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)

Richard Malinowski

Gemini Fund Services, LLC., 4221 N 203^rd St., Suite 100, Elkhorn, NE 68022

(Name and address of agent for service)

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

Date of fiscal year end: 10/31

Date of reporting period: 4/30/20

Item 1. Reports to Stockholders.

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Dunham Funds’ shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Dunham Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Dunham Funds electronically by calling (888)-3DUNHAM (338-6426) or contacting your financial intermediary.

You may elect to receive all future reports in paper free of charge. You can inform the Dunham Funds or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by calling (888)-3DUNHAM (338-6426) or contacting your financial intermediary. Your election to receive reports in paper will apply to all Dunham Funds held by you or through your financial intermediary.

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

Dear Fellow Shareholders:

Remember your life pre-virus? Considering what our life was like before the coronavirus changed so much seems akin to traveling back to another age in civilization. Before the pandemic permeated every facet of our lives, corporate strength and economic prowess were in the fovea of most investors and economists, not the efficacy of various vaccines. While scrutinized intensely, corporate earnings were generally positive and the first phase of a trade deal with China had been signed. However, from beyond the periphery, the virus that had at first appeared innocuous when considered from a global perspective, suddenly and with impartiality impacted every citizen of the world. Markets were celebrating new all-time highs in mid-February before the self-induced shutdown, followed-up by investor panic, culminated into a decline in the S&P 500 of more than 33 percent in 33 days. Despite the invention and implementation of circuit breakers for the markets, the evacuation from equities eerily resembled the 1987 turmoil from which the constraints were birthed. In the 50 days following the peak, the S&P 500 fluctuated 24 times outside of a 3 percent trading band. There were 9 days where the S&P 500 experienced a swing greater than 5 percent. For perspective, in the 10-year period leading up to the February 19 market high, there were only 12 days (out of 2,516 trading days) that the S&P 500 moved more than 3 percent - and zero days that saw a move greater than 5 percent, let alone a circuit breaker tripped.

Market casualties appeared to pile rapidly, and similar to the virus, the sell-off was predominately indiscriminate. Foreign equities (both developed markets and emerging) and bonds (both investment-grade and high-yield) joined in the maelstrom that brought the world into the depths of a bear market. A two-week period in March marked the pinnacle of the pandemonium – particularly between March 6 and March 20. During this two-week period, bonds rated AAA and high-yield bonds dropped 16 percent and 17 percent, respectively. Although many U.S. Treasury bonds survived the Global Financial Crisis unscathed, the BofA Merrill Lynch 10-Year Treasury Bond Index posted a decline of 2 percent and the BofA Merrill Lynch 30-Year Treasury Bond Index a fall of 7 percent amidst March’s madness. Foreign equity markets saw the stocks of developed countries decline more than emerging markets, as developed market stocks fell 23 percent and emerging markets stocks toppled 21 percent. The synchronicity of the declines across the broad spectrum of asset classes evidenced the investor panic to escape to the exits with little regard to price, value, or quality – unproductively selling what they could, not what they wanted to sell.

Although parallels to previous markets may be identified in the decline, the response from central banks during the calamity was hearty and fast, sending a direct message of urgency and support. Central banks had clearly learned from the Global Financial Crisis that an impaired liquidity chain would exacerbate losses and hinder any recovery. Therefore, the Federal Open Market Committee quickly slashed interest rates to zero (the Fed Funds Rate stood at 150 basis points before March) and broadcasted that trillions would be spent (borrowed from our children and grandchildren) to support liquidity in the bond markets. Essentially, the key components that were implemented over the course of months and years during and after the Global Financial Crisis were deployed in just a couple of weeks.

Of course, no pandemic that leads to a global shutdown is exciting enough on its own – an oil price-war between Russia and Saudi Arabia compounded with the sudden disappearance of demand for oil (as sheltering in place obliterated fuel-based travel). This led to records being broken and unchartered territory suddenly unveiled as oil futures contracts not only traded at $0, but proceeded to slide deeply negative as participants who never had any intention (nor storage capacity) of taking delivery of the barrels scrambled to dump millions of barrels of oil contracts before maturity. While suburban households whimsically contemplated how many barrels they could store in their swimming pools, the drillers, frackers, refiners, and all entities up and down the supply chain reassessed their businesses amidst a seemingly impossible reality. From February 19 through March 23, the S&P 500 Energy Sector Index had spilled nearly 56 percent.

Such a storyboard, with each pane depicting a similar if not more gruesome image than the one before it, cannot coalesce to a pleasing tale. However, the overall conclusion of the fiscal period dramatically improved the results. Globally, as numerous countries announced reopening plans and light could be seen at the end of a long tunnel, the markets broadly roared back and some equity markets achieved their best April performance on record. Therefore, as investors examine this semi-annual period as a whole, the beginning-to-end percentage declines obscure the pitfall in the center. Specifically, the 3.2 percent overall decline in the S&P 500 nor the 13.2 percent decline in the MSCI All Country World ex U.S. Index appear anywhere near as dire as the story would suggest. In addition, there have been pockets of strength uncovered in the erosion, with the chaotic work-from-home environment rewarding many technology-oriented businesses. Many other companies have restructured balance sheets and some have sought to pay down debts. Another silver lining includes the extremely low interest rates and the related impact on broad borrowing rates, which has allowed many struggling businesses to effectively “buy time” to weather this storm at remarkably low financing rates. Nonetheless, most investors are looking ahead to a better conclusion that will be told in the months and quarters to come.

As I have personally invested alongside many of you during both calm and turbulent markets, such as the one we are weathering today, I am confident that we at Dunham have the tools and the discipline to navigate through this storm. While the specific attributes of this particular market environment may be unique, you can rely on us to continue to apply a rational and unemotional approach.

We thank you for your continued trust and the confidence you have placed in us. We take that trust very seriously. We look forward to servicing the investment needs for you and your family for generations to come.

Sincerely,

Jeffrey A. Dunham

President

Dunham & Associates

April 30, 2020

1

Dunham Corporate/Government Bond Fund (Unaudited)

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

Asset Class Recap

Since the beginning of the fiscal year through the beginning of March, broad U.S. investment-grade bonds, as measured by the Barclays U.S. Aggregate Bond Index, had experienced a fairly steady increase. This was primarily promoted by an accommodative and reassuring Federal Open Market Committee, low default rates, and a strong economic backdrop. As the virus reached pandemic status and investors around the globe panicked into a rampant selling spree, nearly every asset class saw declines during the most negative two- week period in March that spanned from March 6 through March 20. Within the fixed income markets, that two- week period left little unscathed as broad U.S. investment-grade bonds fell 5.4 percent. Within that investment-grade basket, Treasury and government agency bonds, as measured by the BofA Merrill Lynch U.S. Treasury & Agency Index, declined 1.5 percent, while U.S. corporate bonds, as measured by the BofA Merrill Lynch U.S. Corporate Index, plummeted 15.1 percent. Outside of the investment-grade bond market, high- yield bonds, as measured by the BofA Merrill Lynch U.S. Cash Pay High-Yield Index, declined 17.1 percent, within close earshot to their investment-grade corporate bond counterparts, signaling that sellers were showing little regard to credit quality. When assessing the entire six-month period, broad U.S. investment-grade bonds posted a positive 4.9 percent return, which was primarily attributable to the 8.1 percent gain in Treasury and government agency bonds. U.S. investment-grade corporate bonds were slightly positive, up 1.5 percent, while high- yield bonds remained in negative territory, down 7.6 percent. The Treasury and government agency bonds, which tended to have longer durations, were greatly benefitted by the Fed’s actions in March where it decreased interest rates by 150 basis points and committed trillions of dollars to backstop liquidity markets, massively buoying the highly-interest-rate-sensitive Treasuries and agency securities.

Allocation Review

Broad U.S. investment-grade bonds in the benchmark index have more than 90 percent allocated to Treasury and government agency bonds and U.S. investment-grade corporate bonds. During the semi-annual period, the Fund maintained a similar exposure as the benchmark index to U.S. investment-grade corporate bonds, as it had an approximate 24 percent allocation. As this was one of the less negative bond sectors during the six-month period, the weighting neither detracted nor contributed toward relative returns. However, the Fund’s significant underweight to Treasury and government agency bonds, which comprise more than 40 percent of the benchmark index, significantly detracted from relative performance, as the Fund held less than a third of the benchmark index’s 70 percent allocation to these bond sectors. Therefore, where the Fund was most overweight versus the benchmark index was in residential mortgage-backed securities, corporate high- yield bonds, and asset-backed securities. While all three of these asset classes suffered negative performance in the Fund during the six-month period, the worst-performing was the high-yield bond exposure, albeit the total allocation in the Fund to high-yield bonds was less than 10 percent. The Fund did not have any exposure to derivatives during the semi-annual period that meaningfully affected performance.

Holdings Insights

As the investment-grade corporate bond exposure in the Fund was similar to the benchmark index, the security selection within the sector generally lagged during the six-month period. For example, one of the holdings that was directly in the crossfire of industries most affected by the global shutdown was Aviation Capital Group LLC. The Fund held the bond maturing in 2027 (05369AAA9) (holding weight*: 0.30 percent). Aviation Capital Group is an aircraft lessor, and with the coronavirus effectively shutting down the air travel industry, many investors expect that airlines, Aviation Capital Group’s primary customers, will seek lease deferrals and in some cases file for bankruptcy. This sentiment resulted in the sell-off of these bonds, as they declined 25.7 percent since the start of the fiscal year through April.

Despite the high-yield bond sector exhibiting some of the worst overall performance during the broad bond sell-off in March, some of the Fund’s holdings held up rather well. For example, the Fund held the Par Pharmaceutical, Inc. bond maturing in 2027 (69888XAA7) (holding weight*: 0.10 percent). After the company posted strong fourth quarter results, Par Pharmaceutical’s ties to the generic drug industry cause it to be minimally impacted by the COVID-19 crisis. During the six-month period, the Par Pharmaceutical bond increased 10.0 percent. Not faring quite as well within the high-yield bond space was the Fund’s holding in the Patterson UTI Energy Inc. bond maturing in 2029 (703481AC5) (holding weight*: 0.11 percent). Patterson UTI provides contract drilling and pressure pumping services to domestic companies. Demand for both services has plummeted with the decline in oil prices (pressure pumping declining more rapidly than the more publicized rig count due to shorter contracts) and while the company benefits from what the Sub- Adviser considers as a favorable liquidity position, the bonds traded down 35.7 percent in the second fiscal quarter given the poor industry outlook.

The Fund also held some municipal bonds, including a taxable municipal bond, the Texas State municipal bond maturing in 2044 (882724QP5) (holding weight*: 1.27 percent). As the long-maturity on the bond generally translated to higher interest-rate sensitivity, the extreme drop in long-term Treasury yields greatly benefitted this bond, as it increased 6.8 percent since it was purchased in November. The Fund also held some foreign bonds, including the Petroleos Mexicanos SA bond maturing in 2050 (71654QCW0) (holding weight*: 0.15 percent). Petroleos Mexicanos (aka Pemex) was impacted mainly by the sharp drop in oil prices which is estimated to result in a $15 to $20 billion funding gap in 2020. While the Sub- Adviser expects the Mexican government will ultimately step in and provide adequate support, there has been no comprehensive plan announced at this juncture. The Pemex bonds declined 29.6 percent during the six-month period.

Sub-Adviser Outlook

While nearly all technical indicators that the Sub- Adviser follows are negative across most of the bond sectors, the Sub-Adviser believes that valuations are highly attractive in many of those same sectors. While fundamentals have been shaken and may be tested further, the Sub- Adviser is optimistic that there are many opportunities that have been exposed during the recent sell-off. Therefore, the Sub-Adviser is confident that bond sector positioning and security selection will become increasingly more relevant in the months and quarters ahead.

* Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2020.

Growth of $100,000 Investment

Total Returns (a) as of April 30, 2020
	Six		Annualized	Annualized
	Months	One Year	Five Years	Ten Years
Class N	0.38%	5.68%	2.42%	3.31%
Class C	(0.04)%	4.89%	1.66%	2.55%
Class A with load of 4.50%	(4.27)%	0.72%	1.23%	2.58%
Class A without load	0.25%	5.43%	2.16%	3.05%
Bloomberg Barclays US Aggregate Bond Index	4.86%	10.84%	3.80%	3.96%
Morningstar Intermediate Core Plus Bond Category	1.59%	6.67%	3.16%	3.98%

(a) Total Returns are calculated based on traded NAVs.

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

The Morningstar Intermediate Core Plus Bond Category is generally representative of intermediate-term bond mutual funds that primarily invest in corporate and other investment-grade U.S. fixed-income securities and typically have durations of 3.5 to 6.0 years. Funds in this category also invest in high-yield and foreign bonds.

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.20% for Class N, 1.95% for Class C and 1.45% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month- end, please call 1-800-442-4358 or visit our website www.dunham.com.

2

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund

April 30, 2020

	Variable	Principal		Interest		Maturity
Security	Rate	Amount		Rate %		Date	Value
CORPORATE BONDS & NOTES - 64.5%
AEROSPACE / DEFENSE - 0.6%
Boeing Co/The		$	33,000	5.805		5/1/2050	$	33,000
Boeing Co/The			33,000	5.930		5/1/2060		33,000
Howmet Aerospace, Inc.			50,000	6.875		5/1/2025		51,041
Signature Aviation US Holdings, Inc. - 144A			105,000	4.000		3/1/2028		89,738
TransDigm, Inc. - 144A			90,000	5.500		11/15/2027		76,469
								283,248
AGRICULTURE - 0.5%
BAT Capital Corp.			110,000	4.906		4/2/2030		124,070
Bunge Ltd. Finance Corp.			110,000	4.350		3/15/2024		114,838
								238,908
APPAREL - 0.4%
Hanesbrands, Inc. - 144A			45,000	5.375		5/15/2025		45,450
Under Armour, Inc.			75,000	3.250		6/15/2026		67,705
VF Corp.			74,000	2.400		4/23/2025		75,311
								188,466
AUTO MANUFACTURERS - 0.2%
Ford Motor Co.			103,000	9.000		4/22/2025		100,811
AUTO PARTS & EQUIPMENT - 0.6%
American Axle & Manufacturing, Inc.			80,000	6.500		4/1/2027		60,704
Dana, Inc.			105,000	5.375		11/15/2027		93,319
Lear Corp. ^			165,000	3.800		9/15/2027		153,500
								307,523
AUTOMOBILE ABS - 5.3%
American Credit Acceptance Receivables Trust 2018-3 - 144A			165,000	3.750		10/15/2024		164,248
American Credit Acceptance Receivables Trust 2019-2 - 144A			125,000	3.170		6/12/2025		121,776
Americredit Automobile Receivables Trust 2018-1			135,000	3.820		3/18/2024		132,891
Avid Automobile Receivables Trust 2018-1 - 144A			32,552	2.840		8/15/2023		32,508
Avis Budget Rental Car Funding AESOP LLC - 144A			155,000	2.360		3/20/2026		138,290
Avis Budget Rental Car Funding AESOP LLC - 144A			150,000	3.070		9/20/2023		140,721
Capital Auto Receivables Asset Trust 2017-1 - 144A			160,000	2.700		9/20/2022		157,236
Carmax Auto Owner Trust 2019-1			140,000	3.740		1/15/2025		138,810
Carvana Auto Receivables Trust 2019-1 - 144A			145,000	3.880		10/15/2024		143,802
Carvana Auto Receivables Trust 2019-3 - 144A			185,000	2.710		10/15/2024		175,648
Centre Point Funding LLC - 144A			5,788	2.610		8/20/2020		5,770
Drive Auto Receivables Trust 2019-4			135,000	2.510		11/17/2025		134,637
DT Auto Owner Trust 2019-1 - 144A			120,000	3.610		11/15/2024		119,964
First Investors Auto Owner Trust 2017-2 - 144A			135,000	2.650		11/15/2022		135,086
First Investors Auto Owner Trust 2019-1 - 144A			150,000	3.260		3/17/2025		146,954
GLS Auto Receivables Issuer Trust 2020-1 - 144A			190,000	2.430		11/15/2024		183,438
Hertz Vehicle Financing II LP - 144A			135,000	2.670		9/25/2021		129,111
OneMain Direct Auto Receivables Trust 2018-1 - 144A			125,000	3.850		10/14/2025		122,745
Santander Drive Auto Receivables Trust 2017-1			15,968	2.580		5/16/2022		15,976
Veros Automobile Receivables Trust 2020-1 - 144A			155,000	2.190		6/16/2025		151,450
Westlake Automobile Receivables Trust 2018-3 - 144A			150,000	3.610		10/16/2023		150,881
								2,641,942
BANKS - 5.9%
Bank of America Corp.			211,000	4.200		8/26/2024		228,663
Bank of Montreal	5 Year Swap Rate US + 1.432%		234,000	3.803	+	12/15/2032		241,679
BBVA Bancomer SA/Texas - 144A	5 Year Treasury Note + 2.650%		200,000	5.125	+	1/18/2033		173,760
Citigroup, Inc.			300,000	4.050		7/30/2022		315,124
Fifth Third Bancorp			18,000	2.550		5/5/2027		17,965
Goldman Sachs Group, Inc.			230,000	4.250		10/21/2025		247,261
JPMorgan Chase & Co.	SOFRRATE 3.125%		47,000	4.600	+	Perpetual		42,218
M&T Bank Corp.	3 Month LIBOR + 3.520%		109,000	5.125	+	Perpetual		109,999
Morgan Stanley			175,000	6.375		7/24/2042		270,831
PNC Financial Services Group, Inc.	3 Month LIBOR + 3.300%		170,000	5.000	+	Perpetual		173,046
Santander Holdings USA, Inc.			105,000	3.500		6/7/2024		106,376
Santander Holdings USA, Inc.			133,000	3.700		3/28/2022		134,779
Santander Holdings USA, Inc.			65,000	4.400		7/13/2027		66,328
Synovus Financial Corp.	5 Year Swap Rate US + 3.379%		70,000	5.900	+	2/7/2029		66,941
Toronto-Dominion Bank ^	5 Year Swap Rate US + 2.205%		195,000	3.625	+	9/15/2031		208,009
UBS AG/Stamford CT			250,000	7.625		8/17/2022		270,123
Wells Fargo & Co.			165,000	3.550		9/29/2025		178,470
Wells Fargo & Co.	3 Month LIBOR + 3.110%		115,000	5.900	+	Perpetual		116,805
								2,968,377

See accompanying notes to financial statements.

3

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund (Continued)

April 30, 2020

	Variable	Principal		Interest		Maturity
Security	Rate	Amount		Rate %		Date	Value
CORPORATE BONDS & NOTES - 64.5% (Continued)
BEVERAGES - 0.6%
Anheuser-Busch InBev Worldwide, Inc.		$	105,000	4.000		4/13/2028	$	116,737
Anheuser-Busch InBev Worldwide, Inc.			40,000	4.750		1/23/2029		46,357
Bacardi Ltd. - 144A			100,000	4.700		5/15/2028		109,399
								272,493
CHEMICALS - 0.8%
Olin Corp.			120,000	5.625		8/1/2029		109,008
PolyOne Corp. - 144A			78,000	5.750		5/15/2025		79,170
SABIC Capital II BV - 144A			200,000	4.500		10/10/2028		214,009
								402,187
COAL - 0.1%
Alliance Resource Operating Partners LP - 144A			70,000	7.500		5/1/2025		45,850
COMMERCIAL MBS - 5.1%
Aventura Mall Trust 2013-AVM - 144A			155,000	3.867	++	12/5/2032		157,051
Aventura Mall Trust 2013-AVM - 144A			100,000	3.867	++	12/5/2032		101,323
BAMLL Commercial Mortgage Securities Trust 2015-200P - 144A			105,000	3.218		4/14/2033		110,098
BX Trust 2019-OC11 - 144A			130,000	4.075	++	12/9/2041		114,681
BXMT 2020-FL2 Ltd. - 144A	1 Month LIBOR + 0.900%		135,000	1.651	+	2/16/2037		127,385
CHC Commercial Mortgage Trust 2019 - CHC - 144A	1 Month LIBOR + 1.120%		233,990	1.934	+	6/15/2034		213,489
Citigroup Commercial Mortgage Trust 2015-GC27			130,000	2.878		2/10/2048		134,939
Citigroup Commercial Mortgage Trust 2019-SST2 - 144A	1 Month LIBOR + 0.920%		145,000	1.734	+	12/15/2036		140,629
Credit Suisse Mortgage Capital Certificates 2019-ICE4 - 144A	1 Month LIBOR + 0.980%		205,000	1.794	+	5/15/2036		199,740
Exantas Capital Corp. - 144A	1 Month LIBOR + 1.150%		160,000	1.901	+	3/15/2035		149,283
GS Mortgage Securities Corp. Trust 2012-ALOHA - 144A			252,000	3.551		4/10/2022		255,566
GS Mortgage Securities Trust 2020-GC45			135,000	3.173		2/13/2053		143,747
Hilton USA Trust 2016-SFP - 144A			185,000	3.323		11/5/2035		174,782
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 - 144A			28,649	4.388		5/15/2021		29,224
JPMBB Commercial Mortgage Securities Trust 2015-C28			155,000	3.986		10/15/2048		153,491
JPMBB Commercial Mortgage Securities Trust 2015-C31			125,000	4.106		8/15/2048		132,498
One Market Plaza Trust 2017-1MKT - 144A			105,000	3.614		2/10/2024		109,626
WFRBS Commercial Mortgage Trust 2014-C24			125,000	3.931		11/15/2047		126,230
								2,573,782
COMMERCIAL SERVICES - 0.4%
ASGN, Inc. - 144A			55,000	4.625		5/15/2028		50,977
DP World PLC - 144A			100,000	6.850		7/2/2037		109,563
Garda World Security Corp. - 144A			55,000	4.625		2/15/2027		53,281
								213,821
COMPUTERS - 0.6%
Dell International LLC / EMC Corp. - 144A			155,000	6.020		6/15/2026		168,617
Hewlett Packard Enterprise Co. ^			100,000	4.900		10/15/2025		108,565
Science Applications International Corp. - 144A			5,000	4.875		4/1/2028		4,920
								282,102
CREDIT CARD ABS - 0.6%
Fair Square Issuance Trust - 144A			305,000	2.900		9/20/2024		289,477
DIVERSIFIED FINANCIAL SERVICES - 2.8%
AerCap Ireland Capital DAC / AerCap Global Aviation Trust			150,000	3.650		7/21/2027		126,495
Avolon Holdings Funding Ltd. - 144A			125,000	4.375		5/1/2026		107,473
Brightsphere Investment Group, Inc.			165,000	4.800		7/27/2026		150,681
Brookfield Finance LLC			174,000	4.000		4/1/2024		183,808
Capital One Financial Corp.			165,000	3.750		7/28/2026		163,650
Capital One Financial Corp.			120,000	4.200		10/29/2025		123,228
Charles Schwab Corp.	5 Year Treasury Note + 4.971%		112,000	5.375	+	Perpetual		114,940
Citadel LP - 144A			105,000	4.875		1/15/2027		104,399
Navient Corp.			25,000	5.000		3/15/2027		21,206
Navient Corp.			70,000	6.750		6/25/2025		65,188
Springleaf Finance Corp.			10,000	5.375		11/15/2029		8,348
Springleaf Finance Corp.			70,000	6.875		3/15/2025		66,637
Springleaf Finance Corp.			25,000	7.125		3/15/2026		23,680
Synchrony Financial			135,000	3.950		12/1/2027		124,624
								1,384,357
ELECTRIC - 2.1%
American Electric Power Co, Inc.			120,000	2.300		3/1/2030		119,085
DPL, Inc.			155,000	4.350		4/15/2029		151,368
Edison International			130,000	4.950		4/15/2025		142,158
Exelon Corp.			175,000	3.497		6/1/2022		180,418

See accompanying notes to financial statements.

4

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund (Continued)

April 30, 2020

	Variable	Principal		Interest		Maturity
Security	Rate	Amount		Rate %		Date	Value
CORPORATE BONDS & NOTES - 64.5% (Continued)
ELECTRIC - 2.1% (Continued)
Pennsylvania Electric Co. - 144A		$	140,000	3.600		6/1/2029	$	153,591
PSEG Power LLC			110,000	3.850		6/1/2023		117,087
Talen Energy Supply LLC - 144A			60,000	6.625		1/15/2028		56,874
Vistra Operations Co. LLC - 144A			130,000	4.300		7/15/2029		129,630
								1,050,211
ENERGY - ALTERNATE SOURCES - 0.2%
TerraForm Power Operating LLC - 144A			90,000	5.000		1/31/2028		94,019
ENTERTAINMENT - 0.2%
Eldorado Resorts, Inc.			35,000	6.000		9/15/2026		35,329
Gateway Casinos & Entertainment Ltd. - 144A			45,000	8.250		3/1/2024		38,129
Scientific Games International, Inc. - 144A			50,000	8.250		3/15/2026		37,985
Scientific Games International, Inc. - 144A			20,000	7.000		5/15/2028		14,493
								125,936
ENVIRONMENTAL CONTROL - 0.3%
Waste Connections, Inc.			125,000	2.600		2/1/2030		127,802
FOOD - 0.3%
Albertsons Cos Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC - 144A			105,000	4.625		1/15/2027		106,538
Albertsons Cos Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC - 144A			65,000	4.875		2/15/2030		66,300
								172,838
FOOD SERVICE - 0.1%
Aramark Services, Inc. - 144A			50,000	6.375		5/1/2025		52,125
HAND/MACHINE TOOLS - 0.3%
Stanley Black & Decker, Inc.	5 Year Treasury Note + 2.657%		140,000	4.000	+	3/15/2060		137,362
HEALTHCARE - SERVICES - 0.8%
Catalent Pharma Solutions, Inc. - 144A			15,000	5.000		7/15/2027		15,370
Centene Corp. - 144A			45,000	4.625		12/15/2029		49,484
Charles River Laboratories International, Inc. - 144A			25,000	4.250		5/1/2028		25,335
HCA, Inc.			135,000	4.125		6/15/2029		146,479
HCA, Inc.			65,000	5.375		2/1/2025		70,222
LifePoint Health, Inc. - 144A			35,000	4.375		2/15/2027		33,119
Tenet Healthcare Corp. - 144A			15,000	7.500		4/1/2025		16,208
Tenet Healthcare Corp. - 144A			50,000	5.125		11/1/2027		49,533
								405,750
HOME BUILDERS - 0.7%
M/I Homes, Inc. - 144A			105,000	4.950		2/1/2028		92,531
NVR, Inc.			36,000	3.000		5/15/2030		35,932
PulteGroup, Inc.			125,000	6.375		5/15/2033		133,525
TRI Pointe Group, Inc.			85,000	5.875		6/15/2024		83,079
								345,067
HOME EQUITY ABS - 0.1%
GSAA Trust 2005-1 AF4 (a)			8,010	5.619		11/25/2034		8,024
NovaStar Mortgage Funding Trust Series 2004-4	1 Month LIBOR + 1.725%		52,642	3.386	+	3/25/2035		52,490
								60,514
INSURANCE - 1.8%
Allstate Corp.	3 Month LIBOR + 2.938%		150,000	5.750	+	8/15/2053		153,193
Athene Holding Ltd.			135,000	4.125		1/12/2028		128,041
MetLife, Inc.	3 Month LIBOR + 2.959%		76,000	5.875	+	9/15/2166		78,342
Prudential Financial, Inc.	3 Month LIBOR + 3.920%		230,000	5.625	+	6/15/2043		237,751
Teachers Insurance & Annuity Association of America - 144A	3 Month LIBOR + 2.661%		110,000	4.375	+	9/15/2054		121,079
Trinity Acquisition PLC			60,000	4.400		3/15/2026		66,662
Voya Financial, Inc.	3 Month LIBOR + 3.580%		105,000	5.650	+	5/15/2053		103,083
								888,151
INTERNET - 0.5%
Tencent Holdings Ltd. - 144A			200,000	3.975		4/11/2029		226,121
INVESTMENT COMPANIES - 0.3%
Icahn Enterprises LP / Icahn Enterprises Finance Corp.			130,000	6.250		5/15/2026		128,352
IRON/STEEL - 0.1%
Cleveland-Cliffs, Inc. - 144A			75,000	6.750		3/15/2026		65,790

See accompanying notes to financial statements.

5

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund (Continued)

April 30, 2020

	Variable	Principal		Interest		Maturity
Security	Rate	Amount		Rate %		Date	Value
CORPORATE BONDS & NOTES - 64.5% (Continued)
MACHINERY- CONSTRUCTION & MINING - 0.2%
Oshkosh Corp.		$	113,000	4.600		5/15/2028	$	119,109
MANUFACTURED HOUSING ABS - 0.3%
Towd Point Mortgage Trust 2019-MH1 - 144A			133,831	3.000	++	11/25/2058		140,948
MEDIA - 0.5%
CCO Holdings LLC / CCO Holdings Capital Corp. - 144A			45,000	4.500		8/15/2030		45,788
Diamond Sports Group LLC / Diamond Sports Finance Co. - 144A			55,000	5.375		8/15/2026		42,059
Diamond Sports Group LLC / Diamond Sports Finance Co. - 144A			30,000	6.625		8/15/2027		16,565
DISH DBS Corp.			25,000	5.000		3/15/2023		23,906
Meredith Corp.			85,000	6.875		2/1/2026		73,338
Sirius XM Radio, Inc. - 144A			35,000	5.500		7/1/2029		37,086
								238,742
MINING - 0.9%
BHP Billiton Finance USA Ltd. - 144A	5 Year Swap Rate USD + 5.093%		200,000	6.750	+	10/19/2075		221,349
Glencore Funding LLC - 144A ^			165,000	4.000		3/27/2027		167,481
Novelis Corp. - 144A			55,000	4.750		1/30/2030		48,554
								437,384
MISCELLANEOUS MANUFACTURING - 0.8%
Carlisle Cos, Inc.			59,000	2.750		3/1/2030		54,507
General Electric Co.	3 Month LIBOR + 3.330%		136,000	5.000	+	12/29/2049		111,690
Hillenbrand, Inc.			65,000	4.500		9/15/2026		59,652
Pentair Finance Sarl			180,000	4.500		7/1/2029		194,489
								420,338
OIL & GAS - 2.3%
CrownRock LP / CrownRock Finance, Inc. - 144A			75,000	5.625		10/15/2025		61,227
Holly Frontier Corp.			165,000	5.875		4/1/2026		169,030
Nabors Industries, Inc.			60,000	5.750		2/1/2025		14,088
Parsley Energy LLC / Parsley Finance Corp. - 144A			100,000	4.125		2/15/2028		82,625
Patterson-UTI Energy, Inc.			80,000	5.150		11/15/2029		53,108
Pertamina Persero PT - 144A			200,000	6.450		5/30/2044		222,921
Petroleos Mexicanos - 144A			100,000	7.690		1/23/2050		74,000
Petronas Capital Ltd. - 144A			200,000	3.500		4/21/2030		209,707
State Oil Co. of the Azerbaijan Republic			200,000	6.950		3/18/2030		210,708
Transocean Guardian Ltd. - 144A			33,400	5.875		1/15/2024		26,052
								1,123,466
OIL & GAS SERVICES - 0.2%
USA Compression Partners LP / USA Compression Finance Corp.			105,000	6.875		4/1/2026		85,019
OTHER ABS - 8.6%
Ajax Mortgage Loan Trust 2019-D - 144A (a)			181,156	2.956		9/25/2065		183,952
American Homes 4 Rent 2014-SFR2 Trust - 144A			230,000	4.705		10/17/2036		238,504
American Homes 4 Rent 2015-SFR2 Trust - 144A			220,000	4.691		10/17/2045		223,370
AMSR 2020-SFR1 Trust - 144A			315,000	1.819		4/17/2025		326,355
Amur Equipment Finance Receivables VI LLC - 144A			101,560	3.890		7/20/2022		103,332
Aqua Finance Trust 2019-A - 144A			130,926	3.140		7/16/2040		131,753
Aqua Finance Trust 2019-A - 144A			180,000	4.010		7/16/2040		182,749
Bayview Opportunity Master Fund IVa Trust 2017-RT1 - 144A			58,394	3.000	++	3/28/2057		58,763
Bayview Opportunity Master Fund IVa Trust 2017-SPL5 - 144A			100,000	4.000	++	6/28/2057		98,845
BRE Grand Islander Timeshare Issuer 2019-A LLC - 144A			121,278	3.280		9/26/2033		121,816
CCG Receivables Trust 2019-2 - 144A			100,000	2.550		3/15/2027		100,025
CoreVest American Finance 2018-2 Trust - 144A			227,763	4.026		11/15/2052		235,908
CoreVest American Finance 2019-3 Trust - 144A			100,000	3.265		10/15/2052		79,873
Corevest American Finance 2020-1 Trust - 144A			159,734	1.832		3/15/2050		158,155
Diamond Resorts Owner Trust - 144A			52,098	3.270		10/22/2029		50,951
Foundation Finance Trust 2019-1 - 144A			95,784	3.860		11/15/2034		94,590
Jersey Mike’s Funding - 144A			130,000	4.433		2/15/2050		119,374
Marlette Funding Trust 2019-4 - 144A			116,466	2.390		12/17/2029		114,651
MVW 2019-2 LLC - 144A			141,384	2.220		10/20/2038		128,477
MVW Owner Trust 2016-1 - 144A			42,406	2.250		12/20/2033		41,445
Orange Lake Timeshare Trust 2019-A - 144A			110,279	3.360		4/9/2038		103,628
Small Business Lending Trust 2019-A - 144A			85,257	2.850		7/15/2026		82,984
Sofi Consumer Loan Program 2017-5 LLC - 144A			58,231	2.780		9/25/2026		56,315
Sofi Consumer Loan Program 2017-6 LLC - 144A			50,672	2.820		11/25/2026		50,324
Towd Point Mortgage Trust 2015-1 - 144A			172,000	3.250	++	10/25/2053		173,264
Towd Point Mortgage Trust 2017-1 - 144A			115,000	3.750	++	10/25/2056		116,970

See accompanying notes to financial statements.

6

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund (Continued)

April 30, 2020

	Variable	Principal		Interest		Maturity
Security	Rate	Amount		Rate %		Date	Value
CORPORATE BONDS & NOTES - 64.5% (Continued)
OTHER ABS - 8.6% (Continued)
Towd Point Mortgage Trust 2017-6 - 144A		$	135,000	3.000	++	10/25/2057	$	137,329
Towd Point Mortgage Trust 2018-4 - 144A			191,281	3.000	++	6/25/2058		196,399
Towd Point Mortgage Trust 2018-6 - 144A			185,000	3.750	++	3/25/2058		174,074
Towd Point Mortgage Trust 2018-SJ1 - 144A			122,843	4.000	++	10/25/2058		124,167
Tricon American Homes 2017-SFR1 Trust - 144A			99,292	2.716		9/17/2022		100,429
TRIP Rail Master Funding LLC - 144A			78,279	2.709		8/15/2047		78,053
VOLT LXIV LLC - 144A (a)			48,333	3.375		10/25/2047		45,879
VSE 2017-A VOI Mortgage LLC - 144A			61,230	2.330		3/20/2035		58,054
								4,290,757
PACKAGING & CONTAINERS - 0.4%
Greif, Inc. - 144A			70,000	6.500		3/1/2027		70,326
Sonoco Products Co.			150,000	3.125		5/1/2030		150,411
								220,737
PHARMACEUTICALS - 1.2%
CVS Health Corp.			110,000	2.875		6/1/2026		115,762
Mylan NV			145,000	3.950		6/15/2026		154,107
Par Pharmaceutical, Inc. - 144A			50,000	7.500		4/1/2027		51,127
Perrigo Finance Unlimited Co.			200,000	4.375		3/15/2026		214,134
Teva Pharmaceutical Finance Netherlands III BV			85,000	3.150		10/1/2026		74,486
								609,616
PIPELINES - 2.2%
Boardwalk Pipelines LP			110,000	4.950		12/15/2024		98,609
Cheniere Energy Partners LP			55,000	5.625		10/1/2026		52,816
Cheniere Energy Partners LP - 144A			55,000	4.500		10/1/2029		50,993
Energy Transfer Partners LP			165,000	4.200		4/15/2027		155,705
Kinder Morgan Inc/DE			160,000	4.300		6/1/2025		171,318
Kinder Morgan Inc/DE			45,000	7.750		1/15/2032		57,875
MPLX LP			55,000	4.875		12/1/2024		54,722
MPLX LP - 144A			135,000	4.250		12/1/2027		130,053
Sabine Pass Liquefaction LLC			25,000	4.200		3/15/2028		24,506
Sabine Pass Liquefaction LLC			100,000	6.250		3/15/2022		103,231
Targa Resources Partners LP			100,000	5.875		4/15/2026		90,120
Valero Energy Partners LP			120,000	4.500		3/15/2028		124,718
								1,114,666
PRIVATE EQUITY - 0.3%
Apollo Management Holdings LP - 144A			135,000	4.000		5/30/2024		139,304
REC VEHICLE LOAN ABS - 0.2%
Octane Receivables Trust 2019-1 - 144A			104,657	3.160		9/20/2023		104,768
REITS - 3.2%
Corporate Office Properties LP			196,000	3.600		5/15/2023		198,436
EPR Properties			220,000	4.750		12/15/2026		186,709
ESH Hospitality, Inc. - 144A			80,000	4.625		10/1/2027		72,600
GLP Capital LP / GLP Financing II, Inc.			155,000	5.750		6/1/2028		153,574
Healthcare Realty Trust, Inc.			90,000	3.875		5/1/2025		91,217
Healthcare Trust of America Holdings LP			15,000	3.100		2/15/2030		13,917
Healthcare Trust of America Holdings LP			150,000	3.750		7/1/2027		149,116
Iron Mountain, Inc. - 144A			110,000	4.875		9/15/2029		105,963
iStar, Inc.			105,000	4.250		8/1/2025		83,606
Ladder Capital Finance Holdings LLLP - 144A			80,000	4.250		2/1/2027		56,100
MPT Operating Partnership LP / MPT Finance Corp.			25,000	4.625		8/1/2029		24,977
MPT Operating Partnership LP / MPT Finance Corp.			85,000	5.000		10/15/2027		87,235
Office Properties Income Trust			170,000	4.500		2/1/2025		161,523
Retail Opportunity Investments Partnership LP			105,000	4.000		12/15/2024		96,517
Service Properties Trust			165,000	4.950		2/15/2027		127,934
								1,609,424
RETAIL - 0.6%
Lithia Motors, Inc. - 144A			40,000	4.625		12/15/2027		38,050
QVC, Inc.			75,000	4.375		3/15/2023		71,993
QVC, Inc.			85,000	4.750		2/15/2027		76,916
Ross Stores Inc			100,000	4.800		4/15/2030		109,490
								296,449

See accompanying notes to financial statements.

7

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund (Continued)

April 30, 2020

	Variable	Principal		Interest		Maturity
Security	Rate	Amount		Rate %		Date	Value
CORPORATE BONDS & NOTES - 64.5% (Continued)
SOFTWARE - 0.7%
Citrix Systems, Inc.		$	190,000	3.300		3/1/2030	$	193,050
MSCI, Inc. - 144A			81,000	4.000		11/15/2029		85,069
MSCI, Inc. - 144A			5,000	3.625		9/1/2030		5,086
Vmware, Inc.			55,000	4.700		5/15/2030		59,029
								342,234
TELECOMMUNICATIONS - 1.4%
Frontier Communications Corp. - 144A			70,000	8.500		4/1/2026		65,076
Juniper Networks, Inc.			120,000	3.750		8/15/2029		127,037
Motorola Solutions, Inc.			96,429	4.600		2/23/2028		107,155
Motorola Solutions, Inc.			50,000	4.600		5/23/2029		56,888
Sprint Spectrum Co. LLC - 144A			150,000	3.360		9/20/2021		150,847
Telesat Canada - 144A			45,000	4.875		6/1/2027		44,606
T-Mobile USA, Inc. - 144A			145,000	3.875		4/15/2030		159,852
								711,461
TRUCKING & LEASING - 0.6%
Aviation Capital Group LLC - 144A			205,000	3.500		11/1/2027		149,518
Penske Truck Leasing Co. LP - 144A			140,000	4.125		8/1/2023		145,505
								295,023
WHOLE LOAN COLLATERAL CMO - 7.6%
Arroyo Mortgage Trust 2019-1 - 144A			147,524	3.920	++	1/25/2049		149,678
Arroyo Mortgage Trust 2019-2 - 144A			78,342	3.347	++	4/25/2049		78,142
Banc of America Funding 2005-1 Trust			37,710	5.500		2/25/2035		37,365
Chase Home Lending Mortgage Trust 2019-ATR1 - 144A			46,792	4.000	++	4/25/2049		47,239
Chase Mortgage Finance Corp. - 144A			105,339	3.750	++	4/25/2045		108,198
Chase Mortgage Finance Corp. - 144A			71,676	3.750	++	2/25/2044		71,537
Citigroup Mortgage Loan Trust 2019-IMC1 - 144A			100,250	2.720	++	7/25/2049		99,426
Citigroup Mortgage Loan Trust, Inc.			40,221	6.750		8/25/2034		42,653
Deephaven Residential Mortgage Trust 2017-2 - 144A			35,367	2.453	++	6/25/2047		34,676
Ellington Financial Mortgage Trust 2019-2 - 144A			89,172	3.046	++	11/25/2059		88,422
Galton Funding Mortgage Trust 2017-1 - 144A			71,369	3.500	++	11/25/2057		72,686
Galton Funding Mortgage Trust 2018-2 - 144A			48,847	4.500	++	10/25/2058		49,904
Galton Funding Mortgage Trust 2019-H1 - 144A			123,414	2.657	++	10/25/2059		125,231
Homeward Opportunities Fund I Trust 2018-2 - 144A			160,184	3.985	++	11/25/2058		161,050
JP Morgan Mortgage Trust 2005-A5			59,274	4.106	++	8/25/2035		55,359
JP Morgan Mortgage Trust 2017-5 - 144A			209,498	3.149	++	12/15/2047		212,253
LHOME Mortgage Trust 2019-RTL1 - 144A (a)			145,000	4.580		10/25/2023		136,421
MASTR Alternative Loan Trust 2004-4			42,254	5.500		4/25/2034		44,141
Metlife Securitization Trust - 144A			100,000	3.691	++	4/25/2055		94,277
Metlife Securitization Trust 2019-1 - 144A			122,830	3.750	++	4/25/2058		131,341
New Residential Mortgage Loan Trust 2016-4 - 144A			84,164	3.750	++	11/25/2056		86,272
New Residential Mortgage Loan Trust 2018-1 - 144A			170,566	4.000	++	12/25/2057		179,401
New Residential Mortgage Loan Trust 2020-1 - 144A			125,170	3.500	++	10/25/2059		134,625
OBX 2018-EXP2 Trust - 144A			89,889	4.000	++	11/25/2048		91,149
OBX 2019-INV1 Trust - 144A			106,555	4.500	++	11/25/2048		110,619
RCKT Mortgage Trust 2020-1 - 144A			265,877	3.000	++	2/25/2050		272,142
RCO V Mortgage LLC 2019-1 - 144A (a)			172,101	3.721		5/24/2024		160,795
Residential Mortgage Loan Trust 2019-2 - 144A			140,763	5.500	++	5/25/2059		139,715
Residential Mortgage Loan Trust 2020-1 - 144A			108,075	2.913	++	2/25/2024		106,508
Thornburg Mortgage Securities Trust 2004-2	1 Month LIBOR + 0.620%		79,507	2.281	+	6/25/2044		72,989
Towd Point HE Trust 2019-HE1 - 144A	1 Month LIBOR + 0.900%		139,057	2.561	+	4/25/2048		136,339
Verus Securitization Trust 2018-2 - 144A			105,000	2.929	++	6/1/2058		96,081
Verus Securitization Trust 2018-3 - 144A			81,564	4.426	++	10/25/2058		82,679
Verus Securitization Trust 2019-INV2 - 144A			301,202	4.108	++	7/25/2059		300,639
								3,809,952
TOTAL CORPORATE BONDS & NOTES (Cost - $32,714,512)								32,182,779
FOREIGN GOVERNMENT BONDS - 0.2%
Turkey Government International Bond (Cost - $85,419)			85,000	7.375		2/5/2025		86,610
MUNICIPAL BONDS - 6.7%
City of Bristol VA			340,000	4.210		1/1/2042		354,141
Clackamas & Washington Counties School District No 3			120,000	5.000		6/15/2032		155,422
Idaho Health Facilities Authority			135,000	5.020		3/1/2048		166,901
Klein Independent School District			95,000	5.000		8/1/2032		122,533
Massachusetts Bay Transportation Authority			120,000	5.250		7/1/2032		164,099

See accompanying notes to financial statements.

8

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund (Continued)

April 30, 2020

	Variable	Principal		Interest		Maturity
Security	Rate	Amount		Rate %		Date	Value
MUNICIPAL BONDS - 6.7% (Continued)
Rockdale County Water & Sewerage Authority		$	305,000	3.060		7/1/2024	$	318,838
Sales Tax Securitization Corp.			20,000	3.411		1/1/2043		18,848
San Diego County Regional Airport Authority			325,000	5.594		7/1/2043		358,274
State of California			385,000	7.600		11/1/2040		665,249
State of Texas			245,000	3.011		10/1/2026		262,574
State of Texas			600,000	3.211		4/1/2044		640,536
University of California			115,000	4.428		5/15/2048		126,929
TOTAL MUNICIPAL - (Cost - $3,114,291)								3,354,344
U.S. GOVERNMENT & AGENCY - 18.3%
U.S. GOVERNMENT AGENCY - 6.4%
Fannie Mae Pool			15,902	6.000		11/1/2034		18,387
Fannie Mae Pool			13,925	6.000		3/1/2036		16,071
Fannie Mae Pool			130,121	5.500		9/1/2036		148,730
Fannie Mae Pool			54,259	6.500		5/1/2037		66,043
Fannie Mae Pool			25,158	5.500		4/1/2038		28,812
Fannie Mae Pool			20,531	5.000		4/1/2038		23,457
Fannie Mae Pool			62,461	6.000		8/1/2038		71,877
Fannie Mae Pool			130,161	5.000		6/1/2039		148,891
Fannie Mae Pool			167,584	4.000		9/1/2044		183,201
Fannie Mae Pool			152,997	3.500		1/1/2046		164,600
Fannie Mae Pool			237,364	4.000		4/1/2046		256,473
Fannie Mae Pool			377,153	4.000		4/1/2048		403,101
Fannie Mae Pool			171,587	3.000		9/1/2049		181,460
Fannie Mae Pool			469,238	3.500		10/1/2049		495,994
Fannie Mae Pool			229,782	3.000		1/1/2050		243,003
Fannie Mae Pool			544,712	3.000		1/1/2050		576,054
Freddie Mac Gold Pool			146,165	5.000		12/1/2035		167,393
Freddie Mac Gold Pool			22,511	5.500		10/1/2039		25,751
								3,219,298
U.S. TREASURY OBLIGATIONS - 11.9%
United States Treasury Bond ^			590,000	3.000		8/15/2048		832,292
United States Treasury Bond ^			1,100,000	2.875		5/15/2049		1,527,969
United States Treasury Bond ^			1,260,000	2.000		2/15/2050		1,486,849
United States Treasury Note			480,000	2.875		8/15/2028		569,663
United States Treasury Note ^			160,000	2.625		2/15/2029		187,931
United States Treasury Note			660,000	2.250		3/31/2021		672,800
United States Treasury Note ^			605,000	2.000		2/15/2025		652,360
								5,929,864
TOTAL U.S. GOVERNMENT & AGENCY (Cost - $8,410,949)								9,149,162
BANK LOANS - 5.4%
AEROSPACE - 0.3%
AI Convoy Luxembourg Sarl Facility B	1 Month LIBOR + 3.500%		95,000	4.251	+	1/20/2027		90,329
TransDigm, Inc. New Tranche E Term Loan	1 Month LIBOR + 2.500%		49,248	2.688	+	5/30/2025		43,434
								133,763
AIRLINES - 0.2%
American Airlines, Inc. 2018 Replacement Term Loan	3 Month LIBOR + 1.750%		105,000	2.320	+	6/27/2025		75,075
AUTO MANUFACTURERS - 0.2%
Navistar, Inc. Tranche B Term Loan	3 Month LIBOR + 3.500%		88,425	4.531	+	10/31/2026		80,757
AUTO PARTS & EQUIPMENT - 0.2%
Clarios Global LP Initial Dollar Term Loan (First Lien)	3 Month LIBOR + 3.500%		64,675	3.938	+	3/18/2026		58,822
Cooper-Standard Automotive, Inc. Additional Term B-1 Loan	3 Month LIBOR + 2.000%		69,322	2.750	+	11/2/2023		51,992
								110,814
BUILDING MATERIALS - 0.3%
AZEK Co LLC/The New Term Loan	3 Month LIBOR + 3.750%		69,033	5.125	+	5/4/2024		63,148
Ingersoll-Rand Services Co. 2020 Spinco Tranche B-1 Dollar Term Loan	1 Month LIBOR + 1.750%		10,000	2.732	+	2/28/2027		9,546
Summit Materials LLC New Term Loan	3 Month LIBOR + 2.000%		98,489	2.438	+	11/10/2024		93,638
								166,332
CHEMICALS - 0.1%
HB Fuller Co. Commitment	3 Month LIBOR + 2.000%		50,000	2.751	+	10/20/2024		48,238
COMMERCIAL SERVICES - 0.2%
CHG Healthcare Services, Inc. New Term Loan (2017) (First Lien)	3 Month LIBOR + 3.000%		77,215	4.375	+	6/7/2023		73,527

See accompanying notes to financial statements.

9

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund (Continued)

April 30, 2020

	Variable	Principal		Interest		Maturity
Security	Rate	Amount		Rate %		Date	Value
BANK LOANS - 5.4% (Continued)
DISTRIBUTION/WHOLESALE- 0.2%
American Builders & Contractors Supply Co., Inc. Restatement Effective Date Term Loan	1 Month LIBOR + 2.000%	$	104,475	2.438	+	1/15/2027	$	98,413
ELECTRIC - 0.3%
APLP Holdings LP Term Loan (2020)	1 Month LIBOR + 2.500%		56,842	3.500	+	4/19/2025		54,808
Calpine Corp. Term Loan (2019)	1 Month LIBOR + 2.250%		99,250	2.688	+	4/1/2026		95,962
								150,770
ENGINEERING & CONSTRUCTION - 0.0%
Atlantic Aviation FBO, Inc. Term Loan	3 Month LIBOR + 3.750%		14,813	4.188	+	11/30/2025		13,418
FOOD SERVICE - 0.2%
Aramark Services, Inc. U.S. Term B-4 Loan	1 Month LIBOR + 1.750%		25,000	2.614	+	12/10/2026		23,563
TKC Holdings, Inc. Initial Term Loan (First Lien)	3 Month LIBOR + 3.750%		81,855	4.750	+	2/1/2023		75,275
								98,838
HEALTHCARE - SERVICES - 0.5%
Catalent Pharma Solutions, Inc. Dollar Term B-2 Loan	3 Month LIBOR + 2.250%		50,000	3.942	+	5/10/2026		49,229
Iqvia, Inc. Term B-3 Dollar Loan	3 Month LIBOR + 1.750%		108,075	3.125	+	6/8/2025		104,157
LifePoint Health, Inc. Term B Loan (First Lien)	1 Month LIBOR + 3.750%		102,732	4.188	+	11/16/2025		95,655
Select Medical Corp. Tranche B Term Loan	3 Month LIBOR + 2.500%		14,981	3.125	+	3/6/2025		14,337
								263,378
HOUSEHOLD PRODUCTS - 0.2%
KIK Custom Products, Inc. Initial Loan	3 Month LIBOR + 4.000%		108,120	5.000	+	5/15/2023		97,518
Reynolds Consumer Products LLC Initial Term Loan	1 Month LIBOR + 1.750%		15,000	2.237	+	1/30/2027		14,517
								112,035
INSURANCE - 0.2%
Sedgwick Claims Management Services, Inc. Initial Term Loan	3 Month LIBOR + 3.250%		103,935	3.688	+	11/5/2025		96,270
INTERNET- 0.1%
Pug LLC USD Term B Loan	1 Month LIBOR + 3.500%		65,000	3.987	+	12/31/2049		53,733
LODGING - 0.1%
Station Casinos LLC Term B-1 Facility Loan	1 Month LIBOR + 2.250%		39,739	2.737	+	1/31/2027		35,288
MACHINERY CONSTRUCTION & MINING - 0.2%
Brookfield WEC Holdings, Inc. Initial Term Loan (2020)	1 Month LIBOR + 3.000%		118,699	3.750	+	8/1/2025		113,001
MACHINERY DIVERSIFIED - 0.1%
Star US Bidco LLC Initial Term Loan	1 Month LIBOR + 4.250%		75,000	5.250	+	3/3/2027		60,188
MEDIA / TELECOMMUNICATIONS - 0.2%
Nexstar Broadcasting, Inc. Term B-4 Loan	1 Month LIBOR + 2.750%		81,653	3.739	+	9/18/2026		77,175
Ziggo BV Term Loan I Facility	3 Month LIBOR + 2.500%		20,000	3.314	+	4/30/2028		18,825
								96,000
OIL & GAS - 0.1%
CITGO Petroleum Corp. 2019 Incremental Term B Loan	3 Month LIBOR + 5.000%		64,350	6.000	+	3/27/2024		57,915
PACKAGING & CONTAINERS - 0.1%
Berry Global, Inc. Term Y Loan	1 Month LIBOR + 2.000%		54,588	2.829	+	5/17/2026		52,323
PHARMACEUTICALS - 0.1%
Bausch Health Americas, Inc. Initial Term Loan	3 Month LIBOR + 3.000%		8,250	3.751	+	6/1/2025		8,002
Bausch Health Americas, Inc. First Incremental Term Loan	3 Month LIBOR + 2.750%		25,500	3.501	+	6/1/2025		24,600
								32,602
PIPELINES - 0.0%
Buckeye Partners LP Initial Term Loan	1 Month LIBOR + 3.000%		25,000	3.743	+	10/16/2026		23,578
REGIONAL - 0.2%
Seminole Tribe of Florida, Inc. 2018 Replacement Term B Loan	3 Month LIBOR + 1.750%		93,184	2.188	+	7/6/2024		88,758
SOFTWARE - 0.4%
Boxer Parent Co, Inc. Initial Dollar Term Loan	3 Month LIBOR + 4.250%		43,952	4.688	+	6/28/2025		38,184
Dun & Bradstreet Corp/The Initial Dollar Term Loan	1 Month LIBOR + 4.000%		95,000	4.570	+	2/1/2026		89,347
Kronos Inc/MA Incremental Term Loan (First Lien)	3 Month LIBOR + 3.000%		78,400	4.763	+	11/1/2023		76,052
								203,583
TELECOMMUNICATIONS - 0.7%
CenturyLink, Inc. Term B Loan	1 Month LIBOR + 2.500%		44,888	2.737	+	3/15/2027		42,646
CommScope, Inc. Initial Term Loan	3 Month LIBOR + 3.250%		39,800	3.688	+	2/7/2026		37,746
Consolidated Communications, Inc. Initial Term Loan	3 Month LIBOR + 3.000%		44,884	4.000	+	10/5/2023		40,097

See accompanying notes to financial statements.

10

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Corporate/Government Bond Fund (Continued)

April 30, 2020

	Variable	Principal		Interest		Maturity
Security	Rate	Amount		Rate %		Date	Value
BANK LOANS - 5.4% (Continued)
TELECOMMUNICATIONS - 0.7%
Telenet Financing USD LLC Term Loan AR Facility	6 Month LIBOR + 2.000%	$	110,000	2.814	+	4/30/2028	$	105,188
T-Mobile USA, Inc. Term Loan	1 Month LIBOR + 3.000%		70,000	3.370	+	4/1/2027		69,639
Zayo Group Holdings, Inc. Initial Dollar Term Loan	1 Month LIBOR + 3.000%		85,000	3.921	+	2/21/2027		80,104
								375,420
TOTAL BANK LOANS - (Cost - $2,917,650)								2,714,017
		Shares
EXCHANGE TRADED FUNDS - 0.5%
iShares iBoxx High Yield Corporate Bond ETF			635					51,073
SPDR Bloomberg Barclays High Yield Bond ETF			2,094					207,369
TOTAL EXCHANGE TRADED FUNDS (Cost - $260,623)								258,442
SHORT- TERM INVESTMENT - 0.9%
MONEY MARKET - 0.9%
Fidelity Investments Money Market Fund - Class I			456,163	0.160	+			456,163
TOTAL SHORT-TERM INVESTMENT (Cost - $456,163)
COLLATERAL FOR SECURITIES LOANED - 10.9%
Mount Vernon Prime Portfolio #			5,450,279	0.480	+			5,450,279
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $5,450,279)
TOTAL INVESTMENTS - 107.4% (Cost - $53,409,886)							$	53,651,796
LIABILITIES IN EXCESS OF OTHER ASSETS - (7.4)%								(3,712,676	)
NET ASSETS - 100.0%							$	49,939,120

LLC - Limited Liability Corporation

ABS - Asset Backed Security

MBS - Mortgage Backed Security

CMO - Collateralized Mortgage Obligation

LP - Limited Partnership

REITS - 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 $5,315,151 at April 30, 2020.

+ Variable rate security. Interest rate is as of April 30, 2020.

++ Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The 144A securities amounted to $18,138,718 or 36.32% of net assets.

# The Trust’s securities lending policies and procedures require that the borrower. (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

(a) Step-Up Bond; the interest rate shown is the rate in effect as of April 30, 2020.

Portfolio Composition * - (Unaudited)
Corporate Bonds & Notes	60.0	%	Exchange Traded Funds	0.5	%
U.S. Government & Agencies	17.0	%	Foreign Government Bonds	0.1	%
Municipal	6.3	%	Others **	11.0	%
Bank Loans	5.1	%	Total	100.0	%

* Based on total value of investments as of April 30, 2020.

** Includes collateral for securities loaned as of April 30, 2020.

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

See accompanying notes to financial statements.

11

Dunham Floating Rate Bond Fund (Unaudited)

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

Asset Class Recap

Since the start of the fiscal year, the 10-year U.S. Treasury yield has been in a general decline. After declining 17 basis points during the first fiscal quarter, the Fed’s actions in the second fiscal quarter to help maintain liquidity and support the economy amidst the virus-caused shutdowns saw the yield plummet another 90 basis points. Therefore, the already weakened demand for instruments such as bank loans did not receive any new tailwinds. Traditional high- yield bonds, as measured by the BofA Merrill Lynch High- Yield Bond Index, decreased 7.6 percent during the six-month period, and bank loans, as measured by the Credit Suisse Leveraged Loan Index, decreased 7.5 percent. As high- yield bonds saw yields surge 201 basis points, 3-month LIBOR dropped 134 basis points, impacting the overall yield offered in bank loans. Therefore, the semi-annual period ended with bank loans yielding 55 basis points less than traditional high- yield bonds, slightly wider than at the beginning of the fiscal year despite having a nearly identical return.

Portfolio Review

The Sub- Adviser has consistently maintained a slightly more defensive stance relative to the benchmark index, which generally benefitted the Fund on a relative basis heading into the most dire days and weeks of the crisis. This same positioning generally detracted during April’s rally, as the lowest credit quality loans generally outpaced higher-rated loans. The Fund had an overweight position in the auto industry, as well as gaming and leisure, which were initial drags on the Fund in the heat of the crisis. These industry-level overweights relative to the benchmark index were partially offset by underweights to the energy and retail industries. Despite the strong rally in the energy industry as well as lower-rated bank loans, the Sub-Adviser is cautious about what it believes will be an aggressive downgrade schedule. Specifically, it believes that the primary credit rating agencies will seek to make downgrades more quickly, so as to avoid some of the criticism they received during the Global Financial Crisis when downgrades appeared to be slow despite crumbling fundamentals. The average duration of the bank loans in the Fund ended April at 0.44 years, which is slightly higher than the 0.35 years at the beginning of the fiscal year. The Fund did not have any exposure to derivatives during the six-month period that meaningfully affected performance.

Holdings Insights

During the semi-annual period, very few holdings in the Fund that were held since the start of the fiscal year experienced positive returns. Those positive performing holdings included the One Call Corp. bond maturing in 2024 (682322AE2) (holding weight*: 0.32 percent), a health care services provider, and the Bausch Health Companies Inc. bond maturing in 2025 (91911KAN2) (holding weight*: 0.28 percent), a drug developer primarily focused on central nervous system disorders and gastrointestinal diseases. During the six-month period, the One Call Corp. bond and the Bausch Health bond, returned 1.1 percent and 2.1 percent, respectively. Although it was not positive across the entire six-month period, the bank loan of TKC Holdings Inc. (BL2726547) (holding weight*: 0.38 percent), a food and personal care products provider, declined only 2.6 percent. TKC Holdings was also one of the few positive bank loan performers in the second fiscal quarter, as its increased 0.1 percent during the three- month period. While not unscathed during the tumultuous months of February and March, these holdings appreciated primarily due to their respective industry exposures and corresponding lack of impact directly from the virus and related global shutdown. For example, One Call Corp. and Bausch Health were in the less affected segments of the healthcare and pharmaceutical industries, while TKC Holdings’ food distribution was in high demand throughout the shutdown.

As the vast majority of bank loans were adversely affected during the broad declines experienced in the latter months of the semi-annual period, some of the largest holdings that the Sub-Adviser retained despite the steep decline in March included the Charter Communications bank loan maturing in 2027 (BL3196914) (holding weight*: 1.29 percent), a cable broadcasting and internet services provider, the Ineos U.S. Finance LLC bank loan maturing in 2024 (BL2552414) (holding weight*: 1.30 percent), a chemical manufacturer, and the Kronos, Inc. bank loan maturing in 2023 (BL2654699) (holding weight*: 1.30 percent), a workforce management solutions provider. During the six-month period, including the months when most of the carnage was experienced, the Charter Communications, Ineos U.S. Finance, and Kronos bank loan prices depreciated 4.0 percent, 4.2 percent, and 2.9 percent, respectively. While not necessarily the largest positions, two of the greatest overall detractors from performance, when considering both holding size in the Fund as well as the magnitude of the decline, during the semi-annual period were the Univision Communications Inc. bank loan maturing in 2024 (BL2380501) (holding weight*: 1.18 percent), a Spanish language broadcasting company, and the Golden Nugget LLC bank loan maturing in 2023 (BL3294289) (holding weight*: 0.71 percent), a casino owner/operator. Since the start of the fiscal year, the Univision Communications bank loan depreciated 8.6 percent while the Golden Nugget LLC bank loan declined 18.5 percent since it was purchased at the end of January.

During the broad sell-off, the Sub-Adviser added new holdings as it attempted to reduce the exposures to holdings it believed were less likely to recover from the global shutdown. Some of the larger holdings that were added to the Fund included the AlixPartners LLP. bank loan maturing in 2024 (BL3287630) (holding weight*: 0.70 percent), a financial advisory and global consulting firm, the T-Mobile USA Inc. bank loan maturing in 2027 (BL2694554) (holding weight*: 0.67 percent), one of the four national wireless carries in the United States, and the SS&C Technologies, Inc. bank loan maturing in 2025 (BL3291848) (holding weight*: 0.60 percent), a financial software solutions developer.

Sub-Adviser Outlook

At the beginning of the fiscal year, the Sub-Adviser believed that default rates may continue to inch upward during 2020, but given the effects of the shutdown, the Sub-Adviser anticipates the rate of defaults to spike. As some companies have already missed payments, the Sub-Adviser is cautious about being lured into depressed bank loan prices where a recovery or rebound may have an even lower chance of coming to fruition. Therefore, the Sub-Adviser has been more selective in the individual issuers that it considers for holdings within the Fund. This approach of being cautious and selective is not a new mantra for the Sub-Adviser.

* Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2020.

Growth of $100,000 Investment

Total Returns (a) as of April 30, 2020
				Annualized
			Annualized	Since Inception
	Six Months	One Year	Five Years	(11/1/13)
Class N	(7.70)%	(7.61)%	0.79%	1.12%
Class C	(8.05)%	(8.22)%	0.06%	0.37%
Class A with load of 4.50%	(11.87)%	(11.90)%	(0.37)%	0.16%
Class A without load	(7.72)%	(7.75)%	0.56%	0.87%
Credit Suisse Leveraged Loan Total Return Index	(7.50)%	(7.11)%	1.88%	2.39%
Morningstar Bank Loan Category	(7.48)%	(7.38)%	1.07%	1.48%

(a) Total Returns are calculated based on traded NAVs.

The Credit Suisse Leveraged Loan Total Return Index tracks the investable market of the U.S. dollar denominated leveraged loan market. It consists of issues rated “5B” or lower, meaning that the highest rated issues included in this index are Moody’s/S&P ratings of Baa1/BB+ or Ba1/BBB+. All loans are funded term loans with a tenor of at least one year and are made by issuers domiciled in developed countries.

