA - 144A		19,000		7.0000		5/15/2019		19,143
Quintiles Transnational Corp. - 144A		40,000		4.8750		5/15/2023		41,150
Valeant Pharmaceuticals International, Inc		70,000		5.3750		3/15/2020		62,344
								122,637
PRIVATE EQUITY - 0.0%
Icahn Enterprises LP		10,000		4.8750		3/15/2019		9,975
REITS - 0.2%
iStar, Financial, Inc.		30,000		4.8750		7/1/2018		29,362
iStar, Financial, Inc.		60,000		5.0000		7/1/2019		58,500
iStar, Financial, Inc.		100,000		4.0000		11/1/2017		99,000
								186,862
SOFTWARE - 0.1%
First Data Corp. - 144A		90,000		5.0000		1/15/2024		91,238
First Data Corp. - 144A		25,000		5.7500		1/15/2024		25,469
								116,707

See accompanying notes to financial statements.

8

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Floating Rate Bond Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
TELECOMMUNICATIONS - 0.2%
Frontier Communications Corp.	$	155,000		6.2500	%	9/15/2021	$	144,924
Intelsat Jackson Holdings SA		85,000		6.6250		12/15/2022		55,355
								200,279
TOTAL BONDS & NOTES (Cost - $4,153,334)								4,002,034
ASSET BACKED SECURITIES - 1.6%
Drive Auto Receivables Trust 2016-A		250,000		2.1100		5/15/2019		251,375
Flagship Credit Auto Trust 2016-1		281,227		2.7700		12/15/2020		282,448
Hertz Vehicle Financing LLC 2016-1		250,000		2.3200		3/25/2020		250,214
Home Equity Loan Trust 2007-HSA3		125,083		6.1100		6/25/2037		123,263
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP10		192,000		5.4640		1/15/2049		189,587
OneMain Financial Issuance Trust 2015-1		250,000		3.1900		3/18/2026		250,916
TOTAL ASSET BACKED SECURITIES (Cost - $1,345,176)								1,347,803
	Shares
SHORT-TERM INVESTMENT - 3.6%
MONEY MARKET FUND - 3.6%
Fidelity Institutional Money Market Funds - Government Portfolio		3,122,938		0.0100	+			3,122,938
TOTAL SHORT-TERM INVESTMENT - (Cost - $3,122,938)
COLLATERAL FOR SECURITIES LOANED - 0.1%
Mount Vernon Prime Portfolio + (Cost - $105,750)		105,750		0.51	%			105,750
TOTAL INVESTMENTS - 102.6% (Cost - $90,683,918)							$	89,131,821
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.6)%								(2,226,757	)
NET ASSETS - 100.0%							$	86,905,064

REITS - Real Estate Investment Trusts.

^ All or a portion of these securities are on loan. Total loaned securities had a value of $103,583 at April 30, 2016.

+ Variable rate security. Interest rate is as of April 30, 2016.

* Defaulted Security

144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers.

Portfolio Composition * - (Unaudited)
Bank Loans	90.4	%	Diversified Financial Services	0.5	%
Asset Backed Securities	3.5	%	Packaging & Containers	0.4	%
Short-Term Investment	1.5	%	Pharmaceuticals	0.2	%
Media	1.1	%	Telecommunications	0.2	%
Healthcare-Products	0.8	%	Other **	1.4	%
			Total	100.0	%

* Based on total value of investments as of April 30, 2016.

** Groupings less than 0.20% of holdings.

Percentage may differ from Schedule of Investments which are based on Fund net assets.

See accompanying notes to financial statements.

9

Dunham Monthly Distribution Fund

Message from the Sub-Adviser (Westchester Capital Management, LLC)

While “higher” market volatility has been a prominent theme across the past few periods, there have been relatively short periods that have experienced significant spikes. For example, market volatility, as measured by the CBOE Volatility Index (“VIX”) ended the first three months of the six-month period 34 percent higher than it began. At one point during this period, the VIX nearly doubled, while equity market prices widely tumbled. Generally, large increases in the VIX coincide with sizeable declines in the equity markets. Equity markets rallied during the fourth and fifth months of the six-month period as volatility generally subsided. The VIX decreased 30.9 percent over this time period. In the final month of the six-month period ended April 30, 2016, the VIX spiked once again, albeit less than the previous spike. The VIX increased 12.5 percent in the month of April. After the higher volatility levels during the first three months generally continued to result in investors attempting to reduce risk and making indiscriminate sell decisions, the decrease in volatility in the most recent fiscal quarter may have increased investor optimism. Event-driven strategies, as measured by the Credit Suisse Event Driven Index, decreased 2.3 percent, while market-neutral strategies, as measured by the IQ Hedge Market Neutral Beta Index, increased 1.5 percent.

Similar to the previous periods, merger arbitrage strategies, as measured by the Credit Suisse Merger Arbitrage Index, provided a slight positive contribution to absolute performance during the final three months of the six-month fiscal period. Merger arbitrage strategies increased 1.0 percent in this period and increased 0.6 percent in the first three months of the fiscal six-month period. Although the broad merger arbitrage space experienced a slight positive return, many merger spreads saw significant widening during the period. However, deals continued to close during this volatility. For example, the cash and stock acquisition of Jarden Corporation (JAH) (holding percentage*: 3.59 percent) by Newell Rubbermaid Inc. (NWL) (holding percentage*: -0.76 percent) began the most recent fiscal quarter with a 2.6 percent spread and completed towards the end of the six-month period. These significant spreads on deals that ultimately proved to successfully close helps to illustrate how this ongoing volatility significantly impacted deal spreads within the event driven space.

As volatility peaked during the first three months of the period, many deal spreads widened substantially. For example, the cash and stock acquisition of Baker Hughes Inc. (BHI) (holding percentage**: 0.06 percent) by Halliburton Co. (HAL) (holding percentage**: -0.03 percent) continued to experience its deal spread widen. At the start of the period, the spread stood at 17.7 percent and by the end of the first three months, it had widened further to a spread of 25.5 percent. Even though volatility generally subsided, the spread did not improve during the final three months. The deal completion date was pushed back to midsummer due regulatory request from the U.S. government and European Commission. The Sub-Adviser believed the risk present in the position no longer warranted a place in the Fund and sold out of the position on March 3, 2016. The Justice Department denied the approval of this acquisition on April 6, 2016. Conversely, as volatility generally subsided during the final three months of the fiscal period many spreads tightened. The cash and stock acquisition of Time Warner Cable Inc. (TWC) (holding percentage*: 1.31 percent) by Charter Communications, Inc. (CHTR) (holding percentage*: -2.84 percent) saw its deal spread tighten from 7.3 percent at the end of October to slightly less than 1.2 percent at the end of April.

The Sub-Adviser generally implements risk-reversals, a risk-management technique using call and put options, on event-driven opportunities outside of the merger arbitrage strategy. The Sub-Adviser does this in order to help keep the risk within what it believes are acceptable bounds. A special situation event example that has spanned multiple periods included Hertz Global Holdings, Inc.’s (HTZ) (holding percentage*: 2.09 percent) spin-off of its equipment rental business. In this particular example, HTZ experienced a substantial decline during the first three months of the six-month period, primarily due to concerns over the company’s leverage and its growing competition from smart-phone oriented ride-hailing companies. However, the Sub-Adviser’s implementation of the risk reversals during this time served well to offset a meaningful amount of the downturn. The risk reversal detracted slightly in the final three months of the period as HTZ increased 2.0 percent. During the six-month period, buy/write strategies, as measured by the CBOE S&P 500 Buy/Write Index, declined 0.6 percent. The difference in utilizing a risk-reversal instead of a buy/write strategy is that it uses the majority of the proceeds of the written call to purchase protective put options. Therefore, in the declining periods during the first three months of the period, the risk-reversal generally helped to reduce the downside (leaving less to be recovered).

The Sub-Adviser continued to maintain a small position in credit opportunities during the most recent six-month period. Similar to the prior fiscal period, the strategy as a whole generally contributed positively to Fund performance during the most recent six-month period. During this period, corporate bonds in general, as measured by the Bank of America Merrill Lynch Corporate Bond Master Index, increased 4.2 percent. Fund holdings such as the corporate bond issued by U.S. Foods Inc. (90290MAA9) (holding percentage*: 1.20 percent) aided positive performance. The U.S Foods Inc. bond price increased 3.6 percent over the fiscal period.

The Sub-Adviser believes that the increased volatility across the markets has generally increased the potential rewards from many of these event-driven opportunities. However, while the core tenets for many of these events have not substantially changed, the Sub-Adviser is optimistic that the overall risk-reward profile has improved. The Sub-Adviser continues to implement its disciplined risk controls while taking advantage of these perceived opportunities going forward.

*Holdings percentage(s) as of 4/30/2016.

**Holdings percentage(s) as of the date prior to the sale of the security.

Growth of $10,000 Investment - (Unaudited)

Total Returns as of April 30, 2016

	Six		Annualized	Annualized	Annualized Since
	Months	One Year	Three Years	Five Years	Inception (8/1/08)*
Class N	(0.32)%	(4.40)%	0.92%	2.51%	4.06%**
Class C	(0.86)%	(5.40)%	(0.09)%	1.48%	2.04%
Class A with load of 5.75%	(6.15)%	(10.13)%	(1.30)%	1.04%	(0.40)%
Class A without load	(0.44)%	(4.65)%	0.66%	2.25%	2.82%
IQ Hedge Market Neutral Beta Index	(0.88)%	1.88%	2.44%	1.52%	2.50%
Morningstar Multialternative Category	(2.12)%	(4.82)%	(0.18)%	(0.14)%	0.37%

* Westchester Capital Management, Inc. was named Sub-Adviser to the Fund on August 1, 2008. Prior to August 1, 2008, the Fund was named Kelmoore Strategy Liberty Fund and was managed under a different adviser.

** Class N commenced operations on September 29, 2008.

IQ Hedge Market Neutral Beta Index is a benchmark index designed to replicate the risk-adjusted return characteristics of the collective hedge funds using a market neutral investment style. Investors cannot invest directly in an index or benchmark.

The Morningstar Multialternative Category is generally representative of mutual funds with static allocations to alternative strategies and mutual funds that tactically allocate among alternative strategies and asset classes. The gross short exposure in these mutual funds is generally greater than 20%.

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses before any fee waiver, including the cost of underlying funds, are 2.11% for Class N, 3.11% for Class C and 2.36% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

10

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Monthly Distribution Fund

April 30, 2016

Security	Shares		Value
COMMON STOCK - 84.3%
AIRLINES - 0.0%
American Airlines Group, Inc.		101,283	$	84,065
AUTO MANUFACTURERS - 0.9%
General Motors Co.		72,000		2,289,600
BUILDING MATERIALS - 2.0%
West China Cement Ltd.		24,035,911		5,081,784
CHEMICALS - 12.0%
Airgas, Inc. #		63,076		8,984,545
Dow Chemical Co. #		88,648		4,663,771
EI du Pont de Nemours & Co. #		105,752		6,970,114
Syngenta AG - ADR		37,350		3,009,290
Valspar Corp. #		57,909		6,178,311
				29,806,031
COMMERCIAL SERVICES - 3.8%
ADT Corp.		102,413		4,299,298
Global Payments, Inc.		89		6,419
Hertz Global Holdings, Inc. #		561,800		5,202,268
SFX Entertainment, Inc. #		536,171		13,404
				9,521,389
COMPUTERS - 6.1%
EMC Corp./MA #		417,394		10,898,157
SanDisk Corp. #		56,155		4,218,925
				15,117,082
DISTRIBUTION / WHOLESALE - 3.3%
Ingram Micro, Inc. #		233,589		8,163,936
ELECTRONICS - 2.9%
Tyco International PLC #		188,088		7,245,150
ENVIRONMENTAL CONTROL - 0.4%
Progressive Waste Solutions Ltd.		31,774		1,023,441
FOOD - 2.6%
ConAgra Foods, Inc. #		143,000		6,372,080
HEALTHCARE-PRODUCTS - 3.0%
Alere, Inc. #		110,629		4,314,531
Baxter International, Inc.		44,800		1,981,056
St Jude Medical, Inc.		16,162		1,231,544
				7,527,131
HEALTHCARE-SERVICES - 2.6%
Centene Corp.		1		57
Humana, Inc. #		36,997		6,551,059
				6,551,116
HOLDING COMPANIES-DIVERSIFICATION - 0.9%
Hennessy Capital Acquisition Corp. II		104,074		1,027,210
Pacific Special Acquisition Corp.		105,552		1,062,909
				2,090,119
HOUSEHOLD PRODUCTS / WARES - 3.5%
Jarden Corp.		148,157		8,736,818
INSURANCE - 0.3%
American International Group, Inc.		13,200		736,824

See accompanying notes to financial statements.

11

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Monthly Distribution Fund (Continued)

April 30, 2016

Security	Shares		Value
INTERNET - 4.7%
Qihoo 360 Technology Co., Ltd. #		16,319	$	1,239,265
Yahoo!, Inc. #		288,544		10,560,710
				11,799,975
LODGING - 9.0%
Hilton Worldwide Holdings, Inc.		118,800		2,619,540
MGM Resorts International		239,000		5,090,700
Starwood Hotels & Resorts Worldwide, Inc. #		178,867		14,645,630
				22,355,870
MEDIA - 8.5%
Cablevision Systems Corp. #		97,079		3,241,468
CBS Corp. #		74,139		4,145,111
Liberty Braves Group		21,240		332,198
Liberty Media Group		53,100		971,744
Liberty SiriusXM Group		212,403		6,960,446
Markit Ltd. #		12,422		433,404
Media General, Inc. #		107,359		1,860,531
Time Warner Cable, Inc.		15,353		3,256,525
				21,201,427
MINING - 1.3%
Alcoa, Inc.		292,000		3,261,640
Freeport-McMoRan, Inc.		1		14
				3,261,654
MISCELLANEOUS MANUFACTURING - 1.7%
General Electric Co. #		136,300		4,191,225
OIL & GAS - 1.0%
Northern Tier Energy LP #		109,406		2,499,927
PHARMACEUTICALS - 4.1%
Allergan PLC #		135		29,236
Baxalta, Inc. #		216,379		9,077,099
Mylan NV		463		19,312
Pfizer, Inc. #		35,600		1,164,476
				10,290,123
PIPELINES - 0.3%
Williams Cos, Inc. #		41,925		812,926
REITS - 3.6%
Blackstone Mortgage Trust, Inc. #		4,944		135,862
CYS Investments, Inc.		9,500		77,046
NorthStar Realty Finance Corp. #		118,000		1,509,220
Starwood Property Trust, Inc. #		247,078		4,783,430
Wheeler Real Estate Investment Trust, Inc.		850,746		1,199,552
Winthrop Realty Trust #		102,617		1,305,288
				9,010,398
RETAIL - 0.0%
Restaurant Brands International, Inc.		1		43
SAVINGS & LOANS - 1.7%
First Niagara Financial Group, Inc. #		406,657		4,294,298
SEMICONDUCTORS - 3.9%
KLA-Tencor Corp. #		137,343		9,605,769
Microchip Technology, Inc.		2		97
				9,605,866
TELECOMMUNICATIONS - 0.2%
T-Mobile US, Inc.		15,190		596,663
TOTAL COMMON STOCK (Cost - $221,693,465)				210,266,961

See accompanying notes to financial statements.

12

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Monthly Distribution Fund (Continued)

April 30, 2016

Security			Shares				Value
RIGHTS - 0.0%
Leap Wireless International, Inc. *				4,071			$	13,231
Pacific Special Acquisition Corp.				105,552				17,727
Safeway Casa Ley CVR *				90,955				4,548
Safeway PDC, LLC CVR *				90,955				40,930
TOTAL RIGHTS (Cost - $125,879)								76,436
WARRANTS - 0.0%
Hennessy Capital Acquisition Corp. II				104,074				29,141
Pacific Special Acquisition Corp.				105,552				9,500
TOTAL WARRANTS (Cost - $32,028)								38,641
CLOSED-END FUNDS - 3.9%
BlackRock Floating Rate Income Strategies Fund, Inc.				103,341				1,368,235
DoubleLine Income Solutions Fund #				73,612				1,295,571
Eaton Vance Floating-Rate Income Trust				104,551				1,376,937
First Trust Senior Floating Rate Income Fund II ^				67,775				869,553
Invesco Senior Income Trust #				703,160				2,868,893
Voya Prime Rate Trust #				275,084				1,389,174
Western Asset High Income Opportunity Fund, Inc.				106,644				506,559
TOTAL CLOSED-END FUNDS (Cost - $9,913,936)								9,674,922
			Dividend
	Shares		Rate
PREFERRED STOCK - 2.3%
DIVERSIFIED FINANCIAL SERVICES - 0.8%
Kinder Morgan GP, Inc. - 144A #		2,000		4.5157	%			1,825,000
REAL ESTATE INVESTMENT TRUSTS - 1.5%
Equity CommonWealth #		150,000		7.2500				3,750,000
TOTAL PREFERRED STOCK (Cost - $5,739,425)								5,575,000
	Principal		Interest			Maturity
	Amount		Rate			Date
BONDS & NOTES - 4.9%
COMMERCIAL SERVICES - 0.8%
ADT Corp.	$	1,834,000		4.125	%	4/15/2019		1,969,258
ENGINEERING & CONSTRUCTION - 0.1%
Aeropuertos Dominicanos Siglo XXI SA		192,000		9.2500		11/13/2019		204,960
ELECTRIC - 2.0%
Energy Future Intermediate Holding Co. LLC - 144A		4,761,350		11.7500		3/1/2022		5,106,548
MEDIA - 0.8%
LIN Television Corp.		2,000,000		5.8750		11/15/2022		2,050,000
FOOD - 1.2%
US Foods, Inc.		2,887,000		8.5000		6/30/2019		2,973,610
TOTAL BONDS & NOTES (Cost - $12,495,890)								12,304,376
						Contracts**	Value
PURCHASED PUT OPTIONS - 0.9%
Alcoa Inc, Expiration June 2016, Exercise Price $6						2,374		2,374
Alcoa Inc., Expiration May 2016, Exercise Price $7						546		540
Allergan Public, Expiration May 2016, Exercise Price $240						31		77,500
American Intl Group, Expiration May 2016, Exercise Price $47.5						125		1,187
AIG, Expiration June 2016, Exercise Price $45						211		3,165
AIG, Expiration June 2016, Exercise Price $50						274		11,371
BAX, Expiration August 2016, Exercise Price $55						448		504,000
BAY, Expiration June 2016, Exercise Price $92						196		40,173
CAG, Expiration June 2016, Exercise Price $40						1,430		35,750
CBS Corp, Expiration June 2016, Exercise Price $40						741		12,228
Dow Chemical Co., Expiration June 2016, Exercise Price $43						1,356		16,273
VIVENDI, Expiration June 2016, Exercise Price $15						1,259		34,599
General Electric Co., Expiration May 2016, Exercise Price $28						1,227		3,069

See accompanying notes to financial statements.

13

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Monthly Distribution Fund (Continued)

April 30, 2016

Security			Contracts**		Value
PURCHASED PUT OPTIONS - 0.9% (Continued)
General Motors Co., Expiration June 2016, Exercise Price $27			1,438		$	24,446
HLT, Expiration July 2016, Exercise Price $19			1,188			32,670
Starwood Hotels & Resorts Worldwide, Inc., Expiration May 2016, Exercise Price $55			283			284
HTZ, Expiration June 2016, Exercise Price $8			5,182			168,415
Huntsman Corp, Expiration May 2016, Exercise Price $8			447			1,342
iShares iBoxx High Yield, Expiration June 2016, Exercise Price $75			263			2,630
iShares iBoxx High Yield, Expiration June 2016, Exercise Price $77			520			7,280
MGM, Expiration June 2016, Exercise Price $16			2,390			22,705
NRF, Expiration June 2016, Exercise Price $12			1,180			76,700
Pfizer, Expiration June 2016, Exercise Price $27			267			1,335
SPY, Expiration May 2016, Exercise Price $206			105			26,040
SPY, Expiration June 2016, Exercise Price $184			210			24,360
SPY, Expiration May 2016, Exercise Price $204			610			116,510
SPY, Expiration June 2016, Exercise Price $204			210			94,710
T-Mobile, Inc., Expiration May 2016, Exercise Price $31			1,167			12,837
Vmware, Inc., Expiration September 2016, Exercise Price $95			290			1,133,900
TOTAL PURCHASED PUT OPTIONS (Cost - $3,473,288)						2,488,393
SHORT-TERM INVESTMENT - 11.9%			Interest
MONEY MARKET FUND - 11.9%	Shares		Rate		Value
First American Government Obligations Fund		29,646,669	0.21	%+	$	29,646,669
TOTAL SHORT-TERM INVESTMENT (Cost - $29,646,669)
COLLATERAL FOR SECURITIES LOANED - 3.7%
Mount Vernon Prime Portfolio + (Cost - $9,209,035)		9,209,035	0.51	%+		9,209,035
TOTAL INVESTMENTS - 111.9% (Cost - $292,329,615)					$	279,280,433
LIABILITIES IN EXCESS OF OTHER ASSETS - (11.9)%						(29,827,617	)
NET ASSETS - 100.0%					$	249,452,816

* Non-Income producing security.

** Each Purchased Option contract allows the Fund to sell 100 shares of the underlying security at the exercise price.

*** Issuer in default on interest payments, non-interest producing security.

REITS - Real Estate Investment Trusts

ADR- American Depositary Receipt.

+ Variable rate security. Interest rate is as of April 30, 2016.

++ 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.

+++ Less than one share

^ All or a portion of these securities are on loan. Total loaned securities had a value of $8,949,290 at April 30, 2016.

# All or a portion of the security is segregated as collateral for securities sold short and/or options purchased/written at April 30, 2016. Total collateral had a value of $49,627,303 at April 30, 2016.

144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers.

Security	Contracts ++		Value
WRITTEN CALL OPTIONS - (2.5)%
Alcoa Inc., Expiration June 2016, Exercise Price $8		546	$	170,352
Alcoa Inc., Expiration May 2016, Exercise Price $8		2,374		759,680
Allergan, Expiration May 2016, Exercise Price $265		8		64
Allergan, Expiration May 2016, Exercise Price $275		57		570
American Intl Group, Expiration May 2016, Exercise Price $45		421		151,560
American Intl Group, Expiration May 2016, Exercise Price $55		125		27,125
AIG, Expiration June 2016, Exercise Price $52.5		307		336,933
AIG, Expiration June 2016, Exercise Price $55		260		48,620
Alere Inc, Expiration May 2016, Exercise Price $60		51		255
BAX, Expiration August 2016, Exercise Price $55		448		2,688

See accompanying notes to financial statements.

14

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Monthly Distribution Fund (Continued)

April 30, 2016

Security	Contracts ++			Value
WRITTEN CALL OPTIONS (Continued) - (2.5)%
CAG, Expiration June 2016, Exercise Price $44		867		$	130,050
CAG, Expiration June 2016, Exercise Price $45		563			56,300
CBS Corp, Expiration June 2016, Exercise Price $50		741			463,125
Dow Chemical, Expiration June 2016, Exercise Price $48		1,507			768,570
General Electric Co., Expiration May 2016, Exercise Price $30		1,363			122,670
General Motors Co., Expiration June 2016, Exercise Price $33		62			1,674
GM, Expiration June 2016, Exercise Price $34		2,187			102,789
HLT, Expiration July 2016, Exercise Price $21		1,188			204,930
Starwood Hotels & Resorts Worldwide, Inc., Expiration May 2016, Exercise Price $60		83			182,808
Starwood Hotels & Resorts Worldwide, Inc., Expiration May 2016, Exercise Price $67.5		284			433,810
HTZ, Expiration June 2016, Exercise Price $9		5,618			500,002
Humana Inc, Expiration May 2016, Exercise Price $170		148			148,740
Humana Inc, Expiration May 2016, Exercise Price $175		125			76,250
Huntsman Corp, Expiration May 2016, Exercise Price $10		447			252,555
MAR, Expiration June 2016, Exercise Price $70		77			17,710
MGM, Expiration June 2016, Exercise Price $19		2,390			651,275
NRF, Expiration June 2016, Exercise Price $14		1,180			41,300
Pfizer Inc, Expiration June 2016, Exercise Price $30		356			97,188
SIRI, Expiration June 2016, Exercise Price $4		937			6,559
T-Mobile Inc, Expiration May 2016, Exercise Price $36		1,297			450,708
WRITTEN CALL OPTIONS - (Premiums Received - $5,732,588)					6,206,860
WRITTEN PUT OPTIONS - (0.1)%
BAY, Expiration June 2016, Exercise Price $98		196			81,468
iShares iBoxx High Yield, Expiration June 2016, Exercise Price $71		288			2,160
iShares iBoxx High Yield, Expiration June 2016, Exercise Price $72		520			3,900
SPY, Expiration May 2016, Exercise Price $196		715			38,610
SPY, Expiration June 2016, Exercise Price $194		420			89,880
VIVENDI, Expiration June 2016, Exercise Price $17		1,259			131,187
TOTAL WRITTEN PUT OPTIONS - (Premiums Received - $475,993)					347,205
	Shares
SECURITIES SOLD SHORT * - (28.8)%
Abbott Laboratories		14,073			547,440
Aetna, Inc.		7,700			864,479
Alibaba Group Holding Ltd. - ADR		115,210			8,864,257
American Airlines Group, Inc.		5,300			183,857
Apollo Commercial Real Estate Finance, Inc.		53,000			844,290
AT&T, Inc.		34,900			1,354,818
Charter Communications, Inc.		33,213			7,049,127
Dow Chemical Co.		135,689			7,138,598
Energy Transfer Equity LP		50,028			621,848
Global Payments, Inc.		96			6,929
IHS, Inc.		3,490			429,898
Interval Leisure Group, Inc.		61,124			863,071
Johnson Controls, Inc.		216,713			8,971,918
KeyCorp		276,525			3,398,492
Lam Research Corp.		68,671			5,246,464
Liberty Global Plc LiLAC		0	+		17
Live Nation Entertainment, Inc.		44,007			945,270
Marriott International, Inc.		75,031			5,258,923
Microchip Technology, Inc.		5			243
Newell Brands, Inc.		41,404			1,885,538
Nexstar Broadcasting Group, Inc.		13,409			688,284
Pfizer, Inc.		18,260			597,285
Shire PLC		27,649			5,181,976
Sirius XM Holdings, Inc.		1,866,964			7,374,508
VMware, Inc.		17,329			986,193
Waste Connections, Inc.		15,256			1,026,424
Western Digital Corp.		12,984			530,591
Western Refining, Inc.		32,668			874,196
TOTAL SECURITIES SOLD SHORT - (Proceeds - $67,286,631)					71,734,934

See accompanying notes to financial statements.

15

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Monthly Distribution Fund (Continued)

April 30, 2016

	Unrealized
	Appreciation/
LONG EQUITY SWAP CONTRACTS - 0.7%	(Depreciation)
Allergan PLC Equity Swap, Bank of America - January 22, 2018	$	(470,844	)
to receive total return of Allergan PLC less USD- 3 Month LIBOR plus 0.72%
(NOTIONAL AMOUNT $1,810,500)
American International Group Equity Swap, JP Morgan - April 12, 2017		327,118
to receive total return of American International Group less USD- 3 Month LIBOR plus 0.69%
(NOTIONAL AMOUNT $7,257,831)
Apollo Residential Mortgage Equity Swap, JP Morgan - January 21, 2017		194,684
to receive total return of Apollo Residential Mortgage less USD- 3 Month LIBOR plus 0.79%
(NOTIONAL AMOUNT $1,297,393)
Apollo Residential Mortgage Equity Swap, JP Morgan - April 27, 2016		(35,652	)
to receive total return of Apollo Residential Mortgage less USD- 3 Month LIBOR plus 0.79%
(NOTIONAL AMOUNT $265,089)
Asciano Group Equity Swap, JP Morgan - August 21, 2016		181,104
to receive total return of Asciano Group less USD- 3 Month LIBOR plus 0.74%
(NOTIONAL AMOUNT $2,550,984)
AT&T, Inc. Equity Swap, JP Morgan - July 27, 2016		287,940
to receive total return of AT&T, Inc. less USD- 3 Month LIBOR plus 0.66%
(NOTIONAL AMOUNT $1,084,643)
Charter Communication CL Equity Swap, JP Morgan - August 26, 2016		(199,467	)
to receive total return of Charter Communication CL less USD- 3 Month LIBOR plus 0.97%
(NOTIONAL AMOUNT $1,412,070)
CYS Investments, Inc. Equity Swap, JP Morgan - May 06, 2016		(215,379	)
to receive total return of CYS Investments, Inc. less USD- 3 Month LIBOR plus 0.79%
(NOTIONAL AMOUNT $2,421,547)
Dow Chemical Co. Equity Swap, JP Morgan - February 03, 2017		362,196
to receive total return of Dow Chemical Co less USD- 3 Month LIBOR plus 0.64%
(NOTIONAL AMOUNT $2,911,902)
Eaton Vance Floating Rate, Inc. Equity Swap, JP Morgan - January 04, 2017		11,728
to receive total return of Eaton Vance Floating Rate, Inc. less USD- 3 Month LIBOR plus 1.14%
(NOTIONAL AMOUNT $195,346)
Eaton Vance Floating Rate, Inc. Equity Swap, JP Morgan - December 21, 2016		159,725
to receive total return of Eaton Vance Floating Rate, Inc. less USD- 3 Month LIBOR plus 1.14%
(NOTIONAL AMOUNT $2,820,261)
Equity Commonwealth Equity Swap, JP Morgan - March 16, 2017		48,522
to receive total return of Equity Commonwealth less USD- 3 Month LIBOR plus 0.79%
(NOTIONAL AMOUNT $1,942,162)
First Trust Four Corners Senior Floating Rate Equity Swap, JP Morgan - December 21, 2016		2,092
to receive total return of First Trust Four Corners Senior Floating Rate less USD- 3 Month LIBOR plus 1.03%
(NOTIONAL AMOUNT $45,325)
First Trust Four Corners Senior Floating Rate Equity Swap, JP Morgan - December 30, 2016		32,610
to receive total return of First Trust Four Corners Senior Floating Rate less USD- 3 Month LIBOR plus 1.03%
(NOTIONAL AMOUNT $688,241)
First Trust Four Corners Senior Floating Rate Equity Swap, JP Morgan - January 04, 2017		15,243
to receive total return of First Trust Four Corners Senior Floating Rate less USD- 3 Month LIBOR plus 1.03%
(NOTIONAL AMOUNT $312,869)
General Motors Co. Equity Swap, JP Morgan - December 14, 2016		(669,111	)
to receive total return of General Motors Co. less USD- 3 Month LIBOR plus 0.69%
(NOTIONAL AMOUNT $6,423,540)
Huntsman Corp. Equity Swap, JP Morgan - April 12, 2017		119,857
to receive total return of Huntsman Corp. less USD- 3 Month LIBOR plus 0.69%
(NOTIONAL AMOUNT $584,226)

See accompanying notes to financial statements.

16

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Monthly Distribution Fund (Continued)

April 30, 2016

	Unrealized
	Appreciation/
LONG EQUITY SWAP CONTRACTS (Continued) - 0.7%	(Depreciation)
Meda AB - February 15, 2017	$	190,806
to receive total return of Meda AB Fund less USD- 3 Month LIBOR plus 1.14%
(NOTIONAL AMOUNT $3,073,722)
Rexam PLC - April 11, 2017		7,724
to receive total return of Rexam PLC less USD- 3 Month LIBOR plus 0.53%
(NOTIONAL AMOUNT $233,804)
Sabmiller PLC Equity Swap, Bank of America - December 09, 2016		140,236
to receive total return of Sabmiller PLC less USD- 3 Month LIBOR plus 0.75%
(NOTIONAL AMOUNT $7,812,447)
Syngenta AG - February 15, 2017		25,727
to receive total return of Syngenta AG less USD- 3 Month LIBOR plus 0.74%
(NOTIONAL AMOUNT $1,720,145)
T-Mobile US, Inc. Equity Swap, JP Morgan - April 28, 2017		(48,094	)
to receive total return of T-Mobile US, Inc. less USD- 3 Month LIBOR plus 0.69%
(NOTIONAL AMOUNT $4,546,047)
TNT, Inc. Equity Swap, JP Morgan - August 13, 2016		55,243
to receive total return of TNT, Inc. less USD- 3 Month LIBOR plus 0.73%
(NOTIONAL AMOUNT $619,599)
Time Warner Cable, Inc. Equity Swap, JP Morgan - March 17, 2016		334,187
to receive total return of Time Warner Cable, Inc. less USD- 3 Month LIBOR plus 0.63%
(NOTIONAL AMOUNT $2,643,040)
Time Warner Cable, Inc. Equity Swap, JP Morgan - March 18, 2017		811,104
to receive total return of Time Warner Cable, Inc. less USD- 3 Month LIBOR plus 0.63%
(NOTIONAL AMOUNT $9,285,332)
Vivendi Equity Swap, JP Morgan - July 01, 2016		(2,324	)
to receive total return of Vivendi less USD- 3 Month LIBOR plus 0.74%
(NOTIONAL AMOUNT $969)
Voya Prime Rate Equity Swap, JP Morgan - December 21, 2016		(1,065,282	)
to receive total return of Voya Prime Rate less USD- 3 Month LIBOR plus 0.64%
(NOTIONAL AMOUNT $804,134)
Voya Prime Rate Equity Swap, JP Morgan - December 21, 2016		1,073,999
to receive total return of Voya Prime Rate less USD- 3 Month LIBOR plus 0.64%
(NOTIONAL AMOUNT $160,173)
TOTAL LONG EQUITY SWAP CONTRACTS		1,675,692
SHORT EQUITY SWAP CONTRACTS- (0.1)%
Ball Corp. - April 11, 2017		459
to pay total return of Ball Corp. less USD- 3 Month LIBOR plus 0.74%
(NOTIONAL AMOUNT $86,686)

See accompanying notes to financial statements.

17

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Monthly Distribution Fund (Continued)

April 30, 2016

	Unrealized
	Appreciation/
SHORT EQUITY SWAP CONTRACTS- (0.1)% (Continued)	(Depreciation)
Mylan NV - February 17, 2017	$	(563	)
to pay total return of Mylan NV Fund less USD- 3 Month LIBOR plus 1.14%
(NOTIONAL AMOUNT $359,884)
Shire PLC. Equity Swap, JP Morgan - February 01, 2017		(119,692	)
to pay total return of Shire PLC. less USD- 3 Month LIBOR plus 0.64%
(NOTIONAL AMOUNT $698,065)
TOTAL SHORT EQUITY SWAP CONTRACTS		(119,796	)
TOTAL EQUITY SWAP CONTRACTS	$	1,555,896

Portfolio Composition * - (Unaudited)
Consumer, Non-cyclical	18.5	%	Financial	11.1	%
Communications	12.8	%	Technology	9.5	%
Basic Materials	12.5	%	Industrial	6.8	%
Consumer, Cyclical	12.5	%	Collateral For Securities Loaned	3.6	%
Short-Term Investment	11.3	%	Energy	1.4	%
			Total	100.0	%

^* Based on total value of investments as of April 30, 2016.

Percentage may differ from Schedule of Investments which is based on Fund net assets.

See accompanying notes to financial statements.

18

Dunham Corporate/Government Bond Fund

Message from the Sub-Adviser (Newfleet Asset Management, LLC)

Investment-grade bonds, as measured by the Barclays Aggregate Bond Index, gained 2.8 percent in the six-month period ended April 30, 2016 after a 0.1 percent decrease during the previous fiscal six-month period. Treasuries in the middle of the yield curve, as measured by the BofA ML Treasuries 5-7 Years Index, ended the fiscal six-month period up 2.8 percent as well, while long-term Treasuries, as measured by the BofA ML Treasuries 10+ Years Index, saw an increase of 6.4 percent over the same six months. Corporate bonds, as measured by the BofA ML U.S. Corporate Bond Master Index, outpaced intermediate-term Treasury bonds, rising 4.2 percent over the fiscal six-month period. High-yield bonds, as measured by the BofA ML High-Yield Bond Cash Pay Index, gained 2.3 percent, underperforming the intermediate-term Treasury bonds by 0.5 percent during the period.

The Fund continued to balance risk versus reward by choosing to emphasize lower duration bonds and overweighting lower credit quality securities, in anticipation of rising interest rates which did not materialize. The Fund began the six-month period with an average effective duration of 4.81 years and ended the period with an average effective duration of 4.85 years, while the benchmark index had an average effective duration of 5.64 years and 5.51 years, respectively. This allocation generally detracted from performance of the Fund as Treasury yields fluctuated in a relatively wide range of 68 basis points. The 10-year Treasury yield went from a high of 2.34 percent in early November to a low of 1.66 percent in mid-February, before settling at 1.83 percent to end the fiscal six-month period. The overweight to residential mortgage-backed securities was the single largest contributor to performance over the six-month period. The Sub-Adviser maintained an overweight to the sector, investing over six percent of the Fund in such securities while the index held less than one percent.

A contributors to the Fund during the first half of the fiscal six-month period included Bayview Financial Acquisition Trust 6.078% due 2/28/2041 (07325NCS9) (holding percentage*: 1.14 percent), a mortgage investment firm focused on investments in mortgage credit, including whole loans, mortgage and asset-backed securities, servicing rights, and mortgage-related equities. The residential mortgage-backed security did well, returning 0.5 percent through January 31, 2016. This was due to the high quality rating of AAA/A2, strong fixed coupo n of 6 percent, and limited global macro correlation of non-agency residential mortgage securities. A contributor to the Fund during the second half of the fiscal six-month period included Hess Corporation 5.600% due 2/15/2041 (42809HAD9) (holding percentage*: 0.21 percent), a global independent energy company engaged in the exploration and production of crude oil and natural gas. The rally in oil prices since 1/31/2016 through the end of the fiscal quarter significantly benefited the company. From the time the Sub-Adviser bought the bonds on 3/8/2016 through the end of the fiscal six-month period, the bonds returned 13.9 percent.

A detractor from the Fund during the first half of the fiscal six-month period included Scientific International, Inc. 6.625% due 5/15/2021 (80874YAQ3) (holding percentage*: 0.08 percent), develops and services lottery games and wagering systems. The company reported weaker than expected top line and EBITDA results in the third quarter due to weaker than expected gaming machine sales as a result of challenging industry conditions and a lengthening slot machine replacement cycle. Combined with high leverage, this led to the underperformance of the subordinated notes, which reside at the bottom of the company’s capital structure. The bonds declined 29.3 percent by January 31, 2016. A detractor from the Fund during the second half of the fiscal six-month period was York Risk Services Holding Corp. 8.500% due 10/1/2022 (68276KAA7) (holding percentage**: 0.09 percent), a company that administers workers compensation claims and tries to reduce associated healthcare costs. Following weak full-year 2015 earnings, York continued to underperform. The company is struggling to grow organically and has been unable to produce meaningful cash flows. The bonds are not followed by many investors, meaning that bond price moves tend to be large. The bonds declined 14.4 percent in the second half of the fiscal period through 4/5/2016, at which time the Sub-Adviser sold the bonds.

The Sub-Adviser continued to heavily underweight government bonds which detracted from performance relative to the benchmark, despite a positive impact from security selection, as Treasuries rose over the fiscal six-month period.

The Fund’s investment-grade corporate bond holdings generally hindered performance. The slight underperformance of investment-grade corporate bonds in the Fund relative to the benchmark was primarily due to a lower duration bias. Considering the Fund was overweight the sector relative to the benchmark, this detracted from performance for the fiscal six-month period.

The Sub-Adviser believes that we will continue to experience the same challenges that have been at the forefront for the past year or longer, including global economic concerns and oil prices. The Sub-Adviser expects that GDP growth in the U.S. will be adequate to support corporate America and believes that two subsequent interest rate increases are likely in 2016, although the timing of each remains uncertain. The Sub-Adviser expects interest rates on the 10-year U.S. Treasury to be in the range of 1.75 percent to 2.50 percent by the end of the year. The Sub-Adviser continues to believe it is important to stay diversified and granular, keeping small positions and maintaining liquidity. The Sub-Adviser has reduced its below-investment-grade and oil exposure and upgraded to more conservative industries, although it does not expect default levels, ex-energy, to increase too much. The Sub-Adviser believes that the prospect of continued volatility in the bond market will present opportunities and feels they are positioned well to take advantage of those opportunities as they arise.

* Holdings Percentage(s) as of 4/30/2016.

** Holdings Percentage(s) as of the date prior to the sales of the security.

Growth of $100,000 Investment - (Unaudited)

Total Returns as of April 30, 2016

			Annualized	Annualized	Annualized	Annualized Since Inception
	Six Months	One Year	Three Years	Five Years	Ten Years	(12/10/04)
Class N	1.79%	0.86%	1.28%	3.07%	4.73%	4.23%
Class C	1.43%	0.11%	0.52%	2.30%	3.95%	3.46%
Class A with load of 4.50%	(2.93)%	(3.96)%	(0.54)%	1.87%	N/A	3.64%*
Class A without load	1.66%	0.54%	1.01%	2.81%	N/A	4.15%*
Barclays Aggregate Bond Index	2.82%	2.72%	2.29%	3.60%	4.95%	4.72%
Morningstar Intermediate-Term Bond Category	2.33%	1.60%	1.72%	3.34%	4.38%	3.95%

* Class A commenced operations on January 3, 2007.

The Barclays Aggregate Bond Index is an unmanaged index which represents the U.S. investment-grade fixed-rate bond market (including government and corporate securities, mortgage pass-through securities and asset-backed securities). Investors cannot invest directly in an index or benchmark.

The Morningstar Intermediate-Term Bond Category is generally representative of intermediate-term bond mutual funds that primarily invest in corporate and other investment-grade U.S. fixed-income securities and typically have durations of 3.5 to 6.0 years.

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.06% for Class N, 1.81% for Class C and 1.31% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

19

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
CORPORATE BONDS & NOTES - 57.5%
AEROSPACE / DEFENSE - 0.2%
TransDigm, Inc.	$	75,000		6.000	%	7/15/2022	$	76,290
TransDigm, Inc.		35,000		6.500		5/15/2025		35,306
								111,596
AIRLINES ABS - 0.6%
Air Canada 2013-1 Class B Pass Through Trust - 144A		96,907		5.375		5/15/2021		96,815
Continental Airlines 2009-2 Class A Pass Through Trust		216,156		7.250		11/10/2019		244,526
								341,341
AUTO MANUFACTURERS - 0.9%
Ford Motor Credit Co. LLC.		270,000		5.750		2/1/2021		308,078
General Motors Financial Co., Inc.		105,000		3.500		7/10/2019		108,658
General Motors Financial Co., Inc.		60,000		4.200		3/1/2021		63,299
								480,035
AUTO PARTS & EQUIPMENT - 0.8%
Delphi Automotive PLC		105,000		3.150		11/19/2020		107,066
Meritor, Inc.		160,000		6.750		6/15/2021		152,000
MPG Holdco I, Inc. ^		105,000		7.375		10/15/2022		105,525
TI Group Automotive Systems, LLC - 144A		60,000		8.750		7/15/2023		59,100
								423,691
AUTOMOBILE ABS - 2.9%
California Republic Auto Receivables Trust 2014-3 A4		390,000		1.790		3/16/2020		390,783
Capital Auto Receivables Asset Trust / Ally 2013-1 C		590,000		1.740		10/22/2018		590,675
Drive Auto Receivables Trust 2015-D - 144A		165,000		3.380		11/15/2021		164,280
Flagship Credit Auto Trust 2016-1 A - 144A		168,736		2.770		12/15/2020		169,469
Ford Credit Auto Owner Trust 2013-B D		194,000		1.820		11/15/2019		193,956
								1,509,163
BANKS - 8.8%
Banco de Credito del Peru - 144A		120,000		6.125	+	4/24/2027		130,440
Banco de Credito e Inversiones - 144A		325,000		4.000		2/11/2023		337,823
Banco Internacional del Peru SAA -144A		200,000		6.625	+	3/19/2029		209,000
Banco Santander Chile - 144A		150,000		3.875		9/20/2022		157,712
Bank of America Corp.		55,000		2.000		1/11/2018		55,278
Bank of America Corp.		175,000		5.625		7/1/2020		196,838
Bank of America Corp. ^		285,000		4.450		3/3/2026		295,492
Bank of New York Mellon		135,000		2.800		5/4/2026		136,165
Bank of New York Mellon		110,000		4.950	+	Perpetual		109,978
Barclays Bank PLC - 144A		270,000		6.050		12/4/2017		286,063
Capital One Financial Corp.		135,000		4.200		10/29/2025		138,244
Citigroup, Inc.		130,000		4.050		7/30/2022		136,271
Citigroup, Inc.		160,000		6.250	+	Perpetual		164,800
Citizens Financial Group, Inc. - 144A		110,000		5.500	+	Perpetual		105,325
Goldman Sachs Group, Inc.		185,000		5.750	+	1/24/2022		213,178
Goldman Sachs Group, Inc.		75,000		5.700	+	Perpetual		73,125
JPMorgan Chase & Co.		40,000		6.125		6/27/2017		42,139
JPMorgan Chase & Co.		35,000		5.300	+	Perpetual		35,087
Macquarie Bank Ltd. - 144A		17,000		6.625		4/7/2021		19,361
Morgan Stanley		185,000		4.100		5/22/2023		191,564
Morgan Stanley		150,000		4.350		9/8/2026		155,321
Morgan Stanley		225,000		6.375		7/24/2042		298,384
PNC Financial Services Group, Inc.		255,000		4.850	+	Perpetual		244,800
SunTrust Banks, Inc.		30,000		5.625	+	Perpetual		29,775
UBS AG		650,000		7.625		8/17/2022		749,265
Zions Bancorporation		115,000		4.500		6/13/2023		116,500
								4,627,928
BEVERAGES - 0.4%
Anheuser-Busch InBev Finance, Inc.		65,000		3.3000		2/1/2023		67,803
Anheuser-Busch InBev Finance, Inc.		135,000		3.6500		2/1/2026		142,474
Constellation Brands, Inc.		25,000		4.7500		12/1/2025		26,656
								236,933
BIOTECHNOLOGY - 0.0%
Concordia Healthcare Corp. - 144A		5,000		7.000		4/15/2023		4,662

See accompanying notes to financial statements.

20

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
BUILDING MATERIALS - 0.3%
Masco Corp.	$	50,000		3.500	%	4/1/2021	$	51,000
Masco Corp.		60,000		5.950		3/15/2022		67,425
Masco Corp.		25,000		4.450		4/1/2025		26,219
								144,644
CHEMICALS - 0.8%
Methanex Corp.		130,000		4.250		12/1/2024		111,813
New Market Corp.		305,000		4.100		12/15/2022		309,964
								421,777
COMMERCIAL MBS - 5.8%
Aventura Mall Trust 2013-AVM A - 144A		155,000		3.743	+	12/5/2032		166,713
Aventura Mall Trust 2013-AVM C - 144A		100,000		3.743	+	12/5/2032		103,982
CD 2007-CD4 Commercial Mortgage Trust		103,690		5.322		12/11/2049		105,460
Citigroup Commercial Mortgage Trust 2007-C6 A4		290,000		5.711	+	12/10/2049		300,674
Citigroup Commercial Mortgage Trust 2008-C7 AM		95,000		6.140	+	12/10/2049		97,743
DBUBS 2011-LC3 Mortgage Trust -LC3A Class D - 144A		105,000		5.468	+	8/10/2044		108,223
FREMF 2015-K720 Mortgage Trust - 144A		115,000		3.389	+	7/25/2022		107,624
GAHR Commercial Mortgage Trust 2015-NRF CFX - 144A		105,000		3.382	+	12/15/2019		105,185
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 A4		470,000		5.882	+	2/15/2051		484,444
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 A3 - 144A		98,709		4.106		7/15/2046		103,047
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 A4 - 144A		100,000		4.388		7/15/2046		109,096
LB Commercial Mortgage Trust 2007- C3 A4		107,922		5.923	+	7/15/2044		112,698
LB-UBS Commercial Mortgage Trust 2007-C7 A3		62,414		5.866	+	9/15/2045		65,721
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 AS		240,000		4.266		11/15/2046		264,408
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26 C		135,000		4.411	+	10/15/2048		134,186
Morgan Stanley Capital I Trust 2007-IQ14 AM		224,000		5.681	+	4/15/2049		223,419
Motel 6 Trust CMO 2015-MTL6 Class B - 144A		170,000		3.298		2/5/2030		171,084
Wells Fargo Commercial Mortgage Trust 2015-LC20 B		165,000		3.719		4/15/2050		168,714
WFRBS Commercial Mortgage Trust 2011-C5 - 144A		100,000		5.654	+	11/15/2044		108,518
								3,040,939
COMMERCIAL SERVICES - 1.4%
ADT Corp.		100,000		6.250		10/15/2021		103,952
Ahern Rentals, Inc.- 144A		115,000		7.375		5/15/2023		88,262
Harland Clarke Holdings Corp. - 144A		70,000		6.875		3/1/2020		64,050
New York University		55,000		4.142		7/1/2048		54,226
Prime Security Services Borrower LLC / Prime Finance, Inc. - 144A		55,000		9.250		5/15/2023		57,338
S&P Global, Inc.		140,000		4.000		6/15/2025		148,557
Team Health, Inc. - 144A		5,000		7.250		12/15/2023		5,322
United Rentals North America, Inc.		55,000		5.500		7/15/2025		54,902
Verisk Analytics, Inc.		135,000		4.000		6/15/2025		138,410
								715,019
COMPUTERS - 0.5%
Apple, Inc.		45,000		2.850		2/23/2023		46,471
Apple, Inc.		125,000		3.250		2/23/2026		130,932
Hewlett Packard Enterprise Co. - 144A ^		80,000		4.900		10/15/2025		83,186
Western Digital Corp. - 144A		15,000		7.375		4/1/2023		15,178
								275,767
DIVERSIFIED FINANCIAL SERVICES - 0.8%
Air Lease Corp.		140,000		2.625		9/4/2018		139,141
Ally Financial, Inc. ^		70,000		3.250		11/5/2018		70,000
Jefferies Group LLC		60,000		6.875		4/15/2021		67,304
Macquarie Group Ltd.- 144A		125,000		6.250		1/14/2021		142,427
								418,872
ELECTRIC - 1.2%
Calpine Corp.		89,000		5.375		1/15/2023		90,224
Dynegy, Inc.		145,000		7.375		11/1/2022		143,953
Electricite de France SA - 144A		165,000		5.250	+	Perpetual		159,662
NRG Yield Operating LLC		40,000		5.375		8/15/2024		37,800
Southern Power Co.		170,000		4.150		12/1/2025		177,939
								609,578
ELECTRONICS - 0.3%
Flextronics International Ltd.		135,000		4.750		6/15/2025		135,338

See accompanying notes to financial statements.

21

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
ENERGY - ALTERNATE RESOURCES - 0.2%
TerraForm Power Operating LLC. - 144A	$	110,000		5.875	%	2/1/2023	$	96,525
ENTERTAINMENT - 0.7%
Churchill Downs, Inc. - 144A		35,000		5.375		12/15/2021		36,137
GLP Capital LP / GLP Financing II Inc.		50,000		4.875		11/1/2020		53,000
GLP Capital LP / GLP Financing II Inc.		5,000		4.375		4/15/2021		5,125
GLP Capital LP / GLP Financing II Inc.		10,000		5.375		11/1/2023		10,463
GLP Capital LP / GLP Financing II Inc.		15,000		5.375		4/15/2026		15,675
Penn National Gaming Inc. ^		120,000		5.875		11/1/2021		123,300
Pinnacle Entertainment, Inc. - 144A		80,000		5.625		5/1/2024		80,100
Scientific Games International, Inc.		65,000		6.625		5/15/2021		41,438
								365,238
FOOD - 0.4%
Safeway, Inc.		85,000		7.250		2/1/2031		83,513
Whole Foods Market, Inc. - 144A		110,000		5.200		12/3/2025		116,062
								199,575
GAS - 0.2%
NGL Energy Partners LP		105,000		5.125		7/15/2019		88,725
HEALTHCARE PRODUCTS - 0.5%
Alere, Inc. - 144A		40,000		6.375		7/1/2023		41,000
Crimson Merger Sub, Inc. - 144A		80,000		6.625		5/15/2022		67,200
Fresenius US Finance II, Inc. - 144A		25,000		4.500		1/15/2023		25,750
Kinetic Concepts, Inc. / KCI USA, Inc. - 144A		10,000		7.875		2/15/2021		10,838
Mallinckrodt International Finance SA -144A		115,000		5.625		10/15/2023		108,388
								253,176
HEALTHCARE - SERVICES - 1.6%
Acadia Healthcare Co., Inc.		45,000		5.125		7/1/2022		45,844
Acadia Healthcare Co., Inc.		10,000		5.625		2/15/2023		10,275
Centene Escrow Corp. - 144A		50,000		5.625		2/15/2021		52,750
CHS/Community Health Systems, Inc.		30,000		5.125		8/1/2021		30,237
HCA, Inc.		170,000		5.375		2/1/2025		174,038
HCA, Inc.		50,000		5.250		6/15/2026		52,063
IASIS Healthcare LLC / IASIS Capital Corp.		70,000		8.375		5/15/2019		67,200
MEDNAX, Inc. - 144A		65,000		5.250		12/1/2023		67,437
Surgery Center Holdings, Inc. - 144A		80,000		8.875		4/15/2021		80,200
Surgical Care Affiliates, Inc. - 144A		110,000		6.000		4/1/2023		111,650
Tenet Healthcare Corp. - 144A		130,000		4.134	+	6/15/2020		130,812
								822,506
HOLDING COMPANIES - DIVERSIFIED - 0.8%
Argos Merger Sub, Inc. - 144A ^		100,000		7.125		3/15/2023		102,500
Hutchison Whampoa International 12 Ltd. - 144A		185,000		6.000	+	Perpetual		191,938
Leucadia National Corp.		105,000		5.500		10/18/2023		103,900
								398,338
HOME BUILDERS - 0.9%
M/I Homes, Inc. - 144A		70,000		6.750		1/15/2021		70,350
MDC Holdings, Inc.		130,000		5.500		1/15/2024		126,750
Toll Brothers Finance Corp.		155,000		4.875		11/15/2025		156,550
TRI Pointe Holdings, Inc.		110,000		5.875		6/15/2024		111,100
								464,750
HOME EQUITY ABS - 2.0%
Bayview Financial Mortgage Pass-Through Trust 2006-A 1A4 (a)		560,000		6.087		2/28/2041		598,657
GSAA Trust 2005-1 AF4 (a)		304,051		5.619		11/25/2034		315,740
NovaStar Mortgage Funding Trust Series 2004-4		140,000		2.171	+	3/25/2035		136,414
								1,050,811
HOUSEWARES - 0.1%
Newell Brands, Inc. - 144A		15,000		5.000		11/15/2023		15,903
Newell Brands, Inc.		15,000		4.200		4/1/2026		15,866
Newell Brands, Inc.		40,000		5.500		4/1/2046		44,604
								76,373

See accompanying notes to financial statements.

22

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
INSURANCE - 1.8%
Allstate Corp.	$	200,000		5.750	%, +	8/15/2053	$	206,125
Berkshire Hathaway, Inc.		15,000		2.750		3/15/2023		15,486
Berkshire Hathaway, Inc.		30,000		3.125		3/15/2026		31,280
Manulife Financial Corp.		130,000		4.150		3/4/2026		135,461
Prudential Financial, Inc.		245,000		5.625	+	6/15/2043		255,662
Teachers Insurance & Annuity Association of America - 144A		110,000		4.375	+	9/15/2054		105,374
Trinity Acquisition PLC		10,000		3.500		9/15/2021		10,216
Trinity Acquisition PLC		50,000		4.400		3/15/2026		51,102
Voya Financial, Inc.		125,000		5.650	+	5/15/2053		117,219
								927,925
INTERNET - 0.3%
Priceline Group, Inc.		140,000		3.650		3/15/2025		143,625
INVESTMENT COMPANIES - 0.4%
Ares Capital Corp.		18,000		4.875		11/30/2018		18,598
Ares Capital Corp.		49,000		3.870		1/15/2020		50,148
FS Investment Corp.		110,000		4.250		1/15/2020		111,658
FS Investment Corp.		40,000		4.750		5/15/2022		39,580
								219,984
IRON / STEEL - 0.5%
Carpenter Technology Corp.		300,000		4.450		3/1/2023		281,980
LODGING - 0.7%
Boyd Gaming Corp.		110,000		9.000		7/1/2020		116,132
Boyd Gaming Corp.		55,000		6.875		5/15/2023		57,337
MGM Growth Properties Operating Partnerships LP - 144A		15,000		5.625		5/1/2024		15,675
Station Casinos LLC		170,000		7.500		3/1/2021		180,168
								369,312
MEDIA - 1.0%
CCO Holdings LLC - 144A		140,000		5.125		5/1/2023		143,150
CCO Holdings LLC - 144A		90,000		5.750		2/15/2026		93,150
CCO Holdings LLC - 144A		85,000		5.500		5/1/2026		86,913
Cequel Communications Holdings I LLC / Cequel Capital Corp. - 144A		105,000		5.125		12/15/2021		99,487
Clear Channel Worldwide Holdings, Inc.		115,000		7.625		3/15/2020		107,166
								529,866
MINING - 0.1%
Freeport-McMoran, Inc.		70,000		3.875		3/15/2023		58,975
MISCELLANEOUS MANUFACTURING - 0.9%
Bombardier, Inc. - 144A		105,000		4.750		4/15/2019		98,175
General Electric Co.		341,000		5.000	+	Perpetual		354,640
								452,815
OIL & GAS - 2.3%
Anadarko Petroleum Corp.		25,000		4.850		3/15/2021		26,105
Anadarko Petroleum Corp.		40,000		5.550		3/15/2026		42,955
Anadarko Petroleum Corp.		50,000		6.600		3/15/2046		56,788
Antero Resources Corp. - 144A		60,000		5.625		6/1/2023		58,500
Carrizo Oil & Gas, Inc.		120,000		6.250		4/15/2023		115,800
Cimarex Energy Co.		80,000		4.375		6/1/2024		81,636
Concho Resources, Inc.		55,000		5.500		4/1/2023		55,688
ConocoPhillips Co.		65,000		4.950		3/15/2026		71,989
ConocoPhillips Co. ^		25,000		5.950		3/15/2046		30,392
Continental Resources, Inc. ^		75,000		5.000		9/15/2022		70,406
Continental Resources, Inc.		45,000		4.500		4/15/2023		40,416
Exxon Mobil Corp.		35,000		2.726		3/1/2023		35,852
Exxon Mobil Corp.		70,000		3.043		3/1/2026		72,589
Helmerich & Payne International Drilling Co.		80,000		4.650		3/15/2025		82,768
Hess Corp.		110,000		5.600		2/15/2041		108,380
Occidental Petroleum Corp.		15,000		3.400		4/15/2026		15,537
Range Resources Corp.		90,000		5.000		3/15/2023		83,475
Sunoco Finance Corp. - 144A		155,000		6.375		4/1/2023		158,100
								1,207,376

See accompanying notes to financial statements.