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

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including cost of underlying funds, are 1.02% 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

12

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Floating Rate Bond Fund

April 30, 2020

	Variable		Principal		Interest		Maturity
Security	Rate		Amount		Rate %		Date	Value
BANK LOANS - 90.2%
BASIC MATERIALS - 3.7%
Acuity Specialty Products, Inc., Initial Term Loan (First Lien)	LIBOR + 4.000	%	$	273,000	5.375	+	8/12/2024	$	206,542
Ascend Performance Materials Operations LLC, Initial Term Loan	LIBOR + 5.250	%		223,875	6.625	+	8/28/2026		205,965
Covia Holdings Corp., Initial Term Loan	LIBOR + 4.000	%		460,531	5.373	+	5/31/2025		218,552
Diamond BV, Initial USD Term Loan	LIBOR + 3.000	%		928,715	5.840	+	9/06/2024		802,470
Element Solutions, Inc., Tranche B-1 Term Loan	LIBOR + 2.000	%		725,840	2.438	+	1/30/2026		698,621
H.B. Fuller Co., Commitment Loan	LIBOR + 2.000	%		579,994	2.751	+	10/20/2024		559,549
Hexion, Inc., USD Term Loan	LIBOR + 3.500	%		570,688	4.950	+	6/30/2026		547,951
Ineos US Finance LLC, New 2024 Dollar Term Loan	LIBOR + 2.000	%		2,281,800	2.438	+	3/31/2024		2,167,858
Innophos Holdings, Inc., Initial Term Loan	LIBOR + 3.750	%		445,000	4.671	+	2/04/2027		424,975
									5,832,483
COMMUNICATIONS - 17.2%
Advantage Sales & Marketing, Inc., Initial Term Loan (First Lien)	LIBOR + 3.250	%		384,220	4.625	+	7/24/2021		331,870
Altice France SA, USD TLB-13 Incremental Term Loan	LIBOR + 4.000	%		231,475	4.829	+	8/14/2026		216,821
CenturyLink, Inc., Term B Loan	LIBOR + 2.250	%		733,163	2.737	+	3/16/2027		696,552
Charter Communications Operating LLC, Term B-2 Loan	LIBOR + 1.750	%		2,233,787	2.188	+	1/31/2027		2,155,605
Clear Channel Outdoor Holdings, Inc., Term B Loan	LIBOR + 3.500	%		572,125	4.340	+	8/20/2026		499,894
Consolidated Communications, Inc., Initial Term Loan	LIBOR + 3.000	%		879,282	4.000	+	10/04/2023		785,489
CSC Holdings LLC, March 2017 Refinancing Term Loan	LIBOR + 2.250	%		1,738,378	3.064	+	7/16/2025		1,669,251
CSC Holdings LLC, October 2018 Incremental Term Loan	LIBOR + 2.250	%		375,250	3.064	+	1/16/2026		359,067
Diamond Sports Group LLC, Term Loan	LIBOR + 3.250	%		905,450	3.875	+	8/24/2026		745,018
Frontier Communications Corp., Term B-1 Loan	LIBOR + 3.750	%		415,000	5.363	+	6/16/2024		405,700
Hoya Midco LLC., Initial Term Loan (First Lien)	LIBOR + 3.500	%		651,841	4.875	+	6/28/2024		473,888
iHeart Communications, Inc., Escrow Bond #				1,605,000	—		5/01/2023		—
iHeart Communications, Inc., New Term Loan	LIBOR + 3.000	%		1,437,038	3.487	+	4/30/2026		1,296,926
Intelsat Jackson Holdings S.A., Tranche B-3 Term Loan	LIBOR + 3.750	%		660,000	6.000	+	11/28/2023		650,466
Intelsat Jackson Holdings S.A., Tranche B-5 Term Loan	LIBOR + 6.625	%		354,000	6.625	+	1/02/2024		354,497
Level 3 Financing, Inc., Tranche B 2027 Term Loan	LIBOR + 1.750	%		1,936,567	2.188	+	2/28/2027		1,861,119
Mcgraw-Hill Global Education Holdings LLC, Term B Loan (First Lien)	LIBOR + 4.000	%		957,270	5.375	+	5/04/2022		782,568
Mediacom Illinois LLC, Tranche N Term Loan	LIBOR + 1.750	%		750,000	1.891	+	2/16/2024		724,219
Meredith Corp., Tranche B-2 Term Loan	LIBOR + 2.500	%		520,864	3.341	+	2/01/2025		482,450
Nexstar Broadcasting, Inc., Term B-4 Loan	LIBOR + 2.750	%		1,001,175	3.739	+	9/18/2026		946,266
Numericable US LLC, USD TLB-11 Term Loan	LIBOR + 2.750	%		632,125	3.188	+	8/01/2025		582,345
Numericable US LLC, USD TLB-12 Term Loan	LIBOR + 3.688	%		779,937	4.502	+	2/01/2026		726,570
Plantronics, Inc., Initial Term B Loan	LIBOR + 2.500	%		385,000	4.080	+	7/02/2025		319,219
Pug LLC, USD Term B Loan	LIBOR + 3.500	%		748,125	3.987	+	2/01/2027		618,449
Red Ventures LLC, Term B-2 Loan (First Lien)	LIBOR + 2.500	%		223,282	2.938	+	11/08/2024		207,582
Rodan & Fields LLC, Closing Date Term Loan	LIBOR + 4.000	%		633,713	4.818	+	6/16/2025		315,272
SBA Senior Finance II LLC, Initial Term Loan	LIBOR + 1.750	%		1,139,243	2.188	+	4/12/2025		1,104,826
Sinclair Television Group, Inc., Tranche B Term Loan	LIBOR + 2.250	%		1,007,370	2.688	+	1/04/2024		946,298
Telenet Financing USD LLC., Term Loan AR Facility	LIBOR + 2.000	%		705,000	2.814	+	4/30/2028		674,156
Telesat Canada, Term B-5 Loan	LIBOR + 2.750	%		815,000	3.188	+	12/08/2026		772,213
T-Mobile USA, Inc., Term Loan	LIBOR + 3.000	%		1,120,000	3.370	+	--		1,114,232
Univision Communications, Inc., 2017 Replacement Repriced First-Lien Term Loan	LIBOR + 2.750	%		2,226,953	3.750	+	3/16/2024		1,969,985
Virgin Media Bristol LLC, N Facility	LIBOR + 2.500	%		690,000	3.314	+	2/01/2028		656,535
West Corporation, Initial Term B Loan	LIBOR + 4.000	%		440,014	5.375	+	10/10/2024		347,914
West Corporation, Incremental Term B-1 Loan	LIBOR + 3.500	%		246,250	4.875	+	10/10/2024		193,426
Zayo Group Holdings, Inc., Initial Dollar Term Loan	LIBOR + 3.000	%		550,000	3.921	+	3/08/2027		518,323
Ziggo Financing Partnership, Term Loan I Facility	LIBOR + 2.500	%		475,000	3.314	+	4/30/2028		447,094
									26,952,105

See accompanying notes to financial statements.

13

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Floating Rate Bond Fund (Continued)

April 30, 2020

	Variable		Principal		Interest		Maturity
Security	Rate		Amount		Rate %		Date	Value
BANK LOANS - 90.2% (Continued)
CONSUMER, CYCLICAL - 13.1%
Accuride Corp., 2017 Refinancing Term Loan	LIBOR + 5.250	%	$	446,249	6.625	+	11/16/2023	$	194,864
Affinity Gaming, Initial Term Loan	LIBOR + 3.250	%		354,499	4.250	+	6/30/2023		240,299
American Airlines, Inc., 2017 Class B Term Loan	LIBOR + 2.000	%		85,440	2.441	+	4/28/2023		66,826
American Airlines, Inc., 2017 Class B Term Loan	LIBOR + 2.000	%		484,564	2.814	+	12/16/2023		380,603
American Airlines, Inc., 2018 Replacement Term Loan	LIBOR + 1.750	%		422,358	2.320	+	6/28/2025		301,986
American Axle & Manufacturing, Inc., Tranche B Term Loan	LIBOR + 2.250	%		505,482	3.000	+	4/06/2024		440,085
American Builders & Contractors Supply Co., Inc., Restatement Effective Date Term Loan	LIBOR + 2.000	%		1,103,527	2.438	+	1/16/2027		1,039,501
Aramark Intermediate HoldCo Corp., U.S. Term B-2 Loan	LIBOR + 1.750	%		195,169	2.188	+	3/28/2024		186,041
Aramark Intermediate HoldCo Corp., U.S. Term B-3 Loan	LIBOR + 1.750	%		1,357,024	2.188	+	3/12/2025		1,279,205
Aristocrat Leisure Ltd., Term B-3 Loan	LIBOR + 1.750	%		1,368,045	2.885	+	10/20/2024		1,302,905
Bass Pro Group LLC, Initial Term Loan	LIBOR + 5.000	%		924,224	6.375	+	9/24/2024		784,435
Carlisle FoodService Products, Inc., Initial Term Loan (First Lien)	LIBOR + 3.000	%		549,599	4.000	+	3/20/2025		450,671
CDS US Intermediate Holdings, Inc., Term B Loan (First Lien)	LIBOR + 3.750	%		617,586	5.125	+	7/08/2022		293,480
CEOC LLC, Term B Loan	LIBOR + 2.000	%		1,147,329	2.438	+	10/08/2024		1,113,632
CityCenter Holdings LLC, Term B Loan	LIBOR + 2.250	%		771,868	3.000	+	4/18/2024		686,048
Cooper-Standard Automotive, Inc., Additional Term B-1 Loan	LIBOR + 2.000	%		438,624	2.750	+	11/02/2023		328,968
DexKo Global, Inc., Replacement U.S. Dollar Term B Loan (First Lien)	LIBOR + 3.500	%		509,267	4.500	+	7/24/2024		442,746
Eldorado Resorts, Inc., Term Loan	LIBOR + 2.250	%		403,182	3.302	+	4/16/2024		385,355
Gateway Casinos & Entertainment Ltd., Initial Term Loan	LIBOR + 3.000	%		496,163	4.375	+	11/30/2023		322,506
Golden Nugget, Inc., Initial B Term Loan	LIBOR + 2.500	%		1,455,325	3.418	+	10/04/2023		1,184,460
Isagenix International LLC, Senior Lien Term Loan	LIBOR + 5.750	%		537,814	6.982	+	6/14/2025		200,559
Kestrel Bidco, Inc., Term Loan	LIBOR + 3.000	%		778,050	4.000	+	12/12/2026		638,184
Libbey Glass, Inc., Initial Loan	LIBOR + 3.000	%		548,797	3.921	+	4/08/2021		267,050
Michaels Stores, Inc., 2018 New Replacement Term B Loan	LIBOR + 2.500	%		882,996	3.635	+	1/30/2023		733,660
Navistar, Inc., Tranche B Term Loan	LIBOR + 3.500	%		921,200	4.251	+	11/06/2024		841,318
Neiman Marcus Group Ltd. LLC, Cash Pay Extended Term Loan	LIBOR + 6.000	%		990,138	7.500	+	10/24/2023		381,555
Panther BF Aggregator 2 LP, Initial Dollar Term Loan (First Lien)	LIBOR + 3.500	%		850,251	3.938	+	4/30/2026		773,303
PCI Gaming Authority, Term B Facility Loan	LIBOR + 2.500	%		566,484	2.938	+	5/28/2026		529,611
Scientific Games International, Inc., Initial Term B-5 Loan	LIBOR + 2.750	%		785,406	3.511	+	8/14/2024		653,744
Serta Simmons Bedding LLC, Initial Term Loan (First Lien)	LIBOR + 3.500	%		296,055	4.614	+	11/08/2023		136,185
Siteone Landscape Supply LLC, Tranche E Term Loan	LIBOR + 2.750	%		685,533	3.750	+	10/28/2024		651,257
Stars Group Holdings BV, USD Term Loan	LIBOR + 3.500	%		795,216	4.875	+	7/10/2025		793,228
Station Casinos LLC, Term B-1 Facility Loan	LIBOR + 2.250	%		447,065	2.737	+	2/01/2027		396,987
Tenneco, Inc., Tranche B Term Loan	LIBOR + 3.000	%		785,063	3.438	+	9/30/2025		615,948
TI Group Automotive Systems LLC, Initial US Term Loan	LIBOR + 2.500	%		356,576	3.250	+	6/30/2022		331,616
TKC Holdings, Inc., Initial Term Loan (First Lien)	LIBOR + 3.750	%		698,206	4.750	+	1/31/2023		642,077
UFC Holdings LLC, Term Loan (First Lien)	LIBOR + 3.250	%		561,101	4.250	+	4/28/2026		530,241
									20,541,139
CONSUMER, NON-CYCLICAL - 23.5%
21st Century Oncology, Inc., Tranche B Term Loan	LIBOR + 6.125	%		1,043,313	7.125	+	1/16/2023		1,025,926
Accelerated Health Systems LLC, Initial Term Loan	LIBOR + 3.500	%		459,188	4.329	+	11/01/2025		399,493
Advanz Pharma Corp., Initial Dollar Term Loan	LIBOR + 5.500	%		88,270	6.732	+	9/06/2024		77,071
AHP Health Partners, Inc., Term Loan	LIBOR + 4.500	%		565,437	5.500	+	6/30/2025		529,156
AlixPartners LLP, 2017 Refinancing Term Loan	LIBOR + 2.500	%		1,215,602	3.500	+	4/04/2024		1,177,110
Avantor Funding, Inc., Initial B-3 Dollar Term Loan	LIBOR + 2.250	%		630,004	3.250	+	11/20/2024		620,554
Bausch Health Companies, Inc., Initial Term Loan	LIBOR + 3.000	%		1,037,732	3.751	+	6/02/2025		1,006,600
Bausch Health Companies, Inc., First Incremental Term Loan	LIBOR + 2.750	%		182,750	3.501	+	11/28/2025		176,297
Catalent Pharma Solutions, Inc., Dollar Term B-2 Loan	LIBOR + 2.250	%		735,000	3.942	+	5/16/2026		723,666
Change Healthcare Holdings, Inc., Closing Date Term Loan	LIBOR + 2.500	%		5,191	4.145	+	2/29/2024		5,017
CHG Healthcare Services, Inc., New Term Loan (2017) (First Lien)	LIBOR + 3.000	%		361,031	4.375	+	6/08/2023		343,786
CHG PPC Parent LLC, Initial Term Loan (First Lien)	LIBOR + 2.750	%		579,675	3.188	+	4/01/2025		539,098
Chobani LLC, New Term Loan (First Lien)	LIBOR + 3.500	%		1,183,782	4.500	+	10/10/2023		1,135,283
CPI Acquisition, Inc., Term Loan (First Lien)	LIBOR + 4.500	%		1,013,336	5.887	+	8/16/2022		671,974
CPI Holdco LLC, Closing Date Term Loan (First Lien)	LIBOR + 4.250	%		225,000	5.625	+	11/04/2026		217,406

See accompanying notes to financial statements.

14

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Floating Rate Bond Fund (Continued)

April 30, 2020

	Variable		Principal		Interest		Maturity
Security	Rate		Amount		Rate %		Date	Value
BANK LOANS - 90.2% (Continued)
CONSUMER, NON-CYCLICAL - 23.5% (Continued)
Dole Food Company, Inc., Tranche B Term Loan	LIBOR + 2.750	%	$	1,192,417	3.750	+	4/04/2024	$	1,152,054
Elanco Animal Health, Inc., Term Loan B	LIBOR + 1.750	%		790,000	2.766	+	2/04/2027		765,806
Endo Luxembourg Finance Company I SARL, Initial Term Loan	LIBOR + 4.250	%		1,023	6.044	+	4/28/2024		938
Envision Healthcare Corp., Initial Term Loan	LIBOR + 3.750	%		1,117,184	4.188	+	10/10/2025		774,812
eResearchTechnology, Inc., Initial Term Loan (First Lien)	LIBOR + 4.500	%		455,000	4.938	+	11/20/2026		430,828
Froneri International Ltd., Facility B2 (First Lien)	LIBOR + 2.250	%		760,000	2.737	+	1/30/2027		707,435
Gentiva Health Services, Inc., Term B Loan (First Lien)	LIBOR + 3.250	%		293,514	3.688	+	7/02/2025		278,104
Greatbatch Ltd., New Term B Loan (2019)	LIBOR + 2.500	%		546,865	3.500	+	10/28/2022		535,843
Greenrock Finance, Inc., Initial USD Term B Loan (First Lien)	LIBOR + 3.500	%		249,264	4.875	+	6/28/2024		218,106
Heartland Dental LLC, Initial Term Loan	LIBOR + 3.500	%		613,878	4.441	+	4/30/2025		514,430
Herbalife Nutrition Ltd., Term Loan B	LIBOR + 2.750	%		550,000	3.188	+	8/18/2025		515,969
H-Food Holdings LLC, Initial Term Loan	LIBOR + 3.688	%		1,030,650	4.125	+	5/24/2025		955,010
Hostess Brands LLC, 2019 Refinancing Term B Loan (First Lien)	LIBOR + 2.250	%		911,521	3.066	+	8/04/2025		879,194
Iqvia, Inc., Term B-1 Dollar Loan	LIBOR + 1.750	%		144,019	2.188	+	3/08/2024		139,302
Iqvia, Inc., Incremental Term B-2 Dollar Loan	LIBOR + 1.750	%		73,125	2.188	+	1/16/2025		70,474
Iqvia, Inc., Term B-3 Dollar Loan	LIBOR + 1.750	%		1,132,845	3.125	+	6/12/2025		1,091,779
Jaguar Holding Company I LLC, 2018 Term Loan	LIBOR + 2.500	%		1,143,312	3.500	+	8/18/2022		1,124,088	��
JBS USA Lux S.A., New Term Loan	LIBOR + 2.000	%		993,384	3.375	+	4/30/2026		963,354
Kronos Acquisition Intermediate, Inc., Initial Loan	LIBOR + 4.000	%		1,486,837	5.000	+	5/16/2023		1,341,038
LifePoint Health, Inc., Term B Loan (First Lien)	LIBOR + 3.750	%		1,031,246	4.188	+	11/16/2025		960,203
Milk Specialties Company, New Term Loan	LIBOR + 4.000	%		524,979	5.000	+	8/16/2023		480,356
NAB Holdings LLC, 2018 Refinancing Term Loan	LIBOR + 3.000	%		957,471	4.375	+	6/30/2024		859,331
National Mentor Holdings, Inc., Initial Term Loan (First Lien)	LIBOR + 4.250	%		270,872	4.952	+	3/08/2026		257,669
National Mentor Holdings, Inc., Initial Term C Loan (First Lien)	LIBOR + 4.250	%		12,302	5.625	+	3/08/2026		11,702
One Call Corp., Extended Term Loan (First Lien)	LIBOR + 5.250	%		253,135	6.954	+	11/28/2022		215,324
Ortho-Clinical Diagnostics, Inc., Second Amendment New Term Loan	LIBOR + 3.250	%		791,150	4.243	+	6/30/2025		708,080
Parexel International Corp., Initial Term Loan	LIBOR + 2.750	%		865,405	3.188	+	9/28/2024		797,406
Parfums Holding Co., Inc., Initial Term Loan (First Lien)	LIBOR + 4.250	%		616,601	5.863	+	6/30/2024		545,615
PetVet Care Centers LLC, Initial Term Loan (First Lien)	LIBOR + 2.750	%		891,550	3.188	+	2/14/2025		812,425
PetVet Care Centers LLC, 2018 Term Loan (First Lien)	LIBOR + 3.250	%		63,173	4.984	+	2/14/2025		57,092
Phoenix Guarantor, Inc., Tranche B-1 Term Loan (First Lien)	LIBOR + 3.250	%		538,989	4.079	+	3/04/2026		504,494
Refinitiv US Holdings, Inc., Initial Dollar Term Loan	LIBOR + 3.250	%		1,340,000	3.688	+	9/30/2025		1,314,460
Revlon Consumer Products Corp., Initial Term B Loan	LIBOR + 3.500	%		1,667	5.409	+	9/08/2023		710
Reynolds Consumer Products LLC, Initial Term Loan	LIBOR + 1.750	%		1,110,000	2.237	+	2/04/2027		1,074,269
Select Medical Corp., Tranche B Term Loan	LIBOR + 2.500	%		632,966	3.125	+	3/06/2025		605,767
Shearer’s Foods LLC, Refinancing Term Loan (First Lien)	LIBOR + 4.250	%		981,278	5.250	+	4/01/2022		951,633
Sigma Holdco BV, Facility B2	LIBOR + 3.000	%		847,977	4.433	+	7/02/2025		807,168
Sotera Health Holdings LLC, Initial Term Loan (First Lien)	LIBOR + 4.500	%		955,000	4.938	+	11/22/2026		921,933
St. George’s University Scholastic Services LLC, Term Loan	LIBOR + 3.250	%		804,176	3.688	+	7/16/2025		761,957
Surgery Center Holdings, Inc., Initial Term Loan	LIBOR + 3.250	%		816,286	4.250	+	9/04/2024		732,616
Surgery Center Holdings, Inc., 2020 Incremental Term Loan	LIBOR + 8.000	%		85,000	9.000	+	9/04/2024		85,425
Trans Union LLC, 2019 Replacement Term B-5 Loan	LIBOR + 1.750	%		1,233,651	2.188	+	11/16/2026		1,188,931
Viant Medical Holdings, Inc., Initial Term Loan (First Lien)	LIBOR + 3.750	%		451,668	5.125	+	7/02/2025		338,751
WEX, Inc., Term B-3 Loan	LIBOR + 2.250	%		872,444	2.688	+	5/16/2026		828,168
									36,928,486
ENERGY - 1.2%
California Resources Corp., Initial Loan	LIBOR + 4.750	%		405,000	6.363	+	1/01/2023		99,336
CITGO Holding, Inc., Term Loan	LIBOR + 7.000	%		144,275	8.000	+	7/31/2023		122,273
CITGO Petroleum Corp., 2019 Incremental Term B Loan	LIBOR + 5.000	%		689,974	6.000	+	3/28/2024		620,977
Fieldwood Energy LLC, Closing Date Loan (First Lien)	LIBOR + 5.250	%		605,554	6.250	+	4/12/2022		142,811
Gavilan Resources LLC, Initial Term Loan (Second Lien)	LIBOR + 6.000	%		490,000	7.000	+	2/29/2024		48,388
McDermott Technology, Inc., Term Facility (Superpriority DIP)	LIBOR + 9.000	%		165,746	9.667	+	10/20/2020		158,454
Medallion Midland Acquisition LLC, Initial Term Loan	LIBOR + 3.250	%		655,572	4.250	+	10/30/2024		468,734
Paragon Offshore Finance Co., Term Loan	LIBOR + 2.750	%		1,153	—	+	7/18/2021		—
Traverse Midstream Partners LLC, Advance	LIBOR + 4.000	%		372,939	5.000	+	9/28/2024		284,899
									1,945,872

See accompanying notes to financial statements.

15

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Floating Rate Bond Fund (Continued)

April 30, 2020

	Variable		Principal		Interest		Maturity
Security	Rate		Amount		Rate %		Date	Value
BANK LOANS - 90.2% (Continued)
FINANCIAL - 4.6%
Asurion LLC, Amendment No. 14 Replacement B-4 Term Loan	LIBOR + 3.000	%	$	511,090	3.438	+	8/04/2022	$	494,352
Asurion LLC, Replacement B-6 Term Loan	LIBOR + 3.000	%		320,544	3.438	+	11/04/2023		307,522
Asurion LLC, New B-7 Term Loan	LIBOR + 3.000	%		383,175	3.438	+	11/04/2024		367,267
Asurion LLC, Second Lien Replacement B-2 Term Loan	LIBOR + 6.500	%		427,456	6.938	+	8/04/2025		414,632
Blackhawk Network Holdings, Inc., Term Loan (First Lien)	LIBOR + 2.750	%		861,915	3.188	+	6/16/2025		744,018
Deerfield Dakota Holding LLC, Initial Dollar Term Loan (First Lien)	LIBOR + 3.750	%		765,000	4.766	+	3/06/2027		736,313
Ellie Mae, Inc., Term Loan (First Lien)	LIBOR + 3.750	%		1,039,775	5.125	+	4/16/2026		989,086
iStar, Inc., Loan	LIBOR + 2.750	%		208,813	3.672	+	6/28/2023		195,240
Pl UK Holdco II Ltd., Facility B1	LIBOR + 3.250	%		1,652,971	4.625	+	1/04/2025		1,495,170
Sedgwick Claims Management Services, Inc., Initial Term Loan	LIBOR + 3.250	%		1,352,875	3.688	+	1/01/2026		1,253,100
Sedgwick Claims Management Services, Inc., 2019 Term Loan	LIBOR + 4.000	%		193,537	4.941	+	9/04/2026		182,227
									7,178,927
INDUSTRIALS - 16.2%
Al Convoy SARL, Facility B (USD)	LIBOR + 3.500	%		585,000	4.251	+	1/20/2027		556,238
Anchor Glass Container Corp., July 2017 Additional Term Loan (First Lien)	LIBOR + 2.750	%		688,718	4.123	+	12/08/2023		461,658
Anchor Glass Container Corp., Term Loan (Second Lien)	LIBOR + 7.750	%		244,000	9.123	+	12/08/2024		99,857
Atlantic Aviation FBO, Inc., Term Loan	LIBOR + 3.750	%		128,375	4.188	+	12/06/2025		116,287
Berlin Packaging LLC, Initial Term Loan (First Lien)	LIBOR + 3.000	%		909,588	5.746	+	11/08/2025		831,513
Berry Global, Inc., Term W Loan	LIBOR + 2.000	%		308,192	2.829	+	9/30/2022		301,621
Berry Global, Inc., Term X Loan	LIBOR + 2.000	%		315,740	2.829	+	1/20/2024		501,879
Berry Global, Inc., Term Y Loan	LIBOR + 2.000	%		634,075	2.829	+	6/30/2026		607,767
Brookfield WEC Holdings, Inc., Initial Term Loan (2020)	LIBOR + 3.000	%		1,460,157	3.750	+	7/31/2025		1,390,070
BWay Holding Co., Initial Term Loan	LIBOR + 3.250	%		973,387	4.570	+	4/04/2024		845,027
Circor International, Inc., New Term Loan	LIBOR + 3.250	%		735,114	4.250	+	12/12/2024		636,792
CPG International LLC, New Term Loan	LIBOR + 3.750	%		1,752,678	5.125	+	5/04/2024		1,603,262
Filtration Group Corp., Initial Dollar Term Loan	LIBOR + 3.000	%		815,520	3.438	+	4/01/2025		780,860
Fluidra SA, Tranche B-1 USD Term Loan	LIBOR + 2.000	%		716,484	2.438	+	7/02/2025		680,660
Fort Dearborn Holding Company, Inc., Initial Term Loan (First Lien)	LIBOR + 4.000	%		388,586	5.441	+	10/20/2023		352,966
Gardner Denver, Inc., 2020 GDI Tranche B-2 Dollar Term Loan	LIBOR + 1.750	%		999,411	2.188	+	2/28/2027		954,062
Gates Global LLC, Initial B-2 Dollar Term Loan	LIBOR + 2.750	%		558,316	3.750	+	3/31/2024		517,042
GFL Environmental, Inc., Effective Date Incremental Term Loan	LIBOR + 3.000	%		934,199	4.000	+	5/30/2025		921,003
Ingersoll-Rand Services Co., 2020 Spinco Tranche B-1 Dollar Term Loan	LIBOR + 1.750	%		190,000	2.732	+	2/28/2027		181,379
Klockner Pentaplast Of America, Inc., Dollar Term Loan	LIBOR + 4.250	%		1,052,107	5.250	+	6/30/2022		897,747
Landry’s Finance Acquisition Co., B Term Loan	LIBOR + 12.000	%		15,000	13.000	+	--		15,550
NN, Inc., Tranche B Term Loan	LIBOR + 5.750	%		210,811	6.500	+	10/20/2022		164,538
NN, Inc., Extended 2017 Incremental Term Loan	LIBOR + 5.750	%		167,200	6.188	+	10/20/2022		130,500
Patriot Container Corp., Closing Date Term Loan (First Lien)	LIBOR + 3.500	%		716,971	4.500	+	3/20/2025		652,444
Quikrete Holdings, Inc., Initial Loan (First Lien)	LIBOR + 2.500	%		784,572	2.938	+	1/31/2027		733,147
RBS Global, Inc., Term B Loan (2019)	LIBOR + 1.750	%		690,492	2.375	+	8/20/2024		682,724
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan	LIBOR + 2.750	%		1,169,507	3.188	+	2/04/2023		1,118,833
Spectrum Holdings III Corp., Closing Date Term Loan (First Lien)	LIBOR + 3.250	%		432,523	4.625	+	2/01/2025		370,123
Star US Bidco LLC, Initial Term Loan	LIBOR + 4.250	%		480,000	5.250	+	3/16/2027		385,200
Summit Materials LLC, New Term Loan	LIBOR + 2.000	%		1,318,652	2.438	+	11/20/2024		1,253,708
Titan Acquisition Ltd., Initial Term Loan	LIBOR + 3.000	%		995,909	4.375	+	3/28/2025		881,444
Transdigm, Inc., Tranche G Refinancing Term Loan	LIBOR + 2.250	%		730,472	2.688	+	8/22/2024		643,272
Transdigm, Inc., Tranche E Refinancing Term Loan	LIBOR + 2.250	%		786,161	2.688	+	5/30/2025		693,347
Transdigm, Inc., Tranche F Refinancing Term Loan	LIBOR + 2.250	%		900,562	2.688	+	12/08/2025		792,215
TRC Companies, Inc., 2019 Incremental Term Loan	LIBOR + 5.000	%		498,750	5.794	+	6/20/2024		453,863
Tricorbraun Holdings, Inc., Closing Date Term Loan (First Lien)	LIBOR + 3.750	%		724,131	5.125	+	11/30/2023		657,964
Trident TPI Holdings, Inc., Tranche B-1 Term Loan	LIBOR + 3.250	%		879,038	4.625	+	10/16/2024		776,850
Tunnel Hill Partners LP, Initial Term Loan	LIBOR + 3.500	%		648,450	3.938	+	2/06/2026		572,257
US Farathane LLC, Term B-4 Loan	LIBOR + 3.500	%		770,435	4.875	+	12/24/2021		458,409
Vertiv Group Corp., Initial Term Loan	LIBOR + 3.000	%		880,000	3.864	+	3/02/2027		831,600
									25,505,678

See accompanying notes to financial statements.

16

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Floating Rate Bond Fund (Continued)

April 30, 2020

	Variable		Principal		Interest		Maturity
Security	Rate		Amount		Rate %		Date	Value
BANK LOANS - 90.2% (Continued)
TECHNOLOGY - 8.6%
Applied Systems, Inc., Closing Date Term Loan (First Lien)	LIBOR + 3.250	%	$	988,320	4.625	+	9/20/2024	$	951,366
Aston Finco SARL, Dollar Term Loan (First Lien)	LIBOR + 4.250	%		240,000	5.171	+	10/08/2026		222,600
Azalea TopCo, Inc., Initial Term Loan (First Lien)	LIBOR + 3.500	%		298,500	4.340	+	7/24/2026		282,083
Boxer Parent Company, Inc., Initial Dollar Term Loan	LIBOR + 4.250	%		692,579	4.688	+	10/02/2025		601,678
Dell International LLC, Refinancing Term B-1 Loan	LIBOR + 2.000	%		1,398,108	2.750	+	9/20/2025		1,366,706
Dun & Bradstreet Corp., Initial Term Borrowing	LIBOR + 4.000	%		845,000	4.570	+	2/06/2026		794,722
DynCorp International, Inc., Term Loan	LIBOR + 6.000	%		302,250	7.000	+	8/18/2025		270,514
Everi Payments, Inc., Term Loan	LIBOR + 10.500	%		30,000	11.500	+	5/08/2024		30,225
Everi Payments, Inc., Term B Loan	LIBOR + 2.750	%		966,571	4.125	+	5/08/2024		841,670
Kronos, Inc., Incremental Term Loan (First Lien)	LIBOR + 3.000	%		2,244,189	4.763	+	10/31/2023		2,176,987
Kronos, Inc., Initial Term Loan (Second Lien)	LIBOR + 8.250	%		120,000	10.013	+	10/31/2024		116,250
MA FinanceCo. LLC, Tranche B-2 Term Loan	LIBOR + 2.250	%		935,000	2.688	+	11/20/2021		895,361
Navircure, Inc., Initial Term Loan (First Lien)	LIBOR + 4.000	%		340,000	4.438	+	10/22/2026		319,600
NCR Corp., Initial Term Loan (2019)	LIBOR + 2.500	%		736,704	2.938	+	8/28/2026		703,552
Neustar, Inc., TLB4 (First Lien)	LIBOR + 3.500	%		229,125	4.875	+	8/08/2024		184,446
Science Applications International Corp., Tranche B2 Loan	LIBOR + 2.250	%		400,000	2.688	+	3/12/2027		369,556
SS&C Technologies Holdings, Inc., Term B-5 Loan	LIBOR + 1.750	%		1,040,832	2.188	+	4/16/2025		1,005,470
Tempo Acquisition LLC, Initial Term Loan	LIBOR + 2.750	%		781,908	3.188	+	4/30/2024		739,396
Vertafore, Inc., Initial Term Loan (First Lien)	LIBOR + 3.250	%		1,344,352	3.688	+	7/02/2025		1,244,030
VS Buyer LLC, Initial Term Loan	LIBOR + 3.250	%		100,000	4.001	+	3/02/2027		95,125
Zelis Cost Management Buyer, Inc., Initial Term Loan	LIBOR + 4.750	%		309,225	5.188	+	9/30/2026		298,363
									13,509,700
UTILITIES - 2.1%
APLP Holdings LP, Term Loan (2020)	LIBOR + 2.500	%		702,541	3.500	+	4/14/2025		677,404
Calpine Construction Finance Co. LP, Term B Loan	LIBOR + 2.000	%		707,868	2.438	+	1/16/2025		681,546
Calpine Corp., Term Loan	LIBOR + 2.000	%		972,166	2.438	+	8/12/2026		936,925
Lightstone Holdco LLC, Refinancing Term B Loan	LIBOR + 3.750	%		470,678	4.750	+	1/30/2024		375,368
Lightstone Holdco LLC, Refinancing Term C Loan	LIBOR + 3.750	%		26,547	4.750	+	1/30/2024		21,172
Pacific Gas and Electric Co., Initial Term Loan (DIP)	LIBOR + 2.250	%		204,713	3.079	+	1/01/2021		203,817
Texas Competitive Electric Holdings Co. LLC Escrow Bonds #				635,000	—		10/01/2049		445
Vistra Operations Co. LLC, 2018 Incremental Term Loan	LIBOR + 1.750	%		347,777	2.257	+	1/01/2026		338,015
									3,234,692
TOTAL BANK LOANS (Cost - $156,457,007)									141,629,082
BONDS & NOTES - 4.7%
AEROSPACE/DEFENSE - 0.2%
Boeing Co.				172,000	4.875		5/01/2025		172,000
Howmet Aerospace, Inc.				115,000	6.875		5/01/2025		117,394
									289,394
APPAREL - 0.1%
Hanesbrands, Inc. - 144A				210,000	5.375		5/15/2025		210,000
CHEMICALS - 0.1%
Tronox, Inc. - 144A				75,000	6.500		5/01/2025		75,656
COMMERCIAL SERVICES - 0.1%
Garda World Security Corp. - 144A				225,000	4.625		2/15/2027		217,969
COMPUTERS - 0.1%
Tempo Acquisition LLC - 144A				85,000	5.750		6/01/2025		85,000
DIVERSIFIED FINANCIAL SERVICES - 0.2%
Springleaf Finance Corp.				250,000	6.125		5/15/2022		248,438

See accompanying notes to financial statements.

17

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Floating Rate Bond Fund (Continued)

April 30, 2020

	Principal		Interest	Maturity
Security	Amount		Rate %	Date	Value
BONDS & NOTES - 4.7% (Continued)
ELECTRIC - 0.7%
Vistra Operations Co. LLC -144A	$	460,000	3.550	7/15/2024	$	463,934
Vistra Operations Co. LLC -144A		590,000	3.700	1/30/2027		581,888
						1,045,822
FOOD - 0.1%
Dole Food Co., Inc. - 144A		175,000	7.250	6/15/2025		165,778
HEALTHCARE-SERVICES - 0.9%
Community Health Systems, Inc. - 144A		215,000	6.625	2/15/2025		198,606
LifePoint Health, Inc. - 144A		5,000	6.750	4/15/2025		5,165
LifePoint Health, Inc. - 144A		135,000	4.375	2/15/2027		127,744
One Call Corp. - 144A		673,363	7.500	7/01/2024		542,057
Tenet Healthcare Corp.		405,000	4.625	7/15/2024		401,752
Tenet Healthcare Corp. - 144A		50,000	7.500	4/01/2025		54,025
West Street Merger Sub, Inc. - 144A		180,000	6.375	9/01/2025		169,875
						1,499,224
HOME BUILDERS - 0.3%
Lennar Corp.		420,000	2.950	11/29/2020		421,470
INSURANCE - 0.1%
Acrisure LLC - 144A		90,000	8.125	2/15/2024		93,123
IRON/STEEL - 0.0%
Cleveland-Cliffs, Inc. - 144A		50,000	6.750	3/15/2026		43,860
LEISURE PRODUCTS - 0.0%
Carnival Corp. - 144A		45,000	11.500	4/01/2023		47,130
MEDIA - 0.5%
CCO Holdings LLC - 144A		180,000	4.000	3/01/2023		182,403
Clear Channel Worldwide Holdings, Inc. - 144A		65,000	5.125	8/15/2027		61,376
Diamond Sports Group LLC - 144A		210,000	5.375	8/15/2026		160,587
iHeartCommunications, Inc.		96,514	6.375	5/01/2026		91,659
iHeartCommunications, Inc.		174,933	8.375	5/01/2027		144,818
Sirius XM Radio, Inc. - 144A		85,000	4.625	7/15/2024		87,108
						727,951
PACKAGING & CONTAINERS - 0.1%
Ardagh Packaging Finance PLC - 144A		235,000	6.000	2/15/2025		236,673
PHARMACEUTICALS - 0.3%
Bausch Health Companies, Inc. - 144A		445,000	5.500	11/01/2025		464,803
PRIVATE EQUITY - 0.2%
Icahn Enterprises LP - 144A		360,000	4.750	9/15/2024		339,721
REAL ESTATE INVESTMENT TRUSTS - 0.3%
iStar, Inc.		460,000	4.250	8/01/2025		366,275
Ladder Capital Finance Holdings LLLP - 144A		140,000	4.250	2/01/2027		98,175
						464,450
SEMICONDUCTORS - 0.3%
Broadcom, Inc. - 144A ^		465,000	4.700	4/15/2025		513,744
TELECOMMUNICATIONS - 0.1%
T-Mobile USA, Inc. - 144A		143,000	3.500	4/15/2025		151,926
Zayo Group Holdings, Inc. - 144A		10,000	4.000	3/01/2027		9,745
						161,671
TOTAL BONDS & NOTES (Cost - $7,730,523)						7,351,877

See accompanying notes to financial statements.

18

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Floating Rate Bond Fund (Continued)

April 30, 2020

Security	Shares					Value
COMMON STOCK - 0.0%
ADVERTISING - 0.0%
Clear Channel Outdoor Holdings, Inc. *		40,131				$	38,718
MEDIA - 0.0%
iHeartMedia, Inc. - Class A *		2,133					14,974
iHeartMedia, Inc. - Class B *		29					209
							15,183
TOTAL COMMON STOCK (Cost - $271,898)							53,901
EXCHANGE TRADED FUNDS - 0.9%
iShares Floating Rate Bond ETF		7,206					360,300
iShares iBoxx High Yield Corporate Bond ETF		4,738					381,077
SPDR Bloomberg Barclays High Yield Bond ETF		3,645					360,964
SPDR Bloomberg Barclays Short Term High Yield Bond ETF ^		14,688					361,031
TOTAL EXCHANGE TRADED FUNDS - (Cost - $1,411,807)							1,463,372
					Expiration
					Date
RIGHTS - 0.0%
TRA Rights		10,588			11/22/2049		11,382
TOTAL RIGHTS (Cost - $17,470)
WARRANTS - 0.1%
iHeartMedia, Inc.		14,903			5/01/2039		95,006
TOTAL WARRANTS (Cost - $287,609)
			Interest
			Rate %
SHORT-TERM INVESTMENT - 9.8%
MONEY MARKET FUND - 9.8%
Fidelity Investments Money Market Fund - Class I		15,424,614	0.160	+			15,424,614
TOTAL SHORT-TERM INVESTMENT - (Cost - $15,424,614)
COLLATERAL FOR SECURITIES LOANED - 0.6%
Mount Vernon Prime Portfolio !		887,813	0.480	+			887,813
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $887,813)
TOTAL INVESTMENTS - 106.3% (Cost - $182,488,741)						$	166,917,047
LIABILITIES IN EXCESS OF OTHER ASSETS - (6.3)%							(9,916,474	)
NET ASSETS - 100.0%						$	157,000,573

ETF - Exchange Traded Fund

LIBOR - London Inter-bank Offered Rate

LP - Limited Partnership

LLC - Limited Liability Company

LLLP - Limited Liability Limited Partnership

LLP - Limited Liability Partnership

PLC - Public Limited Company

SARL - Société à Responsabilité Limitée

144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. As of April 30, 2020 the total market value of 144A securities is $6,047,675 or 3.85% of net assets.

* Non-Income producing security.

+ Variable rate security. Interest rate is as of April 30, 2020.

# Fair Value estimated using fair value procedures adopted by Board of Trustees. Total Value of such securities is $445 or 0.0% of net assets as of April 30, 2020.

^ All or a portion of these securities are on loan. Total loaned securities had a value of $871,486 at April 30, 2020.

! The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

See accompanying notes to financial statements.

19

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Floating Rate Bond Fund (Continued)

April 30, 2020

Portfolio Composition * - (Unaudited)
Bank Loans	84.9	%	Collateral for Securities Loaned	0.5	%
Short-Term Investment	9.2	%	Warrants	0.1	%
Bonds & Notes	4.4	%	Common Stock	0.0	%
Exchange Traded Funds	0.9	%	Rights	0.0	%
			Total	100.0	%

* Based on total value of investments as of April 30, 2020

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

See accompanying notes to financial statements.

20

Dunham High-Yield Bond Fund (Unaudited)

Message from the Sub-Adviser (PineBridge Investments LLC)

Asset Class Recap

High-yield spreads continued to rally through the majority of the first fiscal quarter as the U.S. and China trade negotiations became more constructive and eventually led to the signing of the phase one trade deal. Economic data also improved and investors took the earnings season in stride. However, the outbreak of the coronavirus during the final weeks of the first fiscal quarter reversed the trend as investors attempted to root out the true economic impact of the outbreak. To begin the second fiscal quarter, investors seemed to shrug off concerns of a meaningful economic impact caused by the pandemic, but sentiment drastically shifted, leading to a sell-off in high-yield bonds. The selloff continued in March as high-yield bond spreads traded at levels not seen since the 2008-2009 Global Financial Crisis. As a result of the outbreak, governments across the globe established containment measures and shut down the bulk of their economy. High-Yield bonds sharply recovered in April in response to unprecedented monetary and fiscal actions taken to combat the adverse economic effects of the shutdowns. The yield on the 10- year U.S. Treasury rose 23 basis points to begin the fiscal year but fell 42 basis points in January to their lowest levels since early September. In the second fiscal quarter, the 10- year U.S. Treasury continued its descent, falling 105 basis points to 0.64 percent at the end of April. High-yield bonds, as measured by the ICE BofA ML US Cash Pay High- Yield Index, declined 4.8 percent over the six-month period ended April 30, 2020.

Allocation Review

In the first fiscal quarter, security selection strongly contributed to Fund performance, more than making up for the slight detraction from sector allocation. Conversely, security selection detracted from Fund performance in the second fiscal quarter ended April 30, 2020, with sector allocation providing a small positive contribution. Over both fiscal quarters, the strongest contributor to positive Fund performance was credit selection within the consumer cyclical sector, while the credit selection in the communications sector detracted. From a sector allocation standpoint, the largest contributor to Fund performance in the second fiscal quarter was the allocation to cash, but in the first fiscal quarter, this exposure was the largest detractor from Fund performance. The Fund’s allocation to the REIT sector significantly detracted over the six-month period. On the other hand, the overweight allocation to technology companies contributed to Fund performance over the same time period.

Holdings Insights

The largest contributor to positive Fund performance came from the communications sector. After decreasing 1.9 percent in the first fiscal quarter of the year, Sprint Corp. 7.875% 9/15/2023 (85207UAF2) (holding weight**: 2.58 percent) rose 7.8 percent in the second fiscal quarter before being sold. This credit surged amid the announcement that the $26.5 billion merger with T-Mobile USA Inc. finally received approval after a nearly two-year wait. The T-Mobile USA Inc. 4.5 percent 4/15/2050 (87264AAY1) (holding weight*: 0.18 percent) also positively contributed to Fund performance by increasing 10.3 percent. Another credit from the communications sector that positively contributed to Fund performance was Netflix Inc. 4.875% 6/15/2030 (64110LAV8) (holding weight*: 1.42 percent). This credit rose 8.0 percent as the company received 16 million new subscribers amid the stay-at-home orders issued during the coronavirus pandemic.

Amid the volatility in the price of oil and corresponding weakness in the energy space, the Fund was underweight the energy sector. This positioning adversely affected the Fund during the first fiscal quarter as this sector rebounded from a torrid 2019, but positively contributed in the second fiscal quarter as oil prices plummeted. The largest detractor from Fund performance came from this sector. Callon Petroleum Co. 6.375% 7/1/2026 (13123XAZ5) (holding weight*: 0.15 percent), an independent oil and natural gas company, fell 75 percent in the six-month period. Another energy credit that detracted from positive performance was Nine Energy Service Inc. 8.75% 11/01/2023 (65441VAA9) (holding weight*: 0.03 percent). The Sub-Adviser believes this company has a competitive advantage over peers given that it has numerous patents that set them apart, including innovative offerings such as a dissolvable frac plug and casing flotation tools. A position within the energy sector that contributed to Fund performance was Southwestern Energy Co. 7.5% 4/1/2026 (845467AM1) (holding weight*: 0.27 percent), a natural gas exploration and production company. This credit increased 18.5 percent over the six-month period.

Sub- Adviser Outlook

High-yield bond spreads rallied sharply to close the six-month period, but the Sub-Adviser believes that the economic reports are just beginning to show the broad evidence of the damage inflicted on the economy by the pandemic and subsequent economic shutdown. Retail sales and industrial production posted record declines in months that were only partially affected by the pandemic. April’s report, with the economy shut down for the whole month, is expected to be meaningfully worse. Default rate expectations have increased meaningfully for 2020, largely due to the weakened energy sector. With that being said, the Sub-Adviser believes that default rates will come in lower than what current spread levels are indicating, given the unparalleled measures taken by the Federal Reserve and Congress. High-yield bonds are expected to benefit most from the Fed’s program including fallen angels and ETFs. The Sub-Adviser is cautiously optimistic for the remainder of 2020. The Fund has retained its defensive bias but has begun to add risk opportunistically back into the Fund, albeit attempting to maintain less risky exposures than the benchmark.

* Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2020.

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

Growth of $100,000 Investment

Total Returns (a) as of April 30, 2020
			Annualized	Annualized
	Six Months	One Year	Five Years	Ten Years
Class N	(5.88)%	(3.70)%	2.51%	4.38%
Class C	(6.18)%	(4.46)%	1.78%	3.61%
Class A with load of 4.50%	(10.20)%	(8.25)%	1.32%	4.13%
Class A without load	(5.94)%	(3.91)%	2.25%	3.65%
Barclays U.S. Corporate High-Yield Bond Ba/B 2% Issuer Capped Index	(4.78)%	(1.17)%	3.60%	5.77%
Morningstar High-Yield Bond Category	(7.80)%	(5.70)%	1.98%	4.54%

(a) Total Returns are calculated based on traded NAVs.

Barclays U.S. Corporate High- Yield Bond Ba/B 2% Issuer Capped Index is an issuer-constrained version of the flagship US Corporate High Yield Index, which measures the USD-denominated, high yield, fixed-rate corporate bond market. Investors cannot invest directly in an index or benchmark.

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

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.13% for Class N, 1.88% for Class C and 1.38% 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

21

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham High-Yield Bond Fund

April 30, 2020

	Principal		Interest	Maturity
Security	Amount		Rate %	Date	Value
BONDS & NOTES - 97.7%
ADVERTISING - 0.5%
National CineMedia LLC - 144A	$	579,000	5.875	4/15/2028	$	415,201
AEROSPACE/DEFENSE - 0.5%
Spirit AeroSystems, Inc. - 144A		430,000	7.500	4/15/2025		425,700
AIRLINES - 0.8%
Delta Air Lines, Inc. - 144A		548,000	7.000	5/1/2025		563,029
UAL 2007-1 Pass Through Trust		202,259	6.636	7/2/2022		177,310
						740,339
AUTO MANUFACTURERS - 1.2%
Allison Transmission, Inc. - 144A		551,000	5.000	10/1/2024		532,376
Ford Motor Co.		74,000	8.500	4/21/2023		73,260
Ford Motor Co.		41,000	9.000	4/22/2025		40,129
Tesla, Inc. - 144A		370,000	5.300	8/15/2025		363,988
						1,009,753
AUTO PARTS & EQUIPMENT - 0.6%
Dana, Inc.		367,000	5.375	11/15/2027		326,171
Delphi Technologies PLC - 144A		232,000	5.000	10/1/2025		218,370
						544,541
BUILDING MATERIALS - 1.2%
Griffon Corp.		550,000	5.750	3/1/2028		526,460
Standard Industries, Inc. - 144A		463,000	6.000	10/15/2025		479,784
						1,006,244
CHEMICALS - 0.9%
Consolidated Energy Finance SA - 144A		385,000	6.875	6/15/2025		298,856
OCI NV -144A		517,000	5.250	11/1/2024		517,082
						815,938
COAL - 0.5%
SunCoke Energy Partners LP - 144A		627,000	7.500	6/15/2025		482,006
COMMERCIAL SERVICES - 4.6%
Ahern Rentals, Inc. - 144A		596,000	7.375	5/15/2023		284,709
Garda World Security Corp. - 144A		501,000	9.500	11/1/2027		503,330
Korn Ferry - 144A		477,000	4.625	12/15/2027		450,527
MPH Acquisition Holdings LLC - 144A		500,000	7.125	6/1/2024		448,735
Nielsen Finance LLC - 144A		745,000	5.000	4/15/2022		737,222
Prime Security Services Borrower LLC - 144A		631,000	5.250	4/15/2024		621,466
Prime Security Services Borrower LLC - 144A		540,000	5.750	4/15/2026		534,600
Sotheby’s - 144A		550,000	7.375	10/15/2027		465,591
						4,046,180
COMPUTERS - 3.3%
Banff Merger Sub, Inc. - 144A		460,000	9.750	9/1/2026		415,748
Dell International LLC - 144A		780,000	6.020	6/15/2026		848,524
Diebold Nixdorf, Inc. ^		827,000	8.500	4/15/2024		547,722
NCR Corp. - 144A		139,000	6.125	9/1/2029		138,604
Presidio Holdings, Inc. - 144A		315,000	8.250	2/1/2028		312,811
Seagate HDD Cayman		300,000	4.875	3/1/2024		313,054
Tempo Acquisition LLC - 144A		120,000	5.750	6/1/2025		121,384
Tempo Acquisition LLC - 144A		221,000	6.750	6/1/2025		215,751
						2,913,598
COSMETICS/PERSONAL CARE - 0.7%
Coty, Inc. - 144A		770,000	6.500	4/15/2026		651,651
DISTRIBUTION/WHOLESALE - 1.0%
Anixter, Inc.		387,000	6.000	12/1/2025		393,695
H&E Equipment Services, Inc.		514,000	5.625	9/1/2025		492,309
						886,004

See accompanying notes to financial statements.

22

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham High-Yield Bond Fund (Continued)

April 30, 2020

	Principal		Interest	Maturity
Security	Amount		Rate %	Date	Value
BONDS & NOTES - 97.7% (Continued)
DIVERSIFIED FINANCIAL SERVICES - 7.6%
AG Issuer LLC - 144A	$	500,000	6.250	3/1/2028	$	444,710
Alliance Data Systems Corp. - 144A		555,000	4.750	12/15/2024		414,169
Avolon Holdings Funding Ltd. - 144A		700,000	5.125	10/1/2023		627,533
Credit Acceptance Corp. - 144A		97,000	5.125	12/31/2024		85,724
Credit Acceptance Corp.		542,000	6.625	3/15/2026		490,510
Enova International, Inc. - 144A		765,000	8.500	9/1/2024		671,135
Fairstone Financial, Inc. - 144A		529,000	7.875	7/15/2024		506,412
goeasy Ltd. - 144A		554,000	5.375	12/1/2024		494,556
LPL Holdings, Inc. - 144A		575,000	5.750	9/15/2025		569,969
Navient Corp.		325,000	5.000	3/15/2027		275,681
Navient Corp.		623,000	5.625	8/1/2033		473,978
Quicken Loans, Inc. - 144A		875,000	5.750	5/1/2025		862,050
Springleaf Finance Corp.		600,000	6.875	3/15/2025		571,170
Springleaf Finance Corp.		250,000	5.375	11/15/2029		208,710
						6,696,307
ELECTRIC - 2.5%
Clearway Energy Operating LLC		539,000	5.000	9/15/2026		545,522
NextEra Energy Operating Partners LP - 144A		550,000	4.250	7/15/2024		562,650
Talen Energy Supply LLC - 144A		279,000	7.250	5/15/2027		280,297
Talen Energy Supply LLC - 144A		317,000	6.625	1/15/2028		300,484
Vistra Operations Co. LLC - 144A		535,000	5.000	7/31/2027		548,134
						2,237,087
ELECTRICAL COMPONENTS & EQUIPMENT - 1.7%
Energizer Holdings, Inc. - 144A		640,000	6.375	7/15/2026		668,512
EnerSys - 144A		794,000	5.000	4/30/2023		797,811
						1,466,323
ELECTRONICS - 1.1%
Ingram Micro, Inc.		1,040,000	5.450	12/15/2024		996,350
ENERGY - 1.0%
Pattern Energy Group, Inc. - 144A		839,000	5.875	2/1/2024		853,515
ENGINEERING & CONSTRUCTION - 1.0%
Frontdoor, Inc. - 144A		560,000	6.750	8/15/2026		584,976
Tutor Perini Corp. - 144A		355,000	6.875	5/1/2025		281,781
						866,757
ENTERTAINMENT - 2.2%
Banijay Entertainment SASU - 144A		400,000	5.375	3/1/2025		374,500
Cinemark USA, Inc. - 144A		31,000	8.750	5/1/2025		31,620
Eldorado Resorts, Inc.		660,000	6.000	9/15/2026		666,204
SeaWorld Parks & Entertainment, Inc. - 144A		340,000	8.750	5/1/2025		341,700
Six Flags Entertainment Corp. - 144A ^		505,000	5.500	4/15/2027		439,527
Six Flags Theme Parks, Inc. - 144A		49,000	7.000	7/1/2025		50,950
						1,904,501
ENVIRONMENTAL CONTROLS - 0.9%
Clean Harbors, Inc. - 144A		343,000	4.875	7/15/2027		355,863
Harsco Corp. - 144A		493,000	5.750	7/31/2027		467,857
						823,720
FOOD - 4.8%
Albertsons Companies, Inc.		562,000	5.750	3/15/2025		581,558
Albertsons Companies, Inc. - 144A		440,000	4.625	1/15/2027		446,446
Dole Food Co., Inc. - 144A		550,000	7.250	6/15/2025		521,015
JBS USA LUX SA - 144A		508,000	5.875	7/15/2024		519,760
JBS USA LUX SA - 144A		272,000	5.750	6/15/2025		276,423
Lamb Weston Holdings, Inc. - 144A		370,000	4.625	11/1/2024		379,139
Land O’Lakes Capital Trust I - 144A		484,000	7.450	3/15/2028		500,940
Land O’Lakes, Inc. - 144A		210,000	7.000	12/29/2049		188,937
Pilgrim’s Pride Corp. - 144A		520,000	5.875	9/30/2027		528,632
US Foods, Inc. - 144A		303,000	6.250	4/15/2025		310,196
						4,253,046

See accompanying notes to financial statements.

23

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham High-Yield Bond Fund (Continued)

April 30, 2020

	Principal		Interest	Maturity
Security	Amount		Rate %	Date	Value
BONDS & NOTES - 97.7% (Continued)
FOOD SERVICE - 0.1%
Aramark Services, Inc. - 144A	$	54,000	6.375	5/1/2025	$	56,295
FOREST PRODUCTS & PAPER - 0.6%
Cascades, Inc. - 144A		527,000	5.750	7/15/2023		529,530
HEALTHCARE-PRODUCTS - 0.2%
Ortho-Clinical Diagnostics, Inc. - 144A		145,000	7.250	2/1/2028		132,910
HEALTHCARE-SERVICES - 3.0%
Catalent Pharma Solutions, Inc. - 144A		280,000	5.000	7/15/2027		286,902
DaVita, Inc.		537,000	5.125	7/15/2024		547,847
HCA, Inc.		900,000	5.375	2/1/2025		972,306
LifePoint Health, Inc. - 144A		331,000	4.375	2/15/2027		313,209
Tenet Healthcare Corp.		525,000	4.625	7/15/2024		520,790
						2,641,054
HOME BUILDERS - 0.5%
Mattamy Group Corp. - 144A		489,000	5.250	12/15/2027		461,494
INSURANCE - 0.1%
AmWINS Group, Inc. - 144A		103,000	7.750	7/1/2026		106,821
INTERNET - 3.0%
Cogent Communications Group, Inc. - 144A		505,000	5.375	3/1/2022		515,327
Grubhub Holdings, Inc. - 144A		925,000	5.500	7/1/2027		869,176
Netflix, Inc. - 144A		1,165,000	4.875	6/15/2030		1,241,366
						2,625,869
INVESTMENT COMPANIES - 0.2%
FS Energy & Power Fund - 144A		273,000	7.500	8/15/2023		178,187
IRON/STEEL - 1.7%
Cleveland-Cliffs, Inc. - 144A		475,000	4.875	1/15/2024		409,782
Cleveland-Cliffs, Inc. - 144A		56,000	9.875	10/17/2025		55,580
Commercial Metals Co.		462,000	5.750	4/15/2026		460,129
Mineral Resources Ltd. - 144A		525,000	8.125	5/1/2027		543,139
						1,468,630
LEISURE PRODUCTS - 0.8%
Silversea Cruise Finance Ltd. - 144A		550,000	7.250	2/1/2025		500,390
Viking Cruises Ltd. - 144A		112,000	6.250	5/15/2025		75,578
Viking Cruises Ltd. - 144A		155,000	5.875	9/15/2027		104,958
						680,926
LODGING - 1.5%
Boyd Gaming Corp. - 144A		382,000	4.750	12/1/2027		330,850
Hilton Domestic Operating Co., Inc. - 144A		30,000	5.375	5/1/2025		29,962
Hilton Domestic Operating Co., Inc. - 144A		26,000	5.750	5/1/2028		26,328
Hilton Grand Vacations Borrower LLC		242,000	6.125	12/1/2024		223,197
Wyndham Destinations, Inc.		750,000	5.750	4/1/2027		661,575
						1,271,912
MEDIA - 8.5%
Altice Financing SA - 144A		801,000	5.000	1/15/2028		785,981
Belo Corp.		735,000	7.750	6/1/2027		777,667
Belo Corp.		235,000	7.250	9/15/2027		236,669
Block Communications, Inc. - 144A		545,000	4.875	3/1/2028		544,837
CCO Holdings LLC - 144A		232,000	5.875	4/1/2024		239,586
CCO Holdings LLC - 144A		275,000	5.375	5/1/2025		283,425
CCO Holdings LLC - 144A		478,000	5.500	5/1/2026		499,945
CCO Holdings LLC - 144A		378,000	5.000	2/1/2028		389,846
CCO Holdings LLC - 144A		335,000	5.375	6/1/2029		354,986
CSC Holdings LLC - 144A		225,000	5.375	7/15/2023		228,701
CSC Holdings LLC		440,000	5.250	6/1/2024		459,844

See accompanying notes to financial statements.

24

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham High-Yield Bond Fund (Continued)

April 30, 2020

	Principal		Interest	Maturity
Security	Amount		Rate %	Date	Value
BONDS & NOTES - 97.7% (Continued)
MEDIA - 8.5% (Continued)
CSC Holdings LLC - 144A	$	860,000	5.500	4/15/2027	$	898,130
EW Scripps Co. - 144A		739,000	5.125	5/15/2025		631,697
Sirius XM Radio, Inc. - 144A		725,000	4.625	7/15/2024		742,980
Sirius XM Radio, Inc. - 144A		342,000	5.375	7/15/2026		356,980
Univision Communications, Inc. - 144A		45,000	9.500	5/1/2025		45,731
						7,477,005
MINING - 2.8%
First Quantum Minerals Ltd. - 144A		473,000	7.250	4/1/2023		431,754
FMG Resources (August 2006) Pty Ltd. - 144A		669,000	4.500	9/15/2027		656,724
Freeport-McMoRan, Inc.		525,000	3.875	3/15/2023		528,150
Freeport-McMoRan, Inc.		260,000	4.125	3/1/2028		241,969
Freeport-McMoRan, Inc. ^		352,000	5.250	9/1/2029		349,237
Freeport-McMoRan, Inc.		260,000	4.250	3/1/2030		242,905
						2,450,739
OIL & GAS - 3.1%
Callon Petroleum Co.		212,000	6.125	10/1/2024		42,135
Callon Petroleum Co.		781,000	6.375	7/1/2026		130,505
Extraction Oil & Gas, Inc. - 144A		228,000	5.625	2/1/2026		39,239
Hilcorp Energy I LP - 144A		1,160,000	5.000	12/1/2024		663,868
Lonestar Resources America, Inc. - 144A		324,000	11.250	1/1/2023		43,740
MEG Energy Corp. - 144A		605,000	6.500	1/15/2025		497,038
MEG Energy Corp. - 144A		550,000	7.125	2/1/2027		382,937
Occidental Petroleum Corp.		306,000	3.125	2/15/2022		280,051
PBF Holding Co. LLC - 144A		520,000	6.000	2/15/2028		373,438
Southwestern Energy Co. ^		264,000	7.500	4/1/2026		238,603
						2,691,554
OIL & GAS SERVICES - 0.2%
Calfrac Holdings LP - 144A		56,650	10.875	3/15/2026		12,463
Hi-Crush, Inc. - 144A		961,000	9.500	8/1/2026		78,898
Nine Energy Service, Inc. - 144A		265,000	8.750	11/1/2023		52,841
SESI LLC		341,000	7.750	9/15/2024		73,117
						217,319
PACKAGING & CONTAINERS - 2.8%
Ardagh Packaging Finance PLC - 144A		300,000	4.125	8/15/2026		293,910
Cascades, Inc. - 144A		385,000	5.375	1/15/2028		389,139
Intertape Polymer Group, Inc. - 144A		524,000	7.000	10/15/2026		534,957
Sealed Air Corp. - 144A		405,000	5.125	12/1/2024		425,756
Silgan Holdings, Inc.		288,000	4.750	3/15/2025		294,422
Trivium Packaging Finance BV - 144A		525,000	8.500	8/15/2027		551,066
						2,489,250
PHARMACEUTICALS - 1.9%
Bausch Health Companies, Inc. - 144A		610,000	6.125	4/15/2025		620,797
Endo Finance LLC - 144A		200,000	6.000	2/1/2025		144,400
HLF Financing Sarl LLC - 144A		376,000	7.250	8/15/2026		367,521
Par Pharmaceutical, Inc. - 144A		522,000	7.500	4/1/2027		533,771
						1,666,489
PIPELINES - 3.5%
Buckeye Partners LP - 144A		316,000	4.125	3/1/2025		294,275
Buckeye Partners LP - 144A		429,000	4.500	3/1/2028		388,781
Cheniere Energy Partners LP		432,000	5.250	10/1/2025		415,066
Cheniere Energy Partners LP - 144A		248,000	4.500	10/1/2029		229,933
Genesis Energy LP		893,000	5.625	6/15/2024		761,104
Genesis Energy LP		325,000	6.500	10/1/2025		275,031
Holly Energy Partners LP - 144A		650,000	5.000	2/1/2028		594,360
Summit Midstream Holdings LLC		323,000	5.500	8/15/2022		79,797
						3,038,347
REAL ESTATE - 1.7%
Kennedy-Wilson, Inc.		935,000	5.875	4/1/2024		900,125
Newmark Group, Inc.		679,000	6.125	11/15/2023		626,937
						1,527,062

See accompanying notes to financial statements.