23

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund (Continued)

April 30, 2016

	Principal			Interest			Maturity
Security	Amount			Rate			Date	Value
OIL & GAS SERVICES - 0.2%
Weatherford International Ltd.	$	110,000			9.625	%	3/1/2019	$	116,050
PACKAGING & CONTAINERS - 0.2%
Berry Plastics Corp.		105,000			5.125		7/15/2023		106,313
PHARMACEUTICALS - 0.7%
AbbVie, Inc. ^		45,000			3.600		5/14/2025		47,241
Capsugel SA - 144A (b)		15,000			7.000		5/15/2019		15,112
Endo Ltd. - 144A ^		80,000			6.000		7/15/2023		78,900
JLL/Delta Dutch Pledge Co. BV - 144A (b)		55,000			8.750		5/1/2020		54,588
Mylan NV - 144A		35,000			3.000		12/15/2018		35,626
Owens & Minor, Inc.		25,000			3.875		9/15/2021		25,696
Quintiles Transnational Corp. - 144A		55,000			4.875		5/15/2023		56,581
Valeant Pharmaceuticals International, Inc. - 144A		40,000			5.500		3/1/2023		34,200
Zoetis, Inc.		35,000			3.450		11/13/2020		36,087
									384,031
PIPELINES - 0.9%
Blue Racer Midstream LLC - 144A		30,000			6.125		11/15/2022		26,700
Kinder Morgan, Inc. ^		130,000			4.300		6/1/2025		129,094
MPLX LP - 144A		110,000			4.875		12/1/2024		107,399
Sabine Pass Liquefaction LLC		100,000			6.250		3/15/2022		101,750
TransCanada Trust		110,000			5.625	+	5/20/1975		99,000
									463,943
PRIVATE EQUITY - 0.4%			��
Apollo Management Holdings LP - 144A		135,000			4.000		5/30/2024		136,574
Icahn Enterprises Finance Corp.		10,000			4.875		3/15/2019		9,975
Icahn Enterprises Finance Corp.		45,000			5.875		2/1/2022		43,144
									189,693
REAL ESTATE - 1.3%
American Campus Communities Operating Partnership LP		20,000			3.350		10/1/2020		20,534
American Homes 4 Rent 2014-SFR2 C Trust - 144A		130,000			4.705		10/17/2036		136,356
American Homes 4 Rent 2015-SFR2 C Trust - 144A		120,000			4.691		10/17/2045		125,168
B2R Mortgage Trust 2015-1 A1 - 144A		96,674			2.524		5/15/2048		94,168
CWABS Asset-Backed Certificates 2005-1 AF5A (a)		281,086			5.147		7/25/2035		278,956
Sierra Timeshare 2014-2A A Receivables Funding LLC - 144A		38,223			2.050		6/20/2031		38,045
									693,227
REITS - 4.6%
American Tower Corp.		120,000			3.300		2/15/2021		123,836
Brixmor Operating Partnership LP		35,000			3.875		8/15/2022		35,424
Corporate Office Properties LP		90,000			3.700		6/15/2021		89,785
Corporate Office Properties LP		315,000			3.600		5/15/2023		298,908
Corrections Corp of America		90,000			5.000		10/15/2022		94,387
Crown Castel International Corp.		15,000			3.700		6/15/2026		15,262
Digital Realty Trust LP		160,000			5.250		3/15/2021		176,580
Digital Realty Trust LP		55,000			3.950		7/1/2022		56,310
Education Realty Operating Partnership LP		135,000			4.600		12/1/2024		135,480
ESH Hospitality, Inc. - 144A		100,000			5.250		5/1/2025		99,125
Healthcare Realty Trust, Inc.		90,000			3.875		5/1/2025		87,976
Healthcare Trust of America Holdings LP		50,000			3.375		7/15/2021		50,206
Highwoods Realty LP		150,000			3.625		1/15/2023		150,002
iStar Financial, Inc.		140,000			5.000		7/1/2019		136,500
Kilroy Realty LP		135,000			4.375		10/1/2025		142,841
Kimco Realty Corp.		135,000			3.400		11/1/2022		138,396
MPT Operating Partnership LP / MPT Finance Corp.		15,000			6.375		3/1/2024		16,050
MPT Operating Partnership LP / MPT Finance Corp.		60,000			5.500		5/1/2024		60,900
National Retail Properties, Inc.		40,000			4.000		11/15/2025		41,534
Retail Opportunity Investments Partnership LP		105,000			4.000		12/15/2024		100,524
Select Income REIT		140,000			4.500		2/1/2025		135,419
Welltower, Inc.		145,000			4.000		6/1/2025		148,967
WP Carey, Inc.		110,000			4.600		4/1/2024		111,389
									2,445,801

See accompanying notes to financial statements.

24

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
RETAIL - 1.5%
AmeriGas Finance Corp. ^	$	95,000		7.000	%	5/20/2022	$	100,819
Landry’s, Inc. - 144A		115,000		9.375		5/1/2020		121,037
Party City Holdings, Inc. - 144A		15,000		6.125		8/15/2023		15,755
QVC, Inc.		310,000		4.375		3/15/2023		309,990
Rite Aid Corp. - 144A		30,000		6.125		4/1/2023		32,081
Signet UK Finance PLC		135,000		4.700		6/15/2024		133,236
Tops Holding LLC / Tops Markets II Corp. - 144A		110,000		8.000		6/15/2022		99,000
								811,918
SEMICONDUCTOR - 0.3%
KLA-Tencor Corp.		140,000		4.650		11/1/2024		146,421
SOFTWARE - 0.4%
Electronic Arts, Inc.		20,000		3.700		3/1/2021		20,933
Fidelity National Information Services, Inc.		50,000		3.625		10/15/2020		52,365
First Data Corp. - 144A		155,000		5.000		1/15/2024		157,131
								230,429
TELECOMMUNICATIONS - 2.2%
AT&T, Inc.		315,000		3.875		8/15/2021		338,189
CenturyLink, Inc.		95,000		7.500		4/1/2024		95,475
Frontier Communications Corp.		75,000		6.250		9/15/2021		70,125
Frontier Communications Corp. - 144A		15,000		10.500		9/15/2022		15,489
Sprint Corp.		170,000		7.250		9/15/2021		138,125
Telefonica Emisiones SAU		265,000		4.570		4/27/2023		292,032
T-Mobile USA, Inc.		100,000		6.500		1/15/2026		106,375
Windstream Corp.		115,000		7.750		10/15/2020		104,591
								1,160,401
TRUCKING & LEASING - 0.1%
Penske Truck Leasing Co. LP - 144A		55,000		3.375		2/1/2022		55,391
WHOLE LOAN COLLATERAL CMO - 3.6%
Agate Bay Mortgage Trust 2016-2 A3 - 144A		96,584		3.500	+	3/25/2046		98,590
Banc of America Funding 2005-1 1A1		65,660		5.500		2/25/2035		65,897
Citigroup Mortgage Loan Trust, Inc. 2004-NCM2 2CB2		71,336		6.750		8/25/2034		74,686
Citigroup Mortgage Loan Trust, Inc. 2004-UST1 A3		88,656		2.413	+	8/25/2034		88,562
CSMLT 2015-1 A9 - 144A		91,030		3.500	+	5/25/2045		92,897
Freddie Mac Structured Agency Credit Risk Debt Notes		250,000		2.096	+	4/25/2024		248,410
JP Morgan Mortgage Trust 2015-4 1A4		96,743		3.500	+	6/25/2045		98,751
MASTR Alternative Loans Trust 2004-4 6A1		88,552		5.500		4/25/2034		92,008
Residential Asset Securitization Trust 2005-A1		116,867		5.500		4/25/2035		116,930
Sequoia Mortgage trust 2015-1 A1 - 144A		122,801		3.500	+	1/25/2045		124,833
Structured Adjustable Rate Mortgage Loan Trust 2004-4 3A2		163,947		2.896	+	4/25/2034		162,669
Towd Point Mortgage Trust 2015-3 A1B - 144A		162,071		3.000	+	3/25/2054		163,906
WaMu Mortgage Pass-Through Certificates Series 2003-S8 A2 Trust		66,015		5.000		9/25/2018		66,810
WinWater Mortgage Loan Trust 2014-1 A1 - 144A		66,884		3.942	+	6/20/2044		69,657
WinWater Mortgage Loan Trust 2014-3 A4 - 144A		138,978		3.500	+	11/20/2044		142,245
WinWater Mortgage Loan Trust 2016-1 1A5 - 144A		194,725		3.500	+	1/20/2046		201,108
								1,907,959
TOTAL CORPORATE BONDS & NOTES (Cost - $29,819,258)								30,216,735
FOREIGN GOVERNMENT BONDS - 0.8%
Argentine Republic Government International Bond - 144A		150,000		7.625		4/22/2046		147,900
El Salvador Government International Bond - 144A		105,000		6.375		1/18/2027		92,925
Hungary Government International Bond		95,000		6.375		3/29/2021		108,318
Poland Government International Bond		85,000		3.250		4/6/2026		85,111
TOTAL FOREIGN GOVERNMENT BONDS (Cost - $ 442,291)								434,254
MUNICIPAL - 1.8%
City of Chicago IL Wastewater Transmission Revenue		25,000		5.180		1/1/2027		26,443
Rockdale County Water & Sewerage Authority		305,000		3.060		7/1/2024		319,326
San Diego County Regional Airport Authority		325,000		5.594		7/1/2043		356,684
State of Texas		245,000		3.011		10/1/2026		252,277
TOTAL MUNICIPAL - (Cost - $900,000)								954,730

See accompanying notes to financial statements.

25

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
U.S. GOVERNMENT & AGENCY - 31.9%
U.S. GOVERNMENT AGENCY - 10.9%
Fannie Mae Pool 310041	$	124,362		6.500	%	5/1/2037	$	144,984
Fannie Mae Pool 735061		38,789		6.000		11/1/2034		44,577
Fannie Mae Pool 866009		43,915		6.000		3/1/2036		50,111
Fannie Mae Pool 909175		50,419		5.500		4/1/2038		58,498
Fannie Mae Pool 909220		120,293		6.000		8/1/2038		139,607
Fannie Mae Pool 938574		294,646		5.500		9/1/2036		332,036
Fannie Mae Pool 962752		39,554		5.000		4/1/2038		44,669
Fannie Mae Pool AA7001		231,067		5.000		6/1/2039		257,954
Fannie Mae Pool AL3166		262,493		3.000		3/1/2043		269,013
Fannie Mae Pool AS 5596		437,098		3.500		8/1/2045		458,344
Fannie Mae Pool AS 5634		400,523		3.000		8/1/2045		411,054
Fannie Mae Pool AS 5696		441,105		3.500		8/1/2045		462,545
Fannie Mae Pool AS 6386		1,060,645		3.000		12/1/2045		1,088,533
Fannie Mae Pool AS 7003		499,497		3.000		4/1/2046		512,631
Fannie Mae Pool AX3195		462,242		4.000		9/1/2044		493,854
Fannie Mae Pool MA 2495		529,726		3.500		1/1/2046		555,475
Federal Home Loan Pool G01980		293,013		5.000		12/1/2035		329,712
Freddie Mac Gold Pool G05888		64,648		5.500		10/1/2039		72,833
								5,726,430
U.S. TREASURY OBLIGATIONS - 21.0%
United States Treasury Bond		1,195,000		3.125		2/15/2043		1,313,473
United States Treasury Note		1,660,000		0.750		12/31/2017		1,660,389
United States Treasury Note		2,515,000		1.375		4/30/2020		2,536,908
United States Treasury Note		3,205,000		2.375		8/15/2024		3,366,814
United States Treasury Note		665,000		2.250		11/15/2024		691,626
United States Treasury Note		380,000		2.000		2/15/2025		387,185
United States Treasury Note ^		1,100,000		1.625		2/15/2026		1,080,964
								11,037,359
TOTAL U.S. GOVERNMENT & AGENCY (Cost - $16,317,421)								16,763,789
BANK LOANS - 3.2%
AGRICULTURE - 0.1%
NVA Holdings, Inc.		40,000		7.000	+	8/14/2022		39,133
BIOTECHNOLOGY - 0.1%
Concordia Healthcare Corp.		45,885		4.250	+	10/21/2021		45,587
CHEMICALS - 0.1%
Ineos US Finance LLC		6,930		3.250	+	3/11/2022		6,904
PolyOne Corp.		33,915		3.000	+	11/11/2022		34,099
								41,003
COMMERCIAL SERVICES - 0.2%
Laureate Education, Inc.		59,380		3.750	+	6/15/2018		55,298
Sedgwick Claims Management Services, Inc.		85,000		5.750	+	2/28/2022		81,175
								136,473
ELECTRIC - 0.3%
NRG Energy, Inc.		143,887		2.000	+	7/1/2018		143,785
ENTERTAINMENT - 0.1%
CDS US Intermediate Holdings, Inc.		28,855		4.000	+	7/8/2022		28,013
Eldorado Resorts, Inc.		24,813		3.250	+	7/25/2022		24,843
								52,856
FOOD - 0.3%
Albertsons LLC		75,240		4.500	+	8/25/2021		75,625
Hostess Brands LLC		110,000		7.500	+	8/3/2023		108,487
								184,112

See accompanying notes to financial statements.

26

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
HEALTHCARE - 0.8%
American Renal Holdings, Inc.	$	39,000		3.500	%, +	8/20/2019	$	39,024
Ardent Legacy Acquisitions, Inc.		55,720		5.500	+	8/4/2021		55,999
inVentiv Health, Inc.		119,990		6.250	+	5/15/2018		120,515
Onex Schumacher Finance LP		57,710		4.000	+	7/29/2022		57,590
Quorum Health Corp.		61,000		5.750	+	4/12/2022		61,086
Regional Care Hospital, Inc.		46,178		6.000	+	3/24/2019		46,264
Surgery Center		68,274		4.250	+	11/3/2020		68,509
								448,987
MISCELLANEOUS MANUFACTURING - 0.1%
US Farathane LLC		55,350		5.750	+	12/23/2021		55,557
OIL & GAS - 0.1%
Jonah Energy LLC		62,000		6.500	+	5/12/2021		42,057
PHARMACEUTICALS - 0.1%
Amneal Pharmaceuticals		41,580		3.500	+	11/1/2019		41,597
REAL ESTATE - 0.1%
Capital Automotive LP		31,564		5.000	+	4/30/2020		31,781
RETAIL - 0.5%
Chelsea Petroleum Products LLC		66,720		4.250	+	10/28/2022		65,052
PetSmart		14,888		3.250	+	3/11/2022		14,869
Staples, Inc.		165,000		4.000	+	2/2/2022		165,722
								245,643
SEMICONDUCTORS - 0.1%
MKS Instruments, Inc.		22,000		4.000	+	4/19/2023		22,101
ON Semiconductor Corp.		34,000		4.500	+	3/31/2023		34,206
								56,307
SOFTWARE - 0.2%
First Data Corp.		94,000		3.750	+	7/8/2022		94,200
TOTAL BANK LOANS - (Cost - $1,678,740)								1,659,078
PREFERRED STOCK - 1.5%
BANKS - 1.5%
GMAC Capital Trust I		17,600		6.411	+	2/15/2040		441,232
Zions Bancorporation		10,800		6.950	+	9/15/2028		316,548
TOTAL PREFERRED STOCK - (Cost - $710,000)								757,780
SHORT-TERM INVESTMENT - 3.2%
MONEY MARKET FUND - 3.2%
Fidelity Institutional Money Market Funds - Government Portfolio +
(Cost - $1,681,431)		1,681,431		0.120	+			1,681,431
COLLATERAL FOR SECURITIES LOANED - 4.5%
Mount Vernon Prime Portfolio + (Cost - $2,379,575)		2,379,575		0.510	+			2,379,575
TOTAL INVESTMENTS - 104.4% (Cost - $53,928,716)							$	54,847,372
LIABILITIES IN EXCESS OF OTHER ASSETS - (4.4)%								(2,325,674	)
NET ASSETS - 100.0%							$	52,521,698

ABS - Asset Backed Security

MBS - Mortgage Back Security

CMO - Collateralized Mortgage Obligation

REIT - Real Estate Investment Trust

Perpetual - Perpetual bonds are fixed income instruments without defined maturity dates

^ All or a portion of these securities are on loan. Total loaned securities had a value of $2,333,746 at April 30, 2016.

+ Variable rate security. Interest rate is as of April 30, 2016.

144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers.

(a) Step-Up Bond; the interest rate shown is the rate in effect as of April 30, 2016.

(b) Payment - in - Kind.

See accompanying notes to financial statements.

27

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund (Continued)

April 30, 2016

Portfolio Composition * - (Unaudited)
Corporate Bonds & Notes	55.1	%	Municipal	1.7	%
U.S. Government & Agencies Notes & Bonds	30.6	%	Preferred Stock	1.4	%
Short - Term Investments	4.3	%	Foreign Government Bonds	0.8	%
Collateral For Securities Loaned	3.1	%	Total	100.0	%
Bank Loans	3.0	%

^* Based on total value of investments as of April 30, 2016.

Percentage may differ from Schedule of Investments which is based on Fund net assets.

See accompanying notes to financial statements.

28

Dunham Dynamic Macro Fund

Message from the Sub-Adviser (Mellon Capital Management Corporation)

Equity markets were up for the six-month period ended April 30, 2016 but taking a more introspective look would identify a V shaped trajectory to stocks. The downward leg of this path initially began in December after the Federal Reserve raised interest rates and started normalizing its policy, the European Central Bank (ECB) came to the market and disappointed with the delivery of its stimulus package, and the Chinese economy continued to show signs of weakness. This trend lingered through mid-February until the world’s major central banks took additional action. The Federal Reserve acknowledged some of the challenges presented by the global economy and reduced expectations in regards to future rate rises. The Bank of Japan (BOJ) transitioned to a negative interest rate policy and the ECB followed-up by expanding their stimulus package. April was also an eventful month. The BOJ unexpectedly made no changes to its stimulus despite slowing inflation and a strengthening Yen. The Federal Reserve also made no changes but its tone became more hawkish. Global macro strategies generally detracted throughout the beginning of the fiscal six-month period, but rebounded in March and April, resulting in a positive fiscal period. Global macro strategies, as measured by the IQ Hedge Global Macro Beta Index, increased 0.1 percent over the period ended April 30, 2016. Bonds, as measured by the Barclays Aggregate Bond Index, increased 2.8 percent. Global macro strategies underperformed the S&P 500 Index which increased 0.4 percent over the fiscal period. Most of the positive performance for the S&P 500 Index came in March, when it increased 6.8 percent.

The Sub-Adviser seeks to construct a balanced growth portfolio that aims to deliver equity-like total returns with less risk and improved downside control. It attempts to achieve this goal by utilizing a multi-asset strategy that allocates dynamically across global equities, bonds, and real assets. The current strategy’s exposure is broken down into three different categories: growth assets which include developed market equities, emerging market equities, high-yield bonds, and emerging market debt; hedging assets which include developed and emerging market currency, global cash, investment-grade bonds, and global developed and sovereign bonds; and real assets which include global commodities, global inflation-linked bonds, and inflation-sensitive derivatives.

Of the three strategy exposures, the strongest performer over the six-month period ended April 30, 2016 was the hedging strategy. The hedging assets exposure helped shield some of the volatility during the first three months of the six-month period, most notably the position to U.S. Treasuries. The Fund had approximately 45 percent allocated to U.S. Treasuries. The options strategy within this exposure also benefited the Fund, especially during the height of the downturn in mid January. As global bond yields fell, the Sub-Adviser decreased the allocation to global bonds. The allocation reached a low of approximately 6 percent during the final three months of the six-month period. Bonds retreated and the Sub-Adviser slowly increased the position, reaching an overall exposure of 32 percent by the end of April. Although the allocation to global bonds recently increased, the Sub-Adviser is selective within this space. Holdings that positively contributed to Fund performance over the fiscal period were long positions in U.S. Treasuries, a long position in Japanese bonds, and a long position in Australian bonds. The Fund also took a short position in Canadian bonds late in the fiscal period as Canadian bonds fell. Therefore, this position also positively contributed to Fund performance.

The growth asset strategy detracted from Fund performance over the six-month period. The volatility over the beginning of the six-month period significantly affected the growth asset strategy exposure. However, going into December the Sub-Adviser saw an increase in risk on the horizon, especially considering the fact that the ECB has historically exhibited its propensity to disappoint. On the first day of December the Sub-Adviser worked towards cutting risk in half over the entire Fund due to this concern, which somewhat shielded the Fund. With the uncertainty and volatility in growth assets rising over the final three months of the six-month period, the Sub-Adviser reduced and diversified the positions within growth assets. The Sub-Adviser increased the allocation to high yield bonds over the latest fiscal quarter as high-yield bonds have traditionally had a lower beta to the broad U.S. equity markets. The SPDR Barclays High Yield Bond ETF (JNK) (holding percentage*: 10.06 percent) fell 0.1 percent over the six-month period despite increasing 8.0 percent over the final three months of the period. A holding that positively contributed to Fund performance was the SPDR S&P 500 ETF Trust (SPY) (holding percentage*: 24.29 percent), which increased 0.3 percent. The exposure to Japanese stocks detracted from Fund performance. Over the fiscal quarter, the iShares Currency Hedged MSCI Japan ETF (HEWJ) (holding percentage*: 8.48 percent) fell 17.9 percent. Based on the risk present in emerging markets, the Fund had no direct exposure to emerging market equities and has not been invested in them since August 2015.

The Sub-Adviser completely divested the position in real assets during the fiscal year, as it believes the current risk/reward characteristics of this strategy do not currently warrant a place in the Fund. Although the Sub-Adviser believes that positions in commodities do not warrant an allocation due to its risk, certain attributes that this strategy generally provides are still desired within the Fund. The Sub-Adviser believes that commodities are currently too expensive; therefore in order to add a hedge against inflation, the Sub-Adviser added Treasury Inflation-Protected Securities to the portfolio. Over the most recent six-month period ended April 30, 2016, this allocation contributed positively to Fund performance. For example, the iShares TIPS ETF (TIP) (holding percentage*: 4.65 percent) increased 4.9 percent since the Fund purchased the holding on December 30, 2015. Due to the Fund’s dynamic nature, the Sub-Adviser’s view on real assets can change quickly.

The Sub-Adviser is optimistic for the coming fiscal quarter and the remainder of the fiscal year. The Sub-Adviser believes that this volatility-targeted strategy may provide investors with more consistent returns than traditional asset classes. It believes that through the flexibility of the strategy and the use of alternative investments, the Fund may provide what may be considered to be attractive returns with lower market-related risk and less correlation than traditional equity investments.

* Holdings Percentage(s) as of 4/30/2016.

Growth of $100,000 Investment - (Unaudited)

Total Returns as of April 30, 2016

			Annualized		Annualized Since
	Six	One	Three	Annualized	Inception
	Months	Year	Years	Five Years	(4/30/2010)
Class N	(3.77)%	(7.62)%	(1.12)%	0.61%	0.94%
Class C	(4.18)%	(8.56)%	(2.09)%	(0.40)%	(0.05)%
Class A with load of 5.75%	(9.32)%	(13.24)%	(3.33)%	(0.86)%	(0.32)%
Class A without load	(3.88)%	(7.90)%	(1.39)%	0.32%	0.67%
IQ Hedge Global Macro Beta Index	0.09%	(2.70)%	(0.24)%	0.43%	1.53%
Morningstar Multialternative Category	(2.12)%	(4.87)%	(0.19)%	(0.15)%	1.03%

The IQ Hedge Global Macro Beta Index seeks to replicate the risk-adjusted return characteristics of a combination of hedge funds pursuing a macro strategy and hedge funds pursuing an emerging markets strategy. Investors cannot invest directly in an index or benchmark.

The Morningstar Multialternative Category is generally representative of mutual funds with static allocations to alternative strategies and asset classes. The gross short exposure in these mutual funds is generally greater than 20%.

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 2.26% for Class N, 3.26% for Class C and 2.51% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

29

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Dynamic Macro Fund

April 30, 2016

Security						Shares	Value
EXCHANGE TRADED FUNDS - 56.6%
DEBT FUND - 14.7%
iShares TIPS Bond ETF						14,721	$	1,691,148
SPDR Barclays High Yield Bond ETF						103,619		3,657,750
								5,348,898
EQUITY FUNDS - 41.9%
iShares Currency Hedged MSCI Germany ETF						141,131		3,291,161
iShares Currency Hedged MSCI Japan ETF						129,527		3,084,038
SPDR S&P 500 ETF Trust						42,810		8,831,703
								15,206,902
TOTAL EXCHANGE TRADED FUNDS (Cost - $19,840,579)								20,555,800
						Contacts +
OPTIONS * - 7.6%
CALL OPTION ON FUTURES PURCHASED - 6.1%
Swiss Market IX, Expiration June 18, 2016
Exercise Price CHF 7,619.75						50		20,863
Swiss Market IX, Expiration June 18, 2016
Exercise Price CHF 7,639.18						30		12,046
Swiss Market IX, Expiration June 18, 2016
Exercise Price CHF 7,759.00						10		3,092
Swiss Market IX, Expiration June 18, 2016
Exercise Price CHF 8,022.89						60		8,641
US 10 Year Future, Expiration June 16, 2016
Exercise Price $118						181		2,183,312
								2,227,954
PUT OPTIONS ON FUTURES PURCHASED - 1.5%
S&P 500 E-Mini Option, Expiration June 17, 2016
Exercise Price $1,950						141		111,038
Euro-Bund Option, Expiration June 16,2016
Exercise Price $172						37		428,865
								539,903
TOTAL OPTIONS (Cost - $2,609,259)								2,767,857
	Principal		Discount
	Amount ($)		Rate			Maturity
SHORT-TERM INVESTMENTS - 37.3%
U.S. GOVERNMENT SECURITIES - 25.7%
US Treasury Bill ++		8,175,000		0.2750	%	5/26/2016		8,173,530
US Treasury Bill		1,140,000		0.2600	%	6/23/2016		1,139,536
								9,313,066
	Shares		Interest Rate
MONEY MARKET - 11.6%
STIT- Liquid Assets - Institutional Class		4,223,743		0.2600	% ^^			4,223,743
TOTAL SHORT-TERM INVESTMENTS - (Cost - $13,536,809)								13,536,809
TOTAL INVESTMENTS - 101.5% (Cost - $35,986,647)							$	36,860,466
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.5)%								(549,990	)
NET ASSETS - 100.0%							$	36,310,476
							Unrealized
							Appreciation
Open Futures Contracts						Contracts	(Depreciation)
LONG FUTURES CONTRACTS ** - (1.0)%
10 YR AUD Government Bond, June 2016
(Underlying Face Amount at Value $416.533.908)						56	$	39,219
10 YR Mini JBG Future, June 2016
(Underlying Face Amount at Value $5,104,151)						36		13,331
CAC 40 10 Euro Future, May 2016
(Underlying Face Amount at Value $751,492)						15		(5,443	)
CAN 10 YR Bond Future, June 2016
(Underlying Face Amount at Value $1,221,286)						11		5,201
FTSE/MIB Index Future, June 2016
(Underlying Face Amount at Value $208,951)						2		(529	)

See accompanying notes to financial statements.

30

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Dynamic Macro Fund (Continued)

April 30, 2016

				Unrealized
				Appreciation
Open Futures Contracts	Contracts			(Depreciation)
LONG FUTURES CONTRACTS ** - (1.0)% (Continued)
Hang Seng Index Future, May 2016
(Underlying Face Amount at Value $403,256)		3		$	(5,006	)
IBEX - 35 Index Future, May 2016
(Underlying Face Amount at Value $824,858)		8			36,425
Long Gilt Future, June 2016
(Underlying Face Amount at Value $1,050,853)		6			843
S&P E-Mini Future, June 2016
(Underlying Face Amount at Value $4,323,900)		42			(31,286	)
SPI 200 Future, June 2016
(Underlying Face Amount at Value $199,563)		2			4,050
TOPIX Index Future, June 2016
(Underlying Face Amount at Value $372,055)		3			(7,371	)
TOTAL FUTURES CONTRACTS PURCHASED					49,434
SHORT FUTURES CONTRACTS ** - (0.7)%
10-Year US Treasury Note Future, June 2016
(Underlying Face Amount at Value $5,591,203)		(6	)		(4,990	)
DAX Index Future, June 2016
(Underlying Face Amount at Value $5,591,203)		(2	)		20,886
Euro-Bund Future, June 2016
(Underlying Face Amount at Value $8,838,369)		(45	)		49,907
FTSE 100 Index, June 2016
(Underlying Face Amount at Value $2,983,797)		(8	)		(5,895	)
S&P/TSX 60 IX Future, June 2016
(Underlying Face Amount at Value $129,578)		(1	)		(1,324	)
TOTAL FUTURES CONTRACTS SOLD					58,584
WRITTEN PUT FUTURE OPTIONS - 0.1%
Swiss Market IX, Expiration June 18, 2016
Exercise Price CHF 7,619.75		(50	)		(5,270	)
Swiss Market IX, Expiration June 18, 2016
Exercise Price CHF 7,639.18		(30	)		(3,298	)
Swiss Market IX, Expiration June 18, 2016
Exercise Price CHF 7,759		(10	)		(1,428	)
Swiss Market IX, Expiration June 18, 2016
Exercise Price CHF 8,022.89		(60	)		(15,184	)
WRITTEN PUT FUTURE OPTIONS (Proceeds - $34,684)					(25,180	)

ETF - Exchange Traded Fund

* Non income producing security.

+ Each option contract allows holder to purchase/sell 100 shares of the underlying security at the exercise price.

++ All or part of the security was held as collateral for futures outstanding as of April 30, 2016.

^^ Variable rate security. Interest rate is as of April 30, 2016.

** The amounts shown are the underlying reference notional amounts to stock exchange indices, debt securities and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund.

Portfolio Composition * - (Unaudited)
Equity Funds	41.3	%	Call Options On Futures Purchased	6.0	%
U.S. Government Securities	25.3	%	Put Option On Futures Purchased	1.4	%
Debt Funds	14.5	%	Total	100.0	%
Money Market Fund	11.5	%

^* Based on total value of investments as of April 30, 2016.

Percentage may differ from Schedule of Investments which is based on Fund net assets.

See accompanying notes to financial statements.

31

Dunham High-Yield Bond Fund

Message from the Sub-Adviser (PENN Capital Management Company, Inc.)

High-yield bonds, as measured by the BofA ML High-Yield Bond Cash Pay Index, underperformed investment-grade corporate bonds, as measured by the BofA ML Corporate Master Index, and Treasury bonds, as measured by the BofA ML US Treasury Master Index over the six-months ended April 30, 2016. Interest rates decreased during the fiscal period, which benefitted longer duration bonds while shorter duration bonds suffered. During this fiscal period, corporate bonds increased 4.2 percent, Treasury bonds increased 2.6 percent, while high-yield bonds increased 2.3 percent.

Interest rates on 10-year Treasury bonds fluctuated within a 70 basis point range over the fiscal six-month period. The 10-year Treasury yield went from a high of 2.34 percent on November 11, 2015 to a low of 1.64 percent on February 11, 2016, before settling at 1.82 percent to end the fiscal six-month period. The Fund’s double-B focus benefited performance but the shorter duration bias detracted somewhat from performance in the six-month period ended April 30, 2016, as double-B rated bonds and longer duration credit generally outperformed. Currently, the Fund is focused on single-B and above rated debt and has no exposure to triple-C rated bonds as default rates on below investment-grade bonds are near historic lows and if they rise, bonds rated triple-C and lower could be adversely affected.

The Fund continued to maintain a shorter duration relative to the benchmark index, with a bias toward the intermediate segment of the credit curve that matures in three to seven years and historically has exhibited less volatility. The average duration of positions held by the Fund moved somewhat lower during the fiscal six-month period from 4.0 years at the beginning of the period to end at 3.7 years. Bonds in the benchmark index maintained a fairly steady duration, beginning the fiscal period at 4.4 years and ending at 4.3 years. Bonds that have a maturity of more than 10 years have generally been avoided by the Fund unless purchased at a significant discount to par.

Holdings in the media & broadcasting sector added value on a relative and absolute basis, due to both an overweight to the sector and security selection. Sinclair Television Group, Inc. (829259AQ3) (holding percentage*: 0.63 percent), a television broadcasting company that owns or provides various programming, operating or sales services to television stations, was one of the better performing bonds in this sector, achieving a 6.3 percent return in the six-month period ending April 30, 2016.

Exposure to the energy sector was generally a positive for the Fund, mainly due to outperformance in the latter part of the six-month period ended April 30, 2016. A 3 percent overweight to the energy distribution sector was of particular benefit, though security selection in that area lagged somewhat. No exposure to energy services firms detracted slightly from performance, however, the benchmark only has a 0.68 percent weighting to these types of energy companies. Energy exploration and production firms also negatively impacted performance due to security selection. Targa Resources Partners LP. (87612BAH5) (holding percentage*: 0.47 percent), a Houston, TX based midstream oil and natural gas pipeline partnership, was a good performer in the energy distribution segment. The bonds gained 5.3 percent over the fiscal six-month period.

Going forward, the Sub-Adviser expects moderate gross domestic product growth of between 2 to 3 percent and U.S. economic momentum to continue. The Sub-Adviser believes the U.S. is not heading into a recession and believes that the U.S. Federal Reserve will not raise interest rates four times this year, but will be more patient. The Sub-Adviser plans to continue to underweight international high-yield bonds as yields are exceedingly low, with some developed countries having negative interest rates on government bonds. The Fund plans to focus on middle tier, single-B quality with a tactical allocation to bank loans, convertibles, and lower quality. Any pull-back in the high-yield market due to interest rate volatility should be considered a buying opportunity.

* Holdings percentage(s) as of 4/30/2016.

Growth of $100,000 Investment - (Unaudited)

Total Returns as of April 30, 2016

			Annualized	Annualized	Annualized	Annualized Since
	Six Months	One Year	Three Years	Five Years	Ten Years	Inception(7/1/05)
Class N	(0.38)%	(2.32)%	0.71%	3.26%	4.89%	4.85%
Class C	(0.63)%	(2.95)%	(0.03)%	2.50%	4.11%	4.07%
Class A with load of 4.50%	(4.94)%	(7.00)%	(1.09)%	2.08%	N/A	4.24%*
Class A without load	(0.49)%	(2.65)%	0.45%	3.01%	N/A	4.24%*
BofA ML BB-B U.S. Non-Distressed HY Index	2.09%	0.52%	3.29%	5.71%	6.32%	6.25%
Morningstar High-Yield Bond Category	0.70%	(2.55)%	1.39%	4.07%	5.33%	5.44%

* Class A commenced operations on January 3, 2007.

BofA ML BB-B U.S. Non-Distressed HY Index is an unmanaged portfolio constructed to mirror the public high-yield corporate debt market and is a subset of the Merrill Lynch High Yield Master II Index. Investors cannot invest directly in an index or benchmark.

The Morningstar High-Yield Bond Category is generally representative of mutual funds that primarily invest in U.S. high-income debt securities where at least 65% or more of bond assets are not rated or are rated by a major agency such as Standard & Poor’s or Moody’s at the level of BB (considered speculative for taxable bonds) and below.

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.02% for Class N, 1.77% for Class C and 1.27% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com

32

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham High-Yield Bond Fund

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
BONDS & NOTES - 95.3%
AEROSPACE/DEFENSE - 0.5%
Triumph Group, Inc.	$	520,000		4.8750	%	4/1/2021	$	496,600
AIRLINES - 2.0%
Air Canada - 144A		325,000		8.7500		4/1/2020		349,781
Air Canada - 144A		360,000		7.7500		4/15/2021		375,300
American Airlines Group, Inc. - 144A		535,000		4.6250		3/1/2020		527,643
UAL 2007-1 Pass Through Trust		577,598		6.6360		7/2/2022		607,199
								1,859,923
AUTO MANUFACTURERS - 0.6%
Fiat Chrysler Automobiles NV		565,000		5.2500		4/15/2023		573,498
AUTO PARTS & EQUIPMENT - 0.4%
TI Group Automotive Systems LLC - 144A		350,000		8.7500		7/15/2023		344,750
BANKS - 1.1%
CIT Group, Inc. ^		295,000		5.3750		5/15/2020		310,118
Synovus Financial Corp.		626,000		7.8750		2/15/2019		697,207
								1,007,325
BEVERAGES - 0.8%
Cott Beverages, Inc.		445,000		5.3750		7/1/2022		458,905
Cott Beverages, Inc.		300,000		6.7500		1/1/2020		315,374
								774,279
BUILDING MATERIALS - 1.8%
Builders FirstSource, Inc. - 144A		390,000		7.6250		6/1/2021		412,424
Griffon Corp.		525,000		5.2500		3/1/2022		529,593
James Hardie International Finance Ltd - 144A		500,000		5.8750		2/15/2023		511,250
Masonite International Corp. - 144A^		265,000		5.6250		3/15/2023		278,250
								1,731,517
CHEMICALS - 0.6%
Blue Cube Spinco, Inc. - 144A		350,000		9.7500		10/15/2023		401,187
Blue Cube Spinco, Inc. - 144A^		180,000		10.0000		10/15/2025		208,350
								609,537
COMMERCIAL SERVICES - 5.6%
ADT Corp.		160,000		3.5000		7/15/2022		147,600
ADT Corp.		280,000		4.8750		7/15/2042		210,700
ADT Corp.		275,000		6.2500		10/15/2021		285,867
Ahern Rentals, Inc. - 144A		420,000		7.3750		5/15/2023		322,350
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. - 144A		495,000		5.1250		6/1/2022		471,796
Cardtronics, Inc.		570,000		5.1250		8/1/2022		574,280
Hertz Corp.		225,000		7.5000		10/15/2018		229,333
Hertz Corp.		265,000		6.7500		4/15/2019		270,315
Jaguar Holding Co II - 144A		505,000		6.3750		8/1/2023		525,957
Live Nation Entertainment, Inc. - 144A		325,000		7.0000		9/1/2020		340,714
Live Nation Entertainment, Inc. - 144A		555,000		5.3750		6/15/2022		575,812
Team Health, Inc. - 144A		525,000		7.2500		12/15/2023		558,796
United Rentals North America, Inc.^		710,000		6.1250		6/15/2023		740,174
								5,253,694

See accompanying notes to financial statements.

33

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham High-Yield Bond Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
COMPUTERS - 1.1%
Western Digital Corp. - 144A	$	700,000		7.3750	%	4/1/2023	$	708,313
Western Digital Corp. - 144A		350,000		10.5000		4/1/2024		341,250
								1,049,563
COSMETICS/PERSONAL CARE - 0.8%
Revlon Consumer Products Corp.		760,000		5.7500		2/15/2021		776,150
DISTRIBUTION/WHOLESALE - 0.6%
HD Supply, Inc.		205,000		7.5000		7/15/2020		218,068
HD Supply, Inc. - 144A		360,000		5.2500		12/15/2021		379,350
								597,418
DIVERSIFIED FINANCIAL SERVICES - 4.5%
Ally Financial, Inc.		640,000		5.7500		11/20/2025		650,400
Ally Financial, Inc.		345,000		4.2500		4/15/2021		351,900
Ally Financial, Inc.		790,000		8.0000		11/1/2031		949,975
Credit Acceptance Corp.		250,000		6.1250		2/15/2021		239,375
E*TRADE Financial Corp.		270,000		4.6250		9/15/2023		274,644
Fly Leasing Ltd.		420,000		6.7500		12/15/2020		423,150
Fly Leasing Ltd.		410,000		6.3750		10/15/2021		403,338
International Lease Finance Corp.		760,000		8.6250		1/15/2022		922,450
								4,215,232
ELECTRIC - 3.3%
Calpine Corp.		515,000		5.3750		1/15/2023		522,081
Calpine Corp.		350,000		5.7500		1/15/2025		354,813
Dynegy, Inc.^		540,000		6.7500		11/1/2019		547,290
NRG Energy, Inc.		580,000		8.2500		9/1/2020		603,200
NRG Energy, Inc.		365,000		7.6250		1/15/2018		392,375
NRG Energy, Inc.^		375,000		7.8750		5/15/2021		391,725
NRG Energy, Inc.		270,000		6.2500		7/15/2022		266,036
								3,077,520
ELECTRICAL COMPONENTS & EQUIPMENT - 1.9%
Anixter, Inc.		425,000		5.1250		10/1/2021		431,375
Anixter, Inc. - 144A		255,000		5.5000		3/1/2023		261,694
Belden, Inc. - 144A		625,000		5.5000		9/1/2022		634,375
WESCO Distribution, Inc.		435,000		5.3750		12/15/2021		443,700
								1,771,144
ENGINEERING & CONSTRUCTION - 0.2%
Tutor Perini Corp.		220,000		7.6250		11/1/2018		218,900
ENTERTAINMENT - 3.8%
Eldorado Resorts, Inc. - 144A		335,000		7.0000		8/1/2023		350,913
Isle of Capri Casinos, Inc.		445,000		5.8750		3/15/2021		466,138
Palace Entertainment Holdings LLC / Palace Entertainment Holdings Corp. - 144A		1,140,000		8.8750		4/15/2017		1,140,000
Penn National Gaming, Inc.		370,000		5.8750		11/1/2021		380,175
Pinnacle Entertainment, Inc. - 144A		160,000		5.6250		5/1/2024		160,200
Regal Entertainment Group		550,000		5.7500		6/15/2023		565,813
Scientific Games International, Inc. - 144A		480,000		7.0000		1/1/2022		491,700
								3,554,939
FOOD - 0.9%
JBS USA LLC - 144A		265,000		7.2500		6/1/2021		272,950
JBS USA LLC - 144A		90,000		7.2500		6/1/2021		92,700
JBS USA LLC - 144A		475,000		5.8750		7/15/2024		444,125
								809,775

See accompanying notes to financial statements.

34

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham High-Yield Bond Fund (Continued)

April 30, 2016

	Principal			Interest			Maturity
Security	Amount			Rate			Date	Value
HEALTHCARE-PRODUCTS - 0.5%
Kinetic Concepts, Inc. / KCI USA, Inc.	$	460,000			10.5000	%	11/1/2018	$	467,199
HEALTHCARE-SERVICES - 5.1%
Amsurg Corp.		365,000			5.6250		7/15/2022		375,950
Centene Corp. - 144A		270,000			5.6250		2/15/2021		284,850
Centene Corp. - 144A		95,000			6.1250		2/15/2024		100,463
CHS/Community Health Systems, Inc.		105,000			5.1250		8/15/2018		106,575
CHS/Community Health Systems, Inc.		595,000			5.1250		8/1/2021		599,706
Envision Healthcare Corp. - 144A		475,000			5.1250		7/1/2022		485,688
HCA, Inc.		260,000			5.3750		2/1/2025		266,175
HCA, Inc.		455,000			7.5000		2/15/2022		517,563
MEDNAX, Inc. - 144A		290,000			5.2500		12/1/2023		300,875
Select Medical Corp.		405,000			6.3750		6/1/2021		386,269
Tenet Healthcare Corp.^		400,000			6.0000		10/1/2020		426,000
Tenet Healthcare Corp.^		635,000			8.1250		4/1/2022		661,988
Tenet Healthcare Corp.		340,000			5.0000		3/1/2019		338,300
									4,850,402
HOLDING COMPANIES-DIVERSIFIED - 0.4%
Argos Merger Sub, Inc. - 144A		400,000			7.1250		3/15/2023		410,000
HOME BUILDERS - 1.1%
Taylor Morrison Communities, Inc. - 144A ^		385,000			5.2500		4/15/2021		385,963
William Lyon Homes, Inc.		655,000			8.5000		11/15/2020		682,838
									1,068,801
HOME FURNISHINGS - 0.7%
Tempur Sealy International, Inc.		270,000			6.8750		12/15/2020		285,863
Tempur Sealy International, Inc. - 144A		390,000			5.6250		10/15/2023		407,550
									693,413
INTERNET - 0.8%
Match Group, Inc. - 144A		485,000			6.7500		12/15/2022		497,125
Netflix, Inc.		235,000			5.3750		2/1/2021		249,688
									746,813
LEISURE TIME - 0.4%
NCL Corp. Ltd. - 144A		400,000			4.6250		11/15/2020		408,500
LODGING - 3.1%
Boyd Gaming Corp.		700,000			9.0000		7/1/2020		739,024
FelCor Lodging LP		720,000			5.6250		3/1/2023		743,400
MGM Resorts International		950,000			7.7500		3/15/2022		1,065,188
MGM Resorts International		390,000			6.7500		10/1/2020		418,275
									2,965,887
MEDIA - 13.8%
Altice Financing SA - 144A		545,000			6.6250		2/15/2023		540,940
Cablevision Systems Corp.		225,000			8.6250		9/15/2017		239,344
Cequel Communications Holdings I LLC / Cequel Capital Corp. - 144A		830,000			6.3750		9/15/2020		852,850
Clear Channel Worldwide Holdings, Inc.		495,000			7.6250		3/15/2020		461,281
Clear Channel Worldwide Holdings, Inc.		740,000			6.5000		11/15/2022		747,400
CSC Holdings LLC		125,000			7.8750		2/15/2018		135,313
CSC Holdings LLC		550,000			8.6250		2/15/2019		611,875
CSC Holdings LLC		180,000			6.7500		11/15/2021		186,188
DISH DBS Corp.		510,000	��		7.8750		9/1/2019		564,188

See accompanying notes to financial statements.

35

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham High-Yield Bond Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
MEDIA (CONTINUED) - 13.8%
DISH DBS Corp.	$	280,000		6.7500	%	6/1/2021	$	289,159
Entercom Radio LLC		620,000		10.5000		12/1/2019		651,910
Gray Television, Inc.		1,155,000		7.5000		10/1/2020		1,215,638
LIN Television Corp.		390,000		6.3750		1/15/2021		409,013
Mediacom LLC / Mediacom Capital Corp.		660,000		7.2500		2/15/2022		693,825
Nexstar Broadcasting, Inc.		1,140,000		6.8750		11/15/2020		1,199,850
Nexstar Broadcasting, Inc. - 144A		325,000		6.1250		2/15/2022		327,438
Numericable-SFR SA - 144A		210,000		6.0000		5/15/2022		211,061
Numericable-SFR SA - 144A		630,000		6.2500		5/15/2024		611,888
Radio One, Inc. - 144A		650,000		7.3750		4/15/2022		602,875
Sinclair Television Group, Inc.^		560,000		6.3750		11/1/2021		595,000
Sinclair Television Group, Inc. - 144A		265,000		5.6250		8/1/2024		273,281
TEGNA, Inc. - 144A		85,000		5.5000		9/15/2024		88,081
Time, Inc. - 144A		350,000		5.7500		4/15/2022		334,751
Townsquare Media, Inc. - 144A		400,000		6.5000		4/1/2023		388,500
Tribune Media Co. - 144A		380,000		5.8750		7/15/2022		379,050
Videotron Ltd		425,000		5.0000		7/15/2022		442,531
								13,053,230
MINING - 0.9%
FMG Resources August 2006 Pty Ltd. - 144A		250,000		9.7500		3/1/2022		264,075
Freeport-McMoRan, Inc.		420,000		2.3750		3/15/2018		405,300
Freeport-McMoRan, Inc.		150,000		3.1000		3/15/2020		135,992
								805,367
MISCELLANEOUS MANUFACTURERS - 0.5%
EnPro Industries, Inc.		445,000		5.8750		9/15/2022		466,138
OFFICE/BUSINESS EQUIPMENT - 0.3%
CDW LLC		240,000		5.5000		12/1/2024		253,800
OIL & GAS - 4.8%
Antero Resources Corp.		580,000		5.3750		11/1/2021		564,050
Carrizo Oil & Gas, Inc.^		525,000		7.5000		9/15/2020		530,250
Continental Resources, Inc./OK		240,000		7.1250		4/1/2021		244,800
Continental Resources, Inc.		255,000		5.0000		9/15/2022		239,381
Gulfport Energy Corp.		825,000		7.7500		11/1/2020		837,375
Rice Energy, Inc.		375,000		6.2500		5/1/2022		373,125
Southwestern Energy Co.		245,000		7.5000		2/1/2018		241,938
Sunoco LP - 144A		425,000		5.5000		8/1/2020		425,531
Sunoco LP - 144A		95,000		6.2500		4/15/2021		96,425
Western Refining, Inc.		840,000		6.2500		4/1/2021		781,200
WPX Energy, Inc.		170,000		6.0000		1/15/2022		153,425
								4,487,500
PACKAGING & CONTAINERS - 0.8%
Reynolds Group Issuer, Inc.^		750,000		5.7500		10/15/2020		780,000
PHARMACEUTICALS - 2.3%
Endo Ltd - 144A		525,000		6.0000		2/1/2025		504,000
Endo Ltd - 144A		200,000		6.0000		7/15/2023		197,250
Valeant Pharmaceuticals International - 144A		800,000		6.3750		10/15/2020		729,000
Valeant Pharmaceuticals International - 144A		375,000		6.7500		8/15/2021		331,875
Valeant Pharmaceuticals International, Inc. - 144A		445,000		5.3750		3/15/2020		396,328
								2,158,453

See accompanying notes to financial statements.

36

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham High-Yield Bond Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
PIPELINES - 7.1%
Blue Racer Midstream LLC / Blue Racer Finance Corp. - 144A	$	400,000		6.1250	%	11/15/2022	$	356,000
DCP Midstream LLC - 144A		105,000		5.3500		3/15/2020		100,006
DCP Midstream LLC - 144A		180,000		4.7500		9/30/2021		164,700
DCP Midstream LLC - 144A		195,000		5.8500		5/21/2043		123,825
DCP Midstream Operating LP		260,000		3.8750		3/15/2023		230,100
Energy Transfer Partners LP		250,000		4.1500		10/1/2020		247,287
MPLX LP - 144A		240,000		5.5000		2/15/2023		239,722
MPLX LP - 144A		600,000		4.5000		7/15/2023		583,383
NGPL PipeCo LLC - 144A		270,000		7.1190		12/15/2017		280,125
Rockies Express Pipeline LLC - 144A		525,000		5.6250		4/15/2020		523,688
Rockies Express Pipeline LLC - 144A		985,000		6.8750		4/15/2040		871,725
Sabine Pass Liquefaction LLC		870,000		5.6250		2/1/2021		868,913
Sabine Pass Liquefaction LLC		860,000		6.2500		3/15/2022		875,050
Targa Resources Partners LP		430,000		6.8750		2/1/2021		441,825
Targa Resources Partners LP		755,000		5.0000		1/15/2018		763,018
								6,669,367
REAL ESTATE - 1.0%
Realogy Group LLC - 144A^		855,000		5.2500		12/1/2021		897,750
REITS - 2.9%
Equinix, Inc.		145,000		5.3750		4/1/2023		152,250
Equinix, Inc.		575,000		5.3750		1/1/2022		603,750
Equinix, Inc.		250,000		5.8750		1/15/2026		265,155
iStar, Inc.		630,000		7.1250		2/15/2018		649,688
iStar, Inc.		545,000		5.0000		7/1/2019		531,375
RHP Hotel Properties LP		480,000		5.0000		4/15/2021		498,000
								2,700,218
RETAIL - 0.7%
Dollar Tree, Inc. - 144A^		420,000		5.7500		3/1/2023		450,576
GameStop Corp. - 144A		225,000		5.5000		10/1/2019		220,781
								671,357
SEMICONDUCTORS - 0.9%
Micron Technology, Inc. - 144A		135,000		5.8750		2/15/2022		119,813
Micron Technology, Inc. - 144A		335,000		5.2500		8/1/2023		272,358
Micron Technology, Inc. - 144A		90,000		7.5000		9/15/2023		93,375
Qorvo, Inc. - 144A		330,000		6.7500		12/1/2023		339,900
								825,446
SOFTWARE - 2.4%
First Data Corp. - 144A		930,000		7.0000		12/1/2023		959,063
First Data Corp. - 144A		220,000		5.0000		1/15/2024		223,025
Nuance Communications, Inc. - 144A		1,075,000		5.3750		8/15/2020		1,104,563
								2,286,651
TELECOMMUNICATIONS - 12.4%
CenturyLink, Inc.		70,000		6.4500		6/15/2021		71,750
CenturyLink, Inc.		370,000		5.6250		4/1/2020		381,563
CenturyLink, Inc.		80,000		7.5000		4/1/2024		80,400
Cincinnati Bell, Inc.		575,000		8.3750		10/15/2020		592,250
Cogent Communications Finance, Inc. - 144A		460,000		5.6250		4/15/2021		453,100
CommScope, Inc. - 144A		200,000		5.5000		6/15/2024		201,380
CyrusOne LP		840,000		6.3750		11/15/2022		890,921
EarthLink Holdings Corp.		536,000		8.8750		5/15/2019		550,070
EarthLink Holdings Corp.		960,000		7.3750		6/1/2020		1,008,000

See accompanying notes to financial statements.

37

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham High-Yield Bond Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
TELECOMMUNICATIONS (Continued) - 12.4%
FairPoint Communications, Inc. - 144A	$	1,050,000		8.7500	%	8/15/2019	$	996,188
Frontier Communications Corp.		480,000		8.5000		4/15/2020		509,400
Frontier Communications Corp.^		855,000		9.2500		7/1/2021		894,544
Frontier Communications Corp.^		115,000		6.2500		9/15/2021		107,525
Frontier Communications Corp.		465,000		6.8750		1/15/2025		388,855
Frontier Communications Corp. - 144A		265,000		10.5000		9/15/2022		273,642
GCI, Inc.		335,000		6.8750		4/15/2025		340,025
Level 3 Financing, Inc.		520,000		5.3750		8/15/2022		533,650
Level 3 Financing, Inc.		330,000		5.1250		5/1/2023		337,013
Qwest Corp.		210,000		6.7500		12/1/2021		227,367
Sprint Communications, Inc. - 144A		315,000		9.0000		11/15/2018		334,294
Sprint Communications, Inc. - 144A		435,000		7.0000		3/1/2020		448,594
Sprint Communications, Inc.		385,000		7.0000		8/15/2020		321,475
Sprint Communications, Inc.		495,000		7.2500		9/15/2021		402,188
ViaSat, Inc.		220,000		6.8750		6/15/2020		227,425
West Corp. - 144A		410,000		5.3750		7/15/2022		372,588
Windstream Services LLC		350,000		7.7500		10/15/2020		318,322
Windstream Services LLC		555,000		7.7500		10/1/2021		473,138
								11,735,667
TRANSPORTATION - 1.9%
Navios Maritime Acquisition Corp. / Navios Acquisition Finance US, Inc. - 144A		420,000		8.1250		11/15/2021		347,550
Watco Cos LLC / Watco Finance Corp. - 144A		730,000		6.3750		4/1/2023		730,000
XPO CNW, Inc.		665,000		7.2500		1/15/2018		678,300
								1,755,850
TOTAL BONDS & NOTES (Cost - $89,208,204)								89,879,573
			Interest
Security	Shares		Rate
SHORT-TERM INVESTMENT - 4.7%
MONEY MARKET FUND - 4.7%
First American Government Obligations Fund		4,417,375		0.01	% +			4,417,375
TOTAL SHORT-TERM INVESTMENT (Cost - $4,417,375)
COLLATERAL FOR SECURITIES LOANED - 14.8%
Mount Vernon Prime Portfolio + (Cost - $13,974,490)		13,974,490		0.51	%			13,974,490
TOTAL INVESTMENTS - 114.8% (Cost - $107,600,069)							$	108,271,438
LIABILITIES IN EXCESS OF OTHER ASSETS - (14.8)%								(13,922,726	)
NET ASSETS - 100.0%							$	94,348,712

^ All or a portion of these securities are on loan. Total loaned securities had a value of $13,672,961 at April 30, 2016 .

+ Variable rate security. Interest rate is as of April 30, 2016.

144A- Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers.

REITS - Real Estate Investment Trusts.

Portfolio Composition - (Unaudited)
B1	18.3	%	Ba2	9.5	%
B3	17.2	%	Ba1	4.5	%
Baa3	14.9	%	Caa1	4.3	%
B2	13.5	%	Caa2	0.8	%
Collateral For Securities Loaned	12.9	%	Short-Term Investment	4.1	%
			Total	100.0	%

* Based on total value of investments as of April 30, 2016.

** Bond Ratings provided by Fitch Ratings.

Percentage may differ from Schedule of Investments which is based on Fund net assets.

See accompanying notes to financial statements.

38

Dunham International Opportunity Bond Fund

Message from the Sub-Adviser (Rogge Global Partners PLC)

International bonds, as measured by the Barclays Global Aggregate Ex-U.S. Bond Index, continued to experience a higher correlation to U.S. dollar movements relative to foreign currencies than from changing expectations on default rates or interest rate increases in foreign countries. During the six-month period ended April 30, 2016, international bonds increased 8.7 percent, while the U.S. dollar generally declined 4.2 percent against a basket of major world currencies. This relative depreciation of the U.S. dollar was not consistent across foreign markets, as its 4.0 percent decline versus the euro was met with an 11.7 percent depreciation versus the yen. Conversely, the British Pound decreased versus the U.S. dollar, losing 5.3 percent over the six-month period. While foreign interest rate movements had a lesser effect on bond prices, with the exception of the Bank of Japan’s move to negative interest rates, the focus on U.S. interest rate prospects and vague enigmatically worded insights from the U.S. Federal Open Market Committee coincided with a thriving or tumbling U.S. dollar.

While the Sub-Adviser primarily focuses on developed markets, developing countries generally saw their sovereign debt surge beyond their developed counterparts during the most recent three-month period. Emerging markets bonds, as measured by the Barclays Emerging Markets Ex-U.S. Aggregate Bond Index, decreased 2.4 percent during the first fiscal quarter, but rebounded 8.5 percent in the second fiscal quarter. The Sub-Adviser believes that while developed countries appear to have emerged from their deleveraging cycle after the financial crisis, developing market countries are still mid-cycle. Fund holdings in emerging market countries included the Mexico sovereign bond, Mex Bonos Desrr Fix Rate 10% 12/5/2024 (B05QN14) (holding percentage*: 1.58 percent). During the six-month period, these peso-denominated bonds increased 4.5 percent in local currency terms. However, the Mexican peso declined versus the U.S. dollar during the six-month period, detracting 4.1 percent from the local currency-denominated increase. The relative decline in the value of the peso was not consistent across the six-month period. In the first three months of the fiscal year, the peso declined 8.9 percent versus the U.S. dollar before bouncing up 5.4 percent in the second fiscal quarter.

The Fund continued to focus on peripheral Europe, as the Sub-Adviser believes the countries in peripheral Europe are under pressure but are committed to keeping the countries solvent. The Sub-Adviser maintained allocations to Spain and Italy, which were two of the most positive contributors to performance on a country level in the first fiscal quarter. The Fund continued to hold the Italian bond, Buoni Poliennali Del Tesoro 4.5% 3/1/2024 (BCRYKK8) (holding percentage*: 1.37 percent) and the Spanish bond, Bonos Y Oblig Del Estado 4.2% Due 01/21/2037 (B05L4R2) (holding percentage*: 0.50 percent). During the six-month period, the Italian bond returned 1.7 percent and the Spanish bond increased 2.6 percent in local currency terms. As both of these countries are members of the euro-zone the appreciation of the euro versus the U.S. dollar added 4.0 percent to the performance for each of these two bonds.

Although Japanese bonds saw a significant rise in the first fiscal quarter, the Sub-Adviser maintained a negative view on Japan during the entire six-month period, retaining the Fund’s underweight to the country’s debt. This was primarily fueled by the Bank of Japan’s 0.1 percent penalty on excess cash imposed on its private sector lenders and the yen’s stunning 12.1 percent increase versus the U.S. dollar in the second fiscal quarter. On an absolute basis, the Fund continued to benefit from its exposure to Japan, as bonds such as the Japan 99 2.1% 12/20/2027 (B2B35B7) (holding percentage*: 4.41 percent) returned 5.6 percent during the six-month period. This gain paled in comparison to the added return benefits from the yen’s appreciation versus the U.S. dollar. Furthermore, this most recent increase in the Japanese sovereign bond price resulted in the yield to maturity shifting into negative territory, joining other countries with negative bond yields such as Sweden and Switzerland.

The less than exciting global economic growth backdrop has led the Sub-Adviser to focus even more on how central banks attempt to jump-start their local economies. As these actions often coincide with shifts in the respective country’s local currency versus its primary trading partners, the ripple-effects may be widespread. The Sub-Adviser also believes that lower energy prices continue to provide a tailwind for developed economies, while key emerging markets are still in a deleveraging phase. The Sub-Adviser continues to believe that the key risks moving forward are further devaluation of the Chinese yuan, slowing growth in China, and volatility and illiquidity in credit markets.

* Holdings Percentage(s) as of 4/30/2016.

Growth of $100,000 Investment – (Unaudited)

Total Returns as of April 30, 2016

			Annualized Since
	Six Months	One Year	Inception (11/1/13)
Class N	7.38%	4.56%	(1.40)%
Class C	6.91%	3.84%	(2.13)%
Class A with load of 4.50%	2.52%	(0.37)%	(3.44)%
Class A without load	7.24%	4.31%	(1.64)%
Barclays Global ex-US Aggregate Bond Index Unhedged	8.72%	6.58%	(0.16)%
Morningstar World Bond Category	4.19%	1.12%	0.99%

The Barclays Global ex US Aggregate Bond Index Unhedged is designed to be a broad based measure of the global investment-grade, fixed rate, fixed income corporate markets outside the United States. Investors cannot invest directly in an index or benchmark.

The Morningstar World Bond Category is generally representative of funds that invest at least 40% of bonds in foreign markets. Investors cannot invest directly in an index or benchmark.

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.38% for Class N, 2.13% for Class C and 1.63% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

39

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Opportunity Bond Fund

April 30, 2016

Security	Principal Amount			Interest Rate			Maturity Date	Value
CORPORATE BONDS & NOTES - 35.4%
AGRICULTURE - 1.4%
BAT International Finance PLC		200,000	EUR		0.8750	%	10/13/2023	$	227,379
Imperial Tobacco Finance PLC - 144A		200,000	USD		2.9500		7/21/2020		206,335
									433,714
AUTO MANUFACTURERS - 1.0%
Daimler AG		150,000	EUR		4.1250		1/19/2017		176,878
Fiat Chrystler Finance		100,000	EUR		4.7500		7/15/2022		125,072
									301,950
BANKS - 16.6%
Abbey National Treasury Services PLC		100,000	EUR		2.0000		1/14/2019		119,054
ABN AMRO Bank NV		200,000	EUR		6.3750		4/27/2021		278,092
Banco de Sabadell SA		200,000	EUR		0.6250		11/3/2020		231,993
Barclays Bank PLC		200,000	EUR		6.0000		1/14/2021		261,207
BNP Paribas SA		200,000	EUR		2.8750		9/26/2023		261,319
BPCE SA		200,000	EUR		4.6250		7/18/2023		265,320
Caixa Bank SA		300,000	EUR		0.6250		11/12/2020		349,369
Credit Agricole SA		100,000	EUR		3.8750		2/13/2019		126,508
HSBC Holdings PLC		200,000	EUR		6.0000		6/10/2019		263,876
Intesa Sanpaolo SpA		200,000	EUR		4.3750		10/15/2019		258,466
KBC Groep NV		200,000	EUR		2.3750	+	11/25/2024		234,218
KBC IFIMA SA		250,000	EUR		2.1250		9/10/2018		300,242
Lloyds Bank PLC		150,000	EUR		6.5000		3/24/2020		202,923
National Australia Bank Ltd.		100,000	GBP		5.1250		12/9/2021		167,782
Societe Generale SA		350,000	USD		2.7500		10/12/2017		356,153
Societe Generale SA		200,000	EUR		4.0000		6/7/2023		255,159
Sumitomo Mitsui Banking Corp.		350,000	USD		1.5000		1/18/2018		349,050
Toronto-Dominion Bank		300,000	USD		1.4000		4/30/2018		300,263
UBS AG/London		200,000	GBP		6.6250		4/11/2018		323,198
Westpac Banking Corp.		250,000	EUR		2.1250		7/9/2019		305,758
									5,209,950
BUILDING MATERIALS - 0.4%
Cemex Finance LLC		100,000	EUR		5.2500		4/1/2021		118,782
DIVERSIFIED FINANCIAL SERVICES - 1.4%
Arkle Master Issuer PLC		150,000	GBP		4.6810		2/17/2017		225,749
Arkle Master Issuer PLC		150,000	GBP		3.9860		8/17/2017		226,805
									452,554
ELECTRIC - 2.3%
Enel Finance International NV		200,000	EUR		1.9660		1/27/2025		245,478
Engie SA		100,000	GBP		7.0000		10/30/2028		210,658
Iberdrola Finanzas		200,000	EUR		4.1250		3/23/2020		263,369
									719,505
ELECTRONICS - 0.4%
Trionista Holdco GmbH		100,000	EUR		5.0000		4/30/2020		117,822
FOOD - 0.4%
Agrokor dd		100,000	EUR		9.1250		2/1/2020		122,573
GAS - 1.0%
National Grid PLC		250,000	EUR		4.3750		3/10/2020		330,436
INSURANCE - 2.7%
Allianz Finance II BV		100,000	EUR		4.7500		7/22/2019		131,968
Allianz Finance II BV		200,000	EUR		5.7500	+	7/8/2041		267,438
AXA SA		150,000	EUR		5.2500	+	4/16/2040		190,777
Willow No 2 Ireland PLC for Zurich Insurance Co. Ltd.		200,000	EUR		3.3750		6/27/2022		265,316
									855,499
MEDIA - 1.2%
Sky PLC		200,000	EUR		1.5000		9/15/20/21		233,273
Virgin Media Secured Finance PLC		100,000	GBP		5.5000		1/15/2021		156,012
									389,285

See accompanying notes to financial statements.

40

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Opportunity Bond Fund (Continued)

April 30, 2016

Security	Principal Amount			Interest Rate			Maturity Date	Value
MINING - 0.4%
Anglo American Capital PLC		100,000	EUR		2.7500	%	6/7/2019	$	112,204
PACKAGING & CONTAINERS - 0.4%
Crown European Holdings SA		100,000	EUR		4.0000		7/15/2022		123,623
REAL ESTATE - 0.4%
Deutsche Rastataetten Gruppe IV GmBH		100,000	EUR		6.7500		12/30/2020		122,793
RETAIL - 0.4%
Dufry Finance SCA		100,000	EUR		4.5000		7/15/2022		122,409
SAVINGS & LOANS - 2.5%
Coventry Building Society		150,000	EUR		2.2500		12/4/2017		177,126
Nationwide Building Society		250,000	GBP		1.6250		4/3/2019		296,733
Nationwide Building Society		100,000	GBP		5.6250		9/9/2019		165,237
Silverstone Master Issuer PLC		100,000	GBP		5.0630	+	1/21/2055		149,519
									788,615
TELECOMMUNICATIONS - 2.5%
America Movil SAB de CV		200,000	EUR		3.0000		7/12/2021		252,016
Play Finance 2 SA		100,000	EUR		5.2500		2/1/2019		117,973
Telecom Italia SpA		50,000	GBP		6.3750		6/24/2019		81,352
Telefonica Emisiones SAU		200,000	EUR		1.4770		9/14/2021		236,763
Wind Acquisition Finance SA		100,000	EUR		4.0000		7/15/2020		112,244
									800,348
TOTAL CORPORATE BONDS & NOTES (Cost - $11,276,590)									11,122,062
FOREIGN GOVERNMENT BONDS - 60.5%
Austria Government Bond - 144A		250,000	EUR		1.2000		10/20/2025		305,216
Belgium Government Bond		150,000	EUR		4.2500		9/28/2022		218,089
Belgium Government Bond - 144A		100,000	EUR		5.0000		3/28/2035		184,808
Bundesrepublik Deutschland		20,000	EUR		3.2500		7/4/2042		35,008
Canadian Government Bond		250,000	CAD		5.7500		6/1/2033		308,820
Canadian Government Bond		250,000	CAD		4.0000		6/1/2041		273,559
Denmark Government Bond		1,850,000	DKK		3.0000		11/15/2021		332,340
France Government Bond OAT		120,000	EUR		4.7500		4/25/2035		217,361
France Government Bond OAT		150,000	EUR		4.5000		4/25/2041		278,376
Hungary Government International Bond		100,000	USD		5.3750		3/25/2024		111,338
Indonesia Government International Bond - 144A		150,000	EUR		2.8750		7/8/2021		178,438
Ireland Government Bond		100,000	EUR		5.4000		3/13/2025		158,592
Italy Buoni Poliennali Del Tesoro		650,000	EUR		0.7500		1/15/2018		754,830
Italy Buoni Poliennali Del Tesoro		250,000	EUR		4.5000		2/1/2020		332,083
Italy Buoni Poliennali Del Tesoro		100,000	EUR		5.5000		11/1/2022		147,882
Italy Buoni Poliennali Del Tesoro		340,000	EUR		4.5000		3/1/2024		485,100
Italy Buoni Poliennali Del Tesoro		240,000	EUR		3.7500		9/1/2024		327,719
Italy Buoni Poliennali Del Tesoro		240,000	EUR		5.0000		9/1/2040		398,316
Japan Government Ten Year Bond		129,500,000	JPY		1.4000		9/20/2019		1,277,359
Japan Government Thirty Year Bond		100,450,000	JPY		2.5000		6/20/2036		1,342,474
Japan Government Thirty Year Bond		80,300,000	JPY		2.0000		9/20/2041		1,053,752
Japan Government Twenty Year Bond		241,150,000	JPY		1.9000		9/20/2023		2,604,050
Japan Government Twenty Year Bond		133,800,000	JPY		2.1000		12/20/2027		1,560,802
Korea Treasury Bond		832,150,000	KRW		3.0000		9/10/2024		801,619
Malaysia Government Bond		1,400,000	MYR		3.8000		8/17/2023		358,023
Mexican Bonos		14,900,000	MXN		6.5000		6/9/2022		916,499
Mexican Bonos		7,400,000	MXN		10.0000		12/5/2024		557,636
Poland Government Bond		300,000	PLN		5.7500		9/23/2022		93,618
Romanian Government International Bond		100,000	EUR		2.8750		10/28/2024		120,104
Spain Government Bond - 144A		80,000	EUR		5.4000		1/31/2023		118,573
Spain Government Bond - 144A		200,000	EUR		4.4000		10/31/2023		283,121
Spain Government Bond - 144A		250,000	EUR		3.8000		4/30/2024		340,582
Spain Government Bond - 144A		120,000	EUR		4.2000		1/31/2037		175,260
Sweden Government Bond		3,600,000	SEK		4.2500		3/12/2019		508,929
Switzerland Government Bond		400,000	CHF		4.0000		2/11/2023		548,552
United Kingdom Gilt		250,000	GBP		4.2500		6/7/2032		473,339
United Kingdom Gilt		235,000	GBP		4.5000		12/7/2042		488,756
United Kingdom Gilt		150,000	GBP		4.2500		12/7/2055		335,975
TOTAL FOREIGN GOVERNMENT BONDS (Cost - $18,569,974)									19,006,898

See accompanying notes to financial statements.

41

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Opportunity Bond Fund (Continued)

April 30, 2016

Security	Principal Amount			Interest Rate			Maturity	Value
ASSET BACKED SECURITIES - 0.4%
Sunrise SRL + (Cost - $111,835)		100,000	EUR		0.5580	%	5/27/2035	$	115,271
MORTGAGE BACKED SECURITIES - 0.7%
German Residential Funding 2013-2 Ltd.		92,322	EUR		0.9190	+	8/27/2024		106,693
Taurus 2013 GMF1 PLC		95,773	EUR		0.8550	+	5/21/2024		110,763
TOTAL MORTGAGE BACKED SECURITIES (Cost - $213,024)									217,456
WHOLE LOAN COLLATERAL - 0.9%
Bankinter 10 Fondo de Titulizacion de Activos		126,846	EUR		0.0270	+	6/21/2043		140,683
Fondo de Titulizacion de Activos Santander Hipotecario 2		58,150	EUR		0.0070	+	1/18/2049		64,258
Silverstone Master Issuer PLC - 144A		50,000	GBP		0.9575	+	1/20/2070		72,924
TOTAL WHOLE LOAN COLLATERAL (Cost - $271,940)									277,865
	Shares
SHORT-TERM INVESTMENTS - 0.6%
MONEY MARKET FUND - 0.6%
Fidelity Institutional Money Market Funds - Government Portfolio
(Cost - $198,538)		198,538			0.0800	+			198,538
TOTAL INVESTMENTS - 98.5% (Cost - $30,641,901)								$	30,938,090
OTHER ASSETS LESS LIABILITIES - 1.5%									464,246
NET ASSETS - 100.0%								$	31,402,336

CAD - Canadian Dollar	EUR - EURO	MXN - Mexican Peso
CHF - Swiss Franc	GBP - United Kingdom Pound	PLN - Polish Zloty
DKK - Danish Krone	JPY - Japanese Yen	SEK - Swedish Krona

+ Variable rate security. Interest rate is as of April 30, 2016.

144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers.

Perpetual - Perpetual bonds are fixed income instruments without defined maturity dates.

				Unrealized
				Appreciation
Futures Contracts	Contracts			(Depreciation)
FUTURES CONTRACTS PURCHASED*
10 YR AUD Government Bond maturing June, 2016
(Underlying Face Amount at Value $37,190,528)		5		$	94,608
Canadian 10 Year Bond maturing June, 2016
(Underlying Face Amount at Value ($333,078)		3			6,370
Euro Buxl Future maturing June, 2016
(Underlying Face Amount at Value $748,738)		4			6,792
Long Gilt Future maturing June, 2016
(Underlying Face Amount at Value $239,200)		2			7,170
NET UNREALIZED GAIN FROM FUTURES CONTRACTS PURCHASED					114,940
FUTURES CONTRACTS SOLD *
Euro Bobl Future maturing June, 2016
(Underlying Face Amount at Value ($149,823)		(1	)		(2,872	)
Euro Bund Future maturing June, 2016
(Underlying Face Amount at Value ($185,353)		(1	)		372
Japan 10 year Future, maturing June, 2016
(Underlying Face Amount at Value ($151,490,000)		(1	)		(77,569	)
NET UNREALIZED LOSS FROM FUTURES CONTRACTS SOLD					(80,069	)
NET UNREALIZED GAIN FROM FUTURES CONTRACTS				$	34,871

* Face amounts are the underlying reference notional amounts to stock exchange indices and bonds upon which the fair value of the futures contracts traded by the Fund are based. While face amounts do not represent the current fair value and are not necessarily indicative of the future cash flows of the Fund’s futures contracts, the underlying price changes in relation to the variables specified by the face amounts affect the fair value of these derivative financial instruments.

Portfolio Composition ** - (Unaudited)
Japan	26.5	%	Netherlands	3.0	%
Britain	15.6	%	Canada	2.8	%
Italy	9.4	%	Switzerland	2.8	%
France	7.4	%	South Korea	2.6	%
Spain	7.1	%	Other Countries	17.2	%
Mexico	5.6	%	Total	100.00	%

** Based on total value of investments as of April 30, 2016.

Percentage may differ from Schedule of Investments which are based on Fund net assets.

See accompanying notes to financial statements.

42

Dunham Appreciation & Income Fund

Message from the Sub-Adviser (PENN Capital Management Company, Inc.)

The first half of the fiscal year was characterized by steep declines across market capitalizations, before finding a bottom less than half-way through the month of February. From that point forward, equity markets made an abrupt turn and generally surged through the end of the six-month period ended April 30, 2016. U.S. large cap stocks, as measured by the Russell 1000 Index, rose 0.2 percent during the six-month, period while U.S. small cap stocks, as measured by the Russell 2000 Index, declined 1.9 percent. Less than one-third of the convertible securities in the Bank of America/Merrill Lynch All Convertibles All Qualities Index are issued by large capitalization companies. Therefore, the majority are more closely related to the movements in small capitalization and mid capitalization stocks. During the six-month period, convertible securities fell 2.9 percent. Most convertible securities are considered to be “equity-sensitive,” meaning significant amounts of a convertible security’s price movements are related to the movements of the underlying common stock rather than the bond itself. However, the bond component may still play a meaningful role in the pricing of the convertible security. Bonds in general, as measured by the Barclays Aggregate Bond Index, gained 2.8 percent during the fist half of the fiscal year.

The Sub-Adviser generally focused on small and mid capitalization companies, and primarily in convertible securities that were considered to be in the “total return” equity sensitivity range. This area of the range is between convertible securities that are primarily trading based upon the value of their fixed income features (i.e. coupon rate, default risk, etc.) and other convertible securities that are primarily trading based upon the price changes of the underlying common stock. The Sub-Adviser believes that by focusing on this area of the convertible securities spectrum, it can reduce the volatility experienced from the common stocks while benefitting from the support offered by the bond features.

During the six-month period, the best performing sectors in the benchmark index shifted dramatically. During the first three months, consumer staples, utilities, and telecommunications sectors led the way, while in the latter three-month period, materials, energy, and consumer discretionary sectors boasted the highest returns. However, these sectors generally have far fewer constituents represented in the convertible securities space, with all five of these sectors, in aggregate, only representing less than 25 percent of the benchmark index. The largest sector exposures are technology, healthcare, and financial services. These three, in aggregate, make up more than two-thirds of the benchmark index. Similarly, the Sub-Adviser allocated approximately 73 percent of the Fund to these same three sectors.

Within the healthcare sector, NuVasive, Inc. (670704AF2) (holding percentage*: 4.39 percent), a developer of devices used primary for spine-related surgeries, was one of the strongest performers in the Fund during the rebound in the final months of the period. However, other healthcare holdings detracted from absolute performance, as Molina Healthcare, Inc. (60855RAD2) (holding percentage*: 3.50 percent), a managed care organization, Acorda Therapeutics, Inc. (00484MAA4) (holding percentage*: 3.29 percent), a biotechnology company that develops therapies for spinal cord injuries, and Allergan PLC (EP0481507), (holding percentage*: 2.27 percent), a global pharmaceutical developer and distributor, declined during the six-month period. Since it was added to the Fund mid-March, the NuVasive Inc. convertible bond increased 8.2 percent. Conversely, during the six-month period, the Molina Healthcare, Inc. and Acorda Therapeutics, Inc. convertible bonds and the Allergan PLC convertible preferred stock declined 8.2 percent, 11.4 percent, and 19.8 percent, respectively. While detracting from absolute performance, these declines do help to highlight how the convertible securities can significantly protect on the downside when the underlying common stock falls. For example, the common stocks of Molina Healthcare, Inc. (MOH) (holding percentage*: not held), Acorda Therapeutics, Inc. (ACOR) (holding percentage*: not held), and Allergan PLC (AGN) (holding percentage*: not held) dropped 16.5 percent, 28.3 percent, and 29.8 percent, respectively, during the six-month period.

The Sub-Adviser expects global economic headwinds to persist and for moderate gross domestic product growth in the United States to continue. As most convertible securities are originated by high-yield issuers, the Sub-Adviser also considers how default rates may impact the market. The Sub-Adviser believes that there may be a continued increase in defaults for the commodity industry, but this backdrop may provide additional opportunities within the space due to market inefficiencies.

* Holdings percentage(s) as of 4/30/2016.

Growth of $100,000 Investment – (Unaudited)

Total Returns as of April 30, 2016

	Six		Annualized	Annualized	Annualized	Annualized Since
	Months	One Year	Three Years	Five Years	Ten Years	Inception (12/10/04)
Class N	(6.42)%	(12.24)%	2.92%	2.02%	4.06%	4.67%
Class C	(7.02)%	(13.21)%	1.83%	0.99%	3.01%	3.63%
Class A with load of 5.75%	(12.04)%	(17.64)%	0.61%	0.56%	N/A	3.20%*
Class A without load	(6.70)%	(12.61)%	2.61%	1.77%	N/A	3.85%*
Bof A Merrill Lynch All Convertibles All Qualifies Index	(2.88)%	(6.64)%	6.59%	6.17%	6.02%	6.09%
Morningstar Convertibles Category	(3.09)%	(7.63)%	4.50%	3.83%	4.90%	5.60%

* Class A commenced operations on January 3, 2007.

The Merrill Lynch All Convertibles All Qualities Index is a widely used index that measures convertible securities’ performance. It measures the performance of U.S. dollar-denominated convertible securities not currently in bankruptcy with a total market value greater than $50 million at issuance.

The Morningstar Convertibles Category is generally representative of convertible bond portfolios that are designed to offer some of the capital-appreciation of stock portfolios, while also supplying some of the safety and yield of bond portfolios.

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.34% for Class N, 2.34% for Class C and 1.59% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

43

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Appreciation & Income Fund

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date	Value
CONVERTIBLE BONDS - 74.9%
BIOTECHNOLOGY - 3.3%
Acorda Therapeutics, Inc.	$	965,000		1.7500	%	6/15/2021	$	865,484
DIVERSIFIED FINANCIAL SERVICES - 4.7%
FXCM, Inc.		715,000		2.2500		6/15/2018		411,125
PRA Group, Inc.		960,000		3.0000		8/1/2020		829,200
								1,240,325
ELECTRICAL COMPONENTS & EQUIPMENT - 3.4%
SunPower Corp.		1,120,000		0.8750		6/1/2021		898,100
HEALTHCARE-PRODUCTS - 11.8%
Cepheid, Inc.		1,040,000		1.2500		2/1/2021		897,000
NuVasive, Inc. - 144A		1,020,000		2.2500		3/15/2021		1,153,237
Wright Medical Group, Inc.		1,115,000		2.0000		6/15/2019		1,065,522
								3,115,759
HEALTHCARE-SERVICES - 3.5%
Molina Healthcare, Inc.		820,000		1.6250		8/15/2044		919,425
HOME BUILDERS - 2.8%
CalAtlantic Group, Inc.		700,000		1.2500		8/1/2032		738,063
INSURANCE - 2.1%
AmTrust Financial Services, Inc.		745,000		2.7500		12/15/2044		566,666
INTERNET - 7.7%
FireEye, Inc. - 144A		990,000		1.0000		6/1/2035		860,681
LinkedIn Corp.		595,000		0.5000		11/1/2019		558,556
Pandora Media, Inc. - 144A		670,000		1.7500		12/1/2020		613,469
								2,032,706
MACHINERY-DIVERSIFIED - 1.6%
Chart Industries, Inc. ^		450,000		2.0000		8/1/2018		415,406
PHARMACEUTICALS - 6.5%
Akorn, Inc.		110,000		3.5000		6/1/2016		319,756
Depomed, Inc.		405,000		2.5000		9/1/2021		448,284
Impax Laboratories, Inc. - 144A		1,020,000		2.0000		6/15/2022		949,238
								1,717,278
RETAIL - 2.7%
GNC Holdings, Inc. - 144A ^		895,000		1.5000		8/15/2020		704,253
SEMICONDUCTORS - 9.9%
Micron Technology, Inc. ^		690,000		3.0000		11/15/2043		492,056
ON Semiconductor Corp. - 144A		1,205,000		1.0000		12/1/2020		1,098,809
Rambus, Inc.		900,000		1.1250		8/15/2018		1,032,188
								2,623,053

See accompanying notes to financial statements.

44

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Appreciation & Income Fund (Continued)

April 30, 2016

	Principal		Interest			Maturity
Security	Amount		Rate			Date		Value
SOFTWARE - 11.5%
Akamai Technologies, Inc.	$	820,000		0.0000	%	2/15/2019		$	793,350
Interactive Intelligence Group, Inc. - 144A		145,000		1.2500		6/1/2020			126,694
Medidata Solutions, Inc.		760,000		1.0000		8/1/2018			803,225
Pros Holdings, Inc.		950,000		2.0000		12/1/2019			755,250
ServiceNow, Inc.		470,000		0.0000		11/1/2018			546,669
									3,025,188
TELECOMMUNICATIONS - 3.4%
Finisar Corp.		932,000		0.5000		12/15/2033			890,643
TOTAL CONVERTIBLE BONDS (Cost - $22,690,283)									19,752,349
						Dividend
			Shares			Rate
PREFERRED STOCK - 12.5%
INSURANCE - 1.4%
Maiden Holding Ltd.				7,870		7.25	%		372,723
PHARMACEUTICALS - 2.3%
Allergan plc				735		5.5000			596,445
REITS - 4.7%
Crown Castle International Corp.				5,750		4.5000			610,736
iStar Financial, Inc.				15,000		4.5000			640,200
									1,250,936
TELECOMUNICATIONS - 4.1%
Frontier Communications Corp. ^				10,500		11.1250			1,093,313
TOTAL PREFERRED STOCK (Cost - $3,596,921)									3,313,417
						Interest
						Rate
SHORT-TERM INVESTMENT - 12.2%
MONEY MARKET FUND - 12.2%
First American Government Obligations Fund				3,223,250		0.01	% +		3,223,250
TOTAL SHORT-TERM INVESTMENT (Cost - $3,223,250)
COLLATERAL FOR SECURITIES LOANED - 10.5%
Mount Vernon Prime Portfolio + (Cost - $2,769,760)				2,769,760		0.51	%		2,769,760
TOTAL INVESTMENTS - 110.1% (Cost - $32,280,214)								$	29,058,776
LIABILITIES IN EXCESS OF OTHER ASSETS - (10.1)%									(2,697,816	)
TOTAL NET ASSETS - 100.0%								$	26,360,960

^ All or a portion of these securities are on loan. Total loaned securies had a value of $2,688,014 at April 30, 3016.

* Non-income producing security.

+ Variable rate security. Interest rate is as of April 30, 2016.

REITS - Real Estate Investment Trusts.

144A- Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers.

See accompanying notes to financial statements.

45

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Appreciation & Income Fund (Continued)

April 30, 2016

Portfolio Composition * - (Unaudited)
Convertible Bonds	68.0	%
Preferred Stock	11.4	%
Short-Term Investment	11.1	%
Collateral For Securities Loaned	9.5	%
Total	100.0	%

* Based on total value of investments as of April 30, 2016.

Percentage may differ from Schedule of Investments which are based on Fund net assets.

See accompanying notes to financial statements.

46

Dunham Alternative Strategy Fund

Message from the Sub-Adviser (Market Concepts, LLC)

Managed futures strategies, as measured by the Credit Suisse Managed Futures Liquid Index, increased 6.9 percent in the six-month period ending April 30, 2016. In the first three months of the period, or the first fiscal quarter, the index increased 4.7 percent. The second fiscal quarter was less dramatic as managed futures rose only 2.0 percent. Still, it was a significant improvement from the three fiscal quarters of declines previous to that. Domestic equity markets, as measured by the S&P 500 Index, didn’t fare quite as well, increasing 0.4 percent during the six-month period. Emerging markets equities, as measured by the MSCI Emerging Markets Index, showed a negative return, falling 0.1 percent. However, this moderate overall return was not indicative of the excitement that emerging markets equities experienced during the period as they had a weak first fiscal quarter, dropping 12.1 percent, followed by a strong second fiscal quarter, rising 13.7 percent. Foreign developed markets, as measured by the MSCI EAFE Index, had the poorest performance with a 3.1 percent decline during the six-month period. As with the other equity indexes, foreign developed stocks suffered during the first fiscal quarter, losing 9.9 percent, but were not able to recover the lost ground, gaining only 7.6 percent in the second fiscal quarter. With the diversified nature of managed futures, exposure to multiple asset classes may provide non-correlated returns as reflected in the performance of the Credit Suisse Managed Futures Liquid Index. The Sub-Adviser continues to believe that the trend conditions of the various asset classes offer the Fund an advantageous investment environment on the back-drop of the multiple year divergence that has occurred between the domestic equity markets and other investment asset classes.

In the later part of the first fiscal quarter, the Sub-Adviser launched a newly updated investment strategy that is made up of eight individual components, or modules, that seek long and short exposure based on a relative strength indicator. Two of these modules were suspended, however, mainly due to a drastic change of market environment. Wild volatility in the commodities markets saw Crude Oil drop to levels not seen since 2002, while Gold saw rapid out-of-trend advances over a series of single-day rallies. Consequently, both the Gold and Oil modules have been suspended in the portfolio for the time being. Modules related to the S&P 500 Index and U.S. Treasuries performed well for the environment and profits were also found in the Euro currency. While commodity exposure has been reduced temporarily, the Sub-Adviser expects the portfolio to produce non-correlated returns overall by systematically applying long/short positions in equity, currency and fixed income based areas.

The Fund experienced its largest gains in the newly added fixed income module, which was not implemented until early January. The Sub-Adviser attempted to exploit both positive and negative trends in the 20+ year U.S. Treasury exclusively in the fixed income area. When going long, iShares 20+ Year Treasury Bond (TLT) (holding percentage**: 20.22 percent) was used. Conversely, ProShares Short 20+ Year Treasury (TBF) (holding percentage**: 17.97 percent) was employed when a rise in long-term Treasury rates was expected. Both strategies had positive results for the Fund.

Long and short strategies in the equity market had mixed results as trades related to the S&P 500 Index, as represented by the SPDR S&P 500 ETF (SPY) (holding percentage**: 17.99 percent) when going long and the ProShares Short S&P 500 ETF (SH) (holding percentage**: 17.99 percent) when shorting, were generally positive. Trades tied to the MSCI EAFE Index, as represented by the iShares MSCI EAFE ETF (EFA) (holding percentage**: 17.98 percent) on long trades and by the ProShares Short MSCI EAFE ETF (EFZ) (holding percentage**: 7.99 percent) on short trades, had a negative impact. The MSCI EAFE Index contains stocks of developed countries, such as those in Western Europe, Japan and Australia. Strategies in emerging markets countries, as represented by long and short ETFs that track the MSCI Emerging Markets Index, didn’t fair as poorly as the developed markets, but still were slightly negative.

The Sub-Adviser continued to focus on currency movements as well, particularly in the Yen and Euro. Trades were made in the CurrencyShares Japanese Yen Trust (FXY) (holding percentage**: 13.63 percent) and the CurrencyShares Euro Trust (FXE) (holding percentage**: 18.36 percent), which attempt to track the performance of the Yen and Euro, respectively. However, when the Sub-Adviser sought to exploit negative trends in these currencies, it utilized the ProShares UltraShort Yen (YCS) (holding percentage**: 8.21 percent) and the ProShares UltraShort Euro (EUO) (holding percentage**: 6.89 percent), which attempt to track the inverse performance of the Yen and Euro, respectively. The trades in both FXE and EUO generally resulted in positive contributions to performance for the Fund, while the trades in both FXY and YCS detracted.

The Sub-Adviser’s focus on both short-term and long-term trends provided mixed results, as volatility and concern in the markets generally caused some sharp reversals in trends. While these dramatic shifts may provide opportunities for the Sub-Adviser to find another short-term trend, they may also cause additional losses, especially in the holdings that were established by longer-term trends. Therefore, the Sub-Adviser’s selection of established trends that meet strict requirements generally detracted from the Fund’s performance relative to the benchmark index during the fiscal quarter.

* Holdings Percentage(s) as of 4/30/2016.

** Holdings Percentage(s) as of the date prior to the sales of the security.

Growth of $100,000 Investment - (Unaudited)

Total Returns as of April 30, 2016

	Six		Annualized	Annualized	Annualized Since
	Months	One Year	Three Years	Five Years	Inception (2/12/09)
Class N	(10.88)%	(13.17)%	(2.77)%	(4.11)%	(0.55)%
Class C	(11.34)%	(14.07)%	(3.76)%	(5.11)%	(2.08)% *
Class A with load of 5.75%	(11.01)%	(18.40)%	(4.91)%	(5.49)%	(1.47)% **
Class A without load	(11.01)%	(13.43)%	(3.02)%	(4.37)%	(0.65)% **
Dow Jones Credit Suisse Managed Futures Liquid Index	6.86%	2.08%	8.65%	3.45%	3.37%
Morningstar Managed Futures Category	0.05%	(4.27)%	1.64%	(2.22)%	(1.22)%

* Inception date for Class C is May 14, 2009.

** Inception date for Class A is March 25, 2009, performance for Class A includes the operations of the predecessor, Sherwood Forest Alternative Fund (formerly Class P).

Class N and Class C performance includes the operations of the predecessor, Sherwood Forest Alternative Fund (formerly Class I and Class C, respectively).

The Dow Jones Credit Suisse Managed Futures Liquid Index allocates assets among four major asset classes (equities, fixed-income, commodities and currencies) represented by 18 trading vehicles using a methodology that, in part, seeks to replicate a managed futures strategy that historically has produced gains during periods of rising and declining markets. Investors cannot invest directly in an index or benchmark.

The Morningstar Managed Futures Category is generally representative of funds that trade liquid global futures, options, swaps, and foreign exchange contracts, both listed and over-the-counter. A majority of these funds follow trend-following, price-momentum strategies.

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses before and after fee waiver, including underlying funds, are 1.80% for Class N, 2.80% for Class C and 2.05% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com

47

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Alternative Strategy Fund

April 30, 2016

Security	Shares		Value
EXCHANGE TRADED FUNDS - 80.6%
ASSET ALLOCATION FUND - 26.6%
CurrencyShares Euro Trust *		36,300	$	4,059,791
ProShares UltraShort Yen *		26,700		1,816,134
				5,875,925
DEBT FUND - 18.0%
ProShares Short 20+ Year Treasury *		174,300		3,972,297
EQUITY FUNDS - 36.0%
iShares MSCI EAFE ETF		68,000		3,973,240
ProShares Short S&P 500 *		195,800		3,976,698
				7,949,938
TOTAL EXCHANGE TRADED FUNDS (Cost - 17,973,365)				17,798,160
SHORT -TERM INVESTMENT - 19.5%
MONEY MARKET FUND - 19.5%
STIT-Treasury Portfolio - 0.21% + (a)
(Cost - $4,309,853)		4,309,853		4,309,853
TOTAL INVESTMENTS - 100.1% (Cost - $22,283,218)			$	22,108,013
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)%				(31,816	)
NET ASSETS - 100.0%			$	22,076,197

ETF - Exchange Traded Fund

* Non income producing security.

+ Variable rate security. Interest rate is as of April 30, 2016.

(a) Represents annualized yield at date of purchase for discount securities and coupon for coupon based securities.

Portfolio Composition * - (Unaudited)
Equity Funds	36.0	%
Asset Allocation Funds	26.5	%
Money Market Funds	19.5	%
Debt Fund	18.0	%
Total	100.0	%

^* Based on total value of investments as of April 30, 2016.

Percentage may differ from Schedule of Investments which are based on Fund net assets.

See accompanying notes to financial statements.

48

Dunham Large Cap Value Fund
Message from the Sub-Adviser (Rothschild Asset Management, Inc.)

U.S. equity markets provided mixed rewards across the major sectors during the six-month period ended April 30, 2016. Despite the divergence in the underlying sector performance, large cap value stocks, as measured by the Russell 1000 Value Index, increased 1.9 percent. However, the dispersion between the best performing large cap value sector (telecommunication services) and the worst performing sector (consumer discretionary) was more than 17 percent. The primary macro-oriented themes that influenced this polarized performance were the energy price resurgence and concerns surrounding the Fed’s view on “how soon is too soon” to raise interest rates again now that Fed Chair Janet Yellen showed in December that interest rate increases are a reality under her reign. Global market concerns and a widespread absence of revenue growth contributed to investor unease, but were not as impactful on a day-to-day basis as oscillating oil prices or the intense interpolation of the Fed’s primary economic indicators and the potential justification for a near-term increase in interest rates.

The overall 1.8 percent increase in the energy sector during the six-month period provides little transparency into the 18.8 percent decline experienced from the beginning of the fiscal year through mid-February, before the sector surged 25.3 percent. The Sub-Adviser generally avoided most energy services companies, as its risk controls generally deemed those to be less attractive. However, the Fund did hold energy related stocks, such as ConocoPhillips (COP) (holding percentage*: 2.50 percent), Exxon Mobil Corp. (XOM) (holding percentage*: 4.86 percent), and EOG Resources Inc. (EOG) (holding percentage*: 2.05 percent). All three of these companies are engaged in the exploration, development, production and marketing of crude oil and natural gas, although their predominant proficiencies range from shale fracking to deep ocean drilling to refining. Therefore, their prices were still impacted by the fall and subsequent surge in oil prices, albeit to a lesser extent than those companies that derive the majority of their revenues from providing the machinery and technology to exploration and refining companies. During the six-month period, COP and EOG decreased 9.7 percent and 3.3 percent, respectively. Conversely, XOM rose 8.8 percent during the same time period.

The utilities sector was significantly affected by the interest rate excitement during the six-month period. The Sub-Adviser generally exercised a significant overweight to the sector during the first fiscal quarter. However, after the sector surged close to 4.5 percent before the final trading days of February, the Sub-Adviser used the opportunity to reduce the overweight and allocate to areas that exhibited what it believed to be better risk-reward profiles. Some of the industries that the Sub-Adviser viewed as having a more attractive profile were in the areas of media and telecommunications. Within the telecommunications sector, AT&T Inc. (T) (holding percentage*: 2.00 percent), increased 9.0 percent in the second fiscal quarter after increasing 9.1 percent in the previous fiscal quarter. Within the media industry, CBS Corp. (CBS) (holding percentage*: 1.17 percent) increased 18.0 percent in the second fiscal quarter, after rising 2.4 percent in the previous fiscal quarter. When viewing the six-month period in its entirety, T and CBS boasted 18.9 percent and 20.9 percent returns, respectively.

While the financial services sector was one of the largest detractors in the first fiscal quarter, it only slightly lagged in the second fiscal quarter. In the first fiscal quarter, holdings such as American Express Co. (AXP) (holding percentage*: 1.04 percent) and Discover Financial Services (DFS) (holding percentage*: 1.41 percent) declined 26.6 percent and 18.2 percent, respectively. The Sub-Adviser re-evaluated these holdings in-line with its strict process and perceived the extreme magnitude of these declines to be unwarranted. During the second fiscal quarter, AXP and DFS increased 22.9 percent and 23.7 percent, respectively. The most recent rebound for AXP was not enough to offset the earlier loss, but it did bring the six-month performance to a negative 9.9 percent. However, the rebound in DFS was enough to offset the prior period’s decline, ending the six-month period up 1.2 percent. The Sub-Adviser believes that the financial services sector will continue to fluctuate with the transitioning views on interest rates – particularly the timing of the rate increases and the magnitude of each increase.

Although the Sub-Adviser anticipates that the balance of 2016 is likely to have similar volatility to what we have recently witnessed, its disciplined use of risk controls and desire to minimize the influence of factor-based risks are expected to meaningfully mitigate downward pressures in the large cap value space. The Sub-Adviser continues to believe that U.S. companies will provide lackluster earnings for the next two to three years, with the status of the global economy dictating the duration of this anemic growth environment. Therefore, the Sub-Adviser’s combination of fundamental analysis with quantitative tools driving its stock selection is designed to potentially identify stocks that it believes will prevail in a low-growth environment.

* Holdings Percentage(s) as of 4/30/2016.

Growth of $100,000 Investment - (Unaudited)

Total Returns as of April 30, 2016

	Six		Annualized	Annualized	Annualized	Annualized Since Inception
	Months	One Year	Three Years	Five Years	Ten Years	(12/10/04)
Class N	(0.93)%	(2.72)%	8.11%	7.52%	4.48%	5.54%
Class C	(1.41)%	(3.68)%	7.03%	6.45%	3.44%	4.50%
Class A with load of 5.75%	(1.08)%	(8.55)%	5.72%	5.98%	N/A	3.16%*
Class A without load	(6.75%	(2.98)%	7.82%	7.25%	N/A	3.82%*
Russell 1000 Value Index	1.93%	(0.40)%	9.59%	10.13%	5.67%	4.79%
Morningstar Large Cap Value Category	0.29%	(2.64)%	7.92%	8.22%	4.78%	5.59%

* Class A commenced operations on January 3, 2007.

The Russell 1000 Value Index measures the performance of the 1,000 largest companies in the Russell 3000 Index with lower price-to-book ratios and lower forecasted growth values. Investors cannot invest directly in an index or benchmark.

The Morningstar Large Cap Value Category is generally representative of mutual funds that primarily invest in big (large capitalization) U.S. companies that are less expensive or growing more slowly than other large-cap stocks.

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.25% for Class N, 2.25% for Class C and 1.50% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

49

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Large Cap Value Fund

April 30, 2016

Security	Shares		Value
COMMON STOCK -97.4%
AEROSPACE/DEFENSE - 2.5%
Northrop Grumman Corp.		4,758	$	981,385
Raytheon Co.		3,226		407,605
				1,388,990
AIRLINES - 0.8%
JetBlue Airways Corp. * ^		22,092		437,201
BANKS - 10.7%
Bank of America Corp.		96,111		1,399,376
JPMorgan Chase & Co.		27,870		1,761,384
M&T Bank Corp ^		7,633		903,137
SunTrust Banks, Inc.		15,320		639,457
Wells Fargo & Co.		24,487		1,223,860
				5,927,214
BEVERAGES - 2.0%
Coca-Cola Enterprises, Inc. ^		7,645		401,210
PepsiCo, Inc.		6,818		701,981
				1,103,191
BIOTECHNOLOGY - 2.9%
Amgen, Inc.		3,231		511,467
Biogen, Inc. *		1,647		452,909
Gilead Sciences, Inc.		7,103		628,938
				1,593,314
CHEMICALS - 2.2%
Dow Chemical Co. ^		17,755		934,091
LyondellBasell Industries NV - Class A		3,642		301,084
				1,235,175
COMMERCIAL SERVICES - 1.3%
ManpowerGroup, Inc.		9,216		709,908
COMPUTERS - 2.2%
Amdocs Ltd.		11,586		655,072
Apple, Inc.		5,797		543,411
				1,198,483
COSMETICS / PERSONAL CARE - 1.5%
Procter & Gamble Co. ^		10,353		829,482
DIVERSIFIED FINANCIAL SERVICES - 4.3%
American Express Co. ^		8,744		572,120
Ameriprise Financial, Inc.		6,039		579,140
Discover Financial Services		13,722		772,137
Raymond James Financial, Inc.		8,079		421,481
				2,344,878
ELECTRIC - 4.9%
American Electric Power Co., Inc.		16,815		1,067,753
DTE Energy Co. ^		7,951		708,911
Edison International ^		13,141		929,200
				2,705,864

Security	Shares		Value
ENGINEERING & CONSTRUCTION - 1.0%
Fluor Corp. ^		10,149	$	554,744
ENVIRONMENTAL CONTROL - 1.3%
Waste Management, Inc.		11,711		688,490
FOOD - 1.4%
Kroger Co.		8,233		291,366
Pinnacle Foods, Inc.		10,640		453,158
				744,524
FOREST PRODUCTS & PAPER - 1.8%
International Paper Co. ^		22,532		974,960
HEALTHCARE-PRODUCTS - 1.1%
Becton Dickinson and Co. ^		3,701		596,823
HOME BUILDERS - 1.3%
PulteGroup, Inc. ^		38,008		698,967
INSURANCE - 6.4%
Allstate Corp.		13,827		899,446
American International Group, Inc.		12,046		672,408
Berkshire Hathaway, Inc. *		2,426		352,934
Chubb Ltd.		6,804		801,919
MetLife, Inc.		18,156		818,836
				3,545,543
MEDIA - 3.2%
CBS Corp. ^		11,506		643,300
Comcast Corp. - Class A		9,820		596,663
Time Warner, Inc.		7,115		534,621
				1,774,584
MISCELLANEOUS MANUFACTURING - 2.0%
3M Co.		1,765		295,426
General Electric Co. ^		26,886		826,744
				1,122,170
OIL & GAS - 12.4%
Chevron Corp. ^		10,179		1,040,090
ConocoPhillips ^		28,762		1,374,536
EOG Resources, Inc.		13,668		1,129,250
Exxon Mobil Corp. ^		30,205		2,670,122
Valero Energy Corp.		10,498		618,017
				6,832,015
PHARMACEUTICALS - 9.4%
Cardinal Health, Inc.		8,126		637,566
Johnson & Johnson		11,909		1,334,761
Merck & Co., Inc. ^		24,793		1,359,648
Pfizer, Inc.		57,109		1,868,035
				5,200,010

See accompanying notes to financial statements.

50

SCHEDULE OF INVESTMENTS (Unaudited)(Continued)

Dunham Large Cap Value Fund

April 30, 2016

	Shares		Value
REITS - 3.0%
Boston Properties, Inc.		4,576	$	589,663
Equity LifeStyle Properties, Inc.		9,475		648,943
Public Storage ^		1,771		435,272
				1,673,878
RETAIL - 4.1%
Home Depot, Inc. ^		5,167		691,810
Macy’s, Inc.		12,358		489,253
Target Corp. ^		13,386		1,064,187
				2,245,250
SAVINGS & LOANS - 1.0%
New York Community Bancorp, Inc.		38,353		576,446
SEMICONDUCTORS - 2.6%
Intel Corp. ^		20,604		623,889
QUALCOMM, Inc.		15,988		807,714
				1,431,603
SOFTWARE - 3.9%
Microsoft Corp.		32,950		1,643,217
Nuance Communications, Inc. *		30,253		519,747
				2,162,964
TELECOMMUNICATIONS - 6.2%
AT&T, Inc.		28,315		1,099,188
Cisco Systems, Inc. ^		46,600		1,281,034
Juniper Networks, Inc.		14,438		337,849
Verizon Communications		14,322		729,563
				3,447,634
TOTAL COMMON STOCK (Cost - $48,430,515)				53,744,305

Security	Shares		Value
SHORT - TERM INVESTMENT - 2.2%
MONEY MARKET FUND - 2.2%
STIT-STIC Prime Portfolio - 0.21% +
(Cost - $1,211,460)		1,211,460	$	1,211,460
COLLATERAL FOR SECURITIES LOANED - 16.2%
Mount Vernon Prime Portfolio 0.51% +
(Cost - 8,965,266)		8,965,266		8,965,266
TOTAL INVESTMENTS - 115.8% (Cost - $58,607,241)			$	63,921,031
LIABILITIES LESS OTHER ASSETS - (15.8)%				(8,721,497	)
NET ASSETS - 100.0%			$	55,199,534

^ All or a portion of these securities are on loan. Total loaned securities had a value of $8,900,203 at April 30, 2016.

* Non-income producing security.

+ Variable rate security. Interest rate is as of April 30, 2016.

Portfolio Composition * - (Unaudited)
Financial	22.0	%	Industrial	5.9	%
Consumer, Non-Cyclical	16.9	%	Consumer, Cyclical	5.3	%
Collateral for Securities Loaned	14.0	%	Utilities	4.2	%
Energy	10.7	%	Basic Materials	3.4	%
Communications	8.2	%	Funds	1.9	%
Technology	7.5	%	Total	100.0	%

^* Based on total value of investments as of April 30, 2016.

Percentage may differ from Schedule of Investments which are based on Fund net assets.

See accompanying notes to financial statements.

51

Dunham Focused Large Cap Growth Fund
Message from the Sub-Adviser (The Ithaka Group, LLC)

Volatility in Chinese markets and increased interest rates in the United States dominated attention during the first half of the fiscal year, with global markets experiencing backlash from some of the events. Market sell-offs occurred, hinging on data concerning China’s market health, while global markets were whipsawed by the ensuing volatility. The price of oil also played a large role in the global decline during the first half of the fiscal six-month period, as the commodity’s surplus continued to overflow. Political events preceding the U.S. presidential election, the risk of a “Brexit” in Europe, and a suddenly weakening U.S. dollar also occupied the focus of volatility in global markets. A risk-off investor sentiment detracted from money flowing into many riskier parts of the U.S. market. U.S. equities bottomed out in January and February but, managed to return to previous levels near the end of the first half of the fiscal year. Large cap growth stocks, as measured by the Russell 1000 Growth Index, had a volatile six-month period with a decline of 1.4 percent for the fiscal period that ended April 30, 2016. The most recent performance fell behind other broader equity indexes, such as the S&P 500 Index, which increased 0.4 percent.

The technology sector struggled over the fiscal six-month period. A large detractor from performance was LinkedIn, Corp. (LNKD) (holding percent*: 1.1 percent), which operates a social networking website used for professional networking. The website allows members to post profiles of their professional expertise and accomplishments. It also lets members network with potential clients, service providers and subject experts. The Sub-Adviser believes recent poor performance has stemmed from unclear guidance estimates by the company’s management. The holding declined 48.0 percent over the first half of the fiscal year. A holding that helped slow the decline in the technology sector was Facebook, Inc. (FB) (holding percentage*: 8.1 percent), an online social networking service. FB gained 15.3 percent during the fiscal six-month period. The Sub-Adviser has strong conviction in the holding and believes there is a great deal of potential future growth.

The consumer discretionary sector was also responsible for detracting from the Funds performance. Contributing to this poor performance was Starbucks Corp. (SBUX) (holding percentage*: 5.9 percent), a premier roaster, marketer, and retailer of specialty coffee in the world, which decreased 9.5 percent over the most recent fiscal six-month period. The Sub-Adviser thinks the recent underperformance can be attributed to not meeting investors’ unrealistic expectations during a slowdown in growth, after a year of massive buildup. Strong performance in the consumer discretionary sector came from Amazon.com Inc. (AMZN) (holding percentage*: 4.9 percent), an online retailer that offers a wide range of products, personalized shopping services, Web-based credit card payment and direct shipping to customers. The Sub-Adviser sees the company’s continued commitment to build out their logistics infrastructure during the fiscal six-month period as evidence of strong long-term growth. The Sub-Adviser also believes the continued improvement of benefits for Amazon Prime members has aided in the attraction of new customers and is a strong catalyst for establishing loyal customers. The company experienced an increase of 5.4 percent over the fiscal first half of the year.

A lagging sector in the Fund came from healthcare. Illumina, Inc. (ILMN) (holding percentage*: 2.3 percent) hurt the sectors performance with a 5.8 percent decline during the fiscal first half of the year. The company develops, manufactures, and sells systems for the analysis of genetic variation and biological function. The Sub-Adviser attributes the decline to a transitioning of the company’s business model as well as missteps by management in the European market. The sales focus changed from being an equipment provider to centering on consumables products, and the Sub-Adviser believes it has taken time for the adjustment to get up to full speed. In the European market, veteran managers have been appointed to handle issues and oversee improvements. The Sub-Adviser regards the company’s large market share, compared to their competition, as a stimulant for strong long-term performance.

The Sub-Adviser claims no expertise in economic or market predictions, and top-down analysis plays no part in their approach to investing. The Sub-Adviser does not try to “guess” where the market is heading in the next fiscal quarter or fiscal year and therefore chooses to stay fully invested at all times in what it believes are high-quality growth companies. The Sub-Adviser strives to own companies with robust business models and balance sheets that it believes are built to withstand difficult economic environments. With few exceptions, each of the companies in the current portfolio historically exhibited strong fundamentals during the 2008/2009 downturn. Those few that did not have since then significantly strengthened their balance sheets. The Sub-Adviser uses a fundamentals-driven, bottom–up process to identify and own companies that may outperform over the long-term. The Sub-Adviser continues to believe that many of the stocks in the Fund are well-positioned to outperform over the economic cycle due to the strength of the long-term secular trends underpinning them, coupled with the Sub-Adviser’s unique abilities to take advantage of these trends.

* Holdings percentage(s) as of 4/30/2016.

Growth of $100,000 Investment - (Unaudited)

Total Returns as of April 30, 2016

			Annualized	Annualized Since
	Six	One	Three	Inception
	Months	Year	Years	(12/8/11)
Class N	(8.98)%	(3.46)%	10.92%	10.73%
Class C	(9.46)%	(4.49)%	9.80%	9.64%
Class A with load of 5.75%	(14.28)%	(9.29)%	8.44%	8.98%
Class A without load	(9.07)%	(3.74)%	10.61%	10.45%
Russell 1000 Growth Index	(1.37)%	1.07%	12.47%	15.06%
Morningstar Large Cap Growth Category	(3.70)%	(2.58)%	10.45%	13.05%

The Russell 1000 Growth Index is a subset of the Russell 1000 Index which measures the performance of the stocks of the 1000 largest companies in the Russell 3000 Index based on market capitalization. The Russell 1000 Growth Index measures the performance of those stocks of the Russell 1000 with higher price-to-book ratios and higher relative forecasted growth rates. Investors cannot invest directly in an index or benchmark.

The Morningstar Large Cap Growth Category is generally representative of mutual funds that primarily invest in big (large capitalization) U.S. companies that are projected to grow faster than other large-cap stocks.

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.34% for Class N, 2.34% for Class C and 1.59% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our websitewww.dunham.com.

52

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Focused Large Cap Growth Fund

April 30, 2016

Security	Shares		Value
COMMON STOCK - 99.2%
AEROSPACE/DEFENSE - 2.6%
TransDigm Group, Inc. *		7,392	$	1,684,415
APPAREL - 5.2%
NIKE, Inc.		15,979		941,802
Under Armour, Inc. - Class A * ^		28,624		1,257,739
Under Armour, Inc. - Class C * ^		28,624		1,167,859
				3,367,400
BIOTECHNOLOGY - 13.8%
Alexion Pharmaceuticals, Inc. *		12,279		1,710,219
Biogen Idec, Inc. *		2,265		622,852
BioMarin Pharmaceutical, Inc. *		5,605		474,631
Celgene Corp. * ^		23,206		2,399,732
Illumina, Inc. *		10,687		1,442,638
Regeneron Pharmaceuticals, Inc. *		5,919		2,229,747
				8,879,819
COMMERCIAL SERVICES - 2.2%
PayPal Holdings, Inc. *		36,300		1,422,234
DIVERSIFIED FINANCIAL SERVICES - 10.1%
MasterCard, Inc.		29,088		2,821,245
Visa, Inc. - Class A ^		47,226		3,647,736
				6,468,981
HEALTHCARE_PRODUCTS - 1.0%
Edwards Lifesciences Corp. *		5,995		636,729
INTERNET - 29.3%
Alphabet, Inc. *		4,230		2,931,432
Amazon.com, Inc. *		4,731		3,120,520
Baidu, Inc. - ADR * ^		5,381		1,045,528
Facebook, Inc. - Class A *		43,931		5,165,407
LinkedIn Corp. - Class A *		5,800		726,798
Netflix, Inc. *		4,125		371,374
Priceline Group, Inc. *		2,601		3,494,860
Splunk, Inc. * ^		21,151		1,099,429
TripAdvisor, Inc. *		12,855		830,305
				18,785,653
MACHINERY-DIVERSIFIED - 2.1%
The Middleby Corp. *		12,205		1,338,156

Security	Shares		Value
MEDIA - 2.7%
Walt Disney Co. ^		16,539	$	1,707,817
RETAIL - 16.4%
Domino’s Pizza Inc.^		6,099		737,247
Home Depot, Inc.		4,779		639,860
O’Reilly Automotive, Inc. *		2,317		608,630
Starbucks Corp. ^		67,208		3,779,106
TJX Cos. Inc. ^		21,472		1,628,007
Ulta Salon, Cosmetics & Frag. *		15,127		3,150,652
				10,543,502
SOFTWARE - 11.5%
Adobe Systems, Inc.*		18,034		1,699,164
Salesforce.com, Inc. *		47,645		3,611,491
Ultimate Software Group, Inc. *		5,269		1,035,833
Workday, Inc. - Class A * ^		13,901		1,042,297
				7,388,785
TELECOMMUNICATIONS - 2.3%
Palo Alto Networks, Inc. * ^		9,858		1,487,276
TOTAL COMMON STOCK (Cost - $52,580,832)				63,710,767
SHORT-TERM INVESTMENT - 0.8%
MONEY MARKET FUND - 0.8%
First American Obligations Fund, 0.06% +		491,625		491,625
TOTAL SHORT-TERM INVESTMENT (Cost - $491,625)
COLLATERAL FOR SECURITIES LOANED - 19.8%
Mount Vernon Prime Portfolio 0.51% + (Cost - $12,704,917)		12,704,917		12,704,917
TOTAL INVESTMENTS - 119.8% (Cost - $65,777,374)			$	76,907,309
LIABILITIES LESS OTHER ASSETS - (19.8%)				(12,724,259	)
NET ASSETS - 100.0%			$	64,183,050

^ All or a portion of these securities are on loan. Total loaned securities had a value of $12,339,117 at April 30, 2016.

* Non-Income producing security.

ADR - American Depositary Receipt.

+ Variable rate security. Interest rate is as of April 30, 2016.

Portfolio Composition * - (Unaudited)
Communications	28.6	%	Technology	9.6	%
Consumer, Cyclical	18.1	%	Financial	8.4	%
Collateral For Securities Loaned	16.5	%	Industrial	3.9	%
Consumer, Non-Cyclical	14.2	%	Short-Term Investments	0.7	%
			Total	100.0	%

^* Based on total value of investments as of April 30, 2016.

Percentage may differ from Schedule of Investments which is based on Fund net assets.

See accompanying notes to financial statements.

53

Dunham International Stock Fund

Message from the Sub-Adviser (Arrowstreet Capital, L.P.)

International equity markets, as measured by the MSCI All Country World ex USA Index (Net) (referred to as the “Index”), fell 1.75 percent during the six month period ending April 30, 2016 (the “six month period”). For the month of November 2015 and December 2015, the Index was down 2.06 percent and 1.88 percent, respectively. The principal story for the markets in November and December were worries about sluggish economic growth and expectations for higher U.S. interest rates. Conversely, central banks in Europe and Japan ramped up stimulus measures in an attempt to jumpstart lackluster economies. In January, the Index lost 6.80 percent and in February the Index lost 1.14 percent. In March and April, the Index was up 8.13 percent and up 2.63 percent, respectively. Global stocks tumbled into the new year amid worries about China’s slowing economy, rapidly falling oil prices and disappointing U.S. corporate earnings growth. Financial stocks experienced the sharpest declines, weighed down by concerns about risky loans in the energy sector and low interest rates. February produced mixed returns amid investor concerns about slowing global economy, low oil prices, and ongoing turmoil in the banking sector. March experienced a “risk-on” mentality as global equities experienced a strong rally, particularly within emerging markets. The market reversed in March and April with increasing oil prices, the Federal Reserve’s dovish stance on monetary policy, and interest rates were left unchanged.

The Sub-Adviser’s investment process is best characterized as a dynamic process that uses quantitative models to evaluate securities to exploit opportunities across companies, sectors, and countries while seeking to avoid long term systematic biases toward any particular country, sector, style, or market capitalization. These stock selection models are designed to understand what information is likely to impact stock prices with a predictable and measurable lag that allows time to invest and profit. The models obtain the information to forecast individual stock returns by evaluating a stock’s potential on the basis of: (1) direct effects - characteristics of the company itself; and (2) indirect effects - characteristics of other companies that are related by virtue of a common country affiliation and sector affiliation (called country/sector baskets); a common country affiliation; and a common global sector affiliation, and/or other common linkages. Over any time period, the strategy’s performance relative to the Index is driven by allocations to country/sector baskets, stock selection, and the effects of currency exposures differing from those of the Index.

Countries contributing most to the Arrowstreet portfolio’s returns relative to the Index during the six month period included Russia (primarily due to energy sector overweights), South Korea (primarily due to energy and consumer staples sector overweights), and Denmark (primarily due to consumer staples and health care sector overweights). Countries contributing most to the Arrowstreet portfolio’s underperformance relative to the Index included the United Kingdom (primarily due to health care and energy sector underweights), Australia (primarily due to financials and materials sector underweights), and China (primarily due to information technology underweights).

Sectors contributing most to the Arrowstreet portfolio’s returns relative to the Index during the six month period included consumer staples (primarily due to Belgium, Portugal, and Denmark overweights), energy (primarily due to Russia and South Korea overweights), and health care (primarily due to Switzerland and Denmark overweights). Sectors contributing most to the Arrowstreet portfolio’s underperformance relative to the Index included information technology (primarily due to Japan and Finland overweights as well as China underweights), and materials (primarily due to Australia and United Kingdom underweights).

The stocks contributing most to the Arrowstreet portfolio returns relative to the Index during the six month period included Public Joint-Stock Company Gazprom (Russia energy) (holding percentage*: 1.96 percent), Oil Company Lukoil Pjsc (Russia energy), and Jeronimo Martins, Sgps S.A. (Portugal consumer staples) (holding percentage*: 1.14 percent). Stocks contributing most to the Arrowstreet portfolio’s underperformance relative to the Index included Nokia Oyj (Finland information technology) (holding percentage*: 0.76 percent), Dai-Ichi Life Insurance Company, Limited (Japan financials) (holding percentage*: not held), and Tokio Marine Holdings, Inc. (Japan financials) (holding percentage*: 0.54 percent).

The foregoing Insights from the Sub-Advisor are provided by Arrowstreet Capital, Limited Partnership (“Arrowstreet”) through April 30, 2016 for informational purposes only and solely with respect to the portfolio of assets within the Fund managed by Arrowstreet. References to specific stocks, countries or sectors are shown for informational purposes only and are not intended as investment advice. Arrowstreet is not responsible for, and makes no representation with respect to, any other information or performance data set forth herein.

* Holdings Percentage(s) as of 4/30/2016.

Growth of $100,000 Investment - (Unaudited)

Total Returns as of April 30, 2016

	Six		Annualized	Annualized	Annualized	Annualized Since Inception
	Months	One Year	Three Years	Five Years	Ten Years	(12/10/04)
Class N	(2.54)%	(12.43)%	0.26%	0.93%	1.57%	4.30%
Class C	(2.99)%	(13.34)%	0.25%	(0.09)%	0.55%	3.27%
Class A with load of 5.75%	(8.29)%	(17.73)%	(0.99)%	(0.54)%	N/A	0.29%*
Class A without load	(2.67)%	(12.69)%	0.98%	0.65%	N/A	0.93%*
MSCI All Country World ex US Index (net)	(1.75)%	(11.28)%	(0.02)%	(0.13)%	1.70%	4.67%
Morningstar Foreign Large Cap Blend Category	(3.06)%	(9.92)%	0.96%	0.75%	1.12%	3.93%

* Class A commenced operations on January 3, 2007.

The MSCI All Country World ex US Index (net) is a free float-adjusted market capitalization index designed to measure equity market performance in the global developed and emerging markets excluding holdings in the United States and is net of any withholding taxes. Investors cannot invest directly in an index or benchmark.

The Morningstar Foreign Large Cap Blend Category is generally representative of mutual funds that primarily invest in non-U.S. stocks that have market caps in the top 70% of each economically integrated market (such as Europe or Asia ex-Japan). The blend style is generally applicable where neither growth nor value characteristics dominate.