25

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham High-Yield Bond Fund (Continued)

April 30, 2020

	Principal		Interest		Maturity
Security	Amount		Rate %		Date	Value
BONDS & NOTES - 97.7% (Continued)
REAL ESTATE INVESTMENT TRUSTS - 6.0%
CTR Partnership LP	$	604,000	5.250		6/1/2025	$	607,654
ESH Hospitality, Inc. - 144A		446,000	5.250		5/1/2025		421,559
ESH Hospitality, Inc. - 144A		355,000	4.625		10/1/2027		322,163
GLP Capital LP		340,000	5.375		4/15/2026		340,306
HAT Holdings I LLC - 144A		621,000	5.250		7/15/2024		619,510
HAT Holdings I LLC - 144A		201,000	6.000		4/15/2025		201,502
Ladder Capital Finance Holdings LLLP - 144A		440,000	4.250		2/1/2027		308,550
MGM Growth Properties Operating Partnership LP		513,000	5.750		2/1/2027		521,028
MPT Operating Partnership LP		419,000	5.000		10/15/2027		430,020
Sabra Health Care LP		812,000	5.125		8/15/2026		788,411
Starwood Property Trust, Inc.		544,000	4.750		3/15/2025		463,651
VICI Properties LP - 144A		260,000	3.750		2/15/2027		243,022
							5,267,376
RETAIL - 2.1%
Brinker International, Inc. - 144A		722,000	5.000		10/1/2024		605,433
Burlington Coat Factory Warehouse Corp. - 144A		50,000	6.250		4/15/2025		51,000
Conn’s, Inc. ^		311,000	7.250		7/15/2022		212,118
eG Global Finance PLC - 144A		605,000	6.750		2/7/2025		553,696
Murphy Oil USA, Inc.		405,000	4.750		9/15/2029		418,912
							1,841,159
SOFTWARE - 3.4%
Camelot Finance SA - 144A		322,000	4.500		11/1/2026		325,928
CDK Global, Inc.		413,000	5.875		6/15/2026		434,538
Donnelley Financial Solutions, Inc.		530,000	8.250		10/15/2024		496,769
Fair Isaac Corp. - 144A		592,000	4.000		6/15/2028		590,668
Rackspace Hosting, Inc. - 144A ^		580,000	8.625		11/15/2024		574,995
SS&C Technologies, Inc. - 144A		520,000	5.500		9/30/2027		535,444
							2,958,342
TELECOMMUNICATIONS - 10.7%
Altice France SA - 144A		875,000	7.375		5/1/2026		918,444
Altice France SA - 144A		213,000	8.125		2/1/2027		230,487
Altice France SA - 144A		830,000	6.000		2/15/2028		761,359
C&W Senior Financing DAC - 144A		833,000	6.875		9/15/2027		827,419
CenturyLink, Inc.		735,000	7.500		4/1/2024		801,297
Connect Finco SARL - 144A		480,000	6.750		10/1/2026		456,312
Hughes Satellite Systems Corp.		646,000	6.625		8/1/2026		693,223
Sprint Corp.		2,339,000	7.875		9/15/2023		2,640,848
Telesat Canada - 144A		302,000	4.875		6/1/2027		299,357
Telesat Canada - 144A		740,000	6.500		10/15/2027		699,559
T-Mobile USA, Inc.		288,000	6.500		1/15/2024		296,251
T-Mobile USA, Inc.		240,000	6.375		3/1/2025		247,548
T-Mobile USA, Inc. - 144A		131,000	4.500		4/15/2050		153,977
Zayo Group Holdings, Inc. - 144A		391,000	6.125		3/1/2028		370,363
							9,396,444
TRANSPORTATION - 0.7%
Cargo Aircraft Management, Inc. - 144A		650,000	4.750		2/1/2028		611,000
TOTAL BONDS & NOTES (Cost - $91,961,814)							85,820,475
	Shares
COLLATERAL FOR SECURITIES LOANED - 2.4%
HSBC US Government Money Market Fund - Class I #		1,546,729	0.714	+			1,546,729
Morgan Stanley Institutional Liquidity Fund Prime Portfolio - Class Institutional #		528,582	0.193	+			528,952
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $2,075,311)							2,075,681

See accompanying notes to financial statements.

26

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham High-Yield Bond Fund (Continued)

April 30, 2020

	Value
TOTAL INVESTMENTS - 100.1% (Cost - $94,037,125)	$	87,896,156
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)%		(50,510	)
NET ASSETS - 100.0%	$	87,845,646

LLC - Limited Liability Corporation

LP - Limited Partnership

PLC - Public Limited Company

^ All or a portion of these securities are on loan. Total loaned securities had a value of $2,034,212 at April 30, 2020.

+ Variable rate security. Interest rate is as of April 30, 2020.

# The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. As of April 30, 2020 the total market value of 144A securities is $58,388,930 or 66.47% of net assets.

Portfolio Composition ** - (Unaudited)
Ba3	24.1	%	Caa1	6.5	%
B2	15.7	%	Caa2	2.8	%
B1	14.8	%	Other	2.5	%
Ba2	11.0	%	Collateral For Securities Loaned	2.4	%
Ba1	8.5	%	Baa3	2.2	%
B3	8.3	%	Baa2	1.2	%
			Total	100.0	%

** Based on total value of investments as of April 30, 2020. Bond Ratings provided by Moody’s Ratings.

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

See accompanying notes to financial statements.

27

Dunham International Opportunity Bond Fund (Unaudited)

Message from the Sub-Adviser (Stone Harbor Investment Partners LP)

Asset Class Recap

Global bond yields rose and prices fell for the first two months of the fiscal year. Rising expectations of a phase one trade deal contributed to investor optimism resulting in fixed income spread sector strength. Global economic data saw improvements, relative to expectations, over the period. In January, global bond yields fell and prices rose as investors sought lower risk assets amid the outbreak of the coronavirus in China and its potential impact on the global economy. Coronavirus cases and deaths surged in the second fiscal quarter, followed by the World Health Organization officially labeling the virus outbreak a pandemic. In response, global economies shut down, volatility spiked, and rates plummeted. Despite dire economic data, volatility subsided and markets rallied in April amid unprecedented fiscal and monetary stimulus as well as hopes that the world is through the worst of the pandemic. Foreign bonds, as measured by the Bloomberg Barclays Global Aggregate Bond ex-US Index Hedged, increased 1.4 percent during the six-month period, which outperformed emerging market bonds, as measured by the JP Morgan EMBI Global Total Return Index, which declined 8.3 percent. Emerging market high-yield bonds, as measured by the JP Morgan Emerging Market High-Yield Bond Index, fared the worst, falling 13.0 percent.

Allocation Review

For the first two months of the fiscal year, the Sub- Adviser’s country allocation detracted from Fund performance. The Fund received negative contributions from developed markets, including exposures to peripheral Europe versus Germany. The exposure to local currency emerging markets also detracted, especially the underweight to Chinese bonds. However, the Fund’s exposure to hard currency emerging markets bonds, especially in Kazakhstan and Qatar, strongly contributed to Fund performance. To begin 2020, a new Sub-Adviser was appointed to the Fund, shifting the exposures of the underlying allocation. In the final month of the first fiscal quarter, the new Sub-Adviser increased the allocation to corporate bonds, emerging market bonds, and increased the currency exposure hedge. In the most recent fiscal quarter, both asset allocation and issue selection detracted from Fund performance. The allocation to emerging market and high-yield debt detracted from Fund performance while the Sub-Adviser’s duration management and currency exposure positively contributed to Fund performance. At the close of the six-month period, the Fund’s allocation ended with 47 percent allocated to high-yield bonds and 53 percent allocated to investment-grade bonds. From a market perspective, 56 percent was allocated to developed markets, while 44 percent was allocated to emerging market bonds. Within emerging markets, 58 percent was dedicated to corporates, 30 percent allocated to hard currency government bonds, and 12 percent to local currency government bonds.

Holdings Insights

Emerging markets hard currency debt provided a strong contribution to Fund performance in the first fiscal quarter but detracted from Fund performance in the second fiscal quarter. For example, the Republic of Kazakhstan 5.125% 7/21/2025 (Y7276LDE5) (holding weight**: 0.52 percent) and the Qatar Government International bond 4.0% (74727PBA8) (holding weight**: 0.89 percent) increased 2.6 percent and 2.0 percent, respectively, before being sold from the Fund late in the first fiscal quarter. Emerging markets hard currency bonds that detracted from Fund performance in the fiscal six-month period were the Indonesia Government 7% 5/15/2027 (B3ZR76Z) (holding weight*: 0.56 percent) and the Egypt Government International Bond 6.375% (BJJNTR2) (holding weight*: 0.56 percent). These U.S. dollar-denominated issues declined 2.7 percent and 16.9 percent, respectively. A local currency emerging market bond that positively contributed to Fund performance over the fiscal six-month period was the Russian Government Bond 6.9% 5/23/2029 (BFX1TW9) (holding weight*: 1.06 percent). This credit rose 10.7 percent in the fiscal six-month period.

Amid the spike in volatility, higher-grade credit generally outperformed. The Fund received a positive contribution from the Canadian Government 2.25% 6/1/2029 (BYQLD27) (holding weight*: 1.38 percent). This credit rose 6.7 percent amid the market selloff in the second fiscal quarter and 8.6 percent in the fiscal six-month period. Another investment-grade bond that contributed to Fund performance was the Czech Republic Government Bond 0.95% 5/15/2030 (BYN6FX0) (holding weight*: 0.25 percent), which increased 4.0 percent since being added to the Fund in January. Overall, the derivative exposure within the Fund had a relatively muted impact on Fund performance over the first two months of the fiscal quarter, however, the currency hedge implemented in January assisted in reducing currency volatility. Over the second fiscal quarter, as the U.S. dollar appreciated versus most major currencies across the globe, the currency hedge implemented through derivatives positively contributed to Fund performance.

Sub-Adviser Outlook

The Sub-Adviser is optimistic for the remainder of 2020 and beyond. The Sub- Adviser believes that by identifying individual opportunities through their rigorous fundamental credit analysis as well as retaining the ability to actively shift between asset classes and within individual sectors, will allow the Fund to take advantage of opportunities that emerge.

* Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2020.

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

Growth of $100,000 Investment

Total Returns (a) as of April 30, 2020
				Annualized
	Six		Annualized	Since Inception
	Months	One Year	Five Years	(11/1/13)
Class N	(12.12)%	(8.63)%	(1.62)%	(2.46)%
Class C	(12.43)%	(9.35)%	(2.37)%	(3.20)%
Class A with load of 4.50%	(16.15)%	(12.86)%	(2.75)%	(3.38)%
Class A without load	(12.20)%	(8.79)%	(1.86)%	(2.69)%
Barclay s Global ex -US Aggregate Bond Index Hedged **	1.38%	6.45%	3.97%	4.51%
Barclay s Global ex -US Aggregate Bond Index Unhedged	(0.97)%	3.43%	2.01%	0.50%
Morningstar World Bond Category	(2.29)%	1.16%	1.73%	1.54%

(a) Total Returns are calculated based on traded NAVs.

** Change in Fund’s benchmark due to the implementation of the Sub-Adviser’s investment strategy primarily using the new benchmark index. As a result, the Fund’s performance is compared to both indices in the table above.

The total return of the Bloomberg Barclays Global ex US Aggregate Bond Index Hedged Benchmark is the return (including the reinvestment of any dividends or distributions) of the Benchmark over a specified period. “Hedged” refers to the index being “hedged to US dollars” by Bloomberg Barclays

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

The Morningstar World Bond Category is generally representative of funds that invest at least 40% of bonds in foreign markets.

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.61% for Class N, 2.36% for Class C and 1.86% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442- 4358 or visit our website www.dunham.com.

28

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Opportunity Bond Fund

April 30, 2020

		Principal
Security	Variable Rate	Amount ($)		Interest Rate %		Maturity Date	Value
CORPORATE BONDS & NOTES - 65.4%
AGRICULTURE - 1.6%
Adecoagro SA -144A		634,000	USD	6.0000		9/21/2027	$	544,232
AIRLINES - 1.3%
Aerovias de Mexico SA de CV -144A		250,000	USD	7.0000		2/5/2025		96,250
Gol Finance SA - 144A ^		662,000	USD	7.0000		1/31/2025		349,205
								445,455
AUTO MANUFACTURERS - 0.6%
Toyota Motor Credit Corp.		200,000	USD	2.9000		3/30/2023		209,726
BANKS - 9.3%
AIB Group PLC		250,000	EUR	2.2500		7/3/2025		277,985
Banco Mercantil del Norte SA/Grand Cayman - 144A	H15T5Y + 4.97%	70,000	USD	6.7500	+	9/27/2168		55,828
Banco Santander SA		200,000	EUR	1.1250		1/17/2025		219,250
Banque Federative du Credit Mutuel SA		200,000	EUR	2.6250		3/18/2024		237,795
BPCE SA		200,000	EUR	4.6250		7/18/2023		242,295
Cooperatieve Rabobank UA		200,000	EUR	1.3750		2/3/2027		235,260
Credit Agricole SA/London		300,000	EUR	1.8750		12/20/2026		347,468
HSBC Holdings PLC	3M Euro LIBOR + 0.99%	250,000	EUR	3.9500	+	5/18/2024		265,713
ING Bank NV	Euro 5 Year Swap Rate + 2.25%	200,000	EUR	3.6250	+	2/25/2026		222,444
Royal Bank of Scotland Group PLC	3M Euro LIBOR + 1.08%	250,000	EUR	1.7500	+	3/2/2026		273,216
Standard Chartered PLC - 144A ^	3M Euro LIBOR + 1.21%	300,000	USD	2.8190	+	1/30/2026		299,068
Standard Chartered PLC - 144A		150,000	USD	5.7000		3/26/2044		183,857
UBS Group AG		200,000	EUR	1.2500		9/1/2026		223,839
								3,084,018
BEVERAGES - 1.4%
Heineken NV		200,000	EUR	3.5000		3/19/2024		244,532
Pernod Richard SA		200,000	EUR	1.5000		5/18/2026		229,643
								474,175
CHEMICALS - 1.7%
Air Liquide Finance SA		200,000	EUR	0.7500		6/13/2024		225,004
OCI NV		100,000	USD	5.0000		4/15/2023		110,253
OCI NV		100,000	EUR	3.1250		11/1/2024		107,394
Solvay Finance SA	Euro 5 Year Swap Rate + 5.23%	100,000	EUR	5.8690	+	6/3/2168		117,730
								560,381
COMMERCIAL SERVICES - 1.8%
DP World PLC - 144A		3,000	USD	6.8500		7/2/2037		3,287
DP World PLC - 144A		53,000	USD	5.6250		9/25/2048		51,450
DP World PLC - 144A		157,000	USD	4.7000		9/30/2049		136,708
Intertrust Group BV		100,000	EUR	3.3750		11/15/2025		109,916
Loxam SAS		100,000	EUR	3.7500		7/15/2026		102,027
Q-Park Holding I BV - 144A		100,000	EUR	2.0000		3/1/2027		99,864
Techem Verwaltungsgesellschaft 675 mbH - 144A		100,000	EUR	2.0000		7/15/2025		104,054
								607,306
ELECTRIC - 4.6%
Acwa Power Management And Investments One Ltd. - 144A		144,000	USD	5.9500		12/15/2039		141,120
Enel Finance International NV		200,000	EUR	1.9660		1/27/2025		233,143
Eskom Holdings SOC Ltd. - 144A		380,000	USD	5.7500		1/26/2021		341,525
Iberdrola Finanzas SA		200,000	EUR	1.0000		3/7/2025		226,547
innogy Finance BV		250,000	EUR	1.0000		4/13/2025		281,972
Orsted A/S		250,000	EUR	1.5000		11/26/2029		298,056
								1,522,363
ENERGY-ALTERNATE SOURCES - 2.1%
ENN Clean Energy International Investment Ltd.		700,000	USD	7.5000		2/27/2021		693,721
ENGINEERING & CONSTRUCTION - 1.9%
Heathrow Funding Ltd.		100,000	GBP	3.8750		3/1/2027		116,749
Heathrow Finance PLC		100,000	GBP	7.1250		2/14/2024		143,606
IHS Netherlands Holdco BV - 144A		400,000	GBP	8.0000		9/18/2027		370,000
								630,355
FOOD - 3.2%
BRF GmbH - 144A		279,000	USD	4.3500		9/29/2026		242,618
Danone SA		200,000	EUR	0.7090		11/3/2024		226,034
Minerva Luxembourg SA - 144A		512,000	USD	6.5000		9/20/2026		493,005
Nomad Foods Bondco PLC		100,000	EUR	3.2500		5/15/2024		110,492
								1,072,149
FOREST PRODUCTS & PAPER - 0.7%
WEPA Hygieneprodukte GmbH - 144A		100,000	EUR	2.8750		12/15/2027		104,683
WEPA Hygieneprodukte GmbH		100,000	EUR	2.8750		12/15/2027		107,928
								212,611

See accompanying notes to financial statements.

29

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Opportunity Bond Fund (Continued)

April 30, 2020

		Principal
Security	Variable Rate	Amount ($)		Interest Rate %	Maturity Date	Value
CORPORATE BONDS & NOTES - 65.4% (Continued)
INSURANCE - 1.9%
Great-West Lifeco, Inc.		300,000	EUR	2.5000	4/18/2023	$	343,947
NN Group NV		250,000	EUR	1.6250	6/1/2027		284,276
							628,223
IRON/STEEL - 4.6%
CSN Resources SA - 144A ^		571,000	USD	7.6250	4/17/2026		408,037
Metinvest BV - 144A		36,000	USD	7.7500	4/23/2023		25,637
Metinvest BV - 144A		1,449,000	USD	7.7500	10/17/2029		946,516
thyssenkrupp AG		150,000	EUR	1.3750	3/3/2022		158,647
							1,538,837
MEDIA - 2.4%
Telenet Finance Luxembourg Notes Sarl		100,000	EUR	3.5000	3/1/2028		112,991
UPCB Finance VII Ltd.		200,000	EUR	3.6250	6/15/2029		217,474
Virgin Media Secured Finance PLC		200,000	GBP	5.0000	4/15/2027		253,847
Ziggo Bond Co. BV - 144A		100,000	EUR	3.3750	2/28/2030		103,506
Ziggo BV		100,000	EUR	2.8750	1/15/2030		104,163
							791,981
MINING - 1.9%
Corp Nacional del Cobre de Chile - 144A		66,000	USD	4.3750	2/5/2049		67,929
First Quantum Minerals Ltd - 144A		632,000	USD	6.8750	3/1/2026		557,203
							625,132
MULTI-NATIONAL - 0.8%
European Investment Bank		10,000	BRL	7.2500	6/28/2021		1,944
European Investment Bank		200,000	EUR	1.1250	9/15/2036		257,240
							259,184
OIL & GAS - 6.7%
Ecopetrol SA		27,000	USD	5.8750	5/28/2045		23,817
Geopark Ltd. - 144A		651,000	USD	6.5000	9/21/2024		473,733
Kosmos Energy Ltd. - 144A		369,000	USD	7.1250	4/4/2026		232,359
Petrobras Global Finance BV		93,000	USD	5.9990	1/27/2028		90,405
Petroleos Mexicanos		116,000	USD	6.8750	8/4/2026		96,686
Petroleos Mexicanos		21,000	USD	6.5000	1/23/2029		16,640
Petroleos Mexicanos - 144A		145,000	USD	6.8400	1/23/2030		114,818
Petroleos Mexicanos		73,000	USD	6.8400	1/23/2030		57,805
Petroleos Mexicanos - 144A		291,000	USD	7.6900	1/23/2050		215,340
Petroleos Mexicanos		133,000	USD	7.6900	1/23/2050		98,420
Tullow Oil PLC - 144A		927,000	USD	7.0000	3/1/2025		487,834
YPF SA - 144A		652,000	USD	8.5000	7/28/2025		320,980
							2,228,837
PACKAGING & CONTAINERS - 1.7%
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.		200,000	GBP	4.7500	7/15/2027		244,961
Smurfit Kappa Treasury ULC		100,000	EUR	1.5000	9/15/2027		104,875
Trivium Packaging Finance BV		200,000	EUR	3.7500	8/15/2026		216,292
							566,128
PHARMACEUTICALS - 2.0%
Grifols SA		100,000	EUR	3.2000	5/1/2025		109,653
Grifols SA		100,000	EUR	2.2500	11/15/2027		107,339
Mylan NV		200,000	EUR	3.1250	11/22/2028		238,102
Nidda BondCo GmbH		100,000	EUR	5.0000	9/30/2025		104,752
Nidda Healthcare Holding GmbH		100,000	EUR	3.5000	9/30/2024		106,872
							666,718
PIPELINES - 0.3%
Southern Gas Corridor CJSC - 144A		99,000	USD	6.8750	3/24/2026		103,708
REAL ESTATE - 4.7%
ESR Cayman Ltd.		557,000	USD	7.8750	4/4/2022		542,672
Theta Capital Pte Ltd.		200,000	USD	8.1250	1/22/2025		157,584
Wanda Properties International Co. Ltd.		1,000,000	USD	7.2500	1/29/2024		862,750
							1,563,006
REITS - 0.7%
Westfield America Management Ltd.		200,000	GBP	2.1250	3/30/2025		244,448

See accompanying notes to financial statements.

30

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Opportunity Bond Fund (Continued)

April 30, 2020

		Principal
Security	Variable Rate	Amount ($)		Interest Rate %		Maturity Date	Value
CORPORATE BONDS & NOTES - 65.4% (Continued)
TELECOMMUNICATIONS - 6.8%
Altice France Holding SA - 144A		100,000	EUR	8.0000		5/15/2027	$	111,670
Altice France SA - 144A		100,000	EUR	2.1250		2/15/2025		102,411
Axtel SAB de CV - 144A		660,000	USD	6.3750		11/14/2024		618,882
Deutsche Telekom International Finance BV		250,000	EUR	0.8750		1/30/2024		280,703
Nokia Oyj		100,000	EUR	2.0000		3/11/2026		106,461
Orange SA		200,000	EUR	2.0000		1/15/2029		247,302
Telecom Italia SpA/Milano		200,000	EUR	3.6250		5/25/2026		229,521
Telefonica Europe BV	Euro 6 Year Swap Rate + 4.11%	100,000	EUR	4.3750	+	3/14/2168		111,757
VF Ukraine PAT via VFU Funding PLC - 144A		250,000	USD	6.2000		2/11/2025		232,500
Vodafone Group PLC	Euro 5 Year Swap Rate + 2.67%	200,000	EUR	3.1000	+	1/3/2079		217,192
								2,258,399
WATER - 0.7%
Veolia Environnement SA		200,000	EUR	1.4960		11/30/2026		232,857
TOTAL CORPORATE BONDS & NOTES (Cost - $24,964,579)								21,763,950
FOREIGN GOVERNMENT BONDS - 27.6%
Angolan Government International Bond		262,000	USD	9.3750		5/8/2048		114,132
Angolan Government International Bond - 144A		300,000	USD	9.1250		11/26/2049		130,358
Argentine Republic Government International Bond		133,000	USD	6.8750		4/22/2021		38,637
Argentine Republic Government International Bond		11,000	USD	5.6250		1/26/2022		3,107
Argentine Republic Government International Bond		7,000	USD	4.6250		1/11/2023		1,995
Argentine Republic Government International Bond		111,000	EUR	3.3750		1/15/2023		30,754
Argentine Republic Government International Bond		127,000	USD	7.5000		4/22/2026		34,353
Argentine Republic Government International Bond		16,000	USD	5.8750		1/11/2028		4,104
Argentine Republic Government International Bond		169,262	EUR	7.8200		12/31/2033		54,314
Argentine Republic Government International Bond		26,146	EUR	7.8200		12/31/2033		8,265
Benin Government International Bond - 144A		100,000	EUR	5.7500		3/26/2026		91,398
Brazil Notas do Tesouro Nacional Serie F		1,570,000	BRL	10.0000		1/1/2023		334,563
Brazilian Government International Bond		112,000	USD	4.5000		5/30/2029		111,514
Canadian Government Bond		550,000	CAD	2.2500		6/1/2029		458,667
Colombia Government International Bond		100,000	EUR	3.8750		3/22/2026		115,012
Czech Republic Government Bond		2,780,000	CZK	0.7500		2/23/2021		113,027
Czech Republic Government Bond		1,450,000	CZK	3.8500		9/29/2021		61,648
Czech Republic Government Bond		2,100,000	CZK	0.9500		5/15/2030		82,780
Dominican Republic International Bond - 144A		82,000	USD	5.8750		1/30/2060		66,420
Ecuador Government International Bond - 144A		218,000	USD	10.7500		1/31/2029		63,495
Ecuador Government International Bond		200,000	USD	10.7500		1/31/2029		58,252
Ecuador Government International Bond - 144A		200,000	USD	9.5000		3/27/2030		58,500
Egypt Government International Bond - 144A		203,000	EUR	6.3750		4/11/2031		187,487
Egypt Government International Bond - 144A		25,000	USD	8.5000		1/31/2047		22,459
Egypt Government International Bond - 144A		200,000	USD	8.1500		11/20/2059		175,216
El Salvador Government International Bond		61,000	USD	8.2500		4/10/2032		50,172
El Salvador Government International Bond		100,000	USD	7.6500		6/15/2035		79,860
Gabon Government International Bond - 144A		34,000	USD	6.9500		6/16/2025		24,340
Ghana Government International Bond - 144A		17,000	USD	6.3750		2/11/2027		13,175
Ghana Government International Bond - 144A		61,000	USD	8.1250		3/26/2032		46,838
Ghana Government International Bond - 144A		37,000	USD	7.8750		2/11/2035		27,990
Ghana Government International Bond - 144A		136,000	USD	8.9500		3/26/2051		103,888
Ghana Government International Bond - 144A		7,000	USD	8.7500		3/11/2061		5,307
Indonesia Government International Bond - 144A		100,000	EUR	2.1500		7/18/2024		108,695
Indonesia Treasury Bond		2,891,000,000	IDR	7.0000		5/15/2027		186,579
Indonesia Treasury Bond		1,137,000,000	IDR	8.3750		3/15/2034		77,564
Ireland Government Bond		76,000	EUR	5.4000		3/13/2025		106,285
Ireland Government Bond		50,000	EUR	0.9000		5/15/2028		58,834
Ireland Government Bond		130,000	EUR	1.3000		5/15/2033		160,633
Italy Buoni Poliennali Del Tesoro		240,000	EUR	4.5000		3/1/2024		297,430
Italy Buoni Poliennali Del Tesoro		750,000	EUR	2.8000		12/1/2028		894,983
Italy Buoni Poliennali Del Tesoro		235,000	EUR	5.0000		9/1/2040		364,126
Ivory Coast Government International Bond - 144A		123,000	EUR	5.8750		10/17/2031		110,540
Japan Government Forty Year Bond		6,150,000	JPY	0.8000		3/20/2058		64,895
Japan Government Thirty Year Bond		17,000,000	JPY	1.5000		3/20/2045		201,317
Japan Government Thirty Year Bond		17,150,000	JPY	0.5000		9/20/2046		164,266
Kenya Government International Bond - 144A		99,000	USD	8.0000		5/22/2032		90,136
Lebanon Government International Bond		175,000	USD	6.6500		2/26/2030		29,313

See accompanying notes to financial statements.

31

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Opportunity Bond Fund (Continued)

April 30, 2020

		Principal
Security	Variable Rate	Amount ($)		Interest Rate %		Maturity Date	Value
FOREIGN GOVERNMENT BONDS - 27.6% (Continued)
Mexican Bonos		3,080,000	MXN	5.7500		3/5/2026	$	128,391
Mexican Bonos		3,260,000	MXN	7.5000		6/3/2027		147,086
Mexican Bonos		1,880,000	MXN	7.7500		11/13/2042		78,605
Mexico Government International Bond		100,000	EUR	1.6250		4/8/2026		100,843
Mozambique International Bond - 144A		200,000	USD	5.0000		9/15/2031		140,000
Nigeria Government International Bond - 144A		178,000	USD	6.5000		11/28/2027		135,725
Nigeria Government International Bond		200,000	USD	7.6250		11/28/2047		147,800
Papua New Guinea Government International Bond - 144A		204,000	USD	8.3750		10/4/2028		181,988
Peru Government Bond		522,000	PEN	6.1500		8/12/2032		171,832
Portugal Obrigacoes do Tesouro OT		100,000	EUR	4.1250		4/14/2027		136,427
Province of British Columbia Canada		150,000	CAD	3.2000		6/18/2044		129,441
Province of Ontario Canada		250,000	CAD	2.8000		6/2/2048		203,231
Russian Federal Bond - OFZ		480,000	RUB	7.4000		12/7/2022		6,825
Russian Federal Bond - OFZ		24,290,000	RUB	6.9000		5/23/2029		351,199
Russian Foreign Bond - Eurobond		400,000	USD	4.2500		6/23/2027		434,530
Spain Government Bond		70,000	EUR	4.2000		1/31/2037		113,213
Spain Government Bond		250,000	EUR	2.7000		10/31/2048		353,065
Turkey Government International Bond		109,000	USD	7.6250		4/26/2029		107,836
Turkey Government International Bond		35,000	USD	5.7500		5/11/2047		26,725
Ukraine Government International Bond - 144A		5,000	USD	7.7500		9/1/2026		4,638
Ukraine Government International Bond - 144A		100,000	EUR	4.3750		1/27/2030		85,171
Ukraine Government International Bond - 144A		262,000	USD	7.3750		9/25/2032		233,240
Ukraine Government International Bond		92,000	USD	0.0001		5/31/2040		68,450
TOTAL FOREIGN GOVERNMENT BONDS (Cost - $10,350,273)								9,173,884
WHOLE LOAN COLLATERAL - 0.9%
Bankinter 10 FTA	3M Euro LIBOR + 0.16%	74,856	EUR	0.0001	+	6/21/2043		80,141
Dutch Property Finance 2017-1 BV	3M Euro LIBOR + 0.68%	182,646	EUR	0.5190	+	1/28/2048		197,132
Fondo de Titulizacion de Activos Santander Hipotecario 2	3M Euro LIBOR + 0.15%	32,067	EUR	0.0001	+	1/18/2049		33,971
TOTAL WHOLE LOAN COLLATERAL (Cost - $324,133)								311,244
		Shares
COLLATERAL FOR SECURITIES LOANED - 3.2%
Mount Vernon Prime Portfolio #		1,087,003		0.4800	+
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $1,087,003)								1,087,003
TOTAL INVESTMENTS - 97.1% (Cost - $36,725,988)							$	32,336,081
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.9%								960,904
NET ASSETS - 100.0%							$	33,296,985

BRL - Brazilian Real	EUR - Euro	JPY - Japanese Yen	RUB - Russian Ruble
CAD - Canadian Dollar	GBP - United Kingdom Pound	MXN - Mexican Peso	USD - US Dollar
CZK - Czech Koruna	IDR - Indonesian Rupiah	PEN - Peruvian Sol

+ Variable rate security. Interest rate is as of April 30, 2020.

^ All or a portion of these securities are on loan. Total loaned securities had a value of $1,062,329 at April 30, 2020.

144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The 144A securities amounted to $10,846,821 or 32.6% of net assets.

# The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% (105% for non US Shares) of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

H15T5Y - 5 Year Treasury Rate

					Unrealized
					Appreciation
Futures Contracts *	Counterparty	Contracts	Notional	Expiration	(Depreciation)
LONG FUTURES CONTRACTS - 0.2%
EURO-BUXL 30 Year Bond Future	Barclays	3	720,270	6/8/2020		(3,779	)
Japanese 10 Year Bond (OSE)	Barclays	7	10,001,683	6/15/2020		(35,436	)
Long Gilt Future	Barclays	21	3,647,447	6/26/2020		113,272
NET UNREALIZED GAIN FROM FUTURES CONTRACTS PURCHASED						74,057
SHORT FUTURES CONTRACTS - (1.6)%
US 5 Year NOTE (CBT)	Barclays	(64)	(8,030,976)	6/30/2020		(309,476	)
US 10 Year NOTE (CBT)	Barclays	(38)	(5,284,394)	6/19/2020		(219,020	)
NET UNREALIZED LOSS FROM FUTURES CONTRACTS SOLD						(528,496	)
NET UNREALIZED LOSS FROM FUTURES CONTRACTS					$	(454,439	)

* Face amounts are the underlying reference notional amounts to stock exchange indices and bonds upon which the fair value of the futures contracts traded by the Fund are based.

While face amounts do not represent the current fair value and are not necessarily indicative of the future cash flows of the Fund’s futures contracts, the underlying price changes in relation to the variables specified by the face amounts affect the fair value of these derivative financial instruments. Instrument is non-income producing.

See accompanying notes to financial statements.

32

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Opportunity Bond Fund (Continued)

April 30, 2020

OPEN CREDIT DEFAULT SWAP AGREEMENTS

Amortized

Notional

Upfront

Fixed Deal

Value at

Fair

Payments

Unrealized

Reference Entity

Counter Party

Termination Date

(Pay) Rate

April 30, 2020

Value

Paid

Depreciation

CDX.EM.32-V2

Citibank

12/20/2024

1.00%

$

(147,000

)

$

(13,691

)

$

5,950

$

(7,741

)

Portfolio Composition * - (Unaudited)
Netherlands	14.3	%	Canada	5.2	%
Great Britain	7.6	%	Virgin Islands	4.8	%
France	7.1	%	Spain	3.8	%
Luxembourg	6.2	%	Russia	3.2	%
Mexico	5.6	%	Other Countries**	36.7	%
Italy	5.5	%	Total	100.00	%

* Based on total value of investments as of April 30, 2020.

** Includes Collateral for Securities Loaned as of April 30, 2020.

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

See accompanying notes to financial statements.

33

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Opportunity Bond Fund (Continued)

April 30, 2020

As of April 30, 2020 the following Forward Foreign Currency Exchange Contracts were open:

Forward Foreign Currency Exchange Contracts
																Unrealized
		Settlement		Local Currency						U.S. Dollar						Appreciation
Foreign Currency		Date	Counterparty	Amount Purchased						Market Value						(Depreciation)
To Sell USD and To Buy:
Euro		5/7/2020	Citigroup	$	3,688,893					$	4,040,691					$	29,691
Euro		6/25/2020	Citigroup		12,941						14,190						109
Japanese Yen		6/25/2020	Citigroup		37,250,000						348,625						10,033
Egyptian Pound		8/10/2020	JP Morgan Chase		1,780,000						108,554						(115	)
																$	39,718
																Unrealized
		Settlement		Local Currency						U.S. Dollar						Appreciation
Foreign Currency		Date	Counterparty	Amount Sold						Market Value						(Depreciation)
To Buy USD and To Sell:
Euro		5/7/2020	JP Morgan Chase	$	(3,664,225	)				$	(4,013,670	)				$	(2,670	)
Euro		6/4/2020	Citigroup		(3,899,198	)					(4,273,473	)					(31,473	)
British Pound		6/25/2020	Citigroup		(356,900	)					(450,281	)					(28,609	)
British Pound		6/25/2020	JP Morgan Chase		(120,000	)					(151,397	)					(2,218	)
Canadian Dollar		6/25/2020	Barclays		(1,044,600	)					(752,209	)					(24,574	)
Euro		6/25/2020	Citigroup		(8,879,621	)					(9,736,662	)					(199,580	)
Euro		6/25/2020	JP Morgan Chase		(100,000	)					(109,652	)					1,045
Japanese Yen		6/25/2020	Citigroup		(100,036,600	)					(936,249	)					(33,048	)
Japanese Yen		6/25/2020	JP Morgan Chase		(10,800,000	)					(101,078	)					(740	)
Egyptian Pound		8/10/2020	JP Morgan Chase		(1,780,000	)					(108,554	)					314
																$	(321,553	)
				Local Currency			Local Currency			U.S. Dollar			U.S. Dollar
		Settlement		Amount Purchased			Amount Purchased			Market Value			Market Value			Unrealized
Foreign Currency		Date	Counterparty	Buy			Sell			Buy			Sell			Depreciation
To Buy:	To Sell:
Euro	British Pound	6/25/2020	Citigroup	$	497,741		$	(459,400	)	$	545,782		$	(579,600	)	$	(33,818	)
Euro	British Pound	6/25/2020	Citigroup		23,044			(20,300	)		25,268			(25,611	)		(344	)
Euro	British Pound	6/25/2020	Citigroup		19,860			(17,300	)		21,776			(21,826	)		(50	)
																$	(34,212	)
Net Unrealized Loss on Forward Foreign Currency Exchange Contracts																$	(316,047	)

See accompanying notes to financial statements.

34

Dunham Large Cap Value Fund (Unaudited)

Message from the Sub-Adviser (Rothschild & Co. Asset Management US Inc.)

Asset Class Recap

As the first fiscal quarter ended with the virus outbreak in China causing a moderate equity decline in the latter half of January, markets generally rebounded and struck new highs through the middle of February. However, as the breadth of the virus grew exponentially, affecting every major economy in the world, markets crumbled. As U.S. equities in general, as measured by the S&P 500 Index, rose 6.7 percent in the first fiscal quarter, the 9.3 percent decline in the second fiscal quarter brought the overall performance for the 6-month period deep into the red. Large cap stocks, as measured by the Russell 1000 Index, had led the way in the first fiscal quarter, increasing 6.9 percent, but in the second fiscal quarter they declined 9.8 percent, maintaining a lead over their small cap counterparts. As has been the case through much of the bull market and now in the bear market, growth continued to outperform value. The large cap value stocks, as measured by the Russell 1000 Value Index, declined 16.7 percent during the second fiscal quarter while large cap growth stocks, as measured by the Russell 1000 Growth Index, declined 3.5 percent. This further exacerbated the outperformance of growth over value since the start of the fiscal year, as large cap value stocks returned a negative 13.6 percent versus large cap growth’s 6.1 percent increase.

Allocation Review

Perhaps one of the primary drivers of the underperformance of value versus growth is the significantly higher weighting of the financial services and energy sectors, two of the hardest hit sectors during the first half of the fiscal year, in the large cap value benchmark index as opposed to those sector weights in the large cap growth index. Comprising close to 29 percent of the index, the financial services sector is the largest large cap value sector. As interest rates plummeted, the banking industry’s margins also compressed. The energy sector, which does not even comprise one percent of the large cap growth space, represents close to 7 percent of the large cap value market. Therefore, its 30.9 percent decline during the six-month period marked the largest sector decline and the second- largest overall detractor from returns. The financial services sector fell 22.6 percent during the same time period, which awarded it the place of second- worst performer and the overall largest detractor from absolute returns once allocation percentage was considered. The Fund was slightly underweight both of these sectors during the six-month fiscal period, benefitting the Fund on a relative basis. In addition, the Fund was overweight the health care, technology, materials and processing, and utilities sectors, which were four of the five best-performing sectors during the first half of the fiscal year. The health care and technology sectors were the only sectors that had a positive return during the six-month period, increasing 8.1 percent and 0.8 percent, respectively.

Holdings Insights

Since many sector weights were similar to the benchmark index, most within a two percent margin, the stock selection within each of those sectors drove the majority of the relative returns. For example, in the financial services sector, the Fund’s outperformance of the sector by more than three percent was primarily driven by holdings such as Prologis Inc. (PLD) (holding weight*: 1.72 percent), an industrial real estate investment trust that specializes in warehouse and distribution centers. The Fund also held Intercontinental Exchange Inc. (ICE) (holding weight*: 1.40 percent), a global commodity and financial products marketplace, and The Travelers Companies Inc. (TRV) (holding weight*: 0.73 percent), a commercial and personal property and casualty insurance provider. From the beginning of the fiscal year through April, PLD increased 3.1 percent, while ICE and TRV declined 4.5 percent and 21.8 percent, respectively. While PLD was only moderately positive and ICE was modestly negative, this performance was significantly higher than the sector as a whole and were some of the primary drivers behind the Fund’s outperformance within the financial services space. One of the largest holdings in the same sector was Bank of America Corp. (BAC) (holding weight*: 2.99 percent), one of the world’s largest banks. BAC performed much more similar to the sector as a whole as well as ICE, declining 22.2 percent over the same six-month time period.

As the second-largest sector in the large cap value space, and the best-performing sector during the six-month period, the health care sector produced some of the strongest performers in the Fund. One such holding was Gilead Sciences Inc. (GILD) (holding weight**: 0.51 percent), a research- based biopharmaceutical company. GILD was consistently making headlines during much of the second fiscal quarter regarding the efficacy of a drug it had developed to potentially reduce the duration and severity of the virus’ symptoms. As positive developments emerged, GILD surged 34.2 percent during the second fiscal quarter, ending the six-month period up 34.4 percent. While other Fund holdings in the health care sector were not near as fortunate in regard to returns, Johnson & Johnson (JNJ) (holding weight*: 2.32 percent), a diversified health care company, and Thermo Fisher Scientific, Inc. (TMO) (holding weight*: 1.67 percent), a scientific instrument manufacturer, each landed in positive territory as they increased 15.2 percent and 11.0 percent, respectively. Only three Fund holdings reflected six-month overall declines in the health care sector, Medtronics PLC (MDT) (holding weight*: 2.49 percent), a developer of therapeutic and diagnostic medical products, Biogen Inc. (BIIB) (holding weight*: 0.33 percent), a biotechnology company that develops therapies for the treatment of neurological diseases, and Merck & Co. Inc. (MRK) (holding weight*: 1.50 percent), a global health care company. During the semi-annual period, MDT, BIIB, and MRK declined 9.4 percent, 0.6 percent, and 7.1 percent, respectively.

Stock selection within the energy sector was treacherous, as all Fund holdings in the sector declined, with most declining 20 percent or worse. The largest energy holding in the Fund, Chevron Corp. (CVX) (holding weight*: 2.04 percent), an integrated energy company, was also the Fund’s best performer in the sector during the fiscal semi-annual period. During the six-month period, CVX declined 19.1 percent, greatly outperforming its average peer in the energy sector. However, most other energy holdings in the Fund performed much more similar to the sector as a whole. For example, ConocoPhillips Company (COP) (holding weight*: 1.04 percent), one of the world’s largest exploration companies, and EOG Resources, Inc. (EOG) (holding weight*: 0.76 percent), a shale-based oil and natural gas prospector, declined 23.2 percent and 30.6 percent, respectively. Most energy names suffered as the rout in oil prices stressed companies along every level of the supply chain.

Sub-Adviser Outlook

The Sub-Adviser continues to seek what it believes are quality stocks of companies that possess the means to navigate and survive these trying times. Specifically, the Sub-Adviser is not seeking to isolate these holdings to only a few sectors, but instead searching within each sector and maintaining diversification similar to the benchmark index. Therefore, it expects the Fund’s performance to continue to be primarily dictated by stock selection as opposed to macro-oriented sector views.

* Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2020.

Growth of $100,000 Investment

 

Total Returns ^(a) as of April 30, 2020

	Six		Annualized	Annualized
	Months	One Year	Five Years	Ten Years
Class N	(12.51)%	(9.99)%	3.18%	7.34%
Class C	(12.95)%	(10.88)%	2.16%	6.27%
Class A with load of 5.75%	(17.61)%	(15.36)%	1.72%	6.44%
Class A without load	(12.57)%	(10.22)%	2.93%	7.08%
Russell 1000 Value Index	(13.66)%	(11.01)%	3.90%	8.54%
Morningstar Large Cap Value Category	(13.76)%	(11.60)%	3.22%	7.52%

(a) Total Returns are calculated based on traded NAVs.

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

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

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.14% for Class N, 2.14% for Class C and 1.39% 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.

35

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Large Cap Value Fund

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 98.1%
AEROSPACE/DEFENSE - 2.7%
Lockheed Martin Corp.		2,881	$	1,120,882
Northrop Grumman Corp.		4,432		1,465,529
				2,586,411
AIRLINES - 0.8%
Delta Air Lines, Inc. ^		27,529		713,276
BANKS - 10.1%
Bank of America Corp.		118,682		2,854,302
JPMorgan Chase & Co.		36,347		3,480,589
State Street Corp. ^		25,180		1,587,347
Truist Financial Corporation ^		33,852		1,263,357
Wells Fargo & Co.		15,519		450,827
				9,636,422
BEVERAGES - 1.9%
PepsiCo, Inc.		13,871		1,834,995
BIOTECHNOLOGY - 0.3%
Biogen, Inc. *		1,060		314,640
BUILDING MATERIALS - 2.0%
Martin Marietta Materials, Inc.		6,994		1,330,469
Owens Corning		13,823		599,365
				1,929,834
CHEMICALS - 2.7%
Air Products & Chemicals, Inc.		6,348		1,431,982
CF Industries Holdings, Inc.		14,761		405,927
Huntsman Corp.		41,882		704,036
				2,541,945
COMMERCIAL SERVICES - 1.4%
Quanta Services, Inc. ^		37,072		1,347,938
COMPUTERS - 0.9%
Apple, Inc. ^		2,833		832,335
COSMETICS / PERSONAL CARE - 3.4%
Procter & Gamble Co.		27,063		3,189,916
DIVERSIFIED FINANCIAL SERVICES - 3.1%
American Express Co. ^		7,481		682,641
Charles Schwab Corp. ^		24,899		939,190
Intercontinental Exchange, Inc.		14,968		1,338,888
				2,960,719
ELECTRIC - 6.7%
American Electric Power Co., Inc. ^		20,349		1,691,205
DTE Energy Co.		14,074		1,460,037
Duke Energy Corp.		17,425		1,475,200
Xcel Energy, Inc. ^		26,779		1,702,073
				6,328,515
ELECTRONICS - 1.4%
Honeywell International, Inc.		9,076		1,287,884
FOOD - 2.0%
Mondelez International, Inc.		27,890		1,434,662
Tyson Foods, Inc.		7,668		476,873
				1,911,535

See accompanying notes to financial statements.

36

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Large Cap Value Fund (Continued)

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 98.1% (Continued)
HEALTHCARE-PRODUCTS - 5.5%
Hill-Rom Holdings, Inc.		11,447	$	1,287,673
Medtronic PLC		24,302		2,372,604
Thermo Fisher Scientific, Inc.		4,753		1,590,734
				5,251,011
HEALTHCARE-SERVICES - 1.0%
UnitedHealth Group, Inc. ^		3,387		990,596
HOUSEHOLD PRODUCTS / WARES - 1.8%
Kimberly-Clark Corp.		12,105		1,676,300
INSURANCE - 7.2%
Allstate Corp.		12,387		1,260,006
Berkshire Hathaway, Inc. *		6,085		1,140,086
Hartford Financial Services Group, Inc.		28,814		1,094,644
Prudential Financial, Inc. ^		19,515		1,217,151
Travelers Cos., Inc. ^		6,901		698,450
Willis Towers Watson PLC		8,030		1,431,669
				6,842,006
INTERNET - 2.3%
Alphabet, Inc. *		935		1,259,164
E*TRADE Financial Corp. ^		22,014		893,989
				2,153,153
MACHINERY-CONSTRUCTION & MINING - 1.1%
Caterpillar, Inc.		9,180		1,068,368
MEDIA - 4.5%
Comcast Corp.		52,902		1,990,702
Discovery, Inc. * ^		51,045		1,144,429
Walt Disney Co. ^		10,384		1,123,030
				4,258,161
MISCELLANEOUS MANUFACTURING - 1.2%
Textron, Inc.		15,542		409,687
Trane Technologies PLC ^		8,488		742,021
				1,151,708
OIL & GAS - 4.7%
Chevron Corp. ^		21,138		1,944,696
ConocoPhillips ^		23,532		990,697
EOG Resources, Inc.		15,233		723,720
Phillips 66 ^		11,433		836,553
				4,495,666
PACKAGING & CONTAINERS - 0.7%
Westrock Co.		20,242		651,590
PHARMACEUTICALS - 7.6%
AbbVie, Inc.^		12,432		1,021,910
Cigna Corp.		6,029		1,180,358
Eli Lilly & Co. ^		8,598		1,329,595
Johnson & Johnson		14,723		2,209,039
Merck & Co., Inc.		18,085		1,434,864
				7,175,766
REITS - 4.7%
AvalonBay Communities, Inc. ^		3,897		635,016
Boston Properties, Inc. ^		11,842		1,150,806
Equity LifeStyle Properties, Inc.		8,933		538,749
Highwoods Properties, Inc.		13,597		527,700
Prologis, Inc.		18,415		1,643,170
				4,495,441
RETAIL - 2.7%
Best Buy Co., Inc.		15,303		1,174,199
Target Corp.		12,608		1,383,602
				2,557,801

See accompanying notes to financial statements.

37

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Large Cap Value Fund (Continued)

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 98.1% (Continued)
SEMICONDUCTORS - 3.5%
Broadcom, Inc.		2,719	$	738,535
Intel Corp. ^		17,650		1,058,647
Micron Technology, Inc. * ^		16,863		807,569
ON Semiconductor Corp. * ^		46,693		749,189
				3,353,940
SOFTWARE - 2.2%
Microsoft Corp. ^		6,754		1,210,384
Oracle Corp.		16,249		860,710
				2,071,094
TELECOMMUNICATIONS - 7.1%
AT&T, Inc. ^		77,320		2,355,940
Cisco Systems, Inc.		28,421		1,204,482
Verizon Communications, Inc.		54,492		3,130,565
				6,690,987
TRANSPORTATION - 0.9%
Kansas City Southern ^		6,321		825,207
TOTAL COMMON STOCKS (Cost - $81,805,586)				93,125,160
COLLATERAL FOR SECURITIES LOANED - 33.1%
Mount Vernon Prime Portfolio, 0.48% + #		31,430,373		31,430,373
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $31,430,373)
TOTAL INVESTMENTS - 131.2% (Cost - $113,235,959)			$	124,555,533
LIABILITIES IN EXCESS OF OTHER ASSETS - (31.2)%				(29,590,848	)
NET ASSETS - 100.0%			$	94,964,685

PLC - Public Limited Company

REITS - Real Estate Investment Trust

* Non-income producing security.

^ All or a portion of these securities are on loan. Total loaned securities had a value of $29,953,884 at April 30, 2020.

+ Variable rate security. Interest rate is as of April 30, 2020.

# The Trust’s securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be ’102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

Portfolio Composition * - (Unaudited)
Financial	19.2	%	Technology	5.0	%
Consumer, Non-cyclical	19.0	%	Energy	3.6	%
Communications	10.5	%	Consumer, Cyclical	2.6	%
Industrial	7.6	%	Basic Materials	2.0	%
Utilities	5.1	%	Others **	25.4	%
			Total	100.0	%

* Based on total value of investments as of April 30, 2020.

** Includes collateral for securities loaned as of April 30, 2020.

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

See accompanying notes to financial statements.

38

Dunham Small Cap Value Fund (Unaudited)

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

Asset Class Recap

Small cap value stocks, as measured by the Russell 2000 Value Index, experienced a tumultuous decline during the most severe market declines in March, bringing the performance over the fiscal quarter to a staggering negative 23.6 percent. This decline came on the heels of barely eking out a positive 0.2 percent return in the first fiscal quarter. Therefore, small cap value stocks fell tremendously behind all other U.S. equity counterparts since the start of the most recent fiscal year. The next closest U.S. asset class was large cap value, as measured by the Russell 1000 Value Index, which was down 13.7 percent, nearly 10 percent ahead of the cumulative 23.5 percent decline posted by small cap value stocks. During both the first and second fiscal quarters, the losses in small cap value stocks were fairly widespread and were dominated by similar factors, including risk-off trading and concerns regarding how a prolonged low interest rate environment may impair one of the largest small cap value sectors, financial services. The additional pressure provided by the global shutdown greatly exacerbated these issues and concerns.

Allocation Review

Although all sectors posted negative performance since the start of the fiscal year, there was a high amount of dispersion between the best and worst performing sectors. The strongest performing sectors during the six -month fiscal period were consumer staples, technology, and health care, which decreased 7.4 percent, 0.2 percent, and 1.3 percent, respectively. The combined weight of these three sectors was roughly 16 percent of the small cap value space, so their impact on overall performance was marginal. The most negatively performing sectors included energy, consumer discretionary, and financial services, which decreased 40.5 percent, 29.8 percent, and 28.6 percent, respectively. As these sectors combined accounted for more than half of small cap value stocks, their largely negative performance dominated the overall return of the space. While the benchmark index did not have any sectors ending the six-month period in positive territory, the Fund managed to see a positive return in the technology sector. However, the Fund’s positive overall performance in the sector was primarily attributable to a positive first fiscal quarter as opposed to a positive second fiscal quarter. In fact, the only sector that was positive in the Fund during the second fiscal quarter was the smallest sector, consumer staples. In the first fiscal quarter, this sector was the Fund’s worst performing sector, which declined more than 16 percent, so the second fiscal quarter’s increase of 9.4 percent helped to offset much of that relative detraction in the previous fiscal quarter. As the Sub-Adviser strives to maintain similar sector weights to the benchmark index, the Fund’s relative performance is primarily represented by the stock selection within each sector as opposed to sector overweights and underweights.

Holdings Insights

The energy sector proved to be the worst performing sector in the benchmark index and the Fund during the six-month period. The Fund only held a few holdings in the energy sector since the start of the fiscal year through the end of April, as the extreme disruptions in the space and corresponding decimation of some of the energy stocks resulted in the Sub-Adviser making adjustments to the Fund’s exposures. Energy holdings that were retained for the entire fiscal six-month period included Bonanza Creek Energy Inc. (BCEI) (holding weight*: 1.05 percent), an independent oil and natural gas company, Archrock Inc. (AROC) (holding weight*: 0.80 percent), a natural gas contract compression services company, and CVR Energy, Inc. (CVI) (holding weight*: 0.49 percent), a refiner and marketer of high value transportation fuels. While AROC and CVI declined relatively near the magnitude of the energy sector as a whole, plummeting 48.5 percent and 47.4 percent, respectively, BCEI managed to only fall 2.0 percent during the fiscal quarter. In the second fiscal quarter, when most of the devastation in the energy sector was experienced, BCEI’s stock price was afflicted similarly to its peers going into the market lows reached in March, but its rebound from mid-March through the end of the April exceeded 84 percent, regaining most of the losses.

The consumer discretionary and financial services sectors were also significant detractors from absolute returns over the six-month period, sparing very few Fund holdings during the onslaught. As unemployment rates surged and home purchases slowed while mortgage forbearance climbed, two Fund holdings found themselves in the epicenter. One was the largest consumer discretionary holding in the Fund, Taylor Morrison Home Corp. (TMHC) (holding weight*: 1.12 percent), a residential homebuilder, and the other was one of the largest financial services holdings in the Fund, Essent Group Ltd. (ESNT) (holding weight*: 0.67 percent), a residential property mortgage insurance and reinsurance company. From the start of the fiscal year through April, TMHC fell 41.9 percent while ESNT declined 47.2 percent. The largest Fund holding in the financial services sector, Rexford Industrial Realty Inc. (REXR) (holding weight*: 1.25 percent), a real estate investment trust focused on industrial properties in Southern California, was a relative contributor to Fund performance as it declined 14.5 percent, outpacing the sector by 14 percent. Similarly, the second-largest Fund holding in the consumer discretionary sector, Standard Motor Products, Inc. (SMP) (holding weight*: 0.96 percent), an automotive replacement parts manufacturer, declined 23.3 percent since it was added to the Fund in early January, detracting from absolute performance, but slightly contributing on a relative basis.

As it is the smallest sector in the benchmark index and the Fund, the consumer staples sector generally has little overall impact on relative or absolute performance for the Fund. However, it was the sole sector that the Fund managed to generate a positive return during the second fiscal quarter. While the sector declined 4.8 percent, the Sub-Adviser’s strong stock selection and active trading in the sector produced a positive 9.4 percent return. Of the six holdings that the Sub-Adviser traded amongst during the second fiscal quarter, five yielded a positive return during the period in which they were held in the fiscal quarter most impacted by the virus pandemic. The largest contributor to this return was SpartanNash Co. (SPTN) (holding weight**: 0.36 percent), a food wholesale and retail distribution provider. From when it was added to the Fund in early March until it was sold at the end of March, SPTN surged 41.4 percent as its operations that include distribution to both commercial businesses and military commissaries experienced a spike in a demand. This is an example of the Sub-Adviser’s strategy highlighting a holding for a short period of time amidst the turmoil experienced in the latter months of the semi-annual fiscal period.

Sub-Adviser Outlook

Despite the extreme dislocations, the Sub-Adviser continues to adhere to its implementation of its quantitatively-driven approach, focusing on what its industry-specific factors have identified as attractive opportunities. During the strong recovery in April, these factors broadly contributed to relative outperformance, bolstering the Sub-Adviser’s optimism that they will continue to outperform over meaningful long-term time periods. The Sub-Adviser believes that the current market continues to underappreciate some of the factors that the Sub-Adviser focuses on, and expects that its valuation-oriented signals will succeed as a positive contributor to its stock selection for the Fund.

* Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2020.

Growth of $100,000 Investment

Total Returns ^(a) as of April 30, 2020

	Six		Annualized	Annualized
	Months	One Year	Five Years	Ten Years
Class N	(24.20)%	(23.42)%	0.61%	5.59%
Class C	(24.62)%	(24.20)%	(0.41)%	4.54%
Class A with load of 5.75%	(28.64)%	(27.98)%	(0.83)%	4.72%
Class A without load	(24.29)%	(23.60)%	0.36%	5.35%
Russell 2000 Value Index	(23.44)%	(23.84)%	0.30%	5.30%
Morningstar Small Cap Value Category	(23.25)%	(24.73)%	(1.33)%	4.82%

(a) Total Returns are calculated based on traded NAVs.

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

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

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.72% for Class N, 2.72% for Class C and 1.97% 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.

39

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Small Cap Value Fund

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 104.3%
AGRICULTURE - 2.1%
Darling Ingredients, Inc. * ^		34,808	$	716,697
Phibro Animal Health Corp.		21,100		563,581
				1,280,278
AIRLINES - 0.3%
SkyWest, Inc.		5,790		179,201
APPAREL- 0.9%
Oxford Industries, Inc. ^		13,250		555,440
AUTO PARTS & EQUIPMENT - 1.3%
Cooper Tire & Rubber Co.		9,184		194,609
Standard Motor Products, Inc. ^		14,900		606,281
				800,890
BANKS - 20.4%
BancFirst Corp.		5,620		216,426
Bancorp, Inc. *		50,568		352,459
BankUnited, Inc.		27,732		549,371
Banner Corp.		16,080		617,954
Central Pacific Financial Corp.		26,590		465,059
First Bancorp/Southern Pines NC		14,270		379,439
First Bancshares, Inc. ^		12,160		242,227
First Citizens BancShares Inc/NC		1,180		450,760
First Interstate BancSystem, Inc.		17,360		586,768
First Midwest Bancorp, Inc.		51,000		753,780
Flagstar Bancorp, Inc.		32,252		835,649
Heartland Financial USA, Inc.		18,660		633,880
Heritage Commerce Corp.		51,260		455,189
Independent Bank Corp.		32,660		479,775
International Bancshares Corp.		22,440		650,536
Peapack Gladstone Financial Corp.		24,670		465,523
Simmons First National Corp. ^		36,530		683,111
TriCo Bancshares		19,313		581,708
UMB Financial Corp.		14,830		753,957
United Community Banks, Inc.		38,520		814,505
Walker & Dunlop, Inc.		9,320		358,168
Western Alliance Bancorp ^		11,510		412,979
Wintrust Financial Corp.		13,890		581,991
				12,321,214
BUILDING MATERIALS - 1.0%
Masonite International Corp. *		10,290		607,933
CHEMICALS - 1.5%
Koppers Holdings, Inc. *		15,403		242,751
Minerals Technologies, Inc. ^		15,728		692,661
				935,412
COMMERCIAL SERVICES - 3.9%
BrightView Holdings, Inc. * ^		35,670		457,289
FTI Consulting, Inc . * ^		6,310		803,642
Graham Holdings Co.		1,420		553,814
Huron Consulting Group, Inc. *		9,210		516,128
				2,330,873
COMPUTERS - 1.4%
MTS Systems Corp. ^		13,947		296,653
OneSpan, Inc. *		32,070		538,776
				835,429
COSMETICS / PERSONAL CARE - 1.2%
elf Beauty, Inc. *		53,960		705,257
DIVERSIFIED FINANCIAL SERVICES - 0.9%
Artisan Partners Asset Management, Inc.		18,440		542,874

See accompanying notes to financial statements.

40

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Small Cap Value Fund (Continued)

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 104.3% (Continued)
ELECTRIC - 3.9%
PNM Resources, Inc. ^		22,320	$	903,737
Portland General Electric Co.		16,460		770,163
Unitil Corp.		13,810		694,781
				2,368,681
ELECTRONICS - 4.8%
Avnet, Inc. ^		20,650		619,913
Comtech Telecommunications Corp.		30,600		566,406
Knowles Corp. * ^		32,550		506,153
Sanmina Corp. *		29,710		823,858
Vishay Precision Group, Inc. *		8,004		185,052
				2,701,382
ENGINEERING & CONSTRUCTION - 1.8%
Arcosa, Inc.		12,320		459,166
Primoris Services Corp.		40,510		632,361
				1,091,527
FOOD -1.4%
Ingles Markets, Inc .		12,100		494,043
Tootsie Roll Industries, Inc. ^		10,794		379,193
				873,236
GAS - 2.4%
Southwest Gas Holdings, Inc. ^		7,831		593,590
Spire, Inc.		11,880		866,765
				1,460,355
HAND / MACHINE TOOLS - 1.3%
Regal Beloit Corp.		11,010		781,820
HEALTHCARE-PRODUCTS - 2.9%
Integer Holdings Corp. *		17,820		327,175
Lantheus Holdings, Inc. *		31,500		411,075
Varex Imaging Corp. * ^		39,005		1,019,201
				1,757,451
HEALTHCARE-SERVICES - 0.9%
National HealthCare Corp.		7,850		536,705
HOME BUILDERS - 1.2%
Taylor Morrison Home Corp. *		48,790		709,895
HOME FURNISHINGS - 1.0%
Sleep Number Corp. * ^		19,840		593,216
HOUSEHOLD PRODUCTS / WARES - 0.8%
ACCO Brands Corp.		61,547		455,448
INSURANCE - 5.5%
American Equity Investment Life Holding Co.		22,420		471,268
Assured Guaranty Ltd.		20,090		597,276
Essent Group Ltd.		15,620		426,738
Mercury General Corp.		18,343		751,329
National Western Life Group Inc		2,310		445,206
Selective Insurance Group, Inc.		12,790		641,163
				3,332,980
INTERNET - 1.4%
ePlus, Inc. *		12,310		870,933
IRON / STEEL - 0.5%
Schnitzer Steel Industries, Inc.		27,087		421,474
LEISURE TIME - 0.9%
Johnson Outdoors, Inc. ^		7,996		546,607

See accompanying notes to financial statements.

41

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Small Cap Value Fund (Continued)

January 31, 2020

Security	Shares		Value
COMMON STOCKS - 104.3% (Continued)
LODGING - 1.0%
Hilton Grand Vacations, Inc. *		30,470	$	627,682
MACHINERY-DIVERSIFIED - 1.8%
Altra Industrial Motion Corp.		25,620		715,054
Columbus McKinnon Corp.		12,650		342,562
				1,057,616
METAL FABRICATE / HARDWARE - 1.8%
AZZ, Inc.		18,070		567,217
Mueller Industries, Inc.		20,490		530,691
				1,097,908
MISCELLANEOUS MANUFACTORING - 2.6%
Federal Signal Corp. ^		24,340		655,476
Lydall, Inc. *		20,800		232,960
Materion Corp.		12,870		665,894
				1,554,330
OIL & GAS - 2.5%
Bonanza Creek Energy, Inc. *		37,880		661,385
CVR Energy, Inc. ^		12,940		308,619
HollyFrontier Corp. ^		16,390		541,526
				1,511,530
OIL & GAS SERVICES - 0.8%
Archrock, Inc. ^		105,470		507,311
PACKAGING & CONTAINERS - 1.7%
Silgan Holdings, Inc.		19,340		667,230
TriMas Corp. *		15,450		368,328
				1,035,558
PHARMACEUTICALS - 1.6%
Anika Therapeutics, Inc. *		13,153		437,074
Premier, Inc. *		16,180		536,529
				973,603
PRIVATE EQUITY - 0.9%
Hercules Technology Growth Cap ^		55,580		570,251
REITS - 12.5%
Armada Hoffler Properties, Inc.		34,810		334,524
Capstead Mortgage Corp.		131,939		684,763
Community Healthcare Trust, Inc.		10,664		396,701
Corporate Office Properties Trust		42,410		1,120,472
Easterly Government Properties, Inc. ^		31,205		839,727
Global Net Lease, Inc.		36,215		521,134
Outfront Media, Inc.		30,258		474,748
Preferred Apartment Communities, Inc.		46,792		346,729
Rexford Industrial Realty, Inc. ^		19,402		790,049
RLJ Lodging Trust ^		66,170		614,719
Sabra Health Care REIT, Inc.		35,160		450,751
STAG Industrial, Inc. ^		36,500		958,125
				7,532,442
RETAIL - 3.5%
Foot Locker, Inc. ^		21,080		540,280
Sonic Automotive, Inc.		41,330		885,702
Williams-Sonoma, Inc. ^		11,300		698,792
				2,124,774
SAVINGS & LOAN - 1.2%
Berkshire Hills Bancorp, Inc.		19,400		330,576
WSFS Financial Corp.		13,770		401,809
				732,385
SEMICONDUCTORS - 3.9%
Diodes, Inc. * ^		19,780		1,006,604
Rambus, Inc. *		47,620		596,679
Synaptics, Inc. * ^		11,550		755,254
				2,358,537

See accompanying notes to financial statements.

42

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Small Cap Value Fund (Continued)

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 104.3% (Continued)
SOFTWARE - 0.9%
American Software Inc/GA		33,500	$	552,080
TELECOMMUNICATIONS - 0.7%
United States Cellular Corp. * ^		13,330		424,294
TRANSPORTATION - 0.7%
TEEKAY TANKERS LTD. *		21,250		431,587
WATER - 0.6%
SJW Group		6,445		383,671
TOTAL COMMON STOCKS (Cost - $64,791,697)				63,072,070
COLLATERAL FOR SECURITIES LOANED - 29.3%
Mount Vernon Prime Portfolio, 0.48% + #		17,746,590		17,746,590
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $17,746,590)
TOTAL INVESTMENTS - 133.6% (Cost - $82,538,287)			$	80,818,660
LIABILITIES IN EXCESS OF OTHER ASSETS - (33.6)%				(20,334,249	)
NET ASSETS - 100.0%			$	60,484,411

REITS - Real Estate Investment Trusts

* Non-income producing security.