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 2.04% for Class N, 3.04% for Class C and 2.29% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%.The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distribution. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

54

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Stock Fund

April 30, 2016

Security	Shares		Value
COMMON STOCK - 96.0%
ADVERTISING - 0.6%
WPP PLC		24,372	$	570,855
AEROSPACE / DEFENSE - 0.9%
Airbus Group SE		9,682		605,454
Airbus Group SE - ADR		1,260		19,366
Safran SA		2,792		192,530
				817,350
AGRICULTURE - 2.6%
British American Tobacco PLC - ADR ^		4,585		560,058
Imperial Brands PLC - ADR		518		56,255
Japan Tobacco, Inc.		20,600		836,993
KT&G Corp.		502		54,083
Swedish Match AB ^		26,881		854,641
				2,362,030
AIRLINES - 0.4%
Deutsche Lufthansa AG *		24,400		380,004
Turk Hava Yollari *		1		2
				380,006
APPAREL - 0.7%
Christian Dior SE		377		66,264
LVMH Moet Hennessy Louis Vuitton		3,280		546,629
LVMH Moet Hennessy Louis Vuitton - ADR		678		22,523
				635,416
AUTO MANUFACTURERS - 0.7%
Fiat Chrysler Automobiles NV		22,406		180,431
Hyundai Motor Co. - GDR		2,288		96,554
Porsche Automobil Holding SE - ADR		8,533		47,955
Renault SA		3,047		294,075
				619,015
AUTO PARTS & EQUIPMENT - 2.3%
Cie Generale des Etablissements Michelin		2,615		273,209
Cie Generale des Etablissements Michelin - ADR		2,882		60,349
Continental AG		2,190		482,394
GKN PLC		95,089		389,047
JTEKT Corp		14,891		188,562
Nokian Renkaat OYJ		5,729		211,662
Sumitomo Electric Industries Ltd.		15,100		180,638
Toyota Gosei Co. Ltd.		8,400		154,025
Valeo SA		965		153,108
				2,092,994
BANKS - 5.4%
Agricultural Bank of China Ltd.		411,000		148,330
Akbank TAS		38,756		119,242
Banco do Brasil SA		19,000		120,085
Banco Santander SA		15,252		77,175
Bangkok Bank PCL		39,900		186,947
Bangkok Bank PCL		37,300		176,837
Bank Hapoalim BM		92,680		477,930
Bank Leumi Le-Israel BM *		54,789		203,828
Bank of Communications Co. Ltd.		384,000		242,013
China CITIC Bank Corp. Ltd. *		344,000		215,732
Commerzbank AG *		19,043		178,620
Deutsche Bank AG		13,648		258,737
DNB ASA - ADR ^		900		115,398
Gentera SAB de CV		157,400		313,711
Hachijuni Bank Ltd.		25,000		108,688
KBC Groep NV		8,289		466,479
Krung Thai Bank PCL		121,100		60,513
Nordea Bank AB		32,468		315,908
Nordea Bank AB - ADR		13,000		126,230
Sberbank of Russia - ADR		13,891		111,406
Turkiye Garanti Bankasi AS		41,645		128,362
Turkiye Halk Bankasi AS		33,928		130,469

Security	Shares		Value
BANKS (Continued) - 5.4%
Turkiye Is Bankasi		152,254	$	267,307
Turkiye Vakiflar Bankasi TAO		56,993		100,721
Yapi ve Kredi Bankasi AS *		129,421		198,138
				4,848,806
BEVERAGES - 4.4%
Anheuser-Busch InBev NV		6,197		768,964
Anheuser-Busch InBev NV - ADR ^		5,980		742,596
Asahi Group Holdings Ltd.		4,900		154,647
Carlsberg A/S		6,012		586,190
Coca-Cola HBC AG		6,346		129,216
Diageo PLC - ADR		3,670		397,571
Fomento Economico Mexicano SAB de CV - ADR		2,638		245,888
Heineken Holding NV		2,258		186,462
Heineken NV		6,541		613,887
Kirin Holdings Co. Ltd.		5,300		78,835
Suntory Beverage & Food Ltd.		900		39,095
				3,943,349
BUILDING MATERIALS - 2.3%
Asahi Glass Co., Ltd.		55,000		320,314
Asia Cement Corp.		301000		267794
Cemex SAB de CV - ADR *		29582		220385
Cie de Saint-Gobain		4,573		209,602
Geberit AG		443		170579
HeidelbergCement AG		3,171		282,424
Lafarge SA		5,551		282,090
Sika AG		74		315,647
				2,068,835
CHEMICALS - 2.9%
EMS-Chemie Holding AG		1,073		531,435
Givaudan SA		85		167,918
Grupa Azoty SA *		1,810		41,189
Hanwha Chemical Corp.		6,573		143,937
K+S AG		5,344		133,423
LG Chem Ltd.		529		137,220
Lonza Group AG		1,363		227,522
Mexichem SAB de CV		120,600		307,674
Mitsubishi Chemical Holdings Corp.		22,500		116,764
Novozymes A/S - ADR ^		7,260		344,995
Potash Corp of Saskatchewan, Inc.		7,000		124,062
Solvay SA		855		86,643
Yara International ASA		6,592		263,651
				2,626,433
COMMERCIAL SERVICES - 1.6%
Adecco SA		3,969		256,427
Edenred		6,784		133,854
Experian PLC		12,063		221,619
S-1 Corp.		8,349		680,958
SGS SA		38		83,855
Toppan Printing Co. Ltd.		9,000		79,658
				1,456,371
COMPUTERS - 0.6%
BlackBerry Ltd. *		26,200		185,320
Cap Gemini SA		877		81,883
Fujitsu Ltd.		62,000		215,429
TDK Corp.		1,300		75,645
				558,277
COSMETICS / PERSONAL CARE - 4.1%
Beiersdorf AG		855		76,795
Kao Corp.		2,200		121,021
L’Oreal SA		2,925		531,453
L’Oreal SA - ADR ^		2,000		72,780
Shiseido Co. Ltd.		7,000		154,818
Svenska Cellulosa AB SCA		3,916		123,679
Svenska Cellulosa AB SCA - ADR		3,200		101,248

See accompanying notes to financial statements.

55

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Stock Fund (Continued)

April 30, 2016

Security	Shares		Value
COSMETICS / PERSONAL CARE - 4.1% (Continued)
Unilever NV - Dutch Cert		19,430	$	846,580
Unilever NV - NY Reg. Shares ^		13,957		614,387
Unilever PLC		4,648		208,215
Unilever PLC - ADR ^		19,193		860,998
				3,711,974
DISTRIBUTION / WHOLESALE - 0.5%
Mitsubishi Corp.		18,100		302,544
Sumitomo Corp.		11,200		117,751
				420,295
DIVERSIFIED FINANANCIAL SERVICES - 1.4%
AerCap Holdings NV *		1,100		44,011
CETIP SA - Mercados Organizados		8,200		102,536
Deutsche Boerse AG		3,727		306,770
Hana Financial Group, Inc.		11,900		266,852
Partners Group Holding AG		469		193,595
Samsung Card Co. Ltd.		8,552		290,615
Shinhan Financial Group Co. Ltd.		2,204		80,578
				1,284,957
ELECTRIC - 3.3%
CEZ AS		4,959		96,860
Chubu Electric Power Co., Inc.		5,500		72,044
Cia Paranaense de Energia		3,000		16,161
CPFL Energia SA		18,800		110,540
E.ON SE - ADR		21,400		222,774
Endesa SA		4,395		92,495
Enea SA		22,235		68,692
Enel SpA		50,342		228,856
Energa SA		27,618		89,916
Enersis Americas SA - ADR		6,300		53,928
Enersis Chile SA - ADR		6,300		40,131
Equatorial Energia SA		300		3,708
Fortis Inc/Canada		7,200		228,772
Fortum OYJ		11,237		169,459
Iberdrola SA		66,572		474,033
Iberdrola SA - ADR		3,500		99,750
Korea Electric Power Corp. - ADR		3,799		206,357
Korea Electric Power Corp. - ADR		12,167		327,292
Tohoku Electric Power Co., Inc.		15,000		190,708
Tokyo Electric Power Co Holdings Inc.		36,500		194,403
				2,986,879
ELECTRICAL COMPONENTS & EQUIPMENT - 1.1%
Legrand A		2,937		167,446
LG Electronics, Inc.		2499		127161
Osram Licht AG *		3,407		177,957
Schneider Electric SE		7,618		498,253
				970,817
ELECTRONICS - 0.6%
AU Optronics Corp.		1,197,000		342,524
Hoya Corp.		4,300		163,750
				506,274
ENERGY - ALTERNATE SOURCES - 0.4%
Vestas Wind Systems A/S		4,651		333,000
ENGINEERING & CONSTRUCTION - 0.9%
ACS Actividades de Construccion y Servicios SA		4,892		162,293
Aena SA *		2,277		325,367
Enka Insaat ve Sanayi AS		94,564		164,376
Grupo Aeroportuario del Pacifico SAB de CV		13,000		119,912
Promotora y Operadora de Infraestructura SAB de CV		5,639		71,644
				843,592
ENTERTAINMENT - 0.1%
Sankyo Co. Ltd.		1,000		37,651

Security	Shares		Value
ENVIRONMENTAL CONTROL - 0.2%
Kurita Water Industries Ltd.		6,900	$	164,994
FOOD - 10.8%
Ajinomoto Co., Inc.		11,000		252,143
Aryzta AG		3,395		132,163
BIM Birlesik Magazalar AS		4,129		90,986
Carrefour SA		5,076		143,845
Casino Guichard Perrachon SA		3,672		218,596
Chocoladefabriken Lindt & Sprungli AG		39		239,167
Danone SA		2,141		150,045
Delhaize Group - ADR		12,693		332,303
ICA Gruppen AB		7,703		253,519
JBS SA		48,500		128,882
Jeronimo Martins SGPS SA		62,578		1,024,817
Kerry Group PLC		1,389		123,893
Koninklijke Ahold NV		4,533		98,729
Koninklijke Ahold NV - ADR		1,900		41,477
MEIJI Holdings Co. Ltd.		2,000		153,266
Nestle SA		19,903		1,486,794
Nestle SA - ADR		19,350		1,442,930
NH Foods Ltd.		6,000		132,993
Nisshin Seifun Group, Inc.		20,600		335,369
Nissin Foods Holdings Co. Ltd.		5,100		235,441
Orkla ASA		97,257		848,994
Orkla ASA - ADR		17,173		149,405
Pioneer Foods Group Ltd.		5,873		69,026
Seven & I Holdings Co. Ltd.		13,900		564,000
Seven & I Holdings Co. Ltd. - ADR		4,892		100,286
Toyo Suisan Kaisha Ltd.		6,100		214,240
Uni-President Enterprises Corp.		376,000		676,871
Yamazaki Baking Co. Ltd.		6,000		141,247
				9,781,427
GAS - 1.6%
Gas Natural SDG SA		5,574		116,265
National Grid PLC		16,953		242,517
National Grid PLC - ADR		8,365		602,364
Snam SpA		71,665		438,375
				1,399,521
HAND / MACHINE TOOLS - 0.6%
Sandvik AB ^		35,754		367,706
Schindler Holding AG		1,047		192,785
				560,491
HEALTHCARE - PRODUCTS - 0.7%
Coloplast A/S		2,282		170,994
Essilor International SA		1,861		240,981
Sonova Holding AG		647		86,691
Sysmex Corp.		1,400		87,068
Terumo Corp.		2,100		79,388
				665,122
HOLDING COMPANIES-DIVERSIFIED - 0.2%
Haci Omer Sabanci Holdings AS		1		2
Industrivarden AB - C shares		4,303		78,512
KOC Holding AS		16,174		84,620
Swire Pacific Ltd.		5,000		9,735
				172,869
HOME FURNISHINGS - 0.3%
Arcelik AS		1		7
Electrolux AB - Series B		9,343		271,776
Hanssem Co. Ltd. *		145		24,227
				296,010
HOUSEHOLD PRODUCTS - 0.6%
Henkel AG & Co KGaA		2,766		281,444
Kimberly-Clark de Mexico SAB de CV		49,022		118,883
Societe BIC SA		978		138,896
				539,223

See accompanying notes to financial statements.

56

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Stock Fund (Continued)

April 30, 2016

Security	Shares		Value
INSURANCE - 3.6%
Ageas		10,347	$	406,710
Dai-ichi Life Insurance Co. Ltd.		29,500		352,609
Hannover Rueck SE		2,506		286,564
MS&AD Insurance Group Holdings, Inc.		10,500		275,779
Muenchener Rueckversicherungs-Gesellschaft AG		1,340		249,179
New China Life Insurance Co. Ltd.		6,000		19,559
Sampo Oyj		2,275		99,537
Sompo Japan Nipponkoa Holdings, Inc.		2,600		67,886
Sony Financial Holdings, Inc.		12,900		158,595
Sun Life Financial, Inc.		6,900		235,766
Swiss Re AG		2,912		259,031
T&D Holdings, Inc.		16,400		156,116
Tokio Marine Holdings, Inc.		14,800		481,600
Tokio Marine Holdings, Inc. - ADR		6,248		202,935
				3,251,866
INTERNET - 0.2%
United Internet AG		3,514		171,803
IRON / STEEL - 1.8%
ArcelorMittal *		39,810		224,791
China Steel Corp.		339,000		237,664
Eregli Demir ve Celik Fabrikalari TAS		160,101		267,414
Hyundai Steel Co.		6,530		358,181
POSCO		1,362		287,486
POSCO - ADR		4,701		244,546
				1,620,082
LEISURE TIME - 0.3%
Carnival PLC		6,000		303,300
MACHINERY CONSTRUCTION & MINING - 1.3%
ABB Ltd.		33,438		708,483
ABB Ltd. - ADR		1,160		24,488
Atlas Copco AB - A Shares ^		6,565		170,251
Atlas Copco AB - B Shares		5,645		135,762
Hitachi Ltd.		30,000		136,702
				1,175,686
MACHINERY - DIVERSIFIED - 0.1%
Hexagon AB - B Shares		111		4,438
Kone OYJ		2,252		102,926
				107,364
MEDIA - 0.5%
ITV PLC		54,584		180,385
Lagardere SCA		3,000		79,634
Rizzoli Corriere Della Sera Mediagroup SpA *		1,517		977
Telenet Group Holding NV *		370		18,424
Vivendi SA ^		10,120		194,459
				473,879
METAL FABRICATE / HARDWARE - 1.0%
SKF AB		17,391		320,795
Tenaris SA - ADR		20,823		563,679
				884,474
MINING - 3.6%
Agnico Eagle Mines Ltd.		3,800		179,928
Anglo American PLC		17,111		191,353
AngloGold Ashanti Ltd. - ADR *		13,848		227,800
AngloGold Ashanti Ltd. *		11,904		194,259
Barrick Gold Corp.		15,684		304,139
Barrick Gold Corp. ^		4,688		90,806
First Quantum Minerals Ltd.		16,200		138,255
Franco-Nevada Corp.		1,600		112,534
Glencore PLC		89,902		215,410
Gold Fields Ltd.		17,264		80,182
Gold Fields Ltd. - ADR		15,736		73,959
Goldcorp, Inc.		10,016		202,143

Security	Shares		Value
MINING (Continued) - 3.6%
Industrias Penoles SAB de CV		8,333	$	127,798
Kinross Gold Corp. *		46,000		262,574
Korea Zinc Co. Ltd.		621		269,285
Randgold Resources Ltd.		1,186		118,772
Randgold Resources Ltd. - ADR		1,334		134,067
Sibanye Gold Ltd. - ADR		5,778		88,981
Silver Wheaton Corp.		3,900		81,854
Sumitomo Metal Mining Co. Ltd.		11,000		128,716
				3,222,815
MISCELLANEOUS MANUFACTURING - 0.5%
Doosan Corp.		2,301		216,269
FUJIFILM Holdings Corp.		800		32,656
Konica Minolta Holdings, Inc.		24,000		206,006
				454,931
OFFICE / BUSINESS EQUIPMENT - 0.2%
Ricoh Co. Ltd.		18,800		190,524
OIL & GAS - 6.2%
Formosa Petrochemical Corp.		87,000		246,764
Gazprom OAO - ADR		340,311		1,766,214
Lukoil OAO - ADR		19,435		825,987
Neste Oil OYJ		8,670		277,899
OMV AG		3,516		105,824
Petroleo Brasileiro SA *		107,300		421,949
Repsol SA		13,474		177,586
Rosneft OAO - GDR		15,031		82,069
Sasol Ltd.		8,548		280,681
SK Innovation Co. Ltd. *		2,918		394,098
S-Oil Corp.		3,242		246,402
Surgutneftegas OAO - ADR		24,000		152,400
Surgutneftegas OAO - ADR		22,795		120,586
Tupras Turkiye Petrol Rafinerileri AS *		16,976		448,343
				5,546,802
PHARMACEUTICALS - 6.2%
Actelion Ltd.		4,148		672,869
Astellas Pharma, Inc.		30,000		402,229
AstraZeneca PLC - ADR		6,287		361,627
Chugai Pharmaceutical Co. Ltd.		4,500		150,810
Daiichi Sankyo Co. Ltd.		8,400		196,865
Eaisai Co. Ltd.		4,400		270,844
Grifols SA - ADR		5,304		83,379
Kyowa Hakko Kirin Co. Ltd.		14,000		247,508
Medipal Holdings Corp.		9,900		155,759
Novo Nordisk A/S		10,922		609,955
Novo Nordisk A/S - ADR ^		4,229		235,936
Otsuka Holdings Co Ltd		6,200		240,360
Richter Gedeon Nyrt		23,604		469,527
Roche Holding AG - Genusschein		2,329		589,750
Roche Holding AG -BR		848		217,578
Shire PLC		3,647		228,164
Shire PLC - ADR ^		1,455		272,696
Takeda Pharmaceutical Co. Ltd.		4,800		227,982
				5,633,838
PIPELINES - 0.3%
Petronas Gas Bhd		40,800		229,391
REAL ESTATE - 0.3%
BR Malls Participacoes SA		49,700		243,257
REITS - 0.9%
H&R Real Estate Investment Trust		13,900		243,244
Smart Real Estate Investment Trust		20,500		551,205
				794,449

See accompanying notes to financial statements.

57

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Stock Fund (Continued)

April 30, 2016

Security	Shares		Value
RETAIL - 2.7%
Aeon Co. Ltd.		11,800	$	175,844
Hennes & Mauritz AB - B Shares		6,163		219,686
Home Product Center PCL		2,072,100		476,415
Industria de Diseno Textil SA		25,698		827,322
Kering		6		1,029
Lawson, Inc.		3,700		284,799
Pandora A/S		592		76,984
Swatch Group AG/THE - REG		232		15,535
Wal-Mart de Mexico SAB de CV		89,400		226,511
Wal-Mart de Mexico SAB de CV - ADR		5,000		123,850
				2,427,975
SEMICONDUCTORS - 1.4%
ARM Holdings PLC - ADR ^		3,250		133,868
Infineon Technologies AG		26,781		382,200
Samsung Electronics Co. Ltd. - GDR		57		31,065
Samsung Electronics Co. Ltd. - GDR - Reg S		375		171,636
Siliconware Precision Industries Co. Ltd.		18,000		26,651
SK Hynix, Inc.		10,874		266,715
STMicroelectronics NV		28,573		175,725
STMicroelectronics NV - NY Shares		12,884		79,108
				1,266,968
SOFTWARE - 0.7%
Amadeus IT Holding SA		10,559		481,621
SAP SE		2,207		173,209
				654,830
TELECOMMUNICATIONS - 10.0%
BCE, Inc.		6,759		317,499
China Mobile Ltd.		46,500		533,835
China Telecom Corp. Ltd.		236,000		116,831
China Unicom Hong Kong Ltd.		120,000		140,429
Chunghwa Telecom Co Ltd. - ADR		10,272		350,275
Elisa OYJ		907		33,923
Emirates Telecommunications Group Co PJSC		46,988		241,240
Far EasTone Telecommunications Co. Ltd.		67,000		151,079
KDDI Corp.		23,300		667,441
KT Corp. - ADR		5,497		74,814
Nippon Telegraph & Telephone Corp.		7,800		347,112
Nippon Telegraph & Telephone Corp. - ADR		17,527		781,178
Nokia OYJ		111,771		660,013
NTT DOCOMO, Inc.		32,500		775,145
NTT DOCOMO, Inc. - ADR ^		3,658		89,036
Ooredoo QSC		9,143		230,032
Orange SA - ADR ^		9,871		163,760
Proximus		6,096		205,512
Rogers Communications, Inc.		9,000		350,631
SoftBank Group Corp.		9,300		497,285
Swisscom AG		635		322,963
TDC A/S		17,771		91,012
Telecom Italia - RSP		227,627		179,091
Telecom Italia SpA *		299,775		292,799
Telefonaktiebolaget LM Ericsson		13,747		111,495
Telefonaktiebolaget LM Ericsson - ADR		1,536		12,426
Telekomunikasi Indonesia Persero Tbk PT		1,285,200		344,810
Telia Co AB		42,393		202,950
Telus Corp.		6,600		209,602
Turk Telekomunikasyon AS		37,604		90,939
Turkcell Iletisim Hizmetleri AS - ADR *		6,577		71,032
Vodafone Group PLC - ADR		6,979		228,492
XL Axiata Tbk PT		596,400		158,930
				9,043,611
TEXTILES - 0.1%
Formosa Taffeta Co. Ltd.		94,000		85,996

Security				Shares		Value
TRANSPORTATION - 0.9%
Aurizon Holdings Ltd.					27,572	$	89,408
DSV A/S					8,466		356,480
Hankyu Hanshin Holdings, Inc.					41,000		258,434
Nippon Express Co. Ltd.					27,000		122,527
							826,849
WATER - 0.4%
Cia de Saneamento Basico do Estado de Sao Paulo					52,200		401,015
TOTAL COMMON STOCK (Cost - $83,456,108)							86,666,540
CLOSED END FUND - 0.4%
EQUITY FUND - 0.4%
Aireports of Thailand PLC (Cost - $338,099)					30,700		344,168
PREFERRED STOCK - 1.5%	Dividend Rate
AUTO MANUFACTURERS - 0.3%
Porsche Automobil Holding SE		2.0100	%		547		30,565
Volkswagon AG		4.8600			1,966		284,735
							315,300
COSMETICS - 0.8%
Amorepacific Corp.		0.4600			3,580		711,589
ELECTRIC - 0.2%
Cia Energetica de Minas Gerais		0.5038			36000		74,800
Cia Energetica de Sao Paulo		0.0867			20600		90,022
RWE AG		0.1300			353		3,872
							168,694
FOOD - 0.1%
CJ CheilJedang Corp		2.5500			362		66,549
MISCELLANEOUS MANUFACTURING - 0.1%
Doosan Corp.		4.6000			1,070		60,933
TOTAL PREFERRED STOCK (Cost - $1,669,685)							1,323,065
SHORT-TERM INVESTMENT -1.8%
MONEY MARKET FUND - 1.8%
Fidelity Institutional Money Market Funds - Government Portfolio 0.09% +, ^^ (Cost - $1,626,200)					1,626,200		1,626,200
COLLATERAL FOR SECURITIES LOANED - 5.1%
Mount Vernon Prime Portfolio 0.51% + (Cost - $4,645,326)					4,645,326		4,645,326
TOTAL INVESTMENTS - 104.8% (Cost - $91,735,418)						$	94,605,299
LIABILITIES IN EXCESS OF OTHER ASSETS - (4.8)%							(4,362,785	)
NET ASSETS - 100.0%						$	90,242,512

^ All or a portion of these securities are on loan. Total loaned securities had a value of $4,425,130 at April 30, 2016.

* Non-income producing security.

ADR - American Depositary Receipt.

GDR - Global Depositary Receipt.

NV - Non-Voting

REIT - Real Estate Investment Trust.

+ Variable rate security. Interest rate is as of April 30, 2016.

^^ All or part of the security was held as collateral for forward foreign currency contracts outstanding as of April 30, 2016.

Portfolio Composition * - (Unaudited)
Japan	16.3	%	Canada	4.2	%
Switzerland	10.2	%	Sweden	4.1	%
Britain	7.4	%	Russia	3.4	%
South Korea	6.9	%	Belgium	3.4	%
France	5.8	%	Other Countries	33.4	%
Germany	4.9	%	Total	100.0	%

^* Based on total value of investments as of April 30, 2016.

Percentage may differ from Schedule of Investments which are based on Fund net assets.

See accompanying notes to financial statements.

58

Dunham Real Estate Stock Fund

Message from the Sub-Adviser (Cornerstone Real Estate Advisers LLC)

The real estate investment trust (REIT) market had a disappointing three-month period ended January 31, 2016 amid the Federal Reserve raising interesting rates, China showing continued weakness, and a disappointing stimulus package delivered by the European Central Bank. These concerns may have spurred a systematic decline in equities. This trend continued until mid-February when the Federal Reserve acknowledged the challenges present in the global economy and lifted some expectations in regard to future interest rate rises. REITs, as measured by the FTSE NAREIT All REIT Index, rebounded in the final three months resulting in a 5.2 percent gain for the six-month period ended April 30, 2016. Most of the returns were generated in March when REITs increased 10.1 percent. This strong performance comes on the heels of a 2.2 percent drop in the prior six-month fiscal period. REITs outperformed other broad equity indexes, such as the S&P 500 Index, for the second six-month period in a row as the S&P 500 increased 0.4 percent.

The Sub-Adviser believes that the intrinsic value of a listed real estate company is a function of the quality of its real estate portfolio, management team, and capital plan. Achieving a thorough understanding of the real estate assets owned by an investment candidate is the foundation of establishing the value of that enterprise. Evaluating management’s ability to drive earnings and add value to underlying real estate assets is vital to the Sub-Adviser developing an understanding of the sustainable future success of the company. Assessing a firm’s financial structure within the context of the prevailing financial environment provides the Sub-Adviser a framework to understand the risk and long-term potential of a firm’s business strategy. Over the six-month period ended April 30, 2016, self storage REITs and apartment REITs were top contributors to the Fund. Sectors that detracted from performance over the six-month period were regional mall REITs, and lodging/resorts REITs.

The apartment REIT sector has outperformed in six consecutive fiscal quarters. Security selection detracted slightly, as holdings in the Fund underperformed the overall apartment REITs sector. However, the allocation to this sector more than made up for the shortfall in stock selection. Overall, this sector within the Fund increased 1.6 percent. Apartment Investment and Management Company (ACC) (holding percentage*: 3.15 percent), a REIT that engages in on and off-campus housing properties within close proximity to colleges and universities, was one of the better performing apartment REITs in the Fund, with a 12.4 percent return in the six-month period ended April 30, 2016. After five consecutive quarters of an overweight to this sector, the Sub-Adviser has lowered the allocation to apartment REITs. By the end of the most recent fiscal quarter, the Fund was 2.0 percent below the benchmark weighting. The Sub-Adviser believes that landlords are losing pricing power due to an increase in supply. This increase in supply is most evident in the New York and San Francisco markets.

Lodging/resort REITs dragged on performance over the six-month period ended April 30, 2016. Both security selection and allocation to this sector detracted from Fund performance. The Sub-Adviser noted that fundamentals in the sector have been weak and that the Fund has been scaling back exposure. The Fund’s allocation is in line with the benchmark thus having very little impact on relative performance. A holding that detracted from overall performance within this sector was Chesapeake Lodging Trust (CHSP) (holding percentage*: 1.4 percent), a firm that owns upscale hotels in major business and convention markets. Chesapeake Lodging Trust declined 7.8 percent over the six-month period. The Sub-Adviser believes that the economy will continue to recover and that a boost in consumer spending should elevate lodging REITs.

The regional mall sector also detracted from Fund performance over the six-month period. This sector generally detracted from relative performance, as the Fund maintained over a 5 percent overweight. Both stock selection and allocation effect for this sector was negative as this sector fell 1.4 percent within the Fund. Macerich Co. (MAC) (holding percentage*: 3.79 percent), which engages in the acquisition, ownership, development, management and leasing of regional and community shopping centers, detracted from performance in this sector, with a 4.0 percent loss in the six-month period ended April 30, 2016. The Sub-Adviser plans to maintain an overweight to this sector, noting that regional mall REITs are trading at a discount relative to historical measures.

Holdings in the self-storage REIT sector contributed to Fund performance over the first three months, but detracted from Fund performance in the final three months of the six-month fiscal period. A significant overweight to the sector was mainly responsible for the outperformance, while security selection in this sector also detracted. This sector increased 7.8 percent within the Fund over the six-month period. Despite the underperformance in the final three months of the six-month period, the Sub-Adviser is still bullish on the sector and retains the overweight. The Sub-Adviser noted that undersupply in the sector allows companies to have minimal vacancies and charge higher rent. Only 300 to 400 facilities have been built in recent years while approximately 3,500 were built at the peak in 2005. The Sub-Adviser believes that about 1,000 self-storage facilities per year need to be built to have a substantial effect on supply. Extra Space Storage, Inc. (EXR) (holding percentage*: 3.26 percent), a self-storage REIT that focuses primarily on the ownership and operation of self-storage facilities, was one of the strongest performing Fund holdings in this sector, increasing 8.6 percent.

Going forward, the Sub-Adviser expects REITs to generate attractive returns in 2016. It also anticipates that equity markets will remain volatile as uncertainty remains for U.S. Fed policy, global growth uncertainty, volatility in commodities, and a stronger U.S. dollar. Economic growth, rising interest rates, and inflation, my support real estate fundamentals, rent growth, and in turn help REITs. The Sub-Adviser believes that real estate fundamentals remain positive in the U.S. and in Europe, and that global valuations are attractive.

* Holdings percentage(s) as of 4/30/2016.

Growth of $100,000 Investment - (Unaudited)

Total Returns as of April 30, 2016

	Six	One	Annualized	Annualized	Annualized	Annualized Since Inception
	Months	Year	Three Years	Five Years	Ten Years	(12/10/04)
Class N	3.46%	5.66%	7.12%	9.51%	5.74%	7.11%
Class C	2.94%	4.57%	6.05%	8.40%	4.68%	6.04%
Class A with load of 5.75%	3.35%	(0.67)%	4.75%	7.94%	N/A	3.46%*
Class A without load	(2.61)%	5.38%	6.83%	9.21%	N/A	4.12%*
FTSE NAREIT All REITs Index	5.07%	7.39%	6.57%	9.96%	6.25%	7.27%
Morningstar Real Estate Category	3.25%	5.67%	6.38%	9.01%	5.55%	6.99%

* Class A commenced operations on January 3, 2007.

The FTSE NAREIT All REITs Index is a free float adjusted market capitalization weighted index that includes all tax qualified REITs listed on the NYSE and NASDAQ National Market. Investors cannot invest directly in an index or benchmark.

The Morningstar Real Estate Category is generally representative of mutual funds that primarily invest in REITS of various types. REITs are companies that develop and manage real estate properties.

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.64% for Class N, 2.64% for Class C and 1.89% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75% The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

59

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Real Estate Stock Fund

April 30, 2016

Security	Shares		Value
COMMON STOCK - 1.2%
LODGING - 1.2%
Hilton Worldwide Holdings, Inc. ^		23,060	$	508,473
TOTAL COMMON STOCK (Cost - $541,154)
REITS - 96.8%
APARTMENTS - 9.0%
American Campus Communities, Inc.		30,140		1,348,765
Apartment Investment & Management Co.		23,470		940,208
Essex Property Trust, Inc. ^		7,130		1,571,809
				3,860,782
DATA CENTER - 11.4%
Digital Realty Trust, Inc.		19,140		1,683,937
CyrusOne, Inc.		32,240		1,422,751
Equinix Inc		5,320		1,757,462
				4,864,150
HEALTHCARE - 10.9%
National Health Investors, Inc.		7,100		483,439
Physicians Realty Trust		42,600		772,338
Ventas, Inc. ^		20,140		1,251,097
Welltower, Inc.		31,060		2,156,185
				4,663,059
HOTELS - 4.1%
Chatham Lodging Trust		9,340		199,035
Chesapeake Lodging Trust		24,290		598,263
DiamondRock Hospitality Co.		33,280		296,525
FelCor Lodging Trust, Inc.		95,300		682,348
				1,776,171
MANUFACTURED HOMES - 2.3%
Sun Communities, Inc.		14,310		971,220
OFFICE - 13.8%
Boston Properties, Inc.		14,200		1,829,812
Highwoods Properties, Inc.		18,430		861,234
Kilroy Realty Corp. ^		20,413		1,322,967
Paramount Group Inc.		71,030		1,186,201
SL Green Realty Corp.		6,730		707,188
				5,907,402

Security	Shares		Value
REGIONAL MALLS - 16.7%
Macerich Co.		21,330	$	1,622,786
Simon Property Group, Inc.		22,711		4,568,772
Taubman Centers, Inc.		14,090		978,551
				7,170,109
SHOPPING CENTERS - 13.1%
Acadia Realty Trust		35,288		1,189,205
Equity One, Inc.		25,600		724,480
Kimco Realty Corp.		40,730		1,145,328
Regency Centers Corp.		25,750		1,897,775
Tanger Factory Outlet Centers, Inc. ^		18,730		657,048
				5,613,836
SELF STORAGE - 7.5%
Extra Space Storage, Inc. ^		16,450		1,397,428
Public Storage, Inc.		7,430		1,818,938
				3,216,366
INDUSTRIAL 8.0%
Duke Realty Corp.		49,320		1,078,628
First Industrial Realty Trust, Inc.		18,820		431,731
Prologis, Inc. ^		41,910		1,903,133
				3,413,492
TOTAL REITS (Cost - $34,199,469)				41,456,587
SHORT-TERM INVESTMENT - 2.0%
MONEY MARKET FUND - 2.0%
Fidelity Institutional Money Market
Fund - Government Portfolio, 0.01% +		857,395		857,395
TOTAL SHORT-TERM INVESTMENT (Cost - $857,395)
COLLATERAL FOR SECURITIES LOANED - 16.8%
Mount Vernon Prime Portfolio 0.51% + (Cost - $7,173,911)		7,173,911		7,173,911
TOTAL INVESTMENTS - 116.9% (Cost - $42,771,929)			$	49,996,366
LIABILITIES LESS OTHER ASSETS - (16.9)%				(7,233,741	)
TOTAL NET ASSETS - 100.00%			$	42,762,625

^ All or a portion of these securities are on loan. Total loaned securities had a value of $6,928,648 at April 30, 2016.

REITS - Real Estate Investment Trusts

+ Variable rate security. Interest rate is as of April 30, 2016.

Portfolio Composition * - (Unaudited)
Regional Mall	16.7	%	Industrial	8.0	%
Office	13.8	%	Self Storage	7.5	%
Shopping Centers	13.1	%	Hotels	4.1	%
Data Cebter	11.4	%	Manufactured Homes	2.3	%
Healthcare	10.9	%	Short-Term Investment	2.0	%
Apartments	9.0	%	Common Stock - Lodging	1.2	%
				100.0	%

* Based on total value of investments as of April 30, 2016.

Percentage may differ from Schedule of Investments which are based on Fund net assets.

See accompanying notes to financial statements.

60

Dunham Small Cap Value Fund

Message from the Sub-Adviser (Piermont Capital Management LLC)

Small cap value stocks, as measured by the Russell 2000 Value Index, increased 1.2 percent in the six-month period ended April 30, 2016. Small-cap growth stocks in the Russell 2000 Growth Index significantly underperformed, falling 5.0 percent over the same time period. Small cap stocks in general, as measured by the Russell 2000 Index, fared in the middle of the two, as would be expected, dropping 2.0 percent over the fiscal six-month period. Larger capitalization stocks, as measured by the S&P 500 Index, produced a 0.4 percent return, outperforming small cap stocks in general, by 2.4 percent, but underperformed small cap value stocks by 80 basis points. Some of the top contributors to the Fund’s performance were the technology and basic materials sectors, while the healthcare and consumer products sectors lagged somewhat.

The Sub-Adviser’s strategy continued to focus on, what it believes to be, high quality firms, using 14 sector-specific models consisting of a combination of five to nine factors for each sector model, which measure both fundamental and technical metrics. Stocks must rank in the top 20 percent to be considered for purchase and also undergo a qualitative red flag review. The red flag review may include reviewing news stories that could adversely affect a stock, high turnover in senior management, and an accelerating debt ratio, among other factors. Another core premise of the strategy is that the Fund should remain sector and industry neutral, so as to avoid large risks by overweighting or underweighting a particular sector. This allows the Sub-Adviser to focus solely on picking the best stocks in each sector and industry rather than trying to predict macroeconomic trends. It is this complete bottom-up selection approach that makes the Sub-Adviser’s investment process somewhat unique.

A holding in the technology sector that contributed to Fund performance during the first half of the fiscal six-month period was Rovi Corporation (ROVI) (holding percentage**: 1.0 percent), a multimedia and graphics software firm, was the best performing tech stock in the Fund and added 16 basis points to relative performance during the first half of the fiscal six-month period. The stock increased by more than 80 percent from the beginning of the fiscal period until it was sold by the Fund in early January. A positive earnings announcement and the renewal of a contract with a large telecommunications firm led to the sharp increase, according to the Sub-Adviser. However, the stock’s ranking dropped significantly enough that it was considered to be overvalued and subsequently sold.

A holding in the basic materials sector that contributed to Fund performance during the second half of the fiscal six-month period was Stillwater Mining Company (SWC) (holding percentage*: 0.67 percent). The company explores for, develops, extracts, processes, and refines platinum, palladium, and associated metals from the J-M Reef located in Stillwater and the East Boulder Mine near McLeod, Montana. The stock hit bottom in mid-January but, like other mining companies, began to rally with commodities. Additionally, the company reported strong earnings in February, which made it the top performing basic materials stock in the Fund and added 35 basis points to relative performance. The stock increased by more than 86 percent during the second half of the fiscal six-month period.

Stocks in the healthcare sector generally detracted from Fund performance over the fiscal six-month period. Progenics Pharmaceuticals, Inc. (PGNX) (holding percentage**: 0.5 percent), which develops medicines for oncology in the U.S. and internationally, was a company that detracted from Fund performance for the majority of the fiscal period. The Sub-Adviser said an earnings report that did not meet analyst expectations, in addition to the large downturn in biotech stocks in general, was mainly responsible for the decline. In early April, the stocks ranking dropped to a level that met the Sub-Adviser’s criteria to be sold. The Sub-Adviser subsequently liquidated all positions in the stock on April 8, 2016, by which time the stock had declined 35 percent.

During the second half of the fiscal six-month period, a detractor from Fund performance was John B. Sanfilippo & Sons, Inc. (JBSS) (holding percentage*: 0.91 percent). The company processes, packages, markets, and distributes shelled nuts, in-shell nuts, and sesame sticks. Their nuts are marketed under the well-known brand of Fisher nuts. The Sub-Adviser initiated positions in JBSS in March 2016, about midway through the second half of the fiscal period, when the stock was near an all-time high. The company subsequently reported disappointing earnings in late April and the stock took a substantial hit. From the time the Sub-Adviser bought the stock on March 11, 2016 through the end of the fiscal period, the stock lost more than 20 percent. Although the impact to the Fund on a relative basis was a negative 21 basis points, the stock still ranks within the range the Sub-Adviser requires for a stock to remain in the Fund.

Going forward, the Sub-Adviser plans to continue its sector-, beta-, and market-capitalization-neutral bottom-up stock picking strategy without regard to outside economic factors, interest rate changes or any other top-down methodology. The qualitative review of small-cap stocks that meet the criteria for consideration for investment within the Fund may, however, lead the Sub-Adviser to consider the impact of macroeconomic factors when assessing various risks specific to each company. The Sub-Adviser will continue to analyze its multi-factor model, only making adjustments when it is deemed that a particular metric is no longer working properly or it is found that a new fundamental or technical indicator may be more useful.

* Holdings Percentage(s) as of 4/30/2016.

** Holdings Percentage(s) as of the date prior to the sales of the security.

Growth of $100,000 Investment – (Unaudited)

Total Returns as of April 30, 2016

						Annualized Since
			Annualized	Annualized	Annualized	Inception
	Six Months	One Year	Three Years	Five Years	Ten Years	(12/10/04)
Class N	(1.30)%	(4.06)%	6.67%	6.33%	4.68%	4.66%
Class C	(1.88)%	(5.08)%	5.61%	5.27%	3.64%	3.63%
Class A with load of 5.75%	(7.21)%	(9.84)%	4.29%	4.84%	N/A	2.96%*
Class A without load	(1.52)%	(4.35)%	6.38%	6.09%	N/A	3.62%*
Russell 2000 Value Index	1.18%	(3.71)%	6.50%	6.77%	4.61%	4.03%
Morningstar Small Cap Value Category	0.42%	(4.34)%	6.87%	6.78%	5.00%	6.31%

* Class A commenced operations on January 3, 2007.

The Russell 2000 Value Index is an unmanaged index that measures the performance of small cap companies in the Russell 2000 Index with lower price-to-book ratios and lower forecasted growth rates. Investors cannot invest directly in an index or benchmark.

The Morningstar Small Cap Value Category is generally representative of mutual funds that primarily invest in small (small capitalization) U.S. companies that are less expensive or growing more slowly than other small-cap stocks.

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.80% for Class N, 2.80% for Class C and 2.05% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

61

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Small Cap Value Fund

April 30, 2016

Security	Shares		Value
COMMON STOCK - 99.9%
AEROSPACE / DEFENSE - 1.2%
Aerojet Rocketdyne Holdings, Inc. ^*		18,500	$	335,220
AUTO PARTS & EQUIPMENT - 1.0%
Cooper Tire & Rubber Co.		8,170		282,192
BANKS - 17.8%
BancFirst Corp.		2,200		137,214
CenterState Banks, Inc.		12,670		206,394
Central Pacific Financial Corp		12,519		292,193
Chemical Financial Corp ^		5,017		192,954
Columbia Banking System, Inc.		9,296		274,139
First Citizens BancShares, Inc. - Class B		1,110		283,050
First Commonwealth Financial Corp.		18,890		173,410
First Interstate BancSystem, Inc.		8,468		229,483
IBERIABANK Corp.		4,870		287,281
MB Financial, Inc.		9,700		337,172
Old National Bancorp ^		25,177		337,372
Prosperity Bancshares, Inc. ^		5,990		316,092
Simmons First National Corp.		4,970		232,099
TCF Financial Corp.		24,460		333,634
TriCo Bancshares		6,711		180,660
Trustmark Corp. ^		14,210		348,287
Umpqua Holdings Corp.		16,150		255,655
United Community Banks, Inc.		11,458		230,650
WesBanco, Inc.		6,500		208,845
				4,856,584
CHEMICALS - 1.7%
Cabot Corp.		4,508		219,945
Innophos Holdings, Inc.		6,579		243,160
				463,105
COMMERCIAL SERVICES - 3.3%
CRA International, Inc. *		5,985		129,875
Ennis, Inc.		9,262		180,979
LendingTree, Inc. ^*		3,100		277,357
McGrath RentCorp		12,500		304,750
				892,961
COMPUTERS - 4.5%
Brocade Communications Systems, Inc.		22,000		211,420
DST Systems, Inc.		3,070		370,488
Insight Enterprises, Inc. *		13,390		330,867
Mentor Graphics Corp.		15,190		303,192
				1,215,967
DISTRIBUTION/WHOLESALE - 1.0%
Fossil Group, Inc. ^*		6,680		270,540
DIVERSIFIED FINANCIAL SERVICES - 1.3%
KCG Holdings, Inc.		26,000		356,200
ELECTRIC - 3.7%
ALLETE, Inc.		6,720		377,597
PNM Resources, Inc.		10,190		322,819
Portland General Electric Co.		8,050		319,746
				1,020,162

Security	Shares		Value
ELECTRONICS - 4.8%
Brady Corp.		12,220	$	323,708
FARO Technologies, Inc. *		5,623		163,292
II-VI, Inc. *		14,840		309,711
OSI Systems, Inc. *		4,110		209,158
Sanmina Corp. *		12,975		306,859
				1,312,728
ENGINEERING & CONSTRUCTION - 1.2%
KBR, Inc.		20,120		313,067
ENTERTAINMENT - 0.7%
International Speedway Corp.		5,900		197,591
FOOD - 2.6%
Ingles Markets, Inc. - Class A		5,608		202,281
John B Sanfilippo & Son, Inc.		4,476		247,657
Lancaster Colony Corp.		2,330		271,445
				721,383
GAS - 2.7%
Northwest Natural Gas Co.		5,997		309,085
Southwest Gas Corp.		6,410		416,073
				725,158
HEALTHCARE - PRODUCTS - 2.0%
Haemonetics Corp. *		9,250		299,977
Meridian Bioscience, Inc. ^		13,050		249,385
				549,362
HEALTHCARE - SERVICES - 1.2%
Healthways, Inc. *		27,529		320,713
HOME BUILDERS - 1.7%
M/I Homes, Inc. ^*		10,658		214,226
Taylor Morrison Home Corp. Class A ^		17,130		246,672
				460,898
INSURANCE - 5.5%
American Equity Investment Life Holding Co.		21,288		298,032
Aspen Insurance Holdings Ltd.		6,600		305,910
Maiden Holdings Ltd. ^		21,107		258,139
Selective Insurance Group, Inc.		9,500		329,745
Stewart Information Services Corp.		8,579		298,721
				1,490,547
METAL FABRICATE / HARDWARE - 1.1%
Timken Co.		8,450		301,072
MINING - 1.4%
Materion Corp.		6,620		191,914
Stillwater Mining Co. ^*		15,038		183,464
				375,378
MISCELLANEOUS MANUFACTURING - 3.0%
Crane Co.		4,400		244,508
Federal Signal Corp.		19,850		271,746
ITT Corp.		7,470		286,624
				802,878
OIL & GAS - 2.7%
PDC Energy, Inc. * ^		5,569		349,677
Unit Corp. *		9,580		121,283
WPX Energy, Inc. ^		26,180		252,899
				723,859

See accompanying notes to financial statements.

62

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Small Cap Value Fund (Continued)

April 30, 2016

Security	Shares		Value
OIL & GAS SERVICES - 1.2%
Gulf Island Fabrication, Inc.		11,440	$	85,914
Oceaneering International, Inc.		6,840		250,686
				336,600
PACKAGING & CONTAINERS - 1.1%
Owens-Illinois, Inc. *		15,412		284,506
PHARMACEUTICALS - 1.4%
Anika Therpeutics, Inc. *		5,373		245,331
Sagent Pharmaceuticals, Inc. *		11,590		134,908
				380,239
REAL ESTATE - 1.0%
Alexander & Baldwin, Inc. ^		7,110		271,886
REITS - 15.7%
Cedar Realty Trust, Inc.		45,120		312,230
Chimera Investment Corp.		21,150		300,330
Cousins Properties, Inc.		33,480		346,518
DCT Industrial Trust, Inc.		8,500		343,145
EastGroup Properties, Inc.		4,860		290,385
First Industrial Realty Trust, Inc.		13,750		315,425
Franklin Street Properties Corp. ^		26,937		286,071
Healthcare Trust of America, Inc. - Class A		10,210		294,967
Hersha Hospitality Trust		13,083		252,371
Invesco Mortgage Capital, Inc.		25,200		323,820
Mack-Cali Realty Corp.		14,760		377,266
Pebblebrook Hotel Trust		8,466		234,000
Piedmont Office Realty Trust, Inc.		17,000		338,470
Summit Hotel Properties, Inc.		21,499		245,089
				4,260,087
RETAIL - 5.8%
Big Lots, Inc.		5,430		249,020
Bob Evans Farms, Inc.		6,240		284,170
Build-A-Bear Workshop, Inc. *		16,132		212,458
Express, Inc. *		15,160		275,609
Group 1 Automotive, Inc.		3,840		252,826
Ruth’s Hospitality Group, Inc. ^		8,310		131,963
Shoe Carnival, Inc.		6,850		175,566
				1,581,612
SAVINGS & LOANS - 2.2%
Berkshire Hills Bancorp, Inc.		5,300		143,842
Flagstar Bancorp, Inc. *		7,982		188,934
HomeStreet, Inc. *		12,335		265,819
				598,595

Security	Shares		Value
SEMICONDUCTORS - 2.1%
Exar Corp. *		24,756	$	151,012
Tessera Technologies, Inc.		9,850		282,892
Xcerra Corp. *		22,751		134,231
				568,135
TELECOMMUNICATIONS - 1.5%
Spok Holdings, Inc.		10,330		175,507
West Corp.		10,880		233,158
				408,665
TRANSPORTATION - 1.8%
ArcBest Corp. ^		10,390		198,345
Werner Enterprises, Inc.		11,320		286,849
				485,194
TOTAL COMMON STOCK - (Cost - $27,225,079)				27,163,084
SHORT-TERM INVESTMENT - 0.1%
MONEY MARKET FUND - 0.1%
Invesco STIT-Treasury Portfolio Institutional - 0.21% +		42,094		42,094
(Cost - $42,094)
COLLATERAL FOR SECURITIES LOANED - 15.2%
Mount Vernon Prime Portfolio 0.51% +		4,121,138		4,121,138
(Cost - $4,121,138)
TOTAL INVESTMENTS - 115.2% (Cost - $31,388,311)			$	31,326,316
LIABILITIES IN EXCESS OF OTHER ASSETS - (15.2)%				(4,123,162	)
NET ASSETS - 100.0%			$	27,203,154

REIT - Real Estate Investment Trust

^ All or a portion of these securiites are on loan. Total loaned securities had a value of $3,900,033 at April 30, 2016.

* Non Income producing security.

+ Variable rate security - interest rate is as April 30, 2016.

Portfolio Composition * - (Unaudited)
Financial	37.8	%	Utilities	5.6	%
Collateral for Securities Loaned	13.2	%	Energy	3.4	%
Industrial	12.2	%	Basic Materials	2.7	%
Consumer, Non-Cyclical	9.1	%	Communications	1.3	%
Consumer, Cyclical	8.9	%	Short Term Investment	0.1	%
Technology	5.7	%	Total	100.0	%

^* Based on total value of investments as of April 30, 2016.

Percentage may differ from Schedule of Investments which are based on Fund net assets.

See accompanying notes to financial statements.

63

Dunham Emerging Markets Stock Fund

Message from the Sub-Adviser (Bailard, Inc.)

Emerging markets equities, as measured by the MSCI Emerging Markets Index, had a volatile six-month period ended April 30, 2016, decreasing 0.1 percent. During the first three months of the fiscal period, emerging markets equities declined 12.1 percent amid volatility in China and a decline in commodities. In the final three months of the fiscal period, emerging markets rallied 13.7 percent, as global oil prices rebounded and investors poured into Brazil with hopes of a presidential impeachment. The index underperformed its U.S. counterpart, as measured by the S&P 500 Index, which increased 0.4 percent over the same time period.

The Sub-Adviser continued to focus on individual countries and bottom-up stock selection within those countries, with overweights or underweights to economic sectors being largely incidental. On an absolute basis, top performing countries in the Fund included Hungary, Turkey, and Russia, while Egypt, Vietnam, and Argentina lagged. For the fiscal six-month period, overall country selection added to performance relative to the benchmark index, while stock selection detracted.

Throughout the fiscal six-month period the Sub-Adviser maintained an underweight to China. Even with this underweighting, Chinese holdings detracted from performance over the fiscal period. China Resources Power Holdings Co., Ltd. (836 HK) (holding percentage* 0.47 percent), a power generation company that invests, develops, owns, and operates coal-fired power plants in China, was one of the Fund’s detractors over the fiscal period. Over the six-month period China Resources Power Holdings Co. Ltd. decreased 25.4 percent. Another Chinese holding that detracted from the Fund’s performance was PICC Property & Casualty Co., Ltd. (2328 HK) (holding percentage**: 1.37 percent), which provides a broad range of property and casualty insurance products for a wide variety of customers throughout China. The Sub-Adviser chose to exit the position near the end of February after losing confidence in the holding. By the time the Sub-Adviser had fully exited the position it had declined 29.4 percent. The Sub-Adviser believes this is currently a challenging country to invest in due to the difficulty in deciphering and determining the validity of the available data.

One of the largest overweights and strongest positive contributors to performance over the most recent fiscal period was the Fund’s investment in Russia. A strong contribution to performance came from Sberbank of Russia PJSC (SBER LI) (holding percentage*: 1.78 percent), which is a bank that attracts deposits and offers commercial banking services. The bank offers time deposits, corporate banking, securities brokerage, credit, foreign exchange services and sponsors credit cards. Over the fiscal six-month period, the holding increased 30.7 percent. Another Russian holding that positively contributed to performance over the fiscal semi-annual period was Mobile TeleSystems PJSC ADR (MBT) (holding percentage*: 1.03 percent), which is a telecommunications group that offers mobile and fixed voice, broadband, and pay TV services. Through the company’s subsidiaries it is able to offer services to mobile subscribers in Russia, Ukraine, Turkmenistan, Armenia, and Belarus. The position gained 31.7 percent over the fiscal six-month period.

The Fund’s overweight to Hungary enhanced performance on both a relative and absolute basis, with the absolute return being the highest in the portfolio over the fiscal six-month period. A strong contributor in the country was OTP Bank Nyrt (OTP HB) (holding percentage*: 4.17 percent). OTP Bank Nyrt offers currency exchange, private banking, insurance, personal and mortgage loans, and internet banking. The bank operates through a nationwide network of branches in Hungary. The holding increased 31.8 percent over the fiscal semi-annual period.

Going forward, the Sub-Adviser is optimistic for emerging markets companies and believes growth can be found. The Sub-Adviser believes that we may see a headwind from a slowdown in growth of the U.S. market which could cause investors to flee high-risk assets, such as emerging markets countries. China is still a concern as its issues may never go away in terms of growth, but investors are slowly getting accustomed to this slowdown. The Sub-Adviser also believes that emerging markets stocks are still cheaply valued because of a lack of outperformance in comparison to earnings reports, which provides a strong opportunity for investors. Additionally, political change all over the world will need to be monitored closely as these changes could potentially contribute to the volatility of many emerging markets countries.

* Holdings Percentage(s) as of 4/30/2016.

** Holdings Percentage(s) as of the date prior to the sales of the security.

Growth of $100,000 Investment - (Unaudited)

Total Returns as of April 30, 2016

	Six		Annualized	Annualized	Annualized	Annualized Since Inception
	Months	One Year	Three Years	Five Years	Ten Years	(12/10/04)
Class N	(0.44)%	(18.38)%	(7.29)%	(6.68)%	(0.27)%	4.35%
Class C	(0.90)%	(19.18)%	(8.22)%	(7.61)%	(1.26)%	3.32%
Class A with load of 5.75%	(6.23)%	(23.18)%	(9.29)%	(7.99)%	N/A	(2.24)%*
Class A without load	(0.55%	(18.50)%	(7.48)%	(6.89)%	N/A	(1.62)%*
MSCI Emerging Markets Index (net)	(0.13)%	(17.87)%	(4.57)%	(4.61)%	2.37%	1.38%
Morningstar Diversified Emerging Markets Category	(0.28)%	(15.49)%	(4.76)%	(4.48)%	1.48%	6.12%

* Class A commenced operations on January 3, 2007.

The MSCI Emerging Markets Index (net) is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. Investors cannot invest directly in an index or benchmark.

The Morningstar Diversified Emerging Markets Category is generally representative of mutual funds that primarily invest among 20 or more developing nations, with a general focus on the emerging markets of Asia and Latin America rather than on the emerging markets countries in the Middle East, Africa, or Europe.

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.80% for Class N, 2.80% for Class C and 2.05% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

64

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Emerging Markets Stock Fund

April 30, 2016

Security	Shares		Value
COMMON STOCK - 93.0%
AGRICULTURE - 2.0%
KT&G Corp.		10,000	$	1,077,352
AIRLINES - 1.3%
AirAsia Bhd		700,000		339,801
Turk Hava Yollari AO *		150,000		370,161
				709,962
AUTO MANUFACTURERS - 0.5%
Dongfeng Motor Group Co. Ltd.		250,000		273,187
BANKS - 20.3%
Banco Macro SA -ADR		5,000		313,150
Bancolombia SA - ADR		42,000		1,624,980
China Construction Bank Corp.		1,250,000		793,878
China Merchants Bank Co. Ltd.		170,000		372,392
Commercial International Bank Egypt SAE - GDR		274,999		1,025,746
FirstRand Ltd.		150,000		483,970
Industrial & Commercial Bank of China Ltd.		600,000		321,228
OTP Bank PLC		85,000		2,255,228
Public Bank Bhd		100,000		478,344
Sberbank of Russia - ADR		120,000		962,400
Turkiye Garanti Bankasi AS		300,000		924,688
Turkiye Halk Bankasi AS		125,000		480,683
Turkiye Vakilflar Bankasi TAO		285,000		503,669
Woori Bank		30,000		275,641
				10,815,997
CHEMICALS - 5.4%
Engro Corp Ltd.		450,000		1,341,843
Formosa Chemicals & Fibre Corp.		95,000		242,078
Kingboard Chemcial Holdings Ltd.		150,000		288,480
Lotte Chemical Corp.		2,000		510,139
UPL Ltd.		60,000		485,385
				2,867,925
COAL - 0.3%
Coal India Ltd.		40,000		173,538
COMMERCIAL SERVICES - 0.6%
Zhejiang Expressway Co., Ltd.		300,000		306,109
COMPUTERS - 1.4%
Datatec Ltd.		55,000		174,625
Infosys Ltd. - ADR ^		30,000		564,000
				738,625
DISTRIBUTION / WHOLESALE - 1.3%
Hanwha Corp.		21,200		699,354
DIVERSIFIED FINANCIAL SERVICES - 1.5%
Capitec Bank Holdings Ltd.		13,500		562,318
Haitong Securities Co. Ltd.		150,000		247,883
				810,201
ELECTRIC - 2.4%
China Resources Power Holdings Co. Ltd.		150,000		252,628
Korea Electric Power Corp.		13,700		744,167
Tenaga Nassional Bhd		80,000		293,878
				1,290,673
ELECTRICAL COMPONENTS & EQUIPMENT - 0.5%
China High Speed Transmission Equipment Group Co. Ltd. *		350,000		271,235

Security	Shares		Value
ELECTRONICS - 3.8%
Hon Hai Precision Industry Co., Ltd.		420,000	$	1,000,467
Micro-Star International Co. Ltd.		170,000		270,574
Pegatron Corp.		350,000		737,333
				2,008,374
ENGINEERING & CONSTRUCTION - 2.5%
Hyundai Engineering & Construction Co. Ltd.		25,000		875,787
TAV Havalimanlari Holding AS		75,000		437,645
				1,313,432
FOOD - 1.1%
Bidvest Group Ltd.		15,000		382,562
BIM Birlesik Magazalar AS		10,000		220,357
				602,919
FOREST PRODUCTS & PAPER - 0.9%
Mondi Ltd.		25,000		483,195
HOLDING COMPANIES - DIVERSIFIED - 1.7%
Avi Ltd.		90,000		560,553
Tekfen Holding AS		150,000		320,887
				881,440
HOME FURNISHINGS - 2.2%
Arcelik AS		70,000		470,584
Steinhoff International Holdings Ltd.		115,000		722,151
				1,192,735
HOUSEHOLD PRODUCTS / WARES - 0.4%
Biostime International Holdings Ltd. *		80,000		222,217
INSURANCE - 0.5%
People’s Insurance Co. Group of China ltd.		600,000		241,290
INTERNET- 0.6%
Baidu, Inc. - ADR *		1,500		291,450
IRON / STEEL- 2.3%
Eregli Demir ve Celik Fabrikalari TAS		300,000		501,084
Severstal PAO - GDR		62,000		720,440
				1,221,524
LEISURE TIME - 0.6%
Bajaj Auto Ltd.		8,000		300,001
LODGING - 0.9%
Kangwon Land, Inc.		12,500		467,272
MEDIA - 0.8%
Naspers Ltd.		3,200		442,049
MINING - 1.4%
AngloGold Ashanti Ltd. - ADR *		18,000		296,100
Gold Fields Ltd. - ADR *		100,000		470,000
				766,100
MISCELLANEOUS MANUFACTURING - 0.5%
Top Glove Corp Bhd		220,000		279,138
OIL & GAS - 11.9%
China Petroleum & Chemical Corp.		800,000		563,726
Ecopetrol SA - ADR ^		105,000		1,043,700
Gazprom OAO - ADR		220,000		1,140,920
Lukoil OAO - ADR		37,000		1,572,500
MOL Hungarian Oil & Gas PLC		12,000		734,181
Pakistan Petroleum Ltd.		200,000		278,396
SK Innovation Co. Ltd.		5,000		675,287
YPF SA - ADR		16,000		322,400
				6,331,110

See accompanying notes to financial statements.

65

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Emerging Markets Stock Fund (Continued)

April 30, 2016

Security	Shares		Value
PACKAGING & CONTAINERS - 0.6%
Lee & Man Paper Manufacturing Ltd.		500,000	$	327,699
PHARMACEUTICALS - 2.2%
Richter Gedeon Nyrt		45,000		895,132
Sinopharm Group Co. Ltd.		66,800		285,508
				1,180,640
REAL ESTATE - 3.9%
China Overseas Land & Investment Ltd.		160,000		507,863
Country Garden Holdings Co. Ltd.		750,000		295,917
Guangzhou R&F Properties Co. Ltd.		170,000		237,059
Highwealth Construction Corp.		320,000		479,677
Redefine Properties Ltd.		670,000		580,560
				2,101,076
RETAIL - 1.0%
ANTA Sports Products Ltd.		100,000		254,713
Xtep International Holdings Ltd.		500,000		294,917
				549,630
SEMICONDUCTORS - 5.8%
Dongbu HiTek Co. Ltd. *		15,000		254,656
Powertech Technology, Inc.		120,000		242,184
Samsung Electronics Co. Ltd.		1,200		1,307,798
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR ^		55,000		1,297,450
				3,102,088
SOFTWARE - 2.0%
HCL Technologies Ltd.		40,000		451,571
NetEase, Inc. - ADR		4,500		633,150
				1,084,721
TELECOMMUNICATIONS - 6.9%
Axiata Group Bhd		200,000		288,882
China Mobile Ltd.		130,000		1,492,443
Mobile TeleSystems PJSC - ADR ^		60,000		555,600
MTN Group Ltd.		35,000		367,806
Partron Co. Ltd.		25,000		243,438
Turkcell Iletisim Hizmetleri AS		80,000		346,652
Vodacom Group Ltd		35,000		408,507
				3,703,328

Security	Shares		Value
TRANSPORTATION - 1.0%
Super Group Ltd. *		185,000	$	536,968
TOTAL COMMON STOCK (Cost - $47,745,434)				49,664,554
EXCHANGE TRADED FUNDS - 4.9%
EQUITY FUNDS - 4.9%
iShares MSCI South Africa ETF		25,000		1,390,000
Market Vectors Russia ETF		70,000		1,241,800
TOTAL EXCHANGE TRADED FUNDS (Cost - $2,452,212)				2,631,800
SHORT-TERM INVESTMENT - 3.4%
MONEY MARKET - 3.4%
First American Government Obligations Fund 0.02% +
(Cost - $1,825,888)		1,825,888		1,825,888
COLLATERAL FOR SECURITIES LOANED - 3.3%
Mount Vernon Prime Portfolio 0.51% +
(Cost - $1,774,767)		1,774,767		1,774,767
TOTAL INVESTMENTS - 104.6% (Cost - $53,798,301)			$	55,897,009
LIABILITIES IN EXCESS OTHER ASSETS - (4.6)%				(2,485,404	)
NET ASSETS - 100.0%			$	53,411,605

^ All or a portion of these securities are on loan. Total loaned securities had a value of $1,695,275 at April 30, 2016.

* Non-income producing security.

+ Variable rate security. Interest rate is as of April 30, 2016.

ADR - American Depositary Receipt.	ETF - Exchange Traded Funds
GDR - Global Depositary Receipt.	NVDR - Non-Voting Depositary Receipt

Portfolio Composition * - (Unaudited)
South Korea	12.8	%	Turkey	8.2	%
United States	11.2	%	Taiwan	7.6	%
South Africa	10.3	%	Hungary	7.0	%
China	10.1	%	Hong Kong	5.6	%
Russia	8.9	%	Other Countries	18.3	%
			Total	100.0	%

^* Based on total value of investments as of April 30, 2016.

Percentage may differ from Schedule of Investments which is based on Fund net assets.

See accompanying notes to financial statements.

66

Dunham Small Cap Growth Fund

Message from the Sub-Adviser (Pier Capital, LLC)

Small cap growth stocks, as measured by the Russell 2000 Growth Index, ended a volatile first half of the fiscal year in negative territory, declining 5.0 percent for the six-month period ended April 30, 2016. The beginning of the fiscal year saw gains, as November posted positive results of 3.7 percent. December and January took a downturn which resulted in losses of 4.8 percent and 10.8 percent, respectively. February continued the decline with a 0.7 percent loss. March and April turned around for the end of the first half of the fiscal year with positive gains of 7.7 percent and 1.0 percent, respectively.

During the fiscal year, there were no material changes to the Sub-Adviser’s investment decision making process. The Sub-Adviser continues to implement a bottom-up process to selecting stocks for the Fund, focusing on individual firm characteristics rather than sector weightings or the economy as a whole. It seeks companies on the verge of experiencing large increases in market share. By seeking out and identifying market catalysts, the Sub-Adviser believes that the securities it selects for the Fund are tailored towards organic growth due to some kind of market advantage. The Sub-Adviser feels that small cap growth stocks may have been impeded by high market volatility over the first half of the fiscal year. The volatility may have been driven by sporadic oil prices, a weak U.S. earnings season, and uncertainty in global markets. Small cap growth stocks underperformed versus large cap growth stocks over the first half of the fiscal year. From a Fund-specific perspective, U.S. economic factors are much more impactful than economic factors from outside the U.S. Given that the U.S. economy is on more solid ground than many economies around the globe bodes well for the companies in which the Fund invests.

Positive contributing sectors within the Fund were consumer staples and information technology. Small cap growth consumer staples stocks in the Fund were helped by Blue Buffalo Pet Products, Inc. (BUFF) (holding percentage*: 0.95 percent), a provider of dog and cat food made with meats, fruits and vegetables, and natural ingredients in the United States. The Sub-Adviser believes that natural organic pet food is a new niche market within the pet product industry and that the company has solidified a strong foothold within that niche. The Sub-Adviser sees strong potential growth for the company because of how natural organic pet food is still relatively new and has room to grow in the industry. The company gained 38.0 percent over the first half of the fiscal year. Aiding Fund performance from the information technology sector was Zendesk, Inc. (ZEN) (holding percentage*: 0.98 percent), a provider of web-based help desk software with a customer support platform. The company offers applications that allow clients to manage incoming support requests from end customers’ computers. The company gained 12.3 percent over the six-month period ended April 30, 2016. A negative performer for the information technology sector came from Shopify, Inc. (SHOP) (holding percentage*: 1.00 percent), which provides a cloud-based commerce platform. The platform is offered to merchants to create an omni-channel experience that helps showcase the merchant’s brand. The Sub-Adviser believes the company is gaining strength by hosting their services on Amazons Web Services, Inc., after Amazon chose to remove their own version of the business. The company declined 1.2 percent over the first half of the fiscal quarter.

A volatile sector for Fund returns came from healthcare. Small cap growth healthcare stocks in the Fund were helped by Edwards Lifesciences Corp. (EW) (holding percentage*: 1.16 percent), which designs, develops, manufactures, and markets products and services to treat late-stage cardiovascular disease. Their products include tissue replacement heart valves, heart valve repair products, hemodynamic monitoring devices, angioscopy equipment, oxygenators, and pharmaceuticals. The Sub-Adviser believes the company is just gaining traction in its industry and is approaching an explosion of growth and profitability. The holding gained 35.2 percent over the six-month period ended April 30, 2016. A negative performer for the Fund from the healthcare sector was Glaukos Corp. (GKOS) (holding percentage*: 0.56 percent). The company operates as an ophthalmic medical technology company and develops, manufactures, and markets medical devices for the treatment of glaucoma. It offers micro-scale injectable therapies designed to address the complete range of glaucoma disease states and progression. The stock detracted from the performance of the Fund, falling 6.0 percent over the first half of the fiscal year period.

The Sub-Adviser is hesitant about short-term U.S. economic improvement after seeing weak earnings growth from companies, volatility over the coming U.S. presidential election, and market pressure from a possible “Brexit” in Europe. The Sub-Adviser believes these events have created negative investor sentiment, which will slowly change as these events conclude. The Sub-Adviser sees the recent downturn in the U.S. market as a correct evaluation of pricing and regards it as a healthy event because of the market’s constant rise since 2009. On a macroeconomic level, the Sub-Adviser has seen contractions in major technology companies, which has spread and hurt performance throughout the technology sector. The Sub-Adviser believes that the market stall has allowed companies to consolidate their businesses, which will reflect positively for future growth of small cap stocks. * Holdings percentage(s) as of 4/30/2016.

* Holdings percentage(s) as of 4/30/2016.

** Holdings percentage(s) as of the date prior to the sale of the security.

Growth of $100,000 Investment - (Unaudited)

Total Returns as of April 30, 2016

	Six		Annualized	Annualized	Annualized	Annualized Since Inception
	Months	One Year	Three Years	Five Years	Ten Years	(12/10/04)
Class N	(7.57)%	(10.60)%	8.15%	4.47%	5.42%	6.79%
Class C	(7.99)%	(11.44)%	7.10%	3.45%	4.38%	5.74%
Class A with load of 5.75%	(12.95)%	(15.91)%	5.78%	2.99%	N/A	5.48%*
Class A without load	(7.66)%	(10.77)%	7.89%	4.22%	N/A	6.16%*
Russell 2000 Growth Index	(4.96)%	(8.27)%	8.50%	7.15%	6.14%	7.30%
Morningstar Small Cap Growth Category	(4.56)%	(8.42)%	7.22%	5.62%	4.56%	6.70%

* Class A commenced operations on January 3, 2007.

The Russell 2000 Growth Index measures the performance of the Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. Investors cannot invest directly in an index or benchmark.

The Morningstar Small Cap Growth Category is generally representative of mutual funds that primarily invest in small (small capitalization) U.S. companies that are projected to grow faster than other small-cap stocks.

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.58% for Class N, 2.58% for Class C and 1.83% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of fund shares or fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com

67

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Small Cap Growth Fund

April 30, 2016

Security	Shares		Value
COMMON STOCK - 96.9%
AEROSPACE/DEFENSE - 2.0%
Aerojet Rocketdyne Holdings, Inc. *		16,582	$	300,466
HEICO Corp.		5,457		334,569
				635,035
AIRLINES - 0.9%
Allegiant Travel Co.		1,802		289,347
AUTO PARTS & EQUIPMENT 0.6%
Motorcar Parts of America, Inc. *		6,132		196,653
BANKS - 4.4%
Bank of the Ozarks ^		6,788		280,344
BankUnited, Inc.		9,198		317,331
FCB Financial Holdings, Inc. *		10,143		354,498
Webster Financial Corp.		4,003		146,670
Western Alliance Bancorp *		8,625		315,503
				1,414,346
BIOTECHNOLOGY - 0.7%
NeoGenomics, Inc. *		28,930		235,490
BUILDING MATERIALS - 1.3%
Apogee Enterprises, Inc.		6,784		281,129
Trex Co., Inc. *		2,958		140,357
				421,486
COMMERCIAL SERVICES - 7.0%
AMN Healthcare Services, Inc. *		9,339		331,628
Booz Allen Hamilton Holding Corp.		5,087		140,249
Bright Horizons Family Solutions, Inc. *		4,289		281,444
Healthcare Services Group, Inc.		6,964		263,587
ICF International, Inc. *		2,104		82,835
Korn Ferry International		8,884		241,112
Nord Anglia Education, Inc. *		13,495		286,499
Sabre Corp.		11,097		321,258
Vantiv, Inc. *		5,773		314,859
				2,263,471
COMPUTERS - 7.4%
Cray, Inc. *		8,186		310,004
CSRA, Inc.		10,628		275,903
Electronics For Imaging, Inc. *		6,615		263,542
Exlservice Holdings, Inc. *		5,763		278,871
Globant SA * ^		8,977		318,594
Leidos Holdings, Inc.		6,045		299,892
Manhattan Associates, Inc. *		4,707		284,962
Mercury Systems, Inc. *		17,959		377,498
				2,409,266
DISTRIBUTION/WHOLESALE - 0.9%
Beacon Roofing Supply, Inc. *		6,529		278,984
DIVERSIFIED FINANCIAL SERVICES - 3.1%
Evercore Partners, Inc.		5,776		298,273
MarketAxess Holdings, Inc.		2,675		328,383
WageWorks, Inc. * ^		7,072		380,898
				1,007,554
ELECTRONICS - 3.9%
Coherent, Inc. *		3,163		295,424
Fitbit, Inc. *		16052		292,949
FLIR Systems, Inc.		8325		251,498
IMAX Corp. * ^		8704		278,528
Orbotech Ltd. *		5769		138,918
				1,257,317

Security	Shares		Value
ENGINEERING & CONSTRUCTION - 1.3%
Comfort Systems USA, Inc.		9,215	$	271,750
MasTec, Inc. *		6,318		143,166
				414,916
ENTERTAINMENT - 0.5%
Dolby Laboratories, Inc.		3,186		151,685
ENVIRONMENTAL CONTROL - 0.5%
US Ecology, Inc.		3,326		149,770
FOOD - 0.9%
Blue Buffalo Pet Products, Inc. * ^		12,398		306,974
HEALTHCARE-PRODUCTS - 8.4%
AltriCure, Inc. *		14,626		232,553
Cerus Corp. *		47,428		296,899
ConforMIS, Inc. *		23,405		289,988
Edwards Lifesciences Corp. *		3,533		375,240
Glaukos Corp. * ^		9,578		180,450
Nanostring Technologies, Inc. *		10,965		174,563
Nevro Corp. *		3,446		231,743
NuVasive, Inc. *		2,703		143,097
West Pharmaceutical Services		5,818		414,242
Zeltiq Aesthetics, Inc. * ^		12,702		379,790
				2,718,565
HEALTHCARE-SERVICES - 4.2%
Amedisys, Inc. *		6,339		326,395
American Renal Associates Holdings, Inc. *		2,834		79,692
Amsurg Corp. * ^		4,051		328,050
LCH Group, Inc. *		8,371		337,686
Surgical Care Affiliates, Inc. *		6,211		300,302
				1,372,125
HOME BUILDERS - 1.8%
Installed Building Products, Inc. *		11,427		303,729
LGI Homes, Inc. * ^		10,272		287,719
				591,448
HOME FURNISHINGS - 2.4%
American Woodmark Corp. *		3,977		289,685
Ethan Allen Interiors, Inc.		5,987		203,797
Tempur Sealy International, Inc. *		4,899		297,222
				790,704
HOUSEWARES - 0.9%
Scotts Miracle-Gro Co.		4,182		296,002
INTERNET - 7.6%
8x8, Inc. *		22,771		258,223
HealthStream, Inc. *		6,457		146,057
Marketo, Inc. * ^		11,531		253,567
Quotient Technology, Inc. *		21,947		255,024
Ringcentral, Inc. * ^		16,043		306,100
Shopify, Inc. * ^		10,167		323,819
Splunk, Inc. *		6,216		323,108
WebMD Health Corp. *		4,739		297,325
Zendesk, Inc. *		14,097		318,592
				2,481,815
LEISURE TIME - 1.8%
Norwegian Cruise Line Holdings Ltd. *		5,986		292,656
Planet Fitness, Inc. * ^		19,426		298,383
				591,039
LODGING - 0.2%
Red Rock Resorts, Inc. *		3,995		74,467

See accompanying notes to financial statements.

68

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Small Cap Growth Fund (Continued)

April 30, 2016

Security	Shares		Value
MISCELLANEOUS MANUFACTURING - 1.8%
Fabrinet *		9,309	$	297,609
Hexcel Corp.		6,039		273,385
				570,994
OIL & GAS - 2.9%
Gulfport Energy Corp. *		9,766		305,676
Parsley Energy , Inc. *		13,327		312,118
PDC Energy, Inc. * ^		4,940		310,183
				927,977
PHARMACEUTICALS - 4.1%
Impax Laboratores, Inc. *		4,211		140,437
Ophthotech Corp. *		5,951		278,150
PRA Health Sciences, Inc. * ^		6,583		312,363
Premier, Inc. *		8,001		270,514
Quintiles Transnational Holdings, Inc. *		4,755		328,428
				1,329,892
RETAIL - 3.9%
Burlington Stores, Inc. * ^		5,202		296,358
Casey’s General Stores, Inc.		3,273		366,576
Panera Bread Co. *		1,532		328,599
Texas Roadhouse, Inc.		6,963		283,533
				1,275,066
SAVINGS & LOANS - 1.0%
Sterling Bancorp.		19,248		314,512
SEMICONDUCTORS - 5.3%
CEVA, Inc. * ^		8,639		199,215
Inphi Corp. *		10,570		313,612
MA-COM Technology Solutions Holdings, Inc. *		8,106		331,454
Monolithic Power Systems, Inc. ^		4,455		278,081
NVIDIA Corp.		9,069		322,222
Silicon Motion Technology Corp ADR		7,114		274,245
				1,718,829
SOFTWARE - 10.7%
Activision Blizzard, Inc.		9,620		331,601
Blackbaud, Inc.		4,799		296,434
Broadsoft, Inc. * ^		9,260		362,668
Callidus Software, Inc. *		19,860		363,438
CommVault Systems, Inc. *		7,048		308,491

Security	Shares		Value
SOFTWARE (CONTINUED) - 10.7%
HubSpot, Inc. *		8,118	$	359,546
inContact, Inc. *		16,679		155,282
Press Ganey Holdings, Inc. *		9,182		279,776
Proofpoint, Inc. * ^		6,404		373,097
Red Hat, Inc. * ^		4,444		326,056
Take-Two Interavtive Software, Inc. *		8,866		303,040
				3,459,429
TELECOMMUNICATIONS - 1.6%
Gigamon, Inc. *		8,726		284,381
Infinera Corp. *		18,670		221,986
				506,367
TRANSPORTATION - 2.9%
Air Transport Services Group, Inc. *		19,665		277,080
Covenant Transportation Group, Inc. *		6,506		129534
Old Dominion Freight Line, Inc. *		4,317		285138
Swift Transportation Co. *		14,498		240,957
				932,709
TOTAL COMMON STOCK (Cost - $29,511,289)				31,384,234
SHORT-TERM INVESTMENT - 3.3%
MONEY MARKET FUND - 3.3%
Fidelity Institutional Money Market Funds -
Government Portfolio, 0.01% +		1,071,486		1,071,486
TOTAL SHORT-TERM INVESTMENT (Cost - $1,071,486)
COLLATERAL FOR SECURITIES LOANED - 36.9%
Mount Vernon Prime Portfolio, 0.51% + (Cost - $11,966,485)		11,966,485		11,966,485
TOTAL INVESTMENTS - 137.1% (Cost - $42,549,260)			$	44,422,205
LIABILITIES IN EXCESS OF OTHER ASSETS - (37.1)%				(12,015,932	)
NET ASSETS - 100.0%			$	32,406,273

^ All or a portion of these securities are on loan. Total loaned securies had a value of $11,617,520 at April 30, 2016.

* Non-Income producing security.

+ Variable rate security. Interest rate is as of April 30, 2016.

Portfolio Composition * - (Unaudited)
Collateral For Securities Loaned	26.9	%	Industrial	9.9	%
Consumer, Non-cyclical	18.5	%	Communications	6.7	%
Technology	17.1	%	Financial	6.2	%
Consumer, Cyclical	10.2	%	Short-Term Investment	2.4	%
			Energy	2.1	%
			Total	100.0	%

* Based on total value of investments as of April 30, 2016.

Percentage may differ from Schedule of Investments which is based on Fund net assets.

See accompanying notes to financial statements.

69

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)

April 30, 2016

				Dunham			Dunham									Dunham
	Dunham			Monthly			Corporate /			Dunham			Dunham			International			Dunham			Dunham
	Floating Rate			Distribution			Government			Dynamic Macro			High-Yield			Opportunity			Appreciation &			Alternative
	Bond Fund			Fund			Bond Fund			Fund			Bond Fund			Bond Fund			Income Fund			Strategy Fund
Assets:
Investments in securities, at cost	$	90,683,918		$	292,329,615		$	53,928,716		$	35,986,647		$	107,600,069		$	30,641,901		$	32,280,214		$	22,283,218
Investments in securities, at value	$	89,131,821		$	279,280,433		$	54,847,372		$	36,860,466		$	108,271,438		$	30,938,090		$	29,058,776		$	22,108,013
Foreign currency, at value (Cost $90,676, $104,611 and $87,053, respectively)		—			87,973			—			11,174			—			30,291			—			—
Deposits with brokers		—			41,695,159			—			—			—			76,865			—			—
Unrealized appreciation on swap contracts		—			4,382,304			—			—			—			—			—			—
Unrealized appreciation on futures		—			—			—			108,018			—			—			—			—
Cash		—			13,640,000			17,290			—			—			—			—			493
Receivable for securities sold		151,683			3,159,551			186,918			11,208			465,579			—			—			24,466,545
Interest and dividends receivable		621,215			1,173,648			433,037			1,345			1,447,508			347,119			109,876			—
Receivable for fund shares sold		1,076			6,846			4,664			17,226			909			341			9,890			6,460
Receivable for open forward foreign currency contracts		—			24,068,965			—			—			—			283,346			—			—
Prepaid expenses and other assets		34,886			173,117			32,800			24,771			26,354			5,604			24,879			20,345
Total Assets		89,940,681			367,667,996			55,522,081			37,034,208			110,211,788			31,681,656			29,203,421			46,601,856
Liabilities:
Option contracts written (premiums received $6,208,581 and $25,180,respectively		—			6,554,065			—			25,180			—			—			—			—
Payable upon return of securities loaned		105,750			9,209,035			2,379,575			—			13,974,490			—			2,769,760			—
Securities sold short (proceeds $67,286,631)		—			71,734,934			—			—			—			—			—			—
Unrealized depreciation on swaps		—			2,826,408			—			—			—			—			—			—
Unrealized depreciation on futures		—			—			—			—			—			22,371			—			—
Payable for dividends on short sales		—			31,261			—			—			—			—			—			—
Payable to broker for futures		—			—			—			633,511			—			—			—			—
Payable for securities purchased		2,780,068			2,448,470			564,689			11,209			1,627,895			—			—			24,489,712
Payable for fund shares redeemed		47,528			477,573			6,697			2,593			88,534			21,134			21,808			832
Payable for open forward foreign currency contracts		—			24,513,923			—			—			—			176,101			—			—
Distributions payable		2,226			71,648			1,333			—			8,913			—			—			—
Payable to adviser		42,656			136,503			21,480			19,203			46,434			15,425			14,310			11,986
Payable to sub-adviser		31,987			47,509			6,869			14,388			14,988			4,175			4,082			5,678
Payable for distribution fees		1,485			47,635			5,402			3,236			3,204			—			5,784			953
Payable for administration fees		8,945			16,612			2,400			1,521			14,976			2,578			6,480			1,200
Payable for fund accounting fees		2,728			12,282			947			851			10,191			3,078			10,993			900
Payable for transfer agent fees		736			—			1,750			1,367			18,443			1,930			1,947			2,100
Payable for custody fees		1,467			60,381			500			450			1,722			—			408			500
Payable for non 12b-1 shareholder servicing fees		—			—			—			—			2,742			—			—			—
Accrued expenses and other liabilities		10,041			26,941			8,741			10,223			50,544			32,528			6,889			11,798
Total Liabilities		3,035,617			118,215,180			3,000,383			723,732			15,863,076			279,320			2,842,461			24,525,659
Net Assets	$	86,905,064		$	249,452,816		$	52,521,698		$	36,310,476		$	94,348,712		$	31,402,336		$	26,360,960		$	22,076,197
Net Assets:
Paid in capital	$	90,400,438		$	278,654,164		$	53,633,535		$	38,089,519		$	106,716,578		$	32,191,243		$	29,886,777		$	25,727,836
Accumulated net investment income (loss)		55,697			326,230			(19,396	)		(145,413	)		133,697			(21,813	)		(47,695	)		(196,645	)
Accumulated net realized gain (loss) on  investments, options, securities sold short, futures, swap contracts, and foreign currency transactions		(1,998,974	)		(12,930,984	)		(2,011,097	)		(2,624,971	)		(13,172,932	)		(1,082,368	)		(256,684	)		(3,279,789	)
Net unrealized appreciation (depreciation) on  investments, options, securities sold short, futures, swap contracts, and foreign currency translations		(1,552,097	)		(16,596,594	)		918,656			991,341			671,369			315,274			(3,221,438	)		(175,205	)
Net Assets	$	86,905,064		$	249,452,816		$	52,521,698		$	36,310,476		$	94,348,712		$	31,402,336		$	26,360,960		$	22,076,197
Net Asset Value Per Share
Class N Shares:
Net Assets	$	73,842,740		$	150,116,337		$	43,363,260		$	30,413,612		$	75,916,456		$	27,372,216		$	18,449,698		$	19,605,821
Shares of beneficial interest outstanding  (no par value; unlimited shares authorized)		7,698,206			4,216,056			3,144,794			3,220,807			8,752,057			2,860,186			2,403,842			903,658
Net asset value, offering and  redemption price per share	$	9.59		$	35.60		$	13.79		$	9.44		$	8.67		$	9.57		$	7.68		$	21.70
Class A Shares:
Net Assets	$	9,228,255		$	56,270,860		$	5,580,293		$	3,643,952		$	10,313,896		$	2,773,308		$	3,988,243		$	1,674,468
Shares of beneficial interest outstanding  (no par value; unlimited shares authorized)		962,617			1,615,356			405,164			386,228			1,179,315			290,767			520,471			78,686
Net asset value and  redemption price per share *	$	9.59		$	34.83		$	13.77		$	9.43		$	8.75		$	9.54		$	7.66		$	21.28
Front-end sales charge factor		0.9550			0.9425			0.9550			0.9425			0.9550			0.9550			0.9425			0.9425
Offering price per share (Net asset value per  share / front-end sales charge factor)	$	10.18		$	36.95		$	14.42		$	10.01		$	9.16		$	9.99		$	8.13		$	22.58
Class C Shares:
Net Assets	$	3,834,069		$	43,065,619		$	3,578,145		$	2,252,912		$	8,118,360		$	1,256,812		$	3,923,019		$	795,908
Shares of beneficial interest outstanding  (no par value; unlimited shares authorized)		400,075			1,479,909			261,434			245,411			941,981			132,951			520,845			39,610
Net asset value, offering and  redemption price per share	$	9.58		$	29.10		$	13.69		$	9.18		$	8.62		$	9.45		$	7.53		$	20.09

* For certain purchases of $1 million or more, a 0.75% contingent deferred sales charge may apply to redemptions made within eighteen months of purchase.

See accompanying notes to financial statements.

70

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) (Continued)

April 30, 2016

				Dunham										Dunham
	Dunham			Focused			Dunham			Dunham		Dunham		Emerging			Dunham
	Large Cap			Large Cap			International			Real Estate		Small Cap		Markets			Small Cap
	Value Fund			Growth Fund			Stock Fund			Stock Fund		Value Fund		Stock Fund			Growth Fund
Assets:
Investments in securities, at cost	$	58,607,241		$	65,777,374		$	91,735,418		$	42,771,929	$	31,388,311	$	53,798,301		$	42,549,260
Investments in securities, at value	$	63,921,031		$	76,907,309		$	94,605,299		$	49,996,366	$	31,326,316	$	55,897,009		$	44,422,205
Foreign currency, at value (Cost $5, $422,311 and $3,808, respectively)		—			—			420,151			—		—		3,805			—
Cash		18,474			—			—			—		—		—			—
Receivable for securities sold		203,387			—			1,380,883			—		—		696,738			1,258,505
Interest and dividends receivable		33,457			5,894			585,126			13,796		14,343		41,018			4,527
Receivable for fund shares sold		27,841			36,649			19,568			16,563		11,455		614			847
Receivable for open forward foreign currency contracts		—			—			897,743			—		—		740,129			—
Prepaid expenses and other assets		27,181			41,411			23,046			28,910		19,850		27,987			29,998
Total Assets		64,231,371			76,991,263			97,931,816			50,055,635		31,371,964		57,407,300			45,716,082
Liabilities:
Cash overdraft		—			—			10,651			—		—		—			—
Foreign currency overdraft		—			—			—			—		—		—			—
Payable upon return of securities loaned		8,965,266			12,704,917			4,645,326			7,173,911		4,121,138		1,774,767			11,966,485
Payable to custodian for cash overdraft		—			—			—			—		—		—			—
Payable for securities purchased		—			—			1,750,593			—		—		1,386,863			1,291,668
Payable for fund shares redeemed		4,437			42,142			32,295			82,212		2,085		21,203			7,009
Payable for open forward foreign currency contracts		—			—			1,066,025			—		—		728,966			—
Payable to adviser		29,288			34,363			47,662			23,022		14,443		26,891			17,267
Payable to sub-adviser		9,694			10,705			30,734			2,624		9,579		16,692			—
Payable for distribution fees		6,337			6,221			10,797			3,102		3,353		6,174			—
Payable for administration fees		2,397			1,662			2,750			1,819		1,840		2,641			4,324
Payable for fund accounting fees		1,125			1,020			1,725			1,321		895		1,425			5,617
Payable for transfer agent fees		1,125			442			1,575			405		1,225		1,651			1,234
Payable for custody fees		1,568			2,433			15,850			—		900		8,021			2,413
Accrued expenses and other liabilities		10,600			4,308			73,321			4,594		13,352		20,401			13,792
Total Liabilities		9,031,837			12,808,213			7,689,304			7,293,010		4,168,810		3,995,695			13,309,809
Net Assets	$	55,199,534		$	64,183,050		$	90,242,512		$	42,762,625	$	27,203,154	$	53,411,605		$	32,406,273
Net Assets:
Paid in capital	$	51,149,983		$	56,041,165		$	92,476,281		$	34,635,417	$	26,957,299	$	62,709,261		$	32,933,390
Accumulated net investment income (loss)		328,393			(938,307	)		93,735			556,544		41,135		2,497			(157,405	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		(1,592,632	)		(2,049,743	)		(5,081,910	)		346,227		66,715		(11,398,861	)		(2,242,657	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		5,313,790			11,129,935			2,754,406			7,224,437		138,005		2,098,708			1,872,945
Net Assets	$	55,199,534		$	64,183,050		$	90,242,512		$	42,762,625	$	27,203,154	$	53,411,605		$	32,406,273
Net Asset Value Per Share
Class N Shares:
Net Assets	$	43,364,052		$	48,964,675		$	74,148,785		$	29,338,071	$	21,205,572	$	45,236,808		$	23,827,615
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)		3,643,790			3,188,628			5,344,252			1,638,268		1,559,786		3,822,523			1,648,896
Net asset value, offering and redemption price per share	$	11.90		$	15.36		$	13.87		$	17.91	$	13.60	$	11.83		$	14.45
Class A Shares:
Net Assets	$	6,436,829		$	9,978,376		$	9,165,776		$	10,047,029	$	3,684,421	$	4,976,538		$	5,650,021
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)		542,585			657,113			662,701			559,111		273,040		429,438			403,401
Net asset value, and redemption price per share *	$	11.86		$	15.19		$	13.83		$	17.97	$	13.49	$	11.59		$	14.01
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)	$	12.59		$	16.12		$	14.67		$	19.07	$	14.32	$	12.30		$	14.86
Class C Shares:
Net Assets	$	5,398,653		$	5,239,999		$	6,927,951		$	3,377,525	$	2,313,161	$	3,198,259		$	2,928,637
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)		473,161			356,415			520,215			195,785		187,439		289,647			241,900
Net asset value, offering and redemption price per share	$	11.41		$	14.70		$	13.32		$	17.25	$	12.34	$	11.04		$	12.11

* For certain purchases of $1 million or more, a 0.75% contingent deferred sales charge may apply to redemptions made within eighteen months of purchase.

See accompanying notes to financial statements.

71

STATEMENTS OF OPERATIONS (Unaudited)

For the Six Months Ended April 30, 2016

				Dunham			Dunham									Dunham
	Dunham			Monthly			Corporate /			Dunham			Dunham			International			Dunham			Dunham
	Floating Rate			Distribution			Government			Dynamic Macro			High-Yield			Opportunity			Appreciation &			Alternative
	Bond Fund			Fund			Bond Fund			Fund			Bond Fund			Bond Fund			Income Fund			Strategy Fund
Investment Income:
Interest income	$	2,077,800		$	583,970		$	970,842		$	11,287		$	2,825,468		$	304,840		$	194,924		$	4,286
Dividend income		296			3,319,572			27,393			182,854			924			0			126,778			80,388
Securities Lending Income		—			—			3,326			15,548			15,151			0			9,684			12,697
Less: Foreign withholding taxes		—			(14,659	)		—			—			—			(292	)		—			—
Total Investment Income		2,078,096			3,888,883			1,001,561			209,689			2,841,543			304,548			331,386			97,371
Operating Expenses:
Investment advisory fees		256,278			860,158			127,058			113,041			278,642			99,012			87,154			73,383
Sub-advisory fees		170,852			998,468			76,235			129,737			185,762			74,259			60,338			56,448
Sub-advisory performance fees		38,436			(718,947	)		(31,554	)		(12,429	)		(98,749	)		(49,212	)		(15,794	)		(22,187	)
Fund accounting fees		13,590			46,324			3,500			4,970			30,299			5,573			14,446			3,640
Distribution fees- Class C Shares		13,777			228,018			4,208			10,422			31,004			5,469			18,726			4,111
Distribution fees- Class A Shares		11,020			79,485			13,538			4,322			12,279			3,562			4,967			2,033
Administration fees		53,519			89,604			16,769			11,281			43,330			14,020			12,640			7,367
Registration fees		13,046			30,297			36,661			21,027			25,157			21,476			20,465			13,413
Transfer agent fees		12,245			23,344			11,146			9,234			13,780			8,584			9,540			7,763
Custodian fees		15,969			174,998			8,331			—			5,849			—			1,978			2,670
Professional fees		14,995			11,504			6,500			—			7,984			9,697			7,319			—
Chief Compliance Officer fees		5,913			21,627			5,580			7,938			9,139			0			2,019			8,676
Printing and postage expense		9,524			48,453			2,000			—			8,027			1,073			2,177			3,182
Trustees’ fees		2,725			9,168			4,266			892			2,996			927			1,869			865
Insurance expense		2,151			10,604			1,080			207			603			653			387			246
Non 12b-1 shareholder servicing fees		212			39,060			684			—			3,908			1,305			3,255			1,231
Dividend expenses on short sales		—			207,302			1,305			—			—			—			—			—
Interest expense		—			3,905			—			—			—			—			—			—
Miscellaneous expenses		3,822			4,612			9,227			11,801			6,776			32,067			2,434			5,153
Net Operating Expenses		638,074			2,167,984			296,534			312,443			566,786			228,465			233,920			167,994
Net Investment Income (Loss)		1,440,022			1,720,899			705,027			(102,754	)		2,274,757			76,083			97,466			(70,623	)
Realized and Unrealized Gain (Loss) on Investments, Options Purchased, Securities Sold Short, Futures, Written Options, Foreign Currency Transactions and Swap Contracts:
Net realized gain (loss) from:
Investments		(916,042	)		(11,475,774	)		(662,352	)		(262,055	)		(5,077,538	)		176,055			(220,758	)		(1,954,430	)
Futures		—			—			—			(670,765	)		—			(56,290	)		—			—
Options purchased		—			6,166,726			—			159,653			—			—			—			—
Securities sold short		—			(68,583	)		—			—			—			—			—			—
Written options		—			693,396			—			(48,795	)		—			—			—			—
Swap contracts		—			(3,482,881	)					—			—			—			—			—
Capital gain distributions received from
Foreign currency transactions		—			183,425			—			(300,502	)		—			(1,100,996	)		—			—
Foreign currency exchange contracts		—			856,359			—			—			—			(30,221	)		—			—
Net change in unrealized appreciation (depreciation) on:
Investments		841,493			2,914,815			881,304			(81,335	)		2,448,359			3,125,817			(1,753,445	)		(596,459	)
Futures		—			—			—			(232,566	)		—			(12,446	)		—			—
Options purchased		—			212,565			—			196,070			—			—			—			—
Securities sold short		—			(2,350,131	)		—			—			—			—			—			—
Written options		—			2,036,766			—			(1,956	)		—			—			—			—
Swap contracts		—			1,264,970			—			—			—			—			—			—
Foreign currency translations		—			(2,703	)		—			(33,968	)		—			(18,744	)		—			—
Foreign currency exchange contracts		—			(444,958	)		—			—			—			45,715			—			—
Net Realized and Unrealized Gain (Loss)		(74,549	)		(3,496,008	)		218,952			(1,276,219	)		(2,629,179	)		2,128,890			(1,974,203	)		(2,550,889	)
Net Increase (Decrease) in Net Assets Resulting From Operations	$	1,365,473		$	(1,775,109	)	$	923,979		$	(1,378,973	)	$	(354,422	)	$	2,204,973		$	(1,876,737	)	$	(2,621,512	)

See accompanying notes to financial statements.

72

STATEMENTS OF OPERATIONS (Unaudited) (Continued)

For the Six Months Ended April 30, 2016

				Dunham												Dunham
	Dunham			Focused			Dunham			Dunham			Dunham			Emerging			Dunham
	Large Cap			Large Cap			International			Real Estate			Small Cap			Markets			Small Cap
	Value Fund			Growth Fund			Stock Fund			Stock Fund			Value Fund			Stock Fund			Growth Fund
Investment Income:
Interest income	$	961		$	929		$	1,019		$	451		$	238		$	847		$	656
Dividend income		5,524			87,457			1,376,835			1,093,847			292,239			599,458			53,209
Securities lending income		768,480			8,378			15,237			3,844			4,116			4,436			17,044
Less: Foreign withholding taxes		—			(100	)		(154,148	)		—			—			(72,891	)		—
Total Investment Income		774,965			96,664			1,238,943			1,098,142			296,593			531,850			70,909
Operating Expenses:
Investment advisory fees		173,996			202,020			283,542			142,587			86,085			155,369			99,431
Sub-advisory fees		80,306			108,780			283,541			87,485			59,597			120,209			76,933
Sub-advisory performance fees		(116,419	)		(7,533	)		(5,987	)		(38,201	)		16,870			(81,025	)		(42,320	)
Fund accounting fees		8,404			9,339			13,596			7,049			4,942			6,797			9,473
Distribution fees- Class C Shares		27,883			26,350			34,377			15,754			11,463			15,286			12,777
Distribution fees- Class A Shares		7,712			11,514			10,525			12,425			4,387			5,585			6,896
Administration fees		16,799			18,878			50,600			13,756			4,183			20,911			10,978
Registration fees		20,918			12,743			28,623			19,945			26,199			21,896			20,153
Transfer agent fees		7,522			9,796			13,407			9,207			9,155			9,632			8,976
Custodian fees		5,845			5,406			18,000			7,181			2,651			21,050			6,480
Professional fees		8,083			9,268			12,137			10,224			—			3,500			8,553
Chief Compliance Officer fees		2,700			5,154			3,500			3,737			8,884			10,430			2,745
Printing and postage expense		3,833			4,873			3,629			3,740			2,537			7,591			1,740
Trustees’ fees		1,894			2,407			2,460			1,542			1,429			3,316			997
Insurance expense		744			560			—			238			388			548			450
Non 12b-1 shareholder servicing fees		83			2,019			683			1,200			983			383			748
Miscellaneous expenses		5,652			485			26,373			5,072			2,703			8,888			3,304
Net Operating Expenses		255,955			422,059			779,006			302,941			242,456			330,366			228,314
Net Investment Income (Loss)		519,010			(325,395	)		459,937			795,201			54,137			201,484			(157,405	)
Realized and Unrealized Gain (Loss) on Investments, Options and Foreign Currency:
Net realized gain (loss) from:
Investments		(842,416	)		(1,529,752	)		(3,487,614	)		944,159			136,664			(2,246,610	)		(1,975,171	)
Foreign currency transactions		—			—			—			—			—			—			—
Foreign currency exchange contracts		—			—			(816,147	)		—			—			(1,020,509	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		(192,931	)		(4,052,743	)		1,936,327			(193,308	)		(544,218	)		2,981,499			(212,333	)
Foreign currency translations		—			—			—			—			—			11,027			—
Foreign currency exchange contracts		—			—			(399,475	)		—			—			—			—
Net Realized and Unrealized Gain (Loss)		(1,035,347	)		(5,582,495	)		(2,766,909	)		750,851			(407,554	)		(274,593	)		(2,187,504	)
Net Increase (Decrease) in Net Assets Resulting From Operations	$	(516,337	)	$	(5,907,890	)	$	(2,306,972	)	$	1,546,052		$	(353,417	)	$	(73,109	)	$	(2,344,909	)

See accompanying notes to financial statements.

73

STATEMENTS OF CHANGES IN NET ASSETS

	Dunham						Dunham						Dunham						Dunham						Dunham						Dunham
	Floating Rate						Monthly Distribution						Corporate/Government						Dynamic Macro						High-Yield						International Opportunity
	Bond Fund						Fund						Bond Fund						Fund						Bond Fund						Bond Fund
	Six Months						Six Months						Six Months						Six Months						Six Months						Six Months
	Ended			Year Ended			Ended			Year Ended			Ended			Year Ended			Ended			Year Ended			Ended			Year Ended			Ended			Year Ended
	Apr. 30, 2016			Oct. 31, 2015			Apr. 30, 2016			Oct. 31, 2015			Apr. 30, 2016			Oct. 31, 2015			Apr. 30, 2016			Oct. 31, 2015			Apr. 30, 2016			Oct. 31, 2015			Apr. 30, 2016			Oct. 31, 2015
	(Unaudited)						(Unaudited)						(Unaudited)						(Unaudited)						(Unaudited)						(Unaudited)
Operations:
Net investment income (loss)	$	1,440,022		$	2,659,546		$	1,720,899		$	(2,091,574	)	$	705,027		$	1,579,986		$	(102,754	)	$	(367,594	)	$	2,274,757		$	5,358,316		$	76,083		$	219,651
Net realized gain (loss) from investments, foreign currency, securities sold short, futures, swap contracts and options		(916,042	)		(989,927	)		(7,127,332	)		8,665,171			(662,352	)		(802,542	)		(1,122,464	)		(784,599	)		(5,077,538	)		(4,691,852	)		(1,011,452	)		(3,043,314	)
Net change in unrealized appreciation (depreciation) on investments, foreign currency, securities sold short, futures, swap contracts and options		841,493			(1,351,525	)		3,631,324			(12,530,696	)		881,304			(628,811	)		(153,755	)		885,984			2,448,359			(2,895,283	)		3,140,342			(1,185,869	)
Net Increase (Decrease) in Net Assets Resulting From Operations		1,365,473			318,094			(1,775,109	)		(5,957,099	)		923,979			148,633			(1,378,973	)		(266,209	)		(354,422	)		(2,228,819	)		2,204,973			(4,009,532	)
Distributions to Shareholders From:
Net Realized Gains:
Class N		—			—			(2,695,636	)		(3,465,984	)		—			—			—			—			—			—			—			—
Class A		—			—			(1,107,324	)		(1,580,917	)		—			—			—			—			—			—			—			—
Class C		—			—			(959,489	)		(1,315,549	)		—			—			—			—			—			—			—			—
Net Investment Income:
Class N		(1,226,062	)		(2,306,306	)		—			—			(627,973	)		(1,444,152	)		—			—			(1,847,379	)		(4,206,990	)		(26,161	)		(20,234	)
Class A		(137,309	)		(280,234	)		—			—			(72,515	)		(123,639	)		—			—			(229,783	)		(633,882	)		(1,468	)		(1,136	)
Class C		(48,354	)		(90,378	)		—			—			(40,277	)		(89,766	)		—			—			(172,893	)		(426,203	)		(112	)		—
Distributions From Paid In Capital:
Class N		—			—			—			(1,924,706	)		—			—			—			—			—			—			—			—
Class A		—			—			—			(906,907	)		—			—			—			—			—			—			—			—
Class C		—			—			—			(731,788	)		—			—			—			—			—			—			—			—
Total Distributions to Shareholders		(1,411,725	)		(2,676,918	)		(4,762,449	)		(9,925,851	)		(740,765	)		(1,657,557	)		—			—			(2,250,055	)		(5,267,075	)		(27,741	)		(21,370	)
Share Transactions of Beneficial Interest:
Net proceeds from shares sold
Class N		9,673,248			26,805,380			14,655,975			59,506,155			6,656,560			11,821,827			5,925,389			19,642,140			5,665,895			14,380,469			1,834,465			12,663,574
Class A		2,082,257			7,478,894			5,865,139			32,835,909			2,122,802			2,730,333			1,978,966			2,239,845			1,484,626			7,270,669			534,072			4,644,903
Class C		679,501			1,313,889			3,891,987			20,947,149			423,949			982,704			639,897			671,518			489,540			1,348,348			117,974			674,903
Reinvestment of distributions
Class N		1,222,177			2,305,799			2,561,885			5,020,988			627,908			1,443,731			—			—			1,807,080			4,059,205			26,161			20,234
Class A		126,451			263,845			954,576			2,064,283			65,501			118,869			—			—			190,040			539,405			1,390			1,098
Class C		47,800			89,580			775,169			1,582,690			38,260			87,339			—			—			147,795			362,639			111			—
Cost of shares redeemed
Class N		(10,314,536	)		(16,957,527	)		(27,578,391	)		(49,477,110	)		(6,040,793	)		(13,876,442	)		(2,884,724	)		(2,621,968	)		(8,130,912	)		(36,343,091	)		(8,328,789	)		(19,792,147	)
Class A		(1,581,478	)		(12,506,881	)		(23,117,476	)		(35,643,072	)		(1,438,155	)		(1,627,587	)		(1,474,414	)		(658,270	)		(1,321,818	)		(18,668,200	)		(1,154,322	)		(4,479,173	)
Class C		(471,057	)		(1,119,025	)		(10,323,557	)		(16,937,091	)		(592,486	)		(958,740	)		(248,064	)		(453,699	)		(1,487,423	)		(3,431,763	)		(586,230	)		(753,425	)
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest		1,464,363			7,673,954			(32,314,693	)		19,899,901			1,863,546			722,034			3,937,050			18,819,566			(1,155,177	)		(30,482,319	)		(7,555,168	)		(7,020,033	)
Total Increase (Decrease) in Net Assets		1,418,111			5,315,130			(38,852,251	)		4,016,951			2,046,760			(786,890	)		2,558,077			18,553,357			(3,759,654	)		(37,978,213	)		(5,377,936	)		(11,050,935	)
Net Assets:
Beginning of Period		85,486,953			80,171,823			288,305,067			284,288,116			50,474,938			51,261,828			33,752,399			15,199,042			98,108,366			136,086,579			36,780,272			47,831,207
End of Period *	$	86,905,064		$	85,486,953		$	249,452,816		$	288,305,067		$	52,521,698		$	50,474,938		$	36,310,476		$	33,752,399		$	94,348,712		$	98,108,366		$	31,402,336		$	36,780,272
*  Includes undistributed net investment income (loss) at end of year	$	55,697		$	20,255		$	326,230		$	1,364,137		$	(19,396	)	$	16,342		$	(145,413	)	$	(42,659	)	$	133,697		$	17,754		$	(21,813	)	$	—

See accompanying notes to financial statements.

74

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	Dunham						Dunham						Dunham						Dunham
	Appreciation &						Alternative						Large Cap						Focused Large Cap
	Income Fund						Strategy Fund						Value Fund						Growth Fund
	Six Months						Six Months						Six Months						Six Months
	Ended			Year Ended			Ended			Year Ended			Ended			Year Ended			Ended			Year Ended
	Apr. 30, 2016			Oct. 31, 2015			Apr. 30, 2016			Oct. 31, 2015			Apr. 30, 2016			Oct. 31, 2015			Apr. 30, 2016			Oct. 31, 2015
	(Unaudited)						(Unaudited)						(Unaudited)						(Unaudited)
Operations:
Net investment income (loss)	$	97,466		$	765,356		$	(70,623	)	$	(34,985	)	$	519,010		$	496,880		$	(325,395	)	$	(678,553	)
Net realized gain (loss) from investments and foreign currency transactions		(220,758	)		898,618			(1,954,430	)		(95,801	)		(842,416	)		15,237,873			(1,529,752	)		638,277
Capital gain distributions received from other investment companies		—			—			—			51,809			—			—			—			—
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		(1,753,445	)		(2,532,611	)		(596,459	)		(231,388	)		(192,931	)		(15,021,215	)		(4,052,743	)		7,298,519
Net Increase (Decrease) in Net Assets Resulting From Operations		(1,876,737	)		(868,637	)		(2,621,512	)		(310,365	)		(516,337	)		713,538			(5,907,890	)		7,258,243
Distributions to Shareholders From:
Net Realized Gains:
Class N		(403,190	)		(2,968,783	)		—			—			(11,078,720	)		—			(291,262	)		—
Class A		(86,592	)		(748,302	)		—			—			(1,618,488	)		—			(56,919	)		—
Class C		(104,911	)		(649,083	)		—			—			(1,560,943	)		—			(33,681	)		—
Net Investment Income:
Class N		(786,055	)		(287,785	)		—			—			(494,656	)		(323,640	)		—			—
Class A		(158,001	)		(61,328	)		—			—			(56,644	)		(42,004	)		—			—
Class C		(157,682	)		(23,109	)		—			—			(12,668	)		—			—			—
Total Distributions to Shareholders		(1,696,431	)		(4,738,390	)		—			—			(14,822,119	)		(365,644	)		(381,862	)		—
Share Transactions of Beneficial Interest:
Net proceeds from shares sold
Class N		2,152,193			6,612,666			2,137,725			10,062,695			3,829,738			10,056,662			6,854,209			18,681,958
Class A		355,197			1,658,013			310,810			2,168,236			998,391			2,688,351			3,446,716			9,683,964
Class C		846,648			2,201,019			183,841			368,291			418,438			1,091,246			1,481,073			1,171,037
Reinvestment of distributions
Class N		1,183,250			3,247,305			—			—			11,569,073			323,513			289,776			—
Class A		190,061			583,948			—			—			1,655,337			41,709			55,382			—
Class C		230,784			669,690			—			—			1,571,854			—			30,681			—
Cost of shares redeemed
Class N		(2,648,417	)		(4,405,250	)		(1,386,392	)		(4,021,907	)		(4,712,878	)		(8,002,850	)		(4,748,168	)		(9,982,425	)
Class A		(247,649	)		(1,625,832	)		(160,686	)		(2,375,119	)		(1,054,032	)		(3,835,677	)		(1,320,203	)		(22,089,093	)
Class C		(1,504,964	)		(1,088,712	)		(150,023	)		(550,889	)		(739,720	)		(950,437	)		(912,958	)		(843,277	)
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest		557,103			7,852,847			935,275			5,651,307			13,536,201			1,412,517			5,176,508			(3,377,836	)
Total Increase (Decrease) in Net Assets		(3,016,065	)		2,245,820			(1,686,237	)		5,340,942			(1,802,255	)		1,760,411			(1,113,244	)		3,880,407
Net Assets:
Beginning of Period		29,377,025			27,131,205			23,762,434			18,421,492			57,001,789			55,241,378			65,296,294			61,415,887
End of Period *	$	26,360,960		$	29,377,025		$	22,076,197		$	23,762,434		$	55,199,534		$	57,001,789		$	64,183,050		$	65,296,294
* Includes undistributed net investment income (loss) at end of year	$	(47,695	)	$	259,459		$	(196,645	)	$	(259,611	)	$	328,393		$	373,351		$	(938,307	)	$	(390,591	)

See accompanying notes to financial statements.

75

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	Dunham						Dunham						Dunham						Dunham						Dunham
	International						Real Estate						Small Cap						Emerging Markets						Small Cap
	Stock Fund						Stock Fund						Value Fund						Stock Fund						Growth Fund
	Six Months						Six Months						Six Months						Six Months						Six Months
	Ended			Year Ended			Ended			Year Ended			Ended			Year Ended			Ended			Year Ended			Ended			Year Ended
	Apr. 30, 2016			Oct. 31, 2015			Apr. 30, 2016			Oct. 31, 2015			Apr. 30, 2016			Oct. 31, 2015			Apr. 30, 2016			Oct. 31, 2015			Apr. 30, 2016			Oct. 31, 2015
	(Unaudited)						(Unaudited)						(Unaudited)						(Unaudited)						(Unaudited)
Operations:
Net investment income (loss)	$	459,937		$	(61,967	)	$	795,201		$	330,722		$	54,137		$	(62,459	)	$	201,484		$	220,476		$	(157,405	)	$	(481,979	)
Net realized gain (loss) from investments and foreign currency transactions		(4,303,761	)		(522,400	)		944,159			4,411,509			136,664			960,175			(3,267,119	)		(4,267,938	)		(1,975,171	)		3,247,630
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		1,536,852			(2,388,134	)		(193,308	)		(2,058,419	)		(544,218	)		(1,248,260	)		2,992,526			(4,292,625	)		(212,333	)		(1,058,568	)
Net Increase (Decrease) in Net Assets Resulting From Operations		(2,306,972	)		(2,972,501	)		1,546,052			2,683,812			(353,417	)		(350,544	)		(73,109	)		(8,340,087	)		(2,344,909	)		1,707,083
Distributions to Shareholders From:
Net Realized Gains:
Class N		—			(213,428	)		(2,998,341	)		(1,801,657	)		(721,628	)		(1,480,348	)		—			—			(1,944,913	)		(1,843,030	)
Class A		—			(29,714	)		(955,297	)		(494,611	)		(123,232	)		(199,656	)		—			—			(515,354	)		(582,886	)
Class C		—			(24,848	)		(377,983	)		(214,050	)		(87,966	)		(163,574	)		—			—			(314,231	)		(313,703	)
Net Investment Income:
Class N		(43,319	)		(1,143,359	)		(353,676	)		(214,891	)		(13,002	)		(55,192	)		(286,568	)		(471,950	)		—			—
Class A		—			(136,048	)		(86,476	)		(48,514	)		—			—			(20,580	)		(46,968	)		—			—
Class C		—			(70,549	)		(4,842	)		—			—			—			—			(18,608	)		—			—
Total Distributions to Shareholders		(43,319	)		(1,617,946	)		(4,776,615	)		(2,773,723	)		(945,828	)		(1,898,770	)		(307,148	)		(537,526	)		(2,774,498	)		(2,739,619	)
Share Transactions of Beneficial Interest:
Net proceeds from shares sold
Class N		3,131,249			30,030,021			2,095,559			10,087,909			1,243,171			5,052,309			7,970,929			18,180,906			4,127,139			6,472,774
Class A		1,527,953			4,446,411			748,134			9,349,776			561,949			1,406,383			1,209,115			2,545,109			774,141			1,939,467
Class C		582,813			1,892,802			331,186			1,047,720			200,964			373,937			427,029			1,043,954			309,142			650,423
Reinvestment of distributions
Class N		43,140			1,356,407			3,276,127			1,959,665			734,047			1,534,285			286,387			471,942			1,940,454			1,836,187
Class A		—			146,152			1,027,941			537,515			119,701			197,400			20,108			46,050			363,529			414,220
Class C		—			94,504			351,559			205,692			87,856			163,312			—			18,512			313,976			312,902
Cost of shares redeemed
Class N		(4,105,243	)		(8,142,350	)		(7,167,330	)		(15,912,244	)		(1,838,475	)		(6,542,402	)		(5,501,197	)		(4,402,409	)		(1,795,139	)		(5,627,001	)
Class A		(1,172,589	)		(2,889,429	)		(1,407,688	)		(3,240,007	)		(625,337	)		(801,068	)		(832,313	)		(1,122,138	)		(860,113	)		(2,284,547	)
Class C		(706,046	)		(833,335	)		(874,145	)		(1,555,919	)		(233,081	)		(428,369	)		(429,118	)		(764,943	)		(287,900	)		(801,682	)
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest		(698,723	)		26,101,183			(1,618,657	)		2,480,107			250,795			955,787			3,150,940			16,016,983			4,885,229			2,912,743
Total Increase (Decrease) in Net Assets		(3,049,014	)		21,510,736			(4,849,220	)		2,390,196			(1,048,450	)		(1,293,527	)		2,770,683			7,139,370			(234,178	)		1,880,207
Net Assets:
Beginning of Period		93,291,526			71,780,790			47,611,845			45,221,649			28,251,604			29,545,131			50,640,922			43,501,552			32,640,451			30,760,244
End of Period *	$	90,242,512		$	93,291,526		$	42,762,625		$	47,611,845		$	27,203,154		$	28,251,604		$	53,411,605		$	50,640,922		$	32,406,273		$	32,640,451
* Includes undistributed net investment income (loss) at end of year	$	93,735		$	322,883		$	556,544		$	139,020		$	41,135		$	—		$	2,497		$	108,161		$	(157,405	)	$	—

See accompanying notes to financial statements.

76

FINANCIAL HIGHLIGHTS

Dunham Floating Rate Bond Fund

The table sets forth financial data for one share of beneficial interest outstanding throughout each period.

	Class N									Class A									Class C
	Six Months									Six Months									Six Months
	Ended			Year Ended			Year Ended			Ended			Year Ended			Year Ended			Ended			Year Ended			Year Ended
	April 30,			October 31,			October 31,			April 30,			October 31,			October 31,			April 30,			October 31,			October 31,
	2016			2015			2014*			2016			2015			2014*			2016			2015			2014*
	(Unaudited)									(Unaudited)									(Unaudited)
Net asset value, beginning of period	$	9.60		$	9.87		$	10.00		$	9.59		$	9.87		$	10.00		$	9.59		$	9.86		$	10.00
Income (loss) from investment operations:
Net investment income**		0.16			0.32			0.29			0.15			0.30			0.28			0.13			0.24			0.22
Net realized and unrealized loss		(0.01	)		(0.27	)		(0.15	)		(0.00	)		(0.28	)		(0.16	)		(0.01	)		(0.26	)		(0.16	)
Total income (loss) from investment operations		0.15			0.05			0.14			0.15			0.02			0.12			0.12			(0.02	)		0.06
Less distributions:
Distributions from net investment income		(0.16	)		(0.32	)		(0.27	)		(0.15	)		(0.30	)		(0.25	)		(0.13	)		(0.25	)		(0.20	)
Total distributions		(0.16	)		(0.32	)		(0.27	)		(0.15	)		(0.30	)		(0.25	)		(0.13	)		(0.25	)		(0.20	)
Net asset value, end of period	$	9.59		$	9.60		$	9.87		$	9.59		$	9.59		$	9.87		$	9.58		$	9.59		$	9.86
Total return +		1.58	%		0.51	%		1.43	%		1.57	%		0.16	%		1.20	%		1.21	%		(0.23	)%		0.63	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	73,843		$	73,316		$	63,120		$	9,228		$	8,598		$	13,664		$	3,834		$	3,573		$	3,888
Ratios of expenses to average net assets: ^		1.44	%		1.27	%		1.27	%		1.69	%		1.52	%		1.52	%		2.19	%		2.02	%		2.02	%
Ratios of net investment income to average net assets: ^		3.43	%		3.24	%		2.87	%		3.18	%		2.99	%		2.84	%		2.67	%		2.49	%		2.24	%
Portfolio turnover rate		23	% (1)		51	%		50	% (1)		23	% (1)		51	%		50	% (1)		23	% (1)		51	%		50	% (1)

* The Fund commenced operations on November 1, 2013.

** The net investment income per share data was determined using the average shares outstanding throughout each period.

+ Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

(1) Not annualized.

^ Annualized for periods less than one year.

See accompanying notes to financial statements.

77

FINANCIAL HIGHLIGHTS

Dunham Monthly Distribution Fund

The table sets forth financial data for one share of beneficial interest outstanding throughout each period.