^ All or a portion of these securities are on loan. Total loaned securities had a value of $16,563,983 at April 30, 2020.

+ Variable rate security. Interest rate is as of April 30, 2020.

# The Trust’s securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement.

The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

Portfolio Composition * - (Unaudited)
Financial	30.3	%	Healthcare	4.7	%
Consumer Discretionary	13.8	%	Materials	3.6	%
Technology	7.6	%	Consumer Staples	2.8	%
Industrial	6.3	%	Energy	2.5	%
Utilities	5.2	%	Others**	23.2	%
			Total	100.0	%

* Based on total value of investments as of April 30, 2020.

** Includes collateral for securities loaned as of April 30, 2020.

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

See accompanying notes to financial statements.

43

Dunham Focused Large Cap Growth Fund (Unaudited)

Message from the Sub-Adviser (The Ithaka Group, LLC)

Asset Class Recap

The excitement over robust holiday-spending, a de-escalating trade war, and strong earnings quickly evaporated and shifted to panic as the virus pandemic led to a global shutdown. Large cap growth stocks, as measured by the Russell 1000 Growth Index, had recently recorded a healthy 10.0 percent return in the first fiscal quarter. As the adverse effects of the shutdown appeared to eclipse the turmoil caused by the disease itself, stocks plummeted and large cap growth stocks similarly saw declines. During the second fiscal quarter, large cap growth stocks declined 3.5 percent. When considering the six-month period as a whole, the severity of the decline during February and March becomes slightly muted by the initial run-up until mid- February and the record-setting performance in April. Large cap growth stocks declined 31.5 percent from the February market high through the March low. However, the 31.7 percent bounce from the bottom in March and proceeding surge that extended through the end of April helped to shape the far less daunting return for the overall fiscal period. When the performance across all six months is considered from start to finish, large cap growth stocks were positive 6.1 percent since the start of the fiscal year.

Allocation Review

Within the large cap growth space, the best performing sector was technology, which is also the largest sector among large cap growth stocks, comprising approximately 40 percent of the benchmark index. Therefore, the 13 percent increase over the six-month period boasted by the technology sector had a meaningful impact on the large cap growth space as a whole. The second and third best performing sectors, consumer discretionary and health care, together account for more than 30 percent of the benchmark index. As these two sectors increased 10 percent and 9 percent, respectively, their sizable weight in the large cap growth space also translated to a significant impact. Therefore, as other moderate sector weights such as financial services and producer durables produced negative returns for the period, the 70 percent allocation to the top three performing sectors primarily drove returns. Although the energy sector was part of key headlines during much of the fiscal period, the energy sector within the large cap growth space is extremely small. Therefore, its 30 percent decline did earn the spot as the poorest performing sector, but its impact on the overall performance of large cap growth stocks was substantially muted due to its miniscule weighting. The second-worst performing sector, producer durables, declined 14.1 percent. Although the producer durables sector comprised close to 10 percent of the benchmark index, its weight in the Fund was represented by only one position at less than 2 percent of the Fund assets. As the four largest sectors account for 85 percent of the large cap growth space, the Fund also primarily had holdings exposure in the technology, financial services, health care, and consumer discretionary sectors.

Holdings Insights

The Sub-Adviser’s stock selection produced outperformance in all sectors where the Fund had exposure, with the exception of the producer durables sector. The Fund had a single holding representing that particular sector, TransDigm Group Inc. (TDG) (holding weight*: 1.09 percent), an aircraft component manufacturer. TDG plummeted 38.2 percent since it was purchased in early January through the end of April as companies affiliated with air travel sharply sold off amidst the global shutdown. The overall detraction from Fund performance was generally offset by the relative performance achieved in each of the other four sectors to which the Fund had exposure.

With a nearly identical weighting as the benchmark index, the largest sector exposure in the Fund was the technology sector. The Sub-Adviser’s security selection within the sector was a source of positive outperformance, particularly with holdings such as Microsoft Corp. (MSFT) (holding weight*: 6.82 percent), the software and cloud computing technology giant, ServiceNow Inc. (NOW) (holding weight*: 4.97 percent), an enterprise information technology management software company, and NVIDIA Corp. (NVDA) (holding weight*: 3.67 percent), a designer of three-dimensional graphics processors and related software. During the six-month period, MSFT, NOW, and NVDA increased 25.8 percent, 42.2 percent, and 45.6 percent, respectively. As the overall return in the sector ended in double-digits for the semi-annual period, not all holdings in the Fund enjoyed such a positive return. For example, Salesforce.com Inc. (CRM) (holding weight*: 4.75 percent), the client relationship management software developer, and Alphabet Inc. Class C (GOOG) (holding weight*: 3.52 percent), the owner of Google and its related entities, each stumbled on a relative basis. CRM and GOOG increased 3.5 percent and 7.0 percent, respectively during the six-month period.

Since the start of the fiscal year, the Fund’s largest sector overweight was to the financial services sector, which is the fourth-largest sector in the benchmark index, but second-largest exposure in the Fund. Visa Inc. (V) (holding weight*: 6.44 percent) and MasterCard Inc. (MA) (holding weight*: 6.48 percent), two of the world’s largest consumer payment systems, continued to represent the majority of the Fund’s exposure to the sector. However, although V and MA are in the financial services sector, these companies generally derive their revenues from different means than the traditional banks that often come to mind when investors consider financial services stocks. Since their revenues generally come from payment processing, particularly at storefronts as well as online, V and MA were impacted similarly to the sector as a whole during the global shutdown, resulting in nearly flat overall performance as V rose 0.2 percent and MA declined 0.4 percent. Another payment processor, PayPal Holdings Inc. (PYPL) (holding weight*: 4.24 percent), a digital and mobile payment platform, rose 18.2 percent during the six-month period, leading the Fund’s holdings in the sector.

Sub-Adviser Outlook

The Sub-Adviser consistently seeks what it believes to be the strongest growth stocks. The Sub-Adviser is less concerned with the overall sector exposure, but does seek to source these growth stocks from various industries. This generally results in some sectors and industries having higher or lower representations in the Fund than in the benchmark index. The Sub-Adviser focuses on free-cash-flow and fundamental factors that traditionally support long- term growth. Therefore, the Sub- Adviser remains less concerned about temporary market dislocations or shifts in momentum and is optimistic regarding the strong growth characteristics that led them to the concentrated group of stocks in the Fund.

* Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2020.

Growth of $100,000 Investment

Total Returns ^(a) as of April 30, 2020

				Annualized
			Annualized	Since Inception
	Six Months	One Year	Five Years	(12/8/11)
Class N	13.32%	11.62%	13.64%	14.31%
Class C	12.80%	10.51%	12.51%	13.19%
Class A with load of 5.75%	6.72%	4.96%	12.01%	13.22%
Class A without load	13.24%	11.36%	13.35%	14.02%
Russell 1000 Growth Index	6.09%	10.84%	13.34%	15.80%
Morningstar Large Cap Growth Category	3.16%	5.26%	10.40%	13.46%

(a) Total Returns are calculated based on traded NAVs.

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

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

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.33% for Class N, 2.33% for Class C and 1.58% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com

44

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Focused Large Cap Growth Fund

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 98.9%
AEROSPACE/DEFENSE - 1.1%
TransDigm Group, Inc. ^		3,512	$	1,275,137
BIOTECHNOLOGY - 1.1%
Illumina, Inc. * ^		3,964		1,264,635
COMMERCIAL SERVICES - 11.9%
Global Payments, Inc.		10,534		1,748,855
PayPal Holdings, Inc. *		40,435		4,973,505
S&P Global, Inc. ^		9,901		2,899,805
Square, Inc. * ^		32,979		2,148,252
TransUnion ^		26,647		2,099,517
				13,869,934
DIVERSIFIED FINANCIAL SERVICES - 13.0%
Mastercard, Inc. ^		27,645		7,601,546
Visa, Inc. ^		42,236		7,548,418
				15,149,964
HEALTHCARE-PRODUCTS - 7.0%
Align Technology, Inc. * ^		6,572		1,411,994
Edwards Lifesciences Corp. *		15,876		3,453,030
Intuitive Surgical, Inc. * ^		6,543		3,342,688
				8,207,712
INTERNET - 19.3%
Alibaba Group Holding Ltd. - ADR *		12,884		2,611,200
Alphabet, Inc. *		3,063		4,130,946
Amazon.com, Inc. *		3,960		9,797,040
Facebook, Inc. * ^		16,344		3,345,780
MercadoLibre, Inc. *		2,875		1,677,591
Zendesk, Inc. *		12,000		922,560
				22,485,117
PHARMACEUTICALS - 3.5%
DexCom, Inc. * ^		12,079		4,048,881
RETAIL - 5.3%
Burlington Stores, Inc. * ^		21,955		4,010,959
Ulta Beauty, Inc. * ^		9,948		2,167,868
				6,178,827
SEMICONDUCTORS - 3.7%
NVIDIA Corp.		14,724		4,303,531
SOFTWARE - 33.0%
Adobe, Inc. *		11,700		4,137,588
Autodesk, Inc. *		26,812		5,017,329
Microsoft Corp.		44,638		7,999,576
Salesforce.com, Inc. *		34,367		5,565,736
ServiceNow, Inc. * ^		16,566		5,823,612
Splunk, Inc. *		18,086		2,538,551
Veeva Systems, Inc. *		26,088		4,977,590
Workday, Inc. * ^		16,388		2,522,113
				38,582,095
TOTAL COMMON STOCKS (Cost - $56,878,907)				115,365,833

	Interest
	Rate%
COLLATERAL FOR SECURITIES LOANED - 29.8%
Mount Vernon Prime Portfolio #	0.480	+	34,775,780	34,775,780
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $34,775,780)

See accompanying notes to financial statements.

45

SCHEDULE OF INVESTMENTS

Dunham Focused Large Cap Growth Fund (Continued)

April 30, 2020

	Value
TOTAL INVESTMENTS - 128.7% (Cost - $91,654,687)	$	150,141,613
LIABILITIES IN EXCESS OF OTHER ASSETS - (28.7)%		(33,468,588	)
NET ASSETS - 100.0%	$	116,673,025

ADR - American Depositary Receipt.

* Non-Income producing security.

+ Variable rate security. Interest rate is as of April 30, 2020.

^ All or a portion of these securities are on loan. Total loaned securities had a value of $33,862,787 at April 30, 2020.

# The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

Portfolio Composition * - (Unaudited)
Technology	28.6	%	Financial	10.1	%
Collateral for Securities Loaned	23.2	%	Consumer, Cyclical	4.1	%
Consumer, Non-Cyclical	18.2	%	Industrial	0.8	%
Communications	15.0	%	Total	100.0	%

^* Based on total value of investments as of April 30, 2020.

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

See accompanying notes to financial statements.

46

Dunham Small Cap Growth Fund (Unaudited)

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

Asset Class Recap

The stellar performance of small cap growth stocks, as measured by the Russell 2000 Growth Index, in 2019 continued as they increased 12.4 percent in November and December. In contrast to the close of 2018, the Federal Reserve ended the year with a more consistent message of an accommodative stance. Small cap growth stocks began 2020 on a strong note amid the signing of the phase one trade deal between the U.S. and China, but sentiment drastically shifted amid concerns that the coronavirus outbreak would adversely affect the global economy, resulting in a risk-off mentality. This risk-off mentality continued into the most recent fiscal quarter and was exacerbated as cases rapidly increased, the outbreak was labeled a pandemic, and states subsequently shut down across the country. In response, small cap growth stocks declined sharply. In April, the asset class strongly rebounded as cases slowed and the government laid out plans to slowly reopen the economy. Over the fiscal six-month period ended April 30, 2020, small cap growth stocks declined 7.6 percent.

Allocation Review

The sector allocation within the Fund is predominately a result of the Sub-Adviser’s bottom-up stock selection. With that being said, the Sub-Adviser’s stock selection contributed to Fund performance over the six-month fiscal period, with sector allocation detracting marginally. The Fund’s largest overweight by a significant margin was to the information technology sector. Both the Sub-Adviser’s overweight and security selection within this sector strongly contributed to Fund performance. Although the Fund’s overweight to the consumer discretionary sector detracted from Fund performance, the Sub- Adviser’s security selection more than made up for the adverse effect of sector allocation. This resulted in the sector being one of the strongest performers in the Fund over the six-month period. The largest sector underweight within the Fund was to the health care sector, which is partially attributed to the Fund’s underweight to biotechnology and pharmaceutical stocks. In the biotechnology space, outcomes are generally binary. As such, the Fund’s exposure to this space was significantly less than the benchmark index as outcomes are often unpredictable. This allocation detracted from Fund performance as many health care stocks rose amid hopes of the development of a coronavirus vaccine.

Holdings Insights

A top contributor over the most recent fiscal quarter and fiscal six-month period ended April 30, 2020, was Chewy, Inc. (CHWY) (holding weight*: 0.91 percent), an online retailer of pet food and other pet-related products. The Sub-Adviser believes that CHWY has developed brand loyalty by providing exceptional customer service. This company has excelled during the coronavirus as clients are wary to shop at physical locations. Additionally, their main competitor, Amazon, Inc. (AMZN) (not held) has been stretched thin due to their vast offerings and new policies resulting in delayed shipping. CHWY increased 63.1 percent in the most recent fiscal quarter and 75.3 percent in the fiscal six-month period. After slightly detracting from Fund performance in the first fiscal quarter, SAIA, Inc. (SAIA) (holding weight*: 1.08 percent) contributed to performance as it increased 6.2 percent in the most recent fiscal quarter and 3.7 percent in the fiscal six month period. This position benefited from its meaningful exposure to the secular e-commerce trend. Additionally, the Sub- Adviser believes they are still in the early innings of growing out their Northeast U.S. footprint, which serves as an additional catalyst for growth. Another position that contributed to Fund performance over the fiscal six-month period was Enphase Energy, Inc. (ENPH) (holding weight*: 1.00 percent). ENPH makes critical components that help convert energy from solar panels to the grid. The company rallied as it revealed a variety of training solutions for installers in order to prepare them for social distancing. ENPH also announced the opening of eleven regional training centers, which will provide hands-on training as well as steps to broaden its reach in Europe and Australia. ENPH increased 36 percent since being added in the Fund in late March.

Despite increasing over 100 percent in the first fiscal quarter, Cardlytics, Inc. (CDLX) (holding weight*: 0.91 percent) detracted from Fund performance in the second fiscal quarter. CDLX is a digital marketing platform for mobile banking apps, and as such, is a pure- play on the large secular theme of digital advertising. CDLX declined 46.4 percent, but the Sub-Adviser believes the effects of the pandemic and subsequent shutdown on CDLX were overstated due to their exposure to travel companies. The Sub-Adviser also believes CDLX has done an excellent job of adding large bank customers and their most recent quarterly result was the culmination of those efforts as they are seeing strong growth in both their inventory of leads as well as strong growth in new advertising revenue. Another detractor from Fund performance over the fiscal period was Boyd Gaming Corporation (BYD) (holding weight**: 0.36 percent). BYD is a gaming company and regional casino operator, which was adversely affected by the shutdowns across the country. After increasing 9.8 percent in the first fiscal quarter, BYD declined 62.5 percent before being sold from the Fund.

Sub-Adviser Outlook

The Sub-Adviser does not forecast. The Sub-Adviser’s investment approach involves a thorough understanding of each stock’s value proposition and risk. With that being said, the Sub-Adviser is confident in the long-term horizon for small cap growth stocks. However, in the short-term the Sub- Adviser believes that the asset class will experience volatility as investors have binary reactions to updates regarding potential vaccines for the coronavirus. They believe this will create substantial dispersion between stocks, thus creating meaningful opportunities for active management.

* Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2020.

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

Growth of $100,000 Investment

Total Returns ^(a) as of April 30, 2020

			Annualized	Annualized
	Six Months	One Year	Five Years	Ten Years
Class N	0.65%	(6.20)%	8.29%	10.37%
Class C	0.20%	(7.12)%	7.23%	9.28%
Class A with load of 5.75%	(5.24)%	(11.79)%	6.76%	9.45%
Class A without load	0.53%	(6.41)%	8.03%	10.10%
Russell 2000 Growth Index	(7.62)%	(9.22)%	5.19%	9.96%
Morningstar Small Cap Growth Category	(6.54)%	(8.36)%	5.96%	9.45%

(a) Total Returns are calculated based on traded NAVs.

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

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

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.91% for Class N, 2.91% for Class C and 2.16% 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 Small Cap Growth Fund

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 95.2%
AEROSPACE/DEFENSE - 1.0%
Mercury Systems, Inc. *		5,499	$	490,291
APPAREL - 0.8%
Crocs, Inc. *		17,594		426,654
AUTO PARTS & EQUIPMENT - 0.5%
Methode Electronics, Inc.		8,575		257,421
BANKS - 1.8%
First Merchants Corp.		15,841		448,459
Seacoast Banking Corp. of Florida *		21,321		479,083
				927,542
BEVERAGES - 1.3%
Boston Beer Co., Inc. *		1,470		685,770
BIOTECHNOLOGY - 7.2%
Biohaven Pharmaceutical Holding Co. Ltd. *	��	9,376		441,610
Emergent BioSolutions, Inc. *		6,926		512,178
Epizyme, Inc. *		17,569		289,186
Guardant Health, Inc. *		6,861		528,023
Ligand Pharmaceuticals, Inc. * ^		4,944		487,330
Livongo Health, Inc. * ^		8,245		329,882
Mirati Therapeutics, Inc. *		4,931		419,332
PTC Therapeutics, Inc. *		6,916		352,163
REGENXBIO, Inc. *		8,710		346,832
				3,706,536
BUILDING MATERIALS - 1.1%
Trex Co., Inc. *		5,808		553,038
COMMERICAL SERVICES - 5.1%
AMN Healthcare Services, Inc. *		10,650		500,337
Avalara, Inc. *		6,711		599,762
Chegg, Inc. *		13,290		568,147
HealthEquity, Inc. *		7,666		431,366
Progyny, Inc. * ^		21,713		508,735
				2,608,347
COMPUTERS - 5.3%
Globant SA *		4,388		507,560
Kornit Digital Ltd. *		14,448		479,312
Virtusa Corp. *		9,322		307,626
Vocera Communications, Inc. *		18,924		358,799
WNS Holdings Ltd. - ADR *		10,817		528,410
Zscaler, Inc. *		7,535		505,448
				2,687,155
COSMETICS/PERSONAL CARE - 1.0%
Inter Parfums, Inc.		11,403		509,600
DISTRIBUTION/WHOLESALE - 1.3%
SiteOne Landscape Supply, Inc. *		7,322		648,949
DIVERSIFIED FINANCIAL SERVICES - 3.4%
Evercore, Inc.		7,742		399,487
Houlihan Lokey, Inc.		9,771		580,202
LendingTree, Inc. *		1,617		403,231
Moelis & Co.		12,549		374,839
				1,757,759

See accompanying notes to financial statements.

48

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Small Cap Growth Fund (Continued)

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 95.2% (Continued)
ELECTRICAL COMPONENTS & EQUIPMENT - 0.7%
nLight, Inc. *		22,739	$	358,367
ELECTRONICS - 2.2%
Itron, Inc. *		8,213		573,432
Woodward, Inc.		8,739		529,234
				1,102,666
ENERGY - 1.1%
Enphase Energy, Inc. *		11,846		554,748
ENGINEERING & CONSTRUCTION - 0.9%
Exponent, Inc.		6,193		435,554
FOOD - 2.3%
BellRing Brands, Inc. *		31,219		547,269
Grocery Outlet Holding Corp. *		19,405		645,604
				1,192,873
HAND/MACHINE TOOLS - 1.1%
MSA Safety, Inc.		4,901		551,509
HEALTHCARE-PRODUCTS - 3.2%
Cerus Corp. *		61,589		378,772
Insulet Corp. *		1,765		352,506
Repligen Corp. *		4,713		547,415
Tandem Diabetes Care, Inc. *		4,440		354,223
				1,632,916
HEALTHCARE-SERVICES - 3.9%
Addus HomeCare Corp. *		3,612		292,644
Amedisys, Inc. *		2,389		439,958
Catalent, Inc. *		7,412		512,540
LHC Group, Inc. *		3,627		471,474
Vapotherm, Inc. *		13,471		273,192
				1,989,808
HOME BUILDERS - 2.5%
Installed Building Products, Inc. *		10,055		495,812
LGI Homes, Inc. *		6,508		394,255
Skyline Champion Corp. *		20,892		411,781
				1,301,848
HOUSEHOLD PRODUCTS - 0.5%
Helen of Troy Ltd. *		1,552		254,963
INTERNET - 8.3%
Cadlytics, Inc. *		10,309		463,390
Chewy, Inc. *		10,735		464,181
Fiverr International Ltd. * ^		15,152		594,413
Mimecast Ltd. *		6,475		264,827
Okta, Inc. *		2,301		348,141
Pinterest, Inc. *		23,926		494,311
Q2 Holdings, Inc. *		7,229		576,296
Spotify Technology SA *		3,376		511,700
TechTarget, Inc. *		11,952		278,721
Zendesk, Inc. *		3,229		248,246
				4,244,226
LEISURE PRODUCTS - 1.7%
Fox Factory Holding Corp. *		10,393		530,147
Lindblad Expeditions Holdings, Inc. *		51,962		347,106
				877,253

See accompanying notes to financial statements.

49

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Small Cap Growth Fund (Continued)

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 95.2% (Continued)
MACHINERY-DIVERSIFIED - 1.1%
Chart Industries, Inc. *		16,456	$	587,808
MISCELLANEOUS MANUFACTURING - 3.8%
Axon Enterprise, Inc. *		7,850		570,774
ESCO Technologies, Inc.		5,383		410,723
Fabrinet *		10,622		666,531
Raven Industries, Inc.		13,132		292,450
				1,940,478
PHARMACEUTICALS - 0.5%
DexCom, Inc . *		823		275,870
REAL ESTATE - 0.6%
Redfin Corp. *		15,108		319,232
RETAIL - 5.4%
BJ’s Wholesale Club Holdings, Inc. *		19,915		523,964
Freshpet, Inc. *		4,370		329,542
Ollie’s Bargain Outlet Holdings, Inc. *		8,388		569,629
Papa John’s International, Inc.		7,074		508,762	��
Texas Roadhouse, Inc.		5,708		268,790
Wingstop, Inc.		4,631		543,077
				2,743,764
SEMICONDUCTORS - 5.0%
Brooks Automation, Inc.		15,685		603,716
Impinj, Inc. *		15,265		342,852
Lattice Semiconductor Corp. *		22,921		515,952
Semtech Corp. *		11,905		538,582
Silicon Laboratories, Inc. *		5,992		582,542
				2,583,644
SOFTWARE - 16.9%
Appfolio, Inc. *		4,163		457,347
Appian Corp. * ^		9,700		442,999
Bandwidth, Inc. *		6,302		513,991
Blackline, Inc. *		7,987		485,130
Coupa Software, Inc. *		2,221		391,096
Elastic NV *		9,203		590,280
Everbridge, Inc. *		5,261		585,970
Five9, Inc. *		5,722		530,258
Intelligent Systems Corp. * ^		13,182		442,124
MongoDB, Inc. *		2,666		432,239
MSCI, Inc.		1,826		597,102
Omnicell, Inc. *		6,504		474,142
Schrodinger, Inc. *		10,552		489,613
Slack Technologies, Inc.		15,886		423,997
Smartsheet, Inc. *		4,623		243,724
Tabula Rasa HealthCare, Inc. * ^		7,370		466,816
Twilio, Inc. *		5,127		575,762
Workiva, Inc. *		12,876		493,795
				8,636,385
STORAGE/WAREHOUSING - 1.1%
Mobile Mini, Inc.		19,878		567,914
TRANSPORTATION - 2.6%
Air Transport Services Group, Inc. *		26,143		529,134
CryoPort, Inc. * ^		14,316		269,713
Saia, Inc. *		5,968		552,159
				1,351,006
TOTAL COMMON STOCKS (Cost - $41,891,049)				48,761,894

See accompanying notes to financial statements.

50

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Small Cap Growth Fund (Continued)

April 30, 2020

Security	Shares		Interest Rate %		Value
COLLATERAL FOR SECURITIES LOANED - 6.7%
HSBC US Government Money Market Fund - Class I #		2,446,691		0.714+	$	2,446,691
Morgan Stanley Institutional Liquidity Fund Prime Portfolio - Class Institutional #		1,010,439		0.193+		1,011,146
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $3,457,130)						3,457,837
TOTAL INVESTMENTS - 101.9% (Cost - $45,348,179)					$	52,219,731
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.9)%						(991,560	)
TOTAL NET ASSETS - 100.00%					$	51,228,171

ADR - American Depositary Receipt.

^ All or a portion of these securities are on loan. Total loaned securities had a value of $3,387,746 at April 30, 2020.

# The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

* Non-Income producing security.

+ Variable rate security. Interest rate is as of April 30, 2020.

Portfolio Composition * - (Unaudited)
Technology	26.6	%	Communications	8.1	%
Consumer, Non-Cyclical	24.6	%	Collateral For Securities Loaned	6.6	%
Industrial	14.1	%	Financial	5.8	%
Consumer, Cyclical	13.1	%	Energy	1.1	%
			Total	100.0	%

* Based on total value of investments as of April 30, 2020.

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

See accompanying notes to financial statements.

51

Dunham Emerging Markets Stock Fund (Unaudited)

Message from the Sub-Adviser (NS Partners Ltd.)

Asset Class Recap

Emerging markets stocks, as measured by the MSCI Emerging Markets Index, surged 7.3 percent in the first two months of the fiscal year amid defusing tensions between the United States and China, interest rate cuts in several major emerging markets, as well as an improved outlook for global economic growth. Sentiment continued to improve on reports that the U.S. and China were drawing closer to a partial trade deal, culminating in an announcement on December 13 of a trade agreement. Although it lacked details, investors viewed it as a reprieve from escalating tariffs. January started on a positive note as the dovish Federal Reserve may have provided investors with the confidence to take additional risk. Emerging Markets generally continued to rally amid the signing of the phase one trade deal on January 15. The surge that started the fiscal quarter propelled most emerging markets countries into positive territory, some up as much as 27 percent. However, sentiment changed as the outbreak of the coronavirus sparked concerns that would adversely affect global economic growth leading to a risk-off sentiment to close the first fiscal quarter. This sentiment continued and worsened as coronavirus cases and deaths mounted causing economics around the world to close. Also adding to volatility was an oil price war between Russia and Saudi Arabia, which was triggered by Russia’s refusal to reduce oil production in order to keep prices for oil at moderate levels. Emerging market stocks fell 20 percent in February and March. In April, emerging market stocks rebounded amid historic fiscal and monetary policies set by central banks around the world. Emerging markets stocks declined 10.5 percent during the six-month period ending April 30, 2020.

Allocation Review

Over the six -month fiscal period, country selection detracted but the Sub-Adviser’s security selection more than made up for the adverse effects of country allocation. The Fund’s country allocation was aided by the exposure to Latin American but held back by the allocation to Asia. The Fund received contributions from stock selection in Korea, China, and Poland, with only a slight detraction coming from stock selection in Thailand and India. Throughout the first fiscal quarter, the Fund took profits and allowed cash to rise by selectively reducing exposure in China and Hong Kong, with an emphasis on consumer names. This shift positively contributed to Fund performance as Hong Kong and China declined 8.4 percent and 8.7 percent, respectively in the second half of January. In the second fiscal quarter, the relatively larger allocation to cash helped offset some of the volatility across markets. The Sub-Adviser reduced the cash position by adding to Chinese internet-related businesses, positions in Taiwan, and companies that have benefited from the “work from home” orders. From a sector perspective, the Fund received strong contributions from the consumer staples, technology, and consumer discretionary sectors, while the exposure to the energy and utilities sectors detracted.

Holdings Insights

As some countries began to lockdown in the first fiscal quarter of the year, the Sub-Adviser believed that this could temporarily affect private educator companies. One such company within the Fund was China Education Group Holdings Ltd. (839 HK) (holding weight*: 1.79 percent) . This position was reduced in the first fiscal quarter as it fell 18.5 percent. The Sub-Adviser’s conviction in the position remained due to their best in class reputation and strong financial position. The Sub-Adviser added to the position in the second fiscal quarter, benefiting the Fund as it increased 37.6 percent. Another strong contributor to performance was Alibaba Health Information Technology LTD (241 HK) (holding weight*: 1.36 percent). 241 HK is a fully-integrated health care analysis and service provider. Since being added to the Fund in early April, this position increased 24.1 percent. One of the best performers over the six-month period was the Fund’s sole position in Poland, CD Projekt SA (CDR PW) (holding weight*: 2.24 percent). CDR PW is a Polish video game developer, publisher, and distributor in Warsaw. This company released impressive earnings reports with revenue and earnings per share surpassing analyst expectations by 50 percent. The stock also increased in anticipation of the new release of their acclaimed video game series, “The Witcher.” CDR PW rose 41.9 percent during the six-month period.

Positions in India provided mixed results for the fiscal six-month period. Varun Beverages Ltd. (VBL IN) (holding weight*: 0.95 percent) is a beverage distributor that recently entered competitors’ territories and handily beat market expectations. After the integration, VBL IN has a higher market share in India than both Coca Cola (KO) (not held) and PepsiCo, Inc. (PEP) (not held). VBLN had an impressive first fiscal quarter, increasing 23.7 percent but declined 12.7 percent in the second fiscal quarter. Lemon Tree Hotels Ltd. (BL23SQ7) (holding weight*: 0.53 percent) detracted from Fund performance in the six-month period by falling 71.2 percent. Lemon Tree Hotels Ltd. is a hotel and restaurant operator who was hit by the virus-related concerns. These concerns were exacerbated by the timing of the pandemic given the company was in the midst of an expansion. After being the largest contributor to positive Fund performance over the first fiscal quarter by increasing 14.5 percent, Lukoil PJSC (LKOD LI) (holding weight*: 0.80 percent), a large multinational company that explores for, produces, refines, and transports oil and gas mainly from Western Siberia, declined 35.8 percent in the second fiscal quarter. This Russian producer benefitted from a weak ruble and no production constraints, which is contrary to many members of the Organization of Petroleum Exporting Countries. However, in the second fiscal quarter, this position was adversely affected by the Russia and Saudi Arabia oil price war.

Sub-Adviser Outlook

The Sub- Adviser’s outlook has improved over the second fiscal quarter, but they continue to diligently monitor geopolitical developments and economic data. The Sub-Adviser believes that unprecedented fiscal and monetary stimulus will drive a strong recovery toward the latter half of 2020 and the beginning of 2021. The Sub-Adviser is keeping a close eye on the labor markets and updates on the coronavirus pandemic and how economies will approach their reopening. The Sub-Adviser is focused on increasing liquidity in sensitive markets as well as looking for opportunities from policy response to virus-related economic disruption. The Sub-Adviser is cautiously optimistic moving forward and will continue to focus on companies with impressive returns on invested capital and emphasize companies that it believes are beneficiaries of structural change.

* Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2020.

Growth of $100,000 Investment

Total Returns ^(a) as of April 30, 2020

	Six		Annualized	Annualized
	Months	One Year	Five Years	Ten Years
Class N	(9.34)%	(8.83)%	(1.27)%	(0.18)%
Class C	(9.80)%	(9.66)%	(2.25)%	(1.17)%
Class A with load of 5.75%	(14.67)%	(14.32)%	(2.67)%	(1.01)%
Class A without load	(9.47)%	(9.08)%	(1.51)%	(0.42)%
MSCI Emerging Markets Index (net)	(10.50)%	(12.00)%	(0.10)%	1.45%
Morningstar Diversified Emerging Markets Category	(12.86)%	(13.11)%	(0.85)%	0.74%

(a) Total Returns are calculated based on traded NAVs.

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

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

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.53% for Class N, 2.53% for Class C and 1.78% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

52

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Emerging Markets Stock Fund

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 99.6%
AIRLINES - 0.7%
Wizz Air Holdings Plc - 144A *		14,485	$	524,266
APPAREL - 1.0%
Shenzhou International Group Holdings Ltd.		65,500		755,992
AUTO MANUFACTURERS - 1.0%
Geely Automobile Holdings Ltd.		498,000		774,665
AUTO PARTS & EQUIPMENT - 0.3%
Minth Group Ltd.		96,000		230,849
BANKS - 7.7%
Banco Bradesco SA - ADR ^		138,490		487,485
Banco Santander Chile - ADR		45,300		761,946
Bank of the Philippine Islands		303,150		348,183
China Merchants Bank Co. Ltd.		297,500		1,407,890
Credicorp Ltd. ^		3,100		461,962
HDFC Bank Ltd. - ADR		13,300		576,555
HDFC Bank Ltd.		72,326		949,767
Itau Unibanco Holding SA - ADR ^		92,300		388,583
Sberbank of Russia PJSC - ADR		44,742		476,726
				5,859,097
BEVERAGES - 2.4%
Carlsberg Brewery Malaysia Bhd		80,800		515,651
Fomento Economico Mexicano SAB de CV - ADR		8,600		553,238
Varun Beverages Ltd.		82,017		728,072
				1,796,961
BIOTECHNOLOGY - 0.2%
I-Mab - ADR *		7,324		131,832
BUILDING MATERIALS - 2.0%
Anhui Conch Cement Co. Ltd.		196,500		1,549,507
CHEMICALS - 1.1%
LG Chem Ltd.		2,696		837,683
COMMERCIAL SERVICES - 1.8%
China Education Group Holdings Ltd.		820,000		1,376,110
COMPUTERS - 3.3%
Quanta Computer, Inc.		550,000		1,188,368
Venustech Group, Inc.		230,000		1,321,471
				2,509,839
COSMETICS/PERSONAL CARE - 1.7%
LG Household & Health Care Ltd.		1,109		1,257,602
DIVERSIFIED FINANCIAL SERVICES - 5.1%
B3 SA - Brasil Bolsa Balcao		53,500		378,027
Housing Development Finance Corp. Ltd.		89,869		2,273,219
KB Financial Group, Inc.		24,703		706,786
Tisco Financial Group PCL		243,500		546,589
				3,904,621
ELECTRONICS - 1.1%
Hangzhou Hikvision Digital Technology Co. Ltd.		187,522		841,910
ENGINEERING & CONSTRUCTION - 0.7%
Mytilineos Holdings SA		67,591		503,768
ENTERTAINMENT - 0.7%
OPAP SA		62,373		558,415
FOOD - 2.2%
Magnit PJSC		15,134		755,178
Ulker Biskuvi Sanayi AS *		258,542		877,613
				1,632,791
HOME FURNISHINGS - 2.6%
Hangzhou Robam Appliances Co. Ltd.		185,372		827,067
Joyoung Co. Ltd.		254,178		1,124,481
				1,951,548
INSURANCE - 4.6%
AIA Group Ltd.		129,600		1,189,462
Odontoprev SA		138,000		391,059
Ping An Insurance Group Co. of China Ltd.		184,500		1,877,557
				3,458,078

See accompanying notes to financial statements.

53

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Emerging Markets Stock Fund (Continued)

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 99.6% (Continued)
INTERNET - 22.3%
Alibaba Group Holding Ltd. - ADR *		21,100	$	4,276,337
Alibaba Group Holding Ltd. *		57,200		1,451,720
Baidu, Inc. - ADR *		9,900		999,207
Meituan Dianping *		43,300		579,759
Naspers Ltd.		12,258		1,925,653
NAVER Corp.		7,930		1,285,695
Tencent Holdings Ltd.		109,800		5,772,236
Yandex NV *		17,600		664,928
				16,955,535
LODGING - 1.0%
Lemon Tree Hotels Ltd. *		1,760,240		411,556
Minor International PCL - ADR		593,500		383,546
				795,102
MINING - 0.8%
MMC Norilsk Nickel PJSC		2,086		577,658
MISCELLANEOUS MANUFACTURING - 2.2%
Hiwin Technologies Corp.		103,000		982,433
Largan Precision Co. Ltd.		5,000		681,568
				1,664,001
OIL & GAS - 0.8%
LUKOIL PJSC - ADR		9,429		617,600
REAL ESTATE - 4.0%
Ayala Corp.		40,780		463,877
China Overseas Land & Investment Ltd.		404,000		1,492,383
ESR Cayman Ltd. *		382,400		837,148
Pakuwon Jati Tbk PT		10,525,700		264,324
				3,057,732
RETAIL - 6.9%
Alibaba Health Information Technology Ltd. *		438,000		1,047,720
Atacadao SA		146,400		543,324
Home Product Center PCL		1,279,600		534,237
Li Ning Co. Ltd.		394,500		1,245,648
Lojas Renner SA		109,370		777,650
President Chain Store Corp.		107,000		1,106,458
				5,255,037
SEMICONDUCTORS - 13.4%
MediaTek, Inc.		94,000		1,297,993
Samsung Electronics Co. Ltd. - ADR - 144A		296		261,960
Samsung Electronics Co. Ltd.		63,221		2,599,494
Samsung Electronics Co. Ltd.		17,399		603,147
SK Hynix, Inc. *		16,801		1,156,204
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR ^		24,000		1,275,120
Taiwan Semiconductor Manufacturing Co. Ltd.		293,000		2,955,725
				10,149,643
SOFTWARE - 4.8%
CD Projekt SA		19,693		1,727,279
Chinasoft International Ltd.		1,268,000		665,435
HUYA, Inc. - ADR *		41,100		667,053
Kingdee International Software Group Co. Ltd.		412,000		589,243
				3,649,010
TELECOMMUNICATIONS - 1.5%
Accton Technology Corp.		160,000		1,159,851
WATER - 1.7%
Guangdong Investment Ltd.		614,000		1,276,203
TOTAL COMMON STOCKS (Cost - $74,684,566)				75,612,906

See accompanying notes to financial statements.

54

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Emerging Markets Stock Fund (Continued)

April 30, 2020

Security	Shares		Value
CLOSED END FUND - 0.8%
Vietnam Enterprise Investments Limited *		117,461	$	576,469
TOTAL CLOSED END FUND (Cost - $679,829)
WARRANT - 0.0%
Minor International PCL - NVDR - Warrant ++		51,085		3,527
TOTAL CLOSED END FUND (Cost - $0)
COLLATERAL FOR SECURITIES LOANED - 2.9%
Mount Vernon Prime Portfolio, 0.48% + # (Cost - $2,228,041)		2,228,041		2,228,041
TOTAL INVESTMENTS - 103.3% (Cost - $77,592,436)			$	78,420,943
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.3)%				(2,490,061	)
NET ASSETS - 100.0%			$	75,930,882

ADR - American Depositary Receipt

* Non-income producing security

^ All or a portion of these securities are on loan. Total loaned securities had a value of $2,104,243 at April 30, 2020.

+ Variable rate security. Interest rate is as of April 30, 2020.

++ The value of this security has been determined in good faith under policies of the Board of Trustees. The total of these securities is $3,527 or 0.0% of net assets.

144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The 144A securities amounted to $786,226 or 1.0% of net assets.

# The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% (105% for non US Shares) of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

Portfolio Composition * - (Unaudited)
China	32.2	%	Russia	3.9	%
Taiwan	13.6	%	Brazil	3.8	%
South Korea	11.1	%	South Africa	2.5	%
Hong Kong	7.5	%	Poland	2.2	%
India	6.3	%	Other Countries **	12.4	%
Cayman Islands	4.5	%	Total	100.0	%

^* Based on total value of investments as of April 30, 2020.

** Includes Collateral for Securities Loaned as of April 30, 2020.

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

See accompanying notes to financial statements.

55

Dunham International Stock Fund (Unaudited)

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

Asset Class Recap

International equity markets, as measured by the MSCI All Country World ex USA Index (Net) (referred to as the “Index”), fell 13.2 percent during the semi-annual period ending April 30, 2020. Across sectors, losses were led by energy, financials, and real estate.

The best performing developed market countries as measured by the Index during the semi-annual period were New Zealand, up 10.52 percent, and Denmark, up 10.4 percent. The worst performing developed market countries were Austria, down 32.2 percent, and Spain, down 24.8 percent. The best performing emerging market countries during the period as measured by the Index were China, up 4.4 percent, and Taiwan, down 1.6 percent. The worst performing emerging market countries were Greece, down 36.3 percent, and Colombia, down 32.9 percent.

Allocation Review

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

Countries contributing the most to returns relative to the Index during the semi- annual period were: Switzerland, mainly due to our overweight positioning along with positive selection within health care; and Australia, primarily due to both positive selection and underweight positioning in financials, along with positive selection paired with an overweight to materials. Countries contributing the most to underperformance relative to the Index included: China, primarily due to our underweight positioning along with negative selection in communication services and an underweight to consumer discretionary; and Italy, primarily due to poor selection within consumer discretionary, as well as an overweight to financials.

Sectors contributing the most to returns relative to the Index during the semi-annual period included: Health care, primarily due to an overweight and positive selection to Swiss health care, and an overweight to Japanese health care; and financials due to both an underweight and positive selection in Australian financials, as well as an underweight to UK financials. Sectors contributing the most to underperformance relative to the Index included: consumer discretionary, primarily due to an underweight to China as noted above, and poor selection within France; and communication services, primarily due to an underweight and negative selection within China also noted above, along with underweight positioning to Brazilian communication services.

Holdings Insights

Stocks contributing the most to returns relative to the Index during the semi-annual period included: Roche Holding AG (ROG SW) (holding weight*: 2.02 percent), a Swiss health care company, a Swiss health care company; Royal Dutch Shell PLC (RDS/B) (holding weight*: 0.27 percent), a UK energy company, a UK energy company; and UCB SA (UCB BB) (holding weight**: 0.62 percent), a Belgian health care company. During the semi-annual period, ROG SW rose 18.7 percent, while RDS/B surged 34.8 percent since it was added to the Fund in mid-March, as UCB BB increased 10.4 percent from the beginning of the fiscal year until it was sold in April. Stocks contributing the most to underperformance relative to the Index included: Tencent Holdings Ltd. (TCEHY) (holding weight*: 0.63 percent), a Chinese communication services company, Alibaba Group Holding Ltd. (BABA) (holding weight*: 0.60 percent), a Chinese consumer discretionary company, and Fiat Chrysler Automobiles NV (FCA IM) (holding weight*: 0.66 percent), an Italian consumer discretionary company. During the fiscal quarter, TCEHY and BABA increased 29.9 percent and 14.7 percent, respectively, but both were held at lower weightings than the benchmark index, while FCA IM declined 43.5 percent.

Sub-Adviser Outlook

The Sub-Adviser generally constructs its portfolios by using proprietary econometric models and a proprietary optimization process that balances the trade-off between a stock’s expected return, its contribution to portfolio level risk, portfolio specific restrictions, and its opportunity costs relative to trading costs. As this is performed quantitatively, the Sub-Adviser’s outlook does not play a role in the disciplined investment process.

* Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2020.

Growth of $100,000 Investment

Total Returns ^(a) as of April 30, 2020

	Six		Annualized	Annualized
	Months	One Year	Five Years	Ten Years
Class N	(11.92)%	(10.31)%	(0.61)%	3.53%
Class C	(12.36)%	(11.26)%	(1.61)%	2.50%
Class A with load of 5.75%	(17.09)%	(15.69)%	(2.03)%	2.65%
Class A without load	(12.02)%	(10.57)%	(0.86)%	3.26%
MSCI All Country World ex US Index (net)	(13.22)%	(11.51)%	(0.17)%	2.89%
Morningstar Foreign Large Cap Blend Category	(13.96)%	(12.04)%	(0.58)%	3.03%

(a) Total Returns are calculated based on traded NAVs.

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

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

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.43% for Class N, 2.43% for Class C and 1.68% 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.

56

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Stock Fund

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 99.0%
AEROSPACE/DEFENSE - 0.6%
Airbus SE *		7,211	$	456,361
Embraer SA - ADR *		41,500		65,624
Leonardo SpA		7,050		48,664
Rolls-Royce Holdings PLC - ADR		9,506		38,975
Safran SA		1,991		185,013
				794,637
AGRICULTURE - 0.2%
Astra Agro Lestari Tbk PT		165,100		67,705
Swedish Match AB		3,444		212,576
				280,281
AIRLINES - 0.4%
Air Canada *		3,700		54,109
Deutsche Lufthansa AG *		23,170		207,330
International Consolidated Airlines Group SA		46,193		129,007
Qantas Airways Ltd.		55,475		138,426
Turk Hava Yollari AO *		1		2
				528,874
APPAREL- 0.9%
adidas AG		3,228		738,624
Pou Chen Corp.		92,000		86,636
Puma SE		5,650		354,730
				1,179,990
AUTO MANUFACTURERS - 2.5%
Daimler AG		2,141		73,192
Fiat Chrysler Automobiles NV		60,512		524,615
Hino Motors Ltd.		12,300		73,429
Hyundai Motor Co.		923		71,341
Kia Motors Corp.		11,634		284,157
Nissan Motor Co. Ltd. - ADR		13,600		93,024
Nissan Motor Co. Ltd.		77,900		266,098
Peugeot SA		9,267		131,300
Porsche Automobil Holding SE		3,193		161,146
Tofas Turk Otomobil Fabrikasi AS		121,994		389,811
Volkswagen AG		6,959		967,729
Volvo AB		12,181		155,530
				3,191,372
AUTO PARTS & EQUIPMENT - 2.0%
Continental AG		4,015		335,331
Hankook Tire Co., Ltd.		7,314		128,322
Hyundai Mobis Co., Ltd.		553		78,183
Magna International, Inc.		19,482		760,382
NGK Insulators Ltd.		7,000		91,905
Schaeffler AG		12,065		81,427
Toyoda Gosei Co., Ltd.		16,100		300,932
Valeo SA		25,831		591,825
Weifu High-Technology Group Co., Ltd.		138,000		235,163
				2,603,470
BANKS - 5.3%
Abin Amro Group N.V. - ADR		16,399		126,053
Aeon Financial Service Co. Ltd.		8,100		84,533
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		51,300		28,742
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand - ADR		20,400		56,508
Bank of China Ltd.		1,336,000		508,629
BNP Paribas SA		15,249		478,828
China CITIC Bank Corp., Ltd.		397,000		193,952
China Everbright Bank Co., Ltd.		42,000		17,823
Chongqing Rural Commercial Bank Co. Ltd.		172,000		75,037
DBS Group Holdings ltd. - ADR		5,400		301,860
ING Groep NV		119,249		667,792
Mitsubishi UFJ Financial Group, Inc. - ADR ^		60,400		240,996
Naxis SA		15,221		35,915
Sberbank of Russia PJSC		550,580		1,468,610

See accompanying notes to financial statements.

57

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Stock Fund (Continued)

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 99.0% (Continued)
BANKS - 5.3% (Continued)
Shinhan Financial Group Co. Ltd. - ADR ^		8,100	$	206,712
Societe Generale SA		22,308		349,816
Sumitomo Mitsui Financial Group Inc		29,800		786,442
Turkiye Is Bankasi *		81,167		57,617
Turkiye Vakiflar Bankasi TAO *		555,336		360,225
UniCredit SpA *		13,381		103,287
VTB BANK PJSC		1,254,650,000		592,130
Yapi ve Kredi Bankasi AS *		184,313		55,489
				6,796,996
BEVERAGES - 2.0%
Coca-Cola Bottlers Japan, Inc.		6,900		123,989
Coca-Cola Femsa SAB de CV - ADR		594		24,538
COCA-COLA FEMSA, S.A.B. DE C.V. (FEMSA)		109,352		442,965
Jiangsu Yanghe Brewery Joint-Stock Co. Ltd.		54,000		748,321
Thai Beverage PCL		731,100		356,485
Wuliangye Yibin Co. Ltd.		46,299		880,844
				2,577,142
BIOTECHNOLOGY - 0.1%
Genmab A/S *		352		84,598
BUILDING MATERIALS - 1.2%
BBMG Corp.		327,000		82,673
Cie de Saint-Gobain - ADR		29,100		151,902
Cie de Saint-Gobain		4,573		121,617
CSG Holding Co., Ltd.		619,000		173,614
Geberit AG		1,377		615,862
HeidelbergCement AG		7,904		374,550
KCC Glass Corp. *		727		17,214
				1,537,432
CHEMICALS - 2.1%
Akzo Nobel NV		4,336		328,893
BASF SE		13,226		676,521
Covestro AG		7,604		255,299
Hanwha Solutions Corp.		6,809		81,490
Kaneka Corp.		8,100		210,253
KCC Corp.		475		64,650
Methanex Corp.		5,400		85,752
Nitto Denko Corp.		3,200		160,419
Shin-Etsu Chemical Co., Ltd.		6,800		752,719
				2,615,996
COMMERCIAL SERVICES - 2.3%
Adecco Group AG		6,620		289,726
Amadeus IT Group SA		2,894		138,069
Atlantia SpA		17,390		284,936
Brambles Ltd. - ADR		7,500		106,538
Cogna Educacao		228,600		233,106
Experian PLC		20,616		620,016
G4S PLC		28,351		38,977
Guangdong Provincial Expressway Development Co., Ltd.		92,100		59,994
Offcn Education Technology Co. Ltd.		43,800		159,555
Randstad Holding NV		7,672		308,609
RELX PLC		8,912		201,366
RELX PLC		18,172		413,318
Sichuan Expressway Co., Ltd.		400,000		102,848
				2,957,058
COMPUTERS - 2.6%
CGI., Inc. *		7,890		504,723
Check Point Software Technologies Ltd. * ^		7,681		812,189
Computershare Ltd.		25,961		205,209
Fujitsu Ltd.		3,600		350,977
Lenovo Group Ltd. - ADR		4,300		46,397
Lenovo Group Ltd.		396,000		213,922
NEC Corp.		5,400		207,960
NTT Data Corp.		28,900		295,949
Otsuka Corp. ^		3,200		145,404
PHISON ELECTRONICS CORP.		61,000		578,864
				3,361,594

See accompanying notes to financial statements.

58

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Stock Fund (Continued)

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 99.0% (Continued)
COSMETICS / PERSONAL CARE - 1.2%
Unicharm Corp.		3,100	$	114,652
Unilever NV		20,683		1,029,483
Unilever PLC - ADR ^		1,700		88,179
Unilever PLC		4,648		239,687
				1,472,001
DISTRIBUTION / WHOLESALE - 0.4%
Hanwha Corp.		12,423		211,900
Hanwha Corp.		6,921		64,818
Marubeni Corp.		29,500		142,572
Toyota Tsusho Corp.		5,700		136,166
				555,456
DIVERSIFIED FINANCIAL SERVICES - 2.1%
ASX Ltd.		1,932		102,342
B3 SA - Brasil Bolsa Balcao		35,500		250,841
BNK Financial Group, Inc.		31,712		131,880
China Merchants Securities Co., Ltd.		75,600		82,965
Credit Saison Co. Ltd.		21,000		239,348
Deutsche Boerse AG		1,092		169,217
Everbright Securities Company Ltd.		79,200		48,887
GF Securities Co., Ltd.		80,600		87,462
Haitong Securities Co., Ltd.		268,400		242,993
Hana Financial Group, Inc.		10,225		233,416
Lakala Payments Co. Ltd. *		32,100		308,564
Orient Securities Co., Ltd.		634,000		325,724
Tokyo Century Corp.		5,500		181,816
Yuanta Financial Holding Co., Ltd.		498,000		283,850
				2,689,305
ELECTRIC - 3.0%
Centrais Eletricas Brasileiras SA		11,400		51,574
Chubu Electric Power Co Inc		4,300		58,360
Cia Energetica de Minas Gerais		204,000		356,877
CPFL Energia SA		4,800		26,708
Endesa SA		3,366		74,621
Enel Americas SA		753,938		123,556
Enel SpA		201,825		1,377,865
Engie Brasil Energia SA		32,500		236,067
Engie SA		258		2,798
Iberdrola SA		51,295		510,016
KANSAI ELECTRIC POWER COMPANY, INCORPORATED		61,100		628,327
Neoenergia SA		15,700		52,785
Tokyo Electric Power Co. Holdings, Inc. *		79,600		268,911
				3,768,465
ELECTRICAL COMPONENTS & EQUIPMENT - 0.3%
Brother Industries Ltd.		10,100		171,788
LG Innotek Co., Ltd.		1,945		210,726
				382,514
ELECTRONICS - 2.4%
Alps Alpine Co., Ltd.		9,400		97,299
Assa Abloy AB		2,400		42,914
BYD Electronic International Co. Ltd.		84,500		194,584
Delta Electronics Thailand PCL ++		88,700		121,708
FIT Hon Tend Ltd.		691,000		149,404
Hoya Corp.		7,200		658,925
Kyocera Corp.		11,600		621,995
LG Display Co., Ltd. - ADR *		26,600		119,700
LG Display Co., Ltd. *		36,416		330,388
Omron Corp.		7,000		412,607
TDK Corp.		4,000		346,056
				3,095,580

See accompanying notes to financial statements.

59

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Stock Fund (Continued)

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 99.0% (Continued)
ENERGY - ALTERNATE SOURCES - 0.2%
Vestas Wind Systems A/S - ADR ^		7,464	$	213,582
ENGINEERING & CONSTRUCTION - 0.2%
ACS Actividades de Construccion y Servicios SA		12,005		300,052
Enka Insaat ve Sanayi AS		1		1
Grupo Aeroportuario del Pacifico SAB de CV - ADR		52		3,224
				303,277
ENTERTAINMENT - 0.3%
Aristocrat Leisure Ltd.		24,953		411,139
FOOD - 2.9%
CJ CheilJedang Corp.		362		33,045
COLES GROUP LIMITED		25,627		258,186
EMPIRE COMPANY LIMITED		13,300		294,258
JBS SA		54,800		240,426
Magnit PJSC		3,577		178,490
Nestle SA - ADR		615		64,637
Nestle SA		9,934		1,052,219
NH Foods Ltd.		2,900		103,304
Seven & i Holdings Co Ltd.		15,100		501,845
Want Want China Holdings Ltd.		350,000		249,464
Wilmar International Ltd.		28,500		71,896
Woolworths Ltd.		26,512		616,411
				3,664,181
FOOD SERVICE - 0.1%
Compass Group PLC - ADR		9,390		157,001
GAS - 0.2%
Gas Natural SDG SA		12,697		224,212
HAND / MACHINE TOOLS - 0.2%
Disco Corp.		300		67,232
Techtronic Industries Co., Ltd. - ADR		5,200		193,102
Techtronic Industries Co., Ltd.		7,000		53,079
				313,413
HEALTHCARE-PRODUCTS - 3.0%
Alcon, Inc. *		2,835		149,638
Coloplast A/S - ADR		4,268		673,027
Koninklijke Philips NV		21,855		952,236
Olympus Corp. *		36,400		579,606
Siemens Healthineers AG		3,800		83,144
Smith & Nephew PLC		27,710		543,057
Terumo Corp.		12,300		409,597
Zhejiang Hisoar Pharmaceutical Co. Ltd.		573,200		479,589
				3,869,894
HEALTHCARE-SERVICES - 0.8%
Eurofins Scientific SE		888		490,969
HAPVIDA PARTICIPACOES E INVESTIMENTOS S/A		26,800		258,331
Lonza Group AG		1,500		65,025
WuXi AppTec Co. Ltd.		12,400		174,827
				989,152
HOLDING COMPANIES - DIVERSIFIED - 0.0%
Haci Omer Sabanci Holding AS		1		1
HOME BUILDERS - 0.1%
Taylor Wimpey PLC		36,241		67,030
HOME FURNISHINGS - 0.9%
Arcelik AS *		64,164		150,618
Chicony Electronics Co. Ltd.		144,000		405,623
LG Electronics, Inc.		2,286		102,882
Panasonic Corp.		57,700		441,410
				1,100,533
HOUSEHOLD PRODUCTS - 0.0%
Reckitt Benckiser Group PLC		344		5,886

See accompanying notes to financial statements.

60

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Stock Fund (Continued)

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 99.0% (Continued)
HOUSEWARES - 0.3%
Turkiye Sise ve Cam Fabrikalari AS		508,047	$	352,931
INSURANCE - 3.1%
Aegon NV		19,140		49,484
Allianz SE		4,607		847,408
Assicurazioni Generali SpA		30,414		433,688
Aviva PLC - ADR		16,600		100,596
AXA SA		30,706		545,571
BB Seguridade Participacoes SA		10,000		48,990
CNP Assurances *		3,854		39,741
Dai-ichi Life Holdings, Inc.		17,800		223,866
Mapfre SA		63,895		117,188
MS&AD Insurance Group Holdings, Inc.		20,500		592,706
NN Group NV		14,996		433,580
T&D Holdings, Inc.		16,600		143,996
Tokio Marine Holdings, Inc.		7,700		362,535
				3,939,349
INTERNET - 3.0%
Alibaba Group Holding Ltd. - ADR *		3,940		798,520
China Telecom Corp Ltd. - ADR ^		2,540		85,344
Hangzhou Shunwang Technology Co Ltd. *		33,500		91,012
Momo, Inc. - ADR		14,232		342,707
NAVER Corp.		804		130,353
Shopify, Inc. *		1,386		880,905
Tencent Holdings Ltd. - ADR		18,086		951,685
Trend Micro, Inc.		8,500		432,753
Vipshop Holdings Ltd. - ADR *		9,323		148,515
				3,861,794
INVESTMENT COMPANIES - 0.2%
Investor AB		4,640		230,328
IRON / STEEL - 1.2%
Fortescue Metals Group Ltd.		8,249		63,336
Fortescue Metals Group Ltd. - ADR		1,500		22,800
Iskenderun Demir ve Celik AS		251,984		248,374
Novolipetsk Steel PJSC		59,730		103,663
POSCO		383		57,873
Sansteel Minguang Co Ltd Fujian		365,769		373,868
Vale SA		9,620		79,365
Vale SA - ADR		61,700		513,929
				1,463,208
LEISURE TIME - 0.2%
Carnival PLC		8,014		110,597
Yamaha Motor Co., Ltd.		7,100		91,672
				202,269
LODGING - 0.1%
Shanghai Jinjiang International Hotels Co., Ltd.		48,300		70,904
MACHINERY-CONSTRUCTION & MINING - 0.8%
Doosan Fuel Cell Co., Ltd. * ++		2,769		7,305
Hitachi Ltd. - ADR		1,793		106,522
Hitachi Ltd.		21,200		631,440
Mitsubishi Heavy Industries Ltd.		5,000		128,674
Sungrow Power Supply Co Ltd.		135,400		206,302
				1,080,243
MACHINERY-DIVERSIFIED - 1.0%
CNH Industrial NV *		51,375		321,200
Doosan Co., Ltd.		828		20,214
GEA Group AG		17,059		391,272
Hexagon AB *		5,836		286,047
Tian Di Science & Technology Co. Ltd.		460,500		196,822
				1,215,555

See accompanying notes to financial statements.

61

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Stock Fund (Continued)

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 99.0% (Continued)
MEDIA - 0.1%
Wolters Kluwer NV		1,876	$	138,103
METAL FABRICATE - 0.3%
NSK Ltd.		51,600		358,426
MINING - 6.2%
Agnico Eagle Mines Ltd.		21,500		1,261,620
Anglo American PLC		42,320		753,770
AngloGold Ashanti Ltd. - ADR		11,240		274,144
BHP Billiton Ltd.		73,406		1,505,547
BHP Group PLC - ADR		2,400		80,256
BHP Group PLC		36,022		605,517
Doosan Solus Co., Ltd. * ++		1,526		17,748
First Quantum Minerals Ltd.		3,472		21,248
Glencore PLC - ADR		27,416		100,068
Glencore PLC		206,824		388,042
MMC Norilsk Nickel PJSC - ADR		3,591		99,758
MMC Norilsk Nickel PJSC		252		69,784
Northam Platinum Ltd. *		18,466		92,375
PJSC Polyus		992		162,452
Rio Tinto Ltd.		9,035		511,607
Rio Tinto PLC - ADR		25,816		1,192,441
Rio Tinto PLC		4,296		199,708
Shandong Gold Mining Co., Ltd.		82,750		246,127
Sibanye Stillwater Ltd. *		97,299		200,055
Teck Resources Ltd.		19,452		171,839
				7,954,106
MISCELLANEOUS MANUFACTORING - 0.1%
Alfa Laval AB *		6,832		127,519
OFFICE/BUSINESS EQUIPMENT - 0.4%
Canon, Inc. - ADR		20,500		432,753
Seiko Epson Corp. - ADR		3,600		20,232
				452,985
OIL & GAS - 6.7%
BP PLC - ADR ^		5,969		142,062
China Petroleum & Chemical Corp. - ADR		11,600		576,288
China Petroleum & Chemical Corp.		1,550,000		772,555
CNOOC Ltd. - ADR		2,039		229,122
Eni SpA - ADR ^		22,400		420,672
Gazprom PJSC - ADR		67,456		342,407
Gazprom PJSC - ADR ^		30,800		155,540
Gazprom PJSC		409,190		1,051,351
Lukoil PJSC		24,396		1,592,282
Petrobras Distribuidora SA		35,500		129,388
PetroChina Co., Ltd. - ADR ^		16,892		605,240
Petroleo Brasileiro SA		80,300		277,689
Petroleo Brasileiro SA - Petrobras		66,900		223,194
Rosneft Oil Co PJSC		116,390		528,289
Royal Dutch Shell PLC - ADR ^		14,540		464,844
SURGUTNEFTEGAS PJSC		1,345,800		675,459
Tatneft PJSC		41,270		286,914
				8,473,296
PHARMACEUTICALS - 14.7%
Astellas Pharma, Inc.		39,200		650,639
AstraZeneca PLC - ADR		21,482		1,123,079
Bausch Health Cos, Inc. *		62,000		1,123,440
Bayer AG		15,345		1,008,725
China National Accord Medicines Corp Ltd.		13,700		37,240
Chugai Pharmaceutical Co., Ltd.		9,900		1,184,291
Daiichi Sankyo Co Ltd.		10,700		738,145
Eisai Co., Ltd. - ADR		2,600		180,440
Galapagos NV *^		244		53,790
Grifols SA		5,546		114,114
Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd.		98,000		256,420
Hypera SA		34,000		182,835
Livzon Pharmaceutical Group, Inc.		120,400		536,573

See accompanying notes to financial statements.

62

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Stock Fund (Continued)

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 99.0% (Continued)
PHARMACEUTICALS - 14.7% (Continued)
Medipal Holdings Corp.		9,100	$	176,173
Novartis AG		40,290		3,438,643
Novo Nordisk A/S - ADR		3,302		209,116
Novo Nordisk A/S		23,659		1,508,898
Ono Pharmaceutical Co., Ltd.		16,200		391,682
Otsuka Holdings Co., Ltd. - ADR		5,900		115,522
Otsuka Holdings Co., Ltd.		16,900		666,599
Roche Holding AG - ADR ^		13,300		578,151
Roche Holding AG		10,879		3,767,760
Sanofi		4,137		403,874
Shionogi & Co., Ltd.		3,600		199,526
				18,645,675
PRIVATE EQUITY - 0.3%
3i Group PLC		42,839		421,463
REAL ESTATE - 0.2%
Hang Lung Group Ltd.		37,000		84,512
REA Group Ltd.		2,068		118,883
				203,395
REITS - 0.3%
Brookfield Property REIT, Inc. ^		30,124		295,065
UNIBAIL-RODAMCO-WESTFIELD		2,124		125,702
				420,767
RETAIL - 1.7%
Hennes & Mauritz AB		51,396		701,735
Kingfisher PLC		47,089		93,552
Lao Feng Xiang Co., Ltd.		22,136		128,971
Lao Feng Xiang Co., Ltd.		18,100		50,445
Lojas Americanas SA		77,100		354,358
Restaurant Brands International, Inc.		897		44,222
Sundrug Co. Ltd.		8,800		302,369
Wesfarmers Ltd.		12,057		294,229
WORKMAN CO., LTD.		2,500		158,750
				2,128,631
SEMICONDUCTORS - 9.0%
Advantest Corp.		11,000		535,633
ASML Holding NV - ADR ^		1,086		313,235
ASML Holding NV		2,446		714,083
MediaTek, Inc.		36,000		497,104
NXP Semiconductors NV ^		4,226		420,783
Powertech Technology, Inc.		48,000		160,515
Renesas Electronics Corp. *		25,700		136,189
Samsung Electronics Co., Ltd. - ADR		126		131,418
Samsung Electronics Co., Ltd. - ADR		375		331,875
Samsung Electronics Co., Ltd.		67,400		2,771,324
Samsung Electronics Co., Ltd.		8,550		296,391
SK Hynix, Inc.		14,214		978,173
STMicroelectronics NV		3,320		85,429
STMicroelectronics NV		25,827		664,750
Taiwan Semiconductor Manufacturing Co., Ltd. - ADR ^		27,663		1,469,735
Taiwan Semiconductor Manufacturing Co., Ltd.		35,000		353,073
Tokyo Electron Ltd.		5,200		1,111,437
United Microelectronics Corp.		965,000		499,257
				11,470,404
SOFTWARE - 1.6%
Blackberry Ltd. *		38,835		166,214
Dassault Systemes SE		550		80,518
Micro Focus International PLC		20,549		122,010
NetEase, Inc. - ADR ^		615		212,150
Sage Group PLC		16,965		136,641
SAP SE		11,299		1,345,118
				2,062,651

See accompanying notes to financial statements.