	Class N
	Six Months
	Ended			Year Ended
	April 30,			October 31,
	2016			2015			2014			2013			2012			2011
	(Unaudited)
Net asset value, beginning of period	$	36.36		$	38.16		$	38.47		$	37.22		$	35.87		$	36.52
Income (loss) from investment operations:
Net investment income (loss)*		0.44			(0.18	)		0.17			0.36			0.14			0.01
Net realized and unrealized gain (loss)		(0.58	)		(0.39	)		1.35			2.13			2.41			0.53
Total income (loss) from investment operations		(0.14	)		(0.57	)		1.52			2.49			2.55			0.54
Less distributions:
Distributions from net investment income		0.00			0.00			0.00			(0.41	)		(0.22	)		0.00
Distributions from net realized gains		(0.62	)		(0.80	)		(1.59	)		(0.83	)		(0.32	)		(1.19	)
Tax return of capital		0.00			(0.43	)		(0.24	)		0.00			(0.66	)		0.00
Total distributions		(0.62	)		(1.23	)		(1.83	)		(1.24	)		(1.20	)		(1.19	)
Net asset value, end of period	$	35.60		$	36.36		$	38.16		$	38.47		$	37.22		$	35.87
Total return +		(0.32	)%		(1.53	)%		4.01	%		6.75	%		7.19	%		1.47	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	150,116		$	163,843		$	156,964		$	161,347		$	127,346		$	65,621
Ratios of expenses to average net assets:
After waivers		1.40	%		2.09	%		2.53	%		2.23	%		2.75	%		2.57	%
Dividends/borrowings on short sales		0.67	%		0.47	%		0.59	%		0.24	%		0.52	%		0.30	%
Excluding dividends/borrowings on short sales:
Before fee waivers ^		0.73	%		2.17	%		2.11	%		2.10	%		2.23	%		2.27	%
After fee waivers ^		0.73	%		1.62	%		1.94	%		1.99	%		2.23	%		2.27	%
Ratios of net investment income (loss) to average net assets:
Before fee waivers ^		2.46	%		(0.56	)%		0.26	%		0.84	%		0.39	%		0.03	%
After fee waivers ^		2.46	%		(0.48	)%		0.43	%		0.95	%		0.39	%		0.03	%
Portfolio turnover rate		130	% (1)		155	%		229	%		227	%		205	%		277	%
	Class A																		Class C
	Six Months																		Six Months
	Ended			Year Ended															Ended			Year Ended
	April 30,			October 31,															April 30,			October 31,
	2016			2015			2014			2013			2012			2011			2016			2015			2014			2013			2012			2011
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period	$	35.63		$	37.52		$	37.95		$	36.82		$	35.58		$	36.32		$	29.99		$	32.01		$	32.87		$	32.29		$	31.55		$	32.59
Income (loss) from investment operations:
Net investment income (loss)*		0.42			(0.27	)		0.07			0.24			0.03			(0.09	)		0.23			(0.46	)		(0.20	)		(0.07	)		(0.18	)		(0.32	)
Net realized and unrealized gain (loss)		(0.60	)		(0.39	)		1.33			2.13			2.40			0.54			(0.50	)		(0.33	)		1.17			1.89			2.09			0.47
Total income (loss) from investment operations		(0.18	)		(0.66	)		1.40			2.37			2.43			0.45			(0.27	)		(0.79	)		0.97			1.82			1.91			0.15
Less distributions:
Distributions from net investment income		0.00			0.00			0.00			(0.41	)		(0.21	)		0.00			0.00			0.00			0.00			(0.41	)		(0.19	)		0.00
Distributions from net realized gains		(0.62	)		(0.80	)		(1.59	)		(0.83	)		(0.32	)		(1.19	)		(0.62	)		(0.80	)		(1.59	)		(0.83	)		(0.32	)		(1.19	)
Tax return of capital		0.00			(0.43	)		(0.24	)		0.00			(0.66	)		0.00			0.00			(0.43	)		(0.24	)		0.00			(0.66	)		0.00
Total distributions		(0.62	)		(1.23	)		(1.83	)		(1.24	)		(1.19	)		(1.19	)		(0.62	)		(1.23	)		(1.83	)		(1.24	)		(1.17	)		(1.19	)
Net asset value, end of period	$	34.83		$	35.63		$	37.52		$	37.95		$	36.82		$	35.58		$	29.10		$	29.99		$	32.01		$	32.87		$	32.29		$	31.55
Total return +		(0.44	)%		(1.80	)%		3.74	%		6.50	%		6.92	%		1.22	%		(0.86	)%		(2.53	)%		2.99	%		5.71	%		6.13	%		0.43	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	56,271		$	74,247		$	79,132		$	68,427		$	51,485		$	32,381		$	43,066		$	50,215		$	48,193		$	37,577		$	30,206		$	27,701
Ratios of expenses to average net assets:
After waivers		1.65	%		2.33	%		2.78	%		2.48	%		3.00	%		2.82	%		2.40	%		3.09	%		3.53	%		3.23	%		3.75	%		3.57	%
Dividends/borrowings on short sales		0.67	%		0.47	%		0.59	%		0.24	%		0.52	%		0.30	%		0.67	%		0.47	%		0.59	%		0.24	%		0.52	%		0.30	%
Excluding dividends/borrowings on short sales:
Before fee waivers ^		0.98	%		2.42	%		2.36	%		2.34	%		2.48	%		2.52	%		1.73	%		3.16	%		3.11	%		3.10	%		3.23	%		3.27	%
After fee waivers ^		0.98	%		1.86	%		2.19	%		2.24	%		2.48	%		2.52	%		1.73	%		2.62	%		2.94	%		2.99	%		3.23	%		3.27	%
Ratios of net investment income (loss) to average net assets:
Before fee waivers ^		2.44	%		(0.79	)%		0.01	%		0.52	%		0.14	%		(0.22	)%		1.60	%		(1.54	)%		(0.74	)%		(0.32	)%		(0.61	)%		(0.97	)%
After fee waivers ^		2.44	%		(0.71	)%		0.18	%		0.63	%		0.14	%		(0.22	)%		1.60	%		(1.46	)%		(0.57	)%		(0.21	)%		(0.61	)%		(0.97	)%
Portfolio turnover rate		130	% (1)		155	%		229	%		227	%		205	%		277	%		130	% (1)		155	%		229	%		227	%		205	%		277	%

* The net investment income (loss) per share data was determined using the average shares outstanding throughout each period.

+ Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

(1) Not annualized.

^ Annualized for periods of less than one year.

See accompanying notes to financial statements.

78

FINANCIAL HIGHLIGHTS

Dunham Corporate/Government Bond Fund

The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

	Class N
	Six Months
	Ended
	April 30,			Year Ended October 31,
	2016			2015			2014			2013			2012			2011
	(Unaudited)
Net asset value, beginning of period	$	13.75		$	14.14		$	14.07		$	14.74		$	14.32		$	14.99
Income from investment operations:
Net investment income*		0.19			0.42			0.38			0.37			0.36			0.52
Net realized and unrealized gain (loss)		0.05			(0.37	)		0.16			(0.36	)		0.77			(0.20	)
Total income from investment operations		0.24			0.05			0.54			0.01			1.13			0.32
Less distributions:
Distributions from net investment income		(0.20	)		(0.44	)		(0.42	)		(0.41	)		(0.42	)		(0.56	)
Distributions from net realized gains		0.00			0.00			(0.05	)		(0.27	)		(0.29	)		(0.43	)
Total distributions		(0.20	)		(0.44	)		(0.47	)		(0.68	)		(0.71	)		(0.99	)
Net asset value, end of period	$	13.79		$	13.75		$	14.14		$	14.07		$	14.74		$	14.32
Total return +#		1.79	%		0.36	%		3.85	%		0.09	%		8.10	%		2.33	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	43,363		$	41,989		$	43,888		$	81,201		$	103,912		$	58,810
Ratios of expenses to average net assets:^		1.09	%		1.06	%		1.37	%		1.21	%		1.14	%		1.30	%
Ratios of net investment income to average net assets:^		2.86	%		3.00	%		2.69	%		2.56	%		2.50	%		3.62	%
Portfolio turnover rate		36	% (1)		54	%		60	%		173	%		211	%		178	%
	Class A																		Class C
	Six Months																		Six Months
	Ended																		Ended
	April 30,			Year Ended October 31,															April 30,			Year Ended October 31,
	2016			2015			2014			2013			2012			2011			2016			2015			2014			2013			2012			2011
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period	$	13.73		$	14.13		$	14.06		$	14.73		$	14.31		$	14.98		$	13.65		$	14.05		$	13.98		$	14.64		$	14.23		$	14.90
Income (loss) from investment operations:
Net investment income*		0.17			0.38			0.35			0.34			0.29			0.49			0.14			0.31			0.27			0.26			0.27			0.41
Net realized and unrealized gain (loss)		0.06			(0.37	)		0.15			(0.36	)		0.79			(0.20	)		0.05			(0.37	)		0.16			(0.35	)		0.74			(0.20	)
Total income (loss) from investment operations		0.23			0.01			0.50			(0.02	)		1.08			0.29			0.19			(0.06	)		0.43			(0.09	)		1.01			0.21
Less distributions:
Distributions from net investment income		(0.19	)		(0.41	)		(0.38	)		(0.38	)		(0.37	)		(0.53	)		(0.15	)		(0.34	)		(0.31	)		(0.30	)		(0.31	)		(0.45	)
Distributions from net realized gains		0.00			0.00			(0.05	)		(0.27	)		(0.29	)		(0.43	)		0.00			0.00			(0.05	)		(0.27	)		(0.29	)		(0.43	)
Total distributions		(0.19	)		(0.41	)		(0.43	)		(0.65	)		(0.66	)		(0.96	)		(0.15	)		(0.34	)		(0.36	)		(0.57	)		(0.60	)		(0.88	)
Net asset value, end of period	$	13.77		$	13.73		$	14.13		$	14.06		$	14.73		$	14.31		$	13.69		$	13.65		$	14.05		$	13.98		$	14.64		$	14.23
Total return + #		1.66	%		0.04	%		3.59	%		(0.15	)%		7.78	%		2.15	%		1.43	%		(0.45	)%		3.08	%		(0.59	)%		7.30	%		1.57	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	5,580		$	4,788		$	3,684		$	6,888		$	3,598		$	610		$	3,578		$	3,698		$	3,690		$	7,733		$	9,007		$	9,250
Ratios of expenses to average net assets:^		1.34	%		1.31	%		1.62	%		1.46	%		1.39	%		1.55	%		1.84	%		1.81	%		2.12	%		1.96	%		1.89	%		2.05	%
Ratios of net investment income to average net assets:^		2.60	%		2.74	%		2.44	%		2.37	%		2.25	%		3.37	%		2.11	%		2.27	%		1.94	%		1.80	%		1.75	%		2.87	%
Portfolio turnover rate		36	% (1)		54	%		60	%		173	%		211	%		178	%		36	% (1)		54	%		60	%		173	%		211	%		178	%

* The net investment income per share data was determined using the average shares outstanding throughout each period.

+ Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

^ Annualized for periods less than one year.

(1) Not annualized.

See accompanying notes to financial statements.

79

FINANCIAL HIGHLIGHTS

Dunham Dynamic Macro Fund

The table sets forth financial data for one share of beneficial interest outstanding throughout each year or period

	Class N
	Six Months
	Ended
	April 30,			Year Ended October 31,
	2016			2015			2014			2013			2012			2011
	(Unaudited)
Net asset value, beginning of period	$	9.81		$	9.65		$	9.67		$	9.95		$	10.10		$	10.17
Income from investment operations:
Net investment income (loss) *		(0.02	)		(0.14	)		0.19			0.33			0.30			0.17
Net realized and unrealized gain (loss) **		(0.35	)		0.30			(0.02	)		(0.25	)		0.02			(0.15	)
Total income from investment operations		(0.37	)		0.16			0.17			0.08			0.32			0.02
Less distributions:
Distributions from net investment income		0.00			0.00			(0.19	)		(0.33	)		(0.35	)		0.00
Distributions from net realized gains		0.00			0.00			0.00			0.00			0.00			(0.09	)
Tax return of capital		0.00			0.00			0.00			(0.03	)		(0.12	)		0.00
Total distributions		0.00			0.00			(0.19	)		(0.36	)		(0.47	)		(0.09	)
Net asset value, end of period	$	9.44		$	9.81		$	9.65		$	9.67		$	9.95		$	10.10
Total return + #		(3.77	)%		1.66	%		1.80	%		0.80	%		3.29	%		0.20	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	30,414		$	28,518		$	11,758		$	7,185		$	9,002		$	8,798
Ratios of expenses to average net assets:^		1.72	%		2.15	%		1.90	%		1.67	%		2.28	%		1.98	%
Ratios of net investment income (loss) to average net assets:^		(0.52	)%		(1.37	)%		1.96	%		3.35	%		2.94	%		1.71	%
Portfolio turnover rate		43	% (1)		70	%		238	%		292	%		418	%		704	%
	Class A																		Class C
	Six Months																		Six Months
	Ended																		Ended
	April 30,			Year Ended October 31,															April 30,			Year Ended October 31,
	2016			2015			2014			2013			2012			2011			2016			2015			2014			2013			2012			2011
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period	$	9.81		$	9.68		$	9.70		$	9.98		$	10.06		$	10.16		$	9.58		$	9.52		$	9.56		$	9.86		$	9.96		$	10.13
Income (loss) from investment operations:
Net investment income (loss) *		(0.03	)		(0.14	)		0.18			0.31			0.26			0.02			(0.07	)		(0.26	)		0.11			0.23			0.17			0.07
Net realized and unrealized gain (loss) **		(0.35	)		0.27			(0.04	)		(0.25	)		0.03			(0.03	)		(0.33	)		0.32			(0.04	)		(0.26	)		0.05			(0.15	)
Total income (loss) from investment operations		(0.38	)		0.13			0.14			0.06			0.29			(0.01	)		(0.40	)		0.06			0.07			(0.03	)		0.22			(0.08	)
Less distributions:
Distributions from net investment income		0.00			0.00			(0.16	)		(0.31	)		(0.25	)		0.00			0.00			0.00			(0.11	)		(0.24	)		(0.20	)		0.00
Distributions from net realized gains		0.00			0.00			0.00			0.00			0.00			(0.09	)		0.00			0.00			0.00			0.00			0.00			(0.09	)
Tax return of capital		0.00			0.00			0.00			(0.03	)		(0.12	)		0.00			0.00			0.00			0.00			(0.03	)		(0.12	)		0.00
Total distributions		0.00			0.00			(0.16	)		(0.34	)		(0.37	)		(0.09	)		0.00			0.00			(0.11	)		(0.27	)		(0.32	)		(0.09	)
Net asset value, end of period	$	9.43		$	9.81		$	9.68		$	9.70		$	9.98		$	10.06		$	9.18		$	9.58		$	9.52		$	9.56		$	9.86		$	9.96
Total return + #		(3.86	)%		1.34	%		1.52	%		0.55	%		3.00	%		(0.10	)%		(4.18	)%		0.63	%		0.78	%		(0.29	)%		2.27	%		(0.79	)%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	3,644		$	3,296		$	1,729		$	1,782		$	2,230		$	1,788		$	2,253		$	1,938		$	1,712		$	2,053		$	1,786		$	1,067
Ratios of expenses to average net assets:^		1.97	%		2.40	%		2.15	%		1.92	%		2.53	%		2.23	%		2.72	%		3.15	%		2.90	%		2.67	%		3.28	%		2.98	%
Ratios of net investment income (loss) to average net assets:^		(0.73	)%		(1.63	)%		1.92	%		3.13	%		2.69	%		1.46	%		(1.51	)%		(2.35	)%		1.19	%		2.38	%		1.94	%		0.71	%
Portfolio turnover rate		43	% (1)		70	%		238	%		292	%		418	%		704	%		43	% (1)		70	%		238	%		292	%		418	%		704	%

* The net investment income (loss) per share data was determined using the average shares outstanding throughout each period.

** The amount of net realized and unrealized gain (loss) on investment per share for the years ended October 31, 2015 and 2014 does not accord with the amounts in the Statements Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values.

+ Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

^ Annualized for periods less than one year..

(1) Not annualized.

See accompanying notes to financial statements.

80

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,
	2016			2015			2014			2013			2012			2011
	(Unaudited)
Net asset value, beginning of period	$	8.92		$	9.51		$	9.61		$	9.52		$	9.08		$	9.36
Income (loss) from investment operations:
Net investment income*		0.21			0.44			0.46			0.47			0.53			0.65
Net realized and unrealized gain (loss)		(0.25	)		(0.59	)		(0.10	)		0.09			0.44			(0.28	)
Total income (loss) from investment operations		(0.04	)		(0.15	)		0.36			0.56			0.97			0.37
Less distributions:																	��
Distributions from net investment income		(0.21	)		(0.44	)		(0.46	)		(0.47	)		(0.53	)		(0.65	)
Total distributions		(0.21	)		(0.44	)		(0.46	)		(0.47	)		(0.53	)		(0.65	)
Net asset value, end of period	$	8.67		$	8.92		$	9.51		$	9.61		$	9.52		$	9.08
Total return +		(0.38	)%		(1.63	)%		3.77	%		6.05	%		10.96	%		4.03	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	75,916		$	78,654		$	102,412		$	134,487		$	114,810		$	45,586
Ratios of expenses to average net assets: ^		1.13	%		1.02	%		1.09	%		1.11	%		1.23	%		1.38	%
Ratios of net investment income to average net assets:		4.99	%		4.77	%		4.72	%		4.89	%		5.70	%		6.92	%
Portfolio turnover rate		27	% (1)		51	%		62	%		94	%		58	%		49	%
	Class A																		Class C
	Six Months																		Six Months
	Ended			Year Ended															Ended			Year Ended
	April 30,			October 31,															April 30,			October 31,
	2016			2015			2014			2013			2012			2011			2016			2015			2014			2013			2012			2011
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period	$	8.99		$	9.58		$	9.68		$	9.59		$	9.15		$	9.42		$	8.86		$	9.46		$	9.55		$	9.47		$	9.04		$	9.31
Income (loss) from investment operations:
Net investment income*		0.21			0.41			0.44			0.45			0.51			0.63			0.18			0.37			0.38			0.40			0.47			0.58
Net realized and unrealized gain (loss)		(0.25	)		(0.59	)		(0.10	)		0.09			0.44			(0.27	)		(0.24	)		(0.60	)		(0.08	)		0.08			0.43			(0.28	)
Total income (loss) from investment operations		(0.04	)		(0.18	)		0.34			0.54			0.95			0.36			(0.06	)		(0.23	)		0.30			0.48			0.90			0.30
Less distributions:
Distributions from net investment income		(0.20	)		(0.41	)		(0.44	)		(0.45	)		(0.51	)		(0.63	)		(0.18	)		(0.37	)		(0.39	)		(0.40	)		(0.47	)		(0.57	)
Total distributions		(0.20	)		(0.41	)		(0.44	)		(0.45	)		(0.51	)		(0.63	)		(0.18	)		(0.37	)		(0.39	)		(0.40	)		(0.47	)		(0.57	)
Net asset value, end of period	$	8.75		$	8.99		$	9.58		$	9.68		$	9.59		$	9.15		$	8.62		$	8.86		$	9.46		$	9.55		$	9.47		$	9.04
Total return +		(0.49	)%		(1.88	)%		3.49	%		5.74	%		10.70	%		3.84	%		(0.63	)%		(2.47	)%		3.13	%		5.17	%		10.19	%		3.28	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	10,314		$	10,224		$	22,022		$	19,888		$	13,722		$	6,457		$	8,118		$	9,231		$	11,652		$	13,741		$	14,457		$	10,404
Ratios of expenses to average net assets: ^		1.38	%		1.27	%		1.34	%		1.36	%		1.48	%		1.63	%		1.88	%		1.77	%		1.84	%		1.86	%		1.98	%		2.13	%
Ratios of net investment income to average net assets: ^		4.74	%		4.52	%		4.47	%		4.64	%		5.45	%		6.67	%		4.24	%		4.02	%		3.97	%		4.15	%		4.95	%		6.17	%
Portfolio turnover rate		27	% (1)		51	%		62	%		94	%		58	%		49	%		27	% (1)		51	%		62	%		94	%		58	%		49	%

* The net investment income per share data was determined using the average shares outstanding throughout each period.

+ Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

(1) Not annualized.

^ Annualized for periods less than one year.

See accompanying notes to financial statements.

81

FINANCIAL HIGHLIGHTS

Dunham International Opportunity Bond Fund

The table sets forth financial data for one share of beneficial interest outstanding for each year.

	Class N									Class A									Class C
	Six Months									Six Months									Six Months
	Ended									Ended									Ended
	April 30,			Year Ended October 31,						April 30,			Year Ended October 31,						April 30,			Year Ended October 31,
	2016			2015			2014*			2016			2015			2014*			2016			2015			2014*
	(Unaudited)									(Unaudited)									(Unaudited)
Net asset value, beginning of year	$	8.92		$	9.64		$	10.00		$	8.90		$	9.64		$	10.00		$	8.84		$	9.62		$	10.00
Income (Loss) from investment operations:
Net investment income (loss)**		0.02			0.05			0.07			0.01			0.02			0.04			(0.01	)		(0.02	)		(0.01	)
Net realized and unrealized gain (loss)		0.64			(0.77	)		(0.37	)		0.63			(0.76	)		(0.36	)		0.62			(0.76	)		(0.36	)
Total income (loss) from investment operations		0.66			(0.72	)		(0.30	)		0.64			(0.74	)		(0.32	)		0.61			(0.78	)		(0.37	)
Less distributions:
Distributions from net investment income		(0.01	)		0.00			0.00			(0.00	) (a)		0.00			0.00			(0.00	) (a)		0.00			0.00
Tax return of capital		(0.00	)		(0.00	)		(0.06	)		(0.00	)		(0.00	)		(0.04	)		0.00			0.00			(0.01	)
Total distributions		(0.01	)		(0.00	)		(0.06	)		(0.00	)		(0.00	)		(0.04	)		(0.00	)		0.00			(0.01	)
Net asset value, end of year	$	9.57		$	8.92		$	9.64		$	9.54		$	8.90		$	9.64		$	9.45		$	8.84		$	9.62
Total return +		7.38	%		(7.42	)%		(2.99	)%		7.24	%		(7.65	)%		(3.22	)%		6.91	%		(8.11	)%		(3.72	)%
Ratios/Supplemental Data:
Net assets, end of year (in 000s)	$	27,372		$	31,935		$	42,440		$	2,773		$	3,208		$	3,513		$	1,257		$	1,638		$	1,879
Ratios of expenses to average net assets		1.33	%		1.38	%		1.38	%		1.57	%		1.63	%		1.63	%		2.08	%		2.13	%		2.13	%
Ratios of net investment income (loss) to average net assets		0.53	%		0.52	%		0.66	%		0.16	%		0.29	%		0.41	%		(0.23	)%		(0.24	)%		(0.09	)%
Portfolio turnover rate		27	% (1)		52	%		60	% (1)		27	% (1)		52	%		60	% (1)		27	% (1)		52	%		60	% (1)

* The Fund commenced operations on November 1, 2013.

** The net investment income (loss) per share data was determined using the average shares outstanding throughout the period.

(a) Represents less than $0.01 per share.

+ Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

(1) Not annualized.

See accompanying notes to financial statements.

82

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,
	2016			2015			2014			2013			2012			2011
	(Unaudited)
Net asset value, beginning of period	$	8.75		$	10.88		$	10.09		$	8.90		$	8.86		$	8.47
Income (loss) from investment operations:
Net investment income*		0.04			0.27			0.11			0.16			0.10			0.08
Net realized and unrealized gain (loss)		(0.56	)		(0.51	)		0.83			1.28			0.05			0.55
Total income (loss) from investment operations		(0.52	)		(0.24	)		0.94			1.44			0.15			0.63
Less distributions:
Distributions from net investment income		(0.37	)		(0.17	)		(0.15	)		(0.25	)		(0.11	)		(0.24	)
Distributions from net realized gains		(0.18	)		(1.72	)		0.00			0.00			0.00			0.00
Total distributions		(0.55	)		(1.89	)		(0.15	)		(0.25	)		(0.11	)		(0.24	)
Net asset value, end of period	$	7.68		$	8.75		$	10.88		$	10.09		$	8.90		$	8.86
Total return +		(6.42	)%		(2.67	)%		9.37	%		16.59	%		1.83	%		7.56	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	18,450		$	20,210		$	18,576		$	15,855		$	23,843		$	24,475
Ratios of expenses to average net assets: ^		1.55	%		1.34	%		1.44	%		1.39	%		1.60	%		1.91	%
Ratios of net investment income to average net assets: ^		0.93	%		2.83	%		1.07	%		1.70	%		1.13	%		0.90	%
Portfolio turnover rate		24	% (1)		82	%		129	%		62	%		51	%		69	%
	Class A																		Class C
	Six Months																		Six Months
	Ended			Year Ended															Ended			Year Ended
	April 30,			October 31,															April 30,			October 31,
	2016			2015			2014			2013			2012			2011			2016			2015			2014			2013			2012			2011
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period	$	8.73		$	10.85		$	10.06		$	8.88		$	8.83		$	8.45		$	8.56		$	10.66		$	9.90		$	8.74		$	8.70		$	8.32
Income (loss) from investment operations:
Net investment income (loss)*		0.03			0.24			0.09			0.13			0.08			0.06			0.00			0.18			0.01			0.06			0.01			(0.01	)
Net realized and unrealized gain (loss)		(0.60	)		(0.50	)		0.82			1.27			0.06			0.55			(0.57	)		(0.50	)		0.80			1.26			0.06			0.55
Total income (loss) from investment operations		(0.57	)		(0.26	)		0.91			1.40			0.14			0.61			(0.57	)		(0.32	)		0.81			1.32			0.07			0.54
Less distributions:
Distributions from net investment income		(0.32	)		(0.14	)		(0.12	)		(0.22	)		(0.09	)		(0.23	)		(0.28	)		(0.06	)		(0.05	)		(0.16	)		(0.03	)		(0.16	)
Distributions from net realized gains		(0.18	)		(1.72	)		0.00			0.00			0.00			0.00			(0.18	)		(1.72	)		0.00			0.00			0.00			0.00
Total distributions		(0.50	)		(1.86	)		(0.12	)		(0.22	)		(0.09	)		(0.23	)		(0.46	)		(1.78	)		(0.05	)		(0.16	)		(0.03	)		(0.16	)
Net asset value, end of period	$	7.66		$	8.73		$	10.85		$	10.06		$	8.88		$	8.83		$	7.53		$	8.56		$	10.66		$	9.90		$	8.74		$	8.70
Total return +		(6.70	)%		(2.84	)%		9.10	%		16.21	%		1.63	%		7.33	%		(7.02	)%		(3.53	)%		8.21	%		15.35	%		0.84	%		6.49	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	3,988		$	4,211		$	4,509		$	4,368		$	4,470		$	2,994		$	3,923		$	4,956		$	4,046		$	3,765		$	3,867		$	4,130
Ratios of expenses to average net assets: ^		1.80	%		1.59	%		1.69	%		1.64	%		1.85	%		2.16	%		2.57	%		2.34	%		2.44	%		2.39	%		2.60	%		2.91	%
Ratios of net investment income (loss) to average net assets: ^		0.67	%		2.56	%		0.83	%		1.45	%		0.88	%		0.65	%		(0.11	)%		1.91	%		0.08	%		0.70	%		0.13	%		(0.10	)%
Portfolio turnover rate		24	% (1)		82	%		129	%		62	%		51	%		69	%		24	% (1)		82	%		129	%		62	%		51	%		69	%

* The net investment income (loss) per share data was determined using the average shares outstanding throughout each period.

+ Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

^ Annualized for periods less than one year.

(1) Not annualized.

See accompanying notes to financial statements.

83

FINANCIAL HIGHLIGHTS

Dunham Alternative Strategy Fund

The table sets forth financial data for one share of beneficial interest outstanding throughout each period.

	Class N
	Six Months
	Ended			Year Ended						Period Ended
	April 30,			October 31,						October 31,			Year Ended July 31,
	2016			2015			2014			2013*			2013			2012			2011
	(Unaudited)
Net asset value, beginning of period	$	24.35		$	24.45		$	23.74		$	23.85		$	23.45		$	26.90		$	25.15
Income (loss) from investment operations:
Net investment loss **		(0.07	)		(0.03	)		(0.21	)		(0.07	)		(0.10	)		(0.29	)		(0.21	)
Net realized and unrealized gain (loss)		(2.58	)		(0.07	)		0.92			(0.04	)		0.50			(1.66	)		1.96
Total income (loss) from investment operations		(2.65	)		(0.10	)		0.71			(0.11	)		0.40			(1.95	)		1.75
Less distributions:
Distributions from net investment income		0.00			0.00			0.00			0.00			0.00			(1.50	)		0.00
Distributions from net realized gains		0.00			0.00			0.00			0.00			0.00			0.00			0.00
Total distributions		0.00			0.00			0.00			0.00			0.00			(1.50	)		0.00
Net asset value, end of period	$	21.70		$	24.35		$	24.45		$	23.74		$	23.85		$	23.45		$	26.90
Total return +, #		(10.88	)%		(0.41	)%		2.99	%		(0.46	)%		1.71	%		(7.23	)%		6.96	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	19,606		$	21,184		$	15,355		$	15,873		$	15,641		$	10,818		$	15,716
Ratios of expenses to average net assets:
Before fee waivers ^(1)		1.44	%		1.43	%		1.84	%		1.85	%		2.35	%		2.29	%		1.94	%
After fee waivers ^(1)		1.44	%		1.43	%		1.84	%		1.85	%		1.67	%		1.65	%		1.65	%
Ratios of net investment loss to average net assets:
Before fee waivers ^(1,2)		(0.57	)%		(0.11	)%		(0.87	)%		(1.13	)%		(1.11	)%		(1.79	)%		(1.06	)%
After fee waivers ^(1,2)		(0.57	)%		(0.11	)%		(0.87	)%		(1.13	)%		(0.43	)%		(1.15	)%		(0.77	)%
Portfolio turnover rate		4,368	% (3)		4,847	%		4,686	%		934	%		2,340	%		5,840	%		1,959	%
	Class A																					Class C
	Six Months																					Six Months
	Ended			Year Ended						Period Ended												Ended			Year Ended						Period Ended
	April 30,			October 31,						October 31,			Year Ended July 31,									April 30,			October 31,						October 31,			Year Ended July 31,
	2016			2015			2014			2013*			2013			2012			2011			2016			2015			2014			2013*			2013			2012			2011
	(Unaudited)																					(Unaudited)
Net asset value, beginning of period	$	23.91		$	24.07		$	23.43		$	23.55		$	23.22		$	26.73		$	25.07		$	22.66		$	22.98		$	22.55		$	22.71		$	22.55		$	26.22		$	24.77
Income (loss) from investment operations:
Net investment loss **		(0.09	)		(0.06	)		(0.22	)		(0.07	)		(0.11	)		(0.35	)		(0.27	)		(0.17	)		(0.25	)		(0.42	)		(0.12	)		(0.35	)		(0.53	)		(0.47	)
Net realized and unrealized gain (loss)		(2.54	)		(0.10	)		0.86			(0.05	)		0.44			(1.66	)		1.93			(2.40	)		(0.07	)		0.85			(0.04	)		0.51			(1.64	)		1.92
Total income (loss) from investment operations		(2.63	)		(0.16	)		0.64			(0.12	)		0.33			(2.01	)		1.66			(2.57	)		(0.32	)		0.43			(0.16	)		0.16			(2.17	)		1.45
Less distributions:
Distributions from net investment income		0.00			0.00			0.00			0.00			0.00			(1.50	)		0.00			0.00			0.00			0.00			0.00			0.00			(1.50	)		0.00
Distributions from net realized gains		0.00			0.00			0.00			0.00			0.00			0.00			0.00			0.00			0.00			0.00			0.00			0.00			0.00			0.00
Total distributions		0.00			0.00			0.00			0.00			0.00			(1.50	)		0.00			0.00			0.00			0.00			0.00			0.00			(1.50	)		0.00
Net asset value, end of period	$	21.28		$	23.91		$	24.07		$	23.43		$	23.55		$	23.22		$	26.73		$	20.09		$	22.66		$	22.98		$	22.55		$	22.71		$	22.55		$	26.22
Total return +, #		(11.01	)%		(0.66	)%		2.73	%		(0.51	)%		1.42	%		(7.51	)%		6.62	%		(11.34	)%		(1.39	)%		1.91	%		(0.70	)%		0.71	%		(8.33	)%		5.85	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	1,674		$	1,715		$	2,008		$	15,484		$	10,591		$	1,016		$	12,069		$	796		$	863		$	1,058		$	1,150		$	972		$	212		$	1,854
Ratios of expenses to average net assets:
Before fee waivers ^(1)		1.69	%		1.68	%		2.09	%		2.10	%		2.36	%		2.54	%		2.19	%		2.44	%		2.43	%		2.84	%		2.85	%		3.11	%		3.29	%		2.94	%
After fee waivers ^(1)		1.69	%		1.68	%		2.09	%		2.10	%		1.98	%		1.90	%		1.90	%		2.44	%		2.43	%		2.84	%		2.85	%		2.67	%		2.65	%		2.65	%
Ratios of net investment loss to average net assets:
Before fee waivers ^(1,2)		(0.83	)%		(0.19	)%		(1.25	)%		(1.14	)%		(0.85	)%		(2.04	)%		(1.31	)%		(1.59	)%		(1.05	)%		(1.87	)%		(2.06	)%		(1.99	)%		(2.80	)%		(2.06	)%
After fee waivers ^(1,2)		(0.83	)%		(0.19	)%		(1.25	)%		(1.14	)%		(0.48	)%		(1.40	)%		(1.02	)%		(1.59	)%		(1.05	)%		(1.87	)%		(2.06	)%		(1.56	)%		(2.16	)%		(1.77	)%
Portfolio turnover rate		4,368	% (3)		4,847	%		4,686	%		934	%		2,340	%		5,840	%		1,959	%		4,368	% (3)		4,847	%		4,686	%		934	%		2,340	%		5,840	%		1,959	%

* The Fund’s fiscal year end changed from July 31 to October 31 effective August 1, 2013.

** The net investment loss per share data was determined using the average shares outstanding throughout each period.

(a) Represents less than $0.01 per share.

+ Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

^ Annualized for periods less than one year.

(1) The ratios of expenses to average net assets and net investment loss to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

(2) Recognition of net investment loss by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(3) Not annualized.

See accompanying notes to financial statements.

84

FINANCIAL HIGHLIGHTS

Dunham Large Cap Value Fund

The table sets forth financial data for one share of beneficial interest outstanding throughout each year or period.

	Class N
	Six Months
	Ended
	April 30,			Year Ended October 31,
	2016			2015			2014			2013			2012			2011
	(Unaudited)
Net asset value, beginning of period	$	16.32		$	16.21		$	14.55		$	11.74		$	10.60		$	9.96
Income from investment operations:
Net investment income *		0.12			0.17			0.13			0.16			0.12			0.06
Net realized and unrealized gain (loss)		(0.26	)		0.06			1.70			2.78			1.07			0.64
Total income (loss) from investment operations		(0.14	)		0.23			1.83			2.94			1.19			0.70
Less distributions:
Distributions from net investment income		(0.18	)		(0.12	)		(0.17	)		(0.13	)		(0.05	)		(0.06	)
Distributions from net realized gains		(4.10	)		0.00			0.00			0.00			0.00			0.00
Total distributions		(4.28	)		(0.12	) #		(0.17	)		(0.13	)		(0.05	)		(0.06	)
Net asset value, end of period	$	11.90		$	16.32		$	16.21		$	14.55		$	11.74		$	10.60
Total return +,#		(0.93	)%		1.41	%		12.64	%		25.30	%		11.29	%		7.06	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	43,364		$	44,620		$	41,917		$	37,688		$	37,650		$	34,171
Ratios of expenses to average net assets: ^		1.05	%		1.12	%		1.26	%		1.00	%		1.17	%		1.62	%
Ratios of net investment income ^ to average net assets:		1.83	%		1.03	%		0.82	%		1.25	%		1.04	%		0.53	%
Portfolio turnover rate		29	% (1)		101	%		22	%		16	%		30	%		30	%
	Class A																		Class C
	Six Months																		Six Months
	Ended																		Ended
	April 30,			Year Ended October 31,															April 30,			Year Ended October 31,
	2016			2015			2014			2013			2012			2011			2016			2015			2014			2013			2012			2011
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period	$	16.26		$	16.16		$	14.52		$	11.72		$	10.57		$	9.95		$	15.74		$	15.68		$	14.09		$	11.36		$	10.31		$	9.73
Income from investment operations:
Net investment income (loss)*		0.10			0.13			0.09			0.13			0.09			0.04			0.05			0.00	(a)		(0.03	)		0.03			0.00	(a)		(0.05	)
Net realized and unrealized gain		(0.26	)		0.06			1.69			2.77			1.08			0.64			(0.25	)		0.06			1.65			2.71			1.05			0.63
Total income from investment operations		(0.16	)		0.19			1.78			2.90			1.17			0.68			(0.20	)		0.06			1.62			2.74			1.05			0.58
Less distributions:
Distributions from net investment income		(0.14	)		(0.09	)		(0.14	)		(0.10	)		(0.02	)		(0.06	)		(0.03	)		0.00			(0.03	)		(0.01	)		0.00			0.00
Distributions from net realized gains		(4.10	)		0.00			0.00			0.00			0.00			0.00			(4.10	)		0.00			0.00			0.00			0.00			0.00
Total distributions		(4.24	)		(0.09	) #		(0.14	)		(0.10	)		(0.02	)		(0.06	)		(4.13	)		0.00			(0.03	)		(0.01	)		0.00			0.00
Net asset value, end of period	$	11.86		$	16.26		$	16.16		$	14.52		$	11.72		$	10.57		$	11.41		$	15.74		$	15.68		$	14.09		$	11.36		$	10.31
Total return +, #		(0.93	)%		1.15	%		12.31	%		24.99	%		11.04	%		6.78	%		(1.41	)%		0.38	%		11.49	%		24.09	%		10.18	%		5.96	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	6,437		$	6,577		$	7,685		$	4,980		$	2,969		$	2,874		$	5,399		$	5,805		$	5,639		$	5,029		$	5,431		$	6,129
Ratios of expenses to average net assets: ^		1.30	%		1.37	%		1.51	%		1.25	%		1.42	%		1.87	%		2.05	%		2.12	%		2.26	%		2.00	%		2.17	%		2.62	%
Ratios of net investment income (loss) ^ to average net assets:		1.58	%		0.78	%		0.57	%		0.99	%		0.79	%		0.28	%		0.83	%		0.03	%		(0.18	)%		0.25	%		0.04	%		(0.47	)%
Portfolio turnover rate		29	% (1)		101	%		22	%		16	%		30	%		30	%		29	% (1)		101	%		22	%		16	%		30	%		30	%

* The net investment income (loss) per share data was determined using the average shares outstanding throughout each period.

+ Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares

(a) Represents less than $0.01 per share.

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

^ Annualized for periods less than one year.

(1) Not annualized.

See accompanying notes to financial statements.

85

FINANCIAL HIGHLIGHTS

Dunham Focused Large Cap Growth Fund

The table sets forth financial data for one share of beneficial interest outstanding throughout each period.

	Class N
	Six Months
	Ended			Year Ended			Year Ended			Year Ended			Period Ended
	April 30,			October 31,			October 31,			October 31,			October 31,
	2016			2015			2014			2013			2012*
	(Unaudited)
Net asset value, beginning of period	$	16.97		$	15.01		$	14.02		$	10.42		$	10.00
Income from investment operations:
Net investment loss**		(1.45	)		(0.16	)		(0.11	)		(0.10	)		(0.16	)
Net realized and unrealized gain (loss)		(0.07	)		2.12			1.29			3.70			0.58
Total income (loss) from investment operations		(1.52	)		1.96			1.18			3.60			0.42
Less distributions:
Distributions from net realized gains		(0.09	)		0.00			(0.19	)		0.00			0.00
Total distributions		(0.09	)		0.00			(0.19	)		0.00			0.00
Net asset value, end of period	$	15.36		$	16.97		$	15.01		$	14.02		$	10.42
Total return +		(8.98	)%		13.06	%		8.48	%		34.55	%		4.20	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	48,965		$	51,312		$	37,106		$	814		$	450
Ratios of expenses to average net assets:
Before fee waivers ^		1.21	%		1.34	%		1.16	%		1.71	%		2.11	%
After fee waivers ^		1.21	%		1.34	%		1.16	%		1.69	%		1.80	%
Ratios of net investment loss to average net assets:
Before fee waivers ^		(0.82	)%		(1.00	)%		(0.76	)%		(0.70	)%		(1.06	)%
After fee waivers ^		(0.82	)%		(1.00	)%		(0.76	)%		(0.67	)%		(0.75	)%
Portfolio turnover rate		15	% (1)		45	%		29	%		91	%		27	% (1)
	Class A															Class C
	Six Months															Six Months
	Ended			Year Ended			Year Ended			Year Ended			Period Ended			Ended			Year Ended			Year Ended			Year Ended			Period Ended
	April 30,			October 31,			October 31,			October 31,			October 31,			April 30,			October 31,			October 31,			October 31,			October 31,
	2016			2015			2014			2013			2012*			2016			2015			2014			2013			2012*
	(Unaudited)															(Unaudited)
Net asset value, beginning of period	$	16.80		$	14.91		$	13.96		$	10.39		$	10.00		$	16.33		$	14.59		$	13.76		$	10.33		$	10.00
Income from investment operations:
Net investment loss**		(1.43	)		(0.19	)		(0.21	)		(0.11	)		(0.09	)		(1.40	)		(0.31	)		(0.26	)		(0.26	)		(0.30	)
Net realized and unrealized gain (loss)		(0.09	)		2.08			1.35			3.68			0.48			(0.14	)		2.05			1.28			3.69			0.63
Total income (loss) from investment operations		(1.52	)		1.89			1.14			3.57			0.39			(1.54	)		1.74			1.02			3.43			0.33
Less distributions:
Distributions from net realized gains		(0.09	)		0.00			(0.19	)		0.00			0.00			(0.09	)		0.00			(0.19	)		0.00			0.00
Total distributions		(0.09	)		0.00			(0.19	)		0.00			0.00			(0.09	)		0.00			(0.19	)		0.00			0.00
Net asset value, end of period	$	15.19		$	16.80		$	14.91		$	13.96		$	10.39		$	14.70		$	16.33		$	14.59		$	13.76		$	10.33
Total return +		(9.07	)%		12.68	%		8.23	%		34.36	%		3.90	%		(9.46	)%		11.93	%		7.47	%		33.20	%		3.30	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	9,978		$	8,762		$	19,949		$	11,399		$	10,344		$	5,240		$	5,222		$	4,361		$	510		$	146
Ratios of expenses to average net assets:
Before fee waivers ^		1.44	%		1.59	%		1.41	%		1.96	%		2.36	%		2.24	%		2.34	%		2.16	%		2.71	%		3.11	%
After fee waivers ^		1.44	%		1.59	%		1.41	%		1.94	%		2.05	%		2.24	%		2.34	%		2.16	%		2.69	%		2.80	%
Ratios of net investment loss to average net assets:
Before fee waivers ^		(1.02	)%		(1.20	)%		(1.48	)%		(0.95	)%		(1.31	)%		(1.93	)%		(2.00	)%		(1.87	)%		(1.70	)%		(2.06	)%
After fee waivers ^		(1.02	)%		(1.20	)%		(1.48	)%		(0.92	)%		(1.00	)%		(1.93	)%		(2.00	)%		(1.87	)%		(1.67	)%		(1.75	)%
Portfolio turnover rate		15	% (1)		45	%		29	%		91	%		27	% (1)		15	% (1)		45	%		29	%		91	%		27	% (1)

* The Fund commenced operations on December 8, 2011.

** The net investment loss per share data was determined using the average shares outstanding throughout each period

^ Annualized for periods less than a year.

+ Assumes reinvestment of all dividends and distributions, if any. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

(1) Not annualized.

See accompanying notes to financial statements.

86

FINANCIAL HIGHLIGHTS

Dunham International Stock Fund

The table sets forth financial data for one share of beneficial interest outstanding throughout each year or period.

	Class N
	Six Months
	Ended
	April 30,			Year Ended October 31,
	2016			2015			2014			2013			2012			2011
	(Unaudited)
Net asset value, beginning of period	$	14.24		$	15.21		$	15.22		$	12.05		$	11.85		$	12.79
Income (loss) from investment operations:
Net investment income *		0.10			0.00			0.15			0.07			0.14			0.15
Net realized and unrealized gain (loss)		(0.46	)		(0.61	)		0.10			3.24			0.22			(0.98	)
Total income (loss) from investment operations		(0.36	)		(0.61	)		0.25			3.31			0.36			(0.83	)
Less distributions:
Distributions from net investment income		(0.01	)		(0.30	)		(0.26	)		(0.14	)		(0.16	)		(0.11	)
Distributions from net realized gains		0.00			(0.06	)		0.00			0.00			0.00			0.00
Total distributions		(0.01	)		(0.36	)		(0.26	)		(0.14	)		(0.16	)		(0.11	)
Net asset value, end of period	$	13.87		$	14.24		$	15.21		$	15.22		$	12.05		$	11.85
Total return + #		(2.54	)%		(4.10	)%		1.66	%		27.64	%		3.16	%		(6.56	)%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	74,149		$	76,992		$	57,359		$	49,815		$	44,947		$	39,163
Ratios of expenses to average net assets: ^		1.68	%		2.04	%		2.04	%		2.11	%		1.97	%		2.28	%
Ratios of net investment income to average net assets: ^		1.54	%		0.03	%		0.99	%		0.52	%		1.24	%		1.19	%
Portfolio turnover rate		61	% (1)		125	%		117	%		131	%		142	%		110	%
	Class A																		Class C
	Six Months																		Six Months
	Ended																		Ended
	April 30,			Year Ended October 31,															April 30,			Year Ended October 31,
	2016			2015			2014			2013			2012			2011			2016			2015			2014			2013			2012			2011
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period	$	14.21		$	15.16		$	15.19		$	12.03		$	11.84		$	12.79		$	13.73		$	14.68		$	14.70		$	11.64		$	11.44		$	12.37
Income (loss) from investment operations:																																			��
Net investment income (loss)*		0.09			(0.03	)		0.15			0.06			0.10			0.18			0.03			(0.14	)		(0.00	) (a)		(0.06	)		0.03			0.02
Net realized and unrealized gain (loss)		(0.47	)		(0.60	)		0.06			3.22			0.22			(1.04	)		(0.44	)		(0.59	)		0.10			3.13			0.21			(0.95	)
Total income (loss) from investment operations		(0.38	)		(0.63	)		0.21			3.28			0.32			(0.86	)		(0.41	)		(0.73	)		0.10			3.07			0.24			(0.93	)
Less distributions:
Distributions from net investment income		0.00			(0.26	)		(0.24	)		(0.12	)		(0.13	)		(0.09	)		0.00			(0.16	)		(0.12	)		(0.01	)		(0.04	)		0.00
Distributions from net realized gains		0.00			(0.06	)		0.00			0.00			0.00			0.00			0.00			(0.06	)		0.00			0.00			0.00			0.00
Total distributions		0.00			(0.32	)		(0.24	)		(0.12	)		(0.13	)		(0.09	)		0.00			(0.22	)		(0.12	)		(0.01	)		(0.04	)		0.00
Net asset value, end of period	$	13.83		$	14.21		$	15.16		$	15.19		$	12.03		$	11.84		$	13.32		$	13.73		$	14.68		$	14.70		$	11.64		$	11.44
Total return + #		(2.87	)%		(4.26	)%		1.35	%		27.40	%		2.80	%		(6.78	)%		(2.99	)%		(5.06	)%		0.67	%		26.40	%		2.10	%		(7.52	)%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	9,166		$	9,032		$	7,871		$	4,741		$	1,580		$	1,309		$	6,928		$	7,268		$	6,551		$	5,627		$	5,881		$	6,849
Ratios of expenses to average net assets:^		1.93	%		2.29	%		2.29	%		2.36	%		2.22	%		2.53	%		2.68	%		3.04	%		3.04	%		3.11	%		2.97	%		3.28	%
Ratios of net investment income (loss) to average net assets:^		1.36	%		(0.19	)%		0.97	%		0.41	%		0.99	%		0.94	%		0.51	%		(0.94	)%		(0.02	)%		(0.46	)%		0.24	%		0.19	%
Portfolio turnover rate		61	% (1)		125	%		117	%		131	%		142	%		110	%		61	% (1)		125	%		117	%		131	%		142	%		110	%

* The net investment income (loss) per share data was determined using the average shares outstanding throughout each period

+ Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions

(a) Represents less than $0.01 per share.

^ Annualized for periods less than one year.

(1) Not annualized.

See accompanying notes to financial statements.

87

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,
	2016			2015			2014			2013			2012			2011
	(Unaudited)
Net asset value, beginning of period	$	19.23		$	19.27		$	16.53		$	15.79		$	13.80		$	12.84
Income from investment operations:
Net investment income *		0.34			0.15			0.13			0.23			0.21			0.14
Net realized and unrealized gain		0.31			0.85			3.20			1.27			1.90			0.98
Total income from investment operations		0.65			1.00			3.33			1.50			2.11			1.12
Less distributions:
Distributions from net investment income		(0.21	)		(0.11	)		(0.20	)		(0.23	)		(0.12	)		(0.16	)
Distributions from net realized gains		(1.76	)		(0.93	)		(0.39	)		(0.53	)		0.00			0.00
Total distributions		(1.97	)		(1.04	)		(0.59	)		(0.76	)		(0.12	)		(0.16	)
Net asset value, end of period	$	17.91		$	19.23		$	19.27		$	16.53		$	15.79		$	13.80
Total return +		3.46	%		5.13	%		21.09	%		9.85	%		15.46	%		8.82	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	29,338		$	33,379		$	37,143		$	33,545		$	20,424		$	12,507
Ratios of expenses to average net assets: ^		1.24	%		1.64	%		1.59	%		1.30	%		1.46	%		1.51	%
Ratios of net investment income to average net assets: ^		3.78	%		0.80	%		0.77	%		1.40	%		1.42	%		1.09	%
Portfolio turnover rate		38	% (1)		110	%		97	%		163	%		123	%		59	%
	Class A																		Class C
	Six Months																		Six Months
	Ended			Year Ended															Ended			Year Ended
	April 30,			October 31,															April 30,			October 31,
	2016			2015			2014			2013			2012			2011			2016			2015			2014			2013			2012			2011
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period	$	19.26		$	19.33		$	16.55		$	15.77		$	13.80		$	12.85		$	18.50		$	18.65		$	16.02		$	15.33		$	13.40		$	12.49
Income from investment operations:
Net investment income (loss) *		0.31			0.10			0.08			0.15			0.21			0.13			0.24			(0.04	)		(0.04	)		0.07			0.07			0.01
Net realized and unrealized gain		0.33			0.85			3.22			1.31			1.87			0.95			0.29			0.82			3.11			1.23			1.86			0.94
Total income from investment operations		0.64			0.95			3.30			1.46			2.08			1.08			0.53			0.78			3.07			1.30			1.93			0.95
Less distributions:
Distributions from net investment income		(0.17	)		(0.09	)		(0.13	)		(0.15	)		(0.11	)		(0.13	)		(0.02	)		0.00			(0.05	)		(0.08	)		0.00			(0.04	)
Distributions from net realized gains Total		(1.76	)		(0.93	)		(0.39	)		(0.53	)		0.00			0.00			(1.76	)		(0.93	)		(0.39	)		(0.53	)		0.00			0.00
distributions		(1.93	)		(1.02	)		(0.52	)		(0.68	)		(0.11	)		(0.13	)		(1.78	)		(0.93	)		(0.44	)		(0.61	)		0.00			(0.04	)
Net asset value, end of period	$	17.97		$	19.26		$	19.33		$	16.55		$	15.77		$	13.80		$	17.25		$	18.50		$	18.65		$	16.02		$	15.33		$	13.40
Total return +		3.35	%		4.85	%		20.73	%		9.60	%		15.20	%		8.48	%		2.94	%		4.08	%		19.88	%		8.73	%		14.40	%		7.65	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	10,047		$	10,386		$	3,913		$	2,539		$	709		$	6,962		$	3,378		$	3,847		$	4,166		$	2,684		$	2,370		$	1,944
Ratios of expenses to average net assets: ^		1.49	%		1.89	%		1.84	%		1.55	%		1.71	%		1.76	%		2.24	%		2.64	%		2.59	%		2.30	%		2.46	%		2.51	%
Ratios of net investment income (loss) to average net assets: ^		3.49	%		0.53	%		0.48	%		1.15	%		1.17	%		0.81	%		2.75	%		(0.21	)%		(0.24	)%		0.40	%		0.42	%		0.07	%
Portfolio turnover rate		38	% (1)		110	%		97	%		163	%		123	%		59	%		38	% (1)		110	%		97	%		163	%		123	%		59	%

* The net investment income (loss) per share data was determined using the average shares outstanding throughout each period.

+ Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

(1) Not annualized.

^ Annualized for periods less than one year.

See accompanying notes to financial statements.

88

FINANCIAL HIGHLIGHTS

Dunham Small Cap Value Fund

The table sets forth financial data for one share of beneficial interest outstanding throughout each year or period.

	Class N
	Six Months
	Ended
	April 30,			Year Ended October 31,
	2016			2015			2014			2013			2012			2011
	(Unaudited)
Net asset value, beginning of period	$	14.27		$	15.45		$	14.65		$	11.21		$	10.44		$	9.78
Income (loss) from investment operations:
Net investment income (loss) *		0.03			(0.01	)		0.04			0.07			0.00	(a)		0.02
Net realized and unrealized gain (loss)		(0.21	)		(0.18	)		1.45			3.40			0.77			0.66
Total income (loss) from investment operations		(0.18	)		(0.19	)		1.49			3.47			0.77			0.68
Less distributions:
Distributions from net investment income		(0.01	)		(0.04	)		(0.02	)		(0.03	)		0.00			(0.02	)
Distributions from net realized gains		(0.48	)		(0.95	)		(0.67	)		0.00			0.00			0.00
Total distributions		(0.49	)		(0.99	)		(0.69	)		(0.03	)		0.00			(0.02	)
Net asset value, end of period	$	13.60		$	14.27		$	15.45		$	14.65		$	11.21		$	10.44
Total return + #		(1.30	)%		(1.59	)%		10.30	%		31.05	%		7.38	%		6.94	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	21,206		$	22,068		$	23,783		$	16,640		$	15,764		$	14,739
Ratios of expenses to average net assets: ^		1.72	%		1.79	%		1.45	%		1.29	%		2.02	%		2.10	%
Ratios of net investment income (loss) to ^ average net assets:		0.53	%		(0.10	)%		0.27	%		0.62	%		0.04	%		0.06	%
Portfolio turnover rate		58	% (1)		122	%		106	%		147	%		62	%		50	%
	Class A																		Class C
	Six Months																		Six Months
	Ended																		Ended
	April 30,			Year Ended October 31,															April 30,			Year Ended October 31,
	2016			2015			2014			2013			2012			2011			2016			2015			2014			2013			2012			2011
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period	$	14.18		$	15.36		$	14.59		$	11.16		$	10.40		$	9.75		$	13.06		$	14.32		$	10.59		$	10.59		$	9.96		$	9.40
Income (loss) from investment operations:
Net investment income (loss)*		0.02			(0.05	)		(0.00	)		0.01			0.00	(a)		(0.01	)		(0.03	)		(0.15	)		(0.10	)		(0.03	)		(0.10	)		(0.09	)
Net realized and unrealized gain (loss)		(0.23	)		(0.18	)		1.44			3.42			0.76			0.66			(0.21	)		(0.16	)		1.35			3.18			0.73			0.65
Total income (loss) from investment operations		(0.21	)		(0.23	)		1.44			3.43			0.76			0.65			(0.24	)		(0.31	)		1.25			3.15			0.63			0.56
Less distributions:
Distributions from net realized gains		(0.48	)		(0.95	)		(0.67	)		0.00			0.00			0.00			(0.48	)		(0.95	)		(0.67	)		0.00			0.00			0.00
Total distributions		(0.48	)		(0.95	)		(0.67	)		0.00			0.00			0.00			(0.48	)		(0.95	)		(0.67	)		0.00			0.00			0.00
Net asset value, end of period	$	13.49		$	14.18		$	15.36		$	14.59		$	11.16		$	10.40		$	12.34		$	13.06		$	11.17		$	13.74		$	10.59		$	9.96
Total return + #		(1.52	)%		(1.83	)%		10.02	%		30.74	%		7.31	%		6.67	%		(1.88	)%		(2.56	)%		9.22	%		29.75	%		6.33	%		5.96	%
Ratios/Supplemental Data:
Net assets, end of period iin 000s)	$	3,684		$	3,801		$	3,268		$	1,756		$	567		$	193		$	2,313		$	2,383		$	2,494		$	2,057		$	2,099		$	2,574
Ratios of expenses to average net assets: ^		1.97	%		2.04	%		1.70	%		1.54	%		2.27	%		2.35	%		2.72	%		2.79	%		2.45	%		2.29	%		3.02	%		3.10	%
Ratios of net investment income (loss) to ^ average net assets:		0.29	%		(0.36	)%		(0.06	)%		0.15	%		(0.21	)%		(0.22	)%		(0.47	)%		(1.11	)%		(0.70	)%		(0.37	)%		(0.96	)%		(0.95	)%
Portfolio turnover rate		58	% (1)		122	%		106	%		147	%		62	%		50	%		58	% (1)		122	%		106	%		147	%		62	%		50	%

* The net investment income (loss) per share data was determined using the average shares outstanding throughout each period.

+ Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

(a) Represents less than $0.01 per share.

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

^ Annualized for periods less than one year.

(1) Not annualized.

See accompanying notes to financial statements.

89

FINANCIAL HIGHLIGHTS

Dunham Emerging Markets Stock Fund

The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

	Class N
	Six Months
	Ended
	April 30,			Year Ended October 31,
	2016			2015			2014			2013			2012			2011
	(Unaudited)
Net asset value, beginning of period	$	11.97		$	14.75		$	14.66		$	13.82		$	13.43		$	16.03
Income (loss) from investment operations:
Net investment income (loss)*		0.05			0.08			0.20			0.00	(a)		0.04			(0.05	)
Net realized and unrealized gain (loss) **		(0.11	)		(2.67	)		(0.11	)		0.84			0.35			(2.55	)
Total income (loss) from investment operations		(0.06	)		(2.59	)		0.09			0.84			0.39			(2.60	)
Less distributions:
Distributions from net investment income		(0.08	)		(0.19	)		0.00			0.00			0.00			0.00
Total distributions		(0.08	)		(0.19	)		0.00			0.00			0.00			0.00
Net asset value, end of period	$	11.83		$	11.97		$	14.75		$	14.66		$	13.82		$	13.43
Total return +, #		(0.44	)%		(17.73	)%		0.61	%		6.08	%		2.90	%		(16.22	)%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	45,237		$	42,831		$	35,872		$	24,736		$	16,017		$	14,616
Ratios of expenses to average net assets: ^		1.30	%		1.76	%		1.29	%		2.00	%		1.75	%		2.10	%
Ratios of net investment income (loss) to ^ average net assets:		0.93	%		0.59	%		1.39	%		0.03	%		0.29	%		(0.35	)%
Portfolio turnover rate		59	% (1)		137	%		108	%		166	%		104	%		98	%
	Class A																		Class C
	Six Months																		Six Months
	Ended																		Ended
	April 30,			Year Ended October 31,															April 30,			Year Ended October 31,
	2016			2015			2014			2013			2012			2011			2016			2015			2014			2013			2012			2011
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period	$	11.71		$	14.44		$	14.39		$	13.59		$	13.23		$	15.83		$	11.14		$	13.76		$	13.82		$	13.16		$	12.90		$	15.56
Income (loss) from investment operations:
Net investment income (loss)*		0.04			0.05			0.16			(0.07	)		0.05			(0.12	)		0.00			(0.06	)		0.04			(0.14	)		(0.09	)		(0.20	)
Net realized and unrealized gain (loss) **		(0.11	)		(2.62	)		(0.11	)		0.87			0.31			(2.48	)		(0.10	)		(2.49	)		(0.10	)		0.80			0.35			(2.46	)
Total income (loss) from investment operations		(0.07	)		(2.57	)		0.05			0.80			0.36			(2.60	)		(0.10	)		(2.55	)		(0.06	)		0.66			0.26			(2.66	)
Less distributions:
Distributions from net investment income		(0.05	)		(0.16	)		0.00			0.00			0.00			0.00			0.00			(0.07	)		0.00			0.00			0.00			0.00
Total distributions		(0.05	)		(0.16	)		0.00			0.00			0.00			0.00			0.00			(0.07	)		0.00			0.00			0.00			0.00
Net asset value, end of period	$	11.59		$	11.71		$	14.44		$	14.39		$	13.59		$	13.23		$	11.04		$	11.14		$	13.76		$	13.82		$	13.16		$	12.90
Total return +, #		(0.55	)%		(17.94	)%		0.35	%		5.89	%		2.72	%		(16.42	)%		(0.90	)%		(18.60	)%		(0.43	)%		5.02	%		2.02	%		(17.10	)%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	4,977		$	4,594		$	4,036		$	2,475		$	11,364		$	951		$	3,198		$	3,216		$	3,593		$	2,735		$	2,497		$	2,755
Ratios of expenses to average net assets:^		1.55	%		2.01	%		1.54	%		2.25	%		2.00	%		2.35	%		2.30	%		2.76	%		2.29	%		3.00	%		2.75	%		3.10	%
Ratios of net investment income (loss) to average net assets: ^		0.68	%		0.40	%		1.14	%		(0.48	)%		0.04	%		(0.80	)%		(0.07	)%		(0.48	)%		0.34	%		(1.03	)%		(0.71	)%		(1.35	)%
Portfolio turnover rate		59	% (1)		137	%		108	%		166	%		104	%		98	%		59	% (1)		137	%		108	%		166	%		104	%		98	%

(a) Represents less than $0.01 per share.

* The net investment income (loss) per share data was determined using the average shares outstanding throughout each period.

** The amount of net realized and unrealized loss on investment per share for the year ended October 31, 2014 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values.

+ Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares.

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

^ Annualized for periods less than one year.

(1) Not annualized.

See accompanying notes to financial statements.