63

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Stock Fund (Continued)

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 99.0% (Continued)
TELECOMMUNICATIONS - 3.6%
China Mobile Ltd. - ADR		20,043	$	801,119
China Unicom Hong Kong Ltd		876,000		566,549
Deutsche Telekom AG *		52,610		768,753
Hellenic Telecommunications Organization SA		10,966		144,805
KDDI Corp. - ADR		5,300		75,896
Koninklijke KPN NV		19,681		45,309
Nice Ltd. - ADR *^		167		27,438
Nippon Telegraph & Telephone Corp		29,600		676,495
Telecom Italia SpA/Milano - ADR *		21,681		84,935
Telecom Italia SpA/Milano - ADR		7,800		30,498
Telecom Italia SpA/Milano		450,379		179,534
Telefonica Brasil SA		57,600		489,993
TIM Participacoes SA		150,200		350,993
Vodafone Group PLC - ADR		12,590		178,023
Vodafone Group PLC		87,455		123,552
				4,543,892
TOYS/GAMES/HOBBIES - 1.1%
Nintendo Co., Ltd.		3,300		1,367,492
TRANSPORTATION - 2.1%
Aurizon Holdings Ltd.		39,646		121,002
Central Japan Railway Co. - ADR		6,000		93,780
Deutsche Post AG		17,402		516,705
East Japan Railway Co.		10,000		732,795
HYUNDAI GLOVIS CO., LTD.		3,483		291,104
Mitsui OSK Lines Ltd		13,000		226,282
Nippon Express Co., Ltd.		10,800		142,671
Pan Ocean Co. Ltd. *		57,980		164,033
West Japan Railway Co.		5,800		359,700
				2,648,072
WATER - 0.2%
Cia de Saneamento Basico do Estado de Sao Paulo - ADR		41,311		316,442
TOTAL COMMON STOCKS (Cost - $128,019,238)				125,941,962
EXCHANGE TRADED FUND - 0.6%
EQUITY FUND - 0.6%
Global X MSCI Argentina ETF		6,197		111,775
iShares MSCI Eurozone ETF		11,734		663,792
TOTAL EXCHANGE TRADED FUND (Cost - $747,449)				775,567

	Expiration Date
WARRANT- 0.0%
Barito Pacific TBK PT * ++	6/4/2021	178,610		13,809
TOTAL WARRANTS (Cost - $0)
COLLATERAL FOR SECURITIES LOANED - 5.2%
Mount Vernon Prime Portfolio, 0.48% + #		6,616,325		6,616,325
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $6,616,325)
TOTAL INVESTMENTS - 104.8% (Cost - $135,383,012)			$	133,347,663
LIABILITIES IN EXCESS OF OTHER ASSETS - (4.8)%				(6,088,580	)
NET ASSETS - 100.0%			$	127,259,083

ADR - American Depositary Receipt.

NV - Non-Voting

PLC - Public Limited Company

REITS - Real Estate Investment Trust

* Non-income producing security.

^ All or a portion of these securities are on loan. Total loaned securities had a value of $6,228,850 at April 30, 2020.

+ Variable rate security. Interest rate is as of April 30, 2020.

++ Illiquid security

# The Trust’s securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

See accompanying notes to financial statements.

64

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham International Stock Fund (Continued)

April 30, 2020

Portfolio Composition * - (Unaudited)
Japan	18.1	%	Russia	5.5	%
China	9.4	%	Netherlands	3.8	%
Switzerland	8.4	%	Brazil	3.6	%
Great Britain	7.6	%	Taiwan	3.4	%
Germany	7.0	%	Other Countries **	27.5	%
South Korea	5.7	%	Total	100.0	%

* Based on total value of investments as of April 30, 2020.

** Includes collateral for securities loaned as of April 30, 2020.

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

See accompanying notes to financial statements.

65

Dunham Dynamic Macro Fund (Unaudited)

Message from the Sub-Adviser (Mellon Investments Corporation)

Asset Class Recap

Global equities and bond yields systematically rose to begin the fiscal year and close the 2019 calendar year. Investor confidence increased that a recession is not imminent as U.S. and Eurozone manufacturing and services picked up. Even more importantly, despite headlines of substantial job cuts overseas, employment continued to impress both domestically and abroad. Geopolitical risk also began to dissipate, as the U.S. planned tariff increases on China scheduled to increase on December 15 did not go into effect as the two countries worked toward a phase one trade deal. The optimism spilled into the New Year as the U.S. and China worked towards, and signed the phase one trade deal on January 15. Shortly after the signing, concerns over the adverse economic effects of the coronavirus outbreak sparked volatility, pushing both yields and equity markets substantially lower. Investor optimism reemerged in late March as countries saw coronavirus cases decline, and countries laid out plans to slowly reopen unprecedented stimulus from central banks around the world. In response, equities rallied to close the month while global yields remained suppressed. Global macro strategies, as measured by the IQ Hedge Global Macro Beta Index, increased 3.9 percent during the fiscal six-month period ended April 30, 2020.

Allocation Review

As positive economic data came in the finals months of 2019, the Sub-Adviser saw this as an opportunity to reduce the defensive asset strategy and increase the exposure to the growth strategy. This shift benefited the Fund as equities rose, however, this exposure detracted from performance in the final two weeks of the first fiscal quarter as volatility spiked. As volatility remained elevated in the first two months of the second fiscal quarter, the Sub-Adviser reduced the growth asset strategy to 29.5 percent by the end of March. The Sub-Adviser also reduced the real asset strategy down to three percent as the Sub-Adviser’s outlook for the asset class dimmed. Both reductions were used to bolster the defensive asset strategy. As markets rebounded to close the second fiscal quarter, the Sub-Adviser added to the growth asset strategy, ending the period at 50 percent of the Fund. The defensive asset strategy contributed to Fund performance over the six- month period, while both the real asset strategy and growth asset strategy detracted.

Holdings Insights

One of the largest detractors from Fund performance was the exposure to U.S. equities. This was achieved through the SPDR S&P 500 ETF Trust (SPY) (holding weight*: 39.5 percent) as well as through long exposures to S&P 500 call options which also detracted from Fund performance. Over the six-month period, SPY decreased 3.2 percent. The exposure to developed ex U.S. equities also detracted from Fund performance through the iShares Currency Hedged MSCI Japan ETF (HEWJ) (holding weight*: 0.95 percent) and the iShares Hedged MSCI Germany ETF (HEWG) (holding weight*: 2.11 percent). HEWJ and HEWG declined 10.6 and 15.1 percent, respectively over the six-month period.

The defensive asset strategy broadly achieved its goal of attempting to provide some downside protection for the Fund during the spikes in volatility late in the first fiscal quarter and throughout the bulk of the second fiscal quarter. In the latter half of January through mid-March, equity markets rapidly declined while U.S. investment grade bonds provided a positive return. Given that the largest portion of the defensive asset strategy is dedicated to U.S. government bonds, this exposure benefited the Fund. Despite the rally to close the second fiscal quarter, this exposure was still able to strongly contribute to Fund performance. The Fund also received positive contributions from the SPDR Portfolio Intermediate-Term Corporate Bond Fund (SPIB) (holding weight*: 10.6 percent). As spreads widened, the Sub-Adviser took advantage of these suppressed values by adding SPIB to the Fund in late March. Since being added to the Fund, SPIB increased 4.8 percent. The largest short within the defensive strategy and the Fund as a whole was dedicated to developed ex U.S. bonds. This position was expressed through short derivatives and slightly contributed to Fund performance as these underlying credits generally fell during the second fiscal quarter. For example, the Long Gilt Future June 20 (G M0) (holding weight*: -1.30 percent) contributed to Fund performance as the underlying bond decreased 2.1 percent in the second fiscal quarter.

The real assets strategy, while the smallest allocation in the Fund, detracted from Fund performance during the fiscal six-month period. The goal of the strategy is to hedge against inflation while also providing potential diversification benefits. This was implemented through commodities via the iShares Commodities Select Strategy ETF (COMT) (holding weight*: 3.02 percent), which fell 28.8 percent in the fiscal six-month period. The diversifying strategy, the net Fund currency exposure, also adversely affected performance over the fiscal quarter, detracting approximately 3.5 percent from Fund performance.

Sub-Adviser Outlook

The Sub-Adviser is optimistic for opportunities within the various asset categories the Fund invests in for the rest of 2020, albeit with continued volatility. The Sub- Adviser remains steadfast in its belief that this volatility-targeted strategy may provide investors with more consistent returns than traditional asset classes. It believes that through the flexibility of its strategy and the use of alternative investments, the Fund may provide what may be considered attractive returns with lower systematic risk and lower correlation than traditional equity investments.

* Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2020.

Growth of $100,000 Investment

Total Returns (a) as of April 30, 2020
	Six		Annualized	Annualized
	Months	One Year	Five Years	Ten Years
Class N	(6.65)%	(4.95)%	(1.18)%	0.76%
Class C	(7.02)%	(5.84)%	(2.18)%	(0.24)%
Class A with load of 5.75%	(12.06)%	(10.55)%	(2.60)%	(0.09)%
Class A without load	(6.70)%	(5.09)%	(1.43)%	0.50%
IQ Hedge Global Macro Beta Index	3.87%	6.09%	2.48%	2.36%
Morningstar Multialternative Category	(5.82)%	(5.05)%	(0.65)%	0.79%

(a) Total Returns are calculated based on traded NAVs.

The IQ Hedge Global Macro Beta Index seeks to replicate the risk-adjusted return characteristics of the collective hedge funds using a global macro investment style.

Investors cannot invest directly in an index or benchmark.

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

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.69% for Class N, 2.69% for Class C and 1.94% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month- end, please call 1-800- 442-4358 or visit our website www.dunham.com.

66

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Dynamic Macro Fund

April 30, 2020

Security							Shares	Value
EXCHANGE TRADED FUNDS - 65.4%
COMMODITY EXCHANGE TRADED FUNDS - 2.8%
iShares Commodities Select Strategy ETF							34,736	$	765,929
DEBT EXCHANGE TRADED FUNDS - 20.2%
SPDR Bloomberg Barclays High Yield Bond ETF ++							27,674		2,740,556
SPDR Portfolio Intermediate Term Corporate Bond ETF							76,310		2,699,848
									5,440,404
EQUITY EXCHANGE TRADED FUNDS - 42.4%
iShares Currency Hedged MSCI Germany ETF ++							22,340		535,548
iShares Currency Hedged MSCI Japan ETF							8,461		241,307
iShares MSCI Emerging Markets ETF							15,784		578,326
SPDR S&P 500 ETF Trust ++							34,546		10,034,922
									11,390,103
TOTAL EXCHANGE TRADED FUNDS (Cost - $16,077,385)									17,596,436
					Exercise		Expiration
	Counterparty	Contracts	Notional		Price		Date
PURCHASED OPTIONS * + - 7.0%
CALL OPTION ON FUTURES PURCHASED - 2.8%
US 10 Year Future	Goldman Sachs	36	$	4,248,000	US $118		5/22/2020		758,250
									758,250
PUT OPTIONS ON FUTURES PURCHASED - 4.2%
Euro-Bund Option	Goldman Sachs	50		9,600,000	EUR $192		5/22/2020		962,222
S&P 500 E-Mini Option	Goldman Sachs	28		4,200,000	US $3,000		5/15/2020		167,580
									1,129,802
TOTAL PURCHASED OPTIONS (Cost - $1,693,893)									1,888,052
		Principal			Discount
		Amount ($)			Rate (%)		Maturity
SHORT-TERM INVESTMENTS - 28.2%
U.S. GOVERNMENT SECURITIES - 24.1%
US Treasury Bill		205,000			0.0717		6/18/2020		204,980
US Treasury Bill		5,058,000			0.1018		9/17/2020		5,055,998
US Treasury Bill		1,220,000			0.1395		2/25/2021		1,218,577
									6,479,555
		Shares			Interest Rate (%)
MONEY MARKET - 4.1%
Morgan Stanley Institutional Liquidity Fund		1,113,661			0.1500	^			1,113,661
TOTAL SHORT-TERM INVESTMENTS - (Cost - $7,593,365)									7,593,216
COLLATERAL FOR SECURITIES LOANED - 32.6%
Mount Vernon Prime Portfolio # (Cost - $8,756,789)		8,756,789			0.4800				8,756,789
TOTAL INVESTMENTS - 133.2% (Cost - $34,121,432)								$	35,834,493
LIABILITIES IN EXCESS OF OTHER ASSETS - (33.2)%									(8,930,226	)
NET ASSETS - 100.0%								$	26,904,267

See accompanying notes to financial statements.

67

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Dynamic Macro Fund (Continued)

April 30, 2020

							Expiration	Unrealized Appreciation
Open Futures Contracts **	Counterparty	Contracts	Notional				Date	(Depreciation)
LONG FUTURES CONTRACTS - 0.8%
10 Year Mini JGB Future	Goldman Sachs	42	$	5,999,439			6/12/2020	$	25,518
AUST 10 Year Bond Future	Goldman Sachs	63		6,139,431			6/15/2020		(3,853	)
CAC 40 10 Euro Future	Goldman Sachs	6		298,721			5/15/2020		2,453
CAN 10 Year Bond Future	Goldman Sachs	36		3,872,018			6/19/2020		25,934
Euro-Bond Future	Goldman Sachs	5		955,266			6/8/2020		12,964
FTSE/MIB Index Future	Goldman Sachs	1		96,173			6/19/2020		296
Hang Seng Index Future	Goldman Sachs	4		632,118			5/28/2020		20,187
IBEX 35 Index Future	Goldman Sachs	2		151,524			5/15/2020		(4,518	)
S&P/TSX 60 IX Future	Goldman Sachs	2		255,790			6/18/2020		39,661
S&P 500 E-mini Future	Goldman Sachs	14		2,031,680			6/19/2020		29,458
SPI 200 Future	Goldman Sachs	4		362,704			6/18/2020		24,171
Swiss Market Index Future	Goldman Sachs	2		199,409			6/19/2020		(3,940	)
Topix Index Future	Goldman Sachs	6		815,823			6/11/2020		38,140
US 10 Year Note (CBT)	Goldman Sachs	7		973,441			6/19/2020		(646	)
TOTAL FUTURES CONTRACTS PURCHASED									205,825
SHORT FUTURES CONTRACTS - (0.2)%
Dax Index Future	Goldman Sachs	(1)		(297,128	)		6/19/2020		(3,602	)
FTSE 100 Index Future	Goldman Sachs	(2)		(148,461	)		6/19/2020		5,230
Long Gilt Future	Goldman Sachs	(35)		(6,079,079	)		6/26/2020		(52,069	)
TOTAL FUTURES CONTRACTS SOLD									(50,441	)
NET UNREALIZED GAIN FROM FUTURES CONTRACTS								$	155,384
						Exercise Price		Value
WRITTEN OPTIONS + - (1.0)%
WRITTEN CALL FUTURE OPTIONS - (0.9)%
S&P 500 E-Mini Option	Goldman Sachs	(6)		(840,000	)	US $2,800	5/8/2020	$	(36,930	)
S&P 500 E-Mini Option	Goldman Sachs	(6)		(870,000	)	US $2,900	5/8/2020		(15,180	)
S&P 500 E-Mini Option	Goldman Sachs	(12)		(1,608,000	)	US $2,680	5/15/2020		(145,620	)
S&P 500 E-Mini Option	Goldman Sachs	(12)		(1,764,000	)	US $2,940	5/15/2020		(28,080	)
S&P 500 E-Mini Option	Goldman Sachs	(12)		(1,818,000	)	US $3,030	5/22/2020		(13,620	)
S&P 500 E-Mini Option	Goldman Sachs	(12)		(1,830,000	)	US $3,050	5/29/2020		(14,400	)
									(253,830	)
WRITTEN PUT FUTURE OPTIONS - (0.1)%
S&P 500 E-Mini Option	Goldman Sachs	(12)		(1,590,000	)	US $2,650	5/22/2020		(15,900	)
S&P 500 E-Mini Option	Goldman Sachs	(12)		(1,602,000	)	US $2,670	5/29/2020		(22,200	)
									(38,100	)
TOTAL WRITTEN OPTIONS - (Premiums Received - $173,047)								$	(291,930	)

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.

^ Variable rate security. Interest rate is as of April 30, 2020.

^^ All of this security is segregated as collateral for futures contracts.

** 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.

++ All or a portion of these securities are on loan. Total loaned securities had a value of $8,497,625.

# The Trust’s securities lending policies and procedures require that the borrower. (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

See accompanying notes to financial statements.

68

Dunham Long/Short Credit Fund (Unaudited)

Message from the Sub-Adviser (MetLife Investment Advisors LLC)

Asset Class Recap

As the predominately positive equity and credit environment rapidly succumbed to fears over the duration and potential lasting effects of the global shutdown, strategies that attempt to control risk were tested. After a relatively docile first fiscal quarter, the second fiscal quarter saw both investment-grade bonds and high-yield bonds decline, with high-yield shedding multiples of the amount of its higher-rated counterparts. This posed a particularly strenuous and precarious backdrop for long/short credit strategies that focus on spread-tightening. Therefore, the six-month period’s results were highly dictated by what happened in the second fiscal quarter, more specifically what happened in March. During the six-month period ended April 30, intermediate-term investment-grade corporate bond yields, as measured by the BofA Merrill Lynch 5-7 Year BBB U.S. Corporate Index, declined 0.8 percent, while single-B bonds, as measured by the BofA Merrill Lynch 5-7 Year B U.S. Cash Pay High-Yield Index and CCC-rated bonds, as measured by the BofA Merrill Lynch 5-7 Year CCC & Lower U.S. Cash Pay High- Yield Index, plummeted 7.3 percent and 18.1 percent, respectively. To compound the spread widening issue even further, intermediate-term Treasury bonds, as measured by the BofA Merrill Lynch 5-7 Year Treasury Index, experienced an increase of 7.3 percent during the same time period. Therefore, the yield spread on investment-grade bonds rated BBB expanded to 288 basis points, while the yield spreads for high-yield bonds rated single-B and CCC and lower rose to 811 basis points and 1,398 basis points, respectively.

Allocation Review

The Sub-Adviser has continued to implement a somewhat more defensive approach and made adjustments in the Fund’s overall exposures when spreads were near their tightest earlier in the fiscal year. Therefore, the Fund was not as affected by the spread widening in the lowest rated credits, which saw a moderate amount of widening in January before the first fiscal quarter concluded. Some of the risk management strategies that the Sub-Adviser increased were the “credit shorts” and “rate hedging” strategies, which attempt to manage overall credit risk and correlation to the high- yield market, as well as manage the overall interest rate sensitivity of the Fund. While the rate hedging strategy generally detracted during the six-month period, primarily due to interest rates plummeting in March, the credit shorts more than offset the adverse effect of the rate hedge. In addition, the Sub-Adviser consistently implements and adheres to strict stop-losses assigned to each holding in the Fund, many of which were effectively stopped out between January and March. This resulted in a two-fold benefit; 1) nearly all of the holdings that were stopped- out subsequently slid multiple percentage points (often double- digits) lower, and 2) the proceeds from the sale at the stop- loss were used to purchase other holdings that the Sub-Adviser viewed as more attractive risk-reward opportunities.

Holdings Insights

As long positions, regardless of credit quality, generally declined during the semi-annual period, the Fund’s short positions such as the SWAPs on the iBoxx USD Liquid High- Yield Index (IBOXHY) (holding weight*: -15.82 percent) were some of the best performers, particularly in March. The IBOXHY decreased 6.7 percent during the six-month period, contributing a similar amount to the Fund due to the short position accessed through the SWAPs. During the two-week period in March when most of the fiscal quarter’s devastation was experienced, IBOXHY declined 16.9 percent, providing a significant buoy for the Fund, offsetting much of the declines experienced in many of the Fund’s core long positions. The Fund continued to hold the Prudential Financial Inc. SWAP (holding weight*: 3.60 percent). The Prudential Financial SWAP slightly decreased, losing 0.2 percent, as the underlying had a fairly flat-to-positive overall return during the six-month period, slightly detracting from absolute performance to the Fund due to the short position. As bonds across the credit quality spectrum were pressured downward by the “sell all” mindset sweeping the markets, the Sub-Adviser initiated a large credit-default SWAP basket against investment-grade bonds, via the CDX IG 33 SWAP (CDX) (holding weight*: 12.37 percent). Since it was implemented at the end of February through the end of the semi-annual period, the SWAP increased 2.4 percent.

Clearly, not all holdings performed positively during the six-month period, as at least eight stop losses were implemented before the end of March, locking in declines on each executed position. However, the Sub- Adviser had used proceeds from the execution of stop- losses and excess cash positions in the Fund to implement opportunistic trades during the fiscal quarter. For example, during the tumultuous month of March, the Sub-Adviser purchased the Caterpillar Financial Service bond maturing in 2021 (14913Q2X6) (holding weight*: 3.60 percent) and the Sempra Energy bond maturing in 2021 (816851BD0) (holding weight*: 3.14 percent). These two investment-grade bonds had experienced an extreme sell-off prior to the Fed announcing its support for short-dated investment-grade bonds. Therefore, the Sub-Adviser’s acquisition of these holdings for the Fund was timely, as the two securities quickly rebounded with the Fed’s Sunday announcement of the bond-buying program. From their purchase in March through the end of April, the Caterpillar and Sempra bonds rose 9.7 percent and 9.6 percent, respectively.

Sub-Adviser Outlook

The Sub-Adviser believes that additional downturns and volatility will continue to plague the credit markets and that more opportunities to add to specific bonds again at lower price levels may arise. The Sub-Adviser also believes that the opportunity set will continue to expand, particularly as liquidity improves. As this occurs, the Sub-Adviser expects to utilize most of its strategies, by establishing core longs at historically cheap valuations, taking advantage of relative single name dislocations via pair trades, and adding some inexpensive single name short positions – all while remaining exceptionally active in its opportunistic trading bucket. Therefore, while the Sub-Adviser does not believe that credits markets are in the clear, it is optimistic about the opportunities a volatile market may present.

* Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2020.

Growth of $100,000 Investment

Total Returns (a) as of April 30, 2020
			Annualized	Annualized
	Six Months	One Year	Five Years	Ten Years
Class N	0.40%	2.95%	3.24%	5.96%
Class C	(0.07)%	1.93%	2.20%	4.90%
Class A with load of 5.75%	(5.50)%	(3.19)%	1.75%	5.08%
Class A without load	0.27%	2.69%	2.96%	5.70%
BofA Merrill Lynch US 3-Month Treasury Bill Index +3%	2.35%	5.07%	4.19%	3.64%
Morningstar Long-Short Credit Category	(5.70)%	(4.79)%	0.09%	1.60%

(a) Total Returns are calculated based on traded NAVs.

The BofA Merrill Lynch US 3-Month Treasury Bill Index + 3% is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled in a newly selected issue. The issue selected at each month- end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. Plus an annualized return of 3%.

The Morningstar Long- Short Credit Category is generally representative of funds that purchase or sell bonds, credit default swaps, or other credit derivatives to potentially benefit from changes in the credit markets and/or individual issuers.

As disclosed in the Trust’s latest registration statement as supplemented the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.26% for Class N, 2.26% for Class C and 1.51% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com

69

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Long/Short Credit Fund

April 30, 2020

	Variable	Principal		Interest		Maturity
Security	Rate	Amount		Rate%		Date	Value
BANK LOANS - 2.0%
LODGING - 2.0%
Spectacle Gary Holdings LLC	1 mo. LIBOR + 9.000%	$	1,803,378	9.330	+	11/7/2025	$	1,562,925
Spectacle Gary Holdings LLC	1 mo. LIBOR + 9.000%		131,622	9.330	+	11/7/2025		114,072
TOTAL BANK LOANS (Cost - $1,865,269)								1,676,997
BONDS & NOTES - 43.7%
AEROSPACE/DEFENSE - 2.1%
Boeing Co.			1,780,000	5.805		5/1/2050		1,780,000
AUTO MANUFACTURING - 1.6%
Ford Motor Co.			415,000	9.000		4/22/2025		406,181
General Motors Financial Co., Inc.	3 mo. LIBOR + 1.550%		1,010,000	2.861	+	1/14/2022		941,447
								1,347,628
BANKS - 6.3%
Banco Santander Mexico SA - 144A			330,000	5.375		4/17/2025		339,488
Goldman Sachs Capital I			1,150,000	6.345		2/15/2034		1,467,772
JP Morgan Chase & Co. ^	3 mo. LIBOR + 0.550%		2,005,000	2.310	+	2/1/2027		1,712,913
Wachovia Capital Trust II - 144A	3 mo. LIBOR + 0.500%		1,000,000	1.719	+	1/15/2027		856,356
Wells Fargo & Co.			795,000	5.950		12/1/2086		888,330
								5,264,859
BEVERAGES - 0.5%
Constellation Brands, Inc. ^			420,000	2.875		5/1/2030		428,037
CHEMICALS - 0.7%
TPC Group, Inc. - 144A			750,000	10.500		8/1/2024		617,025
COMMERCIAL SERVICES - 0.5%
Equifax, Inc.			420,000	3.100		5/15/2030		424,653
COMPUTERS - 1.0%
Hewlett Packard Enterprise Co.			365,000	4.450		10/2/2023		384,859
Hewlett Packard Enterprise Co.			410,000	4.650		10/1/2024		436,284
								821,143
DIVERSIFIED FINANCIAL SERVICES - 2.1%
AerCap Ireland Capital DAC			230,000	4.500		5/15/2021		223,285
GE Capital International Funding Co. Unlimited Co.			880,000	4.418		11/15/2035		919,696
Mastercard, Inc.			555,000	3.350		3/26/2030		633,219
								1,776,200
ELECTRIC - 5.4%
Exelon Corp.			1,500,000	4.700		4/15/2050		1,938,199
Sempra Energy	3 mo. LIBOR + 0.500%		2,625,000	1.719	+	1/15/2021		2,598,490
								4,536,689
ENTERTAINMENT - 0.8%
Enterprise Development Authority - 144A			725,000	12.000		7/15/2024		659,605
FOOD - 2.1%
Smithfield Foods, Inc. - 144A			890,000	2.650		10/3/2021		876,263
Smithfield Foods, Inc. - 144A			835,000	5.200		4/1/2029		871,610
								1,747,873
HEALTHCARE-SERVICES - 1.8%
CommonSpirit Health			1,500,000	4.187		10/1/2049		1,482,032
INSURANCE - 3.2%
Mutual of Omaha Insurance Co. - 144A	3 mo. LIBOR + 2.640%		410,000	4.297	+	7/15/2024		429,620
Ohio National Financial Services - 144A			1,350,000	5.550		1/24/2030		1,290,070
United Insurance Holdings Corp.			1,000,000	6.250		12/15/2027		940,377
								2,660,067
MACHINERY-CONSTRUCTION & MINING - 3.5%
Caterpillar Financial Services Corp.	3 mo. LIBOR + 0.390%		3,000,000	2.082	+	5/17/2021		2,981,289

See accompanying notes to financial statements.

70

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Long/Short Credit Fund (Continued)

April 30, 2020

	Variable	Principal		Interest		Maturity
Security	Rate	Amount		Rate%		Date	Value
BONDS & NOTES - 43.7% (Continued)
MEDIA - 2.5%
ViacomCBS, Inc. ^		$	315,000	4.750		5/15/2025	$	337,906
ViacomCBS, Inc.			235,000	4.950		1/15/2031		251,544
ViacomCBS, Inc.	3 mo. LIBOR + 3.899%		1,500,000	6.250	+	2/28/2057		1,476,675
								2,066,125
MISCELLANEOUS MANUFACTURING - 1.7%
General Electric Co.			350,000	3.625		5/1/2030		352,014
General Electric Co.			1,030,000	4.250		5/1/2040		1,035,550
								1,387,564
OIL & GAS - 3.2%
Ecopetrol SA			235,000	6.875		4/29/2030		240,875
Transocean Poseidon Ltd. - 144A			1,600,000	6.875		2/1/2027		1,280,000
Transocean Sentry Ltd. - 144A			1,570,000	5.375		5/15/2023		1,216,750
								2,737,625
PHARMACEUTICALS - 0.8%
Cigna Corp.			710,000	2.400		3/15/2030		718,559
RETAIL - 0.1%
Kohl’s Corp.			90,000	9.500		5/15/2025		92,660
SEMICONDUCTORS - 1.5%
Lam Research Corp.			420,000	1.900		6/15/2030		419,189
NVIDIA Corp.			810,000	2.850		4/1/2030		886,324
								1,305,513
SOVEREIGN - 0.6%
Mexico Government International Bond			460,000	4.750		4/27/2032		464,600
TELECOMMUNICATIONS - 1.7%
Gogo Intermediate Holdings LLC - 144A			500,000	9.875		5/1/2024		412,600
Sprint Spectrum Co. LLC - 144A			930,000	5.152		3/20/2028		1,029,603
								1,442,203
TOTAL BONDS & NOTES (Cost - $36,325,585)								36,741,949
		Shares
COMMON STOCK - 3.5%
REAL ESTATE - 2.1%
UIRC-GSA International LLC - 144A *			2,000					1,780,000
SAVINGS & LOANS - 1.4%
Dime Community Bancshares, Inc. *			50,000					1,159,000
TELECOMMUNICATIONS - 0.0%
NII Holdings, Inc. - 144A * !			10,000					21,700
TOTAL COMMON STOCK (Cost - $3,307,730)								2,960,700
		Principal		Interest		Maturity
		Amount		Rate%		Date
U.S. GOVERNMENT - 38.8%
TREASURY BILLS - 33.3%
Treasury Bill ^		$	13,890,000	0.034	+	5/7/2020		13,889,896
Treasury Bill ^			14,075,000	0.094	+	6/11/2020		14,073,617
								27,963,513
TREASURY NOTES/BONDS - 5.5%
Treasury Note / Bond ^			2,105,000	0.500		3/31/2025		2,120,870
Treasury Note / Bond ^			1,245,000	1.500		2/15/2030		1,348,612
Treasury Note / Bond			920,000	2.375		11/15/2049		1,169,298
								4,638,780
TOTAL U.S. GOVERNMENT (Cost - $32,584,483)								32,602,293

See accompanying notes to financial statements.

71

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Long/Short Credit Fund (Continued)

April 30, 2020

			Interest
Security	Shares		Rate%		Value
SHORT-TERM INVESTMENT - 8.2%
MONEY MARKET FUND - 8.2%
First American Government Obligations Fund - Class Z		6,918,581	0.250	+	$	6,918,581
TOTAL SHORT-TERM INVESTMENT (Cost - $6,918,581)
COLLATERAL FOR SECURITIES LOANED - 33.5%
Mount Vernon Prime Portfolio #		28,201,977	0.480	+		28,201,977
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $28,201,977)
TOTAL INVESTMENTS - 129.7% (Cost - $109,203,625)					$	109,102,497
LIABILITIES IN EXCESS OF OTHER ASSETS - (29.7)%						(25,041,226	)
TOTAL NET ASSETS - 100.0%					$	84,061,271

LIBOR - London Inter-Bank Offered Rate

LLC - Limited Liability Company

LP - Limited Partnership

* Non-income producing security.

+ Variable rate security. Interest rate is as of April 30, 2020.

! Fair Value estimated using fair value procedures adopted by Board of Trustees. Total value of such securities is $21,700 or 0.03% of net assets as of April 30, 2020.

144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. As of April 30, 2020 the total market value of 144A securities is $11,680,690 or 13.9% of net assets.

^ All or a portion of these securities are on loan. Total loaned securities had a value of $27,649,215 at April 30, 2020.

# The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

	Short	Notional Value at		Maturity	Unrealized
Security	Contracts	April 30, 2020		Date	Depreciation
OPEN SHORT FUTURES CONTRACTS - (1.7)%
U.S. 5 Year Treasury Note	11	$	1,380,324	June-20	$	(21,128	)
U.S. 10 Year Treasury Note	103		14,323,489	June-20		(625,294	)
U.S. Treasury Long Bond	54		9,775,674	June-20		(778,771	)
NET UNREALIZED LOSS FROM OPEN SHORT FUTURE CONTRACTS					$	(1,425,193	)

CREDIT DEFAULT SWAPS
									Unrealized
		Notional Value at			Premium			Maturity	Appreciation/
Description	Counterparty	April 30, 2020			Paid (Received)			Date	(Depreciation)
To Buy Protection - Commonwealth Bank of Australia	Goldman Sachs	$	2,000,000		$	(12,151	)	12/20/2023	$	(23,415	)
To Buy Protection - CDX NA IG. 32	HSBC Securities, Inc.		1,000,000			(17,429	)	6/20/2024		24,794
To Buy Protection - CDX NA IG. 33	HSBC Securities, Inc.		10,000,000			(166,427	)	12/20/2024		240,070
To Buy Protection - D.R. Horton, Inc.	Barclays		3,000,000			(99,314	)	3/20/2025		29,848
To Buy Protection - Packaging Corp. of America	Barclays		3,000,000			(137,230	)	6/20/2025		5,416
To Buy Protection - Prudential Financial, Inc.	JPMorgan		3,000,000			(38,631	)	9/20/2024		(17,503	)
To Buy Protection - Kraft Heinz Food	JPMorgan		2,000,000			(31,954	)	6/20/2023		(885	)
To Sell Protection - Kraft Heinz Food (1)	Goldman Sachs		(2,000,000	)		14,987		12/20/2023		19,689
To Buy Protection - Newell Brands	Goldman Sachs		2,000,000			22,030		12/20/2023		12,027
To Sell Protection - Newell Brands (1)	JPMorgan		(2,000,000	)		(32,614	)	6/20/2023		(3,280	)
NET UNREALIZED GAIN FROM CREDIT DEFAULT SWAPS									$	286,761

See accompanying notes to financial statements.

72

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Long/Short Credit Fund (Continued)

April 30, 2020

TOTAL RETURN SWAPS
						Unrealized
		Notional Value at			Maturity	Appreciation/
Reference Entity	Counterparty	April 30, 2020		Variable Rate	Date	(Depreciation)
iBoxx USD Liquid High Yield Index	JPMorgan	$	5,000,000	3 mo LIBOR + 1.90%	6/20/2020	$	434,847
iBoxx USD Liquid High Yield Index	JPMorgan		8,000,000	3 mo LIBOR + 0.00%	9/20/2020		(523,892	)
NET UNREALIZED LOSS FROM TOTAL RETURN SWAPS						$	(89,045	)

LIBOR - London Inter-bank Offered Rate

(1) If the Fund is a seller of protection and if a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising of the referenced index.

Portfolio Composition * - (Unaudited)
Bonds & Notes	33.8	%
U.S. Government	29.9	%
Collateral for Securities Loaned	25.8	%
Short-Term Investment	6.3	%
Common Stock	2.7	%
Bank Loans	1.5	%
Total	100.0	%

* Based on total value of investments as of April 30, 2020.

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

See accompanying notes to financial statements.

73

Dunham Monthly Distribution Fund (Unaudited)

Message from the Sub-Adviser (Weiss Multi-Strategy Advisers LLC)

Asset Class Recap

As the fiscal year began, the lingering fears surrounding trade deals dissipated on the back of perception of improved U.S.-China trade negotiations and clarity on economic growth. Investors also received updates on improvements in business and consumer confidence. As equities rallied, volatility remained benign, and already tight spreads tightened further. However, news out of China regarding a virus outbreak caused investors to view each new headline with caution and even some trepidation. Volatility spiked and reached a crescendo as cases around the globe spiked, the outbreak was aptly identified as a pandemic, and economies around the world shut down. In response, asset classes around the world systematically declined. This sell-off and corresponding spikes in volatility were generally triggered by “concerns” and headlines rather than deteriorating fundamentals. Regardless of the cause, volatility spikes generally correspond with widening spreads on merger deals and other risk -arbitrage opportunities. To close the second fiscal quarter, markets rebounded slightly amid unprecedented support from central banks around the world to bolster the global economy. During the six-month period ended April 30, 2020, event driven strategies, as measured by the Credit Suisse Event Driven Liquid Index, declined 7.0 percent. While broader in scope, long/short equity strategies, as measured by the Credit Suisse Long/Short Liquid Index, increased 3.5 percent.

Allocation Review

Within the Fund, the event driven allocation is primarily represented in the form of announced mergers. The allocation to event driven holdings began the fiscal year at 47 percent and fell as low as 38 percent as prominent positions came to fruition in the first fiscal quarter. As predicted by the Sub-Adviser, this allocation rose to 59 percent in the second fiscal quarter as the Sub-Adviser was able to identify above average spreads in strategic deals with manageable regulatory hurdles as the fiscal quarter progressed. The six-month period ended with a 59 percent allocation dedicated to event driven holdings, with the remaining dedicated to the long/short book. As volatility spiked in the second fiscal quarter, the gross exposure was reduced to 74.4 percent. Moving forward the Sub-Adviser will look to add to the gross exposure as volatility subsides.

Holdings Insights

As previously mentioned, the allocation to the event driven holdings declined. This was partially due to the largest pharmaceutical deal ever, combining two of the world’s largest cancer drug businesses. The deal was announced in the first fiscal quarter of 2019, and has been a highlight of the Fund’s event driven allocation ever since. The deal spread between Celgene Corp. (CELG) (holding weight**: 9.21 percent) and Bristol-Myers Squibb Co. (BMY) (holding weight**: -5.76 percent) has compressed over 2019 and closed in the first fiscal quarter, positively contributing to Fund performance. Another substantial deal within the Fund came from AbbVie Inc.’s (ABBV) (holding weight*: -2.10 percent) acquisition of Allergan PLC (AGN) (holding weight*: 7.34 percent). Over the first fiscal quarter, AGN successfully sold two drugs as a part of the divestment in order to complete the transaction. As such, the spread on this deal tightened substantially, positively contributing to Fund performance. In the second fiscal quarter the spread on the deal widened to $22 amid the market sell off, however, the deal spread compressed to $0.19 by the end of the six-month period as the deal received all regulatory approvals. The Sub-Adviser is confident the deal will officially close early in the next fiscal quarter. Many other deals closed over the six-month period including the Flutter Entertainment PLC (holding weight**: -0.29 percent), acquisition of the Stars Group Inc. (TSGI CN) (holding weight*: 1.62 percent). This $12.2 billion cross border deal will create the largest e-gaming company in the world by revenue and will attempt to take on the growing sports gambling market in the United States. Over the first fiscal quarter, this deal came under the scrutiny of the United Kingdom’s antitrust regulator, the Competition and Market Authority, causing the spread on this deal to widen. In the second fiscal quarter, the spread reversed and the deal closed.

The low net profile of the long/short equity allocation slightly detracted early in the fiscal year as markets rallied but strongly benefitted the Fund as volatility spiked in the second fiscal quarter. The Sub-Adviser aggressively reduced the gross and net exposure of the long /short strategy allocation as markets became highly volatile and unpredictable. The Sub- Adviser also improved the overall quality of the strategy by moving out of the higher beta names and into stocks like The Home Depot Inc. (HD) (holding weight*: 0.10 percent), which it believes is capable of thriving during the current pandemic, and stocks like McDonald’s Corp. (MCD) (holding weight*: 0.50 percent) which the Sub- Adviser believes is poised to strongly rebound once the economy opens. Throughout the volatility, the Sub-Adviser wrote calls on stocks to take advantage of the substantially higher level of implied volatility. This exposure, in general, slightly detracted from performance as equities rebounded to close the second fiscal quarter. For example, the Nike Inc. call 5/15/20 at $82.50 (NKE 5/15/20 C82.5) (holding weight**: - 0.03 percent) detracted from Fund performance since it was in the Fund from April 2 to April 24 as the underlying increased 10.3 percent. However, the Fund’s long position to Nike Inc. (NKE) (holding weight*: 0.76 percent) more than made up for the loss.

Sub- Adviser Outlook

Through the historic decline and subsequent rally, the Sub-Adviser continued to reiterate its commitment to its investment approach and philosophy, focusing on capital preservation and opportunistically looking to deploy capital as appropriate. The Sub- Adviser’s multi-lens approach served the Fund during the volatility throughout the second fiscal quarter, and the Sub- Adviser is optimistic that its approach is well-suited for additional bouts of volatility that are likely to arise through the rest of the calendar year and beyond. Although new mergers have slowed, the Sub- Adviser believes that new deals will surge later in the year as large cash-rich companies focus on buying dislocated assets.

* Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2020.

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

Growth of $100,000 Investment

Total Returns (a) as of April 30, 2020
			Annualized	Annualized
	Six Months	One Year	Five Years	Ten Years
Class N	(1.49)%	(1.49)%	0.98%	3.32%
Class C	(1.98)%	(2.46)%	(0.03)%	2.29%
Class A with load of 5.75%	(7.27)%	(7.36)%	(0.46)%	2.45%
Class A without load	(1.61)%	(1.72)%	0.73%	3.06%
IQ Hedge Market Neutral Total Return Index	(2.32)%	(0.07)%	1.56%	2.38%
Morningstar Multialternative Category	(5.82)%	(5.05)%	(0.65)%	0.79%

(a) Total Returns are calculated based on traded NAVs.

IQ Hedge Market Neutral Total Return Index seeks to replicate the risk-adjusted return characteristics of the collective hedge funds using a market neutral hedge fund investment style. Market Neutral hedge funds typically invest in both long and short positions in asset classes while minimizing exposure to systematic risk.

The Morningstar 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 2.67% for Class N, 3.67% for Class C and 2.92% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month- end, please call 1-800- 442-4358 or visit our website www.dunham.com.

74

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Monthly Distribution Fund

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 43.2 %
AEROSPACE/DEFENSE - 2.1 %
Boeing Co.		20,441	$	2,882,590
L3Harris Technologies, Inc.		5,809		1,125,203
				4,007,793
AIRLINES - 0.2 %
American Airlines Group, Inc.		2,410		28,944
AMR Corp. * #		101,283		24,308
Southwest Airlines Co.		10,420		325,625
				378,877
APPAREL - 0.8 %
NIKE, Inc.		17,261		1,504,814
AUTO MANUFACTURERS - 0.7 %
Cummins, Inc.		1,944		317,844
Fiat Chrysler Automobiles NV		62,304		547,025
Fiat Chrysler Automobiles NV		60,216		518,460
				1,383,329
BANKS - 0.2 %
Bank of America Corp.		20,184		485,425
BEVERAGES - 1.1 %
Coca-Cola Co.		20,205		927,207
PepsiCo., Inc.		8,763		1,159,257
				2,086,464
BUILDING MATERIALS - 0.4 %
Carrier Global Corp. *		31,103		550,834
Owens Corning		6,497		281,710
				832,544
COMMERCIAL SERVICES - 0.3 %
PayPal Holdings, Inc. *		4,939		607,497
COMPUTERS - 0.7 %
Apple, Inc.		3,329		978,060
Leidos Holdings, Inc.		4,167		411,741
				1,389,801
DIVERSIFIED FINANCIAL SERVICES - 2.7 %
Charles Schwab Corp.		2,202		83,059
GAIN Capital Holdings, Inc.		78,811		515,424
Legg Mason, Inc.		93,073		4,637,828
				5,236,311
ELECTRONICS - 0.2 %
Fortive Corp.		5,838		373,632
ENERGY - 0.1 %
Vestas Wind Systems A/S		1,692		145,632
ENGINEERING & CONSTRUCTION - 0.4 %
Jacobs Engineering Group, Inc.		10,324		854,311
ENTERTAINMENT - 1.7 %
Stars Group, Inc. *		114,907		3,212,800
HEALTHCARE-PRODUCTS - 3.7 %
QIAGEN NV *		116,070		4,838,958
Wright Medical Group NV *		77,875		2,267,720
				7,106,678

See accompanying notes to financial statements.

75

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Monthly Distribution Fund (Continued)

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 43.2% (Continued)
HOLDING COMPANIES-DIVERSIFIED - 2.5%
8i Enterprises Acquisition Corp. *		42,567	$	432,481
Alberton Acquisition Corp. *		80,490		861,243
Churchill Capital Corp. III *		40,015		406,152
CITIC Capital Acquisition Corp. *		2,962		29,916
dMY Technology Group, Inc. *		2,294		23,215
Far Point Acquisition Corp. *		34,050		346,970
Flying Eagle Acquisition Corp. *		2,161		22,453
Legacy Acquisition Corp. *		118,268		1,229,987
Pure Acquisition Corp. *		119,076		1,247,916
Social Capital Hedosophia Holdings Corp. II *		8,469		86,299
Social Capital Hedosophia Holdings Corp. III *		12,720		128,981
				4,815,613
HOME BUILDERS - 0.3%
DR Horton, Inc.		11,809		557,621
INSURANCE - 2.4%
FGL Holdings		52,891		549,009
Genworth Financial, Inc. *		32,190		116,850
Willis Towers Watson PLC		22,701		4,047,361
				4,713,220
INTERNET - 4.9%
Amazon.com, Inc. *		187		462,638
E*TRADE Financial Corp.		136,412		5,539,691
NortonLifeLock, Inc.		34,960		743,599
TD Ameritrade Holding Corp.		71,918		2,824,220
				9,570,148
IRON/STEEL - 0.1%
Nucor Corp.		3,045		125,424
MACHINERY-DIVERSIFIED - 0.6%
Dover Corp.		6,732		630,452
Otis Worldwide Corp. *		9,935		505,791
				1,136,243
MISCELLANEOUS MANUFACTURING - 0.7%
Eaton Corp. PLC		7,056		589,176
Parker-Hannifin Corp.		4,196		663,472
				1,252,648
OIL & GAS - 0.4%
Marathon Petroleum Corp.		26,715		857,017
PHARMACEUTICALS - 9.5%
Allergan PLC		77,557		14,529,528
Bristol-Myers Squibb Co.		15,547		945,413
Cigna Corp.		12,920		2,529,478
Mylan NV *		21,246		356,295
				18,360,714
RETAIL - 2.6%
Best Buy Co., Inc.		11,968		918,306
Home Depot, Inc.		941		206,860
Lowe’s Companies, Inc.		1,845		193,264
McDonald’s Corp.		5,308		995,568
O’Reilly Automotive, Inc. *		1,198		462,835
Tiffany & Co.		14,323		1,811,860
TJX Companies, Inc.		7,353		360,665
				4,949,358

See accompanying notes to financial statements.

76

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Monthly Distribution Fund (Continued)

April 30, 2020

Security						Shares				Value
COMMON STOCKS - 43.2 % (Continued)
SEMICONDUCTORS - 1.9 %
Lam Research Corp.							1,351			$	344,883
Marvell Technology Group Ltd.							8,424				225,258
Micron Technology, Inc. *							20,812				996,687
NVIDIA Corp.							3,427				1,001,644
NXP Semiconductors NV							10,134				1,009,042
Qorvo, Inc. *							1,609				157,730
											3,735,244
SOFTWARE - 0.9 %
Adobe, Inc. *							1,384				489,438
Borqs Technologies, Inc. *							61,731				118,499
Microsoft Corp.							6,197				1,110,564
											1,718,501
TELECOMMUNICATIONS - 0.9 %
Gilat Satellite Networks Ltd. *							23,191				198,283
NII Holdings, Inc. * #							205,893				442,670
T-Mobile US, Inc. *							12,831				1,126,562
											1,767,515
TEXTILES - 0.1 %
Mohawk Industries, Inc. *							3,216				282,107
TRANSPORTATION - 0.1 %
FedEx Corp.							2,049				259,752
TOTAL COMMON STOCKS (Cost - $86,471,763)											83,707,033
CLOSED END FUNDS - 2.2 %
Altaba, Inc. #							193,882				4,187,851
TOTAL CLOSED END FUNDS (Cost - $3,805,238)
EXCHANGE TRADED FUNDS - 2.3 %
iShares Russell 2000 ETF							4,290				559,030
SPDR Blackstone / GSO Senior Loan ETF ^							85,456				3,569,497
SPDR S&P Regional Banking ETF							6,432				245,252
TOTAL EXCHANGE TRADED FUNDS - (Cost - $4,835,776)											4,373,779
								Expiration Date
RIGHTS - 0.0 %
Alder BioPharmaceuticals, Inc. #							10,079				10,079
Nexstar Broadcasting Group, Inc. * #							87,600	Perpetual			4,380
Pan American Silver Corp.							41,375	3/19/2049			19,860
TOTAL RIGHTS (Cost - $73,259)											34,319
WARRANTS - 0.0 %
Borqs Technologies, Inc. *							105,552	10/28/2020			4,776
TOTAL WARRANTS (Cost - $8,254)
	Counterparty	Contracts**		Notional Value		Exercise Price
PURCHASED OPTIONS - 0.0 %
PURCHASED PUT OPTIONS - 0.0 %
S&P 500 Index	JP Morgan		282	$	7,614,000	$	270.00	5/15/2020			68,526
TOTAL PURCHASED PUT OPTIONS (Cost - $207,251)
TOTAL PURCHASED OPTIONS (Cost - $207,251)
								Interest
						Shares		Rate %
SHORT-TERM INVESTMENT - 41.5 %
MONEY MARKET FUND - 41.5 %
Fidelity Investments Money Market Fund - Class I							80,566,140	0.160	+		80,566,140
TOTAL SHORT-TERM INVESTMENT (Cost - $80,566,140)

See accompanying notes to financial statements.

77

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Monthly Distribution Fund (Continued)

April 30, 2020

			Interest
Security	Shares		Rate %			Value
COLLATERAL FOR SECURITIES LOANED - 1.9 %
HSBC US Government Money Market Fund - Class I !		3,663,660		0.193	+	$	3,663,660
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $3,663,660)
TOTAL INVESTMENTS - 91.1 % (Cost - $179,631,341)						$	176,606,084
OTHER ASSETS IN EXCESS OF LIABILITIES - 8.9 %							17,343,930
NET ASSETS - 100.0 %						$	193,950,014

ETF - Exchange Traded Fund

LP - Limited Partnership

PLC - Public Limited Company

* Non-Income producing security.

** Each Purchased Option contract allows the option holder to buy/sell 100 shares of the underlying security at the exercise price.

+ Variable rate security. Interest rate is as of April 30, 2020.

# Fair Value estimated using fair value procedures adopted by Board of Trustees. Total value of such securities is $4,669,289 or 2.41% of net assets as of April 30, 2020.

^ All or a portion of these securities are on loan. Total loaned securities had a value of $3,584,238 at April 30, 2020.

! The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

~ Less than 0.5 shares.

Security	Counterparty	Contracts**		Notional Value		Exercise Price		Expiration Date	Value
WRITTEN OPTIONS - (0.2) %
WRITTEN CALL OPTIONS - (0.2) %
Best Buy Co., Inc.	JP Morgan		86	$	688,000	$	80.00	6/19/2020	$	39,130
Lam Research Corp.	JP Morgan		14		378,000		270.00	5/15/2020		8,330
McDonald’s Corp.	JP Morgan		53		1,007,000		190.00	6/19/2020		36,941
NIKE, Inc.	JP Morgan		56		504,000		90.00	5/15/2020		6,440
NIKE, Inc.	JP Morgan		107		1,043,250		97.50	6/19/2020		8,346
NortonLifeLock, Inc.	JP Morgan		321		642,000		20.00	5/15/2020		49,755
NXP Semiconductors NV	JP Morgan		75		712,500		95.00	6/19/2020		81,900
PayPal Holdings, Inc.	JP Morgan		42		483,000		115.00	5/15/2020		39,900
PepsiCo., Inc.	JP Morgan		84		1,050,000		125.00	5/15/2020		68,670
S&P 500 ETF Index	JP Morgan		141		4,187,700		297.00	5/15/2020		44,697
TOTAL WRITTEN CALL OPTIONS - (Premiums Received - $320,747)										384,109
WRITTEN PUT OPTIONS - (0.0) %
S&P 500 ETF Index	JP Morgan		283		7,358,000		260.00	5/15/2020		38,488
TOTAL WRITTEN PUT OPTIONS - (Premiums Received - $135,970)
TOTAL WRITTEN OPTIONS (Premiums Received - $456,717)									$	422,597
						Shares
SECURITIES SOLD SHORT * - (22.7) %
AEROSPACE/DEFENSE - (1.4) %
Boeing Co.							17,500			2,467,850
General Dynamics Corp.							2,547			332,689
										2,800,539
AIRLINES - (0.0) %
American Airlines Group, Inc.							2,410			28,944
BANKS - (3.0) %
Morgan Stanley							149,889			5,910,123
BUILDING MATERIALS - (0.1) %
Lennox International, Inc.							1,162			216,922
COMPUTERS - (0.2) %
Accenture PLC							2,104			389,640
DIVERSIFIED FINANCIAL SERVICES - (1.1) %
Charles Schwab Corp.							58,310			2,199,453

See accompanying notes to financial statements.

78

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Monthly Distribution Fund (Continued)

April 30, 2020

Security	Shares		Value
SECURITIES SOLD SHORT * - (22.7) % (Continued)
EQUITY EXCHANGE TRADED FUNDS - (8.2) %
Consumer Staples Select Sector SPDR Fund		28,958	$	1,687,093
Health Care Select Sector SPDR Fund		10,078		1,005,079
Industrial Select Sector SPDR Fund		10,053		645,503
iShares Russell 2000 ETF		11,584		1,509,511
iShares U.S. Real Estate ETF		4,672		355,306
SPDR S&P 500 ETF Trust		35,747		10,383,789
SPDR S&P Retail ETF		2,772		101,677
VanEck Vectors Semiconductor ETF		2,147		287,118
				15,975,076
FOOD - (0.3) %
Tyson Foods, Inc.		8,044		500,256
INSURANCE - (2.3) %
Aon PLC		24,511		4,232,314
Fidelity National Financial, Inc.		5,411		146,368
				4,378,682
INTERNET - (0.1) %
Uber Technologies, Inc.		3,126		94,624
LODGING - (0.0) %
Marriott International, Inc.		402		36,558
MACHINERY-CONSTRUCTION & MINING - (0.3) %
Caterpillar, Inc.		5,424		631,245
MACHINERY-DIVERSIFIED - (0.3) %
Deere & Co.		2,428		352,206
Ingersoll Rand, Inc.		9,210		267,827
				620,033
MEDIA - (0.3) %
Walt Disney Co.		5,196		561,947
MISCELLANEOUS MANUFACTURING - (0.2) %
Illinois Tool Works, Inc.		2,107		342,388
OIL & GAS - (0.3) %
Chevron Corp.		7,188		661,296
PHARMACEUTICALS - (3.5) %
AbbVie, Inc.		50,641		4,162,690
Cigna Corp.		12,920		2,529,478
				6,692,168
SEMICONDUCTORS - (0.3) %
Texas Instruments, Inc.		4,826		560,154
SOFTWARE - (0.1) %
Oracle Corp.		4,290		227,241
TRANSPORTATION - (0.7) %
FedEx Corp.		6,396		810,821
Norfolk Southern Corp.		2,614		447,255
				1,258,076
TOTAL SECURITIES SOLD SHORT - (Proceeds - $46,691,308)			$	44,085,365

ETF - Exchange Traded Fund

PLC - Public Limited Company

* Non-Income producing security.

** Each Written Option contract allows the option holder to buy/sell 100 shares of the underlying security at the exercise price.

See accompanying notes to financial statements.

79

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Monthly Distribution Fund (Continued)

April 30, 2020

TOTAL RETURN SWAPS
						Unrealized
		Notional Value at			Maturity	Appreciation/
Reference Entity	Counterparty	April 30, 2020		Interest Rate	Date	(Depreciation)
LONG TOTAL RETURN SWAPS
Ingenico Group SA	JPMorgan	$	99,022	3 mo. LIBOR + 0.300%	8/1/2024	$	(15,743	)
Ingenico Group SA	JPMorgan		444,212	3 mo. LIBOR + 0.300%	8/1/2024		(66,310	)
Ingenico Group SA	JPMorgan		626,103	3 mo. LIBOR + 0.300%	8/1/2024		(125,331	)
Ingenico Group SA	JPMorgan		474,557	3 mo. LIBOR + 0.300%	8/1/2024		(39,495	)
Ingenico Group SA	JPMorgan		77,289	3 mo. LIBOR + 0.300%	8/1/2024		(9,905	)
Ingenico Group SA	JPMorgan		605,151	3 mo. LIBOR + 0.300%	8/1/2024		(90,197	)
Ingenico Group SA	JPMorgan		215,305	3 mo. LIBOR + 0.300%	8/1/2024		(36,573	)
Ingenico Group SA	JPMorgan		311,214	3 mo. LIBOR + 0.300%	8/1/2024		(61,972	)
Ingenico Group SA	JPMorgan		146,571	3 mo. LIBOR + 0.300%	8/1/2024		(30,762	)
Ingenico Group SA	JPMorgan		318,361	3 mo. LIBOR + 0.300%	8/1/2024		(66,659	)
Ingenico Group SA	JPMorgan		79,270	3 mo. LIBOR + 0.300%	8/1/2024		(15,089	)
NET UNREALIZED LOSS FROM LONG TOTAL RETURN SWAPS							(558,036	)
SHORT TOTAL RETURN SWAPS
Faurecia	JPMorgan		228,103	3 mo. LIBOR + 0.300%	2/5/2021		59,554
Flutter PLC	JPMorgan		829,301	3 mo. LIBOR + 0.300%	10/10/2020		(240,227	)
Flutter PLC	JPMorgan		249,154	3 mo. LIBOR + 0.300%	10/17/2020		(92,061	)
Flutter PLC	JPMorgan		1,594	3 mo. LIBOR + 0.300%	12/24/2020		(573	)
Flutter PLC	JPMorgan		905,674	3 mo. LIBOR + 0.300%	12/25/2020		(331,072	)
Peugeot SA	JPMorgan		200,251	3 mo. LIBOR + 0.300%	11/4/2020		94,184
Peugeot SA	JPMorgan		1,047,858	3 mo. LIBOR + 0.300%	2/5/2021		351,942
Worldline SA	JPMorgan		81,265	3 mo. LIBOR + 0.300%	8/1/2024		15,353
Worldline SA	JPMorgan		89,735	3 mo. LIBOR + 0.300%	8/1/2024		13,564
Worldline SA	JPMorgan		313,305	3 mo. LIBOR + 0.300%	8/1/2024		45,548
Worldline SA	JPMorgan		401,401	3 mo. LIBOR + 0.300%	8/1/2024		31,724
Worldline SA	JPMorgan		63,993	3 mo. LIBOR + 0.300%	8/1/2024		7,297
Worldline SA	JPMorgan		508,069	3 mo. LIBOR + 0.300%	8/1/2024		70,758
Worldline SA	JPMorgan		375,728	3 mo. LIBOR + 0.300%	8/1/2024		74,681
Worldline SA	JPMorgan		648,270	3 mo. LIBOR + 0.300%	8/1/2024		129,619
Worldline SA	JPMorgan		102,462	3 mo. LIBOR + 0.300%	8/1/2024		21,665
Worldline SA	JPMorgan		327,629	3 mo. LIBOR + 0.300%	8/1/2024		69,043
NET UNREALIZED GAIN FROM SHORT TOTAL RETURN SWAPS							320,999
NET UNREALIZED LOSS FROM TOTAL RETURN SWAPS						$	(237,037	)

Portfolio Composition * - (Unaudited)
Short-Term Investment	45.7	%	Exchange Traded Funds	2.5	%
Consumer, Non-Cyclical	15.9	%	Closed-End Fund	2.4	%
Consumer, Cyclical	6.9	%	Collateral for Securities Loaned	2.1	%
Communications	6.4	%	Energy	0.6	%
Financial	5.9	%	Basic Materials	0.1	%
Industrial	4.9	%	Options	0.0	%
Technology	3.9	%	Rights	0.0	%
Diversified	2.7	%	Warrants	0.0	%
			Total	100.0	%

* Based on total value of investments as of April 30, 2020

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

See accompanying notes to financial statements.

80

Dunham Real Estate Stock Fund (Unaudited)

Message from the Sub-Adviser (American Assets Capital Advisers, LLC)

Asset Class Recap

Global markets rallied and interest rates moved higher in the final two months of 2019 on the heels of improving sentiment regarding global growth and cooling tensions between the United States and China. However, asset classes across the globe experienced severe declines in the first three months of 2020 amid a myriad of volatility-causing headings including an oil price war, underscored by the rapid spread of the coronavirus, and the subsequent economic shutdown. To close the fiscal six-month period, markets rebounded in April, recouping some of what was lost. In the fiscal six-month period ended April 30, 2020, REITs, as measured by the Dow Jones US Real Estate Total Return Index, decreased 17.6 percent. During this time, the yield on the 10- year U.S. Treasury fell 105 basis points to 0.64 percent.

Allocation Review

There was a significant disparity in returns among the REIT sectors over the first fiscal quarter of the year, but those paled in comparison to the second fiscal quarter ended April 30, 2020. For the fiscal six-month period, the best performing sectors were the data center REIT and the infrastructure REIT sectors, which increased 17.2 and 13.5 percent, respectively, while the retail and lodging REIT sectors were the worst performers, falling 41.5 percent and 43.5 percent, respectively. The Fund strongly benefitted from sector allocation as the Fund’s largest exposures and largest relative overweights came from both the infrastructure and data center REIT sectors. The Fund also benefitted from very little exposure to cyclical sectors such as the retail and the lodging sectors. However, from an absolute perspective, exposure to health care REITs detracted from Fund performance.

Holdings Insights

The best-performing positions within the Fund over the six-month fiscal period were data center and tower REITs. These positions were largely insulated from the pandemic sell-off, as the need for data did not wane over the second fiscal quarter. The reliance on data substantially increased as stay-at-home orders forced employees to work remotely and children to attend school from home. Not only did it drive these REITs higher, but it may also have emphasized its vital and expanding role in an increasingly digital economy. Equinix, Inc. (EQIX) (holding weight*: 5.14 percent), the world’s largest data center REIT, was one of the best-performing holdings within the Fund by increasing 20.2 percent in the fiscal six-month period. Another data center company that positively contributed to Fund performance over the most recent fiscal period was GDS Holdings Ltd. (GDS) (holding weight*: 6.49 percent). GDS increased 6.8 percent since being added to the Fund in early January amid impressive earnings reports that revealed a 42.2 percent increase in net revenue year-over-year in the fourth quarter.

American Tower REIT (AMT) (holding weight*: 7.00 percent), an owner and operator of wireless and broadcast communications infrastructure, was a strong contributor to Fund performance through the six-month period. AMT continued to post solid cash flows and the Sub- Adviser believes it is poised to benefit from investment in 5G-tower infrastructure. Additionally, AMT announced the completion of an acquisition that would add approximately 5,700 communications sites. AMT increased 10.1 percent over the fiscal six-month period. Another cellular tower REIT that contributed to Fund performance was SBA Communications Corp. (SBAC) (holding weight*: 4.33 percent). SBAC rose 21.6 percent amid various analyst upgrades since also being added to the Fund in early January.

Despite the infrastructure sector contributing as a whole to Fund performance, one of the worst-performing positions within the Fund came from this sector. Fortress Transportation & Infrastructure (FTAI) (holding weight*: 7.42 percent) declined 39.0 percent since being added to the Fund in early January. FTAI owns and acquires infrastructure and related equipment for the transportation of goods and people across the globe. The Sub- Adviser remains confident in the position and increased the exposure over the second fiscal quarter. The Sub-Adviser believes this stock was unduly punished by the lack of travel during the coronavirus, as the transportation of goods is still a thriving business for the company. As previously mentioned, holdings within the health care REIT sector detracted from Fund performance. One particular holding was Healthcare Trust of America Inc. (HTA) (holding weight*: 1.72 percent). HTA, the largest dedicated owner and operator of medical office buildings in the United States, declined 16.9 percent since being added in mid-March as coronavirus fears and decrees prompted individuals to avoid medical facilities at all costs.

Sub-Adviser Outlook

The Sub- Adviser is cautiously optimistic regarding the real estate asset class for the rest of 2020 and beyond. The Sub-Adviser believes that REITs generally outperform when supply is constrained, demand is less cyclical, and tenants are reluctant to leave. This results in overweight to sectors that have an oligopoly or duopoly structure, have higher barriers to entry for new developers, higher barriers to exit for tenants, and secular demand drivers underlying the user side of the business. The Sub-Adviser believes that the combination of these four characteristics can create a concentrated portfolio of real estate stocks that have a potential competitive advantage over their peers.

* Holdings percentage(s) of total investments, excluding collateral for securities loaned, as of 4/30/2020.

Growth of $100,000 Investment

Total Returns (a) as of April 30, 2020
			Annualized	Annualized
	Six Months	One Year	Five Years	Ten Years
Class N	(8.09)%	1.23%	4.92%	8.54%
Class C	(8.60)%	0.18%	3.86%	7.46%
Class A with load of 5.75%	(13.51)%	(4.83)%	3.43%	7.62%
Class A without load	(8.22)%	0.96%	4.66%	8.27%
Dow Jones US Real Estate Total Return Index **	(17.57)%	(9.15)%	4.42%	8.18%
FTSE NAREIT All REITs Index	(19.15)%	(10.69)%	4.17%	8.45%
Morningstar Real Estate Category	(20.85)%	(12.60)%	2.17%	7.03%

(a) Total Returns are calculated based on traded NAVs.

** Change in Fund’s benchmark due to the implementation of the Sub-Adviser’s investment strategy primarily using the new benchmark index. As a result, the Fund’s performance is compared to both indices in the table above.

The Dow Jones US Real Estate Total Return Index is designed to track the performance of real estate investment trusts (REITs) and other companies that invest directly or indirectly in real estate through development, management, or ownership, including property agencies.

The 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 1.42% for Class N, 2.42% for Class C and 1.67% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75% The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com

81

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Real Estate Stock Fund

April 30, 2020

Security	Shares		Value
COMMON STOCKS - 36.9%
COMMERCIAL SERVICES - 4.9%
CoStar Group, Inc. * ^		4,500	$	2,917,170
ELECTRIC - 6.4%
Brookfield Infrastructure Partners LP		34,600		1,355,974
Brookfield Renewable Partners LP		53,416		2,504,676
				3,860,650
INVESTMENT COMPANIES - 1.3%
Brookfield Infrastructure Corp. * ^		18,600		778,596
LEISURE PRODUCTS - 1.6%
Drive Shack, Inc. * ^		714,895		943,661
LODGING - 0.0%
Las Vegas Sands Corp.		100		4,802
TELECOMMUNICATIONS - 14.9%
GDS Holdings Ltd. * ^		71,050		4,072,586
Switch, Inc.		284,869		4,891,201
				8,963,787
TRUCKING & LEASING - 7.8%
Fortress Transportation & Infrastructure Investors LLC		395,697		4,653,397
TOTAL COMMON STOCKS (Cost - $24,325,572)				22,122,063
REITS - 65.4%
APARTMENTS - 2.3%
Invitation Homes, Inc. ^		59,400		1,404,810
DIVERSIFIED - 25.5%
American Tower Corp. ^		18,448		4,390,624
Crown Castle International Corp.		31,106		4,959,230
Equinix, Inc.		4,772		3,222,054
SBA Communications Corp.		9,370		2,716,550
				15,288,458
HEALTH CARE - 3.7%
Healthcare Realty Trust, Inc. ^		38,296		1,125,519
Healthcare Trust of America, Inc. ^		43,768		1,078,006
				2,203,525
MANUFACTURED HOMES - 8.0%
Equity LifeStyle Properties, Inc.		39,000		2,352,090
Sun Communities, Inc.		18,301		2,459,654
				4,811,744
OFFICE - 6.0%
Alexandria Real Estate Equities, Inc. ^		22,812		3,583,537
STORAGE - 2.5%
National Storage Affiliates Trust ^		52,027		1,481,729
WAREHOUSE/INDUSTRIAL - 17.4%
Americold Realty Trust		68,896		2,107,529
CyrusOne, Inc. ^		37,980		2,664,297
Innovative Industrial Properties, Inc. ^		23,275		1,826,157
Prologis, Inc.		23,697		2,114,483
Rexford Industrial Realty, Inc. ^		42,398		1,726,447
				10,438,913
TOTAL REITS (Cost - $34,558,807)				39,212,716

See accompanying notes to financial statements.

82

SCHEDULE OF INVESTMENTS (Unaudited)

Dunham Real Estate Stock Fund (Continued)

April 30, 2020

			Interest
Security	Shares		Rate %		Value
COLLATERAL FOR SECURITIES LOANED - 28.9 %
Mount Vernon Prime Portfolio #		17,370,181	0.480	+	$	17,370,181
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $17,370,181)
TOTAL INVESTMENTS - 131.2 % (Cost - $76,254,560)					$	78,704,960
LIABILITIES IN EXCESS OF OTHER ASSETS - (31.2) %						(18,709,769	)
TOTAL NET ASSETS - 100.00 %					$	59,995,191

ADR - American Depositary Receipt.

LLC - Limited Liability Company

LP - Limited Partnership

REITS - Real Estate Investment Trusts

* Non-Income producing security.

+ Variable rate security. Interest rate is as of April 30, 2020.

^ All or a portion of these securities are on loan. Total loaned securities had a value of $16,681,817 at April 30, 2020.

# The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

Portfolio Composition * - (Unaudited)
Collateral for Securities Loaned	22.1	%	Office Property	4.6	%
Diversified	19.4	%	Consumer, Non-Cyclical	3.7	%
Warehouse/Industrial	13.3	%	Health Care	2.8	%
Communications	11.4	%	Storage	1.9	%
Manufactured Homes	6.1	%	Apartments	1.8	%
Industrial	5.9	%	Consumer, Cyclical	1.1	%
Utilities	4.9	%	Financial	1.0	%
			Total	100.0	%

* Based on total value of investments as of April 30, 2020.

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

See accompanying notes to financial statements.

83

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)

April 30, 2020

	Dunham									Dunham								Dunham
	Corporate /			Dunham			Dunham			International			Dunham		Dunham			Focused
	Government			Floating Rate			High-Yield			Opportunity			Large Cap		Small Cap			Large Cap
	Bond Fund			Bond Fund			Bond Fund			Bond Fund			Value Fund		Value Fund			Growth Fund
Assets:
Investments in securities, at cost	$	53,409,886		$	182,488,741		$	94,037,125		$	36,725,988		$	113,235,959	$	82,538,287		$	91,654,687
Investments in securities, at value	$	53,651,796		$	166,917,047		$	87,896,156		$	32,336,081		$	124,555,533	$	80,818,660		$	150,141,613
Cash		2,116,806			1,181,771			1,544,678			1,347,075			2,295,458		167,296			1,923,949
Foreign currency, at value (cost $589,930)		—			—			—			595,206			—		—			—
Deposits with brokers		—			—			—			806,609			—		—			—
Unrealized appreciation on forward foreign currency exchange contracts		—			—			—			41,192			—		—			—
Unrealized appreciation on futures		—			—			—			113,272			—		—			—
Premiums paid on swap contracts		—			—			—			5,950			—		—			—
Receivable for securities sold		135,121			1,166,140			340,505			55,301			—		—			—
Interest and dividends receivable		332,836			821,037			1,405,933			485,397			131,862		39,215			11,018
Receivable for Fund shares sold		1,876			8,207			3,743			1,858			15,754		9,564			45,539
Prepaid expenses and other assets		41,545			30,651			42,260			24,274			48,614		40,753			45,125
Total Assets		56,279,980			170,124,853			91,233,275			35,812,215			127,047,221		81,075,488			152,167,244
Liabilities:
Payable for securities purchased		588,750			10,672,345			422,250			130,868			—		—			—
Payable for Fund shares redeemed		218,024			1,365,134			740,054			304,391			518,216		2,753,132			574,075
Distributions payable		1,164			3,891			6,420			229			—		—			—
Payable upon return of securities loaned		5,450,279			887,813			2,075,311			1,087,003			31,430,373		17,746,590			34,775,780
Unrealized depreciation on forward foreign currency exchange contracts		—			—			—			357,239			—		—			—
Unrealized depreciation on futures		—			—			—			567,711			—		—			—
Unrealized depreciation on swap contracts		—			—			—			7,741			—		—			—
Payable to adviser		20,386			77,718			31,450			16,197			48,824		30,674			33,443
Payable to sub-adviser		5,473			41,825			24,801			6,716			38,036		21,628			55,867
Payable for distribution fees		6,535			6,701			16,546			52			9,732		3,826			15,954
Payable for administration fees		8,236			11,430			5,076			1,448			3,104		2,522			2,962
Payable for fund accounting fees		1,354			4,687			2,574			1,336			2,425		1,509			2,803
Payable for transfer agent fees		2,620			8,722			5,493			2,251			4,410		2,885			3,861
Payable for custody fees		12,140			9,206			4,686			9,864			3,304		2,901			—
Payable for third party administrative servicing fees		655			1,007			1,426			869			1,269		1,172			4,794
Accrued expenses and other liabilities		25,244			33,801			51,542			21,315			22,843		24,238			24,680
Total Liabilities		6,340,860			13,124,280			3,387,629			2,515,230			32,082,536		20,591,077			35,494,219
Net Assets	$	49,939,120		$	157,000,573		$	87,845,646		$	33,296,985		$	94,964,685	$	60,484,411		$	116,673,025
Net Assets:
Paid in capital	$	51,702,396		$	184,197,266		$	103,350,907		$	37,442,105		$	84,890,526	$	68,719,016		$	58,438,431
Accumulated earnings (loss)		(1,763,276	)		(27,196,693	)		(15,505,261	)		(4,145,120	)		10,074,159		(8,234,605	)		58,234,594
Net Assets	$	49,939,120		$	157,000,573		$	87,845,646		$	33,296,985		$	94,964,685	$	60,484,411		$	116,673,025
Net Asset Value Per Share
Class N Shares:
Net Assets	$	38,028,028		$	127,996,134		$	70,904,452		$	27,579,017		$	74,418,165	$	48,889,403		$	86,349,852
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)		2,733,282			15,149,853			8,591,824			3,358,119			5,876,125		4,397,720			3,244,828
Net asset value, offering and redemption price per share	$	13.91		$	8.45		$	8.25		$	8.21		$	12.66	$	11.12		$	26.61
Class A Shares:
Net Assets	$	6,315,683		$	20,459,080		$	11,558,949		$	4,679,072		$	16,903,797	$	9,695,803		$	22,431,312
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)		454,532			2,423,906			1,386,263			575,454			1,341,384		886,471			863,140
Net asset value and redemption price per share *	$	13.89		$	8.44		$	8.34		$	8.13		$	12.60	$	10.94		$	25.99
Front-end sales charge factor		0.9550			0.9550			0.9550			0.9550			0.9425		0.9425			0.9425
Offering price per share (Net asset value per share / front-end sales charge factor)	$	14.55		$	8.84		$	8.73		$	8.51		$	13.37	$	11.60		$	27.57
Class C Shares:
Net Assets	$	5,595,409		$	8,545,359		$	5,382,245		$	1,038,896		$	3,642,723	$	1,899,205		$	7,891,861
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)		405,616			1,011,988			655,451			131,109			303,709		201,380			325,597
Net asset value, offering and redemption price per share	$	13.79		$	8.44		$	8.21		$	7.92		$	11.99	$	9.43		$	24.24

* 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.

84

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) (Continued)

April 30, 2020

			Dunham											Dunham
	Dunham		Emerging			Dunham			Dunham			Dunham		Monthly			Dunham
	Small Cap		Markets			International			Dynamic Macro			Long/Short		Distribution			Real Estate
	Growth Fund		Stock Fund			Stock Fund			Fund			Credit Fund		Fund			Stock Fund
Assets:
Investments in securities, at cost	$	45,348,179	$	77,592,436		$	135,383,012		$	34,121,432		$	109,203,625	$	179,631,341		$	76,254,560
Investments in securities, at value	$	52,219,731	$	78,420,943		$	133,347,663		$	35,834,493		$	109,102,497	$	176,606,084		$	78,704,960
Cash		2,373,605		760,831			399,720			1,199,072			838,640		9,945,754			1,389,719
Foreign currency, at value (cost $30,209, $104,652, and $53,685, respectively)		—		30,199			105,945			53,375			—		—			—
Deposit with brokers		—		—			—			—			1,064,074		60,780,110			—
Deposit with brokers for futures		—		—			—			—			1,675,193		—			—
Unrealized appreciation on futures		—		—			—			224,012			—		—			—
Unrealized appreciation on swap contracts		—		—			—			—			766,691		984,932			—
Receivable for securities sold		1,166,589		651,455			1,886,592			1,354,448			4,493,985		7,770,766			14,392
Interest and dividends receivable		8,686		146,454			747,993			1,894			1,423,770		123,629			3,420
Receivable for Fund shares sold		6,419		13,266			21,584			4,668			10,755		31,576			9,334
Prepaid expenses and other assets		61,550		40,934			49,436			37,928			42,761		54,565			40,752
Total Assets		55,836,580		80,064,082			136,558,933			38,709,890			119,418,366		256,297,416			80,162,577
Liabilities:
Option contracts written (premiums received $173,047 and $456,717, respectively)		—		—			—			291,930			—		422,597			—
Securities sold short (proceeds $46,691,308)		—		—			—			—			—		44,085,365			—
Foreign currency overdraft (proceeds $950,756)		—		—			—			—			—		920,726			—
Payable upon return of securities loaned		3,457,130		2,228,041			6,616,325			8,756,789			28,201,977		3,663,660			17,370,181
Due to broker for Futures		—		—			—			259,645			—		—			—
Payable for securities purchased		777,646		1,398,024			1,727,246			2,269,036			4,119,262		10,813,890			—
Payable for Fund shares redeemed		262,993		358,307			699,408			106,212			401,416		804,858			2,610,067
Distributions Payable		—		—			—			—			7,156		42,716			4,757
Premiums received on swap contracts		—		—			—			—			498,733		24			—
Unrealized depreciation on swap contracts		—		—			—			—			568,975		1,221,969			—
Unrealized depreciation on futures		—		—			—			68,628			1,425,193		—			—
Payable for dividend on short sales		—		—			—			—			—		121,478			—
Payable to adviser		5,515		38,434			65,417			14,158			35,142		103,229			32,120
Payable to sub-adviser		55,178		52,731			93,946			4,936			14,392		18,404			122,146
Payable for distribution fees		11,131		6,760			10,603			2,675			11,662		32,264			—
Payable for administration fees		2,173		3,226			12,343			979			—		6,210			2,275
Payable for fund accounting fees		1,352		1,969			3,259			1,349			1,729		6,332			1,619
Payable for transfer agent fees		3,749		3,405			5,648			2,720			2,810		13,132			3,210
Payable for custody fees		3,704		18,334			43,721			2,740			2,899		—			1,906
Payable for third party administrative servicing fees		2,949		1,730			951			1,107			2,436		11,638			1,139
Accrued expenses and other liabilities		24,889		22,239			20,983			22,719			63,313		58,910			17,966
Total Liabilities		4,608,409		4,133,200			9,299,850			11,805,623			35,357,095		62,347,402			20,167,386
Net Assets	$	51,228,171	$	75,930,882		$	127,259,083		$	26,904,267		$	84,061,271	$	193,950,014		$	59,995,191
Net Assets:
Paid in capital	$	47,294,297	$	78,315,147		$	136,018,377		$	29,057,781		$	83,474,453	$	202,255,241		$	52,565,678
Accumulated earnings (loss)		3,933,874		(2,384,265	)		(8,759,294	)		(2,153,514	)		586,818		(8,305,227	)		7,429,513
Net Assets	$	51,228,171	$	75,930,882		$	127,259,083		$	26,904,267		$	84,061,271	$	193,950,014		$	59,995,191
Net Asset Value Per Share
Class N Shares:
Net Assets	$	41,201,886	$	61,516,090		$	102,173,607		$	21,277,020		$	66,030,542	$	133,542,948		$	47,597,377
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)		2,600,576		4,793,556			7,637,358			2,260,247			7,126,062		4,086,474			2,986,089
Net asset value, offering and redemption price per share	$	15.84	$	12.83		$	13.38		$	9.41		$	9.27	$	32.68		$	15.94
Class A Shares:
Net Assets	$	8,097,079	$	12,039,018		$	20,864,410		$	4,462,691		$	12,001,282	$	33,111,666		$	10,051,285
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)		541,991		959,839			1,570,965			478,418			1,297,792		1,051,613			625,001
Net asset value, and redemption price per share *	$	14.94	$	12.54		$	13.28		$	9.33		$	9.25	$	31.49		$	16.08
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)	$	15.85	$	13.31		$	14.09		$	9.90		$	9.81	$	33.41		$	17.06
Class C Shares:
Net Assets	$	1,929,206	$	2,375,774		$	4,221,066		$	1,164,556		$	6,029,447	$	27,295,400		$	2,346,529
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)		170,123		200,703			336,197			131,329			671,655		1,118,745			155,770
Net asset value, offering and redemption price per share	$	11.34	$	11.84		$	12.56		$	8.87		$	8.98	$	24.40		$	15.06

* 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.

85

STATEMENTS OF OPERATIONS (Unaudited)

For the Six Months Ended April 30, 2020

	Dunham									Dunham									Dunham
	Corporate /			Dunham			Dunham			International			Dunham			Dunham			Focused
	Government			Floating Rate			High-Yield			Opportunity			Large Cap			Small Cap			Large Cap
	Bond Fund			Bond Fund			Bond Fund			Bond Fund			Value Fund			Value Fund			Growth Fund
Investment Income:
Interest income	$	942,243		$	4,502,595		$	2,915,405		$	538,525		$	10,577		$	3,907		$	10,318
Dividend income		—			34,056			—			—			1,046,733			662,872			115,458
Securities lending income-net		2,835			607			6,538			881			6,468			2,307			4,456
Less: Foreign withholding taxes		—			—			—			(10,186	)		—			—			—
Total Investment Income		945,078			4,537,258			2,921,943			529,220			1,063,778			669,086			130,232
Operating Expenses:
Investment advisory fees		133,501			534,837			309,126			115,342			277,646			179,051			359,939
Sub-advisory fees		80,100			249,591			164,867			86,507			128,145			123,958			193,813
Sub-advisory performance fees		(15,189	)		(49,555	)		(25,933	)		(47,384	)		4,103			(18,834	)		23,290
Fund accounting fees		5,512			18,424			10,592			3,976			8,802			5,679			11,435
Distribution fees- Class C Shares		14,121			32,074			24,131			4,863			23,805			12,299			42,191
Distribution fees- Class A Shares		8,912			27,401			15,634			6,032			20,847			11,887			28,799
Administration fees		57,406			76,962			48,654			29,511			26,014			20,264			31,168
Registration fees		24,334			21,331			24,431			17,902			23,434			23,346			22,485
Transfer agent fees		10,250			18,740			13,755			9,487			12,547			10,321			14,993
Custodian fees		20,211			20,682			6,262			23,454			4,233			3,666			3,785
Professional fees		8,714			13,298			10,401			8,384			9,648			8,837			10,329
Chief Compliance Officer fees		3,212			11,429			6,684			2,442			4,927			3,074			6,503
Printing and postage expense		8,479			15,585			10,928			4,922			7,008			5,358			9,322
Trustees’ fees		1,189			5,344			2,909			1,097			2,251			1,513			2,992
Insurance expense		456			1,818			962			334			661			406			791
Interest expense		—			—			—			13,454			—			—			—
Third party administrative servicing fees		1,192			1,663			2,105			803			2,364			1,819			6,768
Miscellaneous expenses		2,480			6,215			3,801			2,237			3,411			3,479			3,815
Total Operating Expenses		364,880			1,005,839			629,309			283,363			559,846			396,123			772,418
Less: Fees paid indirectly		—			—			—			—			(2,044	)		—			(3,529	)
Net Operating Expenses		364,880			1,005,839			629,309			283,363			557,802			396,123			768,889
Net Investment Income (Loss)		580,198			3,531,419			2,292,634			245,857			505,976			272,963			(638,657	)
Realized and Unrealized Gain (Loss) on Investments, Futures, Swap Contracts, Foreign Currency Translations, and Forward Foreign Currency Exchange Contracts:
Net realized gain (loss) from:
Investments		1,170,118			(6,804,390	)		(1,773,976	)		377,056			(1,018,461	)		(5,541,511	)		2,034,377
Futures		—			—			—			(45,166	)		—
Swap contracts											(96,593	)
Forward foreign currency exchange contracts		—			—			—			956,406			—
Net realized gain (loss)		1,170,118			(6,804,390	)		(1,773,976	)		1,191,703			(1,018,461	)		(5,541,511	)		2,034,377
Net change in unrealized appreciation (depreciation) on:
Investments		(2,067,885	)		(10,201,492	)		(6,789,085	)		(5,664,590	)		(6,375,191	)		(5,158,053	)		12,633,316
Futures		—			—			—			(469,232	)		—
Swap contracts		—			—			—			(7,741	)
Foreign currency translations		—			—			—			(1,049	)		—
Forward foreign currency exchange contracts		—			—			—			(306,895	)		—
Net change in unrealized appreciation (depreciation)		(2,067,885	)		(10,201,492	)		(6,789,085	)		(6,449,507	)		(6,375,191	)		(5,158,053	)		12,633,316
Net Realized and Unrealized Gain (Loss)		(897,767	)		(17,005,882	)		(8,563,061	)		(5,257,804	)		(7,393,652	)		(10,699,564	)		14,667,693
Net Increase (Decrease) in Net Assets Resulting From Operations	$	(317,569	)	$	(13,474,463	)	$	(6,270,427	)	$	(5,011,947	)	$	(6,887,676	)	$	(10,426,601	)	$	14,029,036

See accompanying notes to financial statements.

86

STATEMENTS OF OPERATIONS (Unaudited) (Continued)

For the Six Months Ended April 30, 2020

				Dunham												Dunham
	Dunham			Emerging			Dunham			Dunham			Dunham			Monthly			Dunham
	Small Cap			Markets			International			Dynamic Macro			Long/Short			Distribution			Real Estate
	Growth Fund			Stock Fund			Stock Fund			Fund			Credit Fund			Fund			Stock Fund
Investment Income:
Interest income	$	13,193		$	7,051		$	49,544		$	182,332		$	1,300,368		$	633,109		$	6,862
Dividend income		95,489			589,702			1,717,404			178,428			15,000			1,518,434			801,765
Securities lending income-net		23,663			2,814			20,228			7,209			16,121			19,716			8,991
Less: Foreign withholding taxes		—			(81,201	)		(239,793	)		—			—			41,516			—
Total Investment Income		132,345			518,366			1,547,383			367,969			1,331,489			2,212,775			817,618
Operating Expenses:
Investment advisory fees		167,842			243,915			420,398			120,956			279,903			778,161			185,572
Sub-advisory fees		129,109			168,864			420,398			139,564			258,372			718,303			124,033
Sub-advisory performance fees		2,756			129,750			(131,876	)		(1,690	)		(35,052	)		(385,025	)		51,700
Fund accounting fees		5,310			7,746			13,354			3,856			8,886			24,769			5,884
Distribution fees- Class C Shares		11,611			15,868			28,560			8,476			23,882			155,733			13,199
Distribution fees- Class A Shares		14,014			15,276			27,713			8,508			15,291			48,820			12,245
Administration fees		19,046			28,492			66,114			16,239			21,544			63,224			19,951
Registration fees		24,661			23,673			24,623			21,616			26,153			30,774			24,635
Transfer agent fees		10,895			11,557			14,902			9,629			11,349			24,197			10,693
Custodian fees		8,263			39,469			63,077			4,999			5,764			23,109			3,667
Professional fees		8,736			10,105			10,982			8,423			9,574			15,470			8,900
Chief Compliance Officer fees		3,134			4,629			7,587			2,415			4,967			16,020			3,607
Printing and postage expense		7,648			7,176			9,166			4,532			10,347			43,101			5,490
Trustees’ fees		1,538			2,066			3,480			1,017			2,182			7,646			1,702
Insurance expense		399			622			997			383			511			2,221			458
Interest expense		—			—			—			486			—			—			—
Third party administrative servicing fees		4,362			3,077			2,066			1,012			3,488			17,253			1,695
Dividend expense on short sales		—			—			—			—			—			856,069			—
Miscellaneous expenses		3,018			5,070			6,328			2,428			4,361			7,645			3,037
Total Operating Expenses		422,342			717,355			987,869			352,849			651,522			2,447,490			476,468
Less: Fees paid indirectly		(10,755	)		—			(1,869	)		—			—			—			—
Net Operating Expenses		411,587			717,355			986,000			352,849			651,522			2,447,490			476,468
Net Investment Income (Loss)		(279,242	)		(198,989	)		561,383			15,120			679,967			(234,715	)		341,150
Realized and Unrealized Gain (Loss) on Investments, Futures, Purchased Options, Securities Sold Short, Written Options, Swap Contracts, Foreign Currency Transactions, and Foreign Currency Translations:
Net realized gain (loss) from:
Investments		(313,925	)		(1,110,181	)		(2,139,423	)		616,631			1,925,808			(3,473,975	)		5,160,803
Futures		—			—			—			(3,317,078	)		(458,297	)		—			—
Purchased options		—			—			—			1,294,522			—			(2,826,422	)		—
Securities sold short		—			—			—			—			—			1,578,679			—
Written options		—			—			—			(1,252,816	)		—			3,048,688			—
Swap contracts		—			—			—			—			851,825			490,389			—
Foreign currency transactions		—			(23,043	)		17,399			110,221			—			(122,982	)		—
Net realized gain (loss)		(313,925	)		(1,133,224	)		(2,122,024	)		(2,548,520	)		2,319,336			(1,305,623	)		5,160,803
Net change in unrealized appreciation (depreciation) on:					—
Investments		1,640,388			(4,344,423	)		(13,011,030	)		(896,327	)		(1,385,547	)		(10,702,172	)		(9,760,215	)
Futures		—			—			—			(76,352	)		(1,706,458	)		—			—
Purchased options		—			—			—			307,294			—			129,620			—
Securities sold short		—			—			—			—			—			7,880,965			—
Written options		—			—			—			(115,135	)		—			(30,500	)		—
Swap contracts		—			—			—			—			154,682			(89,538	)		—
Foreign currency translations		—			(3,313	)		(6,397	)		(1,106	)		—			33,830			—
Net change in unrealized appreciation (depreciation)		1,640,388			(4,347,736	)		(13,017,427	)		(781,626	)		(2,937,323	)		(2,777,795	)		(9,760,215	)
Net Realized and Unrealized Gain (Loss)		1,326,463			(5,480,960	)		(15,139,451	)		(3,330,146	)		(617,987	)		(4,083,418	)		(4,599,412	)
Net Increase (Decrease) in Net Assets Resulting From Operations	$	1,047,221		$	(5,679,949	)	$	(14,578,068	)	$	(3,315,026	)	$	61,980		$	(4,318,133	)	$	(4,258,262	)

See accompanying notes to financial statements.

87

STATEMENTS OF CHANGES IN NET ASSETS

	Dunham						Dunham						Dunham						Dunham						Dunham
	Corporate/Government						Floating Rate						High-Yield						International Opportunity						Large Cap
	Bond Fund						Bond Fund						Bond Fund						Bond Fund						Value Fund
	Six Months						Six Months						Six Months						Six Months						Six Months
	Ended			Year Ended			Ended			Year Ended			Ended			Year Ended			Ended			Year Ended			Ended			Year Ended
	April 30, 2020			Oct. 31, 2019			April 30, 2020			Oct. 31, 2019			April 30, 2020			Oct. 31, 2019			April 30, 2020			Oct. 31, 2019			April 30, 2020			Oct. 31, 2019
	(Unaudited)						(Unaudited)						(Unaudited)						(Unaudited)						(Unaudited)
Operations:
Net investment income (loss)	$	580,198		$	1,340,868		$	3,531,419		$	8,487,775		$	2,292,634		$	5,490,063		$	245,857		$	(132,254	)	$	505,976		$	937,686
Net realized gain (loss) from investments, futures, and forward foreign currency exchange contracts		1,170,118			113,200			(6,804,390	)		(1,573,440	)		(1,773,976	)		(1,991,065	)		1,191,703			107,492			(1,018,461	)		1,944,710
Net change in unrealized appreciation (depreciation) on investments, futures, foreign currency translations and forward foreign currency exchange contracts		(2,067,885	)		3,618,411			(10,201,492	)		(3,869,644	)		(6,789,085	)		4,726,623			(6,449,507	)		2,295,850			(6,375,191	)		5,655,326
Net Increase (Decrease) in Net Assets Resulting From Operations		(317,569	)		5,072,479			(13,474,463	)		3,044,691			(6,270,427	)		8,225,621			(5,011,947	)		2,271,088			(6,887,676	)		8,537,722
Distributions to Shareholders From:
Total Distributions Paid
Class N		(487,914	)		(1,166,344	)		(3,280,869	)		(7,355,813	)		(1,909,073	)		(4,676,120	)		(281,435	)		(206,819	)		(2,138,221	)		(2,696,550	)
Class A		(72,271	)		(145,603	)		(461,582	)		(929,175	)		(268,092	)		(597,867	)		(40,401	)		(16,011	)		(567,620	)		(634,655	)
Class C		(35,815	)		(53,076	)		(160,979	)		(325,188	)		(119,416	)		(332,845	)		(8,184	)		(2,165	)		(158,781	)		(174,020	)
Total Distributions to Shareholders		(596,000	)		(1,365,023	)		(3,903,430	)		(8,610,176	)		(2,296,581	)		(5,606,832	)		(330,020	)		(224,995	)		(2,864,622	)		(3,505,225	)
Share Transactions of Beneficial Interest:
Net proceeds from shares sold
Class N		9,745,839			18,045,990			12,900,341			39,184,312			6,074,465			19,813,226			7,002,777			6,400,219			23,012,477			9,646,917
Class A		1,368,111			3,282,599			4,892,016			6,544,499			2,460,757			3,165,578			1,851,874			1,348,987			5,968,691			5,417,648
Class C		5,913,036			498,975			3,334,917			3,605,718			518,329			918,509			264,707			232,881			798,232			1,174,322
Reinvestment of distributions
Class N		483,858			1,159,769			3,268,978			7,342,514			1,896,055			4,652,938			281,283			206,756			2,127,987			2,688,416
Class A		70,303			140,795			447,310			899,214			254,306			565,402			39,710			15,700			521,928			612,304
Class C		34,516			50,669			153,608			318,158			105,256			306,338			8,143			2,165			156,442			171,204
Cost of shares redeemed
Class N		(14,211,702	)		(20,749,068	)		(31,671,280	)		(48,969,779	)		(20,279,558	)		(30,912,858	)		(8,136,488	)		(7,278,732	)		(5,466,978	)		(9,736,416	)
Class A		(2,539,678	)		(1,616,819	)		(4,689,941	)		(5,055,411	)		(2,407,798	)		(4,095,837	)		(862,832	)		(1,024,835	)		(3,860,355	)		(3,148,530	)
Class C		(2,923,726	)		(829,785	)		(2,665,339	)		(2,272,992	)		(2,304,472	)		(1,318,561	)		(536,419	)		(229,054	)		(2,014,167	)		(505,098	)
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest		(2,059,443	)		(16,875	)		(14,029,390	)		1,596,233			(13,682,660	)		(6,905,265	)		(87,245	)		(325,913	)		21,244,257			6,320,767
Total Increase (Decrease) in Net Assets		(2,973,012	)		3,690,581			(31,407,283	)		(3,969,252	)		(22,249,668	)		(4,286,476	)		(5,429,212	)		1,720,180			11,491,959			11,353,264
Net Assets:
Beginning of Year/Period		52,912,132			49,221,551			188,407,856			192,377,108			110,095,314			114,381,790			38,726,197			37,006,017			83,472,726			72,119,462
End of Year/Period	$	49,939,120		$	52,912,132		$	157,000,573		$	188,407,856		$	87,845,646		$	110,095,314		$	33,296,985		$	38,726,197		$	94,964,685		$	83,472,726

See accompanying notes to financial statements.

88

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	Dunham						Dunham						Dunham						Dunham						Dunham
	Small Cap						Focused Large Cap						Small Cap						Emerging Markets						International
	Value Fund						Growth Fund						Growth Fund						Stock Fund						Stock Fund
	Six Months						Six Months						Six Months						Six Months						Six Months
	Ended			Year Ended			Ended			Year Ended			Ended			Year Ended			Ended			Year Ended			Ended			Year Ended
	April 30, 2020			Oct. 31, 2019			April 30, 2020			Oct. 31, 2019			April 30, 2020			Oct. 31, 2019			April 30, 2020			Oct. 31, 2019			April 30, 2020			Oct. 31, 2019
	(Unaudited)						(Unaudited)						(Unaudited)						(Unaudited)						(Unaudited)
Operations:
Net investment income (loss)	$	272,963		$	(52,286	)	$	(638,657	)	$	(1,186,033	)	$	(279,242	)	$	(727,691	)	$	(198,989	)	$	935,043		$	561,383		$	2,643,268
Net realized gain (loss) from investments, and foreign currency transactions		(5,541,511	)		(1,163,298	)		2,034,377			4,250,180			(313,925	)		(118,043	)		(1,133,224	)		(1,023,810	)		(2,122,024	)		(4,843,378	)
Net change in unrealized appreciation (depreciation) on investments, and foreign currency transactions		(5,158,053	)		4,454,208			12,633,316			12,506,512			1,640,388			2,086,493			(4,347,736	)		8,465,885			(13,017,427	)		10,789,801
Net Increase (Decrease) in Net Assets Resulting From Operations		(10,426,601	)		3,238,624			14,029,036			15,570,659			1,047,221			1,240,759			(5,679,949	)		8,377,118			(14,578,068	)		8,589,691
Distributions to Shareholders From:
Total Distributions Paid
Class N		—			(3,953,207	)		(2,555,522	)		(4,430,347	)		(690,259	)		(6,275,235	)		(534,182	)		(1,006,872	)		(2,225,625	)		(5,927,318	)
Class A		—			(859,290	)		(797,528	)		(1,226,758	)		(198,928	)		(2,133,326	)		(86,584	)		(167,073	)		(455,782	)		(1,198,236	)
Class C		—			(272,184	)		(314,983	)		(564,922	)		(52,820	)		(652,365	)		(9,790	)		(29,750	)		(103,682	)		(358,199	)
Total Distributions to Shareholders		—			(5,084,681	)		(3,668,033	)		(6,222,027	)		(942,007	)		(9,060,926	)		(630,556	)		(1,203,695	)		(2,785,089	)		(7,483,753	)
Share Transactions of Beneficial Interest:
Net proceeds from shares sold
Class N		20,385,129			9,580,246			14,591,156			21,107,712			7,943,376			13,660,779			15,621,992			10,284,122			24,058,869			18,220,512
Class A		3,385,596			3,224,004			6,096,402			19,065,395			2,828,467			4,059,178			3,414,879			4,738,975			4,687,547			6,588,356
Class C		447,972			887,413			1,108,871			2,938,833			284,024			981,344			458,493			660,262			769,639			1,156,103
Reinvestment of distributions
Class N		—			3,947,325			2,518,739			4,369,570			679,654			5,929,101			531,994			997,722			2,218,149			5,919,259
Class A		—			796,269			701,965			1,096,111			182,943			1,888,425			85,489			162,685			448,495			1,172,202
Class C		—			272,184			290,053			513,630			52,391			648,129			9,428			28,820			102,576			355,855
Cost of shares redeemed
Class N		(7,141,254	)		(5,804,339	)		(13,150,976	)		(17,190,050	)		(5,121,519	)		(10,930,828	)		(9,566,135	)		(10,266,820	)		(12,073,890	)		(12,936,799	)
Class A		(1,599,062	)		(1,723,295	)		(10,428,291	)		(12,817,565	)		(5,470,309	)		(3,921,776	)		(2,536,624	)		(3,631,729	)		(3,692,853	)		(3,706,725	)
Class C		(814,187	)		(343,347	)		(2,574,924	)		(2,573,388	)		(832,618	)		(1,318,920	)		(1,278,974	)		(732,423	)		(2,309,376	)		(877,014	)
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest		14,664,194			10,836,460			(847,005	)		16,510,248			546,409			10,995,432			6,740,542			2,241,614			14,209,156			15,891,749
Total Increase (Decrease) in Net Assets		4,237,593			8,990,403			9,513,998			25,858,880			651,623			3,175,265			430,037			9,415,037			(3,154,001	)		16,997,687
Net Assets:
Beginning of Year/Period		56,246,818			47,256,415			107,159,027			81,300,147			50,576,548			47,401,283			75,500,845			66,085,808			130,413,084			113,415,397
End of Year/Period	$	60,484,411		$	56,246,818		$	116,673,025		$	107,159,027		$	51,228,171		$	50,576,548		$	75,930,882		$	75,500,845		$	127,259,083		$	130,413,084

See accompanying notes to financial statements.

89

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	Dunham						Dunham						Dunham						Dunham
	Dynamic Macro						Long/Short						Monthly Distribution						Real Estate
	Fund						Credit Fund						Fund						Stock Fund
	Six Months						Six Months						Six Months						Six Months
	Ended			Year Ended			Ended			Year Ended			Ended			Year Ended			Ended			Year Ended
	April 30, 2020			Oct. 31, 2019			April 30, 2020			Oct. 31, 2019			April 30, 2020			Oct. 31, 2019			April 30, 2020			Oct. 31, 2019
	(Unaudited)						(Unaudited)						(Unaudited)						(Unaudited)
Operations:
Net investment income (loss)	$	15,120		$	484,473		$	679,967		$	1,677,487		$	(234,715	)	$	(1,442,620	)	$	341,150		$	961,475
Net realized gain (loss) from investments, futures, purchased options, securities sold short, written options, swap contracts, foreign currency transactions and forward foreign currency exchange contracts		(2,548,520	)		3,163,684			2,319,336			367,556			(1,305,623	)		1,741,024			5,160,803			3,193,888
Net change in unrealized appreciation (depreciation) on investments, futures, purchased options, securities sold short, written options, foreign currency translations and forward foreign currency exchange contracts		(781,626	)		(743,996	)		(2,937,323	)		1,672,696			(2,777,795	)		5,736,652			(9,760,215	)		7,934,838
Net Increase (Decrease) in Net Assets Resulting From Operations		(3,315,026	)		2,904,161			61,980			3,717,739			(4,318,133	)		6,035,056			(4,258,262	)		12,090,201
Distributions to Shareholders From:
Distributions From Paid In Capital:
Class N		—			(178,934	)		—			—			(3,596,561	)		(10,187,402	)		—			—
Class A		—			(40,574	)		—			—			(858,685	)		(2,350,197	)		—			—
Class C		—			(9,272	)		—			—			(879,687	)		(2,424,555	)		—			—
Total Other Distributions Paid
Class N		—			(631,590	)		(1,005,044	)		(1,851,434	)		—			—			(2,908,213	)		(798,931	)
Class A		—			(125,095	)		(162,093	)		(244,159	)		—			—			(633,013	)		(140,920	)
Class C		—			(14,866	)		(52,654	)		(92,505	)		—			—			(191,872	)		(23,866	)
Total Distributions to Shareholders		—			(1,000,331	)		(1,219,791	)		(2,188,098	)		(5,334,933	)		(14,962,154	)		(3,733,098	)		(963,717	)
Share Transactions of Beneficial Interest:
Net proceeds from shares sold
Class N		4,568,646			4,498,166			25,795,536			49,856,416			13,187,379			53,671,386			15,303,578			4,820,022
Class A		1,035,954			2,260,121			3,783,849			6,262,396			4,913,863			16,026,986			3,088,801			2,547,627
Class C		301,607			393,839			4,644,952			1,130,847			1,798,595			8,179,345			535,725			487,070
Reinvestment of distributions
Class N		—			809,408			981,703			1,830,183			3,499,881			9,872,584			2,900,499			797,852
Class A		—			163,799			151,897			221,475			744,460			2,043,964			622,632			138,429
Class C		—			24,112			49,952			91,248			721,283			2,063,878			190,337			23,724
Cost of shares redeemed
Class N		(12,801,416	)		(10,343,817	)		(27,118,819	)		(21,756,496	)		(59,771,291	)		(75,962,023	)		(7,346,020	)		(14,694,994	)
Class A		(3,642,891	)		(2,964,315	)		(2,875,941	)		(1,842,303	)		(13,040,712	)		(17,630,659	)		(1,351,912	)		(3,802,083	)
Class C		(957,084	)		(282,970	)		(2,634,074	)		(348,842	)		(7,733,605	)		(9,103,352	)		(794,849	)		(521,603	)
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest		(11,495,184	)		(5,441,657	)		2,779,055			35,444,924			(55,680,147	)		(10,837,891	)		13,148,791			(10,203,956	)
Total Increase (Decrease) in Net Assets		(14,810,210	)		(3,537,827	)		1,621,244			36,974,565			(65,333,213	)		(19,764,989	)		5,157,431			922,528
Net Assets:
Beginning of Year/Period		41,714,477			45,252,304			82,440,027			45,465,462			259,283,227			279,048,216			54,837,760			53,915,232
End of Year/Period	$	26,904,267		$	41,714,477		$	84,061,271		$	82,440,027		$	193,950,014		$	259,283,227		$	59,995,191		$	54,837,760

See accompanying notes to financial statements.

90

FINANCIAL HIGHLIGHTS

Dunham Corporate/Government Bond Fund

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

	Class N
	Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)
Net asset value, beginning of year/period	$	14.02		$	13.06		$	13.82		$	13.92		$	13.75		$	14.14
Income (loss) from investment operations:
Net investment income*		0.16			0.36			0.34			0.31			0.36			0.42
Net realized and unrealized gain (loss)		(0.11	)		0.96			(0.74	)		(0.08	)		0.19			(0.37	)
Total income (loss) from investment operations		0.05			1.32			(0.40	)		0.23			0.55			0.05
Less distributions:
Distributions from net investment income		(0.16	)		(0.36	)		(0.36	)		(0.33	)		(0.38	)		(0.44	)
Total distributions		(0.16	)		(0.36	)		(0.36	)		(0.33	)		(0.38	)		(0.44	)
Net asset value, end of year/period	$	13.91		$	14.02		$	13.06		$	13.82		$	13.92		$	13.75
Total return + #		0.38	%		10.27	%		(2.93	)%		1.72	%		4.09	%		0.36	%
Ratios/Supplemental Data:
Net assets, end of year/period (in 000s)	$	38,028		$	42,730		$	41,151		$	62,757		$	48,025		$	41,989
Ratios of expenses to average net assets: ^		1.28	%		1.20	%		1.20	%		1.35	%		1.13	%		1.06	%
Ratios of net investment income to average net assets: ^		2.26	%		2.68	%		2.53	%		2.27	%		2.61	%		3.00	%
Portfolio turnover rate (1)		40	%		76	%		92	%		61	%		58	%		54	%
	Class A																		Class C
	Six Months Ended			Year Ended October 31,															Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015			April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)																		(Unaudited)
Net asset value, beginning of year/period	$	14.01		$	13.04		$	13.80		$	13.90		$	13.73		$	14.13		$	13.91		$	12.95		$	13.71		$	13.81		$	13.65		$	14.05
Income (loss) from investment operations:
Net investment income*		0.14			0.33			0.31			0.28			0.33			0.38			0.11			0.26			0.24			0.21			0.26			0.31
Net realized and unrealized gain (loss)		(0.12	)		0.97			(0.74	)		(0.08	)		0.19			(0.37	)		(0.12	)		0.96			(0.74	)		(0.08	)		0.18			(0.37	)
Total income (loss) from investment operations		0.02			1.30			(0.43	)		0.20			0.52			0.01			(0.01	)		1.22			(0.50	)		0.13			0.44			(0.06	)
Less distributions:
Distributions from net investment income		(0.14	)		(0.33	)		(0.33	)		(0.30	)		(0.35	)		(0.41	)		(0.11	)		(0.26	)		(0.26	)		(0.23	)		(0.28	)		(0.34	)
Total distributions		(0.14	)		(0.33	)		(0.33	)		(0.30	)		(0.35	)		(0.41	)		(0.11	)		(0.26	)		(0.26	)		(0.23	)		(0.28	)		(0.34	)
Net asset value, end of year/period	$	13.89		$	14.01		$	13.04		$	13.80		$	13.90		$	13.73		$	13.79		$	13.91		$	12.95		$	13.71		$	13.81		$	13.65
Total return + #		0.18	%		10.09	%		(3.17	)%		1.47	%		3.86	%		0.04	%		(0.04	)%		9.53	%		(3.67	)%		0.98	%		3.27	%		(0.45	)%
Ratios/Supplemental Data:
Net assets, end of year/period (in 000s)	$	6,316		$	7,510		$	5,311		$	6,260		$	4,832		$	4,788		$	5,595		$	2,672		$	2,760		$	3,199		$	3,364		$	3,698
Ratios of expenses to average net assets: ^		1.53	%		1.45	%		1.45	%		1.60	%		1.38	%		1.31	%		2.03	%		1.95	%		1.95	%		2.10	%		1.88	%		1.81	%
Ratios of net investment income to average net assets: ^		2.01	%		2.41	%		2.31	%		2.01	%		2.40	%		2.74	%		1.53	%		1.92	%		1.81	%		1.52	%		1.89	%		2.27	%
Portfolio turnover rate (1)		40	%		76	%		92	%		61	%		58	%		54	%		40	%		76	%		92	%		61	%		58	%		54	%

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

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

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

^ Annualized for periods less than one year.

(1) Not annualized for periods less than one year.

See accompanying notes to financial statements.

91

FINANCIAL HIGHLIGHTS

Dunham Floating Rate Bond Fund

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

	Class N
	Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)
Net asset value, beginning of period/year	$	9.36		$	9.62		$	9.73		$	9.70		$	9.60		$	9.87
Income from investment operations:
Net investment income*		0.18			0.44			0.40			0.35			0.33			0.32
Net realized and unrealized gain (loss)		(0.89	)		(0.26	)		(0.11	)		0.03			0.10			(0.27	)
Total income (loss) from investment operations		(0.71	)		0.18			0.29			0.38			0.43			0.05
Less distributions:
Distributions from net investment income		(0.20	)		(0.44	)		(0.40	)		(0.35	)		(0.33	)		(0.32	)
Total distributions		(0.20	)		(0.44	)		(0.40	)		(0.35	)		(0.33	)		(0.32	)
Net asset value, end of period/year	$	8.45		$	9.36		$	9.62		$	9.73		$	9.70		$	9.60
Total return + #		(7.60	)%		1.99	%		3.02	%		4.01	%		4.63	%		0.51	%
Ratios/Supplemental Data:
Net assets, end of period/year (in 000s)	$	127,996		$	157,757		$	164,936		$	157,485		$	94,219		$	73,316
Ratios of expenses to average net assets: ^		1.06	%		1.01	%		0.97	%		1.03	%		1.34	%		1.27	%
Ratios of net investment income to average net assets: ^		4.03	%		4.60	%		4.08	%		3.60	%		3.24	%		3.24	%
Portfolio turnover rate (1)		44	%		44	%		79	%		91	%		62	%		51	%
	Class A																		Class C
	Six Months Ended			Year Ended October 31,															Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015			April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period/year	$	9.35		$	9.61		$	9.72		$	9.70		$	9.59		$	9.87		$	9.35		$	9.62		$	9.73		$	9.69		$	9.59		$	9.86
Income (loss) from investment operations:
Net investment income*		0.17			0.41			0.37			0.32			0.31			0.30			0.15			0.37			0.33			0.28			0.26			0.24
Net realized and unrealized gain (loss)		(0.89	)		(0.25	)		(0.11	)		0.03			0.11			(0.28	)		(0.89	)		(0.27	)		(0.11	)		0.04			0.10			(0.26	)
Total income (loss) from investment operations		(0.72	)		0.16			0.26			0.35			0.42			0.02			(0.74	)		0.10			0.22			0.32			0.36			(0.02	)
Less distributions:
Distributions from net investment income		(0.19	)		(0.42	)		(0.37	)		(0.33	)		(0.31	)		(0.30	)		(0.17	)		(0.37	)		(0.33	)		(0.28	)		(0.26	)		(0.25	)
Total distributions		(0.19	)		(0.42	)		(0.37	)		(0.33	)		(0.31	)		(0.30	)		(0.17	)		(0.37	)		(0.33	)		(0.28	)		(0.26	)		(0.25	)
Net asset value, end of period/year	$	8.44		$	9.35		$	9.61		$	9.72		$	9.70		$	9.59		$	8.44		$	9.35		$	9.62		$	9.73		$	9.69		$	9.59
Total return + #		(7.72	)%		1.74	%		2.77	%		3.64	%		4.49	%		0.16	%		(8.05	)%		1.13	%		2.26	%		3.31	%		3.87	%		(0.23	)%
Ratios/Supplemental Data:
Net assets, end of period/year (in 000s)	$	20,459		$	21,997		$	20,205		$	16,229		$	10,923		$	8,598		$	8,545		$	8,654		$	7,236		$	6,215		$	4,545		$	3,573
Ratios of expenses to average net assets: ^		1.31	%		1.26	%		1.22	%		1.28	%		1.59	%		1.52	%		1.81	%		1.76	%		1.72	%		1.78	%		2.10	%		2.02	%
Ratios of net investment income to average net assets: ^		3.79	%		4.36	%		3.84	%		3.33	%		3.49	%		2.99	%		3.23	%		3.86	%		3.43	%		2.89	%		2.74	%		2.49	%
Portfolio turnover rate (1)		44	%		44	%		79	%		91	%		62	%		51	%		44	%		44	%		79	%		91	%		62	%		51	%

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

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

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

^ Annualized for periods less than one year.

(1) Not annualized for periods less than one year.

See accompanying notes to financial statements.

92

FINANCIAL HIGHLIGHTS

Dunham High-Yield Bond Fund

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

	Class N
	Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)
Net asset value, beginning of period/year	$	8.97		$	8.72		$	9.22		$	8.94		$	8.92		$	9.51
Income (loss) from investment operations:
Net investment income*		0.20			0.45			0.44			0.42			0.44			0.44
Net realized and unrealized gain (loss)		(0.72	)		0.26			(0.51	)		0.30			0.02			(0.59	)
Total income (loss) from investment operations		(0.52	)		0.71			(0.07	)		0.72			0.46			(0.15	)
Less distributions:
Distributions from net investment income		(0.20	)		(0.46	)		(0.43	)		(0.44	)		(0.44	)		(0.44	)
Total distributions		(0.20	)		(0.46	)		(0.43	)		(0.44	)		(0.44	)		(0.44	)
Net asset value, end of period/year	$	8.25		$	8.97		$	8.72		$	9.22		$	8.94		$	8.92
Total return + #		(5.88	)%		8.42	%		(0.80	)%		8.19	%		5.39	%		(1.63	)%
Ratios/Supplemental Data:
Net assets, end of period/year (in 000s)	$	70,904		$	90,262		$	94,596		$	103,567		$	78,194		$	78,654
Ratios of expenses to average net assets: ^		1.15	%		1.12	%		1.12	%		1.19	%		1.08	%		1.02	%
Ratios of net investment income to average net assets: ^		4.53	%		5.12	%		4.84	%		4.62	%		5.09	%		4.77	%
Portfolio turnover rate (1)		35	%		70	%		101	%		142	%		62	%		51	%
	Class A																		Class C
	Six Months Ended			Year Ended October 31,															Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015			April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period/year	$	9.06		$	8.81		$	9.29		$	9.02		$	8.99		$	9.58		$	8.92		$	8.68		$	9.17		$	8.88		$	8.86		$	9.46
Income (loss) from investment operations:
Net investment income*		0.19			0.44			0.42			0.40			0.42			0.41			0.16			0.39			0.37			0.35			0.37			0.37
Net realized and unrealized gain (loss)		(0.72	)		0.25			(0.49	)		0.28			0.03			(0.59	)		(0.70	)		0.25			(0.50	)		0.30			0.02			(0.60	)
Total income (loss) from investment operations		(0.53	)		0.69			(0.07	)		0.68			0.45			(0.18	)		(0.54	)		0.64			(0.13	)		0.65			0.39			(0.23	)
Less distributions:
Distributions from net investment income		(0.19	)		(0.44	)		(0.41	)		(0.41	)		(0.42	)		(0.41	)		(0.17	)		(0.40	)		(0.36	)		(0.36	)		(0.37	)		(0.37	)
Total distributions		(0.19	)		(0.44	)		(0.41	)		(0.41	)		(0.42	)		(0.41	)		(0.17	)		(0.40	)		(0.36	)		(0.36	)		(0.37	)		(0.37	)
Net asset value, end of period/year	$	8.34		$	9.06		$	8.81		$	9.29		$	9.02		$	8.99		$	8.21		$	8.92		$	8.68		$	9.17		$	8.88		$	8.86
Total return + #		(5.94	)%		8.07	%		(0.82	)%		7.70	%		5.21	%		(1.88	)%		(6.18	)%		7.55	%		(1.43	)%		7.45	%		4.65	%		(2.47	)%
Ratios/Supplemental Data:
Net assets, end of period/year (in 000s)	$	11,559		$	12,336		$	12,393		$	12,085		$	10,478		$	10,224		$	5,382		$	7,497		$	7,392		$	7,785		$	7,687		$	9,231
Ratios of expenses to average net assets: ^		1.40	%		1.37	%		1.37	%		1.44	%		1.33	%		1.27	%		1.90	%		1.87	%		1.87	%		1.94	%		1.83	%		1.77	%
Ratios of net investment income to average net assets: ^		4.29	%		4.87	%		4.60	%		4.38	%		4.84	%		4.52	%		3.78	%		4.37	%		4.09	%		3.88	%		4.34	%		4.02	%
Portfolio turnover rate (1)		35	%		70	%		101	%		142	%		62	%		51	%		35	%		70	%		101	%		142	%		62	%		51	%

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

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

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

^ Annualized for periods less than one year.

(1) Not annualized for periods less than one year.

See accompanying notes to financial statements.

93

FINANCIAL HIGHLIGHTS

Dunham International Opportunity Bond Fund

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

	Class N
	Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)
Net asset value, beginning of year/period	$	9.43		$	8.93		$	9.32		$	9.37		$	8.92		$	9.64
Income (loss) from investment operations:
Net investment income (loss)*		0.06			(0.03	)		(0.03	)		(0.03	)		0.04			0.05
Net realized and unrealized gain (loss)		(1.20	)		0.58			(0.35	)		0.07			0.42			(0.77	)
Total income (loss) from investment operations		(1.14	)		0.55			(0.38	)		0.04			0.46			(0.72	)
Less distributions:
Distributions from net investment income		(0.06	)		(0.04	)		—			—			(0.01	)		—
Distributions from net realized gains		(0.02	)		(0.01	)		(0.01	)		(0.09	)		—			—
Total distributions		(0.08	)		(0.05	)		(0.01	)		(0.09	)		(0.01	)		—
Net asset value, end of year/period	$	8.21		$	9.43		$	8.93		$	9.32		$	9.37		$	8.92
Total return + #		(12.11	)%		6.29	%		(4.08	)%		0.57	%		5.14	%		(7.42	)%
Ratios/Supplemental Data:
Net assets, end of year/period (in 000s)	$	27,579		$	32,927		$	31,838		$	32,441		$	24,728		$	31,935
Ratios of expenses to average net assets: ^		1.42	%		1.36	%		1.35	%		1.54	%		1.28	%		1.38	%
Ratios of net investment income (loss) to average net assets:^		1.33	%		(0.30	)%		(0.35	)%		(0.37	)%		0.41	%		0.52	%
Portfolio turnover rate (1)		112	%		109	%		45	%		56	%		64	%		52	%
	Class A																		Class C
	Six Months Ended			Year Ended October 31,															Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015			April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)																		(Unaudited)
Net asset value, beginning of year/period	$	9.34		$	8.85		$	9.26		$	9.32		$	8.90		$	9.64		$	9.11		$	8.66		$	9.10		$	9.22		$	8.84		$	9.62
Income (loss) from investment operations:
Net investment income (loss)*		0.05			(0.05	)		(0.06	)		(0.06	)		0.01			0.02			0.02			(0.09	)		(0.10	)		(0.10	)		(0.03	)		(0.02	)
Net realized and unrealized gain (loss)		(1.19	)		0.57			(0.34	)		0.09			0.41			(0.76	)		(1.15	)		0.55			(0.33	)		0.07			0.41			(0.76	)
Total income (loss) from investment operations		(1.14	)		0.52			(0.40	)		0.03			0.42			(0.74	)		(1.13	)		0.46			(0.43	)		(0.03	)		0.38			(0.78	)
Less distributions:
Distributions from net investment income		(0.05	)		(0.02	)		—			—			(0.00	) (a)		—			(0.04	)		—			—			—			(0.00	) (a)		—
Distributions from net realized gains		(0.02	)		(0.01	)		(0.01	)		(0.09	)		—			—			(0.02	)		(0.01	)		(0.01	)		(0.09	)		—			—
Total distributions		(0.07	)		(0.03	)		(0.01	)		(0.09	)		(0.00	) (a)		—			(0.06	)		(0.01	)		(0.01	)		(0.09	)		(0.00	) (a)		—
Net asset value, end of year/period	$	8.13		$	9.34		$	8.85		$	9.26		$	9.32		$	8.90		$	7.92		$	9.11		$	8.66		$	9.10		$	9.22		$	8.84
Total return + #		(12.22	)%		5.98	%		(4.32	)%		0.46	%		4.77	%		(7.65	)%		(12.44	)%		5.36	%		(4.72	)%		(0.19	)%		4.31	%		(8.11	)%
Ratios/Supplemental Data:
Net assets, end of year/period (in 000s)	$	4,679		$	4,357		$	3,802		$	2,968		$	2,118		$	3,208		$	1,039		$	1,442		$	1,366		$	1,330		$	1,204		$	1,638
Ratios of expenses to average net assets: ^		1.67	%		1.61	%		1.60	%		1.79	%		1.53	%		1.63	%		2.17	%		2.11	%		2.10	%		2.29	%		2.03	%		2.13	%
Ratios of net investment income (loss) to average net assets: ^		1.18	%		(0.55	)%		(0.59	)%		(0.63	)%		0.10	%		0.29	%		0.43	%		(1.05	)%		(1.10	)%		(1.11	)%		(0.33	)%		(0.24	)%
Portfolio turnover rate (1)		112	%		109	%		45	%		56	%		64	%		52	%		112	%		109	%		45	%		56	%		64	%		52	%

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

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

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. (a) Represents less than $0.01 per share.

^ Annualized for periods less than one year.

(1) Not annualized for periods less than one year.

See accompanying notes to financial statements.

94

FINANCIAL HIGHLIGHTS

Dunham Large Cap Value Fund

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

	Class N
	Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)
Net asset value, beginning of year/period	$	14.96		$	14.18		$	14.16		$	12.22		$	16.32		$	16.21
Income from investment operations:
Net investment income *		0.09			0.18			0.14			0.15			0.22			0.17
Net realized and unrealized gain (loss)		(1.87	)		1.29			0.15			2.01			(0.04	)		0.06
Total income from investment operations		(1.78	)		1.47			0.29			2.16			0.18			0.23
Less distributions:
Distributions from net investment income		(0.18	)		(0.15	)		(0.13	)		(0.22	)		(0.18	)		(0.12	)
Distributions from net realized gains		(0.34	)		(0.54	)		(0.14	)		—			(4.10	)		—
Total distributions		(0.52	)		(0.69	)		(0.27	)		(0.22	)		(4.28	)		(0.12	)
Net asset value, end of year/period	$	12.66		$	14.96		$	14.18		$	14.16		$	12.22		$	16.32
Total return + #		(12.51	)%		11.37	%		1.98	%		17.84	%		1.73	%		1.41	%
Ratios/Supplemental Data:
Net assets, end of year/period (in 000s)	$	74,418		$	61,791		$	55,428		$	55,155		$	45,026		$	44,620
Ratios of expenses to average net assets:
Before fees paid indirectly ^		1.21	%		1.14	%		1.30	%		1.13	%		0.93	%		1.12	%
After fees paid indirectly ^		1.20	%		1.14	%		1.30	%		1.12	%		0.93	%		1.12	%
Ratios of net investment income to average net assets:
Before fees paid indirectly ^		1.29	%		1.30	%		0.94	%		1.12	%		1.81	%		1.03	%
After fees paid indirectly ^		1.29	%		1.30	%		0.94	%		1.13	%		1.81	%		1.03	%
Portfolio turnover rate (1)		15	%		44	%		45	%		61	%		59	%		101	%
	Class A																		Class C
	Six Months Ended			Year Ended October 31,															Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015			April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)																		(Unaudited)
Net asset value, beginning of year/period	$	14.87		$	14.11		$	14.10		$	12.16		$	16.26		$	16.16		$	14.17		$	13.45		$	13.47		$	11.65		$	15.74		$	15.68
Income from investment operations:
Net investment income (loss)*		0.07			0.15			0.10			0.11			0.19			0.13			0.01			0.04			(0.01	)		0.02			0.10			0.00	(a)
Net realized and unrealized gain (loss)		(1.86	)		1.27			0.15			2.02			(0.05	)		0.06			(1.77	)		1.23			0.15			1.92			(0.06	)		0.06
Total income from investment operations		(1.79	)		1.42			0.25			2.13			0.14			0.19			(1.76	)		1.27			0.14			1.94			0.04			0.06
Less distributions:
Distributions from net investment income		(0.14	)		(0.12	)		(0.10	)		(0.19	)		(0.14	)		(0.09	)		(0.08	)		(0.01	)		(0.02	)		(0.12	)		(0.03	)		—
Distributions from net realized gains		(0.34	)		(0.54	)		(0.14	)		0.00			(4.10	)		—			(0.34	)		(0.54	)		(0.14	)		—			(4.10	)		—
Total distributions		(0.48	)		(0.66	)		(0.24	)		(0.19	)		(4.24	)		(0.09	)		(0.42	)		(0.55	)		(0.16	)		(0.12	)		(4.13	)		—
Net asset value, end of year/period	$	12.60		$	14.87		$	14.11		$	14.10		$	12.16		$	16.26		$	11.99		$	14.17		$	13.45		$	13.47		$	11.65		$	15.74
Total return + #		(12.59	)%		11.00	%		1.71	%		17.66	%		1.43	%		1.15	%		(12.93	)%		10.24	%		1.00	%		16.72	%		0.66	%		0.38	%
Ratios/Supplemental Data:
Net assets, end of year/period (in 000s)	$	16,904		$	16,363		$	12,525		$	10,174		$	6,544		$	6,577		$	3,643		$	5,319		$	4,167		$	4,640		$	4,850		$	5,805
Ratios of expenses to average net assets:
Before fees paid indirectly ^		1.46	%		1.39	%		1.55	%		1.38	%		1.18	%		1.37	%		2.21	%		2.14	%		2.30	%		2.13	%		1.93	%		2.12	%
After fees paid indirectly ^		1.45	%		1.39	%		1.55	%		1.37	%		1.18	%		1.37	%		2.20	%		2.14	%		2.30	%		2.12	%		1.93	%		2.12	%
Ratios of net investment income (loss) to average net assets:
Before fees paid indirectly ^		1.03	%		1.05	%		0.70	%		0.84	%		1.57	%		0.78	%		0.26	%		0.30	%		(0.07	)%		0.14	%		0.83	%		0.03	%
After fees paid indirectly ^		1.03	%		1.05	%		0.70	%		0.85	%		1.57	%		0.78	%		0.26	%		0.30	%		(0.07	)%		0.15	%		0.83	%		0.03	%
Portfolio turnover rate (1)		15	%		44	%		45	%		61	%		59	%		101	%		15	%		44	%		45	%		61	%		59	%		101	%

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

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

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

(a) Represents less than $0.01 per share.

^ Annualized for periods less than one year.

(1) Not annualized for periods less than one year.

See accompanying notes to financial statements.

95

FINANCIAL HIGHLIGHTS

Dunham Small Cap Value Fund

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

	Class N
	Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)
Net asset value, beginning of year/period	$	14.67		$	15.72		$	17.47		$	14.41		$	14.27		$	15.45
Income (loss) from investment operations:
Net investment income (loss) *		0.07			(0.00	) (a)		0.00	(a)		0.07			0.09			(0.01	)
Net realized and unrealized gain (loss)		(3.62	)		0.65			0.10	(b)		3.57			0.54			(0.18	)
Total income (loss) from investment operations		(3.55	)		0.65			0.10			3.64			0.63			(0.19	)
Less distributions:
Distributions from net investment income		—			—			(0.04	)		(0.10	)		(0.01	)		(0.04	)
Distributions from net realized gains		—			(1.70	)		(1.81	)		(0.48	)		(0.48	)		(0.95	)
Total distributions		—			(1.70	)		(1.85	)		(0.58	)		(0.49	)		(0.99	)
Net asset value, end of year/period	$	11.12		$	14.67		$	15.72		$	17.47		$	14.41		$	14.27
Total return + #		(24.20	)%		6.15	%		0.37	%		25.55	%		4.58	%		(1.59	)%
Ratios/Supplemental Data:
Net assets, end of year/period (in 000s)	$	48,889		$	43,564		$	37,248		$	22,710		$	22,254		$	22,068
Ratios of expenses to average net assets: ^		1.35	%		1.72	%		1.54	%		1.32	%		1.48	%		1.79	%
Ratios of net investment income (loss) to average net assets: (c) ! ^		1.08	%		(0.01	)%		0.01	%		0.45	%		0.64	%		(0.10	)%
Portfolio turnover rate (1)		49	%		85	%		101	%		100	%		129	%		122	%
	Class A																		Class C
	Six Months Ended			Year Ended October 31,															Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015			April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)																		(Unaudited)
Net asset value, beginning of year/period	$	14.45		$	15.55		$	17.31		$	14.29		$	14.18		$	15.36		$	12.51		$	13.81		$	15.67		$	13.02		$	13.06		$	14.32
Income (loss) from investment operations:
Net investment income (loss)*		0.05			(0.04	)		(0.04	)		0.03			0.05			(0.05	)		0.00	(a)		(0.12	)		(0.15	)		(0.08	)		(0.05	)		(0.15	)
Net realized and unrealized gain (loss)		(3.56	)		0.64			0.09	(b)		3.54			0.54			(0.18	)		(3.08	)		0.52			0.10	(b)		3.21			0.49			(0.16	)
Total income (loss) from investment operations		(3.51	)		0.60			0.05			3.57			0.59			(0.23	)		(3.08	)		0.40			(0.05	)		3.13			0.44			(0.31	)
Less distributions:
Distributions from net investment income		—			—			(0.00	) (a)		(0.07	)		—			—			—			—			—			—			—			—
Distributions from net realized gains		—			(1.70	)		(1.81	)		(0.48	)		(0.48	)		(0.95	)		—			(1.70	)		(1.81	)		(0.48	)		(0.48	)		(0.95	)
Total distributions		—			(1.70	)		(1.81	)		(0.55	)		(0.48	)		(0.95	)		—			(1.70	)		(1.81	)		(0.48	)		(0.48	)		(0.95	)
Net asset value, end of year/period	$	10.94		$	14.45		$	15.55		$	17.31		$	14.29		$	14.18		$	9.43		$	12.51		$	13.81		$	15.67		$	13.02		$	13.06
Total return + #		(24.29	)%		5.85	%		0.08	%		25.26	%		4.33	%		(1.83	)%		(24.62	)%		5.06	%		(0.63	)%		24.29	%		3.52	%		(2.56	)%
Ratios/Supplemental Data:
Net assets, end of year/period (in 000s)	$	9,696		$	9,848		$	7,869		$	4,569		$	3,802		$	3,801		$	1,899		$	2,835		$	2,139		$	2,611		$	2,241		$	2,383
Ratios of expenses to average net assets: ^		1.60	%		1.97	%		1.79	%		1.57	%		1.73	%		2.04	%		2.35	%		2.72	%		2.54	%		2.32	%		2.48	%		2.79	%
Ratios of net investment income (loss) to average net assets: (c) ! ^		0.82	%		(0.26	)%		(0.26	)%		0.19	%		0.40	%		(0.36	)%		0.04	%		(1.01	)%		(1.04	)%		(0.57	)%		(0.36	)%		(1.11	)%
Portfolio turnover rate (1)		49	%		85	%		101	%		100	%		129	%		122	%		49	%		85	%		101	%		100	%		129	%		122	%

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

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

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

! Recognition of net investment income (loss) is affected by the timing and declaration of dividends by underlying funds in which the Fund invests.