90

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,
	2016			2015			2014			2013			2012			2011
	(Unaudited)
Net asset value, beginning of period	$	17.08		$	17.71		$	20.62		$	15.69		$	14.75		$	13.67
Income from investment operations:
Net investment loss*		(0.07	)		(0.24	)		(0.29	)		(0.19	)		(0.17	)		(0.18	)
Net realized and unrealized gain (loss)		(1.12	)		1.19			1.11			6.10			1.11			1.26
Total income (loss) from investment operations		(1.19	)		0.95			0.82			5.91			0.94			1.08
Less distributions:
Distributions from net realized gains		(1.44	)		(1.58	)		(3.73	)		(0.98	)		0.00			0.00
Total distributions		(1.44	)		(1.58	)		(3.73	)		(0.98	)		0.00			0.00
Net asset value, end of period	$	14.45		$	17.08		$	17.71		$	20.62		$	15.69		$	14.75
Total return + #		(7.57	)%		5.36	%		3.64	%		40.28	%		6.37	%		7.90	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	23,828		$	23,152		$	21,153		$	16,146		$	14,627		$	14,975
Ratios of expenses to average net assets: ^		1.35	%		1.58	%		1.84	%		1.35	%		1.34	%		1.45	%
Ratios of net investment loss to average net assets: ^		(0.89	)%		(1.30	)%		(1.61	)%		(1.08	)%		(1.12	)%		(1.15	)%
Portfolio turnover rate		74	% (1)		138	%		192	%		231	%		211	%		235	%
	Class A																		Class C
	Six Months																		Six Months
	Ended			Year Ended															Ended			Year Ended
	April 30,			October 31,															April 30,			October 31,
	2016			2015			2014			2013			2012			2011			2016			2015			2014			2013			2012			2011
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period	$	16.62		$	17.31		$	20.28		$	15.49		$	14.59		$	13.56		$	14.61		$	15.51		$	18.66		$	14.43		$	13.69		$	12.82
Income from investment operations:
Net investment loss*		(0.08	)		(0.27	)		(0.34	)		(0.24	)		(0.21	)		(0.24	)		(0.12	)		(0.36	)		(0.42	)		(0.32	)		(0.30	)		(0.31	)
Net realized and unrealized gain (loss)		(1.09	)		1.16			1.10			6.01			1.11			1.27			(0.94	)		1.04			1.00			5.53			1.04			1.18
Total income (loss) from investment operations		(1.17	)		0.89			0.76			5.77			0.90			1.03			(1.06	)		0.68			0.58			5.21			0.74			0.87
Less distributions:
Distributions from net realized gains		(1.44	)		(1.58	)		(3.73	)		(0.98	)		0.00			0.00			(1.44	)		(1.58	)		(3.73	)		(0.98	)		0.00			0.00
Total distributions		(1.44	)		(1.58	)		(3.73	)		(0.98	)		0.00			0.00			(1.44	)		(1.58	)		(3.73	)		(0.98	)		0.00			0.00
Net asset value, end of period	$	14.01		$	16.62		$	17.31		$	20.28		$	15.49		$	14.59		$	12.11		$	14.61		$	15.51		$	18.66		$	14.43		$	13.69
Total return + #		(7.66	)%		5.12	%		3.36	%		39.88	%		6.17	%		7.60	%		(7.99	)%		4.29	%		2.56	%		38.87	%		5.41	%		6.79	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)	$	5,650		$	6,326		$	6,443		$	5,890		$	2,418		$	1,950		$	2,929		$	3,163		$	3,165		$	2,685		$	2,694		$	3,193
Ratios of expenses to average net assets: ^		1.60	%		1.83	%		2.09	%		1.60	%		1.59	%		1.70	%		2.35	%		2.58	%		2.84	%		2.35	%		2.34	%		2.45	%
Ratios of net investment loss to average net assets: ^		(1.14	)%		(1.53	)%		(1.86	)%		(1.33	)%		(1.37	)%		(1.40	)%		(1.89	)%		(2.29	)%		(2.61	)%		(2.08	)%		(2.12	)%		(2.15	)%
Portfolio turnover rate		74	% (1)		138	%		192	%		231	%		211	%		235	%		74	% (1)		138	%		192	%		231	%		211	%		235	%

* The net investment loss per share data was determined using the average shares outstanding throughout each period.

+ Assumes reinvestment of all dividends and distributions, if any. 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.

^ Annualized for periods less than one year.

See accompanying notes to financial statements.

91

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1. ORGANIZATION

Each Dunham Fund (each, a “Fund” and collectively the “Funds”) is a series of shares of beneficial interest in the Dunham Funds (the “Trust”), a Delaware Business Trust organized on November 28, 2007 and registered under the Investment Company Act of 1940, as amended, (the “1940 Act”) as an open-end management investment company. Prior to that date, the Dunham Funds were a series of AdvisorOne Funds, also a Delaware Business Trust. The Dunham Funds currently consist of fifteen funds: Corporate/Government Bond Fund; Monthly Distribution Fund; Floating Rate Bond Fund; High-Yield Bond Fund; International Opportunity Bond Fund; Dynamic Macro Fund; Alternative Strategy Fund; Appreciation & Income Fund; Large Cap Value Fund; Focused Large Cap Growth Fund; International Stock Fund; Real Estate Stock Fund; Small Cap Value Fund; Emerging Markets Stock Fund and Small Cap Growth Fund. Alternative Strategy Fund, Focused Large Cap Growth Fund, International Opportunity Bond Fund, and Real Estate Stock Fund are non-diversified funds within the meaning of the 1940 Act. The remaining Funds are diversified funds within the meaning of the 1940 Act.

Fund	Primary Objective
Floating Rate Bond	High level of current income
Monthly Distribution	Positive returns in rising and falling market environments
Corporate/Government Bond	Current income and capital appreciation
Dynamic Macro	Maximize total return from capital appreciation and dividends
High-Yield Bond	High level of current income
International Opportunity Bond	High level of current income
Appreciation & Income	Total return under varying market conditions through both current income and capital appreciation
Alternative Strategy	Long-term capital appreciation by realizing gains during periods of rising and declining Markets
Large Cap Value	Maximize total return from capital appreciation and dividends
Focused Large Cap Growth	Maximize capital appreciation
International Stock	Maximize total return from capital appreciation and dividends
Real Estate Stock	Maximize total return from capital appreciation and dividends
Small Cap Value	Maximize total return from capital appreciation and income
Emerging Markets Stock	Maximize capital appreciation
Small Cap Growth	Maximize capital appreciation

Currently, each Fund offers Class A, Class C and Class N shares. Each class represents an interest in the same assets of the applicable Fund with the only differences being that Class A shares are subject to a front-end sales charge and an annual service fee, Class C shares are subject to an annual service and distribution fee and Class N shares have a higher minimum investment amount. Investors that purchase $1,000,000 or more of Class A shares will not pay any initial sales charge on the purchase. However, purchases of $1,000,000 or more of Class A shares may be subject to a contingent deferred sales charge (“CDSC”) on shares redeemed during the first 18 months after their purchase in the amount of the commissions paid on the shares redeemed. The Class C and Class N shares, with the exception of Monthly Distribution, High-Yield Bond, Dynamic Macro, Focused Large Cap Growth, Alternative Strategy, Floating Rate Bond, and International Opportunity Bond commenced operations on December 10, 2004 and were formed as a result of tax-free conversions from common trusts. The conversions were accomplished through the exchange of the common trust securities, cash, and other assets for equivalent value of the Funds’ shares. High-Yield Bond Class C and Class N shares commenced operations on July 1, 2005. The Class A shares for all Funds except Monthly Distribution, Dynamic Macro, Focused Large Cap Growth, Alternative Strategy, Floating Rate Bond, and International Opportunity Bond commenced operations on January 3, 2007. Monthly Distribution’s Predecessor Fund’s Class A shares and Class C shares commenced operations on December 26, 2000. Monthly Distribution’s Class N shares commenced operations on September 29, 2008. Dynamic Macro commenced operations on April 30, 2010. Focused Large Cap Growth commenced operations on December 8, 2011.. Effective October 1, 2014, Dynamic Macro changed its name from Loss Averse Equity Income. Alternative Strategy’s Predecessor Fund’s Class N shares commenced operations on February 13, 2009 and Alternative Strategy Class A shares commenced operations on March 25, 2009. Alternative Strategy Class C shares commenced operations on May 14, 2009. Floating Rate Bond and International Opportunity Bond commenced operations on November 1, 2013.

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and

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April 30, 2016 (Continued)

decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Funds follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies.

The following is a summary of significant accounting policies followed by the Fund in preparation of their financial statements.

a. Security Valuation – In determining each Fund’s Net Asset Value (“NAV”) per share, equity securities for which market quotations are readily available are valued at current market value using the last reported sales price. NASDAQ traded securities are valued using the NASDAQ official closing price (“NOCP”). If no sale price is reported, the mean between the current bid and ask price is used. If market quotations are not readily available, then securities are valued at fair value as determined by the Board of Trustees of the Trust (the “Board”) (or its delegate). U.S. Government and agency securities are valued at the mean between the most recent bid and ask prices. Short-term debt instruments with a remaining maturity of more than 60 days, intermediate and long-term bonds, convertible bonds, bank loans and other debt securities are generally valued on the basis of dealer supplied quotations or by a pricing system selected by Dunham & Associates Investment Counsel, Inc. (“Dunham & Associates” or the “Adviser”) and approved by the Board. Where such prices are not available, valuations will be obtained from brokers who are market makers for such securities. However, in circumstances where the Adviser deems it appropriate to do so, the mean of the bid and ask prices for over-the-counter securities or the last available sale price for exchange-traded debt securities may be used. Where no last sale price for exchange traded debt securities is available, the mean of the bid and ask prices may be used. Short-term debt securities with a remaining maturity of 60 days or less may be valued at amortized cost, provided such valuations represent fair value.

Options are valued at the last reported sale price at the close of the exchange on which the security is primarily traded. If no sales are reported for the exchange-traded options, or the options are not exchange-traded, then they are valued at the mean of their most recent quoted bid and ask price.

Equity swaps are valued at the last reported sale price at the close of the exchange on which the underlying security is primarily traded. If no sale price is reported, then they are valued at the mean of their most recent quoted bid and asked price.

Futures and future options are valued at the final settled price or, in the absence of a settled price, at the mean between the current bid and ask prices on the day of valuation.

Trading in securities on far eastern securities exchanges and over-the-counter markets is normally completed well before the close of business on each business day in New York (i.e., a day on which the New York Stock Exchange (“NYSE”) is open). In addition, far eastern securities trading generally, or in a particular country or countries, may not take place on all business days in New York. Furthermore, trading takes place in Japanese markets on certain Saturdays and in various foreign markets on days, which are not business days in New York, and on which a Fund’s NAV is not calculated. Each Fund calculates NAV per share, and therefore effects sales, redemptions and repurchases of its shares, as of the close of regular trading on the NYSE once on each day on which the NYSE is open. Such calculation may not take place contemporaneously with the determination of the prices of the majority of the portfolio securities used in such calculation. If events that may materially affect the value of such securities occur between the time when their price is determined and the time when the Fund’s NAV is calculated, such securities may be valued at fair value as determined in good faith in accordance with procedures approved by the Board.

Securities in which the Funds invest may be traded in markets that close before 4:00 p.m. Eastern Time (“ET”). Normally, developments that occur between the close of the foreign markets and 4:00 p.m. ET will not be reflected in a Fund’s NAV. However, Funds may determine that such developments are so significant that they will materially affect the value of a Fund’s securities, and the Fund may adjust the previous closing prices to reflect what the Board believes to be the fair value of these securities as of 4:00 p.m. ET. Effective July 1, 2009, both International Stock and Emerging Markets Stock began using fair value prices as provided by an independent pricing vendor on a daily basis for those securities traded on a foreign exchange.

Securities for which current market quotations are not readily available, or for which quotations are not deemed to be representative of market values, are valued at fair value as determined in good faith by or under the direction of the Board in accordance with the Trust’s Portfolio Securities Valuation Procedures (the “Procedures”). The Procedures consider, among others, the following factors to determine a security’s fair value: the nature and pricing history (if any) of the security; whether any dealer quotations for the security are available; and possible valuation methodologies that could be used to determine the fair value of the security.

Valuation of Fund of Funds - The Funds may invest in portfolios of open-end investment companies. Open-end investment companies are valued at their respective net asset values as reported by such investment companies. Open-end investment companies value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based on the methods established by the board of directors of the open-end funds.

The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

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April 30, 2016 (Continued)

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities.

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of April 30, 2016 for the Funds’ assets and liabilities measured at fair value:

Floating Rate Bond

Assets	Level 1		Level 2		Level 3		Total
Bank Loans *	$	—	$	80,553,296	$	—	$	80,553,296
Bonds & Notes *		—		4,002,034		—		4,002,034
Asset Backed Securities		1,347,803
Short-Term Investment		3,122,938		—		—		3,122,938
Collateral for Securities Loaned		105,750		—		—		105,750
Total	$	4,576,491	$	84,555,330	$	—	$	87,784,018

Monthly Distribution

Assets	Level 1		Level 2		Level 3		Total
Common Stock *	$	210,266,961	$	—	$	—	$	210,266,961
Rights		76,436		—		—		76,436
Warrants		38,641		—		—		38,641
Closed End Funds		9,674,922		—		—		9,674,922
Preferred Stock *		5,575,000		—		—		5,575,000
Bonds & Notes *		—		12,304,376		—		12,304,376
Purchased Put Options		2,488,393		—		—		2,488,393
Short-Term Investment		29,646,669		—		—		29,646,669
Collateral for Securities Loaned		9,209,035						9,209,035
Total Assets	$	266,976,057	$	12,304,376	$	—	$	279,280,433
Derivatives
Forward Currency Exchange Contracts		—		24,068,965		—		24,068,965
Equity Swap Contracts		4,382,304				—		4,382,304
Total Derivatives	$	4,382,304	$	24,068,965	$	—	$	28,451,269
Liabilities-Securities Sold Short		71,734,934				—		71,734,934
Total Liabilities	$	71,734,934	$	—	$	—	$	71,734,934
Liabilities-Derivatives
Written Call Options		6,206,860		—		—		6,206,860
Written Put Options		347,205		—		—		347,205
Equity Swap Contracts		2,826,408		—		—		2,826,408
Forward Currency Exchange Contracts		—		24,513,923		—		24,513,923
Total Derivatives	$	9,380,473	$	24,513,923	$	—	$	33,894,396

94

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

Corporate/Government Bond

Assets	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes *	$	—	$	30,216,735	$	—	$	30,216,735
Foreign Government Bonds		—		434,254		—		434,254
Municipal		—		954,730		—		954,730
U.S. Government & Agency		—		16,763,789		—		16,763,789
Bank Loans *		—		1,659,078		—		1,659,078
Preferred Stock *		757,780		—		—		757,780
Short-Term Investment		1,681,431		—		—		1,681,431
Collateral for Securities Loaned		2,379,575		—		—		2,379,575
Total	$	4,818,786	$	50,028,586	$	—	$	54,847,372

Dynamic Macro

Assets	Level 1		Level 2		Level 3		Total
Exchange Traded Funds *	$	20,555,800	$	—	$	—	$	20,555,800
Short-Term Investments		13,536,809		—		—		13,536,809
Derivatives
Purchased Options		2,767,857		—		—		2,767,857
Futures		169,862		—		—		169,862
Foreign Currency Exchange Contracts		—		—		—		—
Total	$	37,030,328	$	—	$	—	$	37,030,328
Liabilities - Derivatives
Futures	$	61,844	$	—	$	—	$	61,844
Written Options		25,180		—		—		25,180
Total	$	87,024	$	—	$	—	$	87,024

High-Yield Bond

Assets	Level 1		Level 2		Level 3		Total
Bonds & Notes *	$	—	$	89,879,573	$	—	$	89,879,573
Short-Term Investment		4,417,375		—		—		4,417,375
Collateral for Securities Loaned		13,974,490		—		—		13,974,490
Total	$	18,391,865	$	89,879,573	$	—	$	108,271,438

International Opportunity Bond

Assets	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes *	$	671,061	$	10,451,001	$	—	$	11,122,062
Foreign Government Bonds *		2,056,514		16,950,384		—		19,006,898
Asset Backed Securities				115,271				115,271
Collateral Mortgage Backed Security		—		217,456		—		217,456
Whole Loan Collateral		—		277,865		—		277,865
Short-Term Investment		198,538		—		—		198,538
Total Assets	$	2,926,113	$	28,011,977	$	—	$	30,938,090
Derivatives
Futures Contracts	$	115,312	$	—	$	—	$	115,312
Foreign Currency Exchange Contracts		—		283,346		—		283,346
Total Derivatives	$	115,312	$	283,346	$	—	$	398,658
Liabilities-Derivatives
Futures Contracts	$	80,411	$	—	$	—	$	80,411
Foreign Currency Exchange Contracts		—		176,101		—		176,101
Total Derivatives	$	80,411	$	176,101	$	—	$	256,512

95

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

Appreciation & Income

Assets	Level 1		Level 2		Level 3		Total
Convertible Bonds *	$	—	$	19,752,349	$	—	$	19,752,349
Preferred Stock *		3,313,417		—		—		3,313,417
Short-Term Investment		3,223,250		—		—		3,223,250
Collateral for Securities Loaned		2,769,760		—		—		2,769,760
Total	$	9,306,427	$	19,752,349	$	—	$	29,058,776

Alternative Strategy

Assets	Level 1		Level 2		Level 3		Total
Exchange Traded Funds *	$	17,798,160	$	—	$	—	$	17,798,160
Short-Term Investment		4,309,853		—		—		4,309,853
Total	$	22,108,013	$	—	$	—	$	22,108,013

Large Cap Value

Assets	Level 1		Level 2		Level 3		Total
Common Stock *	$	53,744,305	$	—	$	—	$	53,744,305
Short-Term Investment		1,211,460		—		—		1,211,460
Collateral for Securities Loaned		8,965,266		—		—		8,965,266
Total	$	63,921,031	$	—	$	—	$	63,921,031

Focused Large Cap Growth

Assets	Level 1		Level 2		Level 3		Total
Common Stock *	$	63,710,767	$	—	$	—	$	63,710,767
Short-Term Investment		491,625		—		—		491,625
Collateral for Securities Loaned		12,704,917		—		—		12,704,917
Total	$	76,907,309	$	—	$	—	$	76,907,309

International Stock

Assets	Level 1		Level 2		Level 3		Total
Common Stock *	$	21,401,617	$	65,264,921	$	—	$	86,666,538
Closed End Fund		—		344,168				344,168
Preferred Stock *		164,822		1,158,243		—		1,323,065
Short-Term Investment		1,626,200		—		—		1,626,200
Collateral for Securities Loaned		4,645,326		—		—		4,645,326
Total Assets	$	27,837,965	$	66,767,332	$	—	$	94,605,297
Assets - Derivatives
Forward Currency Exchange Contracts	$	—	$	897,743	$	—	$	897,743
Liabilities - Derivatives
Forward Currency Exchange Contracts	$	—	$	1,066,025	$	—	$	1,066,025

Real Estate Stock

Assets	Level 1		Level 2		Level 3		Total
Common Stock*	$	508,473	$	—	$	—	$	508,473
REITS *		41,456,587		—		—		41,456,587
Short-Term Investment		857,395		—		—		857,395
Collateral for Securities Loaned		7,173,911		—		—		7,173,911
Total	$	49,996,366	$	—	$	—	$	49,996,366

96

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

Small Cap Value

Assets	Level 1		Level 2		Level 3		Total
Common Stock *	$	27,163,084	$	—	$	—	$	27,163,084
Short-Term Investment		42,094		—		—		42,094
Collateral for Securities Loaned		4,121,138		—		—		4,121,138
Total	$	31,326,316	$	—	$	—	$	31,326,316

Emerging Markets Stock

Assets	Level 1		Level 2		Level 3		Total
Common Stock *	$	8,346,180	$	41,318,374	$	—	$	49,664,554
Exchange Traded Funds		2,631,800		—		—		2,631,800
Short-Term Investment		1,825,888		—		—		1,825,888
Collateral for Securities Loaned		1,774,767		—		—		1,774,767
Total	$	14,578,635	$	41,318,374	$	—	$	55,897,009

Small Cap Growth

Assets	Level 1		Level 2		Level 3		Total
Common Stock *	$	31,384,234	$	—	$	—	$	31,384,234
Short-Term Investment		1,071,486		—		—		1,071,486
Collateral for Securities Loaned		11,966,485		—		—		11,966,485
Total	$	44,422,205	$	—	$	—	$	44,422,205

* See each Fund’s Schedule of Investments for breakdown by industry.

The Funds did not hold any Level 3 securities during the period.

There were no transfers into or out of Level 1 or Level 2 during the period. It is the Funds’ policy to recognize transfers into and out of Level 1 and Level 2 at the end of the reporting period.

b. Foreign Currency Translations – The accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency, and income receipts and expense payments, are translated into U.S. dollars using the prevailing exchange rate at the London market close. Purchases and sales of securities are translated into U.S. dollars at the contractual currency rates established at the approximate time of the trade.

Net realized gains and losses on foreign currency transactions represent net gains and losses from currency realized between the trade and settlement dates on securities transactions and the difference between income accrued versus income received. The effects of changes in foreign currency exchange rates on investments in securities are included with the net realized and unrealized gain or loss on investment securities.

c. Forward Currency Contracts – As foreign securities are purchased, a Fund generally enters into forward currency exchange contracts in order to hedge against foreign currency exchange rate risks. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. A Fund may also enter into forward currency contracts as an investment strategy consistent with that Fund’s investment objective. Realized gains and losses from contract transactions are included as a component of net realized gains (losses) from investments and foreign currency in the Statements of Operations.

d. Options – Monthly Distribution and Dynamic Macro are subject to stock market risk in the normal course of pursuing their investment objectives and may purchase or sell options to help hedge against this risk.

A Fund may write call options only if it (i) owns an offsetting position in the underlying security or (ii) has an absolute or immediate right to acquire that security without additional cash consideration or exchange of other securities held in its portfolio. When a Fund writes an option, there is no taxable event and an amount equal to the premium received is recorded by that Fund as a liability. The liability is thereafter valued to reflect the current value of the option. If the option is not exercised and expires, or if a Fund effects a closing purchase transaction, the Fund realizes a gain (or loss in the case of a closing purchase transaction where the cost to close the transaction exceeds the original premium received), and the liability related to the option is extinguished. Any such gain or loss generally is a short-term capital gain or loss for federal income tax purposes. If a call option that a Fund has written on any equity security is exercised, that Fund will realizes a capital gain or loss (long-term or short-term, depending on the holding period of the

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April 30, 2016 (Continued)

underlying security) from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. If a put option that a Fund has written on an equity security is exercised, the amount of the premium originally received reduces the cost of the security that a Fund purchases upon exercise of the option. When a Fund writes a put option, that Fund must deposit cash or liquid securities into a segregated account equal to the put option’s exercise value (number of shares times strike price).

A Fund may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in that Fund’s portfolio. If such a decline occurs, the put options will permit that Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by that Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to that Fund. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to that Fund, the benefits realized by that Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities.

e. Swap Agreements – Monthly Distribution is subject to stock market risk in the normal course of pursuing its investment objectives. The Fund may enter into various swap transactions for investment purposes to manage equity risk. These are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund amortizes upfront payments and/or accrues for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of its current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statements of Assets and Liabilities. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the contract’s remaining life, to the extent that that amount is positive.

f. Futures Contracts – International Opportunity Bond and Dynamic Macro are subject to equity interest rate risk and forward currency exchange rate risk in the normal course of pursuing their investment objectives. The Funds may purchase or sell futures contracts to gain exposure to, or hedge against, changes in the value of equities and interest rates. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Fund’s agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, the Funds recognize a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. If the Funds were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Funds would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. The Funds segregate cash having a value at least equal to the amount of the current obligation under any open futures contract. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. With futures, there is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

The notional value of the derivative instruments outstanding as of April 30, 2016 as disclosed in the Schedule of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within the Statement of Operations serve as indicators of the volume of derivative activity for the Funds.

g. Short Sales – A “short sale” is a transaction in which a Fund sells a security it does not own but has borrowed in anticipation that the market price of that security will decline. The Fund would be obligated to replace the security borrowed by purchasing it on the open market at a later date. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will incur a loss. Conversely, if the price declines, the Fund will realize a gain.

h. Impact of Derivatives on the Statements of Assets and Liabilities and Statements of Operations – The following is a summary of the location of derivative investments of each Fund in the Statement of Assets and Liabilities as of April 30, 2016:

98

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

Location on the Statements of Assets and Liabilities
Derivates Investment Type	Asset Derivatives	Liability Derivatives
Equity/Currency/Commodity	Investment securites	Options contracts written
Interest rate contracts	Unrealized appreciation on Swap Contracts Unrealized appreciation on futures	Unrealized depreciation on Swap Contracts Unrealized depreciation on futures
	Receivable for open forward foreign currency contracts	Payable for open forward foreign currency contracts

The following table sets forth the fair value of each Fund’s derivative contracts by primary risk exposure as of April 30, 2016:

Asset Derivatives Investment value
	Equity		Currency			Commodity		Interest Rate		Total value at
	Contracts		Contracts			Contracts		Contracts		April 30, 2016
Monthly Distribution
Forward Foreign Currency Contra	$	—	$	24,068,465		$	—	$	—	$	24,068,465
Swaps		4,382,304		—			—		—		4,382,304
Purchased Options		2,488,393		—			—		—		2,488,393
International Opportunity Bond
Forward Foreign Currency Contra	$	—	$	283,346		$	—	$	—	$	283,346
Futures		—		7,170			—		108,142		115,312
Dynamic Macro
Futures	$	10,479	$	(5,129	)	$	—	$	102,668	$	108,018
Purchase Options		155,680		—			—		2,612,177		2,767,857
International Stock
Forward Foreign Currency Contra	$	—	$	897,743		$	—	$	—	$	897,743

The following is a summary of the location of derivative investments of each Fund in the Statements of Assets and Liabilities for the year ended April 30, 2016.

Liability Derivatives Investment value
	Equity		Currency		Commodity		Interest Rate		Total value at
	Contracts		Contracts		Contracts		Contracts		April 30, 2016
Monthly Distribution
Forward Foreign Currency Contracts	$	—	$	24,513,923	$	—	$	—	$	24,513,923
Swaps		2,826,408		—		—		—		2,826,408
Written Options		6,554,065		—		—		—		6,554,065
International Opportunity Bond
Forward Foreign Currency Contracts	$	—	$	176,101	$	—	$	—	$	176,101
Futures		—		—		—		80,441		80,441
Dynamic Macro
Written Options		25,180		—		—		—		25,180
International Stock Forward Foreign Currency Contracts	$	—	$	1,066,025	$	—	$	—	$	1,066,025

99

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Equity/Currency/Commodity/Interest rate contracts	Net Realized gain (loss) from: Futures, Options purchased, Written options, Swap contracts, Foreign currency exchange contracts
	Net change in unrealized appreciation (depreciation) on: Futures, Options purchased, Written options, Swap contracts, Foreign currency exchange contracts

The following is a summary of each Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the six months ended April 30, 2016:

Realized gain/(loss) on derivatives recognized in the Statements of Operations
	Equity			Currency			Commodity		Interest Rate			Total value at
Derivative Investment type	Contracts			Contracts			Contracts		Contracts			April 30, 2016
Monthly Distribution
Forward Foreign Currency Contracts	$	—		$	856,359		$	—	$	—		$	856,359
Foreign Currency Transactions		—			183,425			—		—			183,425
Swaps		(3,482,881	)		—			—		—			(3,482,881	)
Purchased Options		6,166,726			—			—		—			6,166,726
Written Options		693,396			—			—		—			693,396
International Opportunity Bond
Forward Foreign Currency Contracts	$	—		$	(30,221	)	$	—	$	—		$	(30,221	)
Futures		—			—			—		(56,290	)		(56,290	)
Dynamic Macro
Futures	$	(670,766	)	$	—		$	—	$	—		$	(670,766	)
Purchased Options		159,653			—			—		—			159,653
Written Options		(48,795	)		—			—		—			(48,795	)
International Stock
Forward Foreign Currency Contracts	$	—		$	(816,147	)	$	—	$	—		$	(816,147	)
Emerging Markets Stock
Forward Foreign Currency Contracts	$	—		$	(1,020,509	)	$	—	$	—		$	(1,020,509	)

Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations
	Equity			Currency			Commodity		Interest Rate			Total value at
Derivative Investment type	Contracts			Contracts			Contracts		Contracts			April 30, 2016
Monthly Distribution
Forward Foreign Currency Contracts	$	—		$	(444,958	)	$	—	$	—		$	(444,958	)
Foreign Currency Transactions		—			(2,703	)		—		—			(2,703	)
Swaps		1,264,970			—			—		—			1,264,970
Purchased Options		212,565			—			—		—			212,565
Written Options		2,036,766			—			—		—			2,036,766
International Opportunity Bond
Forward Foreign Currency Contracts	$	—		$	45,715		$	—	$	—		$	45,715
Futures		—						—		(12,446	)		(12,446	)
Dynamic Macro
Futures		—			—			—		(232,566	)		(232,566	)
Purchased Options		196,070			—			—		—			196,070
Written Options		(1,956	)		—			—		—			(1,956	)
International Stock
Forward Foreign Currency Contracts	$	—		$	(424,410	)	$	—	$	—		$	(424,410	)

100

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

i. Offsetting of Financial Assets and Derivative Assets – Monthly Distribution, International Opportunity Bond, Dynamic Macro and International Stock policies are to recognize a net asset or liability equal to the unrealized on futures contracts, forward foreign currency contracts, swaps and written options. During the six months ended April 30, 2016, the Funds are subject to a master netting arrangement for the swaps. The following table shows additional information regarding the offsetting of assets and liabilities at April 30, 2016.

Monthly Distribution

Assets:							Gross Amounts Not Offset in the Statement of Assets & Liabilities
Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets & Liabilities		Net Amounts of Assets Presented in the Statement of Assets & Liabilities		Financial Instruments			Cash Collateral Received		Net Amount
Equity Swap Contracts	$	4,382,304	$	—	$	4,382,304	$	(2,826,408	)	$	—	$	1,555,896
Forward Foreign Currency Contracts		24,068,965		—		24,068,965		(24,068,965	)		—		—
Total	$	28,451,269	$	—	$	28,451,269	$	(26,895,373	)	$	—	$	1,555,896

Liabilities:									Gross Amounts Not Offset in the Statement of Assets & Liabilities
Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Assets & Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets & Liabilities			Financial Instruments		Cash Collateral Pledged (1)		Net Amount
Written Options		(6,554,065	)		—		(6,554,065	)		6,554,065		—		—
Equity Swap Contracts		(2,826,408	)		—		(2,826,408	)		2,826,408		—		—
Forward Foreign Currency Contracts		(24,513,923	)		—		(24,513,923	)		24,068,965		—		(444,958	)
Total	$	(33,894,396	)	$	—	$	(33,894,396	)	$	33,449,438	$	—	$	(444,958	)

(1) The amount is limited to the derivative liability balance and accordingly, does not include excess collateral pledged.

Dynamic Macro

Assets:							Gross Amounts Not Offset in the Statement of Assets & Liabilities
Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets & Liabilities		Net Amounts of Assets Presented in the Statement of Assets & Liabilities		Financial Instruments		Cash Collateral Pledged		Net Amount
Futures Contracts	$	108,018	$	—	$	108,018	$	—	$	—	$	108,018
Total	$	108,018	$	—	$	108,018	$	—	$	—	$	108,018

Liabilities:									Gross Amounts Not Offset in the Statement of Assets & Liabilities
Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Assets & Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets & Liabilities			Financial Instruments		Cash Collateral Pledged (1)		Net Amount
Written Options		(25,180	)		—	$	(25,180	)		—		25,180		—
Total	$	(25,180	)	$	—	$	(25,180	)	$	—	$	25,180	$	—

101

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

International Opportunity Bond
Assets:									Gross Amounts Not Offset in the Statement of Assets & Liabilities
Description	Gross Amounts of Recognized Assets			Gross Amounts Offset in the Statement of Assets & Liabilities		Net Amounts of Assets Presented in the Statement of Assets & Liabilities			Financial Instruments			Cash Collateral Pledged		Net Amount
Forward Foreign Currency Contracts	$	283,346				$	283,346		$	(176,101	)			$	107,245
Futures Contracts		115,312		$	—		115,312			(80,441	)	$	—		34,871
Total	$	398,658		$	—	$	398,658		$	(256,542	)	$	—	$	142,116
Liabilities:									Gross Amounts Not Offset in the Statement of Assets & Liabilities
Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Assets & Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets & Liabilities			Financial Instruments			Cash Collateral Pledged (1)		Net Amount
Forward Foreign Curency Contracts	$	(176,101	)	$	—	$	(176,101	)	$	176,101		$	—	$	—
Futures Contracts	$	(80,441	)	$	—	$	(80,441	)	$	80,441		$	—	$	—
Total	$	(256,542	)	$	—	$	(256,542	)	$	256,542		$	—	$	—

International Stock
Assets:										Gross Amounts Not Offset in the Statement of Assets & Liabilities
Description	Gross Amounts of Recognized Assets			Gross Amounts Offset in the Statement of Assets & Liabilities			Net Amounts of Assets Presented in the Statement of Assets & Liabilities			Financial Instruments		Cash Collateral Pledged		Net Amount
Forward Foreign Currency Contracts	$	897,743		$	(1,066,025	)	$	(168,282	)	$	168,282	$	—	$	—
Total	$	897,743		$	(1,066,025	)	$	(168,282	)	$	168,282	$	—	$	—
Liabilities:										Gross Amounts Not Offset in the Statement of Assets & Liabilities
Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Assets & Liabilities			Net Amounts of Liabilities Presented in the Statement of Assets & Liabilities			Financial Instruments		Cash Collateral Pledged (1)		Net Amount
Forward Foreign Currency Contracts	$	(1,066,025	)	$	897,743		$	(168,282	)	$	—	$	168,282	$	—
Total	$	(1,066,025	)	$	897,743		$	(168,282	)	$	—	$	168,282	$	—

(1) The amount is limited to the derivative liability balance and accordingly, does not include excess collateral pledged.

102

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

j. Exchange Traded Funds – The Funds may invest in exchange traded funds (“ETFs”). ETFs are a type of index fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities designed to track the performance and dividend yield of a particular domestic or foreign market index. A Fund may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market while awaiting purchase of underlying securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.

k. Investment Transactions, Investment Income and Expenses – Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions and foreign exchange transactions are calculated using the identified cost method. Dividend income and expense is recorded on the ex-dividend date (“ex-date”) except in the case of certain dividends from foreign securities, which are recorded as soon after the ex-date as the respective Fund, using reasonable diligence, becomes aware of such dividends. Interest income is recorded on an accrual basis. Discounts are accreted and premiums are amortized as adjustments to interest income and the identified cost of investments. Expenses of the Trust that are directly identifiable to a specific fund are charged to that fund. Expenses, which are not readily identifiable to a specific fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the funds. Each Fund’s income, expenses (other than the class specific distribution fees) and realized and unrealized gains and losses are allocated proportionally each day between the classes based upon the relative net assets of each class.

l. Concentration of Risk – Investing in securities of foreign issuers and currency transactions may involve certain considerations and risks not typically associated with investments in the United States. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region. These conditions could cause the securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. government securities.

Small capitalization (“small cap”) companies may be more vulnerable than larger capitalization companies to adverse business or economic developments. Small cap companies may also have limited product lines, markets or financial resources, and may be dependent on a relatively small management group. Securities of such companies may be less liquid and more volatile than securities of larger capitalization companies or the market averages in general and therefore may involve greater risk than investing in larger capitalization companies.

The ability of issuers of debt securities held by the Funds to meet their obligations may be affected by economic and political developments particular to a specific industry, country, state or region. Investments in lower grade debt securities are subject to special risks, including greater price volatility and a greater risk of loss of principal and interest.

Certain Funds may invest in collateralized mortgage obligations which are secured by groups of individual mortgages, but are similar to a conventional bond where the investor looks only to the issuer for payment of principal and interest. Although the obligations are recourse obligations to the issuer, the issuer typically has no significant assets, other than assets pledged as collateral for the obligations, and the market value of the collateral, which is sensitive to interest rate movements, may affect the market value of the obligations. A public market for a particular collateralized mortgage obligation may or may not develop and thus, there can be no guarantee of liquidity of an investment in such obligations.

The risk in writing a call option is that a Fund may forgo the opportunity of profit if the market value of the underlying security increases and the option is exercised, although any potential loss is reduced by the amount of option premium received. The risk in writing a put option is that a Fund may be called on to pay the exercise price of the option for a security that has decreased (potentially to zero) in market price, although any potential loss is reduced by the amount of option premium received. Generally, option transactions also involve risks concerning liquidity of the options market. An illiquid market for an option may limit a Fund’s ability to write options or enter closing transactions. As the options written by the Funds are traded on a national exchange, counterparty and credit risk are limited to the failure of the exchange on which the options are traded.

m. Federal Income Taxes – It is each Fund’s policy to continue to comply with all sections of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income and gains, if any, to its shareholders and therefore, no provision for federal income tax has been made. Each Fund is treated as a separate taxpayer for federal income tax purposes. The Funds recognize the tax benefits of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed the tax positions in the open tax years of 2012 to 2014 (and July 31, 2013 for Alternative Strategy), and expected to be taken in tax year 2015 and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken in the above open tax years. The Funds identify their major tax jurisdictions as U.S. Federal. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties. Generally tax authorities can examine tax returns filed for the last three years.

103

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

n. Distributions to Shareholders – It is each Fund’s policy to distribute its respective net investment income and net capital gains, if any, annually except for Monthly Distribution, Corporate/Government Bond, High-Yield Bond, Floating Rate Bond and International Opportunity Bond which will distribute their respective net investment income, if any, monthly. For Dynamic Macro dividends attributable to earned income, if any, will be declared and paid quarterly. Distributions of net investment income and net capital gains are determined in accordance with income tax regulations which may differ from GAAP. Differences in dividends from net investment income per share between the classes are due to service and distribution related expenses. Dividends and distributions to shareholders are recorded on ex-date. The Monthly Distribution Fund’s distribution policy is to make twelve monthly distributions to shareholders. The level of monthly distributions (including any return of capital) is not fixed but is expected to be at or near the level of the prime interest rate (“Prime Rate”). Additionally, the Monthly Distribution Fund’s distribution policy is not designed to generate, and is not expected to result in distributions that equal a fixed percentage of the Monthly Distribution’s Fund’s current net asset value per share. Shareholders receiving periodic payments form the Monthly Distribution Fund may be under the impression that they are receiving net profits. However, all or a portion of a distribution may consist of a return of capital. Shareholders should not assume that the source of a distribution from the Monthly Distribution is net profit.

o. Indemnification – The Trust indemnifies its officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, each Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnities. A Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss due to these warranties and indemnities to be remote.

3. INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES

a. Management Fees – Dunham & Associates serves as each Fund’s investment adviser. Pursuant to an investment advisory agreement with the Trust, on behalf of the Funds, Dunham & Associates, subject to the supervision of the Board and in conformity with the stated policies of the Funds, manages the operations of the Funds. The Adviser, subject to the review and approval of the Board, selects Sub-Advisers for each Fund and supervises and monitors the performance of each Sub-Adviser. As compensation for its services, each Fund pays the Adviser a fixed fee, accrued daily and paid monthly, based on each Fund’s respective average daily net assets. The Adviser has entered into a Sub-Advisory Agreement with each Sub-Adviser and the Trust, on behalf of each Fund. Under the Sub-Advisory Agreements, each Fund pays the Sub-Adviser a “Fulcrum Fee.” A Fulcrum Fee is a performance fee whereby the Sub-Adviser is rewarded when out-performing, or is penalized when under-performing, a Fund’s benchmark index. As a result of the Fulcrum Fee arrangement, the total annual management fee for a Fund will have a range as shown in the table below.

		Adviser’s	Sub-Adviser’s
	Management Fee	Portion	Portion
Floating Rate Bond	0.80% – 1.20%	0.60%	0.20% – 0.60%
Monthly Distribution	0.90% – 1.90%	0.65%	0.25% – 1.25% *
Corporate/Government Bond	0.65% – 0.95%	0.50%	0.15% – 0.45%
Dynamic Macro	1.05% – 1.75%	0.65%	0.40% – 1.10%
High-Yield Bond	0.80% – 1.20%	0.60%	0.20% – 0.60%
International Opportunity Bond	0.80% – 1.30%	0.60%	0.20% – 0.70%
Appreciation & Income	0.85% – 1.35%	0.65%	0.20% – 0.70%
Alternative Strategy	0.95% – 1.35%	0.65%	0.30% – 0.70%
Large Cap Value	0.75% – 1.35%	0.65%	0.10% – 0.50%
Focused Large Cap Growth	0.85% – 1.15%	0.65%	0.20% – 0.50%
International Stock	0.95% – 1.65%	0.65%	0.30% – 1.00%
Real Estate Stock	0.75% – 1.35%	0.65%	0.10% – 0.70%
Small Cap Value	0.75% – 1.45%	0.65%	0.10% – 0.80%
Emerging Markets Stock	0.75% – 1.55%	0.65%	0.10% – 0.90%
Small Cap Growth	0.65% – 1.65%	0.65%	0.00% – 1.00%

* Effective April 1, 2013, the Sub-Adviser had contractually agreed to waive a portion of its sub-advisory fee (excluding 12b-1 fees) until at least February 29, 2017, so that such fees, on annual basis will have a range of 0.25%-1.05%, of the Fund’s aggregate average daily net assets of its Class N, Class A and Class C shares.

104

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

Each Fund’s Sub-Advisory Fulcrum Fee is calculated daily using an annual base Sub-Advisory fee of a specified amount of the average daily net assets of the Fund (the “Base Fee”), adjusted by the Fund’s Class N share performance relative to the Fund’s benchmark (the “Performance Fee”). Depending on a Fund’s net performance versus its benchmark, the Sub-Adviser will receive a fee adjustment in accordance with a formula that equates a percentage of out- or under-performance to a percentage of fee increases or decreases, respectively. In addition, most Fulcrum Fees employ a “null zone” around the base fee, whereby small differences in performance versus the benchmark will not trigger a fee increase or decrease. During the first 12 months of the Fulcrum Fee arrangement, the Performance Fee is calculated daily from inception date of the agreement to the calculation date and is applied to the average daily net assets of the Funds during the calculation period. After the initial 12 months, the Performance Fee is calculated on a daily basis based on comparative performance over a rolling 12-month period. All Funds, with the exception of Large Cap Value which is in its initial year of the Fulcrum Fee arrangement, are calculating Performance Fees on a rolling 12-month basis as of April 30, 2016.

Depending on the particular Sub-Advisory Agreement, the Performance Fee can adjust the Base Fee up or down by as much as 100% of the Base Fee, such that the Sub-Advisory fee can vary anywhere from 0.00% (the “Minimum Fee”) to twice the Base Fee (the “Maximum Fee”). However, because each such Sub-Advisory Agreement requires that the Sub-Adviser only be paid out the monthly Minimum Fee during the first year (in most cases, 0.10%), the Sub-Adviser, in most cases, will receive less compensation until the end of the first year. At the end of the first year of the agreement, the Sub-Adviser will be paid a lump sum that reflects the accrued Fulcrum Fee over the year, less any Minimum Fees paid out during the first year. Therefore, in the first year, the Fulcrum Fee methodology has three elements: 1) daily calculation of the Performance Fee and daily accrual of the Fulcrum Fee; 2) monthly payment of the Minimum Fee only (if any); and 3) a lump sum payment at the end of the initial 12-month period of the accrued Fulcrum Fee less the Minimum Fee.

By virtue of using average daily net assets over a “rolling” 12-month period for purposes of calculating the Performance Fee while using average daily net assets for the most recent month for purposes of calculating the Base Fee, the actual total Fulcrum Fee paid by the Fund to the Sub-Adviser may be higher or lower than the maximum or minimum annual rates described above if the average daily net assets do not remain constant during the rolling 12-month period. If the Fund is significantly underperforming versus the Index and the Fund’s net assets have declined significantly, the monthly total Fulcrum Fee can be a negative number (although the performance fee rate can never be negative, the Performance Fee can be negative). In such instances, if the negative Fulcrum Fee is not earned back or offset the following month, the Sub-Adviser must reimburse the Fund the amount of the negative Fulcrum Fee within an agreed upon time. Likewise, in the case where the Fund has significantly underperformed versus the Index but net assets have increased significantly, the monthly total Fulcrum Fee can be positive although the performance fee rate may be 0.00%. In such instances, the Fund will pay the Sub-Adviser the monthly Fulcrum Fee.

The table below lists the current Sub-Advisers along with their Fulcrum Fee arrangements.

105

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

				Null	Minimum	Maximum
Fund	Sub-Adviser	Benchmark	Base Fee	Zone	Fee	Fee
Floating Rate Bond	Newfleet Asset Management, LLC	S&P/LSTA Leveraged Loan Index	0.40%	+/- 0.00%	0.20%	0.60%
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 Aggregate Bond Index	0.30%	+/- 0.10%	0.15%	0.45%
Dynamic Macro	Mellon Capital Management Corporation	IQ Hedge Global Macro Beta Index	0.75%	+/- 0.00%	0.40%	1.10%
High-Yield Bond	PENN Capital Management Co., Inc.	BofA Merrill Lynch U.S. Non- Distressed BB-B High-Yield Index	0.40%	+/- 0.20%	0.20%	0.60%
International Opportunity Bond	Rogge Global Partners PLC	Barclays Global ex US Aggregate Bond Index	0.45%	+/- 0.00%	0.20%	0.70%
Appreciation & Income	PENN Capital Management Co., Inc.	Merrill Lynch All Convertibles All Qualities Index	0.45%	+/- 0.25%	0.20%	0.70%
Alternative Strategy	Market Concepts, LLC	Dow Jones Credit Suisse Managed Futures Liquid Index	0.50%	+/- 0.15%	0.30%	0.70%
Large Cap Value	Rothschild Asset Management, Inc.	Russell 1000 Value Index	0.30%	+/- 0.00%	0.10%	0.50%
Focused Large Cap Growth	The Ithaka Group, LLC	Russell 1000 Growth Index	0.35%	+/- 0.30%	0.20%	0.50%
International Stock	Arrowstreet Capital L.P.	MSCI All Country World Index ex USA (Net)	0.65%	+/- 0.20%	0.30%	1.00%
Real Estate Stock	Cornerstone Real Estate Advisers LLC	FTSE NAREIT All REITs Index	0.40%	+/- 0.00%	0.10%	0.70%
Small Cap Value	Piermont Capital Management, LLC	Russell 2000 Value Index	0.45%	+/- 0.00%	0.10%	0.80%
Emerging Markets Stock	Bailard, Inc.	MSCI Emerging Markets Index USD (Net)	0.50%	+/- 0.00%	0.10%	0.90%
Small Cap Growth	Pier Capital, LLC	Russell 2000 Growth Index	0.50%	+/- 0.20%	0.00%	1.00%

* Effective April 1, 2013, the Sub-Adviser had contractually agreed to waive a portion of its fee (excluding 12b-1 fees) until at least February 29, 2016, so

b. Administration, Fund Accounting and Transfer Agency Fees – Gemini Fund Services, LLC (“GFS” or the “Administrator”) serves as the administrator, fund accountant and transfer agent for the Funds. GFS receives from each Fund a monthly fee based on the combined average daily net assets at the following annual rates: 0.07% on the first $250 million of average net assets; 0.06% on average net assets between $250 million and $500 million; 0.05% on average net assets over $500 million; 0.3% on average net assets over $1 billion. Such fees are subject to an annual minimum of $400,000 in total for the entire Trust. For providing fund accounting services, the Administrator receives from each Fund a monthly fee based on the combined average daily net assets at the following rates: 0.03% on the first $500 million of average net assets; 0.01% on average net assets over $500 million. Such fees are subject to an annual minimum $300,000 in total for the entire Trust. For providing transfer agent services, the Administrator receives from the Trust a minimum annual fee of $200,000.

Pursuant to the terms of a Custody Administration Agreement, Monthly Distribution pays GFS a monthly fee of $300.

Blu Giant, LLC, (“Blu Giant”), (formally “Gemcom”), an affiliate of GFS, provides EDGAR conversion and filing services as well as some print management services for the Funds on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Funds.

An officer of GFS is also an officer of the Trust and is not paid by the Trust.

c. Distributor – The Distributor of the Funds is Dunham & Associates (the “Distributor”). The Funds have adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act, for Class A and Class C shares. The Plan provides for the monthly payment of a distribution fee to the Distributor or other entities at an annualized rate of 0.75% for the equity Funds and 0.50% for the fixed-income Funds, based on the average daily net assets attributable to Class C shares, and 0.25% of the average daily net assets attributable to Class A shares. In addition, the Funds have adopted a Shareholder Servicing Plan which provides for the payment of a shareholder service fee at an annualized rate of up to 0.25% of the average daily net assets attributable to the Class C shares. Class N shares do not pay 12b-1 distribution or shareholder servicing fees.

106

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

d. Trustees’ Fees – The Board has approved the following Trustee compensation schedule: Each Trustee who is not an interested person of the trust will receive $4,250 for each Board meeting attended in-person; $250 for all telephonic Board meetings; $500 for in-person committee meetings and $250 for telephonic committee meetings, unless the committee meeting is on the same day as a Board meeting, in which case the Trustee will not be compensated. The Funds also reimburse each such Trustee for travel and other expenses incurred in attending meetings of the Board.

With the exception of the Trust’s Chief Compliance Officer as discussed below, officers of the Trust and Trustees who are interested persons of the Trust do not receive any compensation from the Trust or any other Funds managed by the Adviser. The Trust has agreed to pay the Adviser a fee in the amount of $142,000 per annum plus an annual discretionary bonus as may be awarded as compensation for providing an officer or employee of the Adviser to serve as Chief Compliance Officer for the Funds (each Fund bearing its pro rata share of the fee), plus the cost of reasonable expenses related to the performance of the Chief Compliance Officer’s duties, including travel expenses, and may compensate the Adviser for the time of other officers or employees of the Adviser who serve in other compliance capacities for the Funds.

e. Other Affiliates – During the six months ended April 30, 2016, Gar Wood Securities, LLC a registered broker/dealer and an affiliate of the Market Concepts, LLC, Alternative Strategy’s Sub-Adviser, executed trades on behalf of Alternative Strategy. The affiliated broker for Alternative Strategy received $148,018 in trade commissions for the six months ended April 30, 2016.

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, 2016 were as follows:

	Purchases		Sale Proceeds				Proceeds of
	(excluding U.S.		(excluding U.S.		Purchases of		U.S.
	Government		Government		U.S. Government		Government
Fund	Securities)		Securities)		Securities		Securities
Floating Rate Bond	$	19,621,839	$	18,936,398	$	—	$	—
Monthly Distribution		322,500,030		326,246,999		—		—
Corporate/Government Bond		17,890,325		22,766,816		6,313,547		3,743,287
Dynamic Macro		13,731,822		7,065,527		—		—
High-Yield Bond		23,586,933		34,196,100		—		—
International Opportunity Bond		8,550,921		16,652,578		—		—
Appreciation & Income		5,683,935		7,871,438		—		—
Alternative Strategy		726,997,490		732,748,690		—		—
Large Cap Value		15,915,494		17,587,934		—		—
Focused Large Cap Growth		13,906,033		9,585,081		—		—
International Stock		54,114,449		56,611,073		—		—
Real Estate Stock		16,680,102		22,646,788		—		—
Small Cap Value		15,786,425		16,057,135		—		—
Emerging Markets Stock		28,575,180		28,149,043		—		—
Small Cap Growth		24,888,757		22,220,409		—		—

107

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

Transactions in option contracts purchased/written during the six months ended April 30, 2016 were as follows:

Monthly Distribution

	Options Purchased						Options Written
	Contracts			Premium			Contracts			Premium
Outstanding at October 31, 2015		29,327		$	3,546,892			42,025		$	8,570,827
Options purchased/written during period		75,572			11,592,244			88,021			17,307,001
Options exercised during period		(4,571	)		(2,266,417	)		(8,996	)		(1,550,793	)
Options expired during period		(37,056	)		(2,784,178	)		(20,763	)		(2,620,985	)
Options closed during period		(37,304	)		(6,615,253	)		(75,469	)		(15,497,469	)
Outstanding at April 30, 2016		25,968		$	3,473,288			24,818		$	6,208,581

Dynamic Macro

	Options Purchased						Options Written
	Contracts			Premium			Contracts			Premium
Outstanding at October 31, 2015		351		$	1,883,439			70		$	18,703
Options purchased/written during period		1,545			5,425,036			320			80,279
Options exercised during period		—			—			—			—
Options expired during period		(1,113	)		(4,498,307	)		(210	)		(56,791	)
Options closed during period		(274	)		(200,909	)		(30	)		(7,507	)
Outstanding at April 30, 2016		509		$	2,609,259			150		$	34,684

5. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

The identified cost of investments in securities owned by each Fund for federal income tax purposes, and its respective gross unrealized appreciation and depreciation at April 30, 2016, were as follows:

			Gross		Gross			Net Unrealized
	Tax		Unrealized		Unrealized			Appreciation
Fund	Cost		Appreciation		Depreciation			(Depreciation)
Floating Rate Bond	$	90,683,918	$	379,956	$	(1,932,053	)	$	(1,552,097	)
Monthly Distribution		297,891,731		9,796,848		(28,408,146	)		(18,611,298	)
Corporate/Government Bond		53,928,789		1,404,268		(485,685	)		918,583
Dynamic Macro		36,180,912		983,919		(304,430	)		679,489
High-Yield Bond		93,601,420		2,062,060		(1,366,533	)		695,527
International Opportunity Bond		38,963,131		142,690		(2,979,318	)		(2,836,628	)
Appreciation & Income		29,060,672		293,967		(3,065,624	)		(2,771,657	)
Alternative Strategy		22,409,849		57,898		(359,734	)		(301,836	)
Large Cap Value		59,357,383		7,177,139		(2,613,491	)		4,563,648
Focused Large Cap Growth		52,697,568		13,036,169		(1,531,245	)		11,504,924
International Stock		94,147,836		3,846,293		(8,148,548	)		(4,302,255	)
Real Estate Stock		41,216,457		7,981,858		(35,045	)		7,946,813
Small Cap Value		31,239,050		1,781,836		(1,694,570	)		87,266
Emerging Markets Stock		53,807,670		4,586,255		(2,496,916	)		2,089,339
Small Cap Growth		30,393,643		2,988,579		(926,501	)		2,062,078

108

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

6. FORWARD FOREIGN CURRENCY CONTRACTS

At April 30, 2016, Monthly Distribution, International Opportunity Bond, Dynamic Macro and International Stock had the following open forward foreign currency contracts:

Monthly Distribution:

							Unrealized
	Settlement		Local		U.S. Dollar		Appreciation
Foreign Currency	Date	Counterparty	Currency		Value		(Depreciation)
To Sell:
British Pound	4/20/2016	JP Morgan		2,141	$	2,191	$	51
Euro	5/4/2016	JP Morgan		2,140,474		2,154,150		13,676
Australian Dollar	6/7/2016	JP Morgan		5,338		5,606		268
					$	2,161,947	$	13,995

Monthly Distribution:

							Unrealized
	Settlement		Local		U.S. Dollar		Appreciation
Foreign Currency	Date	Counterparty	Currency		Value		(Depreciation)
To Sell:
Euro	5/4/2016	JP Morgan		1,880,988	$	2,130,652	$	(23,498	)
British Pound	4/20/2016	JP Morgan		1,503		2,134		(62	)
Australian Dollar	6/7/2016	JP Morgan		3,735,370		2,731,829		(103,652	)
Euro	6/14/2016	JP Morgan		595,440		671,144		(11,659	)
Hong Kong Dollar	6/15/2016	JP Morgan		40,576,420		5,236,037		2,707
British Pound	7/21/2016	JP Morgan		107,644		153,492		(3,834	)
Swedish Krona	8/10/2016	JP Morgan		23,411,766		2,800,771		(125,833	)
British Pound	10/4/2016	JP Morgan		5,727,127		8,044,388		(193,234	)
					$	21,770,447	$	(459,065	)

International Opportunity Bond:

							Unrealized
	Settlement		Local		U.S. Dollar		Appreciation
Foreign Currency	Date	Counterparty	Currency		Value		(Depreciation)
To Buy:
Australian Dollar	6/20/2016	Barclays		810,000	$	616,800	$	(3,127	)
Australian Dollar	6/20/2016	Citigroup		52,626		40,074		478
British Pound	6/20/2016	Barclays		87,300		127,906		3,519
British Pound	6/20/2016	Citigroup		516,321		756,481		24,656
Canadian Dollar	6/20/2016	Barclays		429,995		343,283		16,759
Canadian Dollar	6/20/2016	Citigroup		657,274		524,729		25,617
Czech Koruna	6/14/2016	Barclays		1,780,000		75,459		3,895
Euro	6/20/2016	Barclays		352,732		404,659		3,429
Euro	6/20/2016	Citigroup		392,696		450,510		3,655
Indonesian Rupiah	6/14/2016	Citigroup		4,080,000,000		307,057		(844	)
Israeli Shekel	6/14/2016	Citigroup		380,000		101,893		3,913
Japanese Yen	6/20/2016	Barclays		199,245,587		1,864,928		57,763
Japanese Yen	6/20/2016	Citigroup		51,572,671		482,717		13,363
Malaysian Ringgit	6/14/2016	Citigroup		680,000		173,439		10,728
New Zealand Dollar	6/20/2016	Barclays		140,863		98,224		2,904
Norwegian Krone	6/20/2016	Citigroup		650,053		80,707		2,745
Polish Zloty	6/14/2016	Barclays		220,000		57,537		2,482
Russian Ruble	6/14/2016	Citigroup		68,459,000		1,045,123		77,651
Singapore Dollar	6/14/2016	Barclays		120,000		89,191		3,794
Singapore Dollar	6/14/2016	Citigroup		40,000		29,730		1,267
South African Rand	6/14/2016	Barclays		70,000		4,889		536
South African Rand	6/14/2016	Citigroup		1,930,000		134,809		14,768
Turkish Lira New	6/14/2016	Citigroup		300,000		105,993		7,035
					$	7,916,138	$	276,986

109

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

International Opportunity Bond:

									Unrealized
	Settlement		Local			U.S. Dollar			Appreciation
Foreign Currency	Date	Counterparty	Currency			Value			(Depreciation)
To Sell:
British Pound	6/20/2016	Barclays		(434,504	)	$	(636,606	)	$	(23,207	)
British Pound	6/20/2016	Citigroup		(180,476	)		(264,421	)		(9,125	)
Canadian Dollar	6/20/2016	Deutsche		(40,000	)		(31,934	)		(657	)
Danish Krone	6/20/2016	Barclays		(1,058,202	)		(163,106	)		(1,099	)
Euro	6/14/2016	Barclays		(116,263	)		(133,350	)		(6,731	)
Euro	6/20/2016	Barclays		(649,910	)		(745,591	)		(6,215	)
Euro	6/20/2016	Citigroup		(412,697	)		(473,455	)		(3,758	)
Israeli Shekel	6/14/2016	Barclays		(110,000	)		(29,495	)		(1,138	)
Japanese Yen	6/20/2016	Citigroup		(28,843,296	)		(269,972	)		(4,111	)
Malaysian Ringgit	6/14/2016	Deutsche		(1,410,000	)		(359,630	)		2,373
Mexican Peso	6/14/2016	Barclays		(11,965,991	)		(695,365	)		(32,771	)
Mexican Peso	6/14/2016	Citigroup		(2,225,834	)		(129,347	)		(3,305	)
Polish Zloty	6/14/2016	Barclays		(60,000	)		(15,692	)		(727	)
Russian Ruble	6/14/2016	Barclays		(2,510,000	)		(38,319	)		(2,021	)
Russian Ruble	6/14/2016	Citigroup		(43,040,000	)		(657,066	)		(21,803	)
South African Rand	6/14/2016	Citigroup		(440,000	)		(30,734	)		(2,461	)
South Korean Won	6/14/2016	Barclays		(159,375,000	)		(139,778	)		(8,526	)
Swedish Krona	6/20/2016	Barclays		(1,820,836	)		(227,403	)		(3,145	)
Swiss Franc	6/20/2016	Citigroup		(130,647	)		(136,623	)		17
Taiwan Dollar	6/14/2016	Citigroup		(41,366,000	)		(1,283,124	)		(41,331	)
						$	(6,461,011	)	$	(169,741	)

110

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

International Stock:

							Unrealized
	Settlement		Local		U.S. Dollar		Appreciation
Foreign Currency	Date	Counterparty	Currency		Value		(Depreciation)
To Buy:
Australian Dollar	6/15/2016	Bank of New York/Mellon	$	34,971	$	26,636	$	—
Australian Dollar	6/15/2016	Royal Bank of Scotland		6,549,774		4,988,625		116,850
Australian Dollar	6/15/2016	Royal Bank of Scotland		339,762		258,779		(2,527	)
Australian Dollar	6/15/2016	UBS		17,800		13,557		—
Brazilian Real	5/2/2016	USB		1,420,987		411,785		—
British Pound	6/15/2016	Bank of New York/Mellon		5,440,109		7,970,357		241,285
British Pound	6/15/2016	Royal Bank of Scotland		6,240		9,142		—
British Pound	6/15/2016	UBS		27,434		40,194		—
Canadian Dollar	6/15/2016	Bank of New York/Mellon		498,591		398,046		22,710
Canadian Dollar	6/15/2016	UBS		4,376,284		3,493,768		—
Danish Krone	6/15/2016	UBS		9,758,275		1,503,830		41,829
Euro	6/15/2016	Bank of New York/Mellon		2,824,062		3,239,179		66,052
Euro	6/15/2016	Royal Bank of Scotland		280,038		321,209		7,974
Euro	6/15/2016	UBS		217,030		248,938		1,704
Hong Kong Dollar	6/15/2016	Bank of New York/Mellon		1,079,215		139,185		281
Hong Kong Dollar	6/15/2016	Bank of New York/Mellon		1,686,273		217,476		(114	)
Hong Kong Dollar	6/15/2016	Royal Bank of Scotland		13,539,833		1,746,215		—
Hong Kong Dollar	6/15/2016	UBS		870,298		112,241		4
Israeli Shekel	6/15/2016	Bank of New York/Mellon		206,872		55,472		—
Israeli Shekel	6/15/2016	UBS		932,519		250,052		10,674
Japanese Yen	5/6/2016	Bank of New York/Mellon		14,770,780		138,070		—
Japanese Yen	6/15/2016	Bank of New York/Mellon		197,389,176		1,847,215		87,010
Japanese Yen	5/9/2016	Citigroup		21,472,310		200,727		—
Japanese Yen	6/15/2016	UBS		41,659,560		389,860		22,261
Mexican Peso	5/2/2016	Citigroup		584,271		34,110		—
New Zealand Dollar	6/15/2016	Bank of New York/Mellon		41,056		28,636		685
New Zealand Dollar	6/15/2016	Royal Bank of Scotland		259,819		181,221		—
Norwegian Krone	6/15/2016	Bank of New York/Mellon		1,319,676		163,848		—
Norwegian Krone	6/15/2016	Royal Bank of Scotland		73,711		9,152		—
Singapore Dollar	6/15/2016	Bank of New York/Mellon		1,026,746		763,129		19,838
Singapore Dollar	6/15/2016	Royal Bank of Scotland		11,935		8,871		—
Singapore Dollar	6/15/2016	UBS		12,406		9,221		—
Singapore Dollar	6/15/2016	UBS		16,412		12,198		—
South African Rand	5/5/2016	Bank of New York/Mellon		424,238		29,883		—
South African Rand	5/3/2016	Royal Bank of Scotland		792,331		55,836		—
South African Rand	5/4/2016	Royal Bank of Scotland		961,589		67,749		—
South Korean Won	5/2/2016	USB		69,878,696		61,329		—
Swedish Krona	6/15/2016	Bank of New York/Mellon		2,288,309		285,728		3,120
Swedish Krona	6/15/2016	UBS		2,013,955		251,471		—
Swiss Franc	6/15/2016	Bank of New York/Mellon		603,935		631,404		5,219
Swiss Franc	6/15/2016	UBS		38,812		40,577		—
Swiss Franc	6/15/2016	USB		30,733		32,131		6
					$	30,687,055	$	644,861

111

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

International Stock:

									Unrealized
	Settlement		Local			U.S. Dollar			Appreciation
Foreign Currency	Date	Counterparty	Currency			Value			(Depreciation)
To Sell:
Australian Dollar	6/15/2016	Bank of New York/Mellon		(63,193	)	$	(48,131	)	$	(979	)
Australian Dollar	6/15/2016	Bank of New York/Mellon		(137,080	)		(104,407	)		421
Australian Dollar	6/15/2016	UBS		(255,695	)		(194,750	)		(3,333	)
Brazilian Real	5/2/2016	USB		(47,851	)		(13,867	)		(355	)
British Pound	6/15/2016	Bank of New York/Mellon		(759,974	)		(1,113,445	)		(31,369	)
British Pound	6/15/2016	UBS		(41,414	)		(60,676	)		(1,830	)
Canadian Dollar	5/2/2016	Bank of New York/Mellon		(16,171	)		(12,910	)		(38	)
Canadian Dollar	6/15/2016	Bank of New York/Mellon		(1,578,201	)		(1,259,941	)		(69,799	)
Canadian Dollar	6/15/2016	USB		(93,903	)		(74,967	)		(3,053	)
Danish Krone	6/15/2016	Bank of New York/Mellon		(20,400,632	)		(3,143,905	)		(128,476	)
Euro	6/15/2016	Bank of New York/Mellon		(184,999	)		(212,198	)		(9,695	)
Euro	6/15/2016	Royal Bank of Scotland		(6,476,101	)		(7,428,219	)		(294,426	)
Hong Kong Dollar	6/15/2016	Bank of New York/Mellon		(78,674	)		(10,146	)		(13	)
Hong Kong Dollar	6/15/2016	UBS		(136,969	)		(17,665	)		(1	)
Israeli Shekel	6/15/2016	Royal Bank of Scotland		(2,350,140	)		(630,183	)		(26,393	)
Japanese Yen	5/2/2016	Bank of New York/Mellon		(34,552,287	)		(322,934	)		(12,393	)
Japanese Yen	6/15/2016	Bank of New York/Mellon		(286,730,399	)		(2,683,292	)		(144,817	)
Japanese Yen	5/6/2016	Citigroup		(21,102,362	)		(197,255	)		(2,920	)
Japanese Yen	6/15/2016	UBS		(11,641,494	)		(108,944	)		(2,701	)
New Zealand Dollar	6/15/2016	Royal Bank of Scotland		(13,186	)		(9,197	)		(180	)
New Zealand Dollar	6/15/2016	UBS		(12,892	)		(8,992	)		(222	)
Norwegian Krone	6/15/2016	Bank of New York/Mellon		(9,685,409	)		(1,202,522	)		(63,527	)
Norwegian Krone	6/15/2016	UBS		(571,827	)		(70,997	)		(3,994	)
Singapore Dollar	6/15/2016	UBS		(25,869	)		(19,227	)		(320	)
South Korean Won	5/2/2016	USB		(14,296,649	)		(12,548	)		(97	)
Swedish Krona	6/15/2016	Bank of New York/Mellon		(10,636,523	)		(1,328,122	)		(69,376	)
Swedish Krona	6/15/2016	UBS		(9,400,853	)		(1,173,832	)		(62,456	)
Swedish Krona	6/15/2016	USB		(334,056	)		(41,712	)		(506	)
Swiss Franc	6/15/2016	Bank of New York/Mellon		(597,702	)		(624,888	)		(22,391	)
Swiss Franc	6/15/2016	UBS		(2,720,396	)		(2,844,130	)		(107,451	)
						$	(24,974,002	)	$	(1,062,690	)

7. SHARES OF BENEFICIAL INTEREST

At April 30, 2016, each Fund had an unlimited number of shares authorized with no par value.