(a) Represents less than $0.01 per share.

(b) The amount of net realized and unrealized gain (loss) on investment per share for the year ended October 31, 2018 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values.

(c) Does not Include the expenses of other investment companies in which the Fund invests.

^ Annualized for periods less than one year.

(1) Not annualized for periods less than one year.

See accompanying notes to financial statements.

96

FINANCIAL HIGHLIGHTS

Dunham Focused Large Cap Growth Fund

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

	Class N
	Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)
Net asset value, beginning of period/year	$	24.24		$	22.50		$	19.37		$	15.92		$	16.97		$	15.01
Income (loss) from investment operations:
Net investment loss*		(0.13	)		(0.25	)		(0.22	)		(0.14	)		(0.10	)		(0.16	)
Net realized and unrealized gain (loss)		3.33			3.69			3.53			3.59			(0.86	)		2.12
Total income (loss) from investment operations		3.20			3.44			3.31			3.45			(0.96	)		1.96
Less distributions:
Distributions from net realized gains		(0.83	)		(1.70	)		(0.18	)		—			(0.09	)		—
Total distributions		(0.83	)		(1.70	)		(0.18	)		—			(0.09	)		—
Net asset value, end of period/year	$	26.61		$	24.24		$	22.50		$	19.37		$	15.92		$	16.97
Total return + #		13.32	%		17.19	%		17.24	%		21.67	%		(5.66	)%		13.06	%
Ratios/Supplemental Data:
Net assets, end of period/year (in 000s)	$	86,350		$	74,714		$	59,424		$	56,472		$	51,242		$	51,312
Ratios of expenses to average net assets:
Before fee waivers and fees paid indirectly ^		1.27	%		1.33	%		1.30	%		1.16	%		1.20	%		1.34	%
After fee waivers and fees paid indirectly ^		1.26	%		1.33	%		1.29	%		1.14	%		1.20	%		1.34	%
Ratios of net investment loss to average net assets:
Before fee waivers and fees paid indirectly ^		(1.03	)%		(1.06	)%		(1.01	)%		(0.79	)%		(0.64	)%		(1.00	)%
After fee waivers and fees paid indirectly ^		(1.03	)%		(1.06	)%		(1.01	)%		(0.77	)%		(0.64	)%		(1.00	)%
Portfolio turnover rate (1)		7	%		28	%		25	%		38	%		29	%		45	%
	Class A																		Class C
	Six Months Ended			Year Ended October 31,															Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015			April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period/year	$	23.71		$	22.11		$	19.08		$	15.73		$	16.80		$	14.91		$	22.25		$	21.00		$	18.27		$	15.17		$	16.33		$	14.59
Income (loss) from investment operations:
Net investment loss*		(0.16	)		(0.30	)		(0.28	)		(0.18	)		(0.14	)		(0.19	)		(0.24	)		(0.44	)		(0.42	)		(0.30	)		(0.25	)		(0.31	)
Net realized and unrealized gain (loss)		3.27			3.60			3.49			3.53			(0.84	)		2.08			3.06			3.39			3.33			3.40			(0.82	)		2.05
Total income (loss) from investment operations		3.11			3.30			3.21			3.35			(0.98	)		1.89			2.82			2.95			2.91			3.10			(1.07	)		1.74
Less distributions:
Distributions from net realized gains		(0.83	)		(1.70	)		(0.18	)		—			(0.09	)		—			(0.83	)		(1.70	)		(0.18	)		—			(0.09	)		—
Total distributions		(0.83	)		(1.70	)		(0.18	)		—			(0.09	)		—			(0.83	)		(1.70	)		(0.18	)		—			(0.09	)		—
Net asset value, end of period/year	$	25.99		$	23.71		$	22.11		$	19.08		$	15.73		$	16.80		$	24.24		$	22.25		$	21.00		$	18.27		$	15.17		$	16.33
Total return + #		13.24	%		16.84	%		16.98	%		21.30	%		(5.84	)%		12.68	%		12.80	%		16.00	%		16.08	%		20.44	%		(6.56	)%		11.93	%
Ratios/Supplemental Data:
Net assets, end of period/year (in 000s)	$	22,431		$	24,131		$	15,031		$	12,944		$	9,620		$	8,762		$	7,892		$	8,314		$	6,844		$	6,758		$	4,988		$	5,222
Ratios of expenses to average net assets:
Before fee waivers and fees paid indirectly ^		1.52	%		1.58	%		1.55	%		1.41	%		1.45	%		1.59	%		2.26	%		2.33	%		2.30	%		2.16	%		2.20	%		2.34	%
After fee waivers and fees paid indirectly ^		1.51	%		1.58	%		1.54	%		1.39	%		1.45	%		1.59	%		2.26	%		2.33	%		2.29	%		2.14	%		2.20	%		2.34	%
Ratios of net investment loss to average net assets:
Before fee waivers and fees paid indirectly ^		(1.27	)%		(1.32	)%		(1.26	)%		(1.05	)%		(0.91	)%		(1.20	)%		(2.02	)%		(2.06	)%		(2.01	)%		(1.80	)%		(1.67	)%		(2.00	)%
After fee waivers and fees paid indirectly ^		(1.27	)%		(1.32	)%		(1.26	)%		(1.03	)%		(0.91	)%		(1.20	)%		(2.02	)%		(2.06	)%		(2.01	)%		(1.78	)%		(1.67	)%		(2.00	)%
Portfolio turnover rate (1)		7	%		28	%		25	%		38	%		29	%		45	%		7	%		28	%		25	%		38	%		29	%		45	%

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

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

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

^ Annualized for periods less than one year.

(1) Not annualized for periods less than one year.

See accompanying notes to financial statements.

97

FINANCIAL HIGHLIGHTS

Dunham Small Cap Growth Fund

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

	Class N
	Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)
Net asset value, beginning of period/year	$	16.00		$	20.28		$	20.31		$	15.34		$	17.08		$	17.71
Income (loss) from investment operations:
Net investment loss*		(0.08	)		(0.23	)		(0.27	)		(0.15	)		(0.06	)		(0.24	)
Net realized and unrealized gain (loss) (a)		0.22			(0.25	)		3.20			5.12			(0.24	)		1.19
Total income (loss) from investment operations		0.14			(0.48	)		2.93			4.97			(0.30	)		0.95
Less distributions:
Distributions from net investment income		(0.05	)		—			—			—			—			—
Distributions from net realized gains		(0.25	)		(3.80	)		(2.96	)		—			(1.40	)		(1.58	)
Tax return of capital		—			—			—			—			(0.04	)		—
Total distributions		(0.30	)		(3.80	)		(2.96	)		—			(1.44	)		(1.58	)
Net asset value, end of period/year	$	15.84		$	16.00		$	20.28		$	20.31		$	15.34		$	17.08
Total return + #		0.65	%		1.36	%		16.02	%		32.40	%		(1.88	)%		5.36	%
Ratios/Supplemental Data:
Net assets, end of period/year (in 000s)	$	41,202		$	37,340		$	33,882		$	24,641		$	26,010		$	23,152
Ratios of expenses to average net assets:
Before fees paid indirectly ^		1.54	%		1.90	%		1.94	%		1.36	%		1.23	%		1.58	%
After fees paid indirectly ^		1.50	%		1.88	%		1.93	%		1.35	%		1.23	%		1.58	%			��
Ratios of net investment loss to average net assets:
Before fees paid indirectly ^		(1.03	)%		(1.36	)%		(1.31	)%		(0.86	)%		(0.38	)%		(1.30	)%
After fees paid indirectly ^		(0.99	)%		(1.34	)%		(1.29	)%		(0.85	)%		(0.38	)%		(1.30	)%
Portfolio turnover rate (1)		102	%		169	%		190	%		174	%		181	%		138	%
	Class A																		Class C
	Six Months Ended			Year Ended October 31,															Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015			April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period/year	$	15.09		$	19.42		$	19.62		$	14.85		$	16.62		$	17.31		$	11.54		$	16.00		$	16.77		$	12.79		$	14.61		$	15.51
Income (loss) from investment operations:
Net investment loss*		(0.09	)		(0.25	)		(0.31	)		(0.19	)		(0.10	)		(0.27	)		(0.11	)		(0.29	)		(0.37	)		(0.28	)		(0.18	)		(0.36	)
Net realized and unrealized gain (loss) (a)		0.20			(0.28	)		3.07			4.96			(0.23	)		1.16			0.16			(0.37	)		2.56			4.26			(0.20	)		1.04
Total income (loss) from investment operations		0.11			(0.53	)		2.76			4.77			(0.33	)		0.89			0.05			(0.66	)		2.19			3.98			(0.38	)		0.68
Less distributions:
Distributions from net investment income		(0.01	)		—			—			—			—			—			—			—			—			—			—			—
Distributions from net realized gains		(0.25	)		(3.80	)		(2.96	)		—			(1.40	)		(1.58	)		(0.25	)		(3.80	)		(2.96	)		—			(1.40	)		(1.58	)
Tax return of capital		—			—			—			—			(0.04	)		—			—			—			—			—			(0.04	)		—
Total distributions		(0.26	)		(3.80	)		(2.96	)		—			(1.44	)		(1.58	)		(0.25	)		(3.80	)		(2.96	)		—			(1.44	)		(1.58	)
Net asset value, end of period/year	$	14.94		$	15.09		$	19.42		$	19.62		$	14.85		$	16.62		$	11.34		$	11.54		$	16.00		$	16.77		$	12.79		$	14.61
Total return + #		0.53	%		1.11	%		15.69	%		32.12	%		(2.12	)%		5.12	%		0.20	%		0.36	%		14.84	%		31.12	%		(2.82	)%		4.29	%
Ratios/Supplemental Data:
Net assets, end of period/year (in 000s)	$	8,097		$	10,797		$	10,799		$	6,925		$	5,540		$	6,326		$	1,929		$	2,440		$	2,720		$	2,644		$	2,155		$	3,163
Ratios of expenses to average net assets:
Before fees paid indirectly ^		1.77	%		2.15	%		2.19	%		1.61	%		1.48	%		1.83	%		2.49	%		2.90	%		2.94	%		2.36	%		2.23	%		2.58	%
After fees paid indirectly ^		1.72	%		2.13	%		2.18	%		1.60	%		1.48	%		1.83	%		2.44	%		2.88	%		2.93	%		2.35	%		2.23	%		2.58	%
Ratios of net investment loss to average net assets:
Before fees paid indirectly ^		(1.25	)%		(1.61	)%		(1.56	)%		(1.13	)%		(0.69	)%		(1.53	)%		(1.97	)%		(2.37	)%		(2.30	)%		(1.89	)%		(1.45	)%		(2.29	)%
After fees paid indirectly ^		(1.21	)%		(1.59	)%		(1.55	)%		(1.12	)%		(0.69	)%		(1.53	)%		(1.93	)%		(2.35	)%		(2.29	)%		(1.88	)%		(1.45	)%		(2.29	)%
Portfolio turnover rate (1)		102	%		169	%		190	%		174	%		181	%		138	%		102	%		169	%		190	%		174	%		181	%		138	%

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

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

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

(a) The amount of net realized and unrealized gain (loss) on investment per share for the years ended October 31, 2019 and October 31, 2016 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values.

^ Annualized for periods less than one year.

(1) Not annualized for periods less than one year.

See accompanying notes to financial statements.

98

FINANCIAL HIGHLIGHTS

Dunham Emerging Markets Stock Fund

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

	Class N
	Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)
Net asset value, beginning of year/period	$	14.27		$	12.85		$	15.94		$	12.73		$	11.97		$	14.75
Income (loss) from investment operations:
Net investment income *		(0.03	)		0.19			0.27			0.17			0.20			0.08
Net realized and unrealized gain (loss)		(1.28	)		1.48			(3.20	)		3.28			0.64			(2.67	)
Total income (loss) from investment operations		(1.31	)		1.67			(2.93	)		3.45			0.84			(2.59	)
Less distributions:
Distributions from net investment income		(0.13	)		(0.25	)		(0.16	)		(0.24	)		(0.08	)		(0.19	)
Total distributions		(0.13	)		(0.25	)		(0.16	)		(0.24	)		(0.08	)		(0.19	)
Net asset value, end of year/period	$	12.83		$	14.27		$	12.85		$	15.94		$	12.73		$	11.97
Total return + #		(9.37	)%		13.29	%		(18.57	)%		27.69	%		7.13	%		(17.73	)%
Ratios/Supplemental Data:
Net assets, end of year/period (in 000s)	$	61,516		$	59,931		$	53,261		$	51,365		$	46,481		$	42,831
Ratios of expenses to average net assets: ^		1.83	%		1.61	%		1.19	%		1.75	%		1.27	%		1.76	%
Ratios of net investment income to average net assets: ^		(0.45	)%		1.42	%		1.79	%		1.18	%		1.73	%		0.59	%
Portfolio turnover rate (1)		49	%		129	%		66	%		74	%		97	%		137	%
	Class A																		Class C
	Six Months Ended			Year Ended October 31,															Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015			April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)																		(Unaudited)
Net asset value, beginning of year/period	$	13.94		$	12.56		$	15.58		$	12.45		$	11.71		$	14.44		$	13.16		$	11.85		$	14.74		$	11.82		$	11.14		$	13.76
Income (loss) from investment operations:
Net investment income (loss)*		(0.05	)		0.16			0.23			0.14			0.17			0.05			(0.10	)		0.05			0.11			0.02			0.08			(0.06	)
Net realized and unrealized gain (loss)		(1.25	)		1.44			(3.13	)		3.20			0.62			(2.62	)		(1.18	)		1.38			(2.94	)		3.04			0.60			(2.49	)
Total income (loss) from investment operations		(1.30	)		1.60			(2.90	)		3.34			0.79			(2.57	)		(1.28	)		1.43			(2.83	)		3.06			0.68			(2.55	)
Less distributions:
Distributions from net investment income		(0.10	)		(0.22	)		(0.12	)		(0.21	)		(0.05	)		(0.16	)		(0.04	)		(0.12	)		(0.06	)		(0.14	)		—			(0.07	)
Total distributions		(0.10	)		(0.22	)		(0.12	)		(0.21	)		(0.05	)		(0.16	)		(0.04	)		(0.12	)		(0.06	)		(0.14	)		—			(0.07	)
Net asset value, end of year/period	$	12.54		$	13.94		$	12.56		$	15.58		$	12.45		$	11.71		$	11.84		$	13.16		$	11.85		$	14.74		$	11.82		$	11.14
Total return + #		(9.49	)%		12.98	%		(18.73	)%		27.36	%		6.84	%		(17.94	)%		(9.78	)%		12.18	%		(19.30	)%		26.31	%		6.10	%		(18.60	)%
Ratios/Supplemental Data:
Net assets, end of year/period (in 000s)	$	12,039		$	12,106		$	9,662		$	8,242		$	6,348		$	4,594		$	2,375		$	3,463		$	3,163		$	3,467		$	3,380		$	3,216
Ratios of expenses to average net assets: ^		2.08	%		1.86	%		1.44	%		2.00	%		1.52	%		2.01	%		2.83	%		2.61	%		2.19	%		2.75	%		2.27	%		2.76	%
Ratios of net investment income (loss) to average net assets: ^		(0.69	)%		1.17	%		1.54	%		0.98	%		1.46	%		0.40	%		(1.49	)%		0.41	%		0.77	%		0.10	%		0.77	%		(0.48	)%
Portfolio turnover rate (1)		49	%		129	%		66	%		74	%		97	%		137	%		49	%		129	%		66	%		74	%		97	%		137	%

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

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

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

^ Annualized for periods less than one year.

(1) Not annualized for periods less than one year.

See accompanying notes to financial statements.

99

FINANCIAL HIGHLIGHTS

Dunham International Stock Fund

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

	Class N
	Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)
Net asset value, beginning of year/period	$	15.51		$	15.61		$	17.54		$	14.24		$	14.24		$	15.21
Income (loss) from investment operations:
Net investment income *		0.07			0.34			0.21			0.21			0.16			0.00	(a)
Net realized and unrealized gain (loss)		(1.86	)		0.62			(1.39	)		3.09			(0.15	)		(0.61	)
Total income (loss) from investment operations		(1.79	)		0.96			(1.18	)		3.30			0.01			(0.61	)
Less distributions:
Distributions from net investment income		(0.34	)		(0.18	)		(0.26	)		—			(0.01	)		(0.30	)
Distributions from net realized gains		—			(0.88	)		(0.49	)		—			—			(0.06	)
Total distributions		(0.34	)		(1.06	)		(0.75	)		—			(0.01	)		(0.36	)
Net asset value, end of year/period	$	13.38		$	15.51		$	15.61		$	17.54		$	14.24		$	14.24
Total return + #		(12.49	)%		7.08	%		(7.08	)%		23.17	%		0.06	%		(4.10	)%
Ratios/Supplemental Data:
Net assets, end of year/period (in 000s)	$	102,174		$	101,505		$	89,401		$	90,257		$	78,640		$	76,992
Ratios of expenses to average net assets:
Before fees paid indirectly ^		1.44	%		1.43	%		1.67	%		1.56	%		1.63	%		2.04	%
After fees paid indirectly ^		1.44	%		1.43	%		1.67	%		1.55	%		1.63	%		2.04	%
Ratios of net investment income to average net assets:
Before fees paid indirectly ^		0.97	%		2.28	%		1.24	%		1.34	%		1.17	%		0.03	%
After fees paid indirectly ^		0.97	%		2.28	%		1.24	%		1.35	%		1.17	%		0.03	%
Portfolio turnover rate (1)		72	%		100	%		113	%		119	%		143	%		125	%
	Class A																		Class C
	Six Months Ended			Year Ended October 31,															Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015			April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)																		(Unaudited)
Net asset value, beginning of year/period	$	15.38		$	15.49		$	17.42		$	14.17		$	14.21		$	15.16		$	14.55		$	14.68		$	16.59		$	13.60		$	13.73		$	14.68
Income (loss) from investment operations:
Net investment income (loss)*		0.05			0.30			0.17			0.17			0.13			(0.03	)		(0.02	)		0.18			0.04			0.04			0.03			(0.14	)
Net realized and unrealized gain (loss)		(1.85	)		0.61			(1.38	)		3.08			(0.17	)		(0.60	)		(1.74	)		0.59			(1.31	)		2.95			(0.16	)		(0.59	)
Total income (loss) from investment operations		(1.80	)		0.91			(1.21	)		3.25			(0.04	)		(0.63	)		(1.76	)		0.77			(1.27	)		2.99			(0.13	)		(0.73	)
Less distributions:
Distributions from net investment income		(0.30	)		(0.14	)		(0.23	)		—			—			(0.26	)		(0.23	)		(0.02	)		(0.15	)		—			—			(0.16	)
Distributions from net realized gains		—			(0.88	)		(0.49	)		—			—			(0.06	)		—			(0.88	)		(0.49	)		—			—			(0.06	)
Total distributions		(0.30	)		(1.02	)		(0.72	)		—			—			(0.32	)		(0.23	)		(0.90	)		(0.64	)		—			—			(0.22	)
Net asset value, end of year/period	$	13.28		$	15.38		$	15.49		$	17.42		$	14.17		$	14.21		$	12.56		$	14.55		$	14.68		$	16.59		$	13.60		$	13.73
Total return + #		(12.65	)%		6.78	%		(7.30	)%		22.94	%		(0.28	)%		(4.26	)%		(13.12	)%		6.03	%		(8.03	)%		21.99	%		(0.95	)%		(5.06	)%
Ratios/Supplemental Data:
Net assets, end of year/period (in 000s)	$	20,864		$	22,499		$	18,250		$	15,524		$	10,305		$	9,032		$	4,221		$	6,409		$	5,764		$	6,570		$	6,483		$	7,268
Ratios of expenses to average net assets:
Before fees paid indirectly ^		1.69	%		1.68	%		1.92	%		1.81	%		1.88	%		2.29	%		2.44	%		2.43	%		2.67	%		2.56	%		2.63	%		3.04	%
After fees paid indirectly ^		1.69	%		1.68	%		1.92	%		1.80	%		1.88	%		2.29	%		2.44	%		2.43	%		2.67	%		2.55	%		2.63	%		3.04	%
Ratios of net investment income (loss) to average net assets:
Before fees paid indirectly ^		0.68	%		2.04	%		1.01	%		1.07	%		0.93	%		(0.19	)%		(0.22	)%		1.26	%		0.22	%		0.30	%		0.20	%		(0.94	)%
After fees paid indirectly ^		0.68	%		2.04	%		1.01	%		1.08	%		0.93	%		(0.19	)%		(0.22	)%		1.26	%		0.22	%		0.31	%		0.20	%		(0.94	)%
Portfolio turnover rate (1)		72	%		100	%		113	%		119	%		143	%		125	%		72	%		100	%		113	%		119	%		143	%		125	%

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

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

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

(a) Represents less than $0.01 per share.

^ Annualized for periods less than one year.

(1) Not annualized for periods less than one year.

See accompanying notes to financial statements.

100

FINANCIAL HIGHLIGHTS

Dunham Dynamic Macro Fund

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

	Class N
	Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)
Net asset value, beginning of year/period	$	10.08		$	9.53		$	10.18		$	9.55		$	9.81		$	9.65
Income (loss) from investment operations:
Net investment income (loss) *		0.01			0.12			0.02			(0.03	)		(0.00	) (a)		(0.14	)
Net realized and unrealized gain (loss) **		(0.68	)		0.65			(0.67	)		0.66			(0.26	)		0.30
Total income (loss) from investment operations		(0.67	)		0.77			(0.65	)		0.63			(0.26	)		0.16
Less distributions:
Distributions from net investment income		—			(0.17	)		—			—			—			—
Tax return of capital		—			(0.05	)		—			—			—			—
Total distributions		—			(0.22	)		—			—			—			—
Net asset value, end of year/period	$	9.41		$	10.08		$	9.53		$	10.18		$	9.55		$	9.81
Total return + #		(6.65	)%		8.35	%		(6.39	)%		6.60	%		(2.68	)%		1.66	%
Ratios/Supplemental Data:																		��
Net assets, end of year/period (in 000s)	$	21,277		$	32,074		$	35,638		$	36,104		$	28,650		$	28,518
Ratios of expenses to average net assets: ^		1.80	%		1.54	%		1.80	%		1.83	%		1.63	%		2.15	%
Ratios of net investment income (loss) to average net assets: ^		0.17	%		1.29	%		0.20	%		(0.32	)%		(0.03	)%		(1.37	)%
Portfolio turnover rate (1)		90	%		28	%		11	%		7	%		54	%		70	%
	Class A																		Class C
	Six Months Ended			Year Ended October 31,															Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015			April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)																		(Unaudited)
Net asset value, beginning of year/period	$	10.00		$	9.46		$	10.12		$	9.52		$	9.81		$	9.68		$	9.55		$	9.03		$	9.74		$	9.23		$	9.58		$	9.52
Income (loss) from investment operations:
Net investment income (loss) *		0.00	(a)		0.10			0.00	(a)		(0.06	)		(0.02	)		(0.14	)		(0.04	)		0.02			(0.08	)		(0.12	)		(0.09	)		(0.26	)
Net realized and unrealized gain (loss) **		(0.67	)		0.64			(0.66	)		0.66			(0.27	)		0.27			(0.64	)		0.63			(0.63	)		0.63			(0.26	)		0.32
Total income (loss) from investment operations		(0.67	)		0.74			(0.66	)		0.60			(0.29	)		0.13			(0.68	)		0.65			(0.71	)		0.51			(0.35	)		0.06
Less distributions:														��
Distributions from net investment income		—			(0.15	)		—			—			—			—			—			(0.08	)		—			—			—			—
Tax return of capital		—			(0.05	)		—			—			—			—			—			(0.05	)		—			—			—			—
Total distributions		—			(0.20	)		—			—			—			—			—			(0.13	)		—			—			—			—
Net asset value, end of year/period	$	9.33		$	10.00		$	9.46		$	10.12		$	9.52		$	9.81		$	8.87		$	9.55		$	9.03		$	9.74		$	9.23		$	9.58
Total return + #		(6.70	)%		8.04	%		(6.52	)%		6.30	%		(2.95	)%		1.34	%		(7.12	)%		7.31	%		(7.29	)%		5.53	%		(3.66	)%		0.63	%
Ratios/Supplemental Data:
Net assets, end of year/period (in 000s)	$	4,463		$	7,713		$	7,918		$	6,224		$	3,897		$	3,296		$	1,165		$	1,927		$	1,696		$	1,969		$	2,131		$	1,938
Ratios of expenses to average net assets: ^		2.05	%		1.79	%		2.05	%		2.08	%		1.88	%		2.40	%		2.80	%		2.54	%		2.80	%		2.83	%		2.63	%		3.15	%
Ratios of net investment income (loss) to average net assets: ^		(0.06	)%		1.03	%		0.00	%(b)		(0.58	)%		(0.26	)%		(1.63	)%		(0.87	)%		0.20	%		(0.84	)%		(1.34	)%		(1.02	)%		(2.35	)%
Portfolio turnover rate (1)		90	%		28	%		11	%		7	%		54	%		70	%		90	%		28	%		11	%		7	%		54	%		70	%

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

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

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

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

(a) Represents less than $0.01 per share.

(b) Represents less than 0.01%.

^ Not annualized for periods less than one year.

(1) Annualized for periods less than one year.

See accompanying notes to financial statements.

101

FINANCIAL HIGHLIGHTS

Dunham Long/Short Credit Fund

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

	Class N
	Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)
Net asset value, beginning of period/year	$	9.36		$	9.19		$	8.68		$	8.05		$	8.75		$	10.88
Income (loss) from investment operations:
Net investment income*		0.08			0.24			0.23			0.16			0.23			0.27
Net realized and unrealized gain (loss)		(0.04	)		0.24			0.49			0.72			(0.39	)		(0.51	)
Total income (loss) from investment operations		0.04			0.48			0.72			0.88			(0.16	)		(0.24	)
Less distributions:
Distributions from net investment income		(0.08	)		(0.31	)		(0.21	)		(0.25	)		(0.36	)		(0.17	)
Distributions from net realized gains		(0.05	)		—			—			—			(0.18	)		(1.72	)
Total distributions		(0.13	)		(0.31	)		(0.21	)		(0.25	)		(0.54	)		(1.89	)
Net asset value, end of period/year	$	9.27		$	9.36		$	9.19		$	8.68		$	8.05		$	8.75
Total return + #		0.40	%		5.31	%		8.42	%		11.20	%		(1.92	)%		(2.67	)%
Ratios/Supplemental Data:
Net assets, end of period/year (in 000s)	$	66,031		$	67,276		$	36,055		$	12,953		$	16,929		$	20,210
Ratios of expenses to average net assets: ^		1.43	%		1.24	%		1.44	%		1.41	%		1.42	%		1.34	%
Ratios of net investment income to average net assets: ^		1.67	%		2.60	%		2.52	%		1.90	%		2.83	%		2.83	%
Portfolio turnover rate (1)		285	%		426	%		275	%		106	%		96	%		82	%
	Class A																		Class C
	Six Months Ended			Year Ended October 31,															Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015			April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period/year	$	9.33		$	9.17		$	8.66		$	8.03		$	8.73		$	10.85		$	9.08		$	8.94		$	8.46		$	7.86		$	8.56		$	10.66
Income (loss) from investment operations:
Net investment income*		0.07			0.22			0.19			0.14			0.20			0.24			0.03			0.15			0.11			0.07			0.14			0.18
Net realized and unrealized gain (loss)		(0.03	)		0.22			0.50			0.72			(0.39	)		(0.50	)		(0.03	)		0.23			0.49			0.71			(0.39	)		(0.50	)
Total income (loss) from investment operations		0.04			0.44			0.69			0.86			(0.19	)		(0.26	)		0.00			0.38			0.60			0.78			(0.25	)		(0.32	)
Less distributions:
Distributions from net investment income		(0.07	)		(0.28	)		(0.18	)		(0.23	)		(0.33	)		(0.14	)		(0.05	)		(0.24	)		(0.12	)		(0.18	)		(0.27	)		(0.06	)
Distributions from net realized gains		(0.05	)		—			—			—			(0.18	)		(1.72	)		(0.05	)		—			—			—			(0.18	)		(1.72	)
Total distributions		(0.12	)		(0.28	)		(0.18	)		(0.23	)		(0.51	)		(1.86	)		(0.10	)		(0.24	)		(0.12	)		(0.18	)		(0.45	)		(1.78	)
Net asset value, end of period/year	$	9.25		$	9.33		$	9.17		$	8.66		$	8.03		$	8.73		$	8.98		$	9.08		$	8.94		$	8.46		$	7.86		$	8.56
Total return + #		0.27	%		4.95	%		8.10	%		10.92	%		(2.19	)%		(2.84	)%		(0.07	)%		4.34	%		7.21	%		10.08	%		(2.95	)%		(3.53	)%
Ratios/Supplemental Data:
Net assets, end of period/year (in 000s)	$	12,001		$	11,087		$	6,265		$	3,125		$	3,638		$	4,211		$	6,029		$	4,077		$	3,145		$	2,708		$	3,181		$	4,956
Ratios of expenses to average net assets: ^		1.67	%		1.48	%		1.69	%		1.66	%		1.67	%		1.59	%		2.34	%		2.22	%		2.44	%		2.41	%		2.44	%		2.34	%
Ratios of net investment income to average net assets: ^		1.42	%		2.36	%		2.13	%		1.66	%		2.57	%		2.56	%		0.72	%		1.63	%		1.22	%		0.93	%		1.81	%		1.91	%
Portfolio turnover rate (1)		285	%		426	%		275	%		106	%		96	%		82	%		285	%		426	%		275	%		106	%		96	%		82	%

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

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

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

^ Annualized for periods less than one year.

(1) Not annualized for periods less than one year.

See accompanying notes to financial statements.

102

FINANCIAL HIGHLIGHTS

Dunham Monthly Distribution Fund

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

	Class N
	Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)
Net asset value, beginning of period/year	$	33.88		$	34.84		$	36.71		$	35.74		$	36.36		$	38.16
Income (loss) from investment operations:
Net investment income (loss)*		0.00	(a)		(0.13	)		0.09			(0.36	)		0.14			(0.18	)
Net realized and unrealized gain (loss)		(0.48	)		1.02			(0.25	)		2.79			0.49			(0.39	)
Total income (loss) from investment operations		(0.48	)		0.89			(0.16	)		2.43			0.63			(0.57	)
Less distributions:
Distributions from net investment income		—			—			—			—			(0.55	)		—
Distributions from net realized gains		—			—			(0.35	)		—			—			(0.80	)
Tax return of capital		(0.72	)		(1.85	)		(1.36	)		(1.46	)		(0.70	)		(0.43	)
Total distributions		(0.72	)		(1.85	)		(1.71	)		(1.46	)		(1.25	)		(1.23	)
Net asset value, end of period/year	$	32.68		$	33.88		$	34.84		$	36.71		$	35.74		$	36.36
Total return + #		(1.49	)%		2.61	%		(0.45	)%		6.92	%		1.79	%		(1.53	)%
Ratios/Supplemental Data:
Net assets, end of period/year (in 000s)	$	133,543		$	183,319		$	201,405		$	212,178		$	153,084		$	163,843
Ratios of expenses to average net assets:
After waivers ^		1.68	%		2.62	%		2.16	%		2.73	%		1.85	%		2.09	%
Dividends/borrowings on short sales ^		0.72	%		1.24	%		1.10	%		1.17	%		0.61	%		0.47	%
Excluding dividends/borrowings on short sales:
Before fee waivers ^		0.96	%		1.38	%		1.06	%		1.59	%		1.26	%		2.17	%
After fee waivers ^		0.96	%		1.38	%		1.06	%		1.56	%		1.24	%		1.62	%
Ratios of net investment income (loss) to average net assets:
Before fee waivers ^		(0.02	)%		(0.39	)%		0.25	%		(1.06	)%		0.39	%		(0.56	)%
After fee waivers ^		(0.02	)%		(0.39	)%		0.25	%		(1.03	)%		0.40	%		(0.48	)%
Portfolio turnover rate (1)		289	%		496	%		453	%		382	%		208	%		155	%
	Class A																		Class C
	Six Months Ended			Year Ended October 31,															Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015			April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period/year	$	32.71		$	33.77		$	35.73		$	34.90		$	35.63		$	37.52		$	25.60		$	27.02		$	29.15		$	28.94		$	29.99		$	32.01
Income (loss) from investment operations:
Net investment income (loss)*		(0.05	)		(0.21	)		0.00	(a)		(0.40	)		0.13			(0.27	)		(0.13	)		(0.36	)		(0.21	)		(0.55	)		(0.14	)		(0.46	)
Net realized and unrealized gain (loss)		(0.45	)		1.00			(0.25	)		2.69			0.39			(0.39	)		(0.35	)		0.79			(0.21	)		2.22			0.34			(0.33	)
Total income (loss) from investment operations		(0.50	)		0.79			(0.25	)		2.29			0.52			(0.66	)		(0.48	)		0.43			(0.42	)		1.67			0.20			(0.79	)
Less distributions:
Distributions from net investment income		—			—			—			—			(0.55	)		—			—			—			—			—			(0.55	)		—
Distributions from net realized gains		—			—			(0.35	)		—			—			(0.80	)		—			—			(0.35	)		—			—			(0.80	)
Tax return of capital		(0.72	)		(1.85	)		(1.36	)		(1.46	)		(0.70	)		(0.43	)		(0.72	)		(1.85	)		(1.36	)		(1.46	)		(0.70	)		(0.43	)
Total distributions		(0.72	)		(1.85	)		(1.71	)		(1.46	)		(1.25	)		(1.23	)		(0.72	)		(1.85	)		(1.71	)		(1.46	)		(1.25	)		(1.23	)
Net asset value, end of period/year	$	31.49		$	32.71		$	33.77		$	35.73		$	34.90		$	35.63		$	24.40		$	25.60		$	27.02		$	29.15		$	28.94		$	29.99
Total return + #		(1.49	)%		2.39	%		(0.72	)%		6.64	%		1.54	%		(1.80	)%		(1.98	)%		1.63	%		(1.48	)%		5.82	%		0.75	%		(2.53	)%
Ratios/Supplemental Data:
Net assets, end of period/year (in 000s)	$	33,112		$	42,052		$	42,980		$	41,186		$	45,552		$	74,247		$	27,295		$	33,913		$	34,664		$	34,601		$	39,118		$	50,215
Ratios of expenses to average net assets:
After waivers ^		1.94	%		2.87	%		2.41	%		2.93	%		2.06	%		2.33	%		2.68	%		3.62	%		3.16	%		3.68	%		2.83	%		3.09	%
Dividends/borrowings on short sales ^		0.72	%		1.24	%		1.10	%		1.12	%		0.59	%		0.47	%		0.72	%		1.23	%		1.10	%		1.12	%		0.60	%		0.47	%
Excluding dividends/borrowings on short sales:
Before fee waivers ^		1.22	%		1.63	%		1.31	%		1.83	%		1.49	%		2.42	%		1.96	%		2.39	%		2.06	%		2.58	%		2.24	%		3.16	%
After fee waivers ^		1.22	%		1.63	%		1.31	%		1.81	%		1.48	%		1.86	%		1.96	%		2.39	%		2.06	%		2.56	%		2.23	%		2.62	%
Ratios of net investment income (loss) to average net assets:
Before fee waivers ^		(0.29	)%		(0.63	)%		0.01	%		(1.14	)%		0.36	%		(0.79	)%		(1.04	)%		(1.38	)%		(0.73	)%		(1.89	)%		(0.50	)%		(1.54	)%
After fee waivers ^		(0.29	)%		(0.63	)%		0.01	%		(1.11	)%		0.37	%		(0.71	)%		(1.04	)%		(1.38	)%		(0.73	)%		(1.86	)%		(0.48	)%		(1.46	)%
Portfolio turnover rate (1)		289	%		496	%		453	%		382	%		208	%		155	%		289	%		496	%		453	%		382	%		208	%		155	%

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

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

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

(a) Represents less than $0.01 per share.

^ Annualized for periods less than one year.

(1) Not annualized for periods less than one year.

See accompanying notes to financial statements.

103

FINANCIAL HIGHLIGHTS

Dunham Real Estate Stock Fund

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

	Class N
	Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)
Net asset value, beginning of period/year	$	18.68		$	15.35		$	15.66		$	18.31		$	19.23		$	19.27
Income (loss) from investment operations:
Net investment income *		0.11			0.30			0.28			0.13			0.32			0.15
Net realized and unrealized gain (loss)		(1.54	)		3.32			(0.35	)		0.40			0.73			0.85
Total income (loss) from investment operations		(1.43	)		3.62			(0.07	)		0.53			1.05			1.00
Less distributions:
Distributions from net investment income		(0.31	)		(0.29	)		(0.12	)		(0.36	)		(0.21	)		(0.11	)
Distributions from net realized gains		(1.00	)		—			(0.12	)		(2.82	)		(1.76	)		(0.93	)
Total distributions		(1.31	)		(0.29	)		(0.24	)		(3.18	)		(1.97	)		(1.04	)
Net asset value, end of period/year	$	15.94		$	18.68		$	15.35		$	15.66		$	18.31		$	19.23
Total return +#		(8.09	)%		24.16	%		(0.48	)%		3.63	%		5.77	%		5.13	%
Ratios/Supplemental Data:
Net assets, end of period/year (in 000s)	$	47,597		$	42,865		$	43,163		$	34,256		$	25,479		$	33,379
Ratios of expenses to average net assets: ^		1.58	%		1.15	%		1.10	%		1.17	%		1.21	%		1.64	%
Ratios of net investment income to average net assets: ^		1.28	%		1.81	%		1.82	%		0.79	%		1.74	%		0.80	%
Portfolio turnover rate (1)		78	%		63	%		74	%		101	%		110	%		110	%
	Class A																		Class C
	Six Months Ended			Year Ended October 31,															Six Months Ended			Year Ended October 31,
	April 30, 2020			2019			2018			2017			2016			2015			April 30, 2020			2019			2018			2017			2016			2015
	(Unaudited)																		(Unaudited)
Net asset value, beginning of period/year	$	18.81		$	15.46		$	15.78		$	18.35		$	19.26		$	19.33		$	17.69		$	14.54		$	14.88		$	17.55		$	18.50		$	18.65
Income (loss) from investment operations:
Net investment income (loss) *		0.09			0.26			0.24			0.10			0.27			0.10			0.03			0.13			0.12			(0.02	)		0.13			(0.04	)
Net realized and unrealized gain (loss)		(1.56	)		3.35			(0.35	)		0.41			0.74			0.85			(1.47	)		3.17			(0.34	)		0.38			0.70			0.82
Total income (loss) from investment operations		(1.47	)		3.61			(0.11	)		0.51			1.01			0.95			(1.44	)		3.30			(0.22	)		0.36			0.83			0.78
Less distributions:
Distributions from net investment income		(0.26	)		(0.26	)		(0.09	)		(0.26	)		(0.16	)		(0.09	)		(0.19	)		(0.15	)		—			(0.21	)		(0.02	)		0.00
Distributions from net realized gains		(1.00	)		—			(0.12	)		(2.82	)		(1.76	)		(0.93	)		(1.00	)		—			(0.12	)		(2.82	)		(1.76	)		(0.93	)
Total distributions		(1.26	)		(0.26	)		(0.21	)		(3.08	)		(1.92	)		(1.02	)		(1.19	)		(0.15	)		(0.12	)		(3.03	)		(1.78	)		(0.93	)
Net asset value, end of period/year	$	16.08		$	18.81		$	15.46		$	15.78		$	18.35		$	19.26		$	15.06		$	17.69		$	14.54		$	14.88		$	17.55		$	18.50
Total return +#		(8.22	)%		23.81	%		(0.74	)%		3.44	%		5.54	%		4.85	%		(8.60	)%		22.97	%		(1.50	)%		2.61	%		4.73	%		4.08	%
Ratios/Supplemental Data:
Net assets, end of period/year (in 000s)	$	10,051		$	9,161		$	8,444		$	6,002		$	9,376		$	10,386		$	2,347		$	2,812		$	2,308		$	2,448		$	3,211		$	3,847
Ratios of expenses to average net assets: ^		1.82	%		1.40	%		1.35	%		1.42	%		1.45	%		1.89	%		2.55	%		2.15	%		2.10	%		2.17	%		2.21	%		2.64	%
Ratios of net investment income (loss) to average net assets: ^		1.05	%		1.56	%		1.57	%		0.60	%		1.45	%		0.53	%		0.32	%		0.79	%		0.85	%		(0.11	)%		0.70	%		(0.21	)%
Portfolio turnover rate (1)		78	%		63	%		74	%		101	%		110	%		110	%		78	%		63	%		74	%		101	%		110	%		110	%

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

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

# Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

^ Annualized for periods less than one year.

(1) Not annualized for periods less than one year.

See accompanying notes to financial statements.

104

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020

1. ORGANIZATION

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

Fund	Primary Objective
Dunham Corporate/Government Bond Fund (“Corporate/Government Bond”)	Current income and capital appreciation
Dunham Floating Rate Bond Fund (“Floating Rate Bond”)	High level of current income
Dunham High-Yield Bond Fund (“High-Yield Bond”)	High level of current income
Dunham International Opportunity Bond Fund (“International Opportunity Bond”)	High level of current income
Dunham Large Cap Value Fund (“Large Cap Value”)	Maximize total return from capital appreciation and dividends
Dunham Small Cap Value Fund (“Small Cap Value”)	Maximize total return from capital appreciation and income
Dunham Focused Large Cap Growth Fund (“Focused Large Cap Growth”)	Maximize capital appreciation
Dunham Small Cap Growth Fund (“Small Cap Growth”)	Maximize capital appreciation
Dunham Emerging Markets Stock Fund (“Emerging Markets Stock”)	Maximize capital appreciation
Dunham International Stock Fund (“International Stock”)	Maximize total return from capital appreciation and dividends
Dunham Dynamic Macro Fund (“Dynamic Macro”)	Maximize total return from capital appreciation and dividends
Dunham Long/Short Credit Fund (“Long/Short Credit”)	Maximize total return under varying market conditions through both current income and capital appreciation
Dunham Monthly Distribution Fund (“Monthly Distribution”)	Positive returns in rising and falling market environments
Dunham Real Estate Stock Fund (“Real Estate Stock”)	Maximize total return from capital appreciation and dividends

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

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies.”

105

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

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

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

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

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

Swap transactions are valued through an independent pricing service or at fair value based on daily price reporting from the swap counterparty issuing the swap. Total return swaps on securities listed on an exchange shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices.

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

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

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

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

106

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

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

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

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

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of April 30, 2020 for the Funds’ assets and liabilities measured at fair value:

Corporate/Government Bond
Assets	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes *	$	—	$	32,182,779	$	—	$	32,182,779
Foreign Government Bonds		—		86,610		—		86,610
Municipal Bonds		—		3,354,344		—		3,354,344
U.S. Government & Agency		—		9,149,162		—		9,149,162
Bank Loans *		—		2,714,017		—		2,714,017
Exchange Traded Fund		258,442		—		—		258,442
Short-Term Investment		456,163		—		—		456,163
Collateral for Securities Loaned		5,450,279		—		—		5,450,279
Total	$	6,164,884	$	47,486,912	$	—	$	53,651,796
Floating Rate Bond
Assets	Level 1		Level 2		Level 3		Total
Bank Loans *	$	—	$	141,629,082	$	—	$	141,629,082
Bonds & Notes *		—		7,351,877		—		7,351,877
Common Stock *		53,901		—		—		53,901
Exchange Traded Funds		1,463,372		—		—		1,463,372
Rights		—		11,382		—		11,382
Warrants		—		95,006		—		95,006
Short-Term Investment		15,424,614		—		—		15,424,614
Collateral for Securities Loaned		887,813		—		—		887,813
Total	$	17,829,700	$	149,087,347	$	—	$	166,917,047
High-Yield Bond
Assets	Level 1		Level 2		Level 3		Total
Bonds & Notes *	$	—	$	85,820,475	$	—	$	85,820,475
Collateral for Securities Loaned		2,075,681		—		—		2,075,681
Total	$	2,075,681	$	85,820,475	$	—	$	87,896,156

107

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

International Opportunity Bond
Assets	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes *	$	—	$	21,763,950	$	—	$	21,763,950
Foreign Government Bonds *		—		9,173,884		—		9,173,884
Whole Loan Collateral		—		311,244		—		311,244
Collateral for Securities Loaned		1,087,003		—		—		1,087,003
Total Assets	$	1,087,003	$	31,249,078	$	—	$	32,336,081
Assets - Derivatives
Futures Contracts	$	113,272	$	—	$	—	$	113,272
Forward Foreign Currency Exchange Contracts		—		41,192		—		41,192
Total Asset Derivatives	$	113,272	$	41,192	$	—	$	154,464
Liabilities - Derivatives
Futures Contracts	$	567,711	$	—	$	—	$	567,711
Forward Foreign Currency Exchange Contracts		—		357,239		—		357,239
Swap Contract		—		7,741		—		7,741
Total Liability Derivatives	$	567,711	$	364,980	$	—	$	932,691
Large Cap Value
Assets	Level 1		Level 2		Level 3		Total
Common Stocks *	$	93,125,160	$	—	$	—	$	93,125,160
Collateral for Securities Loaned		31,430,373		—		—		31,430,373
Total	$	124,555,533	$	—	$	—	$	124,555,533
Small Cap Value
Assets	Level 1		Level 2		Level 3		Total
Common Stocks *	$	63,072,070	$	—	$	—	$	63,072,070
Collateral for Securities Loaned		17,746,590		—		—		17,746,590
Total	$	80,818,660	$	—	$	—	$	80,818,660
Focused Large Cap Growth
Assets	Level 1		Level 2		Level 3		Total
Common Stocks *	$	115,365,833	$	—	$	—	$	115,365,833
Collateral for Securities Loaned		34,775,780		—		—		34,775,780
Total	$	150,141,613	$	—	$	—	$	150,141,613
Small Cap Growth
Assets	Level 1		Level 2		Level 3		Total
Common Stocks *	$	48,761,894	$	—	$	—	$	48,761,894
Collateral for Securities Loaned		3,457,837		—		—		3,457,837
Total	$	52,219,731	$	—	$	—	$	52,219,731
Emerging Markets Stock
Assets	Level 1		Level 2		Level 3		Total
Common Stocks *	$	15,443,428	$	60,169,478	$	—	$	75,612,906
Closed End Fund		576,469		—		—		576,469
Warrant		3,527		—		—		3,527
Collateral for Securities Loaned		2,228,041		—		—		2,228,041
Total	$	18,251,465	$	60,169,478	$	—	$	78,420,943

108

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

International Stock
Assets	Level 1		Level 2		Level 3		Total
Common Stocks *	$	35,042,768	$	90,899,194	$	—	$	125,941,962
Exchange Traded Fund		775,567		—		—		775,567
Warrant		13,809		—		—		13,809
Collateral for Securities Loaned		6,616,325		—		—		6,616,325
Total	$	42,448,469	$	90,899,194	$	—	$	133,347,663
Dynamic Macro
Assets	Level 1		Level 2		Level 3		Total
Exchange Traded Funds *	$	17,596,436	$	—	$	—	$	17,596,436
Purchased Options		1,888,052		—		—		1,888,052
Short-Term Investments		1,113,661		6,479,555		—		7,593,216
Collateral for Securities Loaned		8,756,789		—		—		8,756,789
Total Assets	$	29,354,938	$	6,479,555	$	—	$	35,834,493
Assets - Derivatives
Futures Contracts	$	224,012	$	—	$	—	$	224,012
Total Asset Derivatives	$	224,012	$	—	$	—	$	224,012
Liabilities - Derivatives
Futures Contracts	$	68,628	$	—	$	—	$	68,628
Written Options		291,930		—		—		291,930
Total Liability Derivatives	$	360,558	$	—	$	—	$	360,558
Long/Short Credit
Assets	Level 1		Level 2		Level 3		Total
Bank Loans *	$	—	$	1,676,997	$	—	$	1,676,997
Bonds & Notes *		—		36,741,949		—		36,741,949
Common Stock *		2,939,000		21,700		—		2,960,700
U.S. Government		—		32,602,293		—		32,602,293
Short-Term Investment		6,918,581		—		—		6,918,581
Collateral for Securities Loaned		28,201,977		—		—		28,201,977
Total Assets	$	38,059,558	$	71,042,939	$	—	$	109,102,497
Assets - Derivatives
Swap Contracts	$	—	$	766,691	$	—	$	766,691
Total Asset Derivatives	$	—	$	766,691	$	—	$	766,691
Liabilities - Derivatives
Swap Contracts	$	—	$	568,975	$	—	$	568,975
Futures Contracts		1,425,193		—		—		1,425,193
Total Liability Derivatives	$	1,425,193	$	568,975	$	—	$	1,994,168

109

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

Monthly Distribution
Assets	Level 1		Level 2		Level 3		Total
Common Stocks *	$	83,240,055	$	466,978	$	—	$	83,707,033
Closed-End Fund		—		4,187,851		—		4,187,851
Exchange Traded Funds		4,373,779		—		—		4,373,779
Rights		—		34,319		—		34,319
Warrants		—		4,776		—		4,776
Purchased Options		68,526		—		—		68,526
Short-Term Investment		80,566,140		—		—		80,566,140
Collateral for Securities Loaned		3,663,660		—		—		3,663,660
Total Assets	$	171,912,160	$	4,693,924	$	—	$	176,606,084
Asset - Derivatives
Swap Contracts	$	—	$	984,932	$	—	$	984,932
Total Asset Derivatives	$	—	$	984,932	$	—	$	984,932
Liabilities-Derivatives
Written Options	$	353,927	$	68,670	$	—	$	422,597
Swap Contracts		—		1,221,969		—		1,221,969
Total Liability Derivatives	$	353,927	$	1,290,639	$	—	$	1,644,566
Liabilities
Liabilities-Securities Sold Short	$	44,085,365	$	—	$	—	$	44,085,365
Total Liabilities	$	44,085,365	$	—	$	—	$	44,085,365
Real Estate Stock
Assets	Level 1		Level 2		Level 3		Total
Common Stock *	$	22,122,063	$	—	$	—	$	22,122,063
REITs *		39,212,716		—		—		39,212,716
Collateral for Securities Loaned		17,370,181		—		—		17,370,181
Total	$	78,704,960	$	—	$	—	$	78,704,960

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

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

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

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

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

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

110

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

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

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

e. Cash – The Funds consider their investments in an FDIC insured interest bearing savings account to be cash. The Funds maintain cash balances, which, at times, may exceed federally insured limits. The Funds maintain these balances with a high quality financial institution.

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

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

111

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

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

i. Impact of Derivatives on the Statements of Assets and Liabilities and Statements of Operations – The following is a summary of the location of derivative investments of each Fund in the Statement of Assets and Liabilities as of April 30, 2020:

Location on the Statements of Assets and Liabilities
Derivatives Investment Type	Asset Derivatives	Liability Derivatives
Equity/Currency/Commodity	Investments in securities	Option contracts written
Interest rate contracts	Unrealized appreciation on futures contracts	Unrealized depreciation on futures contracts
	Unrealized appreciation on swap contracts	Unrealized depreciation on swap contracts
	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts

The following table sets forth the fair value of each Fund’s derivative contracts by primary risk exposure as of April 30, 2020:

Asset Derivatives Investment Value
	Equity		Currency		Commodity		Interest Rate		Total value at
	Contracts		Contracts		Contracts		Contracts		April 30, 2020
International Opportunity Bond
Forward Foreign Currency Exchange Contracts	$	—	$	41,192	$	—	$	—	$	41,192
Futures Contracts		—		—		—		113,272		113,272
Dynamic Macro
Futures Contracts	$	159,596	$	—	$	—	$	64,416	$	224,012
Purchased Options		1,129,802		—		—		758,250		1,888,052
Long/Short Credit
Credit Default Swap Contracts	$	331,844	$	—	$	—	$	—	$	331,844
Total Return Swap Contracts		—		—		—		434,847		434,847
Monthly Distribution
Purchased Options	$	68,526	$	—	$	—	$	—	$	68,526
Total Return Swap Contracts		984,932		—		—		—		984,932
Liability Derivatives Investment Value
	Equity		Currency		Commodity		Interest Rate		Total value at
	Contracts		Contracts		Contracts		Contracts		April 30, 2020
International Opportunity Bond
Forward Foreign Currency Exchange Contracts	$	—	$	357,239	$	—	$	—	$	357,239
Futures Contracts		—		—		—		567,711		567,711
Credit Default Swap Contract		—		—		—		7,741		7,741
Dynamic Macro
Futures Contracts	$	12,060	$	—	$	—	$	56,568	$	68,628
Written Options		291,930		—		—		—		291,930
Long/Short Credit
Futures Contracts	$	—	$	—	$	—	$	1,425,193	$	1,425,193
Credit Default Swap Contracts		45,083		—		—		—		45,083
Total Return Swap Contracts		—		—		—		523,892		523,892
Monthly Distribution
Written Options	$	422,597	$	—	$	—	$	—	$	422,597
Total Return Swap Contracts		1,221,969		—		—		—		1,221,969

112

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

The following is a summary of the location of derivative investments of each Fund in the Statements of Operations for the year ended April 30, 2020.

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Equity/Currency/Commodity/Interest rate contracts	Net realized gain (loss) from: Futures contracts, Purchased options, Written options, Swap contracts, Forward foreign currency exchange contracts
	Net change in unrealized appreciation (depreciation) on: Futures contracts, Purchased options, Written options, Swap contracts, and Forward foreign currency exchange contracts

The following is a summary of each Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the year ended April 30, 2020:

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, 2020
International Opportunity Bond
Futures Contracts	$	—		$	—		$	—	$	(45,166	)	$	(45,166	)
Forward Foreign Currency Exchange Contracts		—			956,406			—		—			956,406
Swap Contract		—			—			—		(96,593	)		(96,593	)
Dynamic Macro
Futures Contracts	$	(3,325,883	)	$	—		$	—	$	8,805		$	(3,317,078	)
Purchased Options		625,100			—			—		669,422			1,294,522
Written Options		(1,252,816	)		—			—		—			(1,252,816	)
Long/Short Credit
Futures Contracts	$	—		$	—		$	—	$	(458,297	)	$	(458,297	)
Swaps Contracts		(57,264	)		—			—		909,089			851,825
Monthly Distribution
Purchased Options	$	(2,826,422	)	$	—		$	—	$	—		$	(2,826,422	)
Written Options		3,048,688			—			—		—			3,048,688
Swaps Contracts		490,389			—			—		—			490,389
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, 2020
International Opportunity Bond
Futures Contracts	$	—		$	—		$	—	$	(469,232	)	$	(469,232	)
Forward Foreign Currency Exchange Contracts		—			(306,895	)		—		—			(306,895	)
Swap Contract		—			—			—		(7,741	)		(7,741	)
Dynamic Macro
Futures Contracts	$	119,882		$	—		$	—	$	(196,234	)	$	(76,352	)
Purchased Options		13,388			—			—		293,906			307,294
Written Options		(115,136	)		—			—		—			(115,136	)
Long/Short Credit
Futures Contracts	$	—		$	—		$	—	$	(1,706,458	)	$	(1,706,458	)
Swaps Contracts		270,953			—			—		(116,271	)		154,682
Monthly Distribution
Purchased Options	$	129,620		$	—		$	—	$	—		$	129,620
Written Options		(30,500	)		—			—		—			(30,500	)
Swaps Contracts		(89,538	)		—			—		—			(89,538	)

113

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

The average notional value of the derivative instruments for the six months ended April 30, 2020 is disclosed below:

	Average Notional Value
	Long		Short		Purchased		Written		Long		Short
	Futures		Futures		Options		Options		Swaps		Swaps
International Opportunity Bond	$	13,545,087	$	13,069,564	$	—	$	—	$	—	$	708,500
Dynamic Macro		32,463,997		17,580,469		20,557,000		12,071,625		—		—
Long/Short Credit		—		24,373,510		—		—		31,000,000		6,500,000
Monthly Distribution		—		—		27,429,100		38,092,425		2,397,116		5,785,120

j. Offsetting of Financial Assets & Liabilities and Derivative Assets & Liabilities – International Opportunity Bond, Dynamic Macro, Long/Short Credit, and Monthly Distribution policies are to recognize a gross asset or liability equal to the unrealized on futures contracts, forward foreign currency exchange contracts, swaps and written options. During the six months ended April 30, 2020, Long/Short Credit is subject to a master netting arrangement for swaps. The following table shows additional information regarding the offsetting of assets and liabilities at April 30, 2020.

International Opportunity Bond
											Gross Amounts Not Offset in
											the Statement of Assets &
Assets:											Liabilities
					Gross
					Amounts
		Gross			Offset in the		Net Amounts of
		Amounts of			Statement of		Assets Presented in							Cash
		Recognized			Assets &		the Statement of				Financial			Collateral
Description	Counterparty	Assets			Liabilities		Assets & Liabilities				Instruments			Received		Net Amount
Forward Foreign Currency Exchange Contracts	Citigroup	$	39,833		$	—	$	39,833			$	(39,833	)	$	—	$	—
	JP Morgan Chase		1,359			—		1,359				(1,359	)		—		—
Futures Contracts	Credit Suisse		113,272			—		113,272				(567,711	)		—		(454,439	)
Total		$	154,464		$	—	$	154,464			$	(608,903	)	$	—	$	(454,439	)
										��
											Gross Amounts Not Offset in
											the Statement of Assets &
Liabilities:											Liabilities
					Gross
		Gross			Amounts		Net Amounts of
		Amounts of			Offset in the		Liabilities Presented							Cash
		Recognized			Statement of		in the Statement of				Financial			Collateral
Description	Counterparty	Liabilities			Assets &		Assets & Liabilities				Instruments			Pledged		Net Amount
Forward Foreign Currency Exchange Contracts	Barclays	$	(24,574	)	$	—	$	(24,574	)		$	24,574		$	—	$	—
	Citigroup		(326,922	)		—		(326,922	)			326,922			—		—
	JP Morgan Chase		(5,743	)		—		(5,743	)			5,743			—		—
Futures Contracts	Credit Suisse		(567,711	)		—		(567,711	)			567,711			—		—
Credit Default Swap	Citibank		(7,741	)		—		(7,741	)			7,741			—		—
Total		$	(932,691	)	$	—	$	(932,691	)		$	932,691		$	—	$	—

114

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

Dynamic Macro
											Gross Amounts Not Offset in the
											Statement of Assets &
Assets:											Liabilities
		Gross				Gross Amounts		Net Amounts of
		Amounts of				Offset in the		Assets Presented in						Cash
		Recognized				Statement of Assets		the Statement of			Financial			Collateral
Description	Counterparty	Assets				& Liabilities		Assets & Liabilities			Instruments			Received		Net Amount
Futures Contracts	Goldman Sachs	$	224,012			$	—	$	224,012		$	(68,628	)	$	—	$	155,384
Purchased Options	Goldman Sachs		1,888,052				—		1,888,052			—			—		1,888,052
Total		$	2,112,064			$	—	$	2,112,064		$	(68,628	)	$	—	$	2,043,436
											Gross Amounts Not Offset in the
											Statement of Assets &
Liabilities:					��						Liabilities
		Gross				Gross Amounts		Net Amounts of
		Amounts of				Offset in the		Liabilities Presented						Cash
		Recognized				Statement of Assets		in the Statement of			Financial			Collateral
Description	Counterparty	Liabilities				& Liabilities		Assets & Liabilities			Instruments			Pledged		Net Amount
Futures Contracts	Goldman Sachs	$	(68,628	)		$	—	$	(68,628	)	$	224,012		$	—	$	155,384
Written Options	Goldman Sachs		(291,930	)			—		(291,930	)		—			—		(291,930	)
Total		$	(360,558	)		$	—	$	(360,558	)	$	224,012		$	—	$	(136,546	)
Long/Short Credit
											Gross Amounts Not Offset in the
Assets:											Statement of Assets & Liabilities
						Gross Amounts		Net Amounts of
		Gross Amounts of				Offset in the		Assets Presented in
		Recognized				Statement of Assets		the Statement of			Financial			Cash Collateral
Description	Counterparty	Assets				& Liabilities		Assets & Liabilities			Instruments			Received		Net Amount
Credit Default Swaps	HSBC		264,864			$	—	$	264,864		$	—		$	—	$	264,864
Credit Default Swaps	Barclays		35,264				—		35,264			—			—		35,264
Credit Default Swaps	Goldman Sachs		31,716				—		31,716			—			—		19,878
Total Return Swaps	JP Morgan		434,847				—		434,847			—			—		434,847
Total		$	766,691			$	—	$	766,691		$	—		$	—	$	754,853
											Gross Amounts Not Offset in the
Liabilities:											Statement of Assets & Liabilities
						Gross Amounts		Net Amounts of
		Gross Amounts of				Offset in the		Liabilities Presented
		Recognized				Statement of Assets		in the Statement of			Financial			Cash Collateral
Description	Counterparty	Liabilities				& Liabilities		Assets & Liabilities			Instruments			Pledged (1)		Net Amount
Futures	HSBC	$	(1,425,193	)		$	—	$	(1,425,193	)	$	—		$	1,425,193	$	—
Credit Default Swaps	Goldman Sachs		(23,415	)			—		(23,415	)		—			23,415		—
Credit Default Swaps	JP Morgan		(21,668	)			—		(21,668	)		—			21,668		—
Total Return Swap	JP Morgan		(523,892	)			—		(523,892	)		—			523,892		—
Total		$	(1,994,168	)		$	—	$	(1,994,168	)	$	—		$	1,994,168	$	—

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

115

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

Monthly Distribution
										Gross Amounts Not Offset in the
Assets:										Statement of Assets & Liabilities
					Gross Amounts		Net Amounts of
		Gross Amounts			Offset in the		Assets Presented in
		of Recognized			Statement of Assets		the Statement of			Financial			Cash Collateral
Description	Counterparty	Assets			& Liabilities		Assets & Liabilities			Instruments			Received		Net Amount
Purchased Options	JP Morgan	$	68,526		$	—	$	68,526		$	—		$	—	$	68,526
Total Return Swap	JP Morgan		984,932			—		984,932			(984,932	)		—		—
Total		$	1,053,458		$	—	$	1,053,458		$	(984,932	)	$	—	$	68,526
										Gross Amounts Not Offset in the
Liabilities:										Statement of Assets & Liabilities
					Gross Amounts		Net Amounts of
		Gross Amounts			Offset in the		Liabilities Presented
		of Recognized			Statement of Assets		in the Statement of			Financial			Cash Collateral
Description	Counterparty	Liabilities			& Liabilities		Assets & Liabilities			Instruments			Pledged (1)		Net Amount
Written Options	JP Morgan	$	(384,109	)	$	—	$	(384,109	)	$	—		$	—	$	(384,109	)
Total Return Swaps	JP Morgan		(1,221,969	)		—		(1,221,969	)		984,932			—		(237,037	)
Total		$	(1,606,078	)	$	—	$	(1,606,078	)	$	984,932		$	—	$	(621,146	)

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

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

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

m. 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.

116

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

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.

n. 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 2017 to 2019 and expected to be taken in tax year 2020 and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken in the above open tax years. The Funds identify their major tax jurisdiction as U.S. Federal. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties. Generally tax authorities can examine tax returns filed for the last three years.

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

p. Real Estate Investment Trusts – Real Estate Stock invests primarily in Real Estate Investment Trusts (REITs). Distributions from REITs may be characterized as dividends, capital gains, and/or return of capital.

q. 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.