Following is a summary of shareholder transactions for each Fund for the six months ended April 30, 2016 and the year ended and October 31, 2015, respectively:

112

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

For the Six Months Ended April 30, 2016:

	Class N Shares										Class A Shares
								Net Increase										Net Increase
			Distributions					(Decrease) in					Distributions					(Decrease) in
Fund	Issued		Reinvested		Redeemed			Shares			Issued		Reinvested		Redeemed			Shares
Floating Rate Bond		1,026,178		123,862		(1,099,294	)		50,746			221,375		12,590		(167,937	)		66,028
Monthly Distribution		415,269		71,996		(777,347	)		(290,082	)		168,519		27,384		(664,005	)		(468,102	)
Corporate/Government Bond		490,242		46,254		(445,404	)		91,092			157,154		4,830		(105,442	)		56,542
Dynamic Macro		621,947		—		(308,913	)		313,034			206,861		—		(156,603	)		50,258
High-Yield Bond		671,503		212,105		(953,637	)		(70,029	)		173,282		22,125		(153,611	)		41,796
International Opportunity Bond		207,572		2,986		(930,749	)		(720,191	)		59,873		159		(129,793	)		(69,761	)
Appreciation & Income		276,644		145,362		(326,820	)		95,186			45,733		23,349		(31,085	)		37,997
Alternative Strategy		94,509		—		(61,010	)		33,499			13,956		—		(7,020	)		6,936
Large Cap Value		308,796		968,124		(367,094	)		909,826			78,947		138,870		(79,711	)		138,106
Focused Large Cap Growth		445,051		17,116		(300,944	)		161,223			216,455		3,304		(83,849	)		135,910
International Stock		239,451		3,084		(304,510	)		(61,975	)		113,221		—		(86,293	)		26,928
Real Estate Stock		118,855		184,156		(400,790	)		(97,779	)		41,331		57,555		(76,979	)		21,907
Small Cap Value		97,528		52,868		(136,751	)		13,645			43,010		8,834		(46,841	)		5,003
Emerging Markets Stock		704,872		25,824		(486,499	)		244,197			110,557		1,850		(75,370	)		37,037
Small Cap Growth		290,028		124,708		(122,170	)		292,566			55,173		24,091		(56,076	)		23,188
	Class C Shares
								Net Increase
			Distributions					(Decrease)
Fund	Issued		Reinvested		Redeemed			in Shares
Floating Rate Bond		72,755		4,719		(49,647	)		27,827
Monthly Distribution		133,217		26,541		(354,079	)		(194,321	)
Corporate/Government Bond		31,524		2,841		(43,853	)		(9,488	)
Dynamic Macro		69,976		—		(26,804	)		43,172
High-Yield Bond		57,532		17,460		(174,903	)		(99,911	)
International Opportunity Bond		13,371		12		(65,776	)		(52,393	)
Appreciation & Income		106,227		28,776		(193,121	)		(58,118	)
Alternative Strategy		8,562		—		(7,024	)		1,538
Large Cap Value		31,762		136,802		(64,211	)		104,353
Focused Large Cap Growth		96,452		1,886		(62,357	)		35,981
International Stock		45,230		—		(54,339	)		(9,109	)
Real Estate Stock		19,226		20,451		(51,431	)		(11,754	)
Small Cap Value		16,667		7,074		(18,822	)		4,919
Emerging Markets Stock		41,333		—		(40,273	)		1,060
Small Cap Growth		24,868		24,004		(23,227	)		25,645

113 

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

Year Ended October 31, 2015:

	Class N Shares										Class A Shares
								Net Increase										Net Increase
			Distributions					(Decrease) in					Distributions					(Decrease) in
Fund	Issued		Reinvested		Redeemed			Shares			Issued		Reinvested		Redeemed			Shares
Floating Rate Bond		2,743,474		235,935		(1,738,796	)		1,240,613			762,696		27,014		(1,278,597	)		(488,887	)
Monthly Distribution		1,565,620		133,194		(1,305,539	)		393,275			877,718		55,831		(959,070	)		(25,521	)
Corporate/Government Bond		845,565		103,425		(998,123	)		(49,133	)		196,543		8,530		(117,162	)		87,911
Dynamic Macro		1,956,574		—		(267,309	)		1,689,265			224,440		—		(67,122	)		157,318
High-Yield Bond		1,563,647		443,465		(3,951,501	)		(1,944,389	)		792,543		58,311		(2,010,978	)		(1,160,124	)
International Opportunity Bond		1,385,937		2,121		(2,208,993	)		(820,935	)		499,486		115		(503,468	)		(3,867	)
Appreciation & Income		708,844		362,827		(471,083	)		600,588			175,495		65,318		(174,098	)		66,715
Alternative Strategy		407,011		—		(164,945	)		242,066			88,643		—		(100,328	)		(11,685	)
Large Cap Value		620,117		19,465		(491,285	)		148,297			166,148		2,513		(239,724	)		(71,063	)
Alternative Income		113,565		7,349		(157,679	)		(36,765	)		20,645		4,600		(20,095	)		5,150
Focused Large Cap Growth		1,177,969		—		(625,830	)		552,139			626,283		—		(1,443,105	)		(816,822	)
International Stock		2,084,717		92,841		(543,221	)		1,634,337			302,319		10,011		(195,629	)		116,701
Real Estate Stock		525,476		100,754		(817,583	)		(191,353	)		476,856		27,523		(167,669	)		336,710
Small Cap Value		348,595		101,946		(443,428	)		7,113			96,740		13,178		(54,638	)		55,280
Emerging Markets Stock		1,440,620		33,977		(327,502	)		1,147,095			197,080		3,384		(87,560	)		112,904
Small Cap Growth		363,216		107,442		(309,334	)		161,324			111,426		24,863		(127,706	)		8,583
	Class C Shares
								Net Increase
			Distributions					(Decrease) in
Fund	Issued		Reinvested		Redeemed			Shares
Floating Rate Bond		134,346		9,176		(114,562	)		28,960
Monthly Distribution		660,112		50,517		(542,015	)		168,614
Corporate/Government Bond		71,275		6,301		(69,409	)		8,167
Dynamic Macro		68,579		—		(46,093	)		22,486
High-Yield Bond		147,503		39,862		(377,837	)		(190,472	)
International Opportunity Bond		74,858		—		(84,776	)		(9,918	)
Appreciation & Income		243,786		75,929		(120,326	)		199,389
Alternative Strategy		16,033		—		(24,003	)		(7,970	)
Large Cap Value		69,089		—		(59,967	)		9,122
Alternative Income		66,949		3,224		(38,172	)		32,001
Focused Large Cap Growth		75,706		—		(54,770	)		20,936
International Stock		133,023		6,655		(56,755	)		82,923
Real Estate Stock		56,624		10,900		(82,900	)		(15,376	)
Small Cap Value		27,913		11,766		(31,345	)		8,334
Emerging Markets Stock		85,900		1,420		(59,863	)		27,457
Small Cap Growth		41,709		21,228		(50,521	)		12,416

114 

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

8. DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

The tax character of dividends paid during the year ended October 31, 2015 and October 31, 2014 was as follows:

	For the period year October 31, 2015								For the period ended October 31, 2014
	Ordinary		Long-Term		Return of				Ordinary		Long-Term		Return of
Fund	Income		Capital Gains		Capital		Total		Income		Capital Gains		Capital		Total
Floating Rate Bond	$	2,676,918	$	—	$	—	$	2,676,918	$	1,836,066	$	—	$	—	$	1,836,066
Monthly Distribution		6,276,573		—		3,563,401		9,839,974		6,127,602		4,836,787		1,672,242		12,636,631
Corporate/Government Bond		1,657,557		—		—		1,657,557		1,609,392		223,663		—		1,833,055
Dynamic Macro		—		—		—		—		171,273		—		—		171,273
High- Yield Bond		5,267,075		—		—		5,267,075		6,632,924		—		—		6,632,924
International Opportunity Bond		—		—		21,370		21,370		—		—		236,377		236,377
Appreciation & Income		821,516		3,916,874		—		4,738,390		300,034		—		—		300,034
Alternative Strategy		—		—		—		—		—		—		—		—
Large Cap Value		365,644		—		—		365,644		488,166		—		—		488,166
Alternative Income		112,295		93,728		—		206,023		42,433		191,793		—		234,226
Focused Large Cap Growth		—		—		—		—		156,567		22,778		—		179,345
International Stock		1,350,442		267,504		—		1,617,946		986,428		—		—		986,428
Real Estate Stock		1,742,000		1,031,723		—		2,773,723		441,893		935,096		—		1,376,989
Small Cap Value		1,508,308		390,462		—		1,898,770		20,015		1,033,666		—		1,053,681
Emerging Markets Stock		537,526		—		—		537,526		—		—		—		—
Small Cap Growth		407,082		2,332,537		—		2,739,619		3,200,033		1,364,027		—		4,564,060

Permanent book and tax differences, primarily attributable to the reclass of net operating losses and short-term capital gains, and fund distributions and adjustments for non-deductible expenses, book/tax treatment of foreign currency exchange gains (losses), section 305(c) deemed dividend distributions, paydown gains (losses), C Corp return of capital, swap gains (losses), passive foreign investment companies, reclassifications of gains on contingent payment debt securities, real estate investment trusts, partnerships, grantor trusts, royalty trusts, corporation mergers, and the capitalization of in lieu dividend payments made in connection with short sales of stock that have not been held open for more than 45 days resulted in reclassification for the tax year ended October 31, 2015 as follows:

	Paid			Accumulated			Accumulated
	In			Net Investment			Net Realized
Fund	Capital			Income (Loss)			Gains (Loss)
Floating Rate Bond	$	—		$	24,517		$	(24,517	)
Monthly Distribution		(647,128	)		(667,232	)		1,314,360
Corporate/Government Bond		—			80,502			(80,502	)
Dynamic Macro		—			324,935			(324,935	)
High-Yield Bond		—			—			—
International Opportunity Bond		(2,610,135	)		(362,263	)		2,972,398
Appreciation & Income		—			303,984			(303,984	)
Alternative Strategy		(206,092	)		168,574			37,518
Large Cap Value		—			—			—
Alternative Income		—			(44,208	)		44,208
Focused Large Cap Growth		(456,232	)		456,232			—
International Stock		—			214,103			(214,103	)
Real Estate Stock		—			—			—
Small Cap Value		—			80,269			(80,269	)
Emerging Markets Stock		—			(110,189	)		110,189
Small Cap Growth		—			481,979			(481,979	)

Net assets were unaffected by the above reclassifications.

As of each of the Fund’s tax year-ended October 31, 2015, the components of distributable earnings on a tax basis were as follows:

115 

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

	Undistributed		Undistributed		Capital Loss			Other						Unrealized			Total
	Ordinary		Long-Term		Carry			Book/Tax						Appreciation			Accumulated
Fund	Income		Capital Gains		Forwards			Differences			Late Year Loss			(Depreciation)			Earnings(Deficits
Floating Rate Bond	$	27,400	$	—	$	(1,082,415	)	$	—		$	—		$	(2,394,107	)	$	(3,449,122	)
Monthly Distribution		—		—		—			(737,546	)		(1,099,608	)		(20,826,636	)		(22,663,790	)
Corporate/Government Bond		17,268		—		(1,348,743	)		(926	)		—			37,350			(1,295,051	)
Dynamic Macro		—		—		(1,327,645	)		—			(42,659	)		970,234			(400,070	)
High-Yield Bond		108,995		—		(8,071,244	)		—			—			(1,801,140	)		(9,763,389	)
International Opportunity Bond		—		—		(70,916	)		—			—			(2,895,223	)		(2,966,139	)
Appreciation & Income		1,513,898		6,372		—			—			—			(1,472,919	)		47,351
Alternative Strategy		—		—		(1,198,728	)		—			(126,022	)		294,623			(1,030,127	)
Large Cap Value		373,351		14,258,077		—			—			—			4,756,579			19,388,007
Alternative Income		81,323		—		(140,427	)		—			—			(116,082	)		(175,186	)
Focused Large Cap Growth		—		381,547		—			—			(612,912	)		14,663,002			14,431,637
International Stock		43,150		—		(747,547	)		—			—			820,919			116,522
Real Estate Stock		1,880,234		2,657,565		—			—			—			6,819,972			11,357,771
Small Cap Value		51,644		847,192		—			—			—			646,264			1,545,100
Emerging Markets Stock		117,530		—		(8,131,742	)		—			—			(903,187	)		(8,917,399	)
Small Cap Growth		911,397		1,784,747		—			—			—			1,896,146			4,592,290

The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income/(loss) and accumulated net realized gain (loss) from security transactions are primarily attributable to the tax deferral of losses on wash sales and straddles, adjustments for gains on contingent convertible debt securities, the mark-to-market treatment of open forward foreign currency contracts, options, futures and swap contracts, and adjustments for section 305(c) deemed dividend distributions, accrued dividend payable, real estate investment trusts, partnerships, passive foreign investment companies, royalty trusts, constructive sales of securities held short, straddles and C Corporation return of capital distributions. In addition, the amount listed under other book/tax differences for the Monthly Distribution Fund is primarily attributable to the tax deferral of losses on straddles and constructive sales.

Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Funds incurred and elected to defer such late year losses as follows:

	Late Year
Fund	Losses
Floating Rate Bond		—
Monthly Distribution		1,099,608
Corporate/Government Bond		—
Dynamic Macro		42,659
High-Yield Bond		—
International Opportunity Bond		—
Appreciation & Income		—
Alternative Strategy		126,022
Large Cap Value		—
Alternative Income		—
Focused Large Cap Growth		612,912
International Stock		—
Real Estate Stock		—
Small Cap Value		—
Emerging Markets Stock		—
Small Cap Growth		—

116 

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

At October 31, 2015, the following Funds had capital loss carryforwards for federal income tax purposes available to offset future capital gains through the indicated expiration date as follows:

	Expiring October 31,				Non-Expiring		Non-Expiring
Fund	2017		2019		Short-Term		Long-Term		Total
Floating Rate Bond					$	476,057	$	606,358	$	1,082,415
Monthly Distribution						—		—		—
Corporate/Government Bond						637,440		711,303		1,348,743
Dynamic Macro				152,058		1,009,210		166,377		1,327,645
High-Yield Bond		3,403,542				1,925,789		2,741,913		8,071,244
International Opportunity Bond						70,916		—		70,916
Appreciation & Income										—
Alternative Strategy						1,198,728				1,198,728
Large Cap Value										—
Alternative Income						140,427				140,427
Focused Large Cap Growth						—		—		—
International Stock						747,547				747,547
Real Estate Stock										—
Small Cap Value										—
Emerging Markets Stock		3,386,845		351,019		3,996,932		396,946		8,131,742
Small Cap Growth										—

For Monthly Distribution, $674,128 of capital loss carryforward expired in the current fiscal year.

9. LINE OF CREDIT

Currently, the Funds have a $40,000,000 uncommitted line of credit provided by U.S. Bank National Association (the “Bank”) under an agreement (the “Uncommitted Line”). Any advance under the Uncommitted Line is contemplated primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable on an annualized basis. The Uncommitted Line is not a “committed” line of credit, which is to say that the Bank is not obligated to lend money to a Fund. Accordingly, it is possible that a Fund may wish to borrow money for a temporary or emergency purpose but may not be able to do so.

10. SECURITIES LENDING

The Funds have entered into a Securities Lending Agreement (“Agreement”) with the Bank. Each participating fund can lend their securities to brokers, dealers and other financial institutions approved by the Board to earn additional income. Loans are collateralized at a value at least equal to 105% of the then current Market Value of any loaned security that are foreign, or 102% of the then current market value of any other loaned security. All interest and dividend payments received on securities which are held as collateral, provided that there is no material default, will be paid to the respective Fund. A portion of the income generated by the investment in the collateral, net of any rebates paid by the Bank to the borrowers is remitted to the Bank as lending agent and the remainder is paid to the Fund(s).

Securities lending income, if any, is disclosed in the Fund’s Statement of Operations. Although risk is mitigated by the collateral, the Fund could experience a delay in recovering its securities and possible loss of income or value if the Borrower fails to return them. Should the borrower of the securities fail financially, each Fund has the right to repurchase the securities using the collateral in the open market.

117 

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2016 (Continued)

The following table presents financial instruments that are subject to enforceable netting arrangements as of April 30, 2016.

Gross Amounts of Assets Presented in the Statements of Assets and Liabilities
	Market Value of		Market Value of		Percentage of Total
Fund	Loaned Securities		collateral (1)		Investment Income
Floating Rate Bond	$	103,583	$	103,583		0.00	%
Monthly Distribution		8,949,290		8,949,290		0.00	%
Corporate/Government Bond		2,333,746		2,333,746		0.00	%
Dynamic Macro		—		—		0.00	%
High-Yield Bond		13,672,961		13,672,961		0.00	%
International Opportunity Bond		—		—		0.00	%
Appreciation & Income		2,688,014		2,688,014		0.00	%
Alternative Strategy		—		—		0.00	%
Large Cap Value		16,460,333		16,460,333		0.00	%
Focused Large Cap Growth		12,339,117		12,339,117		0.00	%
International Stock		4,425,130		4,425,130		0.00	%
Real Estate Stock		6,928,648		6,928,648		0.00	%
Small Cap Value		3,990,033		3,990,033		0.00	%
Emerging Markets Stock		1,695,275		1,695,275		0.00	%
Small Cap Growth		11,617,520		11,617,520		0.00	%
(1)   The amount is limited to the loaned securities and accordingly, does not include excess collateral pledged

12. SUBSEQUENT EVENTS

Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has concluded that there is no impact requiring adjustment or disclosure in the financial statements relating to the Funds presented in this report.

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FACTORS CONSIDERED BY THE INDEPENDENT TRUSTEES IN APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS

Meeting of the Board of Trustees Held on December 15, 2015

At a regular meeting of the Board of Trustees (the “Board”) of the Trust held on December 15, 2015 (the “Meeting”), the Board, including all of the Trustees who are not interested persons of the Trust (the “Independent Trustees���), considered the renewal of an investment advisory agreement between the Trust, on behalf of each series of the Trust, and the Adviser (the “Investment Advisory Agreement”) and continuance of certain Sub-Advisory Agreements (the “Sub-Advisory Agreements”) among the Trust, the Adviser and the following Sub-Advisers for the indicated Funds: 1) Newfleet Asset Management LLC (“Newfleet”) with respect to Corporate/Government Bond and Floating Rate Bond; 2) Westchester Capital Management, LLC (“Westchester”) with respect to Monthly Distribution; 3) PENN Capital Management Co., Inc. (“PENN”) with respect to High-Yield Bond; 4) Market Concepts, LLC (“Market Concepts”) with respect to Alternative Strategy; 5) The Ithaka Group, LLC (“Ithaka”) with respect to Focused Large Cap Growth; 6) Cornerstone Real Estate Advisers LLC (“Cornerstone”) with respect to Real Estate Stock; 7) Arrowstreet Capital, L.P. (“Arrowstreet”) with respect to International Stock; 8) Piermont Capital Management, LLC (“Piermont”) with respect to Small Cap Value; 9) Bailard, Inc. (“Bailard”) with respect to Emerging Markets Stock; 11) Pier Capital, LLC (“Pier”) with respect to Small Cap Growth; 10) Rogge Global Partners PLC (“Rogge”) with respect to International Opportunity Bond.

Continuance of Investment Advisory Agreement for each of Monthly Distribution, Corporate/Government Bond, High-Yield Bond, Dynamic Macro, Appreciation & Income, Large Cap Value, Floating Rate Bond, International Opportunity Bond, Focused Large Cap Growth, International Stock, Real Estate Stock, Small Cap Value, Small Cap Growth, Emerging Markets Stock and Alternative Strategy

The Trustees reviewed information related to the proposed renewal of the Investment Advisory Agreement with the Trust, including (a) the investment performance of each Fund, a peer group of funds and appropriate indices; (b) the Adviser’s personnel and resources; and (c) comparative fees and expenses of a peer group of funds. The Board relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Investment Advisory Agreement and the weight to be given to each factor. The conclusions reached by the Board were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Matters considered by the Board, including the Independent Trustees, in connection with its approval of the continuance of the Investment Advisory Agreement included the following:

Nature, Extent and Quality of Services. The Independent Trustees considered the nature, extent and quality of services provided to the Funds by the Adviser. Among other things, the Board discussed the Adviser’s investment in the hiring, and retention, of high quality personnel, including the addition of an in-house CCO with in-depth knowledge of the 1940 Act and mutual funds, which it considered reflective of the Adviser’s strong emphasis on compliance. In this regard, the Board noted that while there was one minor litigation issue during the past year, there have been no material compliance or regulatory issues involving the Adviser or the Dunham Funds. The Independent Trustees agreed that the Adviser is accessible, encourages open discussion and provides the Board with thorough and meaningful reports. The Trustees considered the Adviser’s very active monitoring of the Funds’ Sub-Advisers and other service providers, the Adviser’s consistent focus on managing expenses and for vetting and negotiating with Sub-Advisers and other service providers for the benefit of shareholders. The Independent Trustees noted that the Adviser continues to demonstrate that it has the skills, experience, and quality and depth of personnel, resources, investment methods and compliance policies and procedures for performing its duties under the Advisory Agreement and that the nature, overall quality and extent of the management services provided by the Adviser to the Funds is consistent and satisfactory.

Performance. As to investment performance, the Board reviewed the performance of each Fund as compared to the average performance of its respective peer group (the “Peer Group”) and Morningstar category (“Morningstar Average”) (collectively, the “Comparison Groups”) for 1-year, 3-year, 5-year and since inception time periods (as applicable) through September 30, 2015:

With respect to Monthly Distribution the Board noted that the Fund has outperformed its Peer Group and Morningstar Average across all the time periods since its inception in 2008, except for the last 1-year period. The Trustees noted the negative impact on the Fund of declines in oil and energy prices and other market factors during the last year and concluded that the Fund’s performance is satisfactory.

With respect to Corporate/Government Bond the Board noted that since the Fund’s inception in 2004, it has outperformed or performed in-line with its Peer Group and Morningstar Average with the exception of the most recent 1-year period where it underperformed both the Peer Group and Morningstar Average, as well as the 3-year period where it underperformed the Morningstar Average. The Trustees considered that the Fund has consistently performed

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well since inception, especially compared to the Peer Group. The Independent Trustees considered the Adviser’s explanation that the Fund’s recent underperformance was primarily due to lower allocation to Treasuries and higher allocation to high-yield bonds and positioning for Federal interest rate increases that did not materialize. The Independent Trustees concluded that the Fund’s performance is satisfactory.

With respect to High-Yield Bond the Board noted that the Fund has underperformed its Peer Group and Morningstar Average across the relevant time periods with the exception of performing in-line with its Peer Group over the past 5-year period. The Board noted that the Fund’s short-term performance was impaired by its significant exposure to the energy market’s decline. A representative of the Adviser noted that the Fund’s strategy is generally more conservative in nature than a majority of the funds in its Morningstar Average, which had benefited from significantly higher exposure to CCC-rated bonds than the Fund. The Trustees agreed that in light of the risk characteristics of the Fund, they were satisfied with the Fund’s performance.

With respect to Dynamic Macro, the Board noted that there was a change in sub-adviser and investment strategy as of October 1, 2014 and that the Fund outperformed its Peer Group and Morningstar Average over the past 1-year period. The Board further noted that the Fund’s underperformance in the 3-, 5- and since inception time periods was tied to its former sub-adviser. The Trustees concluded that the Fund’s short-term performance is satisfactory and expressed optimism for continuing improvement.

With respect to Appreciation & Income, the Board noted that the Fund had performed in-line with or outperformed its Morningstar Average for the 1-, 10- and since inception time periods, and outperformed its Peer Group for the 3-year period, but underperformed over the one-year period. The Board further noted that the Fund’s Sub-Adviser and strategy was changed on October 1, 2014 and expressed optimism for the Fund’s longer-term track record.

With respect to Large Cap Value, the Board noted that the Fund outperformed or was in-line with its Peer Group for the 1- 3-, 5 -, 10- and since inception time periods and outperformed or was in-line with its Morningstar Average for the 1-year, 5-year and since inception time periods. The Board further noted that the Fund’s Sub-Adviser was changed on July 1, 2015 and that most of the Fund’s underperformance versus the Morningstar Average over the 3- and 10-year periods may be attributed to the previous Sub-Adviser’s track record. The Trustees considered information from the Adviser that over the two-month period ended September 30, 2015, the Fund’s outperformance was enough to put the 1-year performance ahead of the Peer Group and in-line with the Category Average. Overall, the Trustees were satisfied with the Fund’s performance and expressed optimism for the Fund’s longer-term track record under the new Sub-Adviser.

With respect to International Opportunity Bond the Board, noted that the Fund underperformed its Peer Group and Morningstar Average over the 1-year and since inception time periods. The Trustees considered the Adviser’s explanation that the Fund invests strictly in international bonds and, therefore, did not benefit from the performance of U.S. Bonds. The Trustees agreed performance was satisfactory, but also agreed to monitor the Fund’s performance as it would be more meaningful to re-evaluate the Fund over longer time periods.

With respect to Focused Large Cap Growth, the Board noted that Fund outperformed or was in-line with its Peer Group and Morningstar Average for the 1-year, 3-year and since inception time periods with the exception of underperforming the Morningstar Average during the since inception timeframe when it returned 12.52% versus 14.06% for the Morningstar Average. The Trustees noted that this underperformance was primarily attributable to the first few months of initial operations and were gratified that the outperformance of the Fund over the other time periods has helped to reduce this adverse performance differential.

With respect to International Stock, the Board noted that the Fund outperformed its Comparison Groups across all the time periods with the exception of the most recent 1-year period, when it returned -10.91% versus -7.72% and -8.05% for the Peer Group and Morningstar Average, respectively. The Trustees noted that the Sub-Adviser maintained the same strategy and process over the past 1-year period as it did on the longer-term periods and expressed satisfaction with the Fund’s overall performance.

With respect to Real Estate Stock, the Board noted that the Fund outperformed its Comparison Groups for the 1-, 3-, 5- and 10-years and since inception time periods, with the exception of slight underperformance of 6.68% versus the Morningstar Average’s return of 7.05% for the since inception timeframe. The Trustees indicated that they were pleased with the Fund’s performance.

With respect to Small Cap Value, the Board noted that the Fund outperformed its Comparison Groups over the one-year period at -0.69% versus -4.08% and -2.99% for the Peer Group and Morningstar Average, respectively. The Trustees further noted that for the 3-year period, the Fund slightly underperformed the Comparison Groups, while the Fund’s performance for the 5- and 10 years was in-line with the Peer Group and slightly under the Morningstar Average. The Trustees considered that the current Sub-Adviser took over management of the Fund on July 1, 2013 and were satisfied with the Fund’s performance since that time.

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With respect to Small Cap Growth the Board noted that the Fund outperformed its Comparison Groups for the 1-, 3-, 5- and 10-years and since inception time periods. The Trustees were satisfied with the Fund’s performance.

With respect to Emerging Markets Stock, the Board noted that the Fund outperformed its Morningstar Average and Peer Group over the past 1-year period, but underperformed during the longer-term time periods and considered that the underperformance was primarily attributable to the previous Sub-Adviser that managed the Fund prior to July 1, 2013 when the current Sub-Adviser took over management of the Fund. The Trustees further noted that the Fund’s 3-year performance indicates that the current Sub-Adviser is gaining ground and while overall performance was satisfactory, they look forward to an improvement in the Fund’s longer-term performance.

With respect to Alternative Strategy, the Board noted that the Fund outperformed its Morningstar Average since inception and underperformed the Morningstar Average for the 1-, 3- and 5-year periods and underperformed its Peer Group for the 1- and 3-year periods provided. The Trustees considered the Adviser’s explanation that the Fund’s most recent underperformance is primarily attributable to the significant downturn in oil and energy prices that occurred in the final quarters of 2014. The Trustees also noted the recent changes to the Fund’s investment strategy and the flexibility it gives the Sub-Adviser, which was aimed at improving performance. The Trustees noted that the Fund’s long-term performance is satisfactory and agreed to monitor the Fund for continued improvement.

With respect to Floating Rate Bond the Board noted that the Fund outperformed its Morningstar Average and Peer Group over the past 1-year time period, but underperformed its Category Average and Peer Group since inception. The Trustees considered the Adviser’s explanation that the underperformance was primarily attributable to the first few months of operations when the Sub-Adviser was initially implementing its strategy and the longer settlement timeframe for bank loans hindered performance. The Trustees considered the Fund’s recent relative performance and the specialized nature of the Fund and concluded that the Fund’s performance was satisfactory.

As a result of their review, the Independent Trustees concluded that the Adviser, through its Sub-Advisers, had generally provided acceptable returns to shareholders.

Cost of Services and Profitability. As to the costs of the services provided and profits realized by DAIC, the Board discussed the management fees and total operating expense data and reviewed each Fund’s fees and overall expenses as compared to the Peer Group and Morningstar Average.

The Board reviewed for each Fund the fee paid to the Adviser, as well as the total of the advisory fee and sub-advisory fee (the “Management Fees”). They observed that in the case of Corporate/Government Bond, Dynamic Macro, Large Cap Value, International Opportunity Bond, Focused Large Cap Growth and Small Cap Growth, the Management Fees were higher than the peer group and Morningstar category averages, but within the range of advisory fees paid by the funds in the peer group. They discussed the impact of the performance fee on various Funds’ Management Fees. They noted that Large Cap Value’s current sub-adviser began managing the Fund in July 2015, and the Fund’s superior performance resulted in higher Management Fees. They also discussed the impact of the performance fee on Small Cap Growth, where strong performances resulted in a significant performance fee.

The Trustees noted that the Management Fees of International Stock, Real Estate Stock and Monthly Distribution were higher than the Morningstar average fees, and higher than the peer funds. With respect to International Stock and Real Estate Stock, the Board considered that each Sub-Adviser is earning close to its maximum performance fee due to very good performance, which results in higher than average fees. With respect to Monthly Distribution, the Trustees noted that the Adviser is negotiating with the Sub-Adviser for a continuation of the fee waiver agreement that is in place through the end of February 2016 and that the funds in the Comparison Group generally have significant waivers. The Board considered that the Fund’s investment strategy of short-selling, option writing, etc., requires more resources.

The Trustees then discussed the Management Fees paid by the High Yield Bond, Appreciation & Income, Small Cap Value and Floating Rate Bond, noting that in each case the Management Fees are lower than or equal to the peer group average and, while higher than the Morningstar average, well within the range of its peer group. They also discussed Emerging Markets and Alternative Strategy, each of which pays Management Fees lower than the applicable peer group and Morningstar averages. They discussed the impact of each Fund’s performance on the fees paid, and reviewed a chart provided by the Adviser that demonstrated the relationship between fees and performance.

The Trustees discussed the advisory fee relative to the sub-adviser fees, as well as each Fund’s expense ratio. They considered the impact of Fund net assets on total expenses, and where expense caps are in place. The Trustees also considered the underwriting and 12b-1 fees paid to DAIC. The Trustees reviewed an analysis of profitability provided by the Adviser. The Trustees took into account possible related benefits derived by the Adviser from its relationship with the Funds. The Trustees acknowledged that the Adviser, in its capacity as a broker, receives commissions and

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distribution fees when its customers purchase the Funds, but the Adviser does not execute trades on behalf of the Funds and therefore receives no compensation on portfolio trades. They concluded that profits from the Adviser’s relationship with each Fund was not unreasonable and is at a level to adequately incentivize DAIC to continue to provide high quality services. It was the consensus of the Board that, based on DAIC’s expertise, the fees charged by the Adviser and its Sub-Advisers were reasonable.

Economies of Scale. As to economies of scale, the Trustees noted that the Advisory Agreement does 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 its 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. The Trustees further noted that at a previous contracts renewal meeting, the Adviser explained that it is prepared to offer concessions to the Funds at appropriate asset levels, and in anticipation of such, had discussed a proposed breakpoint schedule that reflects the economies of scale that the Adviser anticipates realizing. The Trustees concluded that the absence of breakpoints was still acceptable under the current circumstances, and they agreed to continue to evaluate the issue with respect to each Fund as assets increase, and to work with the Adviser to negotiate reasonable breakpoints when appropriate

Continuance of Sub-Advisory Agreements for each of Corporate/Government Bond, Floating Rate Bond, Monthly Distribution, High-Yield Bond, Alternative Strategy, Focused Large Cap Growth, Real Estate Stock, International Stock, Small Cap Value, Emerging Markets Stock and Small Cap Growth, International Opportunity Bond

The Trustees relied upon the advice of legal counsel and their own business judgment in evaluating the Sub-Advisory Agreements and the weight to be given to each factor considered. The conclusions reached by the Board were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions. Matters considered by the Board, including the Independent Trustees, in connection with its approval of the continuance of each of the Sub-Advisory Agreements included the following:

Nature, Extent and Quality of Services. As to the nature, extent and quality of the services provided by the Sub-Advisers, the Board reviewed and discussed at length each Sub-Adviser’s presentation materials, including reviews and information regarding any changes to professional staffing, advisory services, compliance monitoring, regulatory or legal matters, insurance coverage, cost of services, and profitability. The Trustees noted that the Sub-Adviser to International Stock does not provide a profitability analysis and reported to the Board that it believes that the fees it charges to all clients are reasonable and consistent with industry averages and that it reassesses fees periodically. In addition, representatives of the Adviser reviewed their working relationship with each Sub-Adviser, including the observation of the Trust’s CCO with respect to compliance matters. The Trustees noted that the Adviser actively and continuously evaluates quality of service delivered by the Sub-Advisers and is generally satisfied with the current line-up of Sub-Advisers. The Trustees concluded that each of the Sub-Advisers provides a level of service that is consistent with the Board’s expectations.

Performance. As to the performance of each Sub-Adviser, the Trustees noted its thorough review and discussion of each Fund’s performance during its earlier evaluation of the Advisory Agreement and their conclusion that the performance was satisfactory or, where less than satisfactory, the Adviser is carefully monitoring the Sub-Adviser and is considering alternatives, including a possible change in sub-adviser.

Cost of Services. As to the cost of the services 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 Fund is equal to that of the Index plus or minus a “null” zone. Where provided, the Trustees compared advisory (and sub-advisory) fees (both flat fee rates and performance fee rates) charged by each Sub-Adviser to its other accounts, and concluded that each Sub-Adviser’s base fee compared favorably. The Trustees also discussed at length the operation of the Performance Fee and the impact on fees and expenses based on various performance results. They discussed the unique nature of the performance fee, which results in higher fees when the sub-adviser delivers results, and how this fact must be integrated into their analysis of fees. The Board noted its thorough review and discussion of each Fund’s fees and expenses during its earlier evaluation of the Advisory Agreement and their conclusion the fees were within a reasonable range.

Profitability. The Board then considered the potential fee adjustments to be made to each Fund’s Base Fee based on performance. The Trustees affirmed their belief that the 12-month period over which performance is computed is sufficiently long to provide a reasonable basis for indicating performance. The Trust officers confirmed that the performance adjustment to the Base Fee had been calculated daily during the first twelve months, based on

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the average net assets of each Fund from inception of the contract to date, and the comparative performance of each Fund (based on Class N shares) to the relevant Index. The Trustees confirmed their belief that the method by which the Performance Fee is calculated under the Sub-Advisory Agreements ensures that any significant fee adjustments are attributable to Sub-Adviser’s skill or lack thereof, rather than to random fluctuations, and the performance fee clearly aligns the Sub-Advisers’ interest with those of the shareholders. It was the consensus of the Board that the maximum performance adjustment under each Sub-Advisory Agreement continues to reflect 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 each Fund’s sub-advisory fee was acceptable in light of all of the factors discussed. The Board reviewed a profit analysis provided by each Sub-Adviser and agreed that no Sub-Adviser was excessively profitable. Where profitability information was not provided by the Sub-Adviser, the Board noted the arm’s length negotiations over fees between the Adviser and Sub-Adviser.

Economies of Scale. The Trustees discussed the relevance of economies of scale in the context of Sub-Advisers that receive a performance based fee. They agreed that the Adviser had successfully negotiated a favorable Base Fee with each Sub-Adviser, and noted the Adviser’s negotiation of a new reduced fee schedule during the past year with respect to Alternative Strategy and the Adviser’s continued monitoring to effect similar fee reductions when warranted.

Conclusion. Having requested and received such information from the Adviser and Sub-Advisers as the Board believed to be reasonably necessary to evaluate the terms of the proposed Advisory Agreements, and as assisted by the advice of counsel, the Board, including all of the Independent Trustees, unanimously concluded that (a) the terms of each of the Advisory Agreements are fair and reasonable; (b) that the Advisory fee and Sub-Advisory fees were for services different than those provided by any underlying Fund’s adviser and are not duplicative; and (c) renewal of the Advisory Agreement and Sub-Advisory Agreements is in the best interests of the Funds, their shareholders and their prospective shareholders.

Meeting of the Board of Trustees Held on March 23, 2016

At a meeting held on December 15, 2015, the Board of Trustees of the Dunham Funds (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 (the “1940 Act”) (the “Independent Trustees”), renewed the sub-advisory agreement with Rogge Global Partners PLC (“Rogge” or the “Sub-Adviser”) as Sub-Adviser to International Opportunity Bond. Subsequent to that meeting, the Board was informed of a planned change of control that is expected to occur during the second quarter of 2016 whereby Rogge will be 100% owned by Allianz Global Investors. Because Rogge’s expected ownership change may be deemed to be a “change in control,” at a meeting held on March 23, 2016 (the “Meeting’), the Independent Trustees unanimously elected to approve a new sub-advisory agreement with Rogge to take effect concurrent with Rogge’s change of control (the “New Sub-Advisory Agreement”) on materially identical terms, including the schedule of fees and compensation, which was last approved by the Board at its meeting held on December 15, 2015 (the “Prior Sub-Advisory Agreement”). In connection with their review and approval of the New Sub-Advisory Agreement with Rogge at the Meeting, the Independent Trustees considered materials furnished by Rogge, including information about, but not limited to, Rogge’s personnel and operations. The Independent Trustees discussed that the terms of the New Sub-Advisory Agreement and the performance goals and fulcrum fee arrangements set forth in the New Sub-Advisory Agreement were not being changed. After reviewing the materials in light of the New Sub-Advisory Agreement, it was the consensus of the Independent Trustees that their conclusions with respect to approving continuation of the Sub-Advisory Agreement with Rogge that were discussed at the Board meeting held on December 15, 2015 were largely unchanged and pertinent to approving the New Sub-Advisory Agreement with Rogge:

Nature, Extent and Quality of Services. The Trustees reviewed the nature, extent and quality of the services provided by Rogge and evaluated the nature, quality and extent of the services to be provided by Rogge after the change of control that was scheduled to take effect in the second quarter of 2016 and pursuant to the New Sub-Advisory Agreement. They considered, among other things, the expected impact of the change of control on the operations, facilities, organization and personnel of Rogge and how it would affect the Fund, the ability of Rogge to perform its duties after the change of control and any anticipated changes to the current investment practices and related services provided to the Fund. The Trustees noted that it was anticipated that the change of control would not result in a change in the portfolio management of the Fund, or to Rogge’s compliance or investment processes. The Trustees concluded that it was satisfied with the nature, quality and extent of the services currently provided by Rogge under the current Sub-Advisory Agreement and expected to be provided by Rogge under the New Sub-Advisory Agreement, and such services were reasonable and appropriate in relation to the Sub-Advisory fee.

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Performance. As to investment performance, the Board reviewed the performance of the Fund as compared to a peer group, benchmark index, and its Morningstar category average (“Morningstar Average”) (collectively, the “Comparison Groups”) for the 1-year and since inception (November 5, 2013) through December 31, 2015 time periods. The Board noted that the Fund underperformed the Comparison Groups over the 1-year period. The Board further noted that although the Fund underperformed its benchmark index net of fees over the same period, it outperformed the benchmark index gross of fees and that the benchmark index does not include fees. The Trustees considered the Adviser’s explanation that the Fund’s underperformance versus its Morningstar Average was primarily due to the fact that the Fund invests strictly in international bonds and, therefore, did not benefit from the performance of U.S. bonds. The Trustees agreed performance was satisfactory, but also agreed to monitor the Fund’s performance as it would be more meaningful to re-evaluate the Fund over longer time periods.

Cost of Services. The Trustees noted that the schedule of fees and compensation in the New Sub-Advisory Agreement is the same as in the current Sub-Advisory Agreement. As to the cost of the services provided and the profits realized by the Sub-Adviser, the Board considered the Base Fee and Performance Fee components of the fulcrum fee. They noted that the fulcrum fee results in a +/-25 basis points adjustment to the Base Fee of 45 basis points based on the performance of the Fund’s Class N share versus the performance of the benchmark. The Trustees compared the Base Fee to the Sub-Adviser’s fee for two other accounts with similar strategies and discussed the Sub-Adviser’s explanation for fee differences. The Trustees also discussed at length the operation of the Performance Fee and the impact on fees and expenses based on various performance results. They discussed the unique nature of the Performance Fee, which results in higher fees when the Sub-Adviser delivers results, and how this fact must be integrated into their analysis of fees. The Independent Trustees concluded that the sub-advisory fee is within a reasonable range.

Profitability. The Board then considered the potential fee adjustments to be made to the Fund’s Base Fee based on performance. The Trustees affirmed their belief that the 12-month period over which performance is computed is sufficiently long to provide a reasonable basis for indicating performance. The Trust officers confirmed that the performance adjustment to the Base Fee had been calculated daily during the first twelve months, based on the average net assets of the Fund from inception of the Sub-Advisory Agreement to date, and the comparative performance of the Fund (based on Class N shares) to the Fund’s performance benchmark. The Trustees confirmed their belief that the method by which the Performance Fee is calculated under the New Sub-Advisory Agreement ensures that any significant fee adjustments are attributable to the Sub-Adviser’s skill or lack thereof, rather than to random fluctuations, and the Performance Fee clearly aligns the Sub-Adviser’s interest with those of the shareholders. After consideration, the Board was satisfied that the relationship of the fee adjustments to the Base Fee was not disproportionately large and that the Fund’s sub-advisory fee was acceptable in light of all of the factors discussed. The Board reviewed a profit analysis provided by the Sub-Adviser and agreed that the Sub-Adviser’s profits were not excessive.

Economies of Scale. As to the extent to which the Fund will realize economies of scale, the Board, including he Independent Trustees, concurred that any material economies of scale would not be achieved by the Fund in the near term. The Independent Trustees further considered that the Adviser had successfully negotiated a reasonable Base Fee with the Sub-Adviser and monitors sub-advisory fees to effect reductions when warranted.

Conclusion. Having requested and received such information from the Adviser and Sub-Adviser as the Board believed to be reasonably necessary to evaluate the terms of the proposed New Sub-Advisory Agreement, and as assisted by the advice of counsel, the Board, including all of the Independent Trustees, unanimously concluded that (a) the terms of the of the New Sub-Advisory Agreement is fair and reasonable and approval of the New Sub-Advisory Agreement is in the best interests of International Opportunity Bond, its shareholders and prospective shareholders.

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DUNHAM FUNDS’ EXPENSES (Unaudited)

Example

Shareholders of mutual funds will pay (1) transitional costs, such as sales load, and (2) ongoing expenses, such as advisory fees, distribution and service fees (12b-1), and other fund expenses. The following examples are intended to help you understand the ongoing cost (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions which may be assessed by mutual funds. This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses

The columns under the heading entitled “Actual” help you estimate the actual expenses you paid over the period. The “Actual-Ending Account Value” shown is derived from the Fund’s actual return, and the “Actual- Expenses Paid During Period” shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. To estimate the expenses you paid on your account during this period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled “Actual-Expenses Paid During Period”.

Hypothetical Examples for Comparison Purposes

The columns under the heading entitled “Hypothetical” provide information about hypothetical account value and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs which may be applicable to your account. Therefore, the last column of the table (Hypothetical- Expenses Paid During Period) is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

					Hypothetical
			Actual		(5% return before expenses)
	Fund’s	Beginning	Ending	Expenses	Ending	Expenses
	Annualized	Account Value	Account Value	Paid During	Account Value	Paid During
	Expense Ratio	11/1/15	4/30/16	Period*	4/30/16	Period*
Class N:
Floating Rate Bond Fund	1.44%	$1,000.00	$1,015.80	$7.18	$1,017.16	$7.77
Monthly Distribution Fund	1.40%	$1,000.00	$   996.80	$6.95	$1,018.35	$6.07
Corporate/Government Bond Fund	1.09%	$1,000.00	$1,017.90	$5.47	$1,019.44	$5.47
Dynamic Macro Fund	1.73%	$1,000.00	$   962.30	$8.44	$1,016.26	$8.67
High-Yield Bond Fund	1.13%	$1,000.00	$   996.20	$5.61	$1,019.24	$5.67
International Opportunity Bond Fund	1.33%	$1,000.00	$1,073.80	$6.86	$1,018.25	$6.67
Appreciation & Income Fund	1.55%	$1,000.00	$   935.80	$7.46	$1,017.16	$7.77
Alternative Strategy Fund	1.44%	$1,000.00	$   891.20	$6.76	$1,017.71	$7.21
Large Cap Value Fund	1.05%	$1,000.00	$   990.70	$5.22	$1,019.62	$5.29
Focused Large Cap Growth Fund	1.21%	$1,000.00	$   910.20	$5.75	$1,018.85	$6.07
International Stock Fund	1.68%	$1,000.00	$   974.60	$8.25	$1,016.51	$8.42
Real Estate Stock Fund	1.24%	$1,000.00	$1,034.60	$6.27	$1,018.70	$6.22
Small Cap Value Fund	1.72%	$1,000.00	$   987.00	$8.48	$1,016.33	$8.60
Emerging Markets Stock Fund	1.30%	$1,000.00	$   995.60	$6.45	$1,018.40	$6.52
Small Cap Growth Fund	1.35%	$1,000.00	$   924.30	$6.46	$1,018.15	$6.77
Class A:
Floating Rate Bond Fund	1.69%	$1,000.00	$1,015.70	$8.42	$1,015.91	$9.02
Monthly Distribution Fund	1.65%	$1,000.00	$   995.60	$8.19	$1,017.70	$7.22
Corporate/Government Bond Fund	1.34%	$1,000.00	$1,016.60	$6.72	$1,018.20	$6.72
Dynamic Macro Fund	1.98%	$1,000.00	$   961.20	$9.65	$1,015.02	$9.92
High-Yield Bond Fund	1.38%	$1,000.00	$   995.10	$6.85	$1,018.00	$6.92
International Opportunity Bond Fund	1.58%	$1,000.00	$1,072.40	$8.14	$1,017.01	$7.92
Appreciation & Income Fund	1.80%	$1,000.00	$   933.00	$8.65	$1,015.91	$9.02
Alternative Strategy Fund	1.69%	$1,000.00	$   889.90	$7.96	$1,016.44	$8.49
Large Cap Value Fund	1.30%	$1,000.00	$   989.20	$6.42	$1,018.41	$5.51
Focused Large Cap Growth Fund	1.44%	$1,000.00	$   909.30	$6.84	$1,017.70	$7.22
International Stock Fund	1.93%	$1,000.00	$   973.30	$9.47	$1,015.27	$9.67
Real Estate Stock Fund	1.49%	$1,000.00	$1,033.50	$7.53	$1,017.45	$7.47
Small Cap Value Fund	1.97%	$1,000.00	$   984.80	$9.72	$1,015.07	$9.87
Emerging Markets Stock Fund	1.55%	$1,000.00	$   994.50	$7.69	$1,017.16	$7.77
Small Cap Growth Fund	1.60%	$1,000.00	$   923.40	$7.65	$1,016.91	$8.02

125 

YOUR FUNDS’ EXPENSES (Unaudited) (Continued)

					Hypothetical
			Actual		(5% return before expenses)
	Fund’s	Beginning	Ending	Expenses	Ending	Expenses
	Annualized	Account Value	Account Value	Paid During	Account Value	Paid During
	Expense Ratio	11/1/15	4/30/16	Period*	4/30/16	Period*
Class C:
Floating Rate Bond Fund	2.19%	$1,000.00	$1,012.10	$10.90	$1,012.08	$12.86
Monthly Distribution Fund	2.40%	$1,000.00	$   991.40	$11.88	$1,013.72	$11.22
Corporate/Government Bond Fund	1.84%	$1,000.00	$1,014.30	$  9.33	$1,015.70	$  9.23
Dynamic Macro Fund	2.73%	$1,000.00	$   958.20	$13.29	$1,011.29	$13.65
High-Yield Bond Fund	1.88%	$1,000.00	$   993.70	$  9.32	$1,015.51	$  9.42
International Opportunity Bond Fund	2.08%	$1,000.00	$1,069.10	$10.70	$1,014.52	$10.42
Appreciation & Income Fund	2.57%	$1,000.00	$   929.80	$12.33	$1,012.08	$12.86
Alternative Strategy Fund	2.44%	$1,000.00	$   886.60	$11.46	$1,012.72	$12.22
Large Cap Value Fund	2.05%	$1,000.00	$   985.90	$10.25	$1,014.66	$10.28
Alternative Income Fund	1.83%	$1,000.00	$   995.50	$  9.05	$1,015.72	$  9.15
Focused Large Cap Growth Fund	2.24%	$1,000.00	$   905.40	$10.61	$1,013.72	$11.22
International Stock Fund	2.68%	$1,000.00	$   970.10	$13.13	$1,011.54	$13.40
Real Estate Stock Fund	2.24%	$1,000.00	$1,029.40	$11.30	$1,013.72	$11.22
Small Cap Value Fund	2.72%	$1,000.00	$   981.20	$13.54	$1,011.34	$13.60
Emerging Markets Stock Fund	2.30%	$1,000.00	$   991.00	$11.39	$1,013.43	$11.51
Small Cap Growth Fund	2.35%	$1,000.00	$   920.10	$11.20	$1,013.18	$11.76

* Expenses Paid During Period are equal to the Fund’s annualized expense ratio, 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, 2016).

126 

Privacy Notice

 March 2011

FACTS	WHAT DO THE DUNHAM FUNDS DO WITH YOUR PERSONAL INFORMATION?
Why?	Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
What?	The types of personal information we collect and share depend on the product or service you have with us. This information can include: ■         Social Security number and wire transfer instructions ■         account transactions and transaction history ■         investment experience and purchase history When you are no longer a customer, we continue to share your information as described in this notice.
How?	All financial companies need to share customers’ personal information to run their everyday business.  In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons the Dunham Funds chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Do Dunham Funds share?	Can you limit this sharing?
For our everyday business purposes - such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For our marketing purposes - to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We don’t share
For our affiliates’ everyday business purposes - information about your transactions and experiences	No	We don’t share
For our affiliates’ everyday business purposes - information about your creditworthiness	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

Questions?   Call (800) 442-4358 or go to www.dunham.com

127 

What we do
How do Dunham Funds protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We permit only authorized parties and affiliates (as permitted by law) who have signed an agreement (which protects your personal information) with us to have access to customer information.
How do Dunham Funds collect my personal information?	We collect your personal information, for example, when you ■     open and account or deposit money ■     direct us to buy securities or direct us to sell your securities ■     seek advice about your investments We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only ■     sharing for affiliates’ everyday business purposes-information about your creditworthiness ■     affiliates from using your information to market to you ■     sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing.
Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. ■     Our affiliates include financial companies, such as Dunham & Associates Investment Counsel, Inc.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. ■     Dunham Funds do not share with nonaffiliates so they can market to you.
Joint marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ■     Dunham Funds doesn’t jointly market

128 

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 1^st and 3^rd 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).

129 

P.O. Box 910309
San Diego, California 92191

(800) 442-4358

Distributed by Dunham & Associates Investment Counsel, Inc. Member FINRA/SIPC

THIS REPORT AND FINANCIAL STATEMENTS CONTAINED HEREIN ARE NOT INTENDED TO BE A FORECAST OF FUTURE EVENTS, A GUARANTEE OF FUTURE RESULTS, OR INVESTMENT ADVICE. FURTHER, THERE IS NO ASSURANCE THAT CERTAIN SECURITIES WILL REMAIN IN OR OUT OF EACH FUND’S PORTFOLIO.

THE FIGURES IN THIS REPORT REPRESENT PAST PERFORMANCE AND DO NOT GUARANTEE FUTURE RESULTS. THE PRINCIPAL VALUE OF AN INVESTMENT AND INVESTMENT RETURN WILL FLUCTUATE SO THAT AN INVESTOR’S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.

Item 2. Code of Ethics. Not applicable.

Item 3. Audit Committee Financial Expert. Not applicable.

Item 4. Principal Accountant Fees and Services. Not applicable.

Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.

Item 6. Schedule of Investments. Schedule of investments in securities of unaffiliated issuers is included under Item 1.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.

Item 8. Portfolio Managers of Closed-End Funds. Not applicable to open-end investment companies.

Item 9. Purchases of Equity Securities by Closed-End Funds. Not applicable to open-end investment companies.

Item 10. Submission of Matters to a Vote of Security Holders. None

Item 11. Controls and Procedures.

(a) Based on an evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the disclosure controls and procedures are reasonably designed to ensure that the information required in filings on Forms N-CSR is recorded, processed, summarized, and reported on a timely basis.

(b) There were no significant changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Not required for semi-annual reports.

(a)(2) Certifications required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith..

(a)(3) Not applicable.

(b) Certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) Dunham Funds

By (Signature and Title)

/s/ Jeffrey Dunham

Jeffrey Dunham, Principal Executive Officer/President

Date 7/9/2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)

/s/ Jeffrey Dunham

Jeffrey Dunham, Principal Executive Officer/President

Date 7/9/2016

By (Signature and Title)

/s/ Denise Iverson

Denise Iverson, Principal Financial Officer/Treasurer

Date 7/9/2016