117

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

3. INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES

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

		Adviser’s	Sub-Adviser’s
	Management Fee	Portion	Portion
Corporate/Government Bond	0.65% – 0.95%	0.50%	0.15% – 0.45%
Floating Rate Bond	0.70% – 1.06%	0.60%	0.10% – 0.46%
High-Yield Bond	0.82% – 1.02%	0.60%	0.22% – 0.42%
International Opportunity Bond	0.80% – 1.30%	0.60%	0.20% – 0.70%
Large Cap Value	0.75% – 1.15%	0.65%	0.10% – 0.50%
Small Cap Value	0.75% – 1.45%	0.65%	0.10% – 0.80%
Focused Large Cap Growth	0.85% – 1.15%	0.65%	0.20% – 0.50%
Small Cap Growth	0.65% – 1.65%	0.65%	0.00% – 1.00%
Emerging Markets Stock	0.70% – 1.50%	0.65%	0.05% – 0.85%
International Stock	0.95% – 1.65%	0.65%	0.30% – 1.00%
Dynamic Macro	1.05% – 1.75%	0.65%	0.40% – 1.10%
Long/Short Credit	0.70% – 1.80%	0.65%	0.05% – 1.15%
Monthly Distribution	0.87% – 1.63%	0.65%	0.22% – 0.98%
Real Estate Stock *	0.80% – 1.40%	0.65%	0.15% – 0.75%

* Prior to January 1, 2020, the Sub-Adviser’s portion for Real Estate Stock was 0.10%-0.70% and the Management Fee was 0.75%-1.35%.

Each Fund’s Sub-Advisory Fulcrum Fee is calculated daily using an annual base Sub-Advisory fee of a specified amount of the average daily net assets of the Fund (the “Base Fee”), adjusted by the Fund’s Class N share performance relative to the Fund’s benchmark (the “Performance Fee”). Depending on a Fund’s net performance versus its benchmark, the Sub-Adviser will receive a fee adjustment in accordance with a formula that equates a percentage of out- or under-performance to a percentage of fee increases or decreases, respectively. In addition, some Fulcrum Fees employ a “null zone” around the base fee, whereby small differences in performance versus the benchmark will not trigger a fee increase or decrease. During the first 12 months of the Fulcrum Fee arrangement, the Performance Fee is calculated daily from inception date of the agreement to the calculation date and is applied to the average daily net assets of the Funds during the calculation period. After the initial 12 months, the Performance Fee is calculated on a daily basis based on comparative performance over a rolling 12-month period. All Funds, with the exception of International Opportunity Bond and Real Estate Stock which are in the initial year of a new Fulcrum Fee arrangement, are calculating Performance Fees on a rolling 12-month basis as of April 30, 2020.

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.

118

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

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

				Null	Minimum	Maximum
Fund	Sub-Adviser	Benchmark	Base Fee	Zone	Fee	Fee
Corporate/Government Bond	New fleet Asset Management, LLC	Bloomberg Barclays Aggregate Bond Index	0.30%	+/-0.15%	0.15%	0.45%
Floating Rate Bond	New fleet Asset Management, LLC	Credit Suisse Leveraged Loan Total Return Index	0.28%	+/- 0.00%	0.10%	0.46%
High-Yield Bond	PineBridge Investments LLC	Barclays U.S. Corporate High Yield Bond Ba/B 2% Issuer Capped Index	0.32%	+/- 0.00%	0.22%	0.42%
International Opportunity Bond *	Stone Harbor Investment Partners	Barclays Global ex US Aggregate Bond Index (Hedged)	0.45%	+/- 0.00%	0.20%	0.70%
Large Cap Value	Rothschild & Co. Asset Management US Inc.	Russell 1000 Value Index	0.30%	+/- 0.00%	0.10%	0.50%
Small Cap Value	Ziegler Capital Management, LLC	Russell 2000 Value Index	0.45%	+/- 0.00%	0.10%	0.80%
Focused Large Cap Growth	The Ithaka Group, LLC	Russell 1000 Growth Index	0.35%	+/- 0.30%	0.20%	0.50%
Small Cap Growth	Pier Capital, LLC	Russell 2000 Growth Index	0.50%	+/- 0.20%	0.00%	1.00%
Emerging Markets Stock	NS Partners Ltd.	MSCI Emerging Markets Index (Net)	0.45%	+/- 0.00%	0.05%	0.85%
International Stock	Arrow street Capital L.P.	MSCI All Country World Index ex USA (Net)	0.65%	+/- 0.20%	0.30%	1.00%
Dynamic Macro	Mellon Investments Corporation	IQ Hedge Global Macro Beta Index	0.75%	+/- 0.00%	0.40%	1.10%
Long/Short Credit	Metlife Investment Advisors, LLC	BofA Merrill Lynch US 3-month Treasury Bill Index PLUS 300 bps (3.00%)	0.60%	+/- 0.00%	0.05%	1.15%
Monthly Distribution	Weiss Multi-Strategy Advisers, LLC	IQ Hedge Market Neutral Total Return Index	0.60%	+/- 0.00%	0.22%	0.98%
Real Estate Stock **	American Assets Capital Advisers, LLC	Dow Jones US Real Estate Total Return Index	0.45%	+/- 0.00%	0.15%	0.75%

* Effective January 1, 2020 Stone Harbor Investment Partners replaced Allianz Global Investors U.S. LLC as the sub-adviser to International Opportunity Bond. Allianz Global Investors U.S. LLC had a Base fee of 0.45%, a Minimum fee of 0.20% and a Maximum Fee of 0.70%.

** Effective January 1, 2020 American Assets Capital Advisers, LLC replaced Barings LLC. as the sub-adviser to Real Estate Stock. Barings LLC had a Base fee of 0.40%, a Minimum fee of 0.10% and a Maximum Fee of 0.70%.

b. Administration, Fund Accounting and Transfer Agency Fees – Gemini Fund Services, LLC (“GFS” or the “Administrator”) serves as the administrator, fund accountant and transfer agent for the Funds. For providing administration services, GFS receives from each Fund a monthly fee based on the combined average daily net assets at the following annual rates; 0.07% on the first $250 million of average net assets; 0.05% on average net assets between $250 million and $500 million; 0.03% on average net assets over $500 million; and 0.01% on average net assets over $1 billion. Prior to January 1, 2020 the fees were as follows; 0.07% on the first $250 million of average net assets; 0.06% on average net assets between $250 million and $500 million; 0.04% on average net assets over $500 million; and 0.02% on average net assets over $1 billion. Such fees are subject to an annual minimum of $400,000 in total for the entire Trust. For providing fund accounting services, GFS receives from the Trust a minimum annual fee of $245,000. For providing transfer agent services, GFS receives from the Trust a minimum annual fee of $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”), an affiliate of GFS, provides EDGAR conversion and filing services as well as some print management services for the Funds on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Funds. An individual from GFS serves as an officer for the Trust and receives no additional compensation from the Trust for serving in that role.

Effective February 1, 2019, NorthStar Financial Services Group, LLC, the parent company of GFS and its affiliated companies including Blu Giant (collectively, the “Gemini Companies”), sold its interest in the Gemini Companies to a third party private equity firm that contemporaneously acquired Ultimus Fund Solutions, LLC (an independent mutual fund administration firm) and its affiliates (collectively, the “Ultimus Companies”). As a result of these separate transactions, the Gemini Companies and the Ultimus Companies are now indirectly owned through a common parent entity, The Ultimus Group, LLC.

c. Distributor – The Distributor of the Funds is Dunham & Associates (the “Distributor”). The Funds have adopted an Amended and Restated Rule 12b-1 Plan (the “Plan”) in accordance with Rule 12b-1 under the 1940 Act for Class A and Class C shares. The Plan for Class A shares authorizes the Funds to pay distribution fees to the Distributor or other entities on a monthly basis at an annualized rate of up to 0.25% of the average daily net assets attributable to Class A shares. The Plan for Class C shares authorizes the Funds to pay distribution fees at the annualized rate of 0.75% for the equity Funds and 0.50% for the fixed income Funds and shareholder servicing

119

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

fees at the annualized rate of 0.25% to the Distributor or other entities on a monthly basis based on the average daily net assets attributable to Class C shares. Class N shares do not pay distribution fees or shareholder servicing fees.

d. Trustees’ Fees – The Board has approved the following Trustee compensation schedule: Each Trustee who is not an interested person of the Trust will receive $6,250 for each Board meeting attended in-person; $1,000 for all telephonic Board meetings; $1,000 for in-person committee meetings and $500 for telephonic committee meetings, unless the committee meeting is on the same day as a Board meeting, in which case the Trustee will not be compensated for the committee meeting. The Funds also reimburse each such Trustee for travel and other expenses incurred in attending meetings of the Board.

With the exception of the Trust’s Chief Compliance Officer as discussed below, officers of the Trust and Trustees who are interested persons of the Trust do not receive any compensation from the Trust or any other Funds managed by the Adviser. The Trust has agreed to pay the Adviser a fee in the amount of $150,000 per annum plus an annual discretionary bonus as may be awarded as compensation for providing an officer or employee of the Adviser to serve as Chief Compliance Officer for the Funds (each Fund bearing its pro rata share of the fee), plus the cost of reasonable expenses related to the performance of the Chief Compliance Officer’s duties, including travel expenses, and may compensate the Adviser for the time of other officers or employees of the Adviser who serve in other compliance capacities for the Funds.

e. Commission Recapture – During the six months ended April 30, 2020, certain Funds had portfolio trades executed with a certain broker pursuant to a commission recapture agreement under which the broker returned a portion of the Fund’s brokerage commissions on the Fund’s behalf. Such amounts, under such commission recapture agreement, are included in fees paid indirectly in the Funds’ Statements of Operations and were paid directly by the broker to the Administrator for providing administration services. For the six months ended April 30, 2020, the amounts received by the Administrator on behalf of certain participating Funds under this arrangement were: Large Cap Value - $2,044, Focused Large Cap Growth - $3,529, Small Cap Growth - $10,755, and International Stock - $1,869.

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, 2020 were as follows:

	Purchases		Sale Proceeds				Proceeds of
	(excluding U.S.		(excluding U.S.		Purchases of		U.S.
	Government		Government		U.S. Government		Government
Fund	Securities)		Securities)		Securities		Securities
Corporate/Government Bond	$	16,645,227	$	13,343,092	$	6,604,484	$	6,920,665
Floating Rate Bond		76,713,880		95,610,435		—		—
High-Yield Bond		34,369,599		42,370,843		—		—
International Opportunity Bond		39,740,165		40,833,039		—		—
Large Cap Value		31,006,258		12,301,815		—		—
Small Cap Value		45,196,569		27,360,860		—		—
Focused Large Cap Growth		7,206,291		11,891,469		—		—
Small Cap Growth		50,083,461		51,048,137		—		—
Emerging Markets Stock		43,278,874		35,660,537		—		—
International Stock		104,953,395		92,452,926		—		—
Dynamic Macro		15,484,445		10,182,386		—		—
Long/Short Credit		91,245,656		77,643,761		45,870,897		43,999,735
Monthly Distribution		467,369,907		483,823,301		—		—
Real Estate Stock		55,845,366		44,176,415		—		—

120

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

5. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

The identified cost of investments in securities owned by each Fund for federal income tax purposes, and its respective gross unrealized appreciation and depreciation at April 30, 2020, were as follows:

			Gross		Gross			Net Unrealized
	Tax		Unrealized		Unrealized			Appreciation/
	Cost		Appreciation		Depreciation			(Depreciation)
Corporate/Government Bond	$	53,418,752	$	1,629,340	$	(1,396,296	)	$	233,044
Floating Rate Bond		182,489,260		372,419		(15,944,632	)		(15,572,213	)
High-Yield Bond		94,121,922		1,381,321		(7,607,087	)		(6,225,766	)
International Opportunity Bond		36,725,988		403,155		(5,571,289	)		(5,168,134	)
Large Cap Value		113,775,044		15,254,114		(4,473,625	)		10,780,489
Small Cap Value		82,568,624		4,944,942		(6,694,906	)		(1,749,964	)
Focused Large Cap Growth		92,268,296		59,465,996		(1,592,679	)		57,873,317
Small Cap Growth		46,920,704		9,201,263		(3,902,236	)		5,299,027
Emerging Markets Stock		77,740,443		8,557,805		(7,877,305	)		680,500
International Stock		135,464,834		12,582,355		(14,699,526	)		(2,117,171	)
Dynamic Macro		33,948,385		2,666,844		(917,282	)		1,749,562
Long/Short Credit		109,534,967		1,786,505		(2,218,975	)		(432,470	)
Monthly Distribution		136,597,022		10,185,946		(14,684,846	)		(4,498,900	)
Real Estate Stock		76,566,644		7,044,185		(4,905,869	)		2,138,316

6. SHARES OF BENEFICIAL INTEREST

Following is a summary of shareholder transactions for each Fund for the six months ended April 30, 2020 and the year ended October 31, 2019, respectively:

For the six months ended April 30, 2020:

	Class N Shares										Class A Shares
								Net Increase										Net Increase
			Distributions					(Decrease) in					Distributions					(Decrease) in
Fund	Issued		Reinvested		Redeemed			Shares			Issued		Reinvested		Redeemed			Shares
Corporate/Government Bond		692,944		34,644		(1,041,241	)		(313,653	)		98,206		5,044		(184,930	)		(81,680	)
Floating Rate Bond		1,495,693		359,907		(3,565,675	)		(1,710,075	)		550,088		9,374		(528,659	)		30,803
High-Yield Bond		703,474		217,455		(2,392,964	)		(1,472,035	)		279,036		28,935		(283,355	)		24,616
International Opportunity Bond		774,368		32,520		(939,974	)		(133,086	)		206,554		4,664		(102,104	)		109,114
Large Cap Value		2,002,998		138,361		(396,512	)		1,744,847			503,105		34,068		(295,998	)		241,175
Small Cap Value		2,005,573		—		(577,628	)		1,427,945			341,570		—		(136,529	)		205,041
Focused Large Cap Growth		599,985		97,550		(535,524	)		162,011			241,196		27,823		(423,455	)		(154,436	)
Small Cap Growth		551,809		40,552		(325,273	)		267,088			191,038		11,564		(376,141	)		(173,539	)
Emerging Markets Stock		1,229,207		34,748		(668,754	)		595,201			278,106		5,711		(192,254	)		91,563
International Stock		1,790,231		138,031		(836,013	)		1,092,249			351,228		28,084		(270,790	)		108,522
Dynamic Macro		472,120		—		(1,393,772	)		(921,652	)		105,120		—		(397,767	)		(292,647	)
Long/Short Credit		2,780,421		105,257		(2,950,207	)		(64,529	)		407,277		16,321		(313,905	)		109,693
Monthly Distribution		391,434		103,950		(1,819,838	)		(1,324,454	)		151,014		22,944		(407,994	)		(234,036	)
Real Estate Stock		974,729		170,517		(453,295	)		691,951			188,187		36,242		(86,346	)		138,083

121

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

	Class C Shares
								Net Increase
			Distributions					(Decrease) in
Fund	Issued		Reinvested		Redeemed			Shares
Corporate/Government Bond		419,053		2,495		(208,091	)		213,457
Floating Rate Bond		363,172		16,944		(293,503	)		86,613
High-Yield Bond		61,223		12,117		(258,078	)		(184,738	)
International Opportunity Bond		31,735		971		(59,844	)		(27,138	)
Large Cap Value		65,509		10,700		(148,010	)		(71,801	)
Small Cap Value		46,875		—		(72,128	)		(25,253	)
Focused Large Cap Growth		47,303		12,296		(107,701	)		(48,102	)
Small Cap Growth		25,430		4,355		(71,104	)		(41,319	)
Emerging Markets Stock		37,083		665		(100,284	)		(62,536	)
International Stock		57,316		6,779		(168,498	)		(104,403	)
Dynamic Macro		31,650		—		(102,241	)		(70,591	)
Long/Short Credit		510,377		5,529		(293,495	)		222,411
Monthly Distribution		71,296		28,562		(305,797	)		(205,939	)
Real Estate Stock		33,578		11,800		(48,557	)		(3,179	)
For the year ended October 31, 2019:
	Class N Shares										Class A Shares
								Net Increase										Net Increase
			Distributions					(Decrease) in					Distributions					(Decrease) in
Fund	Issued		Reinvested		Redeemed			Shares			Issued		Reinvested		Redeemed			Shares
Corporate/Government Bond		1,358,705		85,602		(1,548,844	)		(104,537	)		238,649		10,366		(120,020	)		128,995
Floating Rate Bond		4,135,951		779,224		(5,195,790	)		(280,615	)		691,894		95,516		(535,999	)		251,411
High-Yield Bond		2,250,727		527,921		(3,558,884	)		(780,236	)		353,882		63,555		(462,947	)		(45,510	)
International Opportunity Bond		699,740		22,947		(794,969	)		(72,282	)		147,890		1,757		(112,758	)		36,889
Large Cap Value		695,868		214,901		(687,966	)		222,803			384,880		49,142		(221,805	)		212,217
Small Cap Value		688,673		319,621		(408,023	)		600,271			232,547		65,268		(122,444	)		175,371
Focused Large Cap Growth		959,514		225,236		(743,219	)		441,531			841,812		57,629		(561,841	)		337,600
Small Cap Growth		899,200		444,127		(680,884	)		662,443			278,378		149,638		(268,644	)		159,372
Emerging Markets Stock		749,368		80,396		(775,088	)		54,676			363,428		13,390		(277,895	)		98,923
International Stock		1,246,392		435,239		(862,721	)		818,910			447,321		86,701		(249,533	)		284,489
Dynamic Macro		462,025		89,536		(1,109,155	)		(557,594	)		234,015		18,240		(318,335	)		(66,080	)
Long/Short Credit		5,434,899		199,627		(2,368,449	)		3,266,077			680,269		24,160		(199,739	)		504,690
Monthly Distribution		1,550,592		287,081		(2,207,230	)		(369,557	)		481,103		61,442		(529,598	)		12,947
Real Estate Stock		285,995		55,368		(859,354	)		(517,991	)		150,462		9,521		(219,442	)		(59,459	)
	Class C Shares
								Net Increase
			Distributions					(Decrease) in
Fund	Issued		Reinvested		Redeemed			Shares
Corporate/Government Bond		37,167		3,771		(61,875	)		(20,937	)
Floating Rate Bond		379,932		33,786		(240,739	)		172,979
High-Yield Bond		104,964		34,960		(151,150	)		(11,226	)
International Opportunity Bond		26,236		248		(25,990	)		494
Large Cap Value		88,590		14,327		(37,247	)		65,670
Small Cap Value		73,760		25,630		(27,700	)		71,690
Focused Large Cap Growth		137,733		28,599		(118,605	)		47,727
Small Cap Growth		84,693		66,749		(110,039	)		41,403
Emerging Markets Stock		53,034		2,497		(59,245	)		(3,714	)
International Stock		82,464		27,672		(62,141	)		47,995
Dynamic Macro		42,791		2,794		(31,545	)		14,040
Long/Short Credit		126,205		10,251		(38,884	)		97,572
Monthly Distribution		309,307		78,470		(345,815	)		41,962
Real Estate Stock		30,559		1,724		(32,045	)		238

122

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

7. DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

The tax character of dividends paid during the year or period ended October 31, 2019 and October 31, 2018 was as follows:

	For the year ended October 31, 2019								For the year ended October 31, 2018
	Ordinary		Long-Term		Return of				Ordinary		Long-Term		Return of
Fund	Income		Capital Gains		Capital		Total		Income		Capital Gains		Capital		Total
Corporate/Government Bond**	$	1,364,485	$	—	$	—	$	1,364,485	$	1,586,252	$	—	$	21,031.00	$	1,607,283
Floating Rate Bond**		8,609,420		—		—		8,609,420		7,558,793		—		—		7,558,793
High-Yield Bond**		5,606,169		—		1,997		5,608,166		5,523,745		—		—		5,523,725
International Opportunity Bond		78,557		143,753		2,685		224,995		—		42,342		—		42,342
Large Cap Value		1,029,945		2,475,280		—		3,505,225		557,584		713,265		—		1,270,849
Small Cap Value		1,864,480		3,196,685		23,516		5,084,681		1,593,661		1,586,225		—		3,179,886
Focused Large Cap Growth		—		6,222,027		—		6,222,027		—		722,085		—		722,085
Small Cap Growth		3,935,267		5,125,659		—		9,060,926		1,842,122		3,242,312		—		5,084,434
Emerging Markets Stock *		1,399,913		—		—		1,399,913		824,337		—		—		824,337
International Stock *		1,605,914		6,332,594		—		7,938,508		1,605,505		3,151,817		—		4,757,322
Dynamic Macro		771,551		—		228,780		1,000,331		—		—		—		—
Long/Short Credit**		2,186,769		—		—		2,186,769		479,171		—		—		479,171
Monthly Distribution**		—		—		14,962,154		14,962,154		2,716,635		—		11,318,712		14,035,347
Real Estate Stock		963,717		—		—		963,717		344,955		300,608		—		645,563

* The difference between ordinary distributions paid from book and ordinary distributions paid from tax relates to allowable foreign tax credits of $454,755 and $196,218 for fiscal year ended October 31, 2019 for International Stock and Emerging Markets Stock respectively, and $232,938 for the fiscal year ended October 31, 2018 for Emerging Markets Stock, which have been passed through to the Funds’ underlying shareholders and are deemed dividends for tax purposes.

** Differences in distributions between the Statements of Changes paid from book and tax on the relate to adjustments for dividends payable for tax purposes.

Permanent book and tax differences, primarily attributable to the reclass of net operating losses and fund distributions and the expiration of capital loss carry forwards, resulted in reclassification for the tax year ended October 31, 2019 as follows:

	Paid
	In			Accumulated
Fund	Capital			Earnings (Loss)
Corporate/Government Bond	$	—		$	—
Floating Rate Bond		—			—
High-Yield Bond		(1,997	)		1,997
International Opportunity Bond		(126,390	)		126,390
Large Cap Value		—			—
Small Cap Value		(23,516	)		23,516
Focused Large Cap Growth		(179,273	)		179,273
Small Cap Growth		(92,315	)		92,315
Emerging Markets Stock		(351,019	)		351,019
International Stock		—			—
Dynamic Macro		(152,059	)		152,059
Long/Short Credit		—			—
Monthly Distribution		(1,072,043	)		1,072,043
Real Estate Stock		—			—

Net assets were unaffected by the above reclassifications.

123

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

As of each of the Fund’s tax year-ended October 31, 2019, the components of distributable earnings on a tax basis were as follows:

	Undistributed		Undistributed					Capital Loss			Other			Unrealized			Total
	Ordinary		Long-Term					Carry			Book/Tax			Appreciation/			Accumulated
Fund	Income		Capital Gains		Late Year Loss			Forwards			Differences			(Depreciation)			Earnings/(Deficits)
Corporate/Government Bond	$	21,206	$	—	$	—		$	(3,184,848	)	$	(1,468	)	$	2,315,403		$	(849,707	)
Floating Rate Bond		113,538		—		—			(4,557,245	)		(4,372	)		(5,370,721	)		(9,818,800	)
High-Yield Bond		—		—		—			(7,494,821	)		(6,751	)		563,319			(6,938,253	)
International Opportunity Bond		—		—		(100,060	)		—			—			1,296,907			1,196,847
Large Cap Value		724,977		1,943,275		—			—			—			17,158,205			19,826,457
Small Cap Value		—		—		(72,334	)		(1,143,759	)		—			3,408,089			2,191,996
Focused Large Cap Growth		—		3,667,504		(1,033,914	)		—			—			45,240,001			47,873,591
Small Cap Growth		—		805,397		(635,376	)		—			—			3,658,639			3,828,660
Emerging Markets Stock		630,372		—		—			(1,472,324	)		—			4,768,192			3,926,240
International Stock		2,718,040		—		—			(4,689,441	)		—			10,575,264			8,603,863
Dynamic Macro		—		—		—			(1,364,940	)		—			2,526,452			1,161,512
Long/Short Credit		469,055		—		—			—			(1,802	)		1,277,376			1,744,629
Monthly Distribution		—		—		(804,617	)		(950,040	)		(515,974	)		(1,716,782	)		(3,987,413	)
Real Estate Stock		1,480,197		2,042,145		—			—			—			11,898,531			15,420,873

The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income (loss) and accumulated net realized gain (loss) from security transactions are primarily attributable to the tax deferral of losses on wash sales, the mark-to-market treatment of open forward foreign currency contracts, options, dividend payable and swap contracts, and adjustments for partnerships, perpetual bonds, passive foreign investment companies, constructive sales of securities held short, straddles and C Corporation return of capital distributions. The unrealized appreciation (depreciation) in the table above includes unrealized foreign currency gains (losses) for the Funds. In addition, the amount listed under other book/tax differences are primarily attributable to the tax deferral of losses on straddles and constructive sales, and tax adjustments for accrued dividend payable.

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

	Late Year
Fund	Losses
Corporate/Government Bond	$	—
Floating Rate Bond		—
High-Yield Bond		—
International Opportunity Bond		100,060
Large Cap Value		—
Small Cap Value		72,334
Focused Large Cap Growth		1,033,914
Small Cap Growth		635,376
Emerging Markets Stock		—
International Stock		—
Dynamic Macro		—
Long/Short Credit		—
Monthly Distribution		804,617
Real Estate Stock		—

124

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

At October 31, 2019, the following Funds had capital loss carryforwards for federal income tax purposes available to offset future capital gains as follows:

	Non-Expiring		Non-Expiring				Capital Loss Carry		Capital Loss Carry
Fund	Short-Term		Long-Term		Total		Forward Expired		Forward Utilized
Corporate/Government Bond	$	1,121,080	$	2,063,768	$	3,184,848	$	—	$	57,915
Floating Rate Bond		978,122		3,579,123		4,557,245		—		—
High-Yield Bond		3,837,612		3,657,209		7,494,821		—		—
International Opportunity Bond		—		—		—		—		—
Large Cap Value		—		—		—		—		—
Small Cap Value		889,147		254,612		1,143,759		—		—
Focused Large Cap Growth		—		—		—		—		—
Small Cap Growth		—		—		—		—		—
Emerging Markets Stock		1,472,324		—		1,472,324		351,019		—
International Stock		4,689,441		—		4,689,441		—		—
Dynamic Macro		1,364,940		—		1,364,940		152,059		3,926,174
Long/Short Credit		—		—		—		—		66,482
Monthly Distribution		—		950,040		950,040		—		—
Real Estate Stock		—		—		—		—		—

8. LINE OF CREDIT

Currently, the Funds have a $40,000,000 uncommitted line of credit provided by U.S. Bank National Association (the “Bank”) under an agreement (the “Uncommitted Line”). Any advance under the Uncommitted Line is contemplated primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable on an annualized basis at rate of Prime less .5%. The Uncommitted Line is not a “committed” line of credit, which is to say that the Bank is not obligated to lend money to a Fund. Accordingly, it is possible that a Fund may wish to borrow money for a temporary or emergency purpose but may not be able to do so. Based only on the days borrowed, the average amount of borrowings outstanding where as follows:

	Average borrowings
Fund	outstanding
Floating Rate Bond	$	1,024,000
High-Yield Bond		188,000
International Opportunity Bond		449,000
Large Cap Value		137,000
Small Cap Value		524,889
Focused Large Cap Growth		1,341,000
Emerging Markets Stock		226,722
International Stock		466,129
Dynamic Macro		88,000
Real Estate Stock		335,286

The interest expense for all the Funds listed above is immaterial.

As of April 30, 2020, all the Funds listed above had no outstanding borrowings on the Uncommitted Line.

Funds not listed above did not access the line of credit during the six months ended April 30, 2020.

9. SECURITIES LENDING

The Funds have entered into separate Securities Lending Agreements (“Agreements”) with the US Bank NA and Securities Finance Trust Company (“SFTC”). High Yield Bond, Small Cap Growth and Monthly Distribution lend securities with SFTC. All other Funds lend securities with US Bank NA. Each participating Fund can lend their securities to brokers, dealers and other financial institutions approved by the Board to earn additional income. Loans are collateralized at a value at least equal to 105% of the then current market value of any loaned security that are foreign, or 102% of the then current market value of any other loaned security. International Stock is below the 105% threshold due to market fluctuation. All interest and dividend payments received on securities which are held on loan, provided that there is no material default, will be paid to the respective Fund. A portion of the income generated by the investment in the Funds collateral, net of any rebates paid by the Bank to the borrowers is remitted to US Bank or SFTC as lending agent and the remainder is paid to the Fund(s).

125

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

Securities lending income, if any, is disclosed in the Funds’ Statements of Operations and is net of fees retained by the counterparty. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the Borrower fails to return them. Should the borrower of the securities fail financially, each Fund has the right to repurchase the securities using the collateral in the open market. The remaining contractual maturity of all securities lending transactions are overnight and continuous.

The below table shows the collateral held by each Fund at the end of the period.

										Gross Amounts Not Offset in the
										Statement of Assets & Liabilities
		Gross			Gross Amounts		Net Amounts of
		Amounts of			Offset in the		Liabilities Presented
		Recognized			Statement of Assets		in the Statement of			Financial		Cash Collateral
Description	Counterparty	Liabilities			& Liabilities		Assets & Liabilities			Instruments		Pledged		Net Amount
Corporate/Government Bond
Liabilities
Securities Loaned	US Bank	$	(5,450,279	)	$	—	$	(5,450,279	)	$	5,450,279	$	—	$	—
Floating Rate Bond
Liabilities
Securities Loaned	US Bank	$	(887,813	)	$	—	$	(887,813	)	$	887,813	$	—	$	—
High-Yield Bond
Liabilities
Securities Loaned	SFTC	$	(1,546,729	)	$	—	$	(1,546,729	)	$	1,546,729	$	—	$	—
Securities Loaned	SFTC		(528,582	)		—		(528,582	)		528,582		—		—
Total		$	(2,075,311	)	$	—	$	(2,075,311	)	$	2,075,311	$	—	$	—
International Opportunity Bond
Liabilities
Securities Loaned	US Bank	$	(1,087,003	)	$	—	$	(1,087,003	)	$	1,087,003	$	—	$	—
Large Cap Value
Liabilities
Securities Loaned	US Bank	$	(31,430,373	)	$	—	$	(31,430,373	)	$	31,430,373	$	—	$	—
Small Cap Value
Liabilities
Securities Loaned	US Bank	$	(17,746,590	)	$	—	$	(17,746,590	)	$	17,746,590	$	—	$	—
Focused Large Cap Growth
Liabilities
Securities Loaned	US Bank	$	(34,775,780	)	$	—	$	(34,775,780	)	$	34,775,780	$	—	$	—
Small Cap Growth
Liabilities
Securities Loaned	SFTC	$	(2,446,691	)	$	—	$	(2,446,691	)	$	2,446,691	$	—	$	—
Securities Loaned	SFTC		(1,010,439	)		—		(1,010,439	)		1,010,439		—		—
Total		$	(3,457,130	)	$	—	$	(3,457,130	)	$	3,457,130	$	—	$	—
Emerging Markets Stock
Liabilities
Securities Loaned	US Bank	$	(2,228,041	)	$	—	$	(2,228,041	)	$	2,228,041	$	—	$	—
International Stock
Liabilities
Securities Loaned	US Bank	$	(6,616,325	)	$	—	$	(6,616,325	)	$	6,616,325	$	—	$	—
Dynamic Macro
Liabilities
Securities Loaned	US Bank	$	(8,756,789	)	$	—	$	(8,756,789	)	$	8,756,789	$	—	$	—

126

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

										Gross Amounts Not Offset in the
										Statement of Assets & Liabilities
					Gross Amounts		Net Amounts of
		Gross Amounts			Offset in the		Liabilities Presented
		of Recognized			Statement of Assets		in the Statement of			Financial		Cash Collateral
Description	Counterparty	Liabilities			& Liabilities		Assets & Liabilities			Instruments		Pledged		Net Amount
Long/Short Credit
Liabilities
Securities Loaned	US Bank	$	(28,201,977	)	$	—	$	(28,201,977	)	$	28,201,977	$	—	$	—
Monthly Distribution
Liabilities
Securities Loaned	SFTC	$	(3,663,660	)	$	—	$	(3,663,660	)	$	3,663,660	$	—	$	—
Real Estate Stock
Liabilities
Securities Loaned	US Bank	$	(17,370,181	)	$	—	$	(17,370,181	)	$	17,370,181	$	—	$	—

The following table presents financial instruments that are subject to enforceable netting arrangements as of April 30, 2020.

Gross Amounts of Assets Presented in the Statements of Assets and Liabilities
	Market Value of		Market Value of
Fund	Loaned Securities		Collateral (1)
Corporate/Government Bond	$	5,315,151	$	5,315,151
Floating Rate Bond		871,486		871,486
High-Yield Bond		2,034,212		2,034,212
International Opportunity Bond *		1,062,329		1,062,329
Large Cap Value		29,953,884		29,953,884
Small Cap Value	��	16,563,983		16,563,983
Focused Large Cap Growth		33,862,787		33,862,787
Small Cap Growth		3,387,746		3,387,746
Emerging Markets Stock *		2,104,243		2,104,243
International Stock *		6,228,850		6,228,850
Dynamic Macro *		8,497,625		8,497,625
Long/Short Credit		27,649,215		27,649,215
Monthly Distribution		3,584,238		3,584,238
Real Estate Stock		16,681,817		16,681,817

(1) The amount is limited to the loaned securities and accordingly, does not include excess collateral pledged.

* Securities collateralized below 102% or 105% for foreign securities. The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% or 105% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% or 105% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102% or 105%.

10. UNDERLYING INVESTMENTS IN OTHER INVESTMENT COMPANIES

The Funds invest in other investment companies. Each underlying fund, including each ETF, is subject to specific risks, depending on the nature of the underlying fund. These risks could include liquidity risk, sector risk, foreign and related currency risk and high yield risk. Investors in the Funds will indirectly bear fees and expenses charged by the underlying investment companies in which the Funds invest in addition to the Funds’ direct fees and expenses. All the Funds may invest in investment companies. Such investments would subject the Funds to similar risks.

127

NOTES TO FINANCIAL STATEMENTS (Unaudited)

April 30, 2020 (Continued)

The performance of Monthly Distribution will be directly affected by the performance of the Fidelity Investments Money Market Fund – Class I. The financial statements of this Fund, including the portfolio of investments, can be found at the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with Monthly Distribution’s financial statements. As of April 30, 2020, the percentage of Monthly Distribution Fund invested in the Fidelity Investments Money Market Fund- Class I was 41.5%.

11. RECENT ACCOUNTING PRONOUNCEMENTS

In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. These amendments have been adopted with these financial statements.

12. LIQUIDITY RISK MANAGEMENT PROGRAM

In October 2016, the Securities and Exchange Commission (“SEC”) adopted Rule 22e-4, or the “Liquidity Rule,” under the Investment Company Act of 1940. The Liquidity Rule requires a mutual fund to adopt a liquidity risk management program (“Program”). In June 2018, the SEC adopted a requirement that a mutual fund disclose information about the operation and effectiveness of its Program in its reports to shareholders.

The Funds have adopted and implemented a Program pursuant to the Liquidity Rule, effective December 1, 2018. The Program is intended to provide a framework for: (1) assessing and managing a Fund’s liquidity risk (i.e., the risk that a Fund could not meet requests to redeem shares without significantly diluting remaining investors’ interests) based on a variety of factors, including the Fund’s investment strategy and liquidity of its portfolio investments, (2) classifying the liquidity of a Fund’s investments, (3) determining a Fund’s highly liquid investment minimum (“HLIM”), if applicable, (4) complying with a Fund’s illiquid investment limit, and (5) reporting to the Funds’ Board of Trustees. The Board of Trustees designated the Funds’ investment adviser, Dunham & Associates Investment Counsel, Inc. (the “Program Administrator”), to administer the Program. The Program Administrator established a liquidity risk management group to assist the Program Administrator in implementing the Program.

Under the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories defined by the SEC: highly liquid, moderately liquid, less liquid, and illiquid. Liquidity classifications take into account a variety of market, trading, and investment factors, including the Fund’s reasonably anticipated trade size, and the Program Administrator has engaged a third-party vendor to assist with the classification of portfolio investments.

The Liquidity Rule prohibits mutual funds from acquiring investments that would cause their illiquid investments to exceed 15% of net assets. The Liquidity Rule also requires funds that do not primarily hold assets that are highly liquid investments to determine a minimum percentage of net assets to be invested in highly liquid investments (the HLIM). The Program includes provisions designed to comply with the 15% limit on illiquid investments and for determining and complying with the HLIM requirement, as applicable.

In accordance with the Liquidity Rule, the Program Administrator prepared, and the Funds’ Board of Trustees reviewed, a report regarding the operation and effectiveness of the Program for the period from December 1, 2018 through December 31, 2019. The report concluded that the Program remains reasonably designed to assess and manage a Fund’s liquidity risk, and that during the period the Program was implemented effectively.

13. SUBSEQUENT EVENTS

Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.

128

ADDITIONAL INFORMATION (Unaudited)

Meeting of the Board of Trustees Held on December 16–17, 2019

On December 16-17, 2019, the Board of Trustees (the “Board”) of Dunham Funds (the “Trust”), a Delaware business trust, met to consider, among other things, (i) the renewal of the investment advisory agreement between the Trust and Dunham & Associates Investment Counsel, Inc. (the “Adviser”) and (ii) the approval and/or renewal of the sub-advisory agreements with various sub-advisers for certain Trust series (the “Funds”). The investment advisory agreement and the sub-advisory agreements are collectively referred to as the “Advisory Agreements.” The Funds and the relevant sub-advisers with sub-advisory agreements up for approval and/or renewal include:

Fund	Sub-Advisory Agreement
Dunham Corporate/Government Bond Fund	Newfleet Asset Management, LLC
Dunham Dynamic Macro Fund	Mellon Investments Corporation
[Dunham Emerging Markets Stock Fund]	[NS Partners Ltd. not up for renewal at this time]
Dunham Floating Rate Bond Fund	Newfleet Asset Management, LLC
Dunham Focused Large Cap Growth Fund	The Ithaka Group, LLC
Dunham High Yield Bond Fund	PineBridge Investments LLC
Dunham International Opportunity Bond Fund	Stone Harbor Investment Partners LP (new sub-adviser)
Dunham International Stock Fund	Arrowstreet Capital, Limited Partnership
Dunham Large Cap Value Fund	Rothschild & Co. Asset Management US
Dunham Long/Short Credit Fund (formerly Dunham Appreciation & Income Fund)	MetLife Investment Management, LLC
[Dunham Monthly Distribution Fund]	[Weiss Multi-Strategy Advisers LLC not up for renewal at this time]
Dunham Real Estate Stock Fund	American Assets Capital Advisers LLC (new sub-adviser)
Dunham Small Cap Growth Fund	Pier Capital, LLC
[Dunham Small Cap Value Fund]	[Ziegler Capital Management, LLC not up for renewal at this time]

The Independent Trustees had requested and reviewed materials the Adviser and the sub-advisers provided prior to and during the meetings and had reviewed a memorandum from Fund counsel that reviewed their fiduciary duties pertaining to renewal of investment management and sub-advisory agreements and the factors they should consider in evaluating the Advisory agreements.

Among other information, the Adviser and the sub-advisers provided information to assist the Independent Trustees in assessing the nature, extent and quality of services provided, information comparing the investment performance, advisory fees and operating expense ratio of each Fund to other funds, information about estimated profitability and/or financial condition and compliance and regulatory matters. The Board determined that, given the totality of the information provided with respect to each Advisory Agreement, the Board had received sufficient information to approve the Advisory Agreements.

The Independent Trustees and Fund counsel met in executive session to consider the renewal of the Advisory Agreements. The Board also received information about the Funds throughout the year in connection with the regular quarterly Board meetings from the Adviser and various Fund sub-advisers.

Based upon its review, the Board concluded that it was in the best interests of each Fund that the Advisory Agreements be renewed. In considering the renewal of the Advisory Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, and considered a variety of factors in its analysis, including those discussed below. The Board did not allot a particular weight to any one factor or group of factors.

I. Investment Advisory Agreement

Nature, Extent and Quality of Services. In considering the renewal of the investment advisory agreement with the Adviser, the Board considered the nature, extent and quality of services that the Adviser provided to the Funds, including the Adviser’s personnel and resources and the Adviser’s criteria for reviewing a sub-adviser’s performance. The Board reviewed the services the Adviser provided in serving as investment adviser, including the backgrounds of the personnel providing the investment management services and compliance staff. They also reviewed information provided regarding risk management and compliance and regulatory matters. The Board concluded that the services the Adviser provided were satisfactory.

129

ADDITIONAL INFORMATION (Unaudited)(Continued)

Performance. The Board reviewed performance information the Adviser provided for Class N of each Fund compared to the performance of (a) funds in a peer group (the “Peer Group”) (which is a relevant sub-set of funds in a Fund’s Morningstar category), (b) a Morningstar category average and (c) a benchmark index for the one, five and ten year periods or since a Fund’s inception, as applicable, ended September 30, 2019. The Board considered that the Adviser had delegated day-to-day portfolio management of each Fund’s strategy to a sub -adviser and noted the ongoing oversight activities the Adviser performed, including review of returns on a relative and absolute basis, evaluation of brokerage execution quality and yearly compliance reviews. The Board concluded that the Adviser had appropriately reviewed and monitored each sub-adviser’s investment performance.

Advisory Fee. The Board reviewed each Fund’s advisory fee and expense ratio, taking into account the Fund’s average net assets, and reviewed information comparing the advisory fee and expense ratio to those of the Peer Group and a Morningstar category. The Board discussed that while the advisory fees do not necessarily have to be the lowest compared to the Peer Groups, it is their duty to evaluate whether the advisory fees are reasonable. The Board noted that the Adviser’s fees range from 0.50% to 0.65%, which, when combined with the sub-adviser fees, are generally higher than the Peer Group averages when a Fund is performing well, but in some cases lower than the Peer Group averages when a Fund is underperforming. The Board concluded that the Adviser’s fee ranges are reasonably applied based on the nature of a Fund (i.e., bond vs. equity, or alternative vs. traditional). The Board observed that currently four Funds are considered “alternative” and generally require enhanced oversight compared to more traditional asset classes. The Board discussed the level of work involved in the Adviser’s oversight of the Funds and the Adviser’s ongoing quantitative and qualitative analysis of each sub-adviser.

The Board also noted:

● Dunham Corporate/Government Bond Fund: The Board noted that the advisory fee was higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range.

● Dunham Dynamic Macro Fund: The Board noted that the advisory fee was lower than the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range.

● Dunham Emerging Markets Stock Fund: The Board noted that the advisory fee was lower than the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range.

● Dunham Floating Rate Bond Fund: The Board noted that the advisory fee was in line with the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range.

● Dunham Focused Large Cap Growth Fund: The Board noted that the advisory fee was in line with the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range.

● Dunham High-Yield Bond Fund: The Board noted that the advisory fee was in line with the average of the Peer Group and the Morningstar category; and, the overall expense ratio was in a reasonable range.

● Dunham International Opportunity Bond Fund: The Board noted that the advisory fee was slightly higher than the average of the Peer Group and the Morningstar category; however, the overall expense ratio was the highest in the Peer Group and Morningstar Category due to above average other expenses.

● Dunham International Stock Fund: The Board noted that the advisory fee was in line of the Peer Group and the Morningstar category; however, the overall expense ratio was in a reasonable range.

● Dunham Large Cap Value Fund: The Board noted that the advisory fee was in line with the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range.

● Dunham Long/Short Credit Fund (formerly Dunham Appreciation & Income Fund): The Board noted that the advisory fee was lower than the average of the Peer Group and the Morningstar category, and the overall expense ratio was also lower.

● Dunham Monthly Distribution Fund: The Board noted that the advisory fee was lower than the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range.

130

ADDITIONAL INFORMATION (Unaudited)(Continued)

● Dunham Real Estate Stock Fund: The Board noted that the advisory fee was in line with the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range.

● Dunham Small Cap Growth Fund: The Board noted that the advisory fee was lower than the average of the Peer Group and the Morningstar category, and the overall expense ratio was in a reasonable range.

● Dunham Small Cap Value Fund: The Board noted that the advisory fee was lower than the average of the Peer Group and the Morningstar Category, and overall expense ratio was in a reasonable range.

In light of the nature, quality and extent of services the Adviser provided, the Board concluded that each Fund’s advisory fee was reasonable.

Economies of Scale. The Board considered the extent to which economies of scale would be realized as each Fund grows and whether fee levels reflect a reasonable sharing of economies of scale for the benefit of Fund investors. The Board noted that breakpoints may be an appropriate way for the Adviser to share its economies of scale if a Fund experiences substantial asset growth; however, the Board recognized that no Fund had yet reached an asset level where the Adviser could realize significant economies of scale. The Board observed that economies of scale will be considered in the future as Fund asset levels grow.

Profitability. The Board also reviewed the estimated profitability of the Adviser with respect to each Fund. The Board concluded that the estimated profitability of the Adviser in connection with the management of each Fund was reasonable, and at a level to adequately incentivize the Adviser to continue to provide high quality services.

Fallout Benefits. Because of its relationship with the Funds, the Adviser and its affiliates may receive certain benefits. The Board reviewed materials provided by the Adviser as to any such benefits.

II. Sub-Advisory Agreements

Nature, Extent and Quality of Services. In considering the approval and/or renewal of the sub-advisory agreement, as applicable, between each Fund and the Fund’s respective sub-adviser, the Board considered the nature, extent and quality of services the sub-adviser provided under the sub-advisory agreement. The Board reviewed the services the sub-adviser provided, the background of the investment professionals servicing the Fund, and the sub-adviser’s reputation, resources and investment approach. The Board also reviewed information provided regarding the structure of portfolio manager compensation, trading and brokerage practices, soft dollar usage, risk management and compliance matters.

Performance. The Board reviewed each Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board also noted:

● Dunham Corporate/Government Bond Fund: The Board noted that Newfleet Asset Management, LLC (“Newfleet”), has served as the Fund’s sub-adviser since December 10, 2004 (the inception date of the Fund). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund was in line with the benchmark index over the ten-years and since Newfleet became sub-adviser and underperformed the benchmark index over the one-year and five-year time periods. The Fund was in line with Peer Group over all time periods, except since Newfleet became sub-adviser. The Adviser observed that the Fund’s underperformance can largely be attributed to the lower duration exposure of the Fund relative to the benchmark and the Peer Group. The Adviser believes that Newfleet has navigated the extreme market environment well. The Board concluded that the services Newfleet provided were satisfactory.

● Dunham Dynamic Macro Fund: The Board noted that Mellon Capital Management (“Mellon”), has served as the Fund’s sub-adviser since October 1, 2014 (while the Fund’s inception date was April 30, 2010). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund was in line with the Peer Group over the one-year period and underperformed the Peer Group across the five-year period and since inception, and since Mellon became sub-adviser. The Fund outperformed or was in line with the benchmark index over all periods except over the one-year period. The Board considered that the underperformance was primarily attributable to the previous sub-adviser and the strategy that was implemented prior to 2014. The Board considered that the Fund has outperformed its Peer Group, the Morningstar category and benchmark index, since Mellon began managing the Fund’s investments. The Board concluded that the services Mellon provided were satisfactory.

131

ADDITIONAL INFORMATION (Unaudited)(Continued)

● Dunham Floating Rate Bond Fund: The Board noted that Newfleet Asset Management, LLC (“Newfleet”), has served as the Fund’s sub-adviser since November 4, 2013 (the inception date of the Fund). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund underperformed its benchmark index over the one-year, five-year, and since inception periods. In regard to the underperformance, the Adviser observed that principal growth in the bank loan market has been fairly anemic, and the majority of the return is derived from the coupon on the bank loans. The Adviser, however, believes that Newfleet will be able to identify and take advantage of inefficiencies in the bank loan market. The Board considered that the Adviser would continue to closely monitor performance. The Board concluded that the services Newfleet provided were satisfactory.

● Dunham Focused Large Cap Growth Fund: The Board noted that The Ithaka Group, LLC (“Ithaka”), has served as the Fund’s sub-adviser since December 8, 2011 (the inception date of the Fund), and the Fund may hold a maximum of 35 stocks. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund was in line or outperformed its Peer Group over all time periods. The Board noted that the Fund underperformed its benchmark index over the one-year, and since inception periods and the Morningstar category in the one-year period. When the Fund has historically outperformed its Peer Group, the Morningstar category average, and benchmark index, it has done so by a significant amount. The Board concluded that the services Ithaka provided were satisfactory.

● Dunham High Yield Bond Fund: The Board noted that PineBridge Investments LLC (“PineBridge”), has served as the Fund’s sub-adviser since July 1, 2017 (while the Fund’s inception date is July 1, 2005). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund underperformed its benchmark index across the one-year, five-year, and ten-year periods, and since PineBridge became sub-adviser. The Adviser observed that the underperformance can largely be attributed to security selection within the energy sector in the last year. The Fund has outperformed or was in line with the Morningstar category and its Peer Group in all periods. The Board concluded that the services PineBridge provided were satisfactory.

● Dunham International Opportunity Bond Fund: The Board noted that Stone Harbor Investment Partners LP (“Stone Harbor”) would replace Allianz Global Investors US LLC as sub-adviser to the Fund due to underperformance. Stone Harbor, with approximately $20 billion assets under management, is a global institutional fixed income investment manager that specializes in credit and asset allocation strategies. For the Fund, the firm would focus on non-US issues and continue to invest in derivatives and sectors such as emerging market corporate and high-yield bonds, while aiming to reduce currency risk and volatility. Investment allocations would include investment grade and below investment grade fixed-income securities in both developed and emerging markets. The Board concluded that the services that Stone Harbor would provide should be satisfactory.

● Dunham International Stock Fund: The Board noted that Arrowstreet Capital (“Arrowstreet”), has served as the Fund’s sub-adviser since July 1, 2008 (while the Fund’s inception date is December 10, 2004). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund underperformed the Peer Group average, benchmark and Morningstar category average over the one-year period. However, the Fund outperformed or was in line with its Peer Group average, benchmark index and Morningstar category average over the five-year and ten-year periods and since Arrowstreet became sub-adviser. The Board considered that the Adviser would continue to closely monitor performance. The Board concluded that the services Arrowstreet provided were satisfactory.

● Dunham Large Cap Value Fund: The Board noted that Rothschild Asset Management (“Rothschild”), has served as the Fund’s sub-adviser since July 1, 2015 (while the Fund’s inception date is December 10, 2004). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund was in line with its benchmark and outperformed the Peer Group and Morningstar Category for the one-year period. The Fund underperformed its benchmark index, Peer Group and Morningstar Category over the five-year period and the benchmark index over the ten-year period, and since Rothschild became sub-adviser. The Adviser observed that the Fund’s recent performance was strong and the performance periods that include dates prior to July 2015 include performance of the previous sub-adviser. The Board concluded that the services Rothschild provided were satisfactory.

● Dunham Long/Short Credit Fund (formerly Dunham Appreciation & Income Fund): The Board noted that MetLife Investment Management, LLC (“MetLife”), has served as the Fund’s sub-adviser since July 1,

132

ADDITIONAL INFORMATION (Unaudited)(Continued)

2018 (while the Fund’s inception date is December 4, 2004). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund underperformed its benchmark index over the one-year period and since Newfleet became the sub-adviser. The Fund outperformed its Peer Group and the Morningstar category average over all time periods. The Board concluded that the services MetLife provided were satisfactory.

● Dunham Real Estate Stock Fund: The Board noted that American Assets Capital Advisers, LLC (“AACA”) would replace Barings as sub-adviser to Fund due to Barings exiting the publicly traded REIT business. AACA, with approximately $450 million assets under management, is an active manager that runs a long/short strategy for a mutual fund and a long only strategy for its separately managed account business. The four key components that define its overall strategy are: (i) an emphasis on sectors; (ii) sectors that have limited suppliers and limited supply; (iii) sectors with high switching costs for tenants; and (iv) secular demand drivers for tenants. The Board concluded that the services that AACA would provide should be satisfactory.

● Dunham Small Cap Growth Fund: The Board noted that Pier Capital, LLC (“Pier”), has served as the Fund’s sub-adviser since December 10, 2004 (the inception date of the Fund). The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category. The Board noted that the Fund underperformed its Peer Group average, Morningstar category average, and benchmark index in the one-year period. However, the Fund outperformed or was in line with the Peer Group average, Morningstar category average, and benchmark across all other periods. The Adviser observed that this headwind for the Fund was the exposure to information technology stocks in the latter half of the one-year period. The Board concluded that the services Pier provided were satisfactory.

Sub-Advisory Fees and Economies of Scale. The Board considered each Fund’s sub-advisory fee schedule and noted the fees charged to comparable portfolios, if any, that the sub-adviser managed. The Board noted that the fee schedule was negotiated between the Adviser and each sub-adviser, an unaffiliated third party.

The Board considered the base fee paid to each sub-adviser when the performance of a Fund is equal to that of a specific index plus or minus a “null” zone. The Board also reviewed the operation of the performance fee and the impact on fees and expenses based on various performance results. The Board recognized the unique nature of a performance fee, which results in higher fees when a sub-adviser delivers results, and how performance fees should be integrated into their analysis. The Board noted information that the Adviser provided regarding the specific benchmark index used to compute each sub-adviser’s performance fee, how performance adjustments are calculated, and why the N-share class of each Fund is used for performance calculations.

The Board confirmed its belief that performance fees help ensure that any significant fee adjustments are attributable to a sub-adviser’s skill, rather than to random performance fluctuations, and the performance fee aligns a sub-adviser’s interest with those of Fund shareholders. The Board concluded that each sub-adviser’s fees were in a reasonable range.

The Board reviewed the relevance of economies of scale in the context of a sub-adviser that receives a performance based fee. The Board agreed that the Adviser had successfully negotiated a favorable base fee with each sub-adviser, and that reductions based on asset growth, when coupled with the possibility of fee reductions based on performance, could hinder the Adviser’s ability to attract top sub-advisory talent. The Board agreed that pursuing breakpoints with any of the sub-advisers would not be in the best interests of Fund shareholders at this time.

Profitability and Fallout Benefits. The Board considered information provided regarding each sub-adviser’s estimated profitability from providing sub-advisory services to its respective Fund. The Board noted that the sub-advisory fee schedule was negotiated between the Adviser and each sub-adviser, an unaffiliated third party. The Board reviewed materials provided as to any additional benefits each sub-adviser receives.

III. All Agreements

Conclusion. Based on all of the information considered and the conclusions reached, the Board determined that the terms of the Advisory Agreements for each Fund are fair and reasonable, and that the approval and/or continuation of the Advisory Agreements, as applicable, are in the best interests of each Fund.

133

ADDITIONAL INFORMATION (Unaudited)(Continued)

Meeting of the Board of Trustees Held on March 24, 2020

On March 24, 2020, the Board of Trustees (the “Board “) of Dunham Funds (the “Trust”), a Delaware business trust, met to consider, among other things, a new sub-advisory agreement (the “Sub-Advisory Agreement”) with Ziegler Capital Management, LLC (“ZCM”) on behalf of the Dunham Small Cap Value Fund (the “Fund”). The Sub-Advisory Agreement would take effect upon the change of control of ZCM when 1251 Capital Group, Inc. (“1251). Capital”) completed a transaction with Stifel Financial Corp. (“Stifel”) pursuant to which a subsidiary of 1251 Capital, 1251 Asset Management Platform, LLC (“1251 Asset Management”), acquired the equity interests of ZCM from Stifel.

The Independent Trustees had requested and reviewed materials that Dunham & Associates Investment Counsel, Inc. (the “Adviser”) and ZCM provided prior to and during the meeting and had reviewed a memorandum from Fund counsel that reviewed their fiduciary duties pertaining to the Sub-Advisory Agreement and the factors they should consider in evaluating the Sub-Advisory Agreement.

Among other information, the Adviser and ZCM provided information to assist the Independent Trustees in assessing the nature, extent and quality of services provided, information comparing the investment performance, advisory fees and operating expense ratio of the Fund to other funds, information about estimated profitability and/or financial condition and compliance and regulatory matters. The Board determined that, given the totality of the information provided with respect to the Sub-Advisory Agreement, the Board had received sufficient information to approve the Sub-Advisory Agreement. The Independent Trustees and Fund counsel also met to consider the Sub-Advisory Agreement.

Based upon its review, the Board concluded that it was in the best interests of the Fund that the Sub-Advisory Agreement be approved. In considering the approval of the Sub-Advisory Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, and considered a variety of factors in its analysis, including those discussed below. The Board did not allot a particular weight to any one factor or group of factors.

IV. Sub-Advisory Agreements

Nature, Extent and Quality of Services. In considering the approval of the Sub-Advisory Agreement between the Fund and ZCM, the Board considered the nature, extent and quality of services ZCM would provide under the Sub-Advisory Agreement. The Board reviewed the background of the investment professionals that would service the Fund, and the sub-adviser’s reputation, resources and investment approach.

The Board also reviewed information provided regarding the structure of portfolio manager compensation, trading and brokerage practices, soft dollar usage, risk management and compliance matters. The Board noted in particular that the entire ZCM investment team, including all team members providing advisory services to the Fund, will remain in place and continue to provide the same investment advisory services to the Fund. The investment discipline, process, tools and models also will remain unchanged. The Board further considered that there would be no changes to the ZCM compliance team as a result of the transaction. The Board concluded that the services ZCM would provide should be satisfactory.

Performance. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category.

The Board also noted in particular that since ZCM and its predecessor entity began managing the Fund, the Fund has performed in line with or outperformed its Peer Group, the Morningstar category and the benchmark index. The Board concluded that the services ZCM provided were satisfactory.

Sub-Advisory Fees and Economies of Scale. The Board considered the Fund’s sub-advisory fee schedule and noted the fees charged to comparable portfolios, if any, that the sub-adviser managed. The Board considered that the fee schedule was negotiated between the Adviser and ZCM, an unaffiliated third party.

The Board considered the base fee paid to ZCM when the performance of a Fund is equal to that of a specific index plus or minus a “null ” zone. The Board also reviewed the operation of the performance fee and the impact on fees and expenses based on various performance results. They discussed the unique nature of the performance fee, which results in higher fees when a sub-adviser delivers results, and how performance fees should be integrated into their analysis.

The Board confirmed its belief that performance fees help ensure that any significant fee adjustments are attributable to a sub-adviser’s skill, rather than to random performance fluctuations, and the performance fee aligns a sub-adviser’s interest with those of Fund shareholders.

The Board also noted in particular that the Fund’s sub-advisory fee schedule will remain the same after the change of control of ZCM on or about March 31, 2020.

134

ADDITIONAL INFORMATION (Unaudited)(Continued)

The Board concluded that ZCM’s fees were in a reasonable range.

The Board reviewed the relevance of economies of scale in the context of a sub-adviser that receives a performance based fee. The Board agreed that the Adviser had successfully negotiated a favorable base fee with ZCM, and that reductions based on asset growth, when coupled with the possibility of fee reductions based on performance, could hinder the Adviser’s ability to attract top sub-advisory talent. The Board agreed that pursuing breakpoints with the sub-adviser would not be in the best interests of Fund shareholders at this time.

Profitability and Fallout Benefits. The Board considered any information provided regarding ZCM’s estimated profitability from providing sub-advisory services to the Fund. The Board noted that the sub-advisory fee schedule was negotiated between the Adviser and ZCM, an unaffiliated third party. The Board reviewed materials provided as to any additional benefits ZCM receives.

Conclusion. Based on all of the information considered and the conclusions reached, the Board determined that the terms of the Sub-Advisory Agreement for the Fund are fair and reasonable, and that the approval of the Sub-Advisory Agreement is in the best interests of the Fund.

135

DUNHAM FUNDS’ EXPENSES (Unaudited)

Example

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

Actual Expenses

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

Hypothetical Examples for Comparison Purposes

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

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

			Actual		Hypothetical
	Fund’s	Beginning	Ending		Ending
	Annualized	Account	Account	Expenses	Account	Expenses
	Expense	Value	Value	Paid During	Value	Paid During
	Ratio	11/1/19	4/30/20	Period*	4/30/20	Period*
Class N:
Corporate/Government Bond Fund	1.28%	$1,000.00	$1,003.80	$6.39	$1,018.49	$6.44
Floating Rate Bond Fund	1.06%	$1,000.00	$1,000.00	$5.28	$1,019.58	$5.33
High-Yield Bond Fund	1.15%	$1,000.00	$1,000.00	$5.70	$1,019.17	$5.75
International Opportunity Bond Fund	1.42%	$1,000.00	$885.20	$6.65	$1,017.81	$7.11
Large Cap Value Fund	1.20%	$1,000.00	$874.90	$5.61	$1,018.88	$6.04
Small Cap Value Fund	1.35%	$1,000.00	$758.00	$5.91	$1,018.14	$6.78
Focused Large Cap Growth Fund	1.26%	$1,000.00	$1,000.00	$6.26	$1,018.60	$6.32
Small Cap Growth Fund	1.50%	$1,000.00	$1,000.00	$7.48	$1,017.39	$7.54
Emerging Markets Stock Fund	1.83%	$1,000.00	$906.60	$8.67	$1,015.77	$9.16
International Stock Fund	1.44%	$1,000.00	$880.80	$6.74	$1,017.70	$7.23
Dynamic Macro Fund	1.80%	$1,000.00	$933.51	$8.68	$1,015.89	$9.05
Long/Short Credit Fund	1.43%	$1,000.00	$1,000.00	$7.10	$1,017.76	$7.16
Monthly Distribution Fund	1.68%	$1,000.00	$1,000.00	$8.36	$1,016.50	$8.43
Real Estate Stock Fund	1.58%	$1,000.00	$1,000.00	$7.86	$1,017.00	$7.93
Class A:
Corporate/Government Bond Fund	1.53%	$1,000.00	$1,002.50	$7.60	$1,017.27	$7.66
Floating Rate Bond Fund	1.31%	$1,000.00	$1,000.00	$6.53	$1,018.33	$6.59
High-Yield Bond Fund	1.40%	$1,000.00	$1,000.00	$6.94	$1,017.92	$7.01
International Opportunity Bond Fund	1.67%	$1,000.00	$883.30	$7.82	$1,016.56	$8.37
Large Cap Value Fund	1.45%	$1,000.00	$874.30	$6.76	$1,017.65	$7.28
Small Cap Value Fund	1.60%	$1,000.00	$757.10	$7.00	$1,016.90	$8.03
Focused Large Cap Growth Fund	1.51%	$1,000.00	$1,000.00	$7.51	$1,017.35	$7.58
Small Cap Growth Fund	1.72%	$1,000.00	$1,000.00	$8.57	$1,016.29	$8.64
Emerging Markets Stock Fund	2.08%	$1,000.00	$905.30	$9.84	$1,014.53	$10.41
International Stock Fund	1.69%	$1,000.00	$879.80	$7.90	$1,016.46	$8.47
Dynamic Macro Fund	2.05%	$1,000.00	$933.00	$9.84	$1,014.68	$10.26
Long/Short Credit Fund	1.67%	$1,000.00	$1,000.00	$8.30	$1,016.57	$8.36
Monthly Distribution Fund	1.94%	$1,000.00	$1,000.00	$9.63	$1,015.23	$9.70
Real Estate Stock Fund	1.82%	$1,000.00	$1,000.00	$9.06	$1,015.80	$9.14

136

DUNHAM FUNDS’ EXPENSES (Unaudited) (Continued)

			Actual		Hypothetical
	Fund’s	Beginning	Ending		Ending
	Annualized	Account	Account	Expenses	Account	Expenses
	Expense	Value	Value	Paid During	Value	Paid During
	Ratio	11/1/19	4/30/20	Period*	4/30/20	Period*
Class C:
Corporate/Government Bond Fund	2.03%	$1,000.00	$999.60	$10.09	$1,014.77	$10.16
Floating Rate Bond Fund	1.81%	$1,000.00	$1,000.00	$9.02	$1,015.84	$9.10
High-Yield Bond Fund	1.90%	$1,000.00	$1,000.00	$9.43	$1,015.44	$9.50
International Opportunity Bond Fund	2.18%	$1,000.00	$882.30	$10.21	$1,014.02	$10.92
Large Cap Value Fund	2.20%	$1,000.00	$870.50	$10.24	$1,013.92	$11.02
Small Cap Value Fund	2.35%	$1,000.00	$753.80	$10.26	$1,013.17	$11.78
Focused Large Cap Growth Fund	2.26%	$1,000.00	$1,000.00	$11.23	$1,013.63	$11.31
Small Cap Growth Fund	2.44%	$1,000.00	$1,000.00	$12.15	$1,012.72	$12.22
Emerging Markets Stock Fund	2.83%	$1,000.00	$902.00	$13.39	$1,010.79	$14.15
International Stock Fund	2.44%	$1,000.00	$876.40	$11.37	$1,012.74	$12.20
Dynamic Macro Fund	2.80%	$1,000.00	$929.80	$13.46	$1,010.92	$14.02
Long/Short Credit Fund	2.34%	$1,000.00	$1,000.00	$11.63	$1,013.24	$11.70
Monthly Distribution Fund	2.68%	$1,000.00	$1,000.00	$13.33	$1,011.54	$13.40
Real Estate Stock Fund	2.55%	$1,000.00	$1,000.00	$12.69	$1,012.17	$12.77

* 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, 2020).

137

Privacy Notice

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

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

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

138

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

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-PORT. Form N-PORT is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC (800)-SEC-0330. The information on Form N-PORT is available without charge, upon request, by calling (888)-3DUNHAM (338-6426).

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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. Not Applicable to open-end investment companies.

Item 13. Exhibits.

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

(a)(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 7/8/2020

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

By (Signature and Title)

/s/ Jeffrey Dunham

Jeffrey Dunham, Principal Executive Officer/President

Date 7/8/2020

By (Signature and Title)

/s/ Denise Iverson

Denise Iverson, Principal Financial Officer/Treasurer

Date 7/8/2